Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Assets and Liabilities Carried at Fair Value on a Recurring Basis Assets and liabilities carried at fair value on a recurring basis at September 30, 2023 and December 31, 2022, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
September 30, 2023
  Fair Value Measurements
(Dollars in millions) Level 1 Level 2 Level 3
Netting Adjustments (1)
Assets/Liabilities at Fair Value
Assets          
Time deposits placed and other short-term investments
 $ 1,129  $ —  $ —  $ —  $ 1,129 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  414,435  —  (244,103) 170,332 
Trading account assets:          
U.S. Treasury and government agencies 67,333  221  —  —  67,554 
Corporate securities, trading loans and other —  44,553  2,156  —  46,709 
Equity securities 65,627  39,093  178  —  104,898 
Non-U.S. sovereign debt 11,043  26,496  366  —  37,905 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  38,520  9  —  38,529 
Mortgage trading loans, ABS and other MBS —  9,614  1,200  —  10,814 
Total trading account assets (2)
144,003  158,497  3,909  —  306,409 
Derivative assets 15,908  365,554  4,620  (338,618) 47,464 
AFS debt securities:          
U.S. Treasury and government agencies 102,738  898  —  —  103,636 
Mortgage-backed securities:          
Agency —  20,504  —  —  20,504 
Agency-collateralized mortgage obligations —  1,698  —  —  1,698 
Non-agency residential —  109  278  —  387 
Commercial —  6,741  —  —  6,741 
Non-U.S. securities 67  18,699  106  —  18,872 
Other taxable securities —  3,179  —  —  3,179 
Tax-exempt securities —  10,542  51  —  10,593 
Total AFS debt securities 102,805  62,370  435  —  165,610 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 1,058  —  —  —  1,058 
Non-agency residential MBS —  213  70  —  283 
Non-U.S. and other securities
 1,862  6,727  —  —  8,589 
Total other debt securities carried at fair value 2,920  6,940  70  —  9,930 
Loans and leases —  4,143  107  —  4,250 
Loans held-for-sale —  1,436  171  —  1,607 
Other assets (3)
5,609  1,723  1,726  —  9,058 
Total assets (4)
$ 272,374  $ 1,015,098  $ 11,038  $ (582,721) $ 715,789 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 404  $ —  $ —  $ 404 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  453,940  —  (244,103) 209,837 
Trading account liabilities:        
U.S. Treasury and government agencies 20,799  2  —  —  20,801 
Equity securities 47,649  5,590  12  —  53,251 
Non-U.S. sovereign debt 12,614  8,568  —  —  21,182 
Corporate securities and other —  7,514  72  —  7,586 
Total trading account liabilities 81,062  21,674  84  —  102,820 
Derivative liabilities 15,822  355,436  9,080  (339,483) 40,855 
Short-term borrowings —  4,035  11  —  4,046 
Accrued expenses and other liabilities 6,991  3,015  5  —  10,011 
Long-term debt —  38,803  640  —  39,443 
Total liabilities (4)
$ 103,875  $ 877,307  $ 9,820  $ (583,586) $ 407,416 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes securities with a fair value of $25.3 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $340 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(3)Includes MSRs, which are classified as Level 3 assets, of $1.0 billion.
(4)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.34 percent of total consolidated liabilities.
December 31, 2022
Fair Value Measurements
(Dollars in millions) Level 1 Level 2 Level 3
Netting Adjustments (1)
Assets/Liabilities at Fair Value
Assets          
Time deposits placed and other short-term investments
 $ 868  $ —  $ —  $ —  $ 868 
Federal funds sold and securities borrowed or purchased under agreements to resell (2)
—  146,999  —  —  146,999 
Trading account assets:          
U.S. Treasury and government agencies 58,894  212  —  —  59,106 
Corporate securities, trading loans and other —  46,897  2,384  —  49,281 
Equity securities 77,868  35,065  145  —  113,078 
Non-U.S. sovereign debt 7,392  26,306  518  —  34,216 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  28,563  34  —  28,597 
Mortgage trading loans, ABS and other MBS —  10,312  1,518  —  11,830 
Total trading account assets (3)
144,154  147,355  4,599  —  296,108 
Derivative assets 14,775  380,380  3,213  (349,726) 48,642 
AFS debt securities:          
U.S. Treasury and government agencies 158,102  920  —  —  159,022 
Mortgage-backed securities:          
Agency —  23,442  —  —  23,442 
Agency-collateralized mortgage obligations —  2,221  —  —  2,221 
Non-agency residential —  128  258  —  386 
Commercial —  6,407  —  —  6,407 
Non-U.S. securities —  13,212  195  —  13,407 
Other taxable securities —  4,645  —  —  4,645 
Tax-exempt securities —  11,207  51  —  11,258 
Total AFS debt securities 158,102  62,182  504  —  220,788 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 561  —  —  —  561 
Non-agency residential MBS —  248  119  —  367 
Non-U.S. and other securities 3,027  5,251  —  —  8,278 
Total other debt securities carried at fair value 3,588  5,499  119  —  9,206 
Loans and leases —  5,518  253  —  5,771 
Loans held-for-sale —  883  232  —  1,115 
Other assets (4)
6,898  897  1,799  —  9,594 
Total assets (5)
$ 328,385  $ 749,713  $ 10,719  $ (349,726) $ 739,091 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 311  $ —  $ —  $ 311 
Federal funds purchased and securities loaned or sold under agreements to repurchase (2)
—  151,708  —  —  151,708 
Trading account liabilities:        
U.S. Treasury and government agencies 13,906  181  —  —  14,087 
Equity securities 36,937  4,825  —  —  41,762 
Non-U.S. sovereign debt 9,636  8,228  —  —  17,864 
Corporate securities and other —  6,628  58  —  6,686 
Total trading account liabilities 60,479  19,862  58  —  80,399 
Derivative liabilities 15,431  376,979  6,106  (353,700) 44,816 
Short-term borrowings —  818  14  —  832 
Accrued expenses and other liabilities 7,458  2,262  32  —  9,752 
Long-term debt —  32,208  862  —  33,070 
Total liabilities (5)
$ 83,368  $ 584,148  $ 7,072  $ (353,700) $ 320,888 
(1)Amounts represent the impact of legally enforceable derivative master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Amounts have been netted by $221.7 billion to reflect the application of legally enforceable master netting agreements.
(3)Includes securities with a fair value of $16.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $40 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(4)Includes MSRs, which are classified as Level 3 assets, of $1.0 billion.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.25 percent of total consolidated liabilities.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2023 and 2022, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due
to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Level 3 – Fair Value Measurements (1)
Balance July 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions) Purchases Sales Issuances Settlements
Three Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ 7  $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ (7) $ —  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,100  53  (1) 112  (17) —  (149) 137  (79) 2,156  16 
Equity securities 159  45  —  4  (3) —  (47) 51  (31) 178  (3)
Non-U.S. sovereign debt 568  16  (14) 2  (3) —  (203) —  —  366  16 
Mortgage trading loans, MBS and ABS 1,233  (10) —  40  (101) —  (8) 90  (35) 1,209  (12)
Total trading account assets 4,060  104  (15) 158  (124) —  (407) 278  (145) 3,909  17 
Net derivative assets (liabilities) (4)
(4,997) 1,445  (235) 613  (395) —  (577) (315) 1  (4,460) 1,369 
AFS debt securities:                    
Non-agency residential MBS 288  (2) (6) —  —  —  (2) —  —  278  (2)
Non-U.S. and other taxable securities 184  4  —  —  —  —  (86) 4  —  106  2 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 523  2  (6) —  —  —  (88) 4  —  435  — 
Other debt securities carried at fair value – Non-agency residential MBS
 88  (3) —  —  —  —  (1) —  (14) 70  (3)
Loans and leases (5)
147  11  —  —  —  —  (29) —  (22) 107  11 
Loans held-for-sale (5)
188  (2) (2) —  (4) —  (9) —  —  171  (4)
Other assets (6,7)
1,809  115  (8) 168  (303) 27  (82) —  —  1,726  83 
Trading account liabilities – Equity securities
 —  —  —  —  —  —  —  (12) —  (12) — 
Trading account liabilities – Corporate securities
   and other
 (49) 5  —  (1) —  —  —  (27) —  (72) (1)
Short-term borrowings (5)
(11) (1) —  —  —  (6) 7  —  —  (11) (1)
Accrued expenses and other liabilities (5)
(14) 8  —  —  —  —  —  —  1  (5) 8 
Long-term debt (5)
(664) 3  1  —  (4) —  24  —  —  (640) 3 
Three Months Ended September 30, 2022
Trading account assets:
Corporate securities, trading loans and other
 $ 2,367  $ (28) $ (1) $ 176  $ (144) $ —  $ (300) $ 329  $ (50) $ 2,349  $ (30)
Equity securities 179  (5) —  13  (7) —  —  3  (12) 171  (5)
Non-U.S. sovereign debt 470  39  (12) 11  (2) —  (18) 2  (5) 485  39 
Mortgage trading loans, MBS and ABS 1,386  (57) —  166  (72) —  (6) 113  (67) 1,463  (47)
Total trading account assets 4,402  (51) (13) 366  (225) —  (324) 447  (134) 4,468  (43)
Net derivative assets (liabilities) (4)
(1,682) (266) —  97  (238) —  49  (62) (115) (2,217) (293)
AFS debt securities:              
Non-agency residential MBS 299  (1) (11) —  —  —  (8) —  (13) 266  (1)
Non-U.S. and other taxable securities 200  2  (3) —  —  —  (5) 224  (1) 417  (2)
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  — 
Total AFS debt securities 551  1  (14) —  —  —  (13) 224  (14) 735  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 112  (2) —  —  —  —  (4) —  (6) 100  (2)
Loans and leases (5)
256  (1) —  —  —  —  (58) —  —  197  (2)
Loans held-for-sale (5)
345  (27) (2) —  —  —  (44) —  —  272  (27)
Other assets (6,7)
1,750  70  (20) —  (2) 78  (68) —  (3) 1,805  61 
Trading account liabilities – Corporate securities
   and other
 (14) 1  —  —  —  —  —  —  —  (13) — 
Short-term borrowings (5)
—  1  —  —  (4) —  —  (3) —  (6) 1 
Accrued expenses and other liabilities (5)
(63) 7  —  (7) —  —  —  —  —  (63) 7 
Long-term debt (5)
(812) 26  (12) —  —  —  18  (13) —  (793) 26 
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $245 million and $60 million related to financial instruments still held at September 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.6 billion and $3.3 billion and derivative liabilities of $9.1 billion and $5.5 billion at September 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

 Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ 7  $ (7) $ —  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,384  114  1  336  (172) 14  (601) 331  (251) 2,156  38 
Equity securities
 145  39  —  20  (47) —  (59) 134  (54) 178  (10)
Non-U.S. sovereign debt
 518  54  22  38  (9) —  (257) —  —  366  56 
Mortgage trading loans, MBS and ABS 1,552  (38) —  144  (303) —  (229) 332  (249) 1,209  (50)
Total trading account assets 4,599  169  23  538  (531) 14  (1,146) 797  (554) 3,909  34 
Net derivative assets (liabilities) (4)
(2,893) (116) (375) 1,142  (994) —  (1,372) (154) 302  (4,460) (1,794)
AFS debt securities:                    
Non-agency residential MBS 258  1  26  —  —  —  (7) —  —  278  1 
Non-U.S. and other taxable securities 195  8  7  —  —  —  (101) 4  (7) 106  — 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 504  9  33  —  —  —  (108) 4  (7) 435  1 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (5) —  (21) 70  (3)
Loans and leases (5,6)
253  —  —  9  (50) —  (99) 16  (22) 107  (5)
Loans held-for-sale (5,6)
232  20  2  —  (25) —  (58) —  —  171  10 
Other assets (6,7)
1,799  223  (1) 174  (302) 71  (240) 2  —  1,726  119 
Trading account liabilities – Equity securities
 —  —  —  —  —  —  —  (12) —  (12) — 
Trading account liabilities – Corporate securities
   and other
 (58) 1  —  (2) (2) (1) 2  (33) 21  (72) (2)
Short-term borrowings (5)
(14) 2  —  —  (13) (8) 22  —  —  (11) — 
Accrued expenses and other liabilities (5)
(32) 38  —  (12) —  —  —  —  1  (5) 21 
Long-term debt (5)
(862) 154  (20) (9) 49  —  41  —  7  (640) 158 
Nine Months Ended September 30, 2022
Trading account assets:          
Corporate securities, trading loans and other
 $ 2,110  $ (97) $ (2) $ 943  $ (342) $ —  $ (417) $ 849  $ (695) $ 2,349  $ (141)
Equity securities 190  2  —  41  (22) —  (4) 29  (65) 171  (20)
Non-U.S. sovereign debt 396  58  8  18  (4) —  (33) 52  (10) 485  55 
Mortgage trading loans, MBS and ABS 1,527  (235) —  373  (389) —  (100) 429  (142) 1,463  (124)
Total trading account assets 4,223  (272) 6  1,375  (757) —  (554) 1,359  (912) 4,468  (230)
Net derivative assets (liabilities) (4)
(2,662) 1,076  —  222  (589) —  393  (241) (416) (2,217) 701 
AFS debt securities:              
Non-agency residential MBS 316  1  (33) —  (8) —  (71) 74  (13) 266  1 
Non-U.S. and other taxable securities 71  5  (12) 126  —  —  (14) 311  (70) 417  1 
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  (1)
Total AFS debt securities 439  6  (45) 126  (8) —  (85) 385  (83) 735  1 
Other debt securities carried at fair value – Non-agency residential MBS
 242  (42) —  —  —  —  (77) —  (23) 100  (7)
Loans and leases (5,6)
748  (42) —  —  (154) —  (106) —  (249) 197  (20)
Loans held-for-sale (5,6)
317  (3) 3  170  (6) —  (217) 8  —  272  (11)
Other assets (6,7)
1,572  296  (25) —  (1) 163  (201) 4  (3) 1,805  152 
Trading account liabilities – Corporate securities
   and other
 (11) —  —  —  —  —  (2) —  —  (13) — 
Short-term borrowings (5)
—  1  —  —  (4) —  —  (3) —  (6) 1 
Accrued expenses and other liabilities (5)
—  (56) —  (7) —  —  —  —  —  (63) (33)
Long-term debt (5)
(1,075) (96) 67  —  14  (1) 35  (19) 282  (793) (102)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income primarily related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(332) million and $2 million related to financial instruments still held at September 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.6 billion and $3.3 billion and derivative liabilities of $9.1 billion and $5.5 billion at September 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2023 and 2022, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due
to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Level 3 – Fair Value Measurements (1)
Balance July 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions) Purchases Sales Issuances Settlements
Three Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ 7  $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ (7) $ —  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,100  53  (1) 112  (17) —  (149) 137  (79) 2,156  16 
Equity securities 159  45  —  4  (3) —  (47) 51  (31) 178  (3)
Non-U.S. sovereign debt 568  16  (14) 2  (3) —  (203) —  —  366  16 
Mortgage trading loans, MBS and ABS 1,233  (10) —  40  (101) —  (8) 90  (35) 1,209  (12)
Total trading account assets 4,060  104  (15) 158  (124) —  (407) 278  (145) 3,909  17 
Net derivative assets (liabilities) (4)
(4,997) 1,445  (235) 613  (395) —  (577) (315) 1  (4,460) 1,369 
AFS debt securities:                    
Non-agency residential MBS 288  (2) (6) —  —  —  (2) —  —  278  (2)
Non-U.S. and other taxable securities 184  4  —  —  —  —  (86) 4  —  106  2 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 523  2  (6) —  —  —  (88) 4  —  435  — 
Other debt securities carried at fair value – Non-agency residential MBS
 88  (3) —  —  —  —  (1) —  (14) 70  (3)
Loans and leases (5)
147  11  —  —  —  —  (29) —  (22) 107  11 
Loans held-for-sale (5)
188  (2) (2) —  (4) —  (9) —  —  171  (4)
Other assets (6,7)
1,809  115  (8) 168  (303) 27  (82) —  —  1,726  83 
Trading account liabilities – Equity securities
 —  —  —  —  —  —  —  (12) —  (12) — 
Trading account liabilities – Corporate securities
   and other
 (49) 5  —  (1) —  —  —  (27) —  (72) (1)
Short-term borrowings (5)
(11) (1) —  —  —  (6) 7  —  —  (11) (1)
Accrued expenses and other liabilities (5)
(14) 8  —  —  —  —  —  —  1  (5) 8 
Long-term debt (5)
(664) 3  1  —  (4) —  24  —  —  (640) 3 
Three Months Ended September 30, 2022
Trading account assets:
Corporate securities, trading loans and other
 $ 2,367  $ (28) $ (1) $ 176  $ (144) $ —  $ (300) $ 329  $ (50) $ 2,349  $ (30)
Equity securities 179  (5) —  13  (7) —  —  3  (12) 171  (5)
Non-U.S. sovereign debt 470  39  (12) 11  (2) —  (18) 2  (5) 485  39 
Mortgage trading loans, MBS and ABS 1,386  (57) —  166  (72) —  (6) 113  (67) 1,463  (47)
Total trading account assets 4,402  (51) (13) 366  (225) —  (324) 447  (134) 4,468  (43)
Net derivative assets (liabilities) (4)
(1,682) (266) —  97  (238) —  49  (62) (115) (2,217) (293)
AFS debt securities:              
Non-agency residential MBS 299  (1) (11) —  —  —  (8) —  (13) 266  (1)
Non-U.S. and other taxable securities 200  2  (3) —  —  —  (5) 224  (1) 417  (2)
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  — 
Total AFS debt securities 551  1  (14) —  —  —  (13) 224  (14) 735  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 112  (2) —  —  —  —  (4) —  (6) 100  (2)
Loans and leases (5)
256  (1) —  —  —  —  (58) —  —  197  (2)
Loans held-for-sale (5)
345  (27) (2) —  —  —  (44) —  —  272  (27)
Other assets (6,7)
1,750  70  (20) —  (2) 78  (68) —  (3) 1,805  61 
Trading account liabilities – Corporate securities
   and other
 (14) 1  —  —  —  —  —  —  —  (13) — 
Short-term borrowings (5)
—  1  —  —  (4) —  —  (3) —  (6) 1 
Accrued expenses and other liabilities (5)
(63) 7  —  (7) —  —  —  —  —  (63) 7 
Long-term debt (5)
(812) 26  (12) —  —  —  18  (13) —  (793) 26 
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $245 million and $60 million related to financial instruments still held at September 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.6 billion and $3.3 billion and derivative liabilities of $9.1 billion and $5.5 billion at September 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

 Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ 7  $ (7) $ —  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,384  114  1  336  (172) 14  (601) 331  (251) 2,156  38 
Equity securities
 145  39  —  20  (47) —  (59) 134  (54) 178  (10)
Non-U.S. sovereign debt
 518  54  22  38  (9) —  (257) —  —  366  56 
Mortgage trading loans, MBS and ABS 1,552  (38) —  144  (303) —  (229) 332  (249) 1,209  (50)
Total trading account assets 4,599  169  23  538  (531) 14  (1,146) 797  (554) 3,909  34 
Net derivative assets (liabilities) (4)
(2,893) (116) (375) 1,142  (994) —  (1,372) (154) 302  (4,460) (1,794)
AFS debt securities:                    
Non-agency residential MBS 258  1  26  —  —  —  (7) —  —  278  1 
Non-U.S. and other taxable securities 195  8  7  —  —  —  (101) 4  (7) 106  — 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 504  9  33  —  —  —  (108) 4  (7) 435  1 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (5) —  (21) 70  (3)
Loans and leases (5,6)
253  —  —  9  (50) —  (99) 16  (22) 107  (5)
Loans held-for-sale (5,6)
232  20  2  —  (25) —  (58) —  —  171  10 
Other assets (6,7)
1,799  223  (1) 174  (302) 71  (240) 2  —  1,726  119 
Trading account liabilities – Equity securities
 —  —  —  —  —  —  —  (12) —  (12) — 
Trading account liabilities – Corporate securities
   and other
 (58) 1  —  (2) (2) (1) 2  (33) 21  (72) (2)
Short-term borrowings (5)
(14) 2  —  —  (13) (8) 22  —  —  (11) — 
Accrued expenses and other liabilities (5)
(32) 38  —  (12) —  —  —  —  1  (5) 21 
Long-term debt (5)
(862) 154  (20) (9) 49  —  41  —  7  (640) 158 
Nine Months Ended September 30, 2022
Trading account assets:          
Corporate securities, trading loans and other
 $ 2,110  $ (97) $ (2) $ 943  $ (342) $ —  $ (417) $ 849  $ (695) $ 2,349  $ (141)
Equity securities 190  2  —  41  (22) —  (4) 29  (65) 171  (20)
Non-U.S. sovereign debt 396  58  8  18  (4) —  (33) 52  (10) 485  55 
Mortgage trading loans, MBS and ABS 1,527  (235) —  373  (389) —  (100) 429  (142) 1,463  (124)
Total trading account assets 4,223  (272) 6  1,375  (757) —  (554) 1,359  (912) 4,468  (230)
Net derivative assets (liabilities) (4)
(2,662) 1,076  —  222  (589) —  393  (241) (416) (2,217) 701 
AFS debt securities:              
Non-agency residential MBS 316  1  (33) —  (8) —  (71) 74  (13) 266  1 
Non-U.S. and other taxable securities 71  5  (12) 126  —  —  (14) 311  (70) 417  1 
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  (1)
Total AFS debt securities 439  6  (45) 126  (8) —  (85) 385  (83) 735  1 
Other debt securities carried at fair value – Non-agency residential MBS
 242  (42) —  —  —  —  (77) —  (23) 100  (7)
Loans and leases (5,6)
748  (42) —  —  (154) —  (106) —  (249) 197  (20)
Loans held-for-sale (5,6)
317  (3) 3  170  (6) —  (217) 8  —  272  (11)
Other assets (6,7)
1,572  296  (25) —  (1) 163  (201) 4  (3) 1,805  152 
Trading account liabilities – Corporate securities
   and other
 (11) —  —  —  —  —  (2) —  —  (13) — 
Short-term borrowings (5)
—  1  —  —  (4) —  —  (3) —  (6) 1 
Accrued expenses and other liabilities (5)
—  (56) —  (7) —  —  —  —  —  (63) (33)
Long-term debt (5)
(1,075) (96) 67  —  14  (1) 35  (19) 282  (793) (102)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income primarily related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(332) million and $2 million related to financial instruments still held at September 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.6 billion and $3.3 billion and derivative liabilities of $9.1 billion and $5.5 billion at September 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Fair Value Measurement Inputs and Valuation Techniques
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at September 30, 2023 and December 31, 2022.
