Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.24.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current
marketplace. During the nine months ended September 30, 2024, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact on the Corporation’s consolidated financial position or results of operations.
For more information regarding the fair value hierarchy, how the Corporation measures fair value and valuation techniques, see Note 1 – Summary of Significant Accounting Principles and Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 15 – Fair Value Option.
Recurring Fair Value
Assets and liabilities carried at fair value on a recurring basis at September 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.
September 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
 $ 1,174  $ —  $ —  $ —  $ 1,174 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  523,687  —  (347,458) 176,229 
Trading account assets:          
U.S. Treasury and government agencies 61,516  154  —  —  61,670 
Corporate securities, trading loans and other —  47,761  1,800  —  49,561 
Equity securities 85,151  35,041  251  —  120,443 
Non-U.S. sovereign debt 13,665  40,876  341  —  54,882 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  45,272  4  —  45,276 
Mortgage trading loans, ABS and other MBS —  9,273  1,030  —  10,303 
Total trading account assets (2)
160,332  178,377  3,426  —  342,135 
Derivative assets 20,477  283,198  3,652  (273,145) 34,182 
AFS debt securities:          
U.S. Treasury and government agencies 209,247  948  —  —  210,195 
Mortgage-backed securities:          
Agency —  34,594  —  —  34,594 
Agency-collateralized mortgage obligations —  16,504  —  —  16,504 
Non-agency residential —  75  221  —  296 
Commercial —  18,793  193  —  18,986 
Non-U.S. securities 1,006  21,831  77  —  22,914 
Other taxable securities —  2,609  —  —  2,609 
Tax-exempt securities —  9,621  —  —  9,621 
Total AFS debt securities 210,253  104,975  491  —  315,719 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 2,384  —  —  —  2,384 
Non-agency residential MBS —  129  137  —  266 
Non-U.S. and other securities
 793  6,274  —  —  7,067 
Total other debt securities carried at fair value 3,177  6,403  137  —  9,717 
Loans and leases —  4,086  86  —  4,172 
Loans held-for-sale —  2,985  156  —  3,141 
Other assets (3)
11,617  3,889  1,748  —  17,254 
Total assets (4)
$ 407,030  $ 1,107,600  $ 9,696  $ (620,603) $ 903,723 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 443  $ —  $ —  $ 443 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  590,889  —  (347,458) 243,431 
Trading account liabilities:        
U.S. Treasury and government agencies 14,676  217  —  —  14,893 
Equity securities 36,574  6,224  8  —  42,806 
Non-U.S. sovereign debt 13,865  12,498  —  —  26,363 
Corporate securities and other —  14,173  71  —  14,244 
Mortgage trading loans and ABS —  10  —  —  10 
Total trading account liabilities 65,115  33,122  79  —  98,316 
Derivative liabilities 21,189  297,058  5,811  (280,927) 43,131 
Short-term borrowings —  6,478  —  —  6,478 
Accrued expenses and other liabilities 12,319  3,707  10  —  16,036 
Long-term debt —  52,975  579  —  53,554 
Total liabilities (4)
$ 98,623  $ 984,672  $ 6,479  $ (628,385) $ 461,389 
(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 $18.7 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 $97 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 $919 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.21 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.
