Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020

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, 2020 and 2019, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.

	December 31, 2020
	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	$	1,649	$	—	$	—	$	—	$	1,649
Federal funds sold and securities borrowed or purchased under agreements to resell	—		108,856		—		—		108,856
Trading account assets:
U.S. Treasury and agency securities	45,219		3,051		—		—		48,270
Corporate securities, trading loans and other	—		22,817		1,359		—		24,176
Equity securities	36,372		31,372		227		—		67,971
Non-U.S. sovereign debt	5,753		20,884		354		—		26,991
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)	—		21,566		75		—		21,641
Mortgage trading loans, ABS and other MBS	—		8,440		1,365		—		9,805
Total trading account assets (3)	87,344		108,130		3,380		—		198,854
Derivative assets	15,624		416,175		2,751		(387,371)		47,179
AFS debt securities:
U.S. Treasury and agency securities	115,266		1,114		—		—		116,380
Mortgage-backed securities:
Agency	—		61,849		—		—		61,849
Agency-collateralized mortgage obligations	—		5,260		—		—		5,260
Non-agency residential	—		631		378		—		1,009
Commercial	—		16,491		—		—		16,491
Non-U.S. securities	—		13,999		18		—		14,017
Other taxable securities	—		2,640		71		—		2,711
Tax-exempt securities	—		16,598		176		—		16,774
Total AFS debt securities	115,266		118,582		643		—		234,491
Other debt securities carried at fair value:
U.S. Treasury and agency securities	93		—		—		—		93
Non-agency residential MBS	—		506		267		—		773
Non-U.S. and other securities	2,619		8,625		—		—		11,244
Total other debt securities carried at fair value	2,712		9,131		267		—		12,110
Loans and leases	—		5,964		717		—		6,681
Loans held-for-sale	—		1,349		236		—		1,585
Other assets (4)	9,898		3,850		1,970		—		15,718
Total assets (5)	$	232,493	$	772,037	$	9,964	$	(387,371)	$	627,123
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	481	$	—	$	—	$	481
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		135,391		—		—		135,391
Trading account liabilities:
U.S. Treasury and agency securities	9,425		139		—		—		9,564
Equity securities	38,189		4,235		—		—		42,424
Non-U.S. sovereign debt	5,853		8,043		—		—		13,896
Corporate securities and other	—		5,420		16		—		5,436
Total trading account liabilities	53,467		17,837		16		—		71,320
Derivative liabilities	14,907		412,881		6,219		(388,481)		45,526
Short-term borrowings	—		5,874		—		—		5,874
Accrued expenses and other liabilities	12,297		4,014		—		—		16,311
Long-term debt	—		31,036		1,164		—		32,200
Total liabilities (5)	$	80,671	$	607,514	$	7,399	$	(388,481)	$	307,103

(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

(2)Includes $22.2 billion of GSE obligations.

(3)Includes securities with a fair value of $16.8 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 precious metal inventories of $576 million that are 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 of $1.0 billion which are classified as Level 3 assets.

(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.29 percent of total consolidated liabilities.

	December 31, 2019
	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	$	1,000	$	—	$	—	$	—	$	1,000
Federal funds sold and securities borrowed or purchased under agreements to resell	—		50,364		—		—		50,364
Trading account assets:
U.S. Treasury and agency securities	49,517		4,157		—		—		53,674
Corporate securities, trading loans and other	—		25,226		1,507		—		26,733
Equity securities	53,597		32,619		239		—		86,455
Non-U.S. sovereign debt	3,965		23,854		482		—		28,301
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)	—		24,324		—		—		24,324
Mortgage trading loans, ABS and other MBS	—		8,786		1,553		—		10,339
Total trading account assets (3)	107,079		118,966		3,781		—		229,826
Derivative assets	14,079		328,442		2,226		(304,262)		40,485
AFS debt securities:
U.S. Treasury and agency securities	67,332		1,196		—		—		68,528
Mortgage-backed securities:
Agency	—		122,528		—		—		122,528
Agency-collateralized mortgage obligations	—		4,641		—		—		4,641
Non-agency residential	—		653		424		—		1,077
Commercial	—		15,021		—		—		15,021
Non-U.S. securities	—		11,989		2		—		11,991
Other taxable securities	—		3,876		65		—		3,941
Tax-exempt securities	—		17,804		108		—		17,912
Total AFS debt securities	67,332		177,708		599		—		245,639
Other debt securities carried at fair value:
U.S. Treasury and agency securities	3		—		—		—		3
Agency MBS	—		3,003		—		—		3,003
Non-agency residential MBS	—		1,035		299		—		1,334
Non-U.S. and other securities	400		6,088		—		—		6,488
Total other debt securities carried at fair value	403		10,126		299		—		10,828
Loans and leases	—		7,642		693		—		8,335
Loans held-for-sale	—		3,334		375		—		3,709
Other assets (4)	11,782		1,376		2,360		—		15,518
Total assets (5)	$	201,675	$	697,958	$	10,333	$	(304,262)	$	605,704
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	508	$	—	$	—	$	508
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		16,008		—		—		16,008
Trading account liabilities:
U.S. Treasury and agency securities	13,140		282		—		—		13,422
Equity securities	38,148		4,144		2		—		42,294
Non-U.S. sovereign debt	10,751		11,310		—		—		22,061
Corporate securities and other	—		5,478		15		—		5,493
Total trading account liabilities	62,039		21,214		17		—		83,270
Derivative liabilities	11,904		320,479		4,764		(298,918)		38,229
Short-term borrowings	—		3,941		—		—		3,941
Accrued expenses and other liabilities	13,927		1,507		—		—		15,434
Long-term debt	—		33,826		1,149		—		34,975
Total liabilities (5)	$	87,870	$	397,483	$	5,930	$	(298,918)	$	192,365

