Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current marketplace. During the three months ended March 31, 2021, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact on the Corporation’s consolidated financial position or results of operations.
For more information regarding the fair value hierarchy, how the Corporation measures fair value and valuation techniques, see Note 1 – Summary of Significant Accounting Principles and Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2020 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 15 – Fair Value Option.
Recurring Fair Value
Assets and liabilities carried at fair value on a recurring basis at March 31, 2021 and December 31, 2020, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
March 31, 2021
  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
 $ 1,613  $ —  $ —  $ —  $ 1,613 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  153,387  —  —  153,387 
Trading account assets:          
U.S. Treasury and agency securities (2)
32,709  2,653  —  —  35,362 
Corporate securities, trading loans and other —  29,847  1,516  —  31,363 
Equity securities 108,394  32,455  273  —  141,122 
Non-U.S. sovereign debt 12,470  21,085  334  —  33,889 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
—  25,375  62  —  25,437 
Mortgage trading loans, ABS and other MBS —  8,209  1,499  —  9,708 
Total trading account assets (3)
153,573  119,624  3,684  —  276,881 
Derivative assets 15,044  357,851  2,805  (329,802) 45,898 
AFS debt securities:          
U.S. Treasury and agency securities 158,911  1,110  —  —  160,021 
Mortgage-backed securities:          
Agency —  54,534  —  —  54,534 
Agency-collateralized mortgage obligations —  4,733  —  —  4,733 
Non-agency residential —  574  284  —  858 
Commercial —  16,800  —  —  16,800 
Non-U.S. securities —  14,755  13  —  14,768 
Other taxable securities —  2,485  73  —  2,558 
Tax-exempt securities —  16,243  98  —  16,341 
Total AFS debt securities 158,911  111,234  468  —  270,613 
Other debt securities carried at fair value:
U.S. Treasury and agency securities 553  —  —  —  553 
Non-agency residential MBS —  492  260  —  752 
Non-U.S. and other securities
 4,020  4,974  —  —  8,994 
Total other debt securities carried at fair value 4,573  5,466  260  —  10,299 
Loans and leases —  6,210  793  —  7,003 
Loans held-for-sale —  1,460  220  —  1,680 
Other assets (4)
12,086  3,036  2,090  —  17,212 
Total assets (5)
$ 345,800  $ 758,268  $ 10,320  $ (329,802) $ 784,586 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 504  $ —  $ —  $ 504 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  154,865  —  —  154,865 
Trading account liabilities:        
U.S. Treasury and agency securities 17,622  1,017  —  —  18,639 
Equity securities 47,480  3,949  —  —  51,429 
Non-U.S. sovereign debt 14,600  9,318  —  —  23,918 
Corporate securities and other —  8,786  16  —  8,802 
Total trading account liabilities 79,702  23,070  16  —  102,788 
Derivative liabilities 14,647  350,213  6,011  (328,546) 42,325 
Short-term borrowings —  4,503  —  —  4,503 
Accrued expenses and other liabilities 14,367  3,204  —  —  17,571 
Long-term debt —  29,486  1,028  —  30,514 
Total liabilities (5)
$ 108,716  $ 565,845  $ 7,055  $ (328,546) $ 353,070 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $26.3 billion of GSE obligations.
(3)Includes securities with a fair value of $11.4 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 precious metal inventories of $431 million that are 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 of $1.2 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.26 percent of total consolidated liabilities.
December 31, 2020
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
 $ 1,649  $ —  $ —  $ —  $ 1,649 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  108,856  —  —  108,856 
Trading account assets:          
U.S. Treasury and agency securities (2)
45,219  3,051  —  —  48,270 
Corporate securities, trading loans and other —  22,817  1,359  —  24,176 
Equity securities 36,372  31,372  227  —  67,971 
Non-U.S. sovereign debt 5,753  20,884  354  —  26,991 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
—  21,566  75  —  21,641 
Mortgage trading loans, ABS and other MBS —  8,440  1,365  —  9,805 
Total trading account assets (3)
87,344  108,130  3,380  —  198,854 
Derivative assets 15,624  416,175  2,751  (387,371) 47,179 
AFS debt securities:          
U.S. Treasury and agency securities 115,266  1,114  —  —  116,380 
Mortgage-backed securities:          
Agency —  61,849  —  —  61,849 
Agency-collateralized mortgage obligations —  5,260  —  —  5,260 
Non-agency residential —  631  378  —  1,009 
Commercial —  16,491  —  —  16,491 
Non-U.S. securities —  13,999  18  —  14,017 
Other taxable securities —  2,640  71  —  2,711 
Tax-exempt securities —  16,598  176  —  16,774 
Total AFS debt securities 115,266  118,582  643  —  234,491 
Other debt securities carried at fair value:
U.S. Treasury and agency securities 93  —  —  —  93 
Non-agency residential MBS —  506  267  —  773 
Non-U.S. and other securities 2,619  8,625  —  —  11,244 
Total other debt securities carried at fair value 2,712  9,131  267  —  12,110 
Loans and leases —  5,964  717  —  6,681 
Loans held-for-sale —  1,349  236  —  1,585 
Other assets (4)
9,898  3,850  1,970  —  15,718 
Total assets (5)
$ 232,493  $ 772,037  $ 9,964  $ (387,371) $ 627,123 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 481  $ —  $ —  $ 481 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  135,391  —  —  135,391 
Trading account liabilities:        
U.S. Treasury and agency securities 9,425  139  —  —  9,564 
Equity securities 38,189  4,235  —  —  42,424 
Non-U.S. sovereign debt 5,853  8,043  —  —  13,896 
Corporate securities and other —  5,420  16  —  5,436 
Total trading account liabilities 53,467  17,837  16  —  71,320 
Derivative liabilities 14,907  412,881  6,219  (388,481) 45,526 
Short-term borrowings —  5,874  —  —  5,874 
Accrued expenses and other liabilities 12,297  4,014  —  —  16,311 
Long-term debt —  31,036  1,164  —  32,200 
Total liabilities (5)
$ 80,671  $ 607,514  $ 7,399  $ (388,481) $ 307,103 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $22.2 billion of GSE obligations.
(3)Includes securities with a fair value of $16.8 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 precious metal inventories of $576 million that are 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 of $1.0 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.29 percent of total consolidated liabilities.
The table below presents 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, 2021 and 2020, 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, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ (13) $ —  $ 241  $ (147) $ —  $ (17) $ 152  $ (59) $ 1,516  $ (19)
Equity securities 227  (10) —  45  (23) —  —  52  (18) 273  (10)
Non-U.S. sovereign debt 354  —  (22) 2  —  —  —  —  —  334  3 
Mortgage trading loans, MBS and ABS 1,440  49  —  128  (221) 1  (36) 256  (56) 1,561  32 
Total trading account assets 3,380  26  (22) 416  (391) 1  (53) 460  (133) 3,684  6 
Net derivative assets (liabilities) (4)
(3,468) 286  —  138  (261) —  147  (108) 60  (3,206) 272 
AFS debt securities:                    
Non-agency residential MBS 378  (16) (97) —  —  —  (17) 36  —  284  (16)
Non-U.S. securities 18  —  —  —  —  —  (5) —  —  13  — 
Other taxable securities 71  —  (6) 8  —  —  —  —  —  73  — 
Tax-exempt securities 176  14  —  —  —  —  —  —  (92) 98  13 
Total AFS debt securities 643  (2) (103) 8  —  —  (22) 36  (92) 468  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 267  (1) —  —  —  —  (6) —  —  260  (1)
Loans and leases (5,6)
717  70  —  —  —  10  (34) 30  —  793  71 
Loans held-for-sale (5,6)
236  (6) (8) —  —  —  (17) 19  (4) 220  (9)
Other assets (6,7)
1,970  174  4  —  (1) 41  (105) 7  —  2,090  163 
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  —  —  —  —  (16) — 
Long-term debt (5)
(1,164) 49  (13) —  —  —  18  (32) 114  (1,028) 50 
Three Months Ended March 31, 2020
Trading account assets:
Corporate securities, trading loans and other
 $ 1,507  $ (103) $ (1) $ 216  $ (90) $ 8  $ (32) $ 237  $ (102) $ 1,640  $ (108)
Equity securities 239  (26) —  26  (11) —  —  25  (4) 249  (27)
Non-U.S. sovereign debt 482  2  (53) 73  (48) —  (10) 17  (213) 250  3 
Mortgage trading loans, MBS and ABS 1,553  (125) (2) 362  (245) —  (19) 233  (24) 1,733  (129)
Total trading account assets 3,781  (252) (56) 677  (394) 8  (61) 512  (343) 3,872  (261)
Net derivative assets (liabilities) (4)
(2,538) 346  —  40  (148) —  12  (528) (93) (2,909) 279 
AFS debt securities:              
Non-agency residential MBS 424  (3) (13) —  —  —  (12) 128  —  524  — 
Non-U.S. securities 2  —  —  —  (1) —  —  —  —  1  — 
Other taxable securities 65  —  —  3  —  —  —  —  —  68  — 
Tax-exempt securities 108  (10) 2  —  —  —  —  —  —  100  — 
Total AFS debt securities 599  (13) (11) 3  (1) —  (12) 128  —  693  — 
Other debt securities carried at fair value – Non-agency residential MBS
 299  (49) —  —  —  —  (4) 26  (3) 269  (49)
Loans and leases (5,6)
693  (119) —  —  —  —  (16) —  —  558  (107)
Loans held-for-sale (5,6)
375  (9) (28) —  —  691  (45) 93  —  1,077  (15)
Other assets (6,7)
2,360  (251) (30) —  1  20  (142) 2  —  1,960  (287)
Trading account liabilities – Equity securities
 (2) 1  —  —  —  —  —  —  —  (1) 1 
Trading account liabilities – Corporate securities
   and other
 (15) 1  —  (6) —  —  —  —  —  (20) 1 
Long-term debt (5)
(1,149) 127  187  8  —  (13) 141  (23) 1  (721) 126 
(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 - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (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 (losses) of $(136) million and $67 million related to financial instruments still held at March 31, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $1.9 billion and derivative liabilities of $6.0 billion and $4.8 billion at March 31, 2021 and 2020.
