Fair Value Measurements (Tables)

v3.25.1

Fair Value Measurements (Tables)	3 Months Ended
	Mar. 31, 2025
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 March 31, 2025 and December 31, 2024, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables. March 31, 2025   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 $ 974  $ 499  $ —  $ —  $ 1,473  Federal funds sold and securities borrowed or purchased under agreements to resell —  552,851  —  (371,619) 181,232  Trading account assets:           U.S. Treasury and government agencies 62,918  41  —  —  62,959  Corporate securities, trading loans and other —  55,450  1,913  —  57,363  Equity securities 75,882  33,914  335  —  110,131  Non-U.S. sovereign debt 12,085  43,605  242  —  55,932  Mortgage trading loans, MBS and ABS: U.S. government-sponsored agency guaranteed —  44,211  4  —  44,215  Mortgage trading loans, ABS and other MBS —  8,031  983  —  9,014  Total trading account assets (2) 150,885  185,252  3,477  —  339,614  Derivative assets 16,703  253,215  3,467  (237,179) 36,206  AFS debt securities:           U.S. Treasury and government agencies 258,922  923  —  —  259,845  Mortgage-backed securities:           Agency —  30,568  —  —  30,568  Agency-collateralized mortgage obligations —  20,533  —  —  20,533  Non-agency residential —  275  7  —  282  Commercial —  29,186  464  —  29,650  Non-U.S. securities 12  23,551  401  —  23,964  Other taxable securities —  2,859  138  —  2,997  Tax-exempt securities —  8,410  —  —  8,410  Total AFS debt securities 258,934  116,305  1,010  —  376,249  Other debt securities carried at fair value: U.S. Treasury and government agencies 3,488  —  —  —  3,488  Non-agency residential MBS —  198  51  —  249  Non-U.S. and other securities 870  7,703  —  —  8,573  Total other debt securities carried at fair value 4,358  7,901  51  —  12,310  Loans and leases —  5,261  125  —  5,386  Loans held-for-sale —  2,549  123  —  2,672  Other assets (3) 5,468  2,525  1,959  —  9,952  Total assets (4) $ 437,322  $ 1,126,358  $ 10,212  $ (608,798) $ 965,094  Liabilities           Interest-bearing deposits in U.S. offices $ —  $ 403  $ —  $ —  $ 403  Federal funds purchased and securities loaned or sold under agreements to repurchase —  594,353  —  (371,619) 222,734  Trading account liabilities:         U.S. Treasury and government agencies 10,585  167  —  —  10,752  Equity securities 52,700  4,416  5  —  57,121  Non-U.S. sovereign debt 10,524  13,578  —  —  24,102  Corporate securities and other —  13,341  148  —  13,489  Mortgage trading loans and ABS —  6  —  —  6  Total trading account liabilities 73,809  31,508  153  —  105,470  Derivative liabilities 16,490  252,394  4,997  (238,516) 35,365  Short-term borrowings —  6,534  —  —  6,534  Accrued expenses and other liabilities 6,633  2,334  94  —  9,061  Long-term debt —  54,102  443  —  54,545  Total liabilities (4) $ 96,932  $ 941,628  $ 5,687  $ (610,135) $ 434,112  (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 $11.3 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 $171 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 $923 million. (4)Total recurring Level 3 assets were 0.30 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.19 percent of total consolidated liabilities. 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.
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 months ended March 31, 2025 and 2024, 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 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 March 31 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 March 31, 2025 Trading account assets:               Corporate securities, trading loans and other $ 1,814  $ 122  $ 1  $ 514  $ (346) $ 8  $ (304) $ 203  $ (99) $ 1,913  $ 35  Equity securities 374  9  —  56  (13) —  (105) 45  (31) 335  1  Non-U.S. sovereign debt 344  49  15  16  —  —  (171) —  (11) 242  49  Mortgage trading loans, MBS and ABS 978  3  —  87  (96) —  (17) 93  (61) 987  17  Total trading account assets 3,510  183  16  673  (455) 8  (597) 341  (202) 3,477  102  Net derivative assets (liabilities) (4) (1,961) 850  —  246  (377) —  (43) (254) 9  (1,530) 776  AFS debt securities:                     Non-agency residential MBS 247  —  —  —  —  —  —  —  (240) 7  —  Commercial MBS 328  (2) 3  225  —  —  (90) —  —  464  (2) Non-U.S. and other taxable securities 36  —  (1) 506  —  —  (2) —  —  539  —  Total AFS debt securities 611  (2) 2  731  —  —  (92) —  (240) 1,010  (2) Other debt securities carried at fair value – Non-agency residential MBS 149  2  —  —  —  —  (1) —  (99) 51  (1) Loans and leases (5) 82  1  —  —  —  —  (2) 44  —  125  1  Loans held-for-sale (5) 132  13  2  —  (14) —  (10) —  —  123  5  Other assets (6,7) 1,969  (18) 8  32  —  37  (69) —  —  1,959  (35) Trading account liabilities – Equity securities (10) 3  —  3  —  —  —  (3) 2  (5) 3  Trading account liabilities – Corporate securities    and other (110) (33) —  (1) (4) —  10  (11) 1  (148) (40) Accrued expenses and other liabilities (5) (89) (7) —  2  —  —  —  —  —  (94) (7) Long-term debt (5) (553) (23) 10  —  —  —  123  —  —  (443) (23) Three Months Ended March 31, 2024 Trading account assets: Corporate securities, trading loans and other $ 1,689  $ 7  $ (1) $ 106  $ (57) $ 3  $ (324) $ 198  $ (39) $ 1,582  $ (21) Equity securities 187  4  —  38  (22) —  (3) 11  (1) 214  (2) Non-U.S. sovereign debt 396  14  (9) 11  (1) —  (17) —  —  394  14  Mortgage trading loans, MBS and ABS 1,217  —  —  136  (284) —  (27) 72  (56) 1,058  (24) Total trading account assets 3,489  25  (10) 291  (364) 3  (371) 281  (96) 3,248  (33) Net derivative assets (liabilities) (4) (2,494) 29  —  185  (336) —  (248) (141) 337  (2,668) (6) AFS debt securities:               Non-agency residential MBS 273  8  47  —  —  —  (139) 62  —  251  8  Non-U.S. and other taxable securities 103  1  —  —  —  —  (12) —  (1) 91  —  Total AFS debt securities 376  9  47  —  —  —  (151) 62  (1) 342  8  Other debt securities carried at fair value – Non-agency residential MBS 69  5  —  —  —  —  (20) 17  —  71  5  Loans and leases (5,6) 93  —  —  —  —  1  (4) —  —  90  —  Loans held-for-sale (5) 164  (2) (1) —  —  —  (12) —  —  149  (3) Other assets (6,7) 1,657  55  (11) 2  —  46  (82) 1  —  1,668  34  Trading account liabilities – Equity securities (12) —  —  —  (4) —  —  (14) 2  (28) —  Trading account liabilities – Corporate securities    and other (39) (3) —  (2) —  (1) 8  (6) —  (43) (3) Short-term borrowings (5) (10) (1) —  —  —  —  2  —  —  (9) (1) Accrued expenses and other liabilities (5) (21) 2  —  —  —  —  —  —  —  (19) 2  Long-term debt (5) (614) 13  (15) —  —  —  6  (1) —  (611) 13  (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 - 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 - 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 of $25 million and $11 million related to financial instruments still held at March 31, 2025 and 2024. (4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and $3.8 billion and derivative liabilities of $5.0 billion and $6.5 billion at March 31, 2025 and 2024. (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	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 months ended March 31, 2025 and 2024, 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 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 March 31 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 March 31, 2025 Trading account assets:               Corporate securities, trading loans and other $ 1,814  $ 122  $ 1  $ 514  $ (346) $ 8  $ (304) $ 203  $ (99) $ 