Annual report [Section 13 and 15(d), not S-K Item 405]

Fair Value Measurements (Tables)

v3.25.0.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2024
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 December 31, 2024 and 2023, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
December 31, 2024
  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
 $ 1,318  $ —  $ —  $ —  $ 1,318 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  521,878  —  (377,377) 144,501 
Trading account assets:          
U.S. Treasury and government agencies 66,582  3,940  —  —  70,522 
Corporate securities, trading loans and other —  43,222  1,814  —  45,036 
Equity securities 66,783  36,450  374  —  103,607 
Non-U.S. sovereign debt 3,017  36,763  344  —  40,124 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  43,850  5  —  43,855 
Mortgage trading loans, ABS and other MBS —  10,343  973  —  11,316 
Total trading account assets (2)
136,382  174,568  3,510  —  314,460 
Derivative assets 14,626  289,940  3,562  (267,180) 40,948 
AFS debt securities:          
U.S. Treasury and government agencies 233,671  908  —  —  234,579 
Mortgage-backed securities:          
Agency —  31,202  —  —  31,202 
Agency-collateralized mortgage obligations —  19,318  —  —  19,318 
Non-agency residential —  38  247  —  285 
Commercial —  25,274  328  —  25,602 
Non-U.S. securities 75  22,320  36  —  22,431 
Other taxable securities —  4,603  —  —  4,603 
Tax-exempt securities —  8,412  —  —  8,412 
Total AFS debt securities 233,746  112,075  611  —  346,432 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 3,885  —  —  —  3,885 
Non-agency residential MBS —  101  149  —  250 
Non-U.S. and other securities
 854  7,186  —  —  8,040 
Total other debt securities carried at fair value 4,739  7,287  149  —  12,175 
Loans and leases —  4,167  82  —  4,249 
Loans held-for-sale —  2,082  132  —  2,214 
Other assets (3)
8,279  2,928  1,969  —  13,176 
Total assets (4)
$ 399,090  $ 1,114,925  $ 10,015  $ (644,557) $ 879,473 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 310  $ —  $ —  $ 310 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  570,236  —  (377,377) 192,859 
Trading account liabilities:        
U.S. Treasury and government agencies 16,408  195  —  —  16,603 
Equity securities 40,066  4,843  10  —  44,919 
Non-U.S. sovereign debt 2,727  17,279  —  —  20,006 
Corporate securities and other —  10,871  110  —  10,981 
Mortgage trading loans and ABS —  34  —  —  34 
Total trading account liabilities 59,201  33,222  120  —  92,543 
Derivative liabilities 15,354  284,810  5,523  (266,334) 39,353 
Short-term borrowings —  6,245  —  —  6,245 
Accrued expenses and other liabilities 9,113  3,997  89  —  13,199 
Long-term debt —  49,452  553  —  50,005 
Total liabilities (4)
$ 83,668  $ 948,272  $ 6,285  $ (643,711) $ 394,514 
(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 $18.3 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 $99 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 $972 million.
(4)Total recurring Level 3 assets were 0.31 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.21 percent of total consolidated liabilities.
