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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2021
Fair Value Disclosures [Abstract] |
Fair Value of Assets and Liabilities Measured on Recurring Basis | The following tables present these assets and liabilities at March 31, 2021, and December 31, 2020.
| March 31, 2021 | December 31, 2020
| Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total
in millions
ASSETS MEASURED ON A RECURRING BASIS |  |  |  |  |  |  |  |
Short-term investments |  |  |  |  |  |  |  |
U.S. Treasury Bills | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total short-term investments | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Trading account assets: |  |  |  |  |  |  |  |
U.S. Treasury, agencies and corporations | — |  | $ | 550 |  | — |  | $ | 550 |  | — |  | $ | 633 |  | — |  | $ | 633 |
States and political subdivisions | — |  | 72 |  | — |  | 72 |  | — |  | 24 |  | — |  | 24 |
Other mortgage-backed securities | — |  | 162 |  | — |  | 162 |  | — |  | 47 |  | — |  | 47 |
Other securities | — |  | 14 |  | — |  | 14 |  | — |  | 13 |  | — |  | 13 |
Total trading account securities | — |  | 798 |  | — |  | 798 |  | — |  | 717 |  | — |  | 717 |
Commercial loans | — |  | 13 |  | — |  | 13 |  | — |  | 18 |  | — |  | 18 |
Total trading account assets | — |  | 811 |  | — |  | 811 |  | — |  | 735 |  | — |  | 735 |
Securities available for sale: |  |  |  |  |  |  |  |
U.S. Treasury, agencies and corporations | — |  | 4,901 |  | — |  | 4,901 |  | — |  | 1,000 |  | — |  | 1,000 |
States and political subdivisions | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Agency residential collateralized mortgage obligations | — |  | 14,449 |  | — |  | 14,449 |  | — |  | 14,273 |  | — |  | 14,273 |
Agency residential mortgage-backed securities | — |  | 4,026 |  | — |  | 4,026 |  | — |  | 2,164 |  | — |  | 2,164 |
Agency commercial mortgage-backed securities | — |  | 10,525 |  | — |  | 10,525 |  | — |  | 10,106 |  | — |  | 10,106 |
Other securities | — |  | — |  | $ | 22 |  | 22 |  | — |  | — |  | $ | 13 |  | 13 |
Total securities available for sale | — |  | 33,901 |  | 22 |  | 33,923 |  | — |  | 27,543 |  | 13 |  | 27,556 |
Other investments: |  |  |  |  |  |  |  |
Principal investments: |  |  |  |  |  |  |  |
Direct | — |  | — |  | 1 |  | 1 |  | — |  | — |  | 1 |  | 1 |
Indirect (measured at NAV) (a) | — |  | — |  | — |  | 51 |  | — |  | — |  | — |  | 53 |
Total principal investments | — |  | — |  | 1 |  | 52 |  | — |  | — |  | 1 |  | 54 |
Equity investments: |  |  |  |  |  |  |  |
Direct | — |  | 13 |  | 9 |  | 22 |  | — |  | — |  | 13 |  | 13 |
Direct (measured at NAV) (a) | — |  | — |  | — |  | 7 |  | — |  | — |  | — |  | 7 |
Indirect (measured at NAV) (a) | — |  | — |  | — |  | 7 |  | — |  | — |  | — |  | 7 |
Total equity investments | — |  | 13 |  | 9 |  | 36 |  | — |  | — |  | 13 |  | 27 |
Total other investments | — |  | 13 |  | 10 |  | 88 |  | — |  | — |  | 14 |  | 81 |
Loans, net of unearned income (residential) | — |  | — |  | 11 |  | 11 |  | — |  | — |  | 11 |  | 11 |
Loans held for sale (residential) | — |  | 236 |  | — |  | 236 |  | — |  | 264 |  | — |  | 264 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate | — |  | 985 |  | 30 |  | 1,015 |  | — |  | 1,528 |  | 56 |  | 1,584 |
Foreign exchange | $ | 74 |  | 21 |  | — |  | 95 |  | $ | 78 |  | 31 |  | — |  | 109 |
Commodity | — |  | 638 |  | — |  | 638 |  | — |  | 424 |  | 2 |  | 426 |
Credit | — |  | — |  | 1 |  | 1 |  | — |  | — |  | 1 |  | 1 |
Other | — |  | 25 |  | 8 |  | 33 |  | — |  | 26 |  | 32 |  | 58 |
Derivative assets | 74 |  | 1,669 |  | 39 |  | 1,782 |  | 78 |  | 2,009 |  | 91 |  | 2,178 |
