Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.22.0.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2021 and 2020, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
December 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
$ 707  $   $   $   $ 707 
Federal funds sold and securities borrowed or purchased under agreements to resell
  150,665      150,665 
Trading account assets:          
U.S. Treasury and government agencies 44,599  803      45,402 
Corporate securities, trading loans and other   31,601  2,110    33,711 
Equity securities 61,425  38,383  190    99,998 
Non-U.S. sovereign debt 3,822  25,612  396    29,830 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed   25,645  109    25,754 
Mortgage trading loans, ABS and other MBS   10,967  1,418    12,385 
Total trading account assets (2)
109,846  133,011  4,223    247,080 
Derivative assets 34,748  310,581  3,133  (313,118) 35,344 
AFS debt securities:          
U.S. Treasury and government agencies 198,071  1,074      199,145 
Mortgage-backed securities:          
Agency   46,339      46,339 
Agency-collateralized mortgage obligations   3,380      3,380 
Non-agency residential   267  316    583 
Commercial   19,604      19,604 
Non-U.S. securities   11,933      11,933 
Other taxable securities   2,690  71    2,761 
Tax-exempt securities   15,381  52    15,433 
Total AFS debt securities 198,071  100,668  439    299,178 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 575        575 
Non-agency residential MBS   343  242    585 
Non-U.S. and other securities
2,580  5,155      7,735 
Total other debt securities carried at fair value 3,155  5,498  242    8,895 
Loans and leases   7,071  748    7,819 
Loans held-for-sale   4,138  317    4,455 
Other assets (3)
7,657  2,915  1,572    12,144 
Total assets (4)
$ 354,184  $ 714,547  $ 10,674  $ (313,118) $ 766,287 
Liabilities          
Interest-bearing deposits in U.S. offices $   $ 408  $   $   $ 408 
Federal funds purchased and securities loaned or sold under agreements to repurchase
  139,641      139,641 
Trading account liabilities:        
U.S. Treasury and government agencies 19,826  313      20,139 
Equity securities 41,744  6,491      48,235 
Non-U.S. sovereign debt 10,400  13,781      24,181 
Corporate securities and other   8,124  11    8,135 
Total trading account liabilities 71,970  28,709  11    100,690 
Derivative liabilities 35,282  314,380  5,795  (317,782) 37,675 
Short-term borrowings   4,279      4,279 
Accrued expenses and other liabilities 8,359  3,130      11,489 
Long-term debt   28,633  1,075    29,708 
Total liabilities (4)
$ 115,611  $ 519,180  $ 6,881  $ (317,782) $ 323,890 
(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 $10.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $752 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 $818 million which are classified as Level 3 assets.
(4)Total recurring Level 3 assets were 0.34 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.24 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 2021, 2020 and 2019, 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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
Purchases Sales Issuances Settlements