(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

(2)Includes $26.7 billion of GSE obligations.

(3)Includes securities with a fair value of $14.7 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.

(4)Includes MSRs of $1.5 billion which are classified as Level 3 assets.

(5)Total recurring Level 3 assets were 0.42 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.27 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 2020, 2019 and 2018, 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, 2020
Trading account assets:
Corporate securities, trading loans and other	$	1,507	$	(138)	$	(1)	$	430	$	(242)	$	10	$	(282)	$	639	$	(564)	$	1,359	$	(102)
Equity securities	239		(43)		—		78		(53)		—		(3)		58		(49)		227		(31)
Non-U.S. sovereign debt	482		45		(46)		76		(61)		—		(39)		150		(253)		354		47
Mortgage trading loans, ABS and other MBS	1,553		(120)		(3)		577		(746)		11		(96)		757		(493)		1,440		(92)
Total trading account assets	3,781		(256)		(50)		1,161		(1,102)		21		(420)		1,604		(1,359)		3,380		(178)
Net derivative assets (liabilities) (4)	(2,538)		(235)		—		120		(646)		—		(112)		(235)		178		(3,468)		(953)
AFS debt securities:
Non-agency residential MBS	424		(2)		3		23		(54)		—		(44)		158		(130)		378		(2)
Non-U.S. securities	2		1		—		—		(1)		—		(1)		17		—		18		1
Other taxable securities	65		—		—		9		(4)		—		—		1		—		71		—
Tax-exempt securities	108		(21)		3		—		—		—		(169)		265		(10)		176		(20)
Total AFS debt securities	599		(22)		6		32		(59)		—		(214)		441		(140)		643		(21)
Other debt securities carried at fair value – Non-agency residential MBS	299		26		—		—		(180)		—		(24)		190		(44)		267		3
Loans and leases (5,6)	693		(4)		—		145		(76)		22		(161)		98		—		717		9
Loans held-for-sale (5,6)	375		26		(28)		—		(489)		691		(119)		93		(313)		236		(5)
Other assets (6,7)	2,360		(288)		3		178		(4)		224		(506)		5		(2)		1,970		(374)
Trading account liabilities – Equity securities	(2)		1		—		—		—		—		—		—		1		—		—
Trading account liabilities – Corporate securities    and other	(15)		8		—		(7)		(3)		—		1		—		—		(16)		—
Long-term debt (5)	(1,149)		(46)		2		(104)		—		(47)		218		(52)		14		(1,164)		(5)
Year Ended December 31, 2019
Trading account assets:
Corporate securities, trading loans and other	$	1,558	$	105	$	—	$	534	$	(390)	$	18	$	(578)	$	699	$	(439)	$	1,507	$	29
Equity securities	276		(12)		—		38		(87)		—		(9)		79		(46)		239		(18)
Non-U.S. sovereign debt	465		46		(12)		1		—		—		(51)		39		(6)		482		47
Mortgage trading loans, ABS and other MBS	1,635		99		(2)		662		(899)		—		(175)		738		(505)		1,553		26
Total trading account assets	3,934		238		(14)		1,235		(1,376)		18		(813)		1,555		(996)		3,781		84
Net derivative assets (liabilities) (4,8)	(935)		(37)		—		298		(837)		—		(97)		147		(1,077)		(2,538)		228
AFS debt securities:
Non-agency residential MBