Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Assets and Liabilities Carried at Fair Value on a Recurring Basis Assets and liabilities carried at fair value on a recurring basis at September 30, 2021 and December 31, 2020, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
September 30, 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
 $ 336  $ —  $ —  $ —  $ 336 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  154,137  —  —  154,137 
Trading account assets:          
U.S. Treasury and government agencies 46,195  668  —  —  46,863 
Corporate securities, trading loans and other —  36,895  1,634  —  38,529 
Equity securities 96,266  39,577  209  —  136,052 
Non-U.S. sovereign debt 9,763  23,176  399  —  33,338 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  21,825  84  —  21,909 
Mortgage trading loans, ABS and other MBS —  10,385  1,490  —  11,875 
Total trading account assets (2)
152,224  132,526  3,816  —  288,566 
Derivative assets 17,376  330,477  3,827  (310,851) 40,829 
AFS debt securities:          
U.S. Treasury and government agencies 168,030  1,095  —  —  169,125 
Mortgage-backed securities:          
Agency —  52,297  —  —  52,297 
Agency-collateralized mortgage obligations —  3,776  —  —  3,776 
Non-agency residential —  405  398  —  803 
Commercial —  18,819  —  —  18,819 
Non-U.S. securities —  12,283  10  —  12,293 
Other taxable securities —  2,560  73  —  2,633 
Tax-exempt securities —  15,559  53  —  15,612 
Total AFS debt securities 168,030  106,794  534  —  275,358 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 276  —  —  —  276 
Non-agency residential MBS —  411  296  —  707 
Non-U.S. and other securities
 3,851  5,185  —  —  9,036 
Total other debt securities carried at fair value 4,127  5,596  296  —  10,019 
Loans and leases —  6,848  718  —  7,566 
Loans held-for-sale —  3,642  340  —  3,982 
Other assets (3)
6,659  2,628  1,744  —  11,031 
Total assets (4)
$ 348,752  $ 742,648  $ 11,275  $ (310,851) $ 791,824 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 542  $ —  $ —  $ 542 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  155,151  —  —  155,151 
Trading account liabilities:        
U.S. Treasury and government agencies 20,967  1,105  —  —  22,072 
Equity securities 47,035  5,472  —  —  52,507 
Non-U.S. sovereign debt 17,766  10,511  —  —  28,277 
Corporate securities and other —  9,350  11  —  9,361 
Total trading account liabilities 85,768  26,438  11  —  112,217 
Derivative liabilities 18,341  328,506  6,152  (314,937) 38,062 
Short-term borrowings —  4,128  —  —  4,128 
Accrued expenses and other liabilities 7,471  2,790  —  —  10,261 
Long-term debt —  27,570  1,126  —  28,696 
Total liabilities (4)
$ 111,580  $ 545,125  $ 7,289  $ (314,937) $ 349,057 
(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 $10.8 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 certain commodities inventory of $1.6 billion 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 of $940 million which are classified as Level 3 assets.
(4)Total recurring Level 3 assets were 0.37 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 government agencies 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 —  21,566  75  —  21,641 
Mortgage trading loans, ABS and other MBS —  8,440  1,365  —  9,805 
Total trading account assets (2)
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 government agencies 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 government agencies 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 (3)
9,898  3,850  1,970  —  15,718 
Total assets (4)
$ 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 government agencies 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 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 certain commodities inventory of $576 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 of $1.0 billion which are classified as Level 3 assets.
