Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.24.0.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2023 and 2022, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
December 31, 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
 $ 1,181  $ —  $ —  $ —  $ 1,181 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  436,340  —  (303,287) 133,053 
Trading account assets:          
U.S. Treasury and government agencies 65,160  1,963  —  —  67,123 
Corporate securities, trading loans and other —  41,462  1,689  —  43,151 
Equity securities 47,431  41,380  187  —  88,998 
Non-U.S. sovereign debt 5,517  21,195  396  —  27,108 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  38,802  2  —  38,804 
Mortgage trading loans, ABS and other MBS —  10,955  1,215  —  12,170 
Total trading account assets (2)
118,108  155,757  3,489  —  277,354 
Derivative assets 14,676  272,244  3,422  (251,019) 39,323 
AFS debt securities:          
U.S. Treasury and government agencies 176,764  902  —  —  177,666 
Mortgage-backed securities:          
Agency —  37,812  —  —  37,812 
Agency-collateralized mortgage obligations —  2,544  —  —  2,544 
Non-agency residential —  109  273  —  382 
Commercial —  10,435  —  —  10,435 
Non-U.S. securities 1,093  21,679  103  —  22,875 
Other taxable securities —  4,835  —  —  4,835 
Tax-exempt securities —  10,100  —  —  10,100 
Total AFS debt securities 177,857  88,416  376  —  266,649 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 1,690  —  —  —  1,690 
Non-agency residential MBS —  211  69  —  280 
Non-U.S. and other securities
 1,786  6,447  —  —  8,233 
Total other debt securities carried at fair value 3,476  6,658  69  —  10,203 
Loans and leases —  3,476  93  —  3,569 
Loans held-for-sale —  1,895  164  —  2,059 
Other assets (3)
8,052  2,152  1,657  —  11,861 
Total assets (4)
$ 323,350  $ 966,938  $ 9,270  $ (554,306) $ 745,252 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 284  $ —  $ —  $ 284 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  481,896  —  (303,287) 178,609 
Trading account liabilities:        
U.S. Treasury and government agencies 14,908  65  —  —  14,973 
Equity securities 51,772  4,710  12  —  56,494 
Non-U.S. sovereign debt 9,390  6,997  —  —  16,387 
Corporate securities and other —  7,637  39  —  7,676 
Total trading account liabilities 76,070  19,409  51  —  95,530 
Derivative liabilities 14,375  280,908  5,916  (257,767) 43,432 
Short-term borrowings —  4,680  10  —  4,690 
Accrued expenses and other liabilities 8,969  2,483  21  —  11,473 
Long-term debt —  42,195  614  —  42,809 
Total liabilities (4)
$ 99,414  $ 831,855  $ 6,612  $ (561,054) $ 376,827 
(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 $18.0 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 $42 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 $970 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.23 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 2023, 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
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, 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  144  2  453  (241) 20  (1,029) 385  (429) 1,689  50 
Equity securities
 145  44  —  39  (52) —  (61) 153  (81) 187  (5)
Non-U.S. sovereign debt
 518  68  30  64  (23) —  (259) —  (2) 396  70 
Mortgage trading loans, MBS and ABS 1,552  (50) —  263  (417) —  (241) 436  (326) 1,217  (71)
Total trading account assets 4,599  206  32  819  (733) 20  (1,590) 974  (838) 3,489  44 
Net derivative assets (liabilities) (4)
(2,893) 179  (375) 1,318  (1,281) —  (1,575) (8) 2,141  (2,494) (857)
AFS debt securities:                    
Non-agency residential MBS 258  1  23  —  —  —  (9) —  —  273  2 
Non-U.S. and other taxable securities 195  10  7  —  —  —  (106) 4  (7) 103  2 
Tax-exempt securities 51  1  —  —  —  —  (52) —  —  —  — 
Total AFS debt securities 504  12  30  —  —  —  (167) 4  (7) 376  4 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (6) —  (21) 69  (3)
Loans and leases (5,6)
253  (9) —  9  (54) —  (100) 16  (22) 93  (13)
Loans held-for-sale (5,6)
232  24  3  —  (25) —  (70) —  —  164  13 
Other assets (6,7)
1,799  211  10  176  (326) 104  (319) 2  —  1,657  74 
Trading account liabilities – Equity securities
 —  1  —  —  —  —  2  (15) —  (12) 1 
Trading account liabilities – Corporate securities
   and other
 (58) (3) —  (3) (1) (1) 24  (35) 38  (39) (9)
Short-term borrowings (5)
(14) 1  —  —  (13) (8) 24  —  —  (10) (1)
Accrued expenses and other liabilities (5)
(32) 21  —  (11) —  —  —  —  1  (21) 4 
Long-term debt (5)
(862) 179  (26) (9) 50  —  47  —  7  (614) 183 
Year Ended December 31, 2022
Trading account assets:          
Corporate securities, trading loans and other
 $ 2,110  $ (52) $ (2) $ 1,069  $ (384) $ —  $ (606) $ 1,023  $ (774) $ 2,384  $ (78)
Equity securities 190  (3) —  45  (25) —  (4) 38  (96) 145  (6)
Non-U.S. sovereign debt 396  59  16  54  (4) —  (68) 75  (10) 518  56 
Mortgage trading loans, MBS and ABS 1,527  (254) —  729  (665) —  (112) 536  (209) 1,552  (152)
Total trading account assets 4,223  (250) 14  1,897  (1,078) —  (790) 1,672  (1,089) 4,599  (180)
Net derivative assets (liabilities) (4)
(2,662) 551  —  319  (830) —  294  (180) (385) (2,893) 259 
AFS debt securities:              
Non-agency residential MBS 316  —  (35) —  (8) —  (75) 73  (13) 258  — 
Non-U.S. and other taxable securities 71  10  (10) 126  —  —  (22) 311  (291) 195  1 
Tax-exempt securities 52  —  1  —  —  —  (3) 1  —  51  — 
Total AFS debt securities 439  10  (44) 126  (8) —  (100) 385  (304) 504  1 
Other debt securities carried at fair value – Non-agency residential MBS
 242  (19) —  —  —  —  (111) 30  (23) 119  14 
Loans and leases (5,6)
748  (45) —  —  (154) 82  (129) —  (249) 253  (21)
Loans held-for-sale (5,6)
317  9  4  171  (6) —  (271) 8  —  232  19 
Other assets (6,7)
1,572  305  (21) 39  (35) 208  (271) 5  (3) 1,799  213 
Trading account liabilities – Corporate securities
   and other
 (11) 5  —  (4) —  —  (2) (46) —  (58) 1 
Short-term borrowings (5)
—  3  —  —  (17) —  —  (3) 3  (14) 2 
Accrued expenses and other liabilities (5)
—  (23) —  (9) —  —  —  —  —  (32) (7)
Long-term debt (5)
(1,075) (197) 82  —  14  (1) 57  (24) 282  (862) (200)
(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 primarily 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 $(324) million and $28 million related to financial instruments still held at December 31, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $3.4 billion and $3.2 billion and derivative liabilities of $5.9 billion and $6.1 billion at December 31, 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.
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, 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, MBS and ABS 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. and other taxable securities 89  (4) (7) 8  (10) —  (4) —  (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)
(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 - market making and similar activities and other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized 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 related to financial instruments still held at December 31, 2021.
(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and derivative liabilities of $5.8 billion.