Netting adjustments (b) | — |  | — |  | — |  | (258) |  | — |  | — |  | — |  | (380) |
Total derivative assets | 74 |  | 1,669 |  | 39 |  | 1,524 |  | 78 |  | 2,009 |  | 91 |  | 1,798 |
Accrued income and other assets | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total assets on a recurring basis at fair value | $ | 74 |  | $ | 36,630 |  | $ | 82 |  | $ | 36,593 |  | $ | 78 |  | $ | 30,551 |  | $ | 129 |  | $ | 30,445 |
LIABILITIES MEASURED ON A RECURRING BASIS |  |  |  |  |  |  |  |
Bank notes and other short-term borrowings: |  |  |  |  |  |  |  |
Short positions | $ | 143 |  | $ | 600 |  | — |  | $ | 743 |  | $ | 256 |  | $ | 503 |  | — |  | $ | 759 |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate | — |  | 318 |  | — |  | 318 |  | — |  | 288 |  | — |  | 288 |
Foreign exchange | 64 |  | 20 |  | — |  | 84 |  | 72 |  | 31 |  | — |  | 103 |
Commodity | — |  | 620 |  | — |  | 620 |  | — |  | 408 |  | — |  | 408 |
Credit | — |  | 3 |  | $ | 5 |  | 8 |  | — |  | — |  | $ | 11 |  | 11 |
Other | — |  | 11 |  | 3 |  | 14 |  | — |  | 16 |  | — |  | 16 |
Derivative liabilities | 64 |  | 972 |  | 8 |  | 1,044 |  | 72 |  | 743 |  | 11 |  | 826 |
Netting adjustments (b) | — |  | — |  | — |  | (861) |  | — |  | — |  | — |  | (675) |
Total derivative liabilities | 64 |  | 972 |  | 8 |  | 183 |  | 72 |  | 743 |  | 11 |  | 151 |
Total liabilities on a recurring basis at fair value | $ | 207 |  | $ | 1,572 |  | $ | 8 |  | $ | 926 |  | $ | 328 |  | $ | 1,246 |  | $ | 11 |  | $ | 910 |
(a)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. (b)Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with the applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related cash collateral. Total derivative assets and liabilities include these netting adjustments.
Fair Value of Direct and Indirect Investments, Related Unfunded Commitments and Financial Support Provided | The following table presents the fair value of our direct and indirect principal investments and related unfunded commitments at March 31, 2021, as well as financial support provided for the three months ended March 31, 2021, and March 31, 2020.
|  |  |  | Financial support provided
|  |  |  | Three months ended March 31, |  |
| March 31, 2021 |  | 2021 |  | 2020 |  |  |  |
in millions | Fair Value | Unfunded Commitments |  | Funded Commitments | Funded Other |  | Funded Commitments | Funded Other |  |  |  |  |  |
INVESTMENT TYPE |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct investments | $ | 1 |  | — |  |  | — |  | — |  |  | — |  | — |  |  |  |  |  |  |
Indirect investments (measured at NAV) (a) | 51 |  | $ | 16 |  |  | $ | 2 |  | — |  |  | — |  | — |  |  |  |  |  |  |
Total | $ | 52 |  | $ | 16 |  |  | $ | 2 |  | — |  |  | — |  | — |  |  |  |  |  |  |
(a) Our indirect investments consist of buyout funds, venture capital funds, and fund of funds. These investments are generally not redeemable. Instead, distributions are received through the liquidation of the underlying investments of the fund. An investment in any one of these funds typically can be sold only with the approval of the fund’s general partners. At March 31, 2021, no significant liquidation of the underlying investments has been communicated to Key. The purpose of funding our capital commitments to these investments is to allow the funds to make additional follow-on investments and pay fund expenses until the fund dissolves. We, and all other investors in the fund, are obligated to fund the full amount of our respective capital commitments to the fund based on our and their respective ownership percentages, as noted in the applicable Limited Partnership Agreement.
