Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2022
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 June 30, 2022 and December 31, 2021, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
June 30, 2022
  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
 $ 774  $ —  $ —  $ —  $ 774 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  154,287  —  —  154,287 
Trading account assets:          
U.S. Treasury and government agencies 46,899  287  —  —  47,186 
Corporate securities, trading loans and other —  45,434  2,367  —  47,801 
Equity securities 99,723  31,104  179  —  131,006 
Non-U.S. sovereign debt 9,177  25,200  470  —  34,847 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  22,869  96  —  22,965 
Mortgage trading loans, ABS and other MBS —  8,932  1,290  —  10,222 
Total trading account assets (2)
155,799  133,826  4,402  —  294,027 
Derivative assets 21,180  384,582  2,967  (346,682) 62,047 
AFS debt securities:          
U.S. Treasury and government agencies 193,080  975  —  —  194,055 
Mortgage-backed securities:          
Agency —  28,725  —  —  28,725 
Agency-collateralized mortgage obligations —  2,613  —  —  2,613 
Non-agency residential —  131  299  —  430 
Commercial —  12,560  —  —  12,560 
Non-U.S. securities 1  11,636  199  —  11,836 
Other taxable securities —  3,269  1  —  3,270 
Tax-exempt securities —  12,713  52  —  12,765 
Total AFS debt securities 193,081  72,622  551  —  266,254 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 190  —  —  —  190 
Non-agency residential MBS —  297  112  —  409 
Non-U.S. and other securities
 4,051  3,761  —  —  7,812 
Total other debt securities carried at fair value 4,241  4,058  112  —  8,411 
Loans and leases —  5,240  256  —  5,496 
Loans held-for-sale —  1,525  345  —  1,870 
Other assets (3)
4,980  1,250  1,750  —  7,980 
Total assets (4)
$ 380,055  $ 757,390  $ 10,383  $ (346,682) $ 801,146 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 444  $ —  $ —  $ 444 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  145,165  —  —  145,165 
Trading account liabilities:        
U.S. Treasury and government agencies 19,495  326  —  —  19,821 
Equity securities 37,397  7,430  —  —  44,827 
Non-U.S. sovereign debt 13,495  10,685  —  —  24,180 
Corporate securities and other —  8,460  14  —  8,474 
Total trading account liabilities 70,387  26,901  14  —  97,302 
Derivative liabilities 19,572  365,284  4,649  (351,080) 38,425 
Short-term borrowings —  2,931  —  —  2,931 
Accrued expenses and other liabilities 5,457  1,461  63  —  6,981 
Long-term debt —  27,563  812  —  28,375 
Total liabilities (4)
$ 95,416  $ 569,749  $ 5,538  $ (351,080) $ 319,623 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes securities with a fair value of $11.3 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $2.0 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 $963 million, which are classified as Level 3 assets.
(4)Total recurring Level 3 assets were 0.33 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.19 percent of total consolidated liabilities.
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.
