Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.24.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2024
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, 2024 and December 31, 2023, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
June 30, 2024
  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
 $ 1,204  $ —  $ —  $ —  $ 1,204 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  474,966  —  (307,131) 167,835 
Trading account assets:          
U.S. Treasury and government agencies 53,509  456  —  —  53,965 
Corporate securities, trading loans and other —  47,917  1,816  —  49,733 
Equity securities 65,030  33,433  231  —  98,694 
Non-U.S. sovereign debt 14,892  33,788  323  —  49,003 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  45,030  9  —  45,039 
Mortgage trading loans, ABS and other MBS —  9,068  964  —  10,032 
Total trading account assets (2)
133,431  169,692  3,343  —  306,466 
Derivative assets 17,747  261,640  3,916  (247,347) 35,956 
AFS debt securities:          
U.S. Treasury and government agencies 199,372  908  —  —  200,280 
Mortgage-backed securities:          
Agency —  35,362  —  —  35,362 
Agency-collateralized mortgage obligations —  9,444  —  —  9,444 
Non-agency residential —  152  133  —  285 
Commercial —  11,851  170  —  12,021 
Non-U.S. securities 661  20,646  78  —  21,385 
Other taxable securities —  2,194  —  —  2,194 
Tax-exempt securities —  10,324  —  —  10,324 
Total AFS debt securities 200,033  90,881  381  —  291,295 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 1,843  —  —  —  1,843 
Non-agency residential MBS —  203  53  —  256 
Non-U.S. and other securities
 905  6,752  —  —  7,657 
Total other debt securities carried at fair value 2,748  6,955  53  —  9,756 
Loans and leases —  3,108  89  —  3,197 
Loans held-for-sale —  1,439  133  —  1,572 
Other assets (3)
10,309  3,305  1,700  —  15,314 
Total assets (4)
$ 365,472  $ 1,011,986  $ 9,615  $ (554,478) $ 832,595 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 370  $ —  $ —  $ 370 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  521,850  —  (307,131) 214,719 
Trading account liabilities:        
U.S. Treasury and government agencies 12,477  —  —  —  12,477 
Equity securities 43,110  6,193  11  —  49,314 
Non-U.S. sovereign debt 17,213  9,414  —  —  26,627 
Corporate securities and other —  11,851  72  —  11,923 
Mortgage trading loans and ABS —  4  —  —  4 
Total trading account liabilities 72,800  27,462  83  —  100,345 
Derivative liabilities 21,969  264,696  6,282  (252,439) 40,508 
Short-term borrowings —  7,192  8  —  7,200 
Accrued expenses and other liabilities 11,515  3,541  8  —  15,064 
Long-term debt —  46,287  588  —  46,875 
Total liabilities (4)
$ 106,284  $ 871,398  $ 6,969  $ (559,570) $ 425,081 
(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 $12.8 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $313 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 $989 million.
(4)Total recurring Level 3 assets were 0.30 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.24 percent of total consolidated liabilities.
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.