Year Ended December 31, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ (17) $   $ 765  $ (437) $   $ (327) $ 1,218  $ (451) $ 2,110  $ (79)
Equity securities
227  (18)   103  (68)     112  (166) 190  (44)
Non-U.S. sovereign debt
354  31  (20) 18      (13) 26    396  34 
Mortgage trading loans, ABS and other MBS
1,440  (58)   518  (721) 7  (167) 771  (263) 1,527  (91)
Total trading account assets 3,380  (62) (20) 1,404  (1,226) 7  (507) 2,127  (880) 4,223  (180)
Net derivative assets (liabilities) (4)
(3,468) 927    521  (653)   293  (74) (208) (2,662) 800 
AFS debt securities:                    
Non-agency residential MBS 378  (11) (111)   (98)   (45) 304  (101) 316  8 
Non-U.S. securities
18  (4)     (10)   (4)        
Other taxable securities
71    (7) 8          (1) 71   
Tax-exempt securities 176  20          (2)   (142) 52  (19)
Total AFS debt securities 643  5  (118) 8  (108)   (51) 304  (244) 439  (11)
Other debt securities carried at fair value – Non-agency residential MBS
267  1      (45)   (37) 101  (45) 242  10 
Loans and leases (5,6)
717  62    59  (13) 70  (180) 46  (13) 748  65 
Loans held-for-sale (5,6)
236  13  (6) 132  (1)   (79) 26  (4) 317  18 
Other assets (6,7)
1,970  7  3  26  (202) 144  (383) 9  (2) 1,572  3 
Trading account liabilities – Corporate securities
   and other
(16) 6        (1)       (11)  
Long-term debt (5)
(1,164) (92) 13  (6) 15  (12) 98  (65) 138  (1,075) (113)
Year Ended December 31, 2020
Trading account assets:          
Corporate securities, trading loans and other
$ 1,507  $ (138) $ (1) $ 430  $ (242) $ 10  $ (282) $ 639  $ (564) $ 1,359  $ (102)
Equity securities 239  (43) —  78  (53) —  (3) 58  (49) 227  (31)
Non-U.S. sovereign debt 482  45  (46) 76  (61) —  (39) 150  (253) 354  47 
Mortgage trading loans, ABS and other MBS
1,553  (120) (3) 577  (746) 11  (96) 757  (493) 1,440  (92)
Total trading account assets 3,781  (256) (50) 1,161  (1,102) 21  (420) 1,604  (1,359) 3,380  (178)
Net derivative assets (liabilities) (4)
(2,538) (235) —  120  (646) —  (112) (235) 178  (3,468) (953)
AFS debt securities:              
Non-agency residential MBS 424  (2) 23  (54) —  (44) 158  (130) 378  (2)
Non-U.S. securities —  —  (1) —  (1) 17  —  18 
Other taxable securities 65  —  —  (4) —  —  —  71  — 
Tax-exempt securities 108  (21) —  —  —  (169) 265  (10) 176  (20)
Total AFS debt securities 599  (22) 32  (59) —  (214) 441  (140) 643  (21)
Other debt securities carried at fair value – Non-agency residential MBS
299  26  —  —  (180) —  (24) 190  (44) 267 
Loans and leases (5,6)
693  (4) —  145  (76) 22  (161) 98  —  717 
Loans held-for-sale (5,6)
375  26  (28) —  (489) 691  (119) 93  (313) 236  (5)
Other assets (6,7)
2,360  (288) 178  (4) 224  (506) (2) 1,970  (374)
Trading account liabilities – Equity securities
(2) —  —  —  —  —  —  —  — 
Trading account liabilities – Corporate securities
   and other
(15) —  (7) (3) —  —  —  (16) — 
Long-term debt (5)
(1,149) (46) (104) —  (47) 218  (52) 14  (1,164) (5)
(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 $19 million and $41 million related to financial instruments still held at December 31, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and $2.8 billion and derivative liabilities of $5.8 billion and $6.2 billion at December 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.