(4)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.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 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
July 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions) Purchases Sales Issuances Settlements
Three Months Ended September 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,764  $ (2) $ —  $ 89  $ (43) $ —  $ (118) $ 239  $ (295) $ 1,634  $ (20)
Equity securities 260  (2) —  18  (11) —  —  20  (76) 209  (2)
Non-U.S. sovereign debt 414  4  (26) 16  —  —  (9) —  —  399  4 
Mortgage trading loans, MBS and ABS 1,498  (43) —  97  (89) —  (61) 180  (8) 1,574  (41)
Total trading account assets 3,936  (43) (26) 220  (143) —  (188) 439  (379) 3,816  (59)
Net derivative assets (liabilities) (4)
(2,884) 564  —  124  (168) —  23  173  (157) (2,325) 512 
AFS debt securities:                    
Non-agency residential MBS 205  (1) (2) —  —  —  (12) 208  —  398  (4)
Non-U.S. securities 11  (3) —  —  —  —  2  —  —  10  — 
Other taxable securities 74  —  (1) —  —  —  —  —  —  73  — 
Tax-exempt securities 51  2  —  —  —  —  —  —  —  53  2 
Total AFS debt securities 341  (2) (3) —  —  —  (10) 208  —  534  (2)
Other debt securities carried at fair value – Non-agency residential MBS
 281  (2) —  —  —  —  (9) 26  —  296  (2)
Loans and leases (5,6)
857  (59) —  —  —  —  (67) —  (13) 718  (59)
Loans held-for-sale (5,6)
263  13  (7) 94  (1) —  (22) —  —  340  10 
Other assets (6,7)
1,775  15  (6) 1  1  51  (95) 2  —  1,744  49 
Trading account liabilities – Corporate securities
   and other
 (17) 6  —  —  —  —  —  —  —  (11) (1)
Long-term debt (5)
(1,060) (65) 2  —  —  (9) 30  (25) 1  (1,126) (65)
Three Months Ended September 30, 2020
Trading account assets:
Corporate securities, trading loans and other
 $ 1,548  $ (20) $ —  $ —  $ (49) $ —  $ (91) $ 136  $ (54) $ 1,470  $ (34)
Equity securities 194  8  —  4  (3) —  —  7  (3) 207  3 
Non-U.S. sovereign debt 248  7  (6) 1  (2) —  (1) 83  (40) 290  6 
Mortgage trading loans, MBS and ABS 1,736  2  —  36  (108) 11  (12) 167  (62) 1,770  10 
Total trading account assets 3,726  (3) (6) 41  (162) 11  (104) 393  (159) 3,737  (15)
Net derivative assets (liabilities) (4)
(3,343) 228  —  39  (177) —  (58) 3  (223) (3,531) 196 
AFS debt securities:              
Non-agency residential MBS 462  —  5  —  —  —  (10) 25  (42) 440  — 
Non-U.S. securities 5  —  —  —  —  —  (1) 10  —  14  — 
Other taxable securities 65  —  —  3  —  —  —  —  —  68  — 
Tax-exempt securities 337  15  —  —  —  —  (167) —  (5) 180  15 
Total AFS debt securities 869  15  5  3  —  —  (178) 35  (47) 702  15 
Other debt securities carried at fair value – Non-agency residential MBS
 449  18  —  —  —  —  (11) 2  —  458  17 
Loans and leases (5,6)
741  (2) —  —  (25) —  (89) —  —  625  (5)
Loans held-for-sale (5,6)
970  (7) (2) —  (25) —  (14) —  —  922  (10)
Other assets (6,7)
1,911  25  6  —  1  53  (121) —  —  1,875  4 
Trading account liabilities – Equity securities
 (1) —  —  —  —  —  —  —  —  (1) — 
Trading account liabilities – Corporate securities
   and other
 (16) 2  —  —  (2) —  —  —  —  (16) — 
Long-term debt (5)
(956) (50) (10) —  —  —  46  —  —  (970) (50)
(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 market making and similar activities and 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 losses of $38 million and $8 million related to financial instruments still held at September 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $2.5 billion and derivative liabilities of $6.2 billion and $6.0 billion at September 30, 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.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
 Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ 23  $ —  $ 515  $ (300) $ —  $ (251) $ 697  $ (409) $ 1,634  $ (42)
Equity securities
 227  20  —  71  (60) —  —  98  (147) 209  (17)
Non-U.S. sovereign debt
 354  24  (14) 18  —  —  (9) 26  —  399  27 
Mortgage trading loans, ABS and other MBS
 1,440  (4) —  344  (584) 1  (125) 624  (122) 1,574  (65)
Total trading account assets 3,380  63  (14) 948  (944) 1  (385) 1,445  (678) 3,816  (97)
Net derivative assets (liabilities) (4)
(3,468) 855  —  473  (517) —  206  (18) 144  (2,325) 579 
AFS debt securities:                    
Non-agency residential MBS 378  (16) (96) —  —  —  (37) 244  (75) 398  (7)
Non-U.S. securities
 18  (4) —  —  —  —  (4) —  —  10  — 
Other taxable securities
 71  —  (6) 8  —  —  —  —  —  73  — 
Tax-exempt securities 176  19  —  —  —  —  —  —  (142) 53  18 
Total AFS debt securities 643  (1) (102) 8  —  —  (41) 244  (217) 534  11 
Other debt securities carried at fair value – Non-agency residential MBS
 267  —  —  —  —  —  (29) 58  —  296  — 
Loans and leases (5,6)
717  45  —  —  —  70  (147) 46  (13) 718  52 
Loans held-for-sale (5,6)
236  17  (4) 132  (1) —  (62) 26  (4) 340  40 
Other assets (6,7)
1,970  36  2  56  (144) 115  (300) 9  —  1,744  92 
Trading account liabilities – Corporate securities
   and other
 (16) 6  —  —  —  (1) —  —  —  (11) — 
Long-term debt (5)
(1,164) (83) 4  2  —  (11) 67  (57) 116  (1,126) (54)
Nine Months Ended September 30, 2020
Trading account assets:          
Corporate securities, trading loans and other
 $ 1,507  $ (150) $ (1) $ 280  $ (181) $ 8  $ (165) $ 520  $ (348) $ 1,470  $ (128)
Equity securities 239  (17) —  33  (37) —  —  32  (43) 207  (20)
Non-U.S. sovereign debt 482  35  (69) 76  (61) —  (20) 100  (253) 290  33 
Mortgage trading loans, ABS and other MBS
 1,553  (145) (3) 502  (582) 11  (52) 659  (173) 1,770  (135)
Total trading account assets 3,781  (277) (73) 891  (861) 19  (237) 1,311  (817) 3,737  (250)
Net derivative assets (liabilities) (4)
(2,538) 111  —  216  (558) —  (224) (273) (265) (3,531) (356)
AFS debt securities:              
Non-agency residential MBS 424  (5) (4) 23  —  —  (32) 158  (124) 440  (5)
Non-U.S. securities 2  —  —  —  (1) —  (1) 14  —  14  — 
Other taxable securities 65  —  —  6  (4) —  —  1  —  68  — 
Tax-exempt securities 108  (19) 3  —  —  —  (167) 265  (10) 180  (18)
Total AFS debt securities 599  (24) (1) 29  (5) —  (200) 438  (134) 702  (23)
Other debt securities carried at fair value – Non-agency residential MBS
 299  12  —  —  —  —  (19) 178  (12) 458  (12)
Loans and leases (5,6)
693  (74) —  32  (26) 22  (120) 98  —  625  (61)
Loans held-for-sale (5,6)
375  (7) (35) —  (106) 691  (89) 93  —  922  (19)
Other assets (6,7)
2,360  (294) (11) —  2  206  (391) 5  (2) 1,875  (373)
Trading account liabilities – Equity securities
 (2) 1  —  —  —  —  —  —  —  (1) 1 
Trading account liabilities – Corporate securities
   and other
 (15) 7  —  (7) (2) —  1  —  —  (16) — 
Long-term debt (5)
(1,149) 5  50  8  —  (45) 201  (52) 12  (970) (10)
(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 market making and similar activities and 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 losses of $45 million and $47 million related to financial instruments still held at September 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $2.5 billion and derivative liabilities of $6.2 billion and $6.0 billion at September 30, 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.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 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