1,913  $ 35  Equity securities 374  9  —  56  (13) —  (105) 45  (31) 335  1  Non-U.S. sovereign debt 344  49  15  16  —  —  (171) —  (11) 242  49  Mortgage trading loans, MBS and ABS 978  3  —  87  (96) —  (17) 93  (61) 987  17  Total trading account assets 3,510  183  16  673  (455) 8  (597) 341  (202) 3,477  102  Net derivative assets (liabilities) (4) (1,961) 850  —  246  (377) —  (43) (254) 9  (1,530) 776  AFS debt securities:                     Non-agency residential MBS 247  —  —  —  —  —  —  —  (240) 7  —  Commercial MBS 328  (2) 3  225  —  —  (90) —  —  464  (2) Non-U.S. and other taxable securities 36  —  (1) 506  —  —  (2) —  —  539  —  Total AFS debt securities 611  (2) 2  731  —  —  (92) —  (240) 1,010  (2) Other debt securities carried at fair value – Non-agency residential MBS 149  2  —  —  —  —  (1) —  (99) 51  (1) Loans and leases (5) 82  1  —  —  —  —  (2) 44  —  125  1  Loans held-for-sale (5) 132  13  2  —  (14) —  (10) —  —  123  5  Other assets (6,7) 1,969  (18) 8  32  —  37  (69) —  —  1,959  (35) Trading account liabilities – Equity securities (10) 3  —  3  —  —  —  (3) 2  (5) 3  Trading account liabilities – Corporate securities    and other (110) (33) —  (1) (4) —  10  (11) 1  (148) (40) Accrued expenses and other liabilities (5) (89) (7) —  2  —  —  —  —  —  (94) (7) Long-term debt (5) (553) (23) 10  —  —  —  123  —  —  (443) (23) Three Months Ended March 31, 2024 Trading account assets: Corporate securities, trading loans and other $ 1,689  $ 7  $ (1) $ 106  $ (57) $ 3  $ (324) $ 198  $ (39) $ 1,582  $ (21) Equity securities 187  4  —  38  (22) —  (3) 11  (1) 214  (2) Non-U.S. sovereign debt 396  14  (9) 11  (1) —  (17) —  —  394  14  Mortgage trading loans, MBS and ABS 1,217  —  —  136  (284) —  (27) 72  (56) 1,058  (24) Total trading account assets 3,489  25  (10) 291  (364) 3  (371) 281  (96) 3,248  (33) Net derivative assets (liabilities) (4) (2,494) 29  —  185  (336) —  (248) (141) 337  (2,668) (6) AFS debt securities:               Non-agency residential MBS 273  8  47  —  —  —  (139) 62  —  251  8  Non-U.S. and other taxable securities 103  1  —  —  —  —  (12) —  (1) 91  —  Total AFS debt securities 376  9  47  —  —  —  (151) 62  (1) 342  8  Other debt securities carried at fair value – Non-agency residential MBS 69  5  —  —  —  —  (20) 17  —  71  5  Loans and leases (5,6) 93  —  —  —  —  1  (4) —  —  90  —  Loans held-for-sale (5) 164  (2) (1) —  —  —  (12) —  —  149  (3) Other assets (6,7) 1,657  55  (11) 2  —  46  (82) 1  —  1,668  34  Trading account liabilities – Equity securities (12) —  —  —  (4) —  —  (14) 2  (28) —  Trading account liabilities – Corporate securities    and other (39) (3) —  (2) —  (1) 8  (6) —  (43) (3) Short-term borrowings (5) (10) (1) —  —  —  —  2  —  —  (9) (1) Accrued expenses and other liabilities (5) (21) 2  —  —  —  —  —  —  —  (19) 2  Long-term debt (5) (614) 13  (15) —  —  —  6  (1) —  (611) 13  (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 - 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 - 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 of $25 million and $11 million related to financial instruments still held at March 31, 2025 and 2024. (4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and $3.8 billion and derivative liabilities of $5.0 billion and $6.5 billion at March 31, 2025 and 2024. (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 March 31, 2025 and December 31, 2024. Quantitative Information about Level 3 Fair Value Measurements at March 31, 2025 (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 $ 427  Discounted cash flow, Market comparables Yield 0% to 20% 9  % Trading account assets – Mortgage trading loans, MBS and ABS 154  Prepayment speed 0% to 42% CPR 8% CPR Loans and leases 77  Default rate 0% to 6% CDR 6% CDR AFS debt securities – other taxable securities 138  Price $0 to $115 $85 AFS debt securities – Non-agency residential 7  Loss severity 0% to 77% 28  % Other debt securities carried at fair value – Non-agency residential 51  Instruments backed by commercial real estate assets $ 677  Discounted cash flow Yield 0% to 5% 3  % Trading account assets – Corporate securities, trading loans and other 169  Price $0 to $103 $87 Trading account assets – Mortgage