Level 3 – Fair Value Measurements (1)
(Dollars in millions) Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases Sales Issuances Settlements
Year Ended December 31, 2019
Trading account assets:            
Corporate securities, trading loans and other $ 1,558  $ 105  $ —  $ 534  $ (390) $ 18  $ (578) $ 699  $ (439) $ 1,507  $ 29 
Equity securities 276  (12) —  38  (87) —  (9) 79  (46) 239  (18)
Non-U.S. sovereign debt 465  46  (12) —  —  (51) 39  (6) 482  47 
Mortgage trading loans, ABS and other MBS 1,635  99  (2) 662  (899) —  (175) 738  (505) 1,553  26 
Total trading account assets 3,934  238  (14) 1,235  (1,376) 18  (813) 1,555  (996) 3,781  84 
Net derivative assets (liabilities) (4,8)
(935) (37) —  298  (837) —  (97) 147  (1,077) (2,538) 228 
AFS debt securities:              
Non-agency residential MBS 597  13  64  —  (73) —  (40) 206  (343) 424  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  (5) 61  —  65  — 
Tax-exempt securities —  —  —  —  —  —  —  108  —  108  — 
Total AFS debt securities 606  15  64  —  (73) —  (45) 375  (343) 599  — 
Other debt securities carried at fair value - Non-agency residential MBS 172  36  —  —  —  —  (17) 155  (47) 299  38 
Loans and leases (5,6)
338  —  —  230  (35) 217  (57) —  —  693  (1)
Loans held-for-sale (5,6)
542  48  (6) 12  (71) 36  (245) 59  —  375  22 
Other assets (6,7)
2,932  (81) 19  —  (10) 179  (683) (1) 2,360  (267)
Trading account liabilities – Equity securities —  (2) —  —  —  —  —  —  —  (2) (2)
Trading account liabilities – Corporate securities and other (18) —  (1) (3) (1) —  —  —  (15) — 
Long-term debt (5,8)
(817) (59) (64) —  —  (40) 180  (350) (1,149) (55)
(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 - predominantly 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 of $3 million related to financial instruments still held at December 31, 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.2 billion and derivative liabilities of $4.8 billion at December 31, 2019.
(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.
(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
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 2021, 2020 and 2019, 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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
Purchases Sales Issuances Settlements
Year Ended December 31, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ (17) $   $ 765  $ (437) $   $ (327) $ 1,218  $ (451) $ 2,110  $ (79)
Equity securities
227  (18)   103  (68)     112  (166) 190  (44)
Non-U.S. sovereign debt
354  31  (20) 18      (13) 26    396  34 
Mortgage trading loans, ABS and other MBS
1,440  (58)   518  (721) 7  (167) 771  (263) 1,527  (91)
Total trading account assets 3,380  (62) (20) 1,404  (1,226) 7  (507) 2,127  (880) 4,223  (180)
Net derivative assets (liabilities) (4)
(3,468) 927    521  (653)   293  (74) (208) (2,662) 800 
AFS debt securities:                    
Non-agency residential MBS 378  (11) (111)   (98)   (45) 304  (101) 316  8 
Non-U.S. securities
18  (4)     (10)   (4)        
Other taxable securities
71    (7) 8          (1) 71   
Tax-exempt securities 176  20          (2)   (142) 52  (19)
Total AFS debt securities 643  5  (118) 8  (108)   (51) 304  (244) 439  (11)
Other debt securities carried at fair value – Non-agency residential MBS
267  1      (45)   (37) 101  (45) 242  10 
Loans and leases (5,6)
717  62    59  (13) 70  (180) 46  (13) 748  65 
Loans held-for-sale (5,6)
236  13  (6) 132  (1)   (79) 26  (4) 317  18 
Other assets (6,7)
1,970  7  3  26  (202) 144  (383) 9  (2) 1,572  3 
Trading account liabilities – Corporate securities
   and other
(16) 6        (1)       (11)  
Long-term debt (5)
(1,164) (92) 13  (6) 15  (12) 98  (65) 138  (1,075) (113)
Year Ended December 31, 2020
Trading account assets:          
Corporate securities, trading loans and other
$ 1,507  $ (138) $ (1) $ 430  $ (242) $ 10  $ (282) $ 639  $ (564) $ 1,359  $ (102)
Equity securities 239  (43) —  78  (53) —  (3) 58  (49) 227  (31)
