Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2023
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, 2023 and December 31, 2022, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
June 30, 2023
  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
 $ 902  $ —  $ —  $ —  $ 902 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  415,470  7  (263,396) 152,081 
Trading account assets:          
U.S. Treasury and government agencies 67,763  3,029  —  —  70,792 
Corporate securities, trading loans and other —  41,933  2,100  —  44,033 
Equity securities 70,741  39,420  159  —  110,320 
Non-U.S. sovereign debt 10,290  29,499  568  —  40,357 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  35,727  11  —  35,738 
Mortgage trading loans, ABS and other MBS —  8,938  1,222  —  10,160 
Total trading account assets (2)
148,794  158,546  4,060  —  311,400 
Derivative assets 16,130  358,083  4,371  (332,109) 46,475 
AFS debt securities:          
U.S. Treasury and government agencies 70,442  916  —  —  71,358 
Mortgage-backed securities:          
Agency —  22,153  —  —  22,153 
Agency-collateralized mortgage obligations —  1,803  —  —  1,803 
Non-agency residential —  111  288  —  399 
Commercial —  6,481  —  —  6,481 
Non-U.S. securities 877  14,347  184  —  15,408 
Other taxable securities —  3,773  —  —  3,773 
Tax-exempt securities —  10,579  51  —  10,630 
Total AFS debt securities 71,319  60,163  523  —  132,005 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 824  —  —  —  824 
Non-agency residential MBS —  208  88  —  296 
Non-U.S. and other securities
 1,844  7,071  —  —  8,915 
Total other debt securities carried at fair value 2,668  7,279  88  —  10,035 
Loans and leases —  4,180  147  —  4,327 
Loans held-for-sale —  1,875  188  —  2,063 
Other assets (3)
6,965  1,254  1,809  —  10,028 
Total assets (4)
$ 246,778  $ 1,006,850  $ 11,193  $ (595,505) $ 669,316 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 379  $ —  $ —  $ 379 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  478,387  —  (263,396) 214,991 
Trading account liabilities:        
U.S. Treasury and government agencies 13,523  3  —  —  13,526 
Equity securities 50,888  4,240  —  —  55,128 
Non-U.S. sovereign debt 12,034  9,465  —  —  21,499 
Corporate securities and other —  7,616  49  —  7,665 
Total trading account liabilities 76,445  21,324  49  —  97,818 
Derivative liabilities 16,428  355,700  9,368  (338,097) 43,399 
Short-term borrowings —  2,228  11  —  2,239 
Accrued expenses and other liabilities 8,774  2,799  14  —  11,587 
Long-term debt —  39,958  664  —  40,622 
Total liabilities (4)
$ 101,647  $ 900,775  $ 10,106  $ (601,493) $ 411,035 
(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 $27.4 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $843 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(3)Includes MSRs, which are classified as Level 3 assets, of $1.0 billion.
(4)Total recurring Level 3 assets were 0.36 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.36 percent of total consolidated liabilities.
December 31, 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
 $ 868  $ —  $ —  $ —  $ 868 
Federal funds sold and securities borrowed or purchased under agreements to resell (2)
—  146,999  —  —  146,999 
Trading account assets:          
U.S. Treasury and government agencies 58,894  212  —  —  59,106 
Corporate securities, trading loans and other —  46,897  2,384  —  49,281 
Equity securities 77,868  35,065  145  —  113,078 
Non-U.S. sovereign debt 7,392  26,306  518  —  34,216 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  28,563  34  —  28,597 
Mortgage trading loans, ABS and other MBS —  10,312  1,518  —  11,830 
Total trading account assets (3)
144,154  147,355  4,599  —  296,108 
Derivative assets 14,775  380,380  3,213  (349,726) 48,642 
AFS debt securities:          
U.S. Treasury and government agencies 158,102  920  —  —  159,022 
Mortgage-backed securities:          
Agency —  23,442  —  —  23,442 
Agency-collateralized mortgage obligations —  2,221  —  —  2,221 
Non-agency residential —  128  258  —  386 
Commercial —  6,407  —  —  6,407 
Non-U.S. securities —  13,212  195  —  13,407 
Other taxable securities —  4,645  —  —  4,645 
Tax-exempt securities —  11,207  51  —  11,258 
Total AFS debt securities 158,102  62,182  504  —  220,788 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 561  —  —  —  561 