(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 2023, 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
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, 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  144  2  453  (241) 20  (1,029) 385  (429) 1,689  50 
Equity securities
 145  44  —  39  (52) —  (61) 153  (81) 187  (5)
Non-U.S. sovereign debt
 518  68  30  64  (23) —  (259) —  (2) 396  70 
Mortgage trading loans, MBS and ABS 1,552  (50) —  263  (417) —  (241) 436  (326) 1,217  (71)
Total trading account assets 4,599  206  32  819  (733) 20  (1,590) 974  (838) 3,489  44 
Net derivative assets (liabilities) (4)
(2,893) 179  (375) 1,318  (1,281) —  (1,575) (8) 2,141  (2,494) (857)
AFS debt securities:                    
Non-agency residential MBS 258  1  23  —  —  —  (9) —  —  273  2 
Non-U.S. and other taxable securities 195  10  7  —  —  —  (106) 4  (7) 103  2 
Tax-exempt securities 51  1  —  —  —  —  (52) —  —  —  — 
Total AFS debt securities 504  12  30  —  —  —  (167) 4  (7) 376  4 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (6) —  (21) 69  (3)
Loans and leases (5,6)
253  (9) —  9  (54) —  (100) 16  (22) 93  (13)
Loans held-for-sale (5,6)
232  24  3  —  (25) —  (70) —  —  164  13 
Other assets (6,7)
1,799  211  10  176  (326) 104  (319) 2  —  1,657  74 
Trading account liabilities – Equity securities
 —  1  —  —  —  —  2  (15) —  (12) 1 
Trading account liabilities – Corporate securities
   and other
 (58) (3) —  (3) (1) (1) 24  (35) 38  (39) (9)
Short-term borrowings (5)
(14) 1  —  —  (13) (8) 24  —  —  (10) (1)
Accrued expenses and other liabilities (5)
(32) 21  —  (11) —  —  —  —  1  (21) 4 
Long-term debt (5)
(862) 179  (26) (9) 50  —  47  —  7  (614) 183 
Year Ended December 31, 2022
Trading account assets:          
Corporate securities, trading loans and other
 $ 2,110  $ (52) $ (2) $ 1,069  $ (384) $ —  $ (606) $ 1,023  $ (774) $ 2,384  $ (78)
Equity securities 190  (3) —  45  (25) —  (4) 38  (96) 145  (6)
Non-U.S. sovereign debt 396  59  16  54  (4) —  (68) 75  (10) 518  56 
Mortgage trading loans, MBS and ABS 1,527  (254) —  729  (665) —  (112) 536  (209) 1,552  (152)
Total trading account assets 4,223  (250) 14  1,897  (1,078) —  (790) 1,672  (1,089) 4,599  (180)
Net derivative assets (liabilities) (4)
(2,662) 551  —  319  (830) —  294  (180) (385) (2,893) 259 
AFS debt securities:              
Non-agency residential MBS 316  —  (35) —  (8) —  (75) 73  (13) 258  — 
Non-U.S. and other taxable securities 71  10  (10) 126  —  —  (22) 311  (291) 195  1 
Tax-exempt securities 52  —  1  —  —  —  (3) 1  —  51  — 
Total AFS debt securities 439  10  (44) 126  (8) —  (100) 385  (304) 504  1 
Other debt securities carried at fair value – Non-agency residential MBS
 242  (19) —  —  —  —  (111) 30  (23) 119  14 
Loans and leases (5,6)
748  (45) —  —  (154) 82  (129) —  (249) 253  (21)
Loans held-for-sale (5,6)
317  9  4  171  (6) —  (271) 8  —  232  19 
Other assets (6,7)
1,572  305  (21) 39  (35) 208  (271) 5  (3) 1,799  213 
Trading account liabilities – Corporate securities
   and other
 (11) 5  —  (4) —  —  (2) (46) —  (58) 1 
Short-term borrowings (5)
—  3  —  —  (17) —  —  (3) 3  (14) 2 
Accrued expenses and other liabilities (5)
—  (23) —  (9) —  —  —  —  —  (32) (7)
Long-term debt (5)
(1,075) (197) 82  —  14  (1) 57  (24) 282  (862) (200)
(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 primarily 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 $(324) million and $28 million related to financial instruments still held at December 31, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $3.4 billion and $3.2 billion and derivative liabilities of $5.9 billion and $6.1 billion at December 31, 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.