July 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions) Purchases Sales Issuances Settlements
Three Months Ended September 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,764  $ (2) $ —  $ 89  $ (43) $ —  $ (118) $ 239  $ (295) $ 1,634  $ (20)
Equity securities 260  (2) —  18  (11) —  —  20  (76) 209  (2)
Non-U.S. sovereign debt 414  4  (26) 16  —  —  (9) —  —  399  4 
Mortgage trading loans, MBS and ABS 1,498  (43) —  97  (89) —  (61) 180  (8) 1,574  (41)
Total trading account assets 3,936  (43) (26) 220  (143) —  (188) 439  (379) 3,816  (59)
Net derivative assets (liabilities) (4)
(2,884) 564  —  124  (168) —  23  173  (157) (2,325) 512 
AFS debt securities:                    
Non-agency residential MBS 205  (1) (2) —  —  —  (12) 208  —  398  (4)
Non-U.S. securities 11  (3) —  —  —  —  2  —  —  10  — 
Other taxable securities 74  —  (1) —  —  —  —  —  —  73  — 
Tax-exempt securities 51  2  —  —  —  —  —  —  —  53  2 
Total AFS debt securities 341  (2) (3) —  —  —  (10) 208  —  534  (2)
Other debt securities carried at fair value – Non-agency residential MBS
 281  (2) —  —  —  —  (9) 26  —  296  (2)
Loans and leases (5,6)
857  (59) —  —  —  —  (67) —  (13) 718  (59)
Loans held-for-sale (5,6)
263  13  (7) 94  (1) —  (22) —  —  340  10 
Other assets (6,7)
1,775  15  (6) 1  1  51  (95) 2  —  1,744  49 
Trading account liabilities – Corporate securities
   and other
 (17) 6  —  —  —  —  —  —  —  (11) (1)
Long-term debt (5)
(1,060) (65) 2  —  —  (9) 30  (25) 1  (1,126) (65)
Three Months Ended September 30, 2020
Trading account assets:
Corporate securities, trading loans and other
 $ 1,548  $ (20) $ —  $ —  $ (49) $ —  $ (91) $ 136  $ (54) $ 1,470  $ (34)
Equity securities 194  8  —  4  (3) —  —  7  (3) 207  3 
Non-U.S. sovereign debt 248  7  (6) 1  (2) —  (1) 83  (40) 290  6 
Mortgage trading loans, MBS and ABS 1,736  2  —  36  (108) 11  (12) 167  (62) 1,770  10 
Total trading account assets 3,726  (3) (6) 41  (162) 11  (104) 393  (159) 3,737  (15)
Net derivative assets (liabilities) (4)
(3,343) 228  —  39  (177) —  (58) 3  (223) (3,531) 196 
AFS debt securities:              
Non-agency residential MBS 462  —  5  —  —  —  (10) 25  (42) 440  — 
Non-U.S. securities 5  —  —  —  —  —  (1) 10  —  14  — 
Other taxable securities 65  —  —  3  —  —  —  —  —  68  — 
Tax-exempt securities 337  15  —  —  —  —  (167) —  (5) 180  15 
Total AFS debt securities 869  15  5  3  —  —  (178) 35  (47) 702  15 
Other debt securities carried at fair value – Non-agency residential MBS
 449  18  —  —  —  —  (11) 2  —  458  17 
Loans and leases (5,6)
741  (2) —  —  (25) —  (89) —  —  625  (5)
Loans held-for-sale (5,6)
970  (7) (2) —  (25) —  (14) —  —  922  (10)
Other assets (6,7)
1,911  25  6  —  1  53  (121) —  —  1,875  4 
Trading account liabilities – Equity securities
 (1) —  —  —  —  —  —  —  —  (1) — 
Trading account liabilities – Corporate securities
   and other
 (16) 2  —  —  (2) —  —  —  —  (16) — 
Long-term debt (5)
(956) (50) (10) —  —  —  46  —  —  (970) (50)
(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 market making and similar activities and 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 losses of $38 million and $8 million related to financial instruments still held at September 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $2.5 billion and derivative liabilities of $6.2 billion and $6.0 billion at September 30, 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.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3 		 Gross
Transfers
out of
Level 3 		 Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
 Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ 23  $ —  $ 515  $ (300) $ —  $ (251) $ 697  $ (409) $ 1,634  $ (42)
Equity securities
 227  20  —  71  (60) —  —  98  (147) 209  (17)
Non-U.S. sovereign debt
 354  24  (14) 18  —  —  (9) 26  —  399  27 
Mortgage trading loans, ABS and other MBS
 1,440  (4) —  344  (584) 1  (125) 624  (122) 1,574  (65)
Total trading account assets 3,380  63  (14) 948  (944) 1  (385) 1,445  (678) 3,816  (97)
Net derivative assets (liabilities) (4)
(3,468) 855  —  473  (517) —  206  (18) 144  (2,325) 579 
AFS debt securities:                    
Non-agency residential MBS 378  (16) (96) —  —  —  (37) 244  (75) 398  (7)
Non-U.S. securities
 18  (4) —  —  —  —  (4) —  —  10  — 
Other taxable securities
 71  —  (6) 8  —  —  —  —  —  73  — 
Tax-exempt securities 176  19  —  —  —  —  —  —  (142) 53  18 
Total AFS debt securities 643  (1) (102) 8  —  —  (41) 244  (217) 534  11 
Other debt securities carried at fair value – Non-agency residential MBS
 267  —  —  —  —  —  (29) 58  —  296  — 
Loans and leases (5,6)
717  45  —  —  —  70  (147) 46  (13) 718  52 
Loans held-for-sale (5,6)
236  17  (4) 132  (1) —  (62) 26  (4) 340  40 
Other assets (6,7)
1,970  36  2  56  (144) 115  (300) 9  —  1,744  92 
Trading account liabilities – Corporate securities
   and other
 (16) 6  —  —  —  (1) —  —  —  (11) — 
Long-term debt (5)
(1,164) (83) 4  2  —  (11) 67  (57) 116  (1,126) (54)
Nine Months Ended September 30, 2020
Trading account assets:          
Corporate securities, trading loans and other
 $ 1,507  $ (150) $ (1) $ 280  $ (181) $ 8  $ (165) $ 520  $ (348) $ 1,470  $ (128)
Equity securities 239  (17) —  33  (37) —  —  32  (43) 207  (20)
Non-U.S. sovereign debt 482  35  (69) 76  (61) —  (20) 100  (253) 290  33 
Mortgage trading loans, ABS and other MBS
 1,553  (145) (3) 502  (582) 11  (52) 659  (173) 1,770  (135)
Total trading account assets 3,781  (277) (73) 891  (861) 19  (237) 1,311  (817) 3,737  (250)
Net derivative assets (liabilities) (4)
(2,538) 111  —  216  (558) —  (224) (273) (265) (3,531) (356)
AFS debt securities:              
Non-agency residential MBS 424  (5) (4) 23  —  —  (32) 158  (124) 440  (5)
Non-U.S. securities 2  —  —  —  (1) —  (1) 14  —  14  — 
Other taxable securities 65  —  —  6  (4) —  —  1  —  68  — 
Tax-exempt securities 108  (19) 3  —  —  —  (167) 265  (10) 180  (18)
Total AFS debt securities 599  (24) (1) 29  (5) —  (200) 438  (134) 702  (23)
Other debt securities carried at fair value – Non-agency residential MBS
 299  12  —  —  —  —  (19) 178  (12) 458  (12)
Loans and leases (5,6)
693  (74) —  32  (26) 22  (120) 98  —  625  (61)
Loans held-for-sale (5,6)
375  (7) (35) —  (106) 691  (89) 93  —  922  (19)
Other assets (6,7)
2,360  (294) (11) —  2  206  (391) 5  (2) 1,875  (373)
Trading account liabilities – Equity securities
 (2) 1  —  —  —  —  —  —  —  (1) 1 
Trading account liabilities – Corporate securities
   and other
 (15) 7  —  (7) (2) —  1  —  —  (16) — 
Long-term debt (5)
(1,149) 5  50  8  —  (45) 201  (52) 12  (970) (10)
(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 market making and similar activities and 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 losses of $45 million and $47 million related to financial instruments still held at September 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $2.5 billion and derivative liabilities of $6.2 billion and $6.0 billion at September 30, 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.
Fair Value Measurement Inputs and Valuation Techniques
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at September 30, 2021 and December 31, 2020.