Non-agency residential MBS —  248  119  —  367 
Non-U.S. and other securities 3,027  5,251  —  —  8,278 
Total other debt securities carried at fair value 3,588  5,499  119  —  9,206 
Loans and leases —  5,518  253  —  5,771 
Loans held-for-sale —  883  232  —  1,115 
Other assets (4)
6,898  897  1,799  —  9,594 
Total assets (5)
$ 328,385  $ 749,713  $ 10,719  $ (349,726) $ 739,091 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 311  $ —  $ —  $ 311 
Federal funds purchased and securities loaned or sold under agreements to repurchase (2)
—  151,708  —  —  151,708 
Trading account liabilities:        
U.S. Treasury and government agencies 13,906  181  —  —  14,087 
Equity securities 36,937  4,825  —  —  41,762 
Non-U.S. sovereign debt 9,636  8,228  —  —  17,864 
Corporate securities and other —  6,628  58  —  6,686 
Total trading account liabilities 60,479  19,862  58  —  80,399 
Derivative liabilities 15,431  376,979  6,106  (353,700) 44,816 
Short-term borrowings —  818  14  —  832 
Accrued expenses and other liabilities 7,458  2,262  32  —  9,752 
Long-term debt —  32,208  862  —  33,070 
Total liabilities (5)
$ 83,368  $ 584,148  $ 7,072  $ (353,700) $ 320,888 
(1)Amounts represent the impact of legally enforceable derivative master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Amounts have been netted by $221.7 billion to reflect the application of legally enforceable master netting agreements.
(3)Includes securities with a fair value of $16.6 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 $40 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.
(4)Includes MSRs, which are classified as Level 3 assets, of $1.0 billion.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.25 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, 2023 and 2022, 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, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ 7  $ —  $ 7  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,322  34  1  98  (35) —  (308) 46  (58) 2,100  13 
Equity securities 212  (2) —  10  (32) —  (12) 6  (23) 159  (17)
Non-U.S. sovereign debt 541  12  20  33  —  —  (38) —  —  568  12 
Mortgage trading loans, MBS and ABS 1,300  (19) —  30  (52) —  (105) 155  (76) 1,233  (28)
Total trading account assets 4,375  25  21  171  (119) —  (463) 207  (157) 4,060  (20)
Net derivative assets (liabilities) (4)
(2,779) (1,630) (140) 280  (331) —  (480) (160) 243  (4,997) (1,690)
AFS debt securities:                    
Non-agency residential MBS 293  —  (2) —  —  —  (3) —  —  288  — 
Non-U.S. and other taxable securities 187  4  4  —  —  —  (7) —  (4) 184  2 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 531  4  2  —  —  —  (10) —  (4) 523  2 
Other debt securities carried at fair value – Non-agency residential MBS
 94  1  —  —  —  —  (2) —  (5) 88  2 
Loans and leases (5)
243  (13) —  —  (50) —  (33) —  —  147  (17)
Loans held-for-sale (5)
206  10  2  —  (5) —  (25) —  —  188  2 
Other assets (6,7)
1,769  98  6  —  1  17  (82) —  —  1,809  65 
Trading account liabilities – Corporate securities
   and other
 (64) (4) —  (1) —  —  2  (2) 20  (49) — 
Short-term borrowings (5)
(9) 3  —  —  (10) (1) 6  —  —  (11) 3 
Accrued expenses and other liabilities (5)
(20) 6  —  —  —  —  —  —  —  (14) 6 
Long-term debt (5)
(772) 64  (15) —  53  —  6  —  —  (664) 69 
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)
690  (11) —  —  (153) —  (21) —  (249) 256  (9)
Loans held-for-sale (5)
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)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; 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, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized losses of $124 million and $9 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent 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, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ 7  $ —  $ 7  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,384  61  2  224  (155) 14  (452) 194  (172) 2,100  29 
Equity securities
 145  (6) —  16  (44) —  (12) 83  (23) 159  (17)
Non-U.S. sovereign debt
 518  38  36  36  (6) —  (54) —  —  568  96 
Mortgage trading loans, MBS and ABS 1,552  (28) —  104  (202) —  (221) 242  (214) 1,233  (39)
Total trading account assets 4,599  65  38  380  (407) 14  (739) 519  (409) 4,060  69 
Net derivative assets (liabilities) (4)
(2,893) (1,561) (140) 529  (599) —  (795) 161  301  (4,997) (2,077)