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 nine months ended September 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 June 30
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 September 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 September 30, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,816  $ 80  $ —  $ 210  $ (194) $ 21  $ (282) $ 166  $ (17) $ 1,800  $ 29 
Equity securities 231  2  —  27  (15) —  —  35  (29) 251  1 
Non-U.S. sovereign debt 323  6  5  2  (11) —  (3) 19  —  341  6 
Mortgage trading loans, MBS and ABS 973  (33) —  87  (68) —  (13) 128  (40) 1,034  (32)
Total trading account assets 3,343  55  5  326  (288) 21  (298) 348  (86) 3,426  4 
Net derivative assets (liabilities) (4)
(2,366) 409  —  264  (413) —  (148) (86) 181  (2,159) 562 
AFS debt securities:                    
Non-agency residential MBS 133  (2) 12  —  —  —  (3) 94  (13) 221  (3)
Commercial MBS
 170  —  —  25  —  —  (2) —  —  193  — 
Non-U.S. and other taxable securities 78  1  —  —  —  —  (4) 4  (2) 77  — 
Total AFS debt securities 381  (1) 12  25  —  —  (9) 98  (15) 491  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 53  4  —  —  —  —  —  80  —  137  5 
Loans and leases (5,6)
89  2  —  —  —  —  (5) —  —  86  2 
Loans held-for-sale (5)
133  9  —  25  —  —  (11) —  —  156  5 
Other assets (6,7)
1,700  46  5  58  (6) 24  (79) —  —  1,748  15 
Trading account liabilities – Equity securities
 (11) 6  —  —  —  —  1  (4) —  (8) 6 
Trading account liabilities – Corporate securities
   and other
 (72) (10) —  (1) (1) —  14  (1) —  (71) (12)
Short-term borrowings (5)
(8) 1  —  —  —  —  7  —  —  —  1 
Accrued expenses and other liabilities (5)
(8) (3) —  —  —  —  1  —  —  (10) (3)
Long-term debt (5)
(588) 4  (2) —  —  —  7  —  —  (579) 4 
Three Months Ended September 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
 2,100  53  (1) 112  (17) —  (149) 137  (79) 2,156  16 
Equity securities 159  45  —  4  (3) —  (47) 51  (31) 178  (3)
Non-U.S. sovereign debt 568  16  (14) 2  (3) —  (203) —  —  366  16 
Mortgage trading loans, MBS and ABS 1,233  (10) —  40  (101) —  (8) 90  (35) 1,209  (12)
Total trading account assets 4,060  104  (15) 158  (124) —  (407) 278  (145) 3,909  17 
Net derivative assets (liabilities) (4)
(4,997) 1,445  (235) 613  (395) —  (577) (315) 1  (4,460) 1,369 
AFS debt securities:              
Non-agency residential MBS 288  (2) (6) —  —  —  (2) —  —  278  (2)
Non-U.S. and other taxable securities 184  4  —  —  —  —  (86) 4  —  106  2 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 523  2  (6) —  —  —  (88) 4  —  435  — 
Other debt securities carried at fair value – Non-agency residential MBS
 88  (3) —  —  —  —  (1) —  (14) 70  (3)
Loans and leases (5,6)
147  11  —  —  —  —  (29) —  (22) 107  11 
Loans held-for-sale (5)
188  (2) (2) —  (4) —  (9) —  —  171  (4)
Other assets (6,7)
1,809  115  (8) 168  (303) 27  (82) —  —  1,726  83 
Trading account liabilities – Equity securities
 —  —  —  —  —  —  —  (12) —  (12) — 
Trading account liabilities – Corporate securities
   and other
 (49) 5  —  (1) —  —  —  (27) —  (72) (1)
Short-term borrowings (5)
(11) (1) —  —  —  (6) 7  —  —  (11) (1)
Accrued expenses and other liabilities (5)
(14) 8  —  —  —  —  —  —  1  (5) 8 
Long-term debt (5)
(664) 3  1  —  (4) —  24  —  —  (640) 3 
(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 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 gains (losses) of $20 million and $(245) million related to financial instruments still held at September 30, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.7 billion and $4.6 billion and derivative liabilities of $5.8 billion and $9.1 billion at September 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 September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

 Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2024
Trading account assets:              
Corporate securities, trading loans and other
$ 1,689  $ 104  $ (3) $ 501  $ (322) $ 44  $ (748) $ 681  $ (146) $ 1,800  $ (11)
Equity securities
 187  8  —  113  (52) —  (4) 46  (47) 251  — 
Non-U.S. sovereign debt
 396  11  (29) 28  (16) —  (68) 19  —  341  11 
Mortgage trading loans, MBS and ABS 1,217  (56) —  324  (539) —  (56) 292  (148) 1,034  (76)
Total trading account assets 3,489  67  (32) 966  (929) 44  (876) 1,038  (341) 3,426  (76)
Net derivative assets (liabilities) (4)
(2,494) 915  —  758  (992) —  (683) (385) 722  (2,159) (318)
AFS debt securities:                    
Non-agency residential MBS 273  7  59  —  —  —  (144) 156  (130) 221  5 
Commercial MBS
 —  (6) 1  200  —  —  (2) —  —  193  (6)
Non-U.S. and other taxable securities 103  (6) —  —  —  —  (18) 5  (7) 77  (2)
Total AFS debt securities 376  (5) 60  200  —  —  (164) 161  (137) 491  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 69  7  —  —  —  —  (20) 97  (16) 137  (12)
Loans and leases (5,6)
93  3  —  —  —  1  (11) —  —  86  3 
Loans held-for-sale (5,6)
164  7  (4) 25  —  —  (36) —  —  156  (1)
Other assets (6,7)
1,657  186  (21) 78  (6) 97  (244) 1  —  1,748  158 
Trading account liabilities – Equity securities
 (12) 8  —  —  (4) —  7  (18) 11  (8) 5 
Trading account liabilities – Corporate securities
   and other
 (39) (28) —  (4) (14) (2) 23  (7) —  (71) (31)
Short-term borrowings (5)
(10) 1  —  —  —  (9) 18  —  —  —  1 
Accrued expenses and other liabilities (5)
(21) (12) —  22  —  —  1  —  —  (10) (9)
Long-term debt (5)
(614) 35  (19) —  —  —  20  (1) —  (579) 36 
Nine Months Ended September 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  114  1  336  (172) 14  (601) 331  (251) 2,156  38 
Equity securities 145  39  —  20  (47) —  (59) 134  (54) 178  (10)
Non-U.S. sovereign debt 518  54  22  38  (9) —  (257) —  —  366  56 
Mortgage trading loans, MBS and ABS 1,552  (38) —  144  (303) —  (229) 332  (249) 1,209  (50)
Total trading account assets 4,599  169  23  538  (531) 14  (1,146) 797  (554) 3,909  34 
Net derivative assets (liabilities) (4)
(2,893) (116) (375) 1,142  (994) —  (1,372) (154) 302  (4,460) (1,794)
AFS debt securities:              
Non-agency residential MBS 258  1  26  —  —  —  (7) —  —  278  1 
Non-U.S. and other taxable securities 195  8  7  —  —  —  (101) 4  (7) 106  — 
Tax-exempt securities 51  —  —  —  —  —  —  —  —  51  — 
Total AFS debt securities 504  9  33  —  —  —  (108) 4  (7) 435  1 
Other debt securities carried at fair value – Non-agency residential MBS
 119  (4) —  —  (19) —  (5) —  (21) 70  (3)
Loans and leases (5,6)
253  —  —  9  (50) —  (99) 16  (22) 107  (5)
Loans held-for-sale (5,6)
232  20  2  —  (25) —  (58) —  —  171  10 
Other assets (6,7)
1,799  223  (1) 174  (302) 71  (240) 2  —  1,726  119 
Trading account liabilities – Equity securities —  —  —  —  —  —  —  (12) —  (12) — 
Trading account liabilities – Corporate securities
   and other
 (58) 1  —  (2) (2) (1) 2  (33) 21  (72) (2)
Short-term borrowings (5)
(14) 2  —  —  (13) (8) 22  —  —  (11) — 
Accrued expenses and other liabilities (5)
(32) 38  —  (12) —  —  —  —  1  (5) 21 
Long-term debt (5)
(862) 154  (20) (9) 49  —  41  —  7  (640) 158 
(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 $40 million and $332 million related to financial instruments still held at September 30, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.7 billion and $4.6 billion and derivative liabilities of $5.8 billion and $9.1 billion at September 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.
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at September 30, 2024 and December 31, 2023.