Change in Fair Values of Level 3 Financial Instruments | The following table shows the components of the change in the fair values of our Level 3 financial instruments measured at fair value on a recurring basis for the three months ended March 31, 2021, and March 31, 2020.
in millions | Beginning of Period Balance | Gains (Losses) Included in Other Comprehensive Income | Gains (Losses) Included in Earnings | Purchases | Sales | Settlements | Transfers Other | Transfers into Level 3 | Transfers out of Level 3 | End of Period Balance | Unrealized Gains (Losses) Included in Earnings
Three months ended March 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other securities | $ | 13 |  | $ | 9 |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | $ | 22 |  | — |
Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 1 |  | — |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | 1 |  | — |
Equity investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 13 |  | — |  | $ | (1) |  |  | — |  | — |  | — |  | — |  | — |  |  | (3) |  |  | 9 |  | $ | (1) |
Loans held for sale (residential) | — |  | — |  | — |  |  | — |  | $ | (1) |  | — |  | $ | 1 |  | — |  |  | — |  |  | — |  | — |
Loans, net of unearned income (residential) | 11 |  | — |  | — |  |  | — |  | (1) |  | — |  | 1 |  | — |  |  | — |  |  | 11 |  | — |
Derivative instruments (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate | 56 |  | — |  | $ | (22) |  | (c) | $ | — |  | (4) |  | — |  | — |  | $ | 7 |  | (d) | $ | (7) |  | (d) | 30 |  | — |
Credit | (10) |  | — |  | 5 |  | (c) | — |  | — |  | — |  | — |  | — |  |  | — |  |  | (5) |  | — |
Other (e) | 32 |  | — |  | (4) |  |  | — |  | — |  | — |  | (22) |  | — |  |  | — |  |  | 6 |  | — |
in millions | Beginning of Period Balance | Gains (Losses) Included in Other Comprehensive Income | Gains (Losses) Included in Earnings | Purchases | Sales | Settlements | Transfers Other | Transfers into Level 3 | Transfers out of Level 3 | End of Period Balance | Unrealized Gains (Losses) Included in Earnings
Three months ended March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other securities | $ | 11 |  | $ | (2) |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | $ | 9 |  | — |
Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 1 |  | — |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | 1 |  | — |
Equity investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 12 |  | — |  | $ | (2) |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | 10 |  | $ | (2) |
Loans held for sale (residential) | — |  | — |  | — |  |  | — |  | — |  | — |  | $ | 10 |  | — |  |  | — |  |  | 10 |  | — |
Loans, net of unearned income (residential) | 4 |  | — |  | — |  |  | — |  | $ | (1) |  | — |  | — |  | — |  |  | — |  |  | 3 |  | — |
Derivative instruments (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate | 22 |  | — |  | 19 |  | (c) | 11 |  | (1) |  | — |  | — |  | $ | 55 |  | (d) | $ | (10) |  | (d) | 96 |  | — |
Credit | (8) |  | — |  | (16) |  | (c) | $ | 1 |  |  | — |  | — |  | — |  |  |  |  | (23) |  | — |
Other (e) | 5 |  | — |  | — |  |  | — |  | — |  | — |  | 18 |  | — |  |  | — |  |  | 23 |  | — |
(a)Realized and unrealized gains and losses on principal investments and other equity investments are reported in “other income” on the income statement. (b)Amounts represent Level 3 derivative assets less Level 3 derivative liabilities. (c)Realized and unrealized gains and losses on derivative instruments are reported in “corporate services income” and “other income” on the income statement. (d)Certain instruments previously classified as Level 2 were transferred to Level 3 because Level 3 unobservable inputs became significant. Certain derivatives previously classified as Level 3 were transferred to Level 2 because Level 3 unobservable inputs became less significant. (e)Amounts represent Level 3 interest rate lock commitments.