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 six months ended June 30, 2022 and 2021, 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 April 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 June 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 June 30, 2022
Trading account assets:              
Corporate securities, trading loans and other
$ 2,189  $ (67) $ (1) $ 755  $ (45) $ —  $ (99) $ 152  $ (517) $ 2,367  $ (90)
Equity securities 183  (9) —  12  (9) —  —  18  (16) 179  (7)
Non-U.S. sovereign debt 496  (1) (33) 5  (2) —  —  5  —  470  — 
Mortgage trading loans, MBS and ABS 1,615  (86) —  78  (162) —  (73) 65  (51) 1,386  (95)
Total trading account assets 4,483  (163) (34) 850  (218) —  (172) 240  (584) 4,402  (192)
Net derivative assets (liabilities) (4)
(2,134) 725  —  67  (166) —  237  (36) (375) (1,682) 763 
AFS debt securities:                    
Non-agency residential MBS 244  (2) 2  —  —  —  (19) 74  —  299  (2)
Non-U.S. and other taxable securities 155  3  (8) 126  —  —  (9) —  (67) 200  — 
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  — 
Total AFS debt securities 451  1  (6) 126  —  —  (28) 74  (67) 551  (2)
Other debt securities carried at fair value – Non-agency residential MBS
 138  (1) —  —  —  —  (8) —  (17) 112  (1)
Loans and leases (5,6)
690  (11) —  —  (153) —  (21) —  (249) 256  (9)
Loans held-for-sale (5,6)
382  17  (7) 66  (6) —  (115) 8  —  345  13 
Other assets (6,7)
1,695  82  (8) —  —  45  (64) —  —  1,750  61 
Trading account liabilities – Corporate securities
   and other
 (11) (1) —  —  —  —  (2) —  —  (14) — 
Accrued expenses and other liabilities (5)
(50) (13) —  —  —  —  —  —  —  (63) (13)
Long-term debt (5)
(877) (13) 46  —  14  (1) 13  —  6  (812) (13)
Three Months Ended June 30, 2021
Trading account assets:
Corporate securities, trading loans and other
 $ 1,516  $ 38  $ —  $ 185  $ (110) $ —  $ (116) $ 306  $ (55) $ 1,764  $ 16 
Equity securities 273  32  —  8  (26) —  —  26  (53) 260  23 
Non-U.S. sovereign debt 334  20  34  —  —  —  —  26  —  414  20 
Mortgage trading loans, MBS and ABS 1,561  (10) —  119  (274) —  (28) 188  (58) 1,498  (10)
Total trading account assets 3,684  80  34  312  (410) —  (144) 546  (166) 3,936  49 
Net derivative assets (liabilities) (4)
(3,206) 5  —  211  (88) —  36  (83) 241  (2,884) (19)
AFS debt securities:              
Non-agency residential MBS 284  1  3  —  —  —  (8) —  (75) 205  — 
Non-U.S. and other taxable securities 86  (1) 1  —  —  —  (1) —  —  85  — 
Tax-exempt securities 98  3  —  —  —  —  —  —  (50) 51  3 
Total AFS debt securities 468  3  4  —  —  —  (9) —  (125) 341  3 
Other debt securities carried at fair value – Non-agency residential MBS
 260  3  —  —  —  —  (14) 32  —  281  3 
Loans and leases (5,6)
793  34  —  —  —  60  (46) 16  —  857  34 
Loans held-for-sale (5,6)
220  10  11  38  —  —  (23) 7  —  263  4 
Other assets (6,7)
2,090  (153) 4  55  (144) 23  (100) —  —  1,775  (117)
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) — 
Long-term debt (5)
(1,028) (67) 15  2  —  (2) 19  —  1  (1,060) (66)
(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; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $(9) million and $67 million related to financial instruments still held at June 30, 2022 and 2021.
(4)Net derivative assets (liabilities) include derivative assets of $3.0 billion and $3.3 billion and derivative liabilities of $4.6 billion and $6.2 billion at June 30, 2022 and 2021.
(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
June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
 Purchases Sales Issuances Settlements
Six Months Ended June 30, 2022
Trading account assets:              
Corporate securities, trading loans and other
$ 2,110  $ (69) $ (1) $ 767  $ (198) $ —  $ (117) $ 520  $ (645) $ 2,367  $ (53)
Equity securities
 190  7  —  28  (15) —  (4) 26  (53) 179  (11)
Non-U.S. sovereign debt
 396  19  20  7  (2) —  (15) 50  (5) 470  16 
Mortgage trading loans, MBS and ABS 1,527  (178) —  207  (317) —  (94) 316  (75) 1,386  (124)