December 31, 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
 $ 1,181  $ —  $ —  $ —  $ 1,181 
Federal funds sold and securities borrowed or purchased under agreements to resell —  436,340  —  (303,287) 133,053 
Trading account assets:          
U.S. Treasury and government agencies 65,160  1,963  —  —  67,123 
Corporate securities, trading loans and other —  41,462  1,689  —  43,151 
Equity securities 47,431  41,380  187  —  88,998 
Non-U.S. sovereign debt 5,517  21,195  396  —  27,108 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  38,802  2  —  38,804 
Mortgage trading loans, ABS and other MBS —  10,955  1,215  —  12,170 
Total trading account assets (2)
118,108  155,757  3,489  —  277,354 
Derivative assets 14,676  272,244  3,422  (251,019) 39,323 
AFS debt securities:          
U.S. Treasury and government agencies 176,764  902  —  —  177,666 
Mortgage-backed securities:          
Agency —  37,812  —  —  37,812 
Agency-collateralized mortgage obligations —  2,544  —  —  2,544 
Non-agency residential —  109  273  —  382 
Commercial —  10,435  —  —  10,435 
Non-U.S. securities 1,093  21,679  103  —  22,875 
Other taxable securities —  4,835  —  —  4,835 
Tax-exempt securities —  10,100  —  —  10,100 
Total AFS debt securities 177,857  88,416  376  —  266,649 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 1,690  —  —  —  1,690 
Non-agency residential MBS —  211  69  —  280 
Non-U.S. and other securities 1,786  6,447  —  —  8,233 
Total other debt securities carried at fair value 3,476  6,658  69  —  10,203 
Loans and leases —  3,476  93  —  3,569 
Loans held-for-sale —  1,895  164  —  2,059 
Other assets (3)
8,052  2,152  1,657  —  11,861 
Total assets (4)
$ 323,350  $ 966,938  $ 9,270  $ (554,306) $ 745,252 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 284  $ —  $ —  $ 284 
Federal funds purchased and securities loaned or sold under agreements to repurchase —  481,896  —  (303,287) 178,609 
Trading account liabilities:        
U.S. Treasury and government agencies 14,908  65  —  —  14,973 
Equity securities 51,772  4,710  12  —  56,494 
Non-U.S. sovereign debt 9,390  6,997  —  —  16,387 
Corporate securities and other —  7,637  39  —  7,676 
Total trading account liabilities 76,070  19,409  51  —  95,530 
Derivative liabilities 14,375  280,908  5,916  (257,767) 43,432 
Short-term borrowings —  4,680  10  —  4,690 
Accrued expenses and other liabilities 8,969  2,483  21  —  11,473 
Long-term debt —  42,195  614  —  42,809 
Total liabilities (4)
$ 99,414  $ 831,855  $ 6,612  $ (561,054) $ 376,827 
(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 $18.0 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 $42 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 $970 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.23 percent of total consolidated liabilities.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
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 December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

 Purchases Sales Issuances Settlements
Year Ended December 31, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,689  $ 87  $ (6) $ 1,128  $ (913) $ 44  $ (1,158) $ 1,125  $ (182) $ 1,814  $ 324 
Equity securities
 187  50  —  255  (65) —  (62) 62  (53) 374  (12)
Non-U.S. sovereign debt
 396  (1) (57) 82  (16) —  (79) 19  —  344  — 
Mortgage trading loans, MBS and ABS 1,217  (151) —  420  (617) —  (63) 369  (197) 978  (172)
Total trading account assets 3,489  (15) (63) 1,885  (1,611) 44  (1,362) 1,575  (432) 3,510  140 
Net derivative assets (liabilities) (4)
(2,494) 1,035  —  1,104  (1,338) —  (576) (696) 1,004  (1,961) (132)
AFS debt securities:                    
Non-agency residential MBS 273  8  57  —  —  —  (152) 191  (130) 247  6 
Commercial MBS
 —  (8) 1  338  —  —  (3) —  —  328  (8)
Non-U.S. and other taxable securities 103  (1) —  —  —  —  (66) 7  (7) 36  1 
Total AFS debt securities 376  (1) 58  338  —  —  (221) 198  (137) 611  (1)
Other debt securities carried at fair value – Non-agency residential MBS
 69  5  —  —  —  —  (27) 118  (16) 149  (1)
Loans and leases (5,6)
93  1  —  —  —  1  (13) —  —  82  — 
Loans held-for-sale (5,6)
164  (6) (7) 25  —  1  (45) —  —  132  (15)
Other assets (6,7)
1,657  279  (52) 272  (6) 139  (321) 1  —  1,969  47 
Trading account liabilities – Equity securities
 (12) 9  —  —  (4) —  7  (21) 11  (10) 6 
Trading account liabilities – Corporate securities
   and other
 (39) (55) —  (7) (15) (3) 26  (17) —  (110) (69)
Short-term borrowings (5)
(10) 1  —  —  —  (9) 18  —  —  —  — 
Accrued expenses and other liabilities (5)
(21) (234) —  165  —  —  1  —  —  (89) (224)
Long-term debt (5)
(614) 64  (25) —  —  —  23  (1) —  (553) 65 
Year Ended December 31, 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  144  2  453  (241) 20  (1,029) 385  (429) 1,689  50 
Equity securities 145  44  —  39  (52) —  (61) 153  (81) 187  (5)
Non-U.S. sovereign debt 518  68  30  64  (23) —  (259) —  (2) 396  70 
Mortgage trading loans, MBS and ABS 1,552  (50) —  263  (417) —  (241) 436  (326) 1,217  (71)
Total trading account assets 4,599  206  32  819  (733) 20  (1,590) 974  (838) 3,489  44 
Net derivative assets (liabilities) (4)
(2,893) 179  (375) 1,318  (1,281) —  (1,575) (8) 2,141  (2,494) (857)
AFS debt securities:              
Non-agency residential MBS 258  1  23  —  —  —  (9) —  —  273  2 
Non-U.S. and other taxable securities 195  10  7  —  —  —  (106) 4  (7) 103  2 
Tax-exempt securities 51  1  —  —  —  —  (52) —  —  —  — 
Total AFS debt securities 504  12  30  —  —  —  (167) 4  (7) 376  4 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (6) —  (21) 69  (3)
Loans and leases (5,6)
253  (9) —  9  (54) —  (100) 16  (22) 93  (13)
Loans held-for-sale (5,6)
232  24  3  —  (25) —  (70) —  —  164  13 
Other assets (6,7)
1,799  211  10  176  (326) 104  (319) 2  —  1,657  74 
Trading account liabilities – Equity securities —  1  —  —  —  —  2  (15) —  (12) 1 
Trading account liabilities – Corporate securities
   and other
 (58) (3) —  (3) (1) (1) 24  (35) 38  (39) (9)
Short-term borrowings (5)
(14) 1  —  —  (13) (8) 24  —  —  (10) (1)
Accrued expenses and other liabilities (5)
(32) 21  —  (11) —  —  —  —  1  (21) 4 
Long-term debt (5)
(862) 179  (26) (9) 50  —  47  —  7  (614) 183 
(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 - market making and similar activities and 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 - 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 $104 million and $324 million related to financial instruments still held at December 31, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.6 billion and $3.4 billion and derivative liabilities of $5.5 billion and $5.9 billion at December 31, 2024 and 2023.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and 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)
(Dollars in millions) 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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases Sales Issuances Settlements
Year Ended December 31, 2022
Trading account assets:            
Corporate securities, trading loans and other $ 2,110  $ (52) $ (2) $ 1,069  $ (384) $ —  $ (606) $ 1,023  $ (774) $ 2,384  $ (78)
Equity securities 190  (3) —  45  (25) —  (4) 38  (96) 145  (6)
Non-U.S. sovereign debt 396  59  16  54  (4) —  (68) 75  (10) 518  56 
Mortgage trading loans, MBS and ABS 1,527  (254) —  729  (665) —  (112) 536  (209) 1,552  (152)
Total trading account assets 4,223  (250) 14  1,897  (1,078) —  (790) 1,672  (1,089) 4,599  (180)
Net derivative assets (liabilities) (4)
(2,662) 551  —  319  (830) —  294  (180) (385) (2,893) 259 
AFS debt securities:              
Non-agency residential MBS 316  —  (35) —  (8) —  (75) 73  (13) 258  — 
Non-U.S. and other taxable securities 71  10  (10) 126  —  —  (22) 311  (291) 195  1 
Tax-exempt securities 52  —  1  —  —  —  (3) 1  —  51  — 
Total AFS debt securities 439  10  (44) 126  (8) —  (100) 385  (304) 504  1 
Other debt securities carried at fair value - Non-agency residential MBS 242  (19) —  —  —  —  (111) 30  (23) 119  14 
Loans and leases (5,6)
748  (45) —  —  (154) 82  (129) —  (249) 253  (21)
Loans held-for-sale (5,6)
317  9  4  171  (6) —  (271) 8  —  232  19 
Other assets (6,7)
1,572  305  (21) 39  (35) 208  (271) 5  (3) 1,799  213 
Trading account liabilities – Corporate securities and other (11) 5  —  (4) —  —  (2) (46) —  (58) 1 
Short-term borrowings (5)
—  3  —  —  (17) —  —  (3) 3  (14) 2 
Accrued expenses and other liabilities (6)
—  (23) —  (9) —  —  —  —  —  (32) (7)
Long-term debt (5)
(1,075) (197) 82  —  14  (1) 57  (24) 282  (862) (200)
(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 - predominantly market making and similar activities; 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; Long-term debt - market making and similar activities.   
(3)Includes unrealized losses in OCI on AFS debt securities, foreign currency translation adjustments 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 of $28 million related to financial instruments still held at December 31, 2022.
(4)Net derivative assets (liabilities) include derivative assets of $3.2 billion and derivative liabilities of $6.1 billion.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and 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
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 December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

 Purchases Sales Issuances Settlements
Year Ended December 31, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,689  $ 87  $ (6) $ 1,128  $ (913) $ 44  $ (1,158) $ 1,125  $ (182) $ 1,814  $ 324 
Equity securities
 187  50  —  255  (65) —  (62) 62  (53) 374  (12)
Non-U.S. sovereign debt
 396  (1) (57) 82  (16) —  (79) 19  —  344  — 
Mortgage trading loans, MBS and ABS 1,217  (151) —  420  (617) —  (63) 369  (197) 978  (172)
Total trading account assets 3,489  (15) (63) 1,885  (1,611) 44  (1,362) 1,575  (432) 3,510  140 
Net derivative assets (liabilities) (4)
(2,494) 1,035  —  1,104  (1,338) —  (576) (696) 1,004  (1,961) (132)
AFS debt securities:                    
Non-agency residential MBS 273  8  57  —  —  —  (152) 191  (130) 247  6 
Commercial MBS
 —  (8) 1  338  —  —  (3) —  —  328  (8)
Non-U.S. and other taxable securities 103  (1) —  —  —  —  (66) 7  (7) 36  1 
Total AFS debt securities 376  (1) 58  338  —  —  (221) 198  (137) 611  (1)
Other debt securities carried at fair value – Non-agency residential MBS
 69  5  —  —  —  —  (27) 118  (16) 149  (1)
Loans and leases (5,6)
93  1  —  —  —  1  (13) —  —  82  — 
Loans held-for-sale (5,6)
164  (6) (7) 25  —  1  (45) —  —  132  (15)
Other assets (6,7)
1,657  279  (52) 272  (6) 139  (321) 1  —  1,969  47 
Trading account liabilities – Equity securities
 (12) 9  —  —  (4) —  7  (21) 11  (10) 6 
Trading account liabilities – Corporate securities
   and other
 (39) (55) —  (7) (15) (3) 26  (17) —  (110) (69)
Short-term borrowings (5)
(10) 1  —  —  —  (9) 18  —  —  —  — 
Accrued expenses and other liabilities (5)
(21) (234) —  165  —  —  1  —  —  (89) (224)
Long-term debt (5)
(614) 64  (25) —  —  —  23  (1) —  (553) 65 
Year Ended December 31, 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  144  2  453  (241) 20  (1,029) 385  (429) 1,689  50 
Equity securities 145  44  —  39  (52) —  (61) 153  (81) 187  (5)
Non-U.S. sovereign debt 518  68  30  64  (23) —  (259) —  (2) 396  70 
Mortgage trading loans, MBS and ABS 1,552  (50) —  263  (417) —  (241) 436  (326) 1,217  (71)
Total trading account assets 4,599  206  32  819  (733) 20  (1,590) 974  (838) 3,489  44 
Net derivative assets (liabilities) (4)
(2,893) 179  (375) 1,318  (1,281) —  (1,575) (8) 2,141  (2,494) (857)
AFS debt securities:              
Non-agency residential MBS 258  1  23  —  —  —  (9) —  —  273  2 
Non-U.S. and other taxable securities 195  10  7  —  —  —  (106) 4  (7) 103  2 
Tax-exempt securities 51  1  —  —  —  —  (52) —  —  —  — 
Total AFS debt securities 504  12  30  —  —  —  (167) 4  (7) 376  4 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (6) —  (21) 69  (3)
Loans and leases (5,6)
253  (9) —  9  (54) —  (100) 16  (22) 93  (13)
Loans held-for-sale (5,6)
232  24  3  —  (25) —  (70) —  —  164  13 
Other assets (6,7)
1,799  211  10  176  (326) 104  (319) 2  —  1,657  74 
Trading account liabilities – Equity securities —  1  —  —  —  —  2  (15) —  (12) 1 
Trading account liabilities – Corporate securities
   and other
 (58) (3) —  (3) (1) (1) 24  (35) 38  (39) (9)
Short-term borrowings (5)
(14) 1  —  —  (13) (8) 24  —  —  (10) (1)
Accrued expenses and other liabilities (5)
(32) 21  —  (11) —  —  —  —  1  (21) 4 
Long-term debt (5)
(862) 179  (26) (9) 50  —  47  —  7  (614) 183 
(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 - market making and similar activities and 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 - 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 $104 million and $324 million related to financial instruments still held at December 31, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.6 billion and $3.4 billion and derivative liabilities of $5.5 billion and $5.9 billion at December 31, 2024 and 2023.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and 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)
(Dollars in millions) 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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases Sales Issuances Settlements
Year Ended December 31, 2022
Trading account assets:            
Corporate securities, trading loans and other $ 2,110  $ (52) $ (2) $ 1,069  $ (384) $ —  $ (606) $ 1,023  $ (774) $ 2,384  $ (78)
Equity securities 190  (3) —  45  (25) —  (4) 38  (96) 145  (6)
Non-U.S. sovereign debt 396  59  16  54  (4) —  (68) 75  (10) 518  56 
Mortgage trading loans, MBS and ABS 1,527  (254) —  729  (665) —  (112) 536  (209) 1,552  (152)
Total trading account assets 4,223  (250) 14  1,897  (1,078) —  (790) 1,672  (1,089) 4,599  (180)
Net derivative assets (liabilities) (4)
(2,662) 551  —  319  (830) —  294  (180) (385) (2,893) 259 
AFS debt securities:              
Non-agency residential MBS 316  —  (35) —  (8) —  (75) 73  (13) 258  — 
Non-U.S. and other taxable securities 71  10  (10) 126  —  —  (22) 311  (291) 195  1 
Tax-exempt securities 52  —  1  —  —  —  (3) 1  —  51  — 
Total AFS debt securities 439  10  (44) 126  (8) —  (100) 385  (304) 504  1 
Other debt securities carried at fair value - Non-agency residential MBS 242  (19) —  —  —  —  (111) 30  (23) 119  14 
Loans and leases (5,6)
748  (45) —  —  (154) 82  (129) —  (249) 253  (21)
Loans held-for-sale (5,6)
317  9  4  171  (6) —  (271) 8  —  232  19 
Other assets (6,7)
1,572  305  (21) 39  (35) 208  (271) 5  (3) 1,799  213 
Trading account liabilities – Corporate securities and other (11) 5  —  (4) —  —  (2) (46) —  (58) 1 
Short-term borrowings (5)
—  3  —  —  (17) —  —  (3) 3  (14) 2 
Accrued expenses and other liabilities (6)
—  (23) —  (9) —  —  —  —  —  (32) (7)
Long-term debt (5)
(1,075) (197) 82  —  14  (1) 57  (24) 282  (862) (200)
(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 - predominantly market making and similar activities; 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; Long-term debt - market making and similar activities.   
(3)Includes unrealized losses in OCI on AFS debt securities, foreign currency translation adjustments 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 of $28 million related to financial instruments still held at December 31, 2022.
(4)Net derivative assets (liabilities) include derivative assets of $3.2 billion and derivative liabilities of $6.1 billion.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and 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 December 31, 2024 and 2023.
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2024
(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 $ 636  Discounted cash flow, Market comparables Yield
0% to 20%
 9  %
Trading account assets – Mortgage trading loans, MBS and ABS 163  Prepayment speed
0% to 43% CPR
8% CPR
Loans and leases 77  Default rate
0% to 6% CDR
6% CDR
AFS debt securities – Non-agency residential 247  Price
$0 to $115
 $74
Other debt securities carried at fair value – Non-agency residential 149  Loss severity
0% to 76%
 24  %
Instruments backed by commercial real estate assets $ 555  Discounted cash
flow		 Yield
1%
 n/a
Trading account assets – Corporate securities, trading loans and other 185  Price
$0 to $103
 $84
Trading account assets – Mortgage trading loans, MBS and ABS 42 
AFS debt securities – Commercial
 328 
Commercial loans, debt securities and other $ 2,919  Discounted cash flow, Market comparables Yield
4% to 37%
 17  %
Trading account assets – Corporate securities, trading loans and other
 1,629  Prepayment speed
20%
 n/a
Trading account assets – Non-U.S. sovereign debt 344  Default rate
2%
 n/a
Trading account assets – Mortgage trading loans, MBS and ABS 773  Loss severity
30%
 n/a
AFS debt securities – Non-U.S. and other taxable securities 36  Price
$0 to $135
 $69
Loans and leases 5 
Loans held-for-sale 132 
Other assets, primarily auction rate securities $ 997  Discounted cash flow, Market comparables Price
$10 to $95
 $86

Discount rate
8% to 11%
 9  %
MSRs $ 972  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 13 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%
 11  %
Structured liabilities
Long-term debt $ (553) Discounted cash flow, Market comparables Yield
18% to 22%
 21  %
Price
$32 to $100
 $91
Natural gas forward price
$2/MMBtu to $7/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (6) Discounted cash flow, Stochastic recovery correlation model Credit spreads
3 to 298 bps
63 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
29% to 63%
 49  %
Price
$0 to $99
 $94
Equity derivatives $ (869)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 59  %
Long-dated equity volatilities
1% to 87%
 33  %
Commodity derivatives $ (740)
Discounted cash
flow
 Natural gas forward price
$2/MMBtu to $7/MMBtu
$4/MMBtu
Power forward price
$22 to $104
 $48
Interest rate derivatives $ (346)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 70%
 50  %
Correlation (FX/IR)
(25)% to 58%
 27  %
Long-dated inflation rates
 (1)% to 21%
3  %
Long-dated inflation volatilities
0% to 5%
 3  %
Interest rate volatilities
(1)% to 1%
 0  %
Total net derivative assets (liabilities) $ (1,961)
(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 153: Trading account assets – Corporate securities, trading loans and other of $1.8 billion, Trading account assets – Non-U.S. sovereign debt of $344 million, Trading account assets – Mortgage trading loans, MBS and ABS of $978 million, AFS debt securities of $611 million, Other debt securities carried at fair value - Non-agency residential of $149 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $82 million and LHFS of $132 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, 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 $ 538  Discounted cash
flow, Market comparables		 Yield
0% to 22%
 9  %
Trading account assets – Mortgage trading loans, MBS and ABS 109 
Prepayment speed
1% to 42% CPR
10% CPR
Loans and leases 87  Default rate
0% to 3% CDR
1% CDR
AFS debt securities - Non-agency residential 273  Price
$0 to $115
 $70
Other debt securities carried at fair value - Non-agency residential 69  Loss severity
0% to 100%
 27  %
Instruments backed by commercial real estate assets $ 363  Discounted cash
flow		 Yield
0% to 25%
 12  %
Trading account assets – Corporate securities, trading loans and other 301  Price
$0 to $100
 $75
Trading account assets – Mortgage trading loans, MBS and ABS 62 
Commercial loans, debt securities and other $ 3,103  Discounted cash flow, Market comparables Yield
 5% to 59%
 13  %
Trading account assets – Corporate securities, trading loans and other
 1,388 
Prepayment speed
10% to 20%
 16  %
Trading account assets – Non-U.S. sovereign debt 396  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 1,046  Loss severity
35% to 40%
 37  %
AFS debt securities – Non-U.S. and other taxable securities 103  Price
 $0 to $157
 $70
Loans and leases 6 
Loans held-for-sale 164 
Other assets, primarily auction rate securities $ 687  Discounted cash flow, Market comparables
Price
$10 to $95
 $85

Discount rate
10%
 n/a
MSRs $ 970  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 11 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 $ (614)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
58%
 n/a
Equity correlation
 5% to 97%
 25  %
Price
$0 to $100
 $90
Natural gas forward price
$1/MMBtu to $7/MMBtu
$4/MMBtu
Net derivative assets (liabilities)
Credit derivatives
 $ 9  Discounted cash flow, Stochastic recovery correlation model Credit spreads
2 to 79 bps
59 bps
Prepayment speed
15% CPR
n/a
Default rate
2% CDR
n/a
Credit correlation
22% to 62%
 58  %
Price
$0 to $94
 $87
Equity derivatives
 $ (1,386)
Industry standard derivative pricing (3)
Equity correlation
0% to 99%
 67  %
Long-dated equity volatilities
4% to 102%
 34  %
Commodity derivatives
 $ (633)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $7/MMBtu
$4/MMBtu
Power forward price
$21 to $91
 $42
Interest rate derivatives
 $ (484)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
 65  %
Correlation (FX/IR)
(25)% to 58%
 35  %
Long-dated inflation rates
G(1)% to 11%
0  %
Long-dated inflation volatilities
0% to 5%
 2  %
Interest rates volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (2,494)
(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 154: Trading account assets – Corporate securities, trading loans and other of $1.7 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $376 million, Other debt securities carried at fair value - Non-agency residential of $69 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $93 million and LHFS of $164 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 2024, 2023, and 2022.
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2024 December 31, 2023
(Dollars in millions)
 		 Level 2 Level 3 Level 2 Level 3
Assets      
Loans held-for-sale $ 63  $ 2,652  $ 77  $ 2,793 
Loans and leases (1)
—  119  —  153 
Foreclosed properties (2, 3)
—  93  —  48 
Other assets (4)
2  236  31  898 
Gains (Losses)
2024 2023 2022
Assets      
Loans held-for-sale $ (211) $ (246) $ (387)
Loans and leases (1)
(29) (45) (48)
Foreclosed properties (44) (6) (6)
Other assets (27) (252) (91)
(1)Includes $8 million, $10 million and $15 million of losses on loans that were written down to a collateral value of zero during 2024, 2023 and 2022, respectively.
(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 $16 million and $31 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2024 and 2023.
(4)Represents the fair value of certain impaired renewable energy investments.
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 at December 31, 2024 and 2023.
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) Year Ended December 31, 2024
Loans held-for-sale $ 2,652  Pricing model Implied yield
9% to 28%
 n/a
Loans and leases (2)
119  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
236  Discounted cash flow Discount rate 7  % n/a
Year Ended December 31, 2023
Loans held-for-sale $ 2,793  Pricing model Implied yield
7% to 23%
 n/a
Loans and leases (2)
153  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
898 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