Assets and Liabilities Measured at Fair Value on Nonrecurring Basis | The following table presents our assets measured at fair value on a nonrecurring basis at March 31, 2021, and December 31, 2020:
| March 31, 2021 |  | December 31, 2020
in millions | Level 1 | Level 2 | Level 3 | Total |  | Level 1 | Level 2 | Level 3 | Total
ASSETS MEASURED ON A NONRECURRING BASIS |  |  |  |  |  |  |  |  |
Collateral-dependent loans | — |  | — |  | $ | 64 |  | $ | 64 |  |  | — |  |  | $ | 108 |  | $ | 108 |
Loans held for sale | — |  | — |  | 8 |  | 8 |  |  | — |  |  | — |  | — |
Accrued income and other assets | — |  | — |  | 72 |  | 72 |  |  | — |  |  | 56 |  | 56 |
Total assets on a nonrecurring basis at fair value | — |  | — |  | $ | 144 |  | $ | 144 |  |  | — |  | — |  | $ | 164 |  | $ | 164 |
Quantitative Information about Level 3 Fair Value Measurements | The range and weighted-average of the significant unobservable inputs used to fair value our material Level 3 recurring and nonrecurring assets at March 31, 2021, and December 31, 2020, along with the valuation techniques used, are shown in the following table:
| Level 3 Asset (Liability) | Valuation Technique | Significant Unobservable Input | Range (Weighted-Average) (b), (c)
dollars in millions | March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020
Recurring |  |  |  |  |  |
Securities available-for-sale: |  |  |  |  |  |
Other securities | $ | 22 |  | 13 |  | Discounted cash flows | Discount rate | N/A (16.61%) | N/A (15.09%)
|  |  |  | Marketability discount | N/A (30.00%) | N/A (30.00%)
|  |  |  | Volatility factor | N/A (55.00%) | N/A (44.00%)
Other investments:(a) |  |  |  |  |  |
Equity investments |  |  |  |  |  |
Direct | 9 |  | 13 |  | Discounted cash flows | Discount rate | 14.60 - 18.14% (16.13%) | 13.90 - 17.04% (15.47%)
|  |  |  | Marketability discount | N/A (30.00%) | N/A (30.00%)
|  |  |  | Volatility factor | N/A (52.00%) | N/A (52.00%)
Loans, net of unearned income (residential) | 11 |  | 11 |  | Market comparable pricing | Comparability factor | .00 - 98.11% (95.06%) | 64.50-99.04% (94.17%)
Derivative instruments: |  |  |  |  |  |
Interest rate | 30 |  | 56 |  | Discounted cash flows | Probability of default | .02 - 100% (6.70%) | .02 - 100% (7.90%)
|  |  |  | Internal risk rating | 1 - 19 (9.731) | 1 - 19 (9.675)
|  |  |  | Loss given default | 0 - 1 (.485) | 0 - 1 (.483)
Credit (assets) | 1 |  | 1 |  | Discounted cash flows | Probability of default | .02 - 100% (3.60%) | .02 - 100% (4.70%)
|  |  |  | Internal risk rating | 1 - 19 (10.281) | 1 - 19 (10.478)
|  |  |  | Loss given default | 0 - 1 (.491) | 0 - 1 (.490)
Credit (liabilities) | (5) |  | (11) |  | Discounted cash flows | Probability of default | .02 - 100% (13.10%) | .02 - 100% (15.45%)
|  |  |  | Internal risk rating | 1 - 19 (8.738) | 1 - 19 (8.555)
|  |  |  | Loss given default | 0 - 1 (.443) | 0 - 1 (.431)
Other(d) | 6 |  | 32 |  | Discounted cash flows | Loan closing rates | 36.95 - 99.68% (77.51%) | 36.95 - 99.68% (77.51%)
Nonrecurring |  |  |  |  |  |
Collateral-dependent loans | 64 |  | 108 |  | Fair value of collateral | Discount rate | 0 - 100.00% (32.00%) | 0 - 100.00% (36.00%)
Loans held for sale | 8 |  | — |  | Market comparable pricing | Comparability factor | N/M | N/A
Accrued income and other assets: |  |  |  |  |  |
OREO and other Level 3 assets (e) | 11 |  | 16 |  | Appraised value | Appraised value | N/M | N/M
(a)Principal investments, direct is excluded from this table as the balance at March 31, 2021, and December 31, 2020, is insignificant (less than $1 million). (b)The weighted average of significant unobservable inputs is calculated using a weighting relative to fair value. (c)For significant unobservable inputs with no range, a single figure is reported to denote the single quantitative factor used. (d)Amounts represent interest rate lock commitments. (e)Excludes $61 million and $40 million pertaining to servicing assets at March 31, 2021, and December 31, 2020, respectively. Refer to Note 8 (“Mortgage Servicing Assets”) for significant unobservable inputs pertaining to these assets.