Non-U.S. sovereign debt 482  45  (46) 76  (61) —  (39) 150  (253) 354  47 
Mortgage trading loans, ABS and other MBS
1,553  (120) (3) 577  (746) 11  (96) 757  (493) 1,440  (92)
Total trading account assets 3,781  (256) (50) 1,161  (1,102) 21  (420) 1,604  (1,359) 3,380  (178)
Net derivative assets (liabilities) (4)
(2,538) (235) —  120  (646) —  (112) (235) 178  (3,468) (953)
AFS debt securities:              
Non-agency residential MBS 424  (2) 23  (54) —  (44) 158  (130) 378  (2)
Non-U.S. securities —  —  (1) —  (1) 17  —  18 
Other taxable securities 65  —  —  (4) —  —  —  71  — 
Tax-exempt securities 108  (21) —  —  —  (169) 265  (10) 176  (20)
Total AFS debt securities 599  (22) 32  (59) —  (214) 441  (140) 643  (21)
Other debt securities carried at fair value – Non-agency residential MBS
299  26  —  —  (180) —  (24) 190  (44) 267 
Loans and leases (5,6)
693  (4) —  145  (76) 22  (161) 98  —  717 
Loans held-for-sale (5,6)
375  26  (28) —  (489) 691  (119) 93  (313) 236  (5)
Other assets (6,7)
2,360  (288) 178  (4) 224  (506) (2) 1,970  (374)
Trading account liabilities – Equity securities
(2) —  —  —  —  —  —  —  — 
Trading account liabilities – Corporate securities
   and other
(15) —  (7) (3) —  —  —  (16) — 
Long-term debt (5)
(1,149) (46) (104) —  (47) 218  (52) 14  (1,164) (5)
(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 $19 million and $41 million related to financial instruments still held at December 31, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and $2.8 billion and derivative liabilities of $5.8 billion and $6.2 billion at December 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.
Level 3 – Fair Value Measurements (1)
(Dollars in millions) Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
Gross Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases Sales Issuances Settlements
Year Ended December 31, 2019
Trading account assets:            
Corporate securities, trading loans and other $ 1,558  $ 105  $ —  $ 534  $ (390) $ 18  $ (578) $ 699  $ (439) $ 1,507  $ 29 
Equity securities 276  (12) —  38  (87) —  (9) 79  (46) 239  (18)
Non-U.S. sovereign debt 465  46  (12) —  —  (51) 39  (6) 482  47 
Mortgage trading loans, ABS and other MBS 1,635  99  (2) 662  (899) —  (175) 738  (505) 1,553  26 
Total trading account assets 3,934  238  (14) 1,235  (1,376) 18  (813) 1,555  (996) 3,781  84 
Net derivative assets (liabilities) (4,8)
(935) (37) —  298  (837) —  (97) 147  (1,077) (2,538) 228 
AFS debt securities:              
Non-agency residential MBS 597  13  64  —  (73) —  (40) 206  (343) 424  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  (5) 61  —  65  — 
Tax-exempt securities —  —  —  —  —  —  —  108  —  108  — 
Total AFS debt securities 606  15  64  —  (73) —  (45) 375  (343) 599  — 
Other debt securities carried at fair value - Non-agency residential MBS 172  36  —  —  —  —  (17) 155  (47) 299  38 
Loans and leases (5,6)
338  —  —  230  (35) 217  (57) —  —  693  (1)
Loans held-for-sale (5,6)
542  48  (6) 12  (71) 36  (245) 59  —  375  22 
Other assets (6,7)
2,932  (81) 19  —  (10) 179  (683) (1) 2,360  (267)
Trading account liabilities – Equity securities —  (2) —  —  —  —  —  —  —  (2) (2)
Trading account liabilities – Corporate securities and other (18) —  (1) (3) (1) —  —  —  (15) — 
Long-term debt (5,8)
(817) (59) (64) —  —  (40) 180  (350) (1,149) (55)
(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 - predominantly 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 of $3 million related to financial instruments still held at December 31, 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.2 billion and derivative liabilities of $4.8 billion at December 31, 2019.
(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.
(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
Fair Value Measurement Inputs and Valuation Techniques
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at December 31, 2021 and 2020.