Quantitative Information about Level 3 Fair Value Measurements at September 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 $ 594  Discounted cash flow, Market comparables Yield
0% to 20%
 8  %
Trading account assets – Mortgage trading loans, MBS and ABS 155  Prepayment speed
0% to 44% CPR
8% CPR
Loans and leases 81  Default rate
0% to 6% CDR
5% CDR
AFS debt securities – Non-agency residential 221  Price
$0 to $116
 $72
Other debt securities carried at fair value – Non-agency residential 137  Loss severity
0% to 75%
 26  %
Instruments backed by commercial real estate assets $ 449  Discounted cash
flow		 Yield
0% to 25%
 10  %
Trading account assets – Corporate securities, trading loans and other 205  Price
$0 to $103
 $78
Trading account assets – Mortgage trading loans, MBS and ABS 51 
AFS debt securities – Commercial
 193 
Commercial loans, debt securities and other $ 3,002  Discounted cash flow, Market comparables Yield
0% to 29%
 15  %
Trading account assets – Corporate securities, trading loans and other
 1,595  Prepayment speed
10% to 20%
 15  %
Trading account assets – Non-U.S. sovereign debt 341  Default rate
3% to 4%
 4  %
Trading account assets – Mortgage trading loans, MBS and ABS 828  Loss severity
35% to 40%
 37  %
AFS debt securities – Non-U.S. and other taxable securities 77  Price
$0 to $157
 $69
Loans and leases 5 
Loans held-for-sale 156 
Other assets, primarily auction rate securities $ 829  Discounted cash flow, Market comparables Price
$10 to $95
 $85

Discount rate 10  % n/a
MSRs $ 919  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 $ (579)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
18% to 28%
 21  %
Price
$33 to $100
 $91
Natural gas forward price
$2/MMBtu to $7/MMBtu
$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ 25  Discounted cash flow, Stochastic recovery correlation model Credit spreads
3 to 94 bps
56 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
24% to 65%
 50  %
Price
$0 to $97
 $90
Equity derivatives $ (1,348)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 61  %
Long-dated equity volatilities
1% to 116%
 33  %
Commodity derivatives $ (694)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$2/MMBtu to $7/MMBtu
$3 /MMBtu
Power forward price
$23 to $96
 $44
Interest rate derivatives $ (142)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 70%
 49  %
Correlation (FX/IR)
(25)% to 58%
 33  %
Long-dated inflation rates
 (1)% to 12%
1  %
Long-dated inflation volatilities
0% to 5%
 3  %
Interest rate volatilities
0% to 4%
 0  %
Total net derivative assets (liabilities) $ (2,159)
(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 $1.8 billion, Trading account assets – Non-U.S. sovereign debt of $341 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.0 billion, AFS debt securities of $491 million, Other debt securities carried at fair value - Non-agency residential of $137 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $86 million and LHFS of $156 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 91: 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
Uncertainty of Fair Value Measurements from Unobservable Inputs
For information on the types of instruments, valuation approaches and the impact of changes in unobservable inputs used in Level 3 measurements, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.
Nonrecurring Fair Value
The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as 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 nine months ended September 30, 2024 and 2023.
Assets Measured at Fair Value on a Nonrecurring Basis
September 30, 2024 Three Months Ended September 30, 2024 Nine Months Ended September 30, 2024
(Dollars in millions)
 		 Level 2 Level 3 Gains (Losses)
Assets    
Loans held-for-sale $ 795  $ 2,685  $ (62) $ (160)
Loans and leases (1)
—  89  (10) (26)
Foreclosed properties (2, 3)
—  149  (17) (15)
Other assets (4)
1  274  —  (40)
  September 30, 2023 Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023
Assets    
Loans held-for-sale $ 276  $ 3,066  $ (28) $ (95)
Loans and leases (1)
—  129  (15) (36)
Foreclosed properties (2, 3)
—  44  1  (2)
Other assets (4)
31  905  (182) (189)
(1)Includes $3 million and $7 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2024 compared to losses of $4 million and $8 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 $19 million and $33 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2024 and 2023.
(4)Represents the fair value of certain impaired renewable energy investments.
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the nine months ended September 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) Nine Months Ended September 30, 2024
Loans held-for-sale $ 2,685  Pricing model Implied yield
7% to 23%
 n/a
Loans and leases (2)
89  Market comparables OREO discount
10% to 66%
 26  %
Costs to sell
8% to 24%
 9  %
Other assets (3)
274  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