Fair Value Disclosures of Financial Instruments | The Levels in the fair value hierarchy ascribed to our financial instruments and the related carrying amounts at March 31, 2021, and December 31, 2020, are shown in the following tables. Assets and liabilities are further arranged by measurement category.
| March 31, 2021
|  | Fair Value
in millions | Carrying Amount | Level 1 | Level 2 | Level 3 | Measured at NAV | Netting Adjustment |  | Total
ASSETS (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Trading account assets (b) | $ | 811 |  | $ | — |  | $ | 811 |  | — |  | — |  | — |  |  | $ | 811 |
Other investments (b) | 621 |  | — |  | 13 |  | $ | 542 |  | $ | 66 |  | — |  |  | 621 |
Loans, net of unearned income (residential) (d) | 11 |  | — |  | — |  | 11 |  | — |  | — |  |  | 11 |
Loans held for sale (residential) (b) | 236 |  | — |  | 236 |  | — |  | — |  | — |  |  | 236 |
Derivative assets - trading (b) | 1,421 |  | 74 |  | 1,625 |  | 38 |  | — |  | $ | (316) |  | (f) | 1,421 |
Fair value - OCI |  |  |  |  |  |  |  |
Securities available for sale (b) | 33,923 |  | — |  | 33,901 |  | 22 |  | — |  | — |  |  | 33,923 |
Derivative assets - hedging (b)(g) | 103 |  | — |  | 45 |  | — |  | — |  | 58 |  | (f) | 103 |
Amortized cost |  |  |  |  |  |  |  |
Held-to-maturity securities (c) | 6,857 |  | — |  | 7,159 |  | — |  | — |  | — |  |  | 7,159 |
Loans, net of unearned income (d) | 99,477 |  | — |  | — |  | 99,253 |  | — |  | — |  |  | 99,253 |
Loans held for sale (b) | 2,060 |  | — |  | — |  | 2,060 |  | — |  | — |  |  | 2,060 |
Other |  |  |  |  |  |  |  |
Cash and other short-term investments (a) | 16,314 |  | 16,314 |  | — |  | — |  | — |  | — |  |  | 16,314 |
LIABILITIES (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Derivative liabilities - trading (b) | $ | 177 |  | $ | 64 |  | $ | 966 |  | 8 |  | — |  | $ | (861) |  | (f) | $ | 177 |
Fair value - OCI |  |  |  |  |  |  |  |
Derivative liabilities - hedging (b)(g) | 6 |  | — |  | 6 |  | — |  | — |  | — |  | (f) | 6 |
Amortized cost |  |  |  |  |  |  |  |
Time deposits (e) | 5,219 |  | — |  | 5,234 |  | — |  | — |  | — |  |  | 5,234 |
Short-term borrowings (a) | 1,025 |  | 143 |  | 882 |  | — |  | — |  | — |  |  | 1,025 |
Long-term debt (e) | 12,499 |  | 12,396 |  | 727 |  | — |  | — |  | — |  |  | 13,123 |
Other |  |  |  |  |  |  |  |
Deposits with no stated maturity (a) | 136,964 |  | — |  | 136,964 |  | — |  | — |  | — |  |  | 136,964 |
| December 31, 2020
|  | Fair Value
in millions | Carrying Amount | Level 1 | Level 2 | Level 3 | Measured at NAV | Netting Adjustment |  | Total
ASSETS (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Trading account assets (b) | $ | 735 |  | — |  | $ | 735 |  | — |  | — |  | — |  |  | $ | 735 |
Other investments (b) | 621 |  | — |  | — |  | $ | 555 |  | $ | 66 |  | — |  |  | 621 |
Loans, net of unearned income (residential) (d) | 11 |  | — |  | — |  | 11 |  | — |  | — |  |  | 11 |
Loans held for sale (residential) (b) | 264 |  | — |  | 264 |  | — |  | — |  | — |  |  | 264 |
Derivative assets - trading (b) | 1,676 |  | $ | 78 |  | 1,939 |  | 91 |  | — |  | $ | (433) |  | (f) | 1,675 |
Fair value - OCI |  |  |  |  |  |  |  |
Securities available for sale (b) | 27,556 |  | — |  | 27,543 |  | 13 |  | — |  | — |  |  | 27,556 |
Derivative assets - hedging (b)(g) | 123 |  | — |  | 70 |  | — |  | — |  | 53 |  | (f) | 123 |
Amortized cost |  |  |  |  |  |  |  |
Held-to-maturity securities (c) | 7,595 |  | — |  | 8,023 |  | — |  | — |  | — |  |  | 8,023 |
Loans, net of unearned income (d) | 99,548 |  | — |  | — |  | 98,946 |  | — |  | — |  |  | 98,946 |
Loans held for sale (b) | 1,319 |  | — |  | — |  | 1,319 |  | — |  | — |  |  | 1,319 |
Other |  |  |  |  |  |  |  |
Short-term investments - U.S. Treasury Bills (b) | — |  | — |  | — |  | — |  | — |  | — |  |  | — |
Cash and other short-term investments (a) | 17,285 |  | 17,285 |  | — |  | — |  | — |  | — |  |  | 17,285 |