Total trading account assets 4,223  (221) 19  1,009  (532) —  (230) 912  (778) 4,402  (172)
Net derivative assets (liabilities) (4)
(2,662) 1,342  —  125  (351) —  344  (179) (301) (1,682) 1,238 
AFS debt securities:                    
Non-agency residential MBS 316  2  (22) —  (8) —  (63) 74  —  299  2 
Non-U.S. and other taxable securities 71  3  (9) 126  —  —  (9) 87  (69) 200  3 
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  (1)
Total AFS debt securities 439  5  (31) 126  (8) —  (72) 161  (69) 551  4 
Other debt securities carried at fair value – Non-agency residential MBS
 242  (40) —  —  —  —  (73) —  (17) 112  (5)
Loans and leases (5,6)
748  (41) —  —  (154) —  (48) —  (249) 256  (34)
Loans held-for-sale (5,6)
317  24  5  170  (6) —  (173) 8  —  345  18 
Other assets (6,7)
1,572  226  (5) —  1  85  (133) 4  —  1,750  193 
Trading account liabilities – Corporate securities
   and other
 (11) (1) —  —  —  —  (2) —  —  (14) — 
Accrued expenses and other liabilities (5)
—  (63) —  —  —  —  —  —  —  (63) (64)
Long-term debt (5)
(1,075) (122) 79  —  14  (1) 17  (6) 282  (812) (125)
Six Months Ended June 30, 2021
Trading account assets:          
Corporate securities, trading loans and other
 $ 1,359  $ 25  $ —  $ 426  $ (257) $ —  $ (133) $ 458  $ (114) $ 1,764  $ (5)
Equity securities 227  22  —  53  (49) —  —  78  (71) 260  14 
Non-U.S. sovereign debt 354  20  12  2  —  —  —  26  —  414  23 
Mortgage trading loans, MBS and ABS 1,440  39  —  247  (495) 1  (64) 444  (114) 1,498  16 
Total trading account assets 3,380  106  12  728  (801) 1  (197) 1,006  (299) 3,936  48 
Net derivative assets (liabilities) (4)
(3,468) 291  —  349  (349) —  183  (191) 301  (2,884) 192 
AFS debt securities:              
Non-agency residential MBS 378  (15) (94) —  —  —  (25) 36  (75) 205  (2)
Non-U.S. and other taxable securities 89  (1) (5) 8  —  —  (6) —  —  85  — 
Tax-exempt securities 176  17  —  —  —  —  —  —  (142) 51  16 
Total AFS debt securities 643  1  (99) 8  —  —  (31) 36  (217) 341  14 
Other debt securities carried at fair value – Non-agency residential MBS
 267  2  —  —  —  —  (20) 32  —  281  2 
Loans and leases (5,6)
717  104  —  —  —  70  (80) 46  —  857  111 
Loans held-for-sale (5,6)
236  4  3  38  —  —  (40) 26  (4) 263  (5)
Other assets (6,7)
1,970  21  8  55  (145) 64  (205) 7  —  1,775  46 
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) 1 
Long-term debt (5)
(1,164) (18) 2  2  —  (2) 37  (32) 115  (1,060) (34)
(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; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $71 million and $(5) million related to financial instruments still held at June 30, 2022 and 2021.
(4)Net derivative assets (liabilities) include derivative assets of $3.0 billion and $3.3 billion and derivative liabilities of $4.6 billion and $6.2 billion at June 30, 2022 and 2021.
(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 six months ended June 30, 2022 and 2021, 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 April 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 June 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 June 30, 2022
Trading account assets:              
Corporate securities, trading loans and other
$ 2,189  $ (67) $ (1) $ 755  $ (45) $ —  $ (99) $ 152  $ (517) $ 2,367  $ (90)
Equity securities 183  (9) —  12  (9) —  —  18  (16) 179  (7)
Non-U.S. sovereign debt 496  (1) (33) 5  (2) —  —  5  —  470  — 
Mortgage trading loans, MBS and ABS 1,615  (86) —  78  (162) —  (73) 65  (51) 1,386  (95)
Total trading account assets 4,483  (163) (34) 850  (218) —  (172) 240  (584) 4,402  (192)
Net derivative assets (liabilities) (4)
(2,134) 725  —  67  (166) —  237  (36) (375) (1,682) 763 
AFS debt securities:                    
Non-agency residential MBS 244  (2) 2  —  —  —  (19) 74  —  299  (2)
Non-U.S. and other taxable securities 155  3  (8) 126  —  —  (9) —  (67) 200  — 
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  — 
Total AFS debt securities 451  1  (6) 126  —  —  (28) 74  (67) 551  (2)