Quantitative Information about Level 3 Fair Value Measurements at December 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 $ 1,269  Discounted cash flow, Market comparables Yield
0% to 25%
%
Trading account assets – Mortgage trading loans, ABS and other MBS
338  Prepayment speed
1% to 40% CPR
19% CPR
Loans and leases 373  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 316  Price
$0 to $168
$92
Other debt securities carried at fair value – Non-agency residential 242  Loss severity
0% to 43%
13  %
Instruments backed by commercial real estate assets $ 298  Discounted cash
flow
Yield
0% to 25%
%
Trading account assets – Corporate securities, trading loans and other 138  Price
$0 to $101
$57
Trading account assets – Mortgage trading loans, ABS and other MBS 77 
AFS debt securities – Other taxable securities 71 
Loans held-for-sale 12 
Commercial loans, debt securities and other $ 4,212  Discounted cash flow, Market comparables Yield
0% to 19%
10  %
Trading account assets – Corporate securities, trading loans and other
1,972  Prepayment speed
10% to 20%
16  %
Trading account assets – Non-U.S. sovereign debt 396  Default rate
3% to 4%
%
Trading account assets – Mortgage trading loans, ABS and other MBS 1,112  Loss severity
35% to 40%
37  %
AFS debt securities – Tax-exempt securities 52  Price
$0 to $189
$73
Loans and leases 375  Long-dated equity volatilities
45%
n/a
Loans held-for-sale 305 
Other assets, primarily auction rate securities $ 754  Discounted cash flow, Market comparables Price
$10 to $96
$91

Discount rate % n/a
MSRs $ 818  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
4 years
Weighted-average life, variable rate (5)
0 to 10 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
%
Option-adjusted spread, variable rate
9% to 15%
12  %
Structured liabilities
Long-term debt $ (1,075)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
0% to 19%
18  %
Equity correlation
3% to 100%
80  %
Long-dated equity volatilities
5% to 78%
36  %
Price
$0 to $125
$82
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (104) Discounted cash flow, Stochastic recovery correlation model Credit spreads
7 to 155 bps
61 bps
Upfront points
16 to 100 points
 68 points
Prepayment speed
15% CPR
n/a
Default rate
2% CDR
n/a
Credit correlation
20% to 60%
55  %
Price
$0 to $120
$53
Equity derivatives $ (1,710)
Industry standard derivative pricing (3)
Equity correlation
3% to 100%
80  %
Long-dated equity volatilities
5% to 78%
36  %
Commodity derivatives $ (976)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Correlation
65% to 85%
76  %
Power forward price
$11 to $103
$32
Volatilities
41% to 69%
63  %
Interest rate derivatives $ 128 
Industry standard derivative pricing (4)
Correlation (IR/IR)
(1)% to 90%
54  %
Correlation (FX/IR)
(1)% to 58%
44  %
Long-dated inflation rates
 (10)% to 11%
%
Long-dated inflation volatilities
0% to 2%
%
Interest rate volatilities
0% to 2%
%
Total net derivative assets (liabilities) $ (2,662)
(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 152: Trading account assets – Corporate securities, trading loans and other of $2.1 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.5 billion, AFS debt securities of $439 million, Other debt securities carried at fair value - Non-agency residential of $242 million, Other assets, including MSRs, of $1.6 billion, Loans and leases of $748 million and LHFS of $317 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%
%
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%
%
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%
%
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%
%
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%
%
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%
%
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%
%
Long-dated inflation rates
G(7)% to 84%
14  %
Long-dated inflation volatilities
0% to 1%
%
Interest rates volatilities
0% to 2%
%
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 153: 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
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2021 December 31, 2020
(Dollars in millions)
 
Level 2 Level 3 Level 2 Level 3
Assets      
Loans held-for-sale $ 634  $ 24  $ 1,020  $ 792 
Loans and leases (1)
  213  —  301 
Foreclosed properties (2, 3)
  5  —  17 
Other assets 256  2,046  323  576 
Gains (Losses)
2021 2020 2019
Assets      
Loans held-for-sale $ (44) $ (79) $ (14)
Loans and leases (1)
(60) (73)