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, 2024 and 2023, 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, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,582  $ 17  $ (2) $ 185  $ (71) $ 20  $ (142) $ 317  $ (90) $ 1,816  $ (18)
Equity securities 214  2  —  48  (15) —  (1) —  (17) 231  7 
Non-U.S. sovereign debt 394  (9) (25) 15  (4) —  (48) —  —  323  (9)
Mortgage trading loans, MBS and ABS 1,058  (23) —  101  (187) —  (16) 92  (52) 973  (20)
Total trading account assets 3,248  (13) (27) 349  (277) 20  (207) 409  (159) 3,343  (40)
Net derivative assets (liabilities) (4)
(2,668) 477  —  309  (243) —  (287) (158) 204  (2,366) 460 
AFS debt securities:                    
Non-agency residential MBS 251  1  —  —  —  —  (2) —  (117) 133  1 
Commercial MBS
 —  (6) 1  175  —  —  —  —  —  170  (6)
Non-U.S. and other taxable securities 91  (8) —  —  —  —  (2) 1  (4) 78  (2)
Total AFS debt securities 342  (13) 1  175  —  —  (4) 1  (121) 381  (7)
Other debt securities carried at fair value – Non-agency residential MBS
 71  (2) —  —  —  —  —  —  (16) 53  (2)
Loans and leases (5,6)
90  1  —  —  —  —  (2) —  —  89  — 
Loans held-for-sale (5)
149  —  (3) —  —  —  (13) —  —  133  (3)
Other assets (6,7)
1,668  85  (15) 18  —  27  (83) —  —  1,700  57 
Trading account liabilities – Equity securities
 (28) 2  —  —  —  —  6  —  9  (11) — 
Trading account liabilities – Corporate securities
   and other
 (43) (15) —  (1) (13) (1) 1  —  —  (72) (16)
Short-term borrowings (5)
(9) 1  —  —  —  (9) 9  —  —  (8) 1 
Accrued expenses and other liabilities (5)
(19) (11) —  22  —  —  —  —  —  (8) (11)
Long-term debt (5)
(611) 18  (2) —  —  —  7  —  —  (588) 18 
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 (5,6)
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 
(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 - 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 - 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 $44 million and $124 million related to financial instruments still held at June 30, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.9 billion and $4.4 billion and derivative liabilities of $6.3 billion and $9.4 billion at June 30, 2024 and 2023.
(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, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,689  $ 24  $ (3) $ 291  $ (128) $ 23  $ (466) $ 515  $ (129) $ 1,816  $ (40)
Equity securities
 187  6  —  86  (37) —  (4) 11  (18) 231  9 
Non-U.S. sovereign debt
 396  5  (34) 26  (5) —  (65) —  —  323  5 
Mortgage trading loans, MBS and ABS 1,217  (23) —  237  (471) —  (43) 164  (108) 973  (43)
Total trading account assets 3,489  12  (37) 640  (641) 23  (578) 690  (255) 3,343  (69)
Net derivative assets (liabilities) (4)
(2,494) 506  —  494  (579) —  (535) (299) 541  (2,366) (616)
AFS debt securities:                    
Non-agency residential MBS 273  9  47  —  —  —  (141) 62  (117) 133  10 
Commercial MBS
 —  (6) 1  175  —  —  —  —  —  170  (6)
Non-U.S. and other taxable securities 103  (7) —  —  —  —  (14) 1  (5) 78  (2)
Total AFS debt securities 376  (4) 48  175  —  —  (155) 63  (122) 381  2 
Other debt securities carried at fair value – Non-agency residential MBS
 69  3  —  —  —  —  (20) 17  (16) 53  3 
Loans and leases (5,6)
93  1  —  —  —  1  (6) —  —  89  1 
Loans held-for-sale (5,6)
164  (2) (4) —  —  —  (25) —  —  133  (6)
Other assets (6,7)
1,657  140  (26) 20  —  73  (165) 1  —  1,700  93 
Trading account liabilities – Equity securities
 (12) 2  —  —  (4) —  6  (14) 11  (11) — 
Trading account liabilities – Corporate securities
   and other
 (39) (18) —  (3) (13) (2) 9  (6) —  (72) (20)
Short-term borrowings (5)
(10) —  —  —  —  (9) 11  —  —  (8) — 
Accrued expenses and other liabilities (5)
(21) (9) —  22  —  —  —  —  —  (8) (8)
Long-term debt (5)
(614) 31  (17) —  —  —  13  (1) —  (588) 32 
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 
(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 - market making and similar activities and 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 - 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 $33 million and $74 million related to financial instruments still held at June 30, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.9 billion and $4.4 billion and derivative liabilities of $6.3 billion and $9.4 billion at June 30, 2024 and 2023.