trading loans, MBS and ABS 44  AFS debt securities – Commercial 464  Commercial loans, debt securities and other $ 3,347  Discounted cash flow, Market comparables Yield 3% to 40% 13  % Trading account assets – Corporate securities, trading loans and other 1,744  Prepayment speed 20% n/a Trading account assets – Non-U.S. sovereign debt 242  Default rate 2% n/a Trading account assets – Mortgage trading loans, MBS and ABS 789  Loss severity 30% n/a AFS debt securities – Non-U.S. securities 401  Price $0 to $145 $73 Loans and leases 48  Loans held-for-sale 123  Other assets, primarily auction rate securities $ 1,036  Discounted cash flow, Market comparables Price $10 to $95 $85 Discount rate 8% to 11% 9  % MSRs $ 923  Discounted cash flow Weighted-average life, fixed rate (5) 0 to 13 years 6 years Weighted-average life, variable rate (5) 0 to 10 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 $ (443) Discounted cash flow, Market comparables Yield 20% to 24% 22  % Price $31 to $100 $89 Natural gas forward price $2/MMBtu to $7/MMBtu $3 /MMBtu Net derivative assets (liabilities) Credit derivatives $ 13  Market comparables, Discounted cash flow, Stochastic recovery correlation model Credit spreads 3 to 100 bps 50 bps Prepayment speed 15% CPR n/a Default rate  2% CDR n/a Credit correlation 32% to 66% 51  % Price $0 to $99 $92 Equity derivatives $ (658) Industry standard derivative pricing (3) Equity correlation 0% to 100% 58  % Long-dated equity volatilities 0% to 91% 36  % Commodity derivatives $ (799) Discounted cash flow Natural gas forward price $2/MMBtu to $7/MMBtu $3/MMBtu Power forward price $25 to $118 $51  Interest rate derivatives $ (86) Industry standard derivative pricing (4) Correlation (IR/IR) (35)% to 70% 48  % Correlation (FX/IR) (5)% to 58% 34  % Long-dated inflation rates  (1)% to 25% 3  % Long-dated inflation volatilities 0% to 5% 4  % Interest rate volatilities 0% to 1% 0  % Total net derivative assets (liabilities) $ (1,530) (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 83: Trading account assets – Corporate securities, trading loans and other of $1.9 billion, Trading account assets – Non-U.S. sovereign debt of $242 million, Trading account assets – Mortgage trading loans, MBS and ABS of $987 million, AFS debt securities of $1.0 billion, Other debt securities carried at fair value - Non-agency residential of $51 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $125 million and LHFS of $123 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, 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 G(1)% to 21% 3  % Long-dated inflation volatilities 0% to 5% 3  % Interest rates 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 84: 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
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 months ended March 31, 2025 and 2024. Assets Measured at Fair Value on a Nonrecurring Basis March 31, 2025 Three Months Ended March 31, 2025 (Dollars in millions)   Level 2 Level 3 Gains (Losses) Assets     Loans held-for-sale $ 85  $ 229  $ 55  Loans and leases (1) —  28  (6) Foreclosed properties (2, 3) —  43  —  Other assets (4) 1  60  (3)   March 31, 2024 Three Months Ended March 31, 2024 Assets     Loans held-for-sale $ 35  $ 2,687  $ (56) Loans and leases (1) —  45  (10) Foreclosed properties (2, 3) —  44  (4) Other assets (4) —  10  (13) (1)Includes $2 million and $3 million of losses on loans that were written down to a collateral value of zero during the three months ended March 31, 2025 and 2024. (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 $15 million and $28 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at March 31, 2025 and 2024. (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 during the three months ended March 31, 2025 and the year ended December 31, 2024. 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) Three Months Ended March 31, 2025 Loans held-for-sale $ 229  Pricing model Implied yield 9% to 16% n/a Loans and leases (2) 28  Market comparables OREO discount 10% to 66% 26  % Costs to sell 8% to 24% 9  % Other assets (3) 60  Discounted cash flow Discount rate 7  % n/a 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 (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