Other debt securities carried at fair value – Non-agency residential MBS
 138  (1) —  —  —  —  (8) —  (17) 112  (1)
Loans and leases (5,6)
690  (11) —  —  (153) —  (21) —  (249) 256  (9)
Loans held-for-sale (5,6)
382  17  (7) 66  (6) —  (115) 8  —  345  13 
Other assets (6,7)
1,695  82  (8) —  —  45  (64) —  —  1,750  61 
Trading account liabilities – Corporate securities
   and other
 (11) (1) —  —  —  —  (2) —  —  (14) — 
Accrued expenses and other liabilities (5)
(50) (13) —  —  —  —  —  —  —  (63) (13)
Long-term debt (5)
(877) (13) 46  —  14  (1) 13  —  6  (812) (13)
Three Months Ended June 30, 2021
Trading account assets:
Corporate securities, trading loans and other
 $ 1,516  $ 38  $ —  $ 185  $ (110) $ —  $ (116) $ 306  $ (55) $ 1,764  $ 16 
Equity securities 273  32  —  8  (26) —  —  26  (53) 260  23 
Non-U.S. sovereign debt 334  20  34  —  —  —  —  26  —  414  20 
Mortgage trading loans, MBS and ABS 1,561  (10) —  119  (274) —  (28) 188  (58) 1,498  (10)
Total trading account assets 3,684  80  34  312  (410) —  (144) 546  (166) 3,936  49 
Net derivative assets (liabilities) (4)
(3,206) 5  —  211  (88) —  36  (83) 241  (2,884) (19)
AFS debt securities:              
Non-agency residential MBS 284  1  3  —  —  —  (8) —  (75) 205  — 
Non-U.S. and other taxable securities 86  (1) 1  —  —  —  (1) —  —  85  — 
Tax-exempt securities 98  3  —  —  —  —  —  —  (50) 51  3 
Total AFS debt securities 468  3  4  —  —  —  (9) —  (125) 341  3 
Other debt securities carried at fair value – Non-agency residential MBS
 260  3  —  —  —  —  (14) 32  —  281  3 
Loans and leases (5,6)
793  34  —  —  —  60  (46) 16  —  857  34 
Loans held-for-sale (5,6)
220  10  11  38  —  —  (23) 7  —  263  4 
Other assets (6,7)
2,090  (153) 4  55  (144) 23  (100) —  —  1,775  (117)
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) — 
Long-term debt (5)
(1,028) (67) 15  2  —  (2) 19  —  1  (1,060) (66)
(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; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $(9) million and $67 million related to financial instruments still held at June 30, 2022 and 2021.
(4)Net derivative assets (liabilities) include derivative assets of $3.0 billion and $3.3 billion and derivative liabilities of $4.6 billion and $6.2 billion at June 30, 2022 and 2021.
(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
June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
 Purchases Sales Issuances Settlements
Six Months Ended June 30, 2022
Trading account assets:              
Corporate securities, trading loans and other
$ 2,110  $ (69) $ (1) $ 767  $ (198) $ —  $ (117) $ 520  $ (645) $ 2,367  $ (53)
Equity securities
 190  7  —  28  (15) —  (4) 26  (53) 179  (11)
Non-U.S. sovereign debt
 396  19  20  7  (2) —  (15) 50  (5) 470  16 
Mortgage trading loans, MBS and ABS 1,527  (178) —  207  (317) —  (94) 316  (75) 1,386  (124)
Total trading account assets 4,223  (221) 19  1,009  (532) —  (230) 912  (778) 4,402  (172)
Net derivative assets (liabilities) (4)
(2,662) 1,342  —  125  (351) —  344  (179) (301) (1,682) 1,238 
AFS debt securities:                    
Non-agency residential MBS 316  2  (22) —  (8) —  (63) 74  —  299  2 
Non-U.S. and other taxable securities 71  3  (9) 126  —  —  (9) 87  (69) 200  3 
Tax-exempt securities 52  —  —  —  —  —  —  —  —  52  (1)
Total AFS debt securities 439  5  (31) 126  (8) —  (72) 161  (69) 551  4 
Other debt securities carried at fair value – Non-agency residential MBS
 242  (40) —  —  —  —  (73) —  (17) 112  (5)
Loans and leases (5,6)
748  (41) —  —  (154) —  (48) —  (249) 256  (34)
Loans held-for-sale (5,6)
317  24  5  170  (6) —  (173) 8  —  345  18 
Other assets (6,7)
1,572  226  (5) —  1  85  (133) 4  —  1,750  193 
Trading account liabilities – Corporate securities
   and other
 (11) (1) —  —  —  —  (2) —  —  (14) — 
Accrued expenses and other liabilities (5)
—  (63) —  —  —  —  —  —  —  (63) (64)
Long-term debt (5)
(1,075) (122) 79  —  14  (1) 17  (6) 282  (812) (125)
Six Months Ended June 30, 2021
Trading account assets:          
Corporate securities, trading loans and other