(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, 2024 and 2023, 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, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,582  $ 17  $ (2) $ 185  $ (71) $ 20  $ (142) $ 317  $ (90) $ 1,816  $ (18)
Equity securities 214  2  —  48  (15) —  (1) —  (17) 231  7 
Non-U.S. sovereign debt 394  (9) (25) 15  (4) —  (48) —  —  323  (9)
Mortgage trading loans, MBS and ABS 1,058  (23) —  101  (187) —  (16) 92  (52) 973  (20)
Total trading account assets 3,248  (13) (27) 349  (277) 20  (207) 409  (159) 3,343  (40)
Net derivative assets (liabilities) (4)
(2,668) 477  —  309  (243) —  (287) (158) 204  (2,366) 460 
AFS debt securities:                    
Non-agency residential MBS 251  1  —  —  —  —  (2) —  (117) 133  1 
Commercial MBS
 —  (6) 1  175  —  —  —  —  —  170  (6)
Non-U.S. and other taxable securities 91  (8) —  —  —  —  (2) 1  (4) 78  (2)
Total AFS debt securities 342  (13) 1  175  —  —  (4) 1  (121) 381  (7)
Other debt securities carried at fair value – Non-agency residential MBS
 71  (2) —  —  —  —  —  —  (16) 53  (2)
Loans and leases (5,6)
90  1  —  —  —  —  (2) —  —  89  — 
Loans held-for-sale (5)
149  —  (3) —  —  —  (13) —  —  133  (3)
Other assets (6,7)
1,668  85  (15) 18  —  27  (83) —  —  1,700  57 
Trading account liabilities – Equity securities
 (28) 2  —  —  —  —  6  —  9  (11) — 
Trading account liabilities – Corporate securities
   and other
 (43) (15) —  (1) (13) (1) 1  —  —  (72) (16)
Short-term borrowings (5)
(9) 1  —  —  —  (9) 9  —  —  (8) 1 
Accrued expenses and other liabilities (5)
(19) (11) —  22  —  —  —  —  —  (8) (11)
Long-term debt (5)
(611) 18  (2) —  —  —  7  —  —  (588) 18 
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 (5,6)
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 
(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 - 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 - 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 $44 million and $124 million related to financial instruments still held at June 30, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.9 billion and $4.4 billion and derivative liabilities of $6.3 billion and $9.4 billion at June 30, 2024 and 2023.
(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, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,689  $ 24  $ (3) $ 291  $ (128) $ 23  $ (466) $ 515  $ (129) $ 1,816  $ (40)
Equity securities
 187  6  —  86  (37) —  (4) 11  (18) 231  9 
Non-U.S. sovereign debt
 396  5  (34) 26  (5) —  (65) —  —  323  5 
Mortgage trading loans, MBS and ABS 1,217  (23) —  237  (471) —  (43) 164  (108) 973  (43)
Total trading account assets 3,489  12  (37) 640  (641) 23  (578) 690  (255) 3,343  (69)
Net derivative assets (liabilities) (4)
(2,494) 506  —  494  (579) —  (535) (299) 541  (2,366) (616)
AFS debt securities:                    
Non-agency residential MBS 273  9  47  —  —  —  (141) 62  (117) 133  10 
Commercial MBS
 —  (6) 1  175  —  —  —  —  —  170  (6)
Non-U.S. and other taxable securities 103  (7) —  —  —  —  (14) 1  (5) 78  (2)
Total AFS debt securities 376  (4) 48  175  —  —  (155) 63  (122) 381  2 
Other debt securities carried at fair value – Non-agency residential MBS
 69  3  —  —  —  —  (20) 17  (16) 53  3 
Loans and leases (5,6)
93  1  —  —  —  1  (6) —  —  89  1 
Loans held-for-sale (5,6)
164  (2) (4) —  —  —  (25) —  —  133  (6)
Other assets (6,7)
1,657  140  (26) 20  —  73  (165) 1  —  1,700  93 
Trading account liabilities – Equity securities
 (12) 2  —  —  (4) —  6  (14) 11  (11) — 
Trading account liabilities – Corporate securities
   and other
 (39) (18) —  (3) (13) (2) 9  (6) —  (72) (20)
Short-term borrowings (5)
(10) —  —  —  —  (9) 11  —  —  (8) — 
Accrued expenses and other liabilities (5)
(21) (9) —  22  —  —  —  —  —  (8) (8)
Long-term debt (5)
(614) 31  (17) —  —  —  13  (1) —  (588) 32 
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 
(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 - market making and similar activities and 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 - 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 $33 million and $74 million related to financial instruments still held at June 30, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.9 billion and $4.4 billion and derivative liabilities of $6.3 billion and $9.4 billion at June 30, 2024 and 2023.