AFS debt securities:                    
Non-agency residential MBS 258  3  32  —  —  —  (5) —  —  288  4 
Non-U.S. and other taxable securities 195  4  7  —  —  —  (15) —  (7) 184  (1)
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 504  7  39  —  —  —  (20) —  (7) 523  3 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (1) —  —  (19) —  (4) —  (7) 88  1 
Loans and leases (5,6)
253  (11) —  9  (50) —  (70) 16  —  147  (17)
Loans held-for-sale (5,6)
232  22  4  —  (21) —  (49) —  —  188  20 
Other assets (6,7)
1,799  108  7  6  1  44  (158) 2  —  1,809  48 
Trading account liabilities – Corporate securities
   and other
 (58) (4) —  (1) (2) (1) 2  (6) 21  (49) (1)
Short-term borrowings (5)
(14) 3  —  —  (13) (2) 15  —  —  (11) 2 
Accrued expenses and other liabilities (5)
(32) 30  —  (12) —  —  —  —  —  (14) 11 
Long-term debt (5)
(862) 151  (21) (9) 53  —  17  —  7  (664) 139 
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)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; 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, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(74) million and $71 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(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, 2023 and 2022, 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, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ 7  $ —  $ 7  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,322  34  1  98  (35) —  (308) 46  (58) 2,100  13 
Equity securities 212  (2) —  10  (32) —  (12) 6  (23) 159  (17)
Non-U.S. sovereign debt 541  12  20  33  —  —  (38) —  —  568  12 
Mortgage trading loans, MBS and ABS 1,300  (19) —  30  (52) —  (105) 155  (76) 1,233  (28)
Total trading account assets 4,375  25  21  171  (119) —  (463) 207  (157) 4,060  (20)
Net derivative assets (liabilities) (4)
(2,779) (1,630) (140) 280  (331) —  (480) (160) 243  (4,997) (1,690)
AFS debt securities:                    
Non-agency residential MBS 293  —  (2) —  —  —  (3) —  —  288  — 
Non-U.S. and other taxable securities 187  4  4  —  —  —  (7) —  (4) 184  2 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 531  4  2  —  —  —  (10) —  (4) 523  2 
Other debt securities carried at fair value – Non-agency residential MBS
 94  1  —  —  —  —  (2) —  (5) 88  2 
Loans and leases (5)
243  (13) —  —  (50) —  (33) —  —  147  (17)
Loans held-for-sale (5)
206  10  2  —  (5) —  (25) —  —  188  2 
Other assets (6,7)
1,769  98  6  —  1  17  (82) —  —  1,809  65 
Trading account liabilities – Corporate securities
   and other
 (64) (4) —  (1) —  —  2  (2) 20  (49) — 
Short-term borrowings (5)
(9) 3  —  —  (10) (1) 6  —  —  (11) 3 
Accrued expenses and other liabilities (5)
(20) 6  —  —  —  —  —  —  —  (14) 6 
Long-term debt (5)
(772) 64  (15) —  53  —  6  —  —  (664) 69 
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)
690  (11) —  —  (153) —  (21) —  (249) 256  (9)
Loans held-for-sale (5)
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)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; 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, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized losses of $124 million and $9 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent 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, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell $ —  $ —  $ —  $ —  $ —  $ —  $ —  $ 7  $ —  $ 7  $ — 
Trading account assets:              
Corporate securities, trading loans and other
2,384  61  2  224  (155) 14  (452) 194  (172) 2,100  29 
Equity securities
 145  (6) —  16  (44) —  (12) 83  (23) 159  (17)
Non-U.S. sovereign debt
 518  38  36  36  (6) —  (54) —  —  568  96 
Mortgage trading loans, MBS and ABS 1,552  (28) —  104  (202) —  (221) 242  (214) 1,233  (39)
Total trading account assets 4,599  65  38  380  (407) 14  (739) 519  (409) 4,060  69 
Net derivative assets (liabilities) (4)
(2,893) (1,561) (140) 529  (599) —  (795) 161  301  (4,997) (2,077)
AFS debt securities:                    
Non-agency residential MBS 258  3  32  —  —  —  (5) —  —  288  4 
Non-U.S. and other taxable securities 195  4  7  —  —  —  (15) —  (7) 184  (1)
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 504  7  39  —  —  —  (20) —  (7) 523  3 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (1) —  —  (19) —  (4) —  (7) 88  1 
Loans and leases (5,6)
253  (11) —  9  (50) —  (70) 16  —  147  (17)