 $ 1,359  $ 25  $ —  $ 426  $ (257) $ —  $ (133) $ 458  $ (114) $ 1,764  $ (5)
Equity securities 227  22  —  53  (49) —  —  78  (71) 260  14 
Non-U.S. sovereign debt 354  20  12  2  —  —  —  26  —  414  23 
Mortgage trading loans, MBS and ABS 1,440  39  —  247  (495) 1  (64) 444  (114) 1,498  16 
Total trading account assets 3,380  106  12  728  (801) 1  (197) 1,006  (299) 3,936  48 
Net derivative assets (liabilities) (4)
(3,468) 291  —  349  (349) —  183  (191) 301  (2,884) 192 
AFS debt securities:              
Non-agency residential MBS 378  (15) (94) —  —  —  (25) 36  (75) 205  (2)
Non-U.S. and other taxable securities 89  (1) (5) 8  —  —  (6) —  —  85  — 
Tax-exempt securities 176  17  —  —  —  —  —  —  (142) 51  16 
Total AFS debt securities 643  1  (99) 8  —  —  (31) 36  (217) 341  14 
Other debt securities carried at fair value – Non-agency residential MBS
 267  2  —  —  —  —  (20) 32  —  281  2 
Loans and leases (5,6)
717  104  —  —  —  70  (80) 46  —  857  111 
Loans held-for-sale (5,6)
236  4  3  38  —  —  (40) 26  (4) 263  (5)
Other assets (6,7)
1,970  21  8  55  (145) 64  (205) 7  —  1,775  46 
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) 1 
Long-term debt (5)
(1,164) (18) 2  2  —  (2) 37  (32) 115  (1,060) (34)
(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; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $71 million and $(5) million related to financial instruments still held at June 30, 2022 and 2021.
(4)Net derivative assets (liabilities) include derivative assets of $3.0 billion and $3.3 billion and derivative liabilities of $4.6 billion and $6.2 billion at June 30, 2022 and 2021.
(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 June 30, 2022 and December 31, 2021.
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2022
(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 $ 806  Discounted cash flow, Market comparables Yield
0% to 25%
 7  %
Trading account assets – Mortgage trading loans, MBS and ABS 238  Prepayment speed
0% to 33% CPR
14% CPR
Loans and leases 157  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 299  Price
$0 to $120
 $28
Other debt securities carried at fair value – Non-agency residential 112  Loss severity
0% to 100%
 24  %
Instruments backed by commercial real estate assets $ 467  Discounted cash
flow		 Yield
0% to 25%
 6  %
Trading account assets – Corporate securities, trading loans and other 377  Price
$0 to $100
 $75
Trading account assets – Mortgage trading loans, MBS and ABS 73 
Loans held-for-sale 17 
Commercial loans, debt securities and other $ 4,214  Discounted cash flow, Market comparables Yield
3% to 145%
 16  %
Trading account assets – Corporate securities, trading loans and other
 1,990  Prepayment speed
10% to 20%
 16  %
Trading account assets – Non-U.S. sovereign debt 470  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 1,075  Loss severity
35% to 40%
 37  %
AFS debt securities – Tax-exempt securities 52  Price
$0 to $157
 $73
AFS debt securities – Non-U.S. and other taxable securities 200 
Loans and leases 99 
Loans held-for-sale 328 
Other assets, primarily auction rate securities $ 787  Discounted cash flow, Market comparables Price
$10 to $95
 $93

Discount rate 10  % n/a
MSRs $ 963  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
5 years
Weighted-average life, variable rate (5)
0 to 12 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
 9  %
Option-adjusted spread, variable rate
9% to 15%
 12  %
Structured liabilities
Long-term debt $ (812)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
20% to 145%
 22  %
Equity correlation
0% to 92%
 58  %
Price
$0 to $100
 $71
Natural gas forward price
$3/MMBtu to $8/MMBtu
$5 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (26) Discounted cash flow, Stochastic recovery correlation model Credit spreads
2 to 176 bps
69 bps
Upfront points
0 to 100 points
 68 points
Prepayment speed
15% CPR
 n/a
Default rate
2% CDR
 n/a
Credit correlation
19% to 60%
 43  %
Price
$0 to $151
 $58
Equity derivatives $ (1,283)