(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, 2024 and December 31, 2023.
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2024
(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 $ 418  Discounted cash flow, Market comparables Yield
0% to 18%
 9  %
Trading account assets – Mortgage trading loans, MBS and ABS 149  Prepayment speed
0% to 45% CPR
9% CPR
Loans and leases 83  Default rate
0% to 5% CDR
5% CDR
AFS debt securities – Non-agency residential 133  Price
$0 to $115
 $63
Other debt securities carried at fair value – Non-agency residential 53  Loss severity
0% to 74%
 26  %
Instruments backed by commercial real estate assets $ 507  Discounted cash
flow		 Yield
0% to 25%
 11  %
Trading account assets – Corporate securities, trading loans and other 281  Price
$0 to $101
 $81
Trading account assets – Mortgage trading loans, MBS and ABS 56 
AFS debt securities – Commercial
 170 
Commercial loans, debt securities and other $ 2,843  Discounted cash flow, Market comparables Yield
5% to 41%
 16  %
Trading account assets – Corporate securities, trading loans and other
 1,535  Prepayment speed
10% to 20%
 15  %
Trading account assets – Non-U.S. sovereign debt 323  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 768  Loss severity
35% to 40%
 37  %
AFS debt securities – Non-U.S. and other taxable securities 78  Price
$0 to $157
 $70
Loans and leases 6 
Loans held-for-sale 133 
Other assets, primarily auction rate securities $ 711  Discounted cash flow, Market comparables Price
$10 to $95
 $86

Discount rate 11  % n/a
MSRs $ 989  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 12 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%
 11  %
Structured liabilities
Long-term debt $ (588)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
18% to 30%
 22  %
Price
$33 to $100
 $90
Natural gas forward price
$1/MMBtu to $8/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ 26  Discounted cash flow, Stochastic recovery correlation model Credit spreads
8 to 76 bps
53 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
23% to 64%
 58  %
Price
$0 to $94
 $87
Equity derivatives $ (1,278)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 60  %
Long-dated equity volatilities
1% to 101%
 32  %
Commodity derivatives $ (691)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $8/MMBtu
$4 /MMBtu
Power forward price
$22 to $119
 $49
Interest rate derivatives $ (423)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 70%
 50  %
Correlation (FX/IR)
(25)% to 58%
 28  %
Long-dated inflation rates
 (1)% to 12%
0  %
Long-dated inflation volatilities
0% to 5%
 2  %
Interest rate volatilities
(1)% to 2%
 0  %
Total net derivative assets (liabilities) $ (2,366)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type, which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 89: Trading account assets – Corporate securities, trading loans and other of $1.8 billion, Trading account assets – Non-U.S. sovereign debt of $323 million, Trading account assets – Mortgage trading loans, MBS and ABS of $973 million, AFS debt securities of $381 million, Other debt securities carried at fair value - Non-agency residential of $53 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $89 million and LHFS of $133 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, 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
G(1)% to 11%
0  %
Long-dated inflation volatilities
0% to 5%
 2  %
Interest rates 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 90: 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
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, 2024 and 2023.
Assets Measured at Fair Value on a Nonrecurring Basis
June 30, 2024 Three Months Ended June 30, 2024 Six Months Ended June 30, 2024
(Dollars in millions)
 		 Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 14  $ 2,686  $ (49) $ (105)
Loans and leases (1)
—  71  (10) (17)
Foreclosed properties (2, 3)
—  46  (2) (1)
Other assets (4)
1  296  (27) (40)
  June 30, 2023 Three Months Ended June 30, 2023 Six Months Ended June 30, 2023
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)
(1)Includes $2 million and $4 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2024 compared to losses of $3 million and $5 million for the same periods in 2023.
(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 $21 million and $46 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at June 30, 2024 and 2023.
(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 during the six months ended June 30, 2024 and the year ended December 31, 2023.
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, 2024
Loans held-for-sale $ 2,686  Pricing model Implied yield
14% to 23%
 n/a
Loans and leases (2)
71  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
296 Discounted cash flow Discount rate 7  % n/a
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
(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