(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.
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, 2021 and December 31, 2020.
Quantitative Information about Level 3 Fair Value Measurements at March 31, 2021
(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 $ 1,403  Discounted cash flow, Market comparables Yield
0% to 25%
 7  %
Trading account assets – Mortgage trading loans, ABS and other MBS
 433  Prepayment speed
7% to 35% CPR
16% CPR
Loans and leases 426  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 284  Price
$0 to $152
 $96
Other debt securities carried at fair value – Non-agency residential 260  Loss severity
14% to 37%
 15  %
Instruments backed by commercial real estate assets $ 481  Discounted cash
flow		 Yield
0% to 25%
 4  %
Trading account assets – Corporate securities, trading loans and other 326  Price
$0 to $101
 $62
Trading account assets – Mortgage trading loans, ABS and other MBS 61 
AFS debt securities, primarily other taxable securities 86 
Loans held-for-sale 8 
Commercial loans, debt securities and other $ 3,268  Discounted cash flow, Market comparables Yield
0% to 25%
 9  %
Trading account assets – Corporate securities, trading loans and other
 1,190  Prepayment speed
10% to 20%
 13  %
Trading account assets – Non-U.S. sovereign debt 334  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, ABS and other MBS 1,067  Loss severity
35% to 40%
 38  %
AFS debt securities – Tax-exempt securities 98  Price
$0 to $170
 $67
Loans and leases 367  Long-dated equity volatilities
50%
 n/a
Loans held-for-sale 212 
Other assets, primarily auction rate securities $ 936  Discounted cash flow, Market comparables Price
$10 to $97
 $94

Discount rate 9  % n/a
MSRs $ 1,154  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
5 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%
 12  %
Structured liabilities
Long-term debt $ (1,028)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
0% to 13%
 11  %
Equity correlation
2% to 99%
 72  %
Long-dated equity volatilities
4% to 64%
 35  %
Price
$0 to $120
 $84
Natural gas forward price
$1/MMBtu to $5/MMBtu
$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (39) Discounted cash flow, Stochastic recovery correlation model Yield
5%
 n/a
Credit spreads
0 to 191 bps
65 bps
Upfront points
16 to 100 points
 74 points
Prepayment speed
15% to 100% CPR
17%
Default rate
2% CDR
 n/a
Credit correlation
20% to 22%
 21  %
Price
$0 to $122
 $62
Equity derivatives $ (1,924)
Industry standard derivative pricing (3)
Equity correlation
2% to 99%
 72  %
Long-dated equity volatilities
4% to 64%
 35  %
Commodity derivatives $ (1,278)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $5/MMBtu
$3 /MMBtu
Correlation
39% to 79%
 69  %
Volatilities
24% to 47%
 32  %
Interest rate derivatives $ 35 
Industry standard derivative pricing (4)
Correlation (IR/IR)
15% to 90%
 44  %
Correlation (FX/IR)
0% to 46%
 4  %
Long-dated inflation rates
 (3)% to 36%
7  %
Long-dated inflation volatilities
0% to 1%
 1  %
Interest rate volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (3,206)
(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 80: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $334 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.6 billion, AFS debt securities of $468 million, Other debt securities carried at fair value - Non-agency residential of $260 million, Other assets, including MSRs, of $2.1 billion, Loans and leases of $793 million and LHFS of $220 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, 2020
(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 $ 1,543  Discounted cash
flow, Market comparables		 Yield
(3)% to 25%
 6  %
Trading account assets – Mortgage trading loans, ABS and other MBS
 467 
Prepayment speed
1% to 56% CPR
20% CPR
Loans and leases 431  Default rate
0% to 3% CDR
1% CDR
AFS debt securities - Non-agency residential 378  Price
$0 to $168
 $110
Other debt securities carried at fair value - Non-agency residential 267  Loss severity
0% to 47%
 18  %
Instruments backed by commercial real estate assets $ 407  Discounted cash
flow		 Yield
0% to 25%
 4  %
Trading account assets – Corporate securities, trading loans and other 262  Price
$0 to $100
 $52
Trading account assets – Mortgage trading loans, ABS and other MBS 43 
AFS debt securities, primarily other taxable securities 89 
Loans held-for-sale 13 
Commercial loans, debt securities and other $ 3,066  Discounted cash flow, Market comparables Yield
 0% to 26%
 9  %
Trading account assets – Corporate securities, trading loans and other
 1,097 
Prepayment speed
10% to 20%
 14  %