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2023
(Dollars in millions) Inputs
Financial Instrument Fair
Value		 Valuation
Technique		 Significant Unobservable
Inputs		 Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets $ 579  Discounted cash flow, Market comparables Yield
0% to 20%
 9  %
Trading account assets – Mortgage trading loans, MBS and ABS 129  Prepayment speed
0% to 41% CPR
10% CPR
Loans and leases 102  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 278  Price
$0 to $115
 $72
Other debt securities carried at fair value – Non-agency residential 70  Loss severity
0% to 100%
 29  %
Instruments backed by commercial real estate assets $ 377  Discounted cash
flow		 Yield
0% to 25%
 12  %
Trading account assets – Corporate securities, trading loans and other 294  Price
$0 to $100
 $75
Trading account assets – Mortgage trading loans, MBS and ABS 83 
Commercial loans, debt securities and other $ 3,558  Discounted cash flow, Market comparables Yield
5% to 51%
 13  %
Trading account assets – Corporate securities, trading loans and other
 1,862  Prepayment speed
10% to 20%
 16  %
Trading account assets – Non-U.S. sovereign debt 366  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 997  Loss severity
35% to 40%
 37  %
AFS debt securities – Tax-exempt securities 51  Price
$0 to $157
 $73
AFS debt securities – Non-U.S. and other taxable securities 106 
Loans and leases 5 
Loans held-for-sale 171 
Other assets, primarily auction rate securities $ 680  Discounted cash flow, Market comparables Price
$10 to $95
 $85

Discount rate 11  % n/a
MSRs $ 1,046  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 12 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
 9  %
Option-adjusted spread, variable rate
9% to 15%
 12  %
Structured liabilities
Long-term debt $ (640)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
51%
 n/a
Equity correlation
1% to 97%
 89  %
Price
$0 to $100
 $90
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ 9  Discounted cash flow, Stochastic recovery correlation model Credit spreads
3 to 81 bps
64 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
21% to 59%
 52  %
Price
$0 to $92
 $85
Equity derivatives $ (635)
Industry standard derivative pricing (3)
Equity correlation
0% to 99%
 67  %
Long-dated equity volatilities
2% to 94%
 36  %
Commodity derivatives $ (545)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Power forward price
$20 to $92
 $42
Interest rate derivatives $ (3,289)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
 66  %
Correlation (FX/IR)
11% to 58%
 37  %
Long-dated inflation rates
 (1)% to 12%
0  %
Long-dated inflation volatilities
0% to 5%
 1  %
Interest rate volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (4,460)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type, which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 92: Trading account assets – Corporate securities, trading loans and other of $2.2 billion, Trading account assets – Non-U.S. sovereign debt of $366 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $435 million, Other debt securities carried at fair value - Non-agency residential of $70 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $107 million and LHFS of $171 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2022
(Dollars in millions) Inputs
Financial Instrument Fair
Value		 Valuation
Technique		 Significant Unobservable
Inputs		 Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets $ 852  Discounted cash
flow, Market comparables		 Yield
0% to 25%
 10  %
Trading account assets – Mortgage trading loans, MBS and ABS 338 
Prepayment speed
0% to 29% CPR
12% CPR
Loans and leases 137  Default rate
0% to 3% CDR
1% CDR
AFS debt securities - Non-agency residential 258  Price
$0 to $111
 $26
Other debt securities carried at fair value - Non-agency residential 119  Loss severity
0% to 100%
 24  %
Instruments backed by commercial real estate assets $ 362  Discounted cash
flow		 Yield
0% to 25%
 10  %
Trading account assets – Corporate securities, trading loans and other 292  Price
$0 to $100
 $75
Trading account assets – Mortgage trading loans, MBS and ABS 66 
Loans held-for-sale 4 
Commercial loans, debt securities and other $ 4,348  Discounted cash flow, Market comparables Yield
 5% to 43%
 15  %
Trading account assets – Corporate securities, trading loans and other
 2,092 
Prepayment speed
10% to 20%
 15  %
Trading account assets – Non-U.S. sovereign debt 518  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 1,148  Loss severity