LIABILITIES (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Derivative liabilities - trading (b) | $ | 154 |  | $ | 72 |  | $ | 746 |  | $ | 11 |  | — |  | $ | (675) |  | (f) | $ | 154 |
Fair value - OCI |  |  |  |  |  |  |  |
Derivative liabilities - hedging (b)(g) | (3) |  | — |  | (3) |  | — |  | — |  | — |  | (f) | (3) |
Amortized cost |  |  |  |  |  |  |  |
Time deposits (e) | 5,743 |  | — |  | 5,765 |  | — |  | — |  | — |  |  | 5,765 |
Short-term borrowings (a) | 979 |  | 256 |  | 723 |  | — |  | — |  | — |  |  | 979 |
Long-term debt (e) | 13,709 |  | 13,925 |  | 734 |  | — |  | — |  | — |  |  | 14,659 |
Other |  |  |  |  |  |  |  |
Deposits with no stated maturity (a) | 129,539 |  | — |  | 129,539 |  | — |  | — |  | — |  |  | 129,539 |
Valuation Methods and Assumptions (a)Fair value equals or approximates carrying amount. The fair value of deposits with no stated maturity does not take into consideration the value ascribed to core deposit intangibles. (b)Information pertaining to our methodology for measuring the fair values of these assets and liabilities is included in the sections entitled “Qualitative Disclosures of Valuation Techniques” and “Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis” within our 2020 Form 10-K Note 6 (“Fair Value Measurements”). Investments accounted for under the cost method (or cost less impairment adjusted for observable price changes for certain equity investments) are classified as Level 3 assets. These investments are not actively traded in an open market as sales for these types of investments are rare. The carrying amount of the investments carried at cost are adjusted for declines in value if they are considered to be other-than-temporary (or due to observable orderly transactions of the same issuer for equity investments eligible for the cost less impairment measurement alternative). These adjustments are included in “other income” on the income statement. (c)Fair values of held-to-maturity securities are determined by using models that are based on security-specific details, as well as relevant industry and economic factors. The most significant of these inputs are quoted market prices, interest rate spreads on relevant benchmark securities, and certain prepayment assumptions. We review the valuations derived from the models to ensure that they are reasonable and consistent with the values placed on similar securities traded in the secondary markets. (d)The fair value of loans is based on the present value of the expected cash flows. The projected cash flows are based on the contractual terms of the loans, adjusted for prepayments and use of a discount rate based on the relative risk of the cash flows, taking into account the loan type, maturity of the loan, liquidity risk, servicing costs, and a required return on debt and capital. In addition, an incremental liquidity discount is applied to certain loans, using historical sales of loans during periods of similar economic conditions as a benchmark. The fair value of loans includes lease financing receivables at their aggregate carrying amount, which is equivalent to their fair value. (e)Fair values of time deposits and long-term debt are based on discounted cash flows utilizing relevant market inputs. (f)Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with the applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related cash collateral. Total derivative assets and liabilities include these netting adjustments. (g)Derivative assets-hedging and derivative liabilities-hedging includes both cash flow and fair value hedges. Additional information regarding our accounting policies for cash flow and fair value hedges is provided in Note 1 (“1. Summary of Significant Accounting Policies”) under the heading “Derivatives and Hedging” beginning on page 114 of our 2020 Form 10-K.

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