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, 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, MBS and ABS 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. and other taxable securities 89  (4) (7) 8  (10) —  (4) —  (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)
(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 - market making and similar activities and other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized 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 related to financial instruments still held at December 31, 2021.
(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and derivative liabilities of $5.8 billion.
(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 December 31, 2023 and 2022.
Quantitative Information about Level 3 Fair Value Measurements at December 31, 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 $ 538  Discounted cash flow, Market comparables Yield
0% to 22%
 9  %
Trading account assets – Mortgage trading loans, MBS and ABS 109  Prepayment speed
1% to 42% CPR
10% CPR
Loans and leases 87  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 273  Price
$0 to $115
 $70
Other debt securities carried at fair value – Non-agency residential 69  Loss severity
0% to 100%
 27  %
Instruments backed by commercial real estate assets $ 363  Discounted cash
flow		 Yield
0% to 25%
 12  %
Trading account assets – Corporate securities, trading loans and other 301  Price
$0 to $100
 $75
Trading account assets – Mortgage trading loans, MBS and ABS 62 
Commercial loans, debt securities and other $ 3,103  Discounted cash flow, Market comparables Yield
5% to 59%
 13  %
Trading account assets – Corporate securities, trading loans and other
 1,388  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 1,046  Loss severity
35% to 40%
 37  %
AFS debt securities – Non-U.S. and other taxable securities 103  Price
$0 to $157
 $70
Loans and leases 6 
Loans held-for-sale 164 
Other assets, primarily auction rate securities $ 687  Discounted cash flow, Market comparables Price
$10 to $95
 $85

Discount rate 10  % n/a
MSRs $ 970  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 11 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
 9  %
Option-adjusted spread, variable rate
9% to 15%
 12  %
Structured liabilities
Long-term debt $ (614)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
58%
 n/a
Equity correlation
5% to 97%
 25  %
Price
$0 to $100
 $90
Natural gas forward price
$1/MMBtu to $7/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ 9  Discounted cash flow, Stochastic recovery correlation model Credit spreads
2 to 79 bps
59 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
22% to 62%
 58  %
Price
$0 to $94
 $87
Equity derivatives $ (1,386)
Industry standard derivative pricing (3)
Equity correlation
0% to 99%
 67  %
Long-dated equity volatilities
4% to 102%
 34  %
Commodity derivatives $ (633)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $7/MMBtu
$4 /MMBtu
Power forward price
$21 to $91
 $42
Interest rate derivatives $ (484)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
 65  %
Correlation (FX/IR)
(25)% to 58%
 35  %
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) $ (2,494)
(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 $1.7 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $376 million, Other debt securities carried at fair value - Non-agency residential of $69 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $93 million and LHFS of $164 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 154: 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 2023, 2022 and 2021.
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2023 December 31, 2022
(Dollars in millions)
 		 Level 2 Level 3 Level 2 Level 3
Assets      
Loans held-for-sale $ 77  $ 2,793  $ 1,979  $ 3,079 
Loans and leases (1)
—  153  —  166 
Foreclosed properties (2, 3)
—  48  —  7 
Other assets (4)
31  898  88  165 
Gains (Losses)
2023 2022 2021
Assets      
Loans held-for-sale $ (246) $ (387) $ (44)
Loans and leases (1)
(45) (48) (60)
Foreclosed properties (6) (6) (2)
Other assets (252) (91) (492)
(1)Includes $10 million, $15 million and $24 million of losses on loans that were written down to a collateral value of zero during 2023, 2022 and 2021, respectively.
(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 $31 million and $60 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2023 and 2022.
(4)Represents the fair value of certain impaired renewable energy investments.
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements at December 31, 2023 and 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) Year Ended December 31, 2023
Loans held-for-sale $ 2,793  Pricing model Implied yield
7% to 23%
 n/a
Loans and leases (2)
153  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
898  Discounted cash flow Discount rate 7  % n/a
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