Industry standard derivative pricing (3)
Equity correlation
4% to 100%
 86  %
Long-dated equity volatilities
5% to 91%
 45  %
Commodity derivatives $ (434)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$3/MMBtu to $8/MMBtu
$5 /MMBtu
Power forward price
$17 to $197
 $50
Interest rate derivatives $ 61 
Industry standard derivative pricing (4)
Correlation (IR/IR)
(1)% to 92%
 66  %
Correlation (FX/IR)
0% to 58%
 45  %
Long-dated inflation rates
 (16)% to 39%
1  %
Long-dated inflation volatilities
2% to 5%
 3  %
Interest rate volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (1,682)
(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 86: Trading account assets – Corporate securities, trading loans and other of $2.4 billion, Trading account assets – Non-U.S. sovereign debt of $470 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.4 billion, AFS debt securities of $551 million, Other debt securities carried at fair value - Non-agency residential of $112 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $256 million and LHFS of $345 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, 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%
 6  %
Trading account assets – Mortgage trading loans, MBS and ABS 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%
 4  %
Trading account assets – Corporate securities, trading loans and other 138  Price
$0 to $101
 $57
Trading account assets – Mortgage trading loans, MBS and ABS 77 
AFS debt securities – Non-U.S. and 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%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 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
9%
 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%
9  %
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
G(10)% to 11%
3  %
Long-dated inflation volatilities
0% to 2%
 2  %
Interest rates volatilities
0% to 2%
 1  %
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 87: 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
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 six months ended June 30, 2022 and 2021.
Assets Measured at Fair Value on a Nonrecurring Basis
June 30, 2022 Three Months Ended June 30, 2022 Six Months Ended June 30, 2022
(Dollars in millions) Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 749  $ 403  $ (31) $ (32)
Loans and leases (1)
—  124  (21) (33)
Foreclosed properties (2, 3)
—  3  (2) (1)
Other assets 85  48  (23) (41)
  June 30, 2021 Three Months Ended June 30, 2021 Six Months Ended June 30, 2021
Assets    
Loans held-for-sale $ 1,105  $ 52  $ 9  $ 9 
Loans and leases (1)
—  142  (24) (37)
Foreclosed properties (2, 3)
—  3  —  (1)
Other assets 322  2,172  (67) (470)
(1)Includes $8 million and $12 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2022 compared to losses of $15 million and $18 million for the same periods in 2021.
(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 $71 million and $66 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at June 30, 2022 and 2021.
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the six months ended June 30, 2022 and the year ended December 31, 2021.
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) Six Months Ended June 30, 2022
Loans held-for-sale $ 403  Market comparables Price
$85 to $100
 $91
Loans and leases (2)
124  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
48  Discounted cash flow Discount rate 7  % n/a
Year Ended December 31, 2021
Loans and leases (2)
$ 213  Market comparables OREO discount
13% to 59%
 24  %
Costs to sell
8% to 26%
 9  %
Other assets (4)
1,875  Discounted cash flow Discount rate
7%
 n/a
166 Market comparables Estimated appraisal value n/a n/a
(1)The weighted average is calculated based upon the fair value of the loans.
(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.
(3)Represents the fair value of certain impaired renewable energy investments.
(4)Represents the fair value of certain impaired renewable energy investments and impaired assets related to the Corporation’s real estate rationalization.
n/a = not applicable