Quantitative Information about Level 3 Fair Value Measurements at September 30, 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 $ 1,359  Discounted cash flow, Market comparables Yield
0% to 25%
 6  %
Trading account assets – Mortgage trading loans, ABS and other MBS
 306  Prepayment speed
1% to 42% CPR
19% CPR
Loans and leases 359  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 398  Price
$0 to $160
 $91
Other debt securities carried at fair value – Non-agency residential 296  Loss severity
0% to 44%
 14  %
Instruments backed by commercial real estate assets $ 458  Discounted cash
flow		 Yield
0% to 25%
 4  %
Trading account assets – Corporate securities, trading loans and other 286  Price
$0 to $100
 $62
Trading account assets – Mortgage trading loans, ABS and other MBS 81 
AFS debt securities, primarily other taxable securities 83 
Loans held-for-sale 8 
Commercial loans, debt securities and other $ 3,678  Discounted cash flow, Market comparables Yield
0% to 20%
 10  %
Trading account assets – Corporate securities, trading loans and other
 1,348  Prepayment speed
10% to 20%
 15  %
Trading account assets – Non-U.S. sovereign debt 399  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, ABS and other MBS 1,187  Loss severity
35% to 40%
 38  %
AFS debt securities – Tax-exempt securities 53  Price
$0 to $186
 $67
Loans and leases 359  Long-dated equity volatilities
45%
 n/a
Loans held-for-sale 332 
Other assets, primarily auction rate securities $ 804  Discounted cash flow, Market comparables Price
$10 to $96
 $92

Discount rate 9  % n/a
MSRs $ 940  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
4 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 $ (1,126)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
0% to 16%
 14  %
Equity correlation
3% to 99%
 80  %
Long-dated equity volatilities
4% to 67%
 36  %
Price
$0 to $121
 $85
Natural gas forward price
$2/MMBtu to $12/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (109) Discounted cash flow, Stochastic recovery correlation model Credit spreads
1 to 611 bps
62 bps
Upfront points
16 to 100 points
 68 points
Prepayment speed
15% CPR
 n/a
Default rate
2% CDR
 n/a
Credit correlation
24% to 60%
 55  %
Price
$0 to $122
 $66
Equity derivatives $ (1,442)
Industry standard derivative pricing (3)
Equity correlation
3% to 99%
 80  %
Long-dated equity volatilities
4% to 67%
 36  %
Commodity derivatives $ (942)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$2/MMBtu to $12/MMBtu
$4 /MMBtu
Correlation
64% to 82%
 75  %
Power forward price
$12 to $74
 $28
Volatilities
41% to 113%
 80  %
Interest rate derivatives $ 168 
Industry standard derivative pricing (4)
Correlation (IR/IR)
(1)% to 90%
 53  %
Correlation (FX/IR)
0% to 58%
 44  %
Long-dated inflation rates
 (7)% to 12%
5  %
Long-dated inflation volatilities
0% to 2%
 2  %
Interest rate volatilities
0% to 3%
 1  %
Total net derivative assets (liabilities) $ (2,325)
(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 88: Trading account assets – Corporate securities, trading loans and other of $1.6 billion, Trading account assets – Non-U.S. sovereign debt of $399 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.6 billion, AFS debt securities of $534 million, Other debt securities carried at fair value - Non-agency residential of $296 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $718 million and LHFS of $340 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 89: 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
Fair Value Measurements, Nonrecurring The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 30, 2021 and 2020.
Assets Measured at Fair Value on a Nonrecurring Basis
September 30, 2021 Three Months Ended September 30, 2021 Nine Months Ended September 30, 2021
(Dollars in millions) Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 124  $ 20  $ (2) $ 4 
Loans and leases (1)
—  182  (16) (47)
Foreclosed properties (2, 3)
—  17  (3) (4)
Other assets 354  2,101  (35) (494)
  September 30, 2020 Three Months Ended September 30, 2020 Nine Months Ended September 30, 2020
Assets    
Loans held-for-sale $ 630  $ 903  $ (14) $ (121)
Loans and leases (1)
—  226  (19) (59)
Foreclosed properties (2, 3)
—  27  (7) (11)
Other assets 209  576  (32) (58)
(1)Includes $7 million and $18 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2021 compared to losses of $9 million and $26 million for the same periods in 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 $55 million and $131 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2021 and 2020.
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 September 30, 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) Nine Months Ended September 30, 2021
Loans and leases (2)
$ 182  Market comparables OREO discount
13% to 59%
 24  %
Costs to sell
8% to 26%
 9  %
Other assets (3)
1,926  Discounted cash flow Discount rate 7  % n/a
170  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