Loans held-for-sale (5,6)
232  22  4  —  (21) —  (49) —  —  188  20 
Other assets (6,7)
1,799  108  7  6  1  44  (158) 2  —  1,809  48 
Trading account liabilities – Corporate securities
   and other
 (58) (4) —  (1) (2) (1) 2  (6) 21  (49) (1)
Short-term borrowings (5)
(14) 3  —  —  (13) (2) 15  —  —  (11) 2 
Accrued expenses and other liabilities (5)
(32) 30  —  (12) —  —  —  —  —  (14) 11 
Long-term debt (5)
(862) 151  (21) (9) 53  —  17  —  7  (664) 139 
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)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; 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, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(74) million and $71 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(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, 2023 and December 31, 2022.
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2023
(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 $ 599  Discounted cash flow, Market comparables Yield
0% to 20%
 9  %
Trading account assets – Mortgage trading loans, MBS and ABS 133  Prepayment speed
0% to 38% CPR
12% CPR
Loans and leases 90  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 288  Price
$0 to $114
 $20
Other debt securities carried at fair value – Non-agency residential 88  Loss severity
0% to 100%
 26  %
Instruments backed by commercial real estate assets $ 406  Discounted cash
flow		 Yield
0% to 25%
 12  %
Trading account assets – Corporate securities, trading loans and other 315  Price
$0 to $100
 $77
Trading account assets – Mortgage trading loans, MBS and ABS 91 
Commercial loans, debt securities and other $ 3,842  Discounted cash flow, Market comparables Yield
5% to 41%
 21  %
Trading account assets – Corporate securities, trading loans and other
 1,785  Prepayment speed
10% to 20%
 15  %
Trading account assets – Non-U.S. sovereign debt 568  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 1,009  Loss severity
35% to 40%
 38  %
AFS debt securities – Tax-exempt securities 51  Price
$0 to $157
 $72
AFS debt securities – Non-U.S. and other taxable securities 184 
Loans and leases 57 
Loans held-for-sale 188 
Other assets, primarily auction rate securities $ 805  Discounted cash flow, Market comparables Price
$10 to $97
 $94

Discount rate 11  % n/a
MSRs $ 1,004  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 10 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
 9  %
Option-adjusted spread, variable rate
9% to 15%
 12  %
Structured liabilities
Long-term debt $ (664)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
40% to 41%
 41  %
Equity correlation
2% to 95%
 79  %
Price
$0 to $100
 $88
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ 1  Discounted cash flow, Stochastic recovery correlation model Credit spreads
3 to 84 bps
67 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
19% to 60%
 53  %
Price
$0 to $100
 $87
Equity derivatives $ (1,419)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 68  %
Long-dated equity volatilities
2% to 122%
 38  %
Commodity derivatives $ (553)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Power forward price
$18 to $91
 $39
Interest rate derivatives $ (3,026)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
 66  %
Correlation (FX/IR)
11% to 58%
 42  %
Long-dated inflation rates
 (1)% to 11%
0  %
Long-dated inflation volatilities
0% to 5%
 2  %
Interest rate volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (4,997)
(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 91: Trading account assets – Corporate securities, trading loans and other of $2.1 billion, Trading account assets – Non-U.S. sovereign debt of $568 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $523 million, Other debt securities carried at fair value - Non-agency residential of $88 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $147 million and LHFS of $188 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, 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 $ 852  Discounted cash
flow, Market comparables		 Yield
0% to 25%
 10  %
Trading account assets – Mortgage trading loans, MBS and ABS 338 
Prepayment speed
0% to 29% CPR
12% CPR
Loans and leases 137  Default rate
0% to 3% CDR
1% CDR
AFS debt securities - Non-agency residential 258  Price
$0 to $111
 $26
Other debt securities carried at fair value - Non-agency residential 119  Loss severity
0% to 100%
 24  %