Trading account assets – Non-U.S. sovereign debt 354  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, ABS and other MBS 930  Loss severity
35% to 40%
 38  %
AFS debt securities – Tax-exempt securities 176  Price
 $0 to $142
 $66
Loans and leases 286  Long-dated equity volatilities
77%
 n/a
Loans held-for-sale 223 
Other assets, primarily auction rate securities $ 937  Discounted cash flow, Market comparables
Price
$10 to $97
 $91

Discount rate
8%
 n/a
MSRs $ 1,033  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 13 years
4 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%
 12  %
Structured liabilities
Long-term debt $ (1,164)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
 0% to 11%
 9  %
Equity correlation
 2% to 100%
 64  %
Long-dated equity volatilities
7% to 64%
 32  %
Price
$0 to $124
 $86
Natural gas forward price
$1/MMBtu to $4/MMBtu
$3/MMBtu
Net derivative assets (liabilities)
Credit derivatives
 $ (112) Discounted cash flow, Stochastic recovery correlation model
Yield
5%
 n/a
Upfront points
0 to 100 points
 75 points
Prepayment speed
15% to 100% CPR
22% CPR
Default rate
2% CDR
n/a
Credit correlation
21% to 64%
 57  %
Price
$0 to $122
 $69
Equity derivatives
 $ (1,904)
Industry standard derivative pricing (3)
Equity correlation
2% to 100%
 64  %
Long-dated equity volatilities
7% to 64%
 32  %
Commodity derivatives
 $ (1,426)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $4/MMBtu
$3/MMBtu
Correlation
39% to 85%
 73  %
Volatilities
23% to 70%
 39  %
Interest rate derivatives
 $ (26)
Industry standard derivative pricing (4)
Correlation (IR/IR)
15% to 96%
 34  %
Correlation (FX/IR)
0% to 46%
 3  %
Long-dated inflation rates
G(7)% to 84%
14  %
Long-dated inflation volatilities
0% to 1%
 1  %
Interest rates volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (3,468)
(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 81: Trading account assets – Corporate securities, trading loans and other of $1.4 billion, Trading account assets – Non-U.S. sovereign debt of $354 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.4 billion, AFS debt securities of $643 million, Other debt securities carried at fair value - Non-agency residential of $267 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $717 million and LHFS of $236 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
Uncertainty of Fair Value Measurements from Unobservable Inputs
For information on the types of instruments, valuation approaches and the impact of changes in unobservable inputs used in Level 3 measurements, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2020 Annual Report on Form 10-K.
Nonrecurring Fair Value
The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as 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, 2021 and 2020.
Assets Measured at Fair Value on a Nonrecurring Basis
March 31, 2021 Three Months Ended March 31, 2021
(Dollars in millions) Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 2,116  $ 66  $ 5 
Loans and leases (1)
—  85  (14)
Foreclosed properties (2, 3)
—  3  (1)
Other assets 49  2,155  (403)
  March 31, 2020 Three Months Ended March 31, 2020
Assets    
Loans held-for-sale $ 1,017  $ 628  $ (78)
Loans and leases (1)
—  117  (27)
Foreclosed properties (2, 3)
—  15  (6)
Other assets 27  24  (2)
(1)Includes $3 million and $12 million of losses on loans that were written down to a collateral value of zero during the three months ended March 31, 2021 and 2020.
(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 $87 million and $224 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at March 31, 2021 and 2020.
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements at March 31, 2021 and December 31, 2020.
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, 2021
Loans held-for-sale $ 66  Discounted cash flow Price
$73 to $99
 $84
Loans and leases (2)
85  Market comparables OREO discount
13% to 59%
 24  %
Costs to sell
8% to 26%
 9  %
Other assets (3)
1,955  Discounted cash flow Discount rate 7  % n/a
194  Market comparables Estimated appraisal value n/a n/a
Year Ended December 31, 2020
Loans held-for-sale $ 792  Discounted cash flow Price
$8 to $99
 $95
Loans and leases (2)
301  Market comparables OREO discount
13% to 59%
 24  %
Costs to sell
8% to 26%
 9  %
Other assets (4)
576  Discounted cash flow Revenue attrition
2% to 19%
 7  %
Discount rate
11% to 14%
 12  %
(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 and impaired assets related to the Corporation’s real estate rationalization.
(4)Represents the fair value of the intangible asset related to the merchant contracts received from the dissolution of the Corporation's merchant services joint venture.
n/a = not applicable