35% to 40%
 38  %
AFS debt securities – Tax-exempt securities 51  Price
 $0 to $157
 $75
AFS debt securities – Non-U.S. and other taxable securities 195 
Loans and leases 116 
Loans held-for-sale 228 
Other assets, primarily auction rate securities $ 779  Discounted cash flow, Market comparables
Price
$10 to $97
 $94

Discount rate
11%
 n/a
MSRs $ 1,020  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 12 years
4 years
Option-adjusted spread, fixed rate
7% to 14%
9  %
Option-adjusted spread, variable rate
9% to 15%
 12  %
Structured liabilities
Long-term debt $ (862)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
 22% to 43%
 23  %
Equity correlation
 0% to 95%
 69  %
Price
$0 to $119
 $90
Natural gas forward price
$3/MMBtu to $13/MMBtu
$9/MMBtu
Net derivative assets (liabilities)
Credit derivatives
 $ (44) Discounted cash flow, Stochastic recovery correlation model Credit spreads
3 to 63 bps
22 bps
Upfront points
0 to 100 points
 83 points
Prepayment speed
15% CPR
n/a
Default rate
2% CDR
n/a
Credit correlation
18% to 53%
 44  %
Price
$0 to $151
 $63
Equity derivatives
 $ (1,534)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 73  %
Long-dated equity volatilities
4% to 101%
 44  %
Commodity derivatives
 $ (291)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$3/MMBtu to $13/MMBtu
$8/MMBtu
Power forward price
$9 to $123
 $43
Interest rate derivatives
 $ (1,024)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
 67  %
Correlation (FX/IR)
11% to 58%
 43  %
Long-dated inflation rates
G0% to 39%
1  %
Long-dated inflation volatilities
0% to 5%
 2  %
Interest rates volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (2,893)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type, which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 93: Trading account assets – Corporate securities, trading loans and other of $2.4 billion, Trading account assets – Non-U.S. sovereign debt of $518 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.6 billion, AFS debt securities of $504 million, Other debt securities carried at fair value - Non-agency residential of $119 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $253 million and LHFS of $232 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Fair Value Measurements, Nonrecurring The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 30, 2023 and 2022.
Assets Measured at Fair Value on a Nonrecurring Basis
September 30, 2023 Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023
(Dollars in millions) Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 276  $ 3,066  $ (28) $ (95)
Loans and leases (1)
—  129  (15) (36)
Foreclosed properties (2, 3)
—  44  1  (2)
Other assets 31  905  (182) (189)
  September 30, 2022 Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022
Assets    
Loans held-for-sale $ 1,752  $ 398  $ 119  $ 87 
Loans and leases (1)
—  152  (13) (44)
Foreclosed properties (2, 3)
—  6  (2) (3)
Other assets 80  48  —  (40)
(1)Includes $4 million and $8 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2023 compared to losses of $6 million and $17 million for the same periods in 2022.
(2)Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses recorded during the first 90 days after transfer of a loan to foreclosed properties.
(3)Excludes $33 million and $75 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2023 and 2022.
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the nine months ended September 30, 2023 and the year ended December 31, 2022.
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
Inputs
Financial Instrument Fair Value Valuation
Technique		 Significant Unobservable
Inputs		 Ranges of
Inputs
Weighted
Average (1)
(Dollars in millions) Nine Months Ended September 30, 2023
Loans held-for-sale $ 3,066  Pricing model Implied yield
12% to 26%
 n/a
Loans and leases (2)
129  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
905  Discounted cash flow Discount rate 7  % n/a
Year Ended December 31, 2022
Loans held-for-sale $ 3,079  Pricing model Implied yield
9% to 24%
 n/a
Loans and leases (2)
166  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
165 Discounted cash flow Discount rate 7  % n/a
(1)The weighted average is calculated based upon the fair value of the loans.
(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.
(3)Represents the fair value of certain impaired renewable energy investments.
n/a = not applicable