Instruments backed by commercial real estate assets $ 362  Discounted cash
flow		 Yield
0% to 25%
 10  %
Trading account assets – Corporate securities, trading loans and other 292  Price
$0 to $100
 $75
Trading account assets – Mortgage trading loans, MBS and ABS 66 
Loans held-for-sale 4 
Commercial loans, debt securities and other $ 4,348  Discounted cash flow, Market comparables Yield
 5% to 43%
 15  %
Trading account assets – Corporate securities, trading loans and other
 2,092 
Prepayment speed
10% to 20%
 15  %
Trading account assets – Non-U.S. sovereign debt 518  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 1,148  Loss severity
35% to 40%
 38  %
AFS debt securities – Tax-exempt securities 51  Price
 $0 to $157
 $75
AFS debt securities – Non-U.S. and other taxable securities 195 
Loans and leases 116 
Loans held-for-sale 228 
Other assets, primarily auction rate securities $ 779  Discounted cash flow, Market comparables
Price
$10 to $97
 $94

Discount rate
11%
 n/a
MSRs $ 1,020  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 12 years
4 years
Option-adjusted spread, fixed rate
7% to 14%
9  %
Option-adjusted spread, variable rate
9% to 15%
 12  %
Structured liabilities
Long-term debt $ (862)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
 22% to 43%
 23  %
Equity correlation
 0% to 95%
 69  %
Price
$0 to $119
 $90
Natural gas forward price
$3/MMBtu to $13/MMBtu
$9/MMBtu
Net derivative assets (liabilities)
Credit derivatives
 $ (44) Discounted cash flow, Stochastic recovery correlation model Credit spreads
3 to 63 bps
22 bps
Upfront points
0 to 100 points
 83 points
Prepayment speed
15% CPR
n/a
Default rate
2% CDR
n/a
Credit correlation
18% to 53%
 44  %
Price
$0 to $151
 $63
Equity derivatives
 $ (1,534)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 73  %
Long-dated equity volatilities
4% to 101%
 44  %
Commodity derivatives
 $ (291)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$3/MMBtu to $13/MMBtu
$8/MMBtu
Power forward price
$9 to $123
 $43
Interest rate derivatives
 $ (1,024)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
 67  %
Correlation (FX/IR)
11% to 58%
 43  %
Long-dated inflation rates
G0% to 39%
1  %
Long-dated inflation volatilities
0% to 5%
 2  %
Interest rates volatilities
0% to 2%
 1  %
Total net derivative assets (liabilities) $ (2,893)
(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 92: Trading account assets – Corporate securities, trading loans and other of $2.4 billion, Trading account assets – Non-U.S. sovereign debt of $518 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.6 billion, AFS debt securities of $504 million, Other debt securities carried at fair value - Non-agency residential of $119 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $253 million and LHFS of $232 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, 2023 and 2022.
Assets Measured at Fair Value on a Nonrecurring Basis
June 30, 2023 Three Months Ended June 30, 2023 Six Months Ended June 30, 2023
(Dollars in millions) Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 109  $ 3,671  $ (18) $ (67)
Loans and leases (1)
—  95  (13) (23)
Foreclosed properties (2, 3)
—  6  (4) (4)
Other assets 4  30  (1) (7)
  June 30, 2022 Three Months Ended June 30, 2022 Six Months Ended June 30, 2022
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)
(1)Includes $3 million and $5 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2023 compared to losses of $8 million and $12 million for the same periods in 2022.
(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 $46 million and $71 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at June 30, 2023 and 2022.
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, 2023 and the year ended December 31, 2022.
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, 2023
Loans held-for-sale $ 3,671  Pricing model Implied yield
9% to 26%
 n/a
Loans and leases (2)
95  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Year Ended December 31, 2022
Loans held-for-sale $ 3,079  Pricing model Implied yield
9% to 24%
 n/a
Loans and leases (2)
166  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
165 Discounted cash flow Discount rate 7  % n/a
(1)The weighted average is calculated based upon the fair value of the loans.
(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.
(3)Represents the fair value of certain impaired renewable energy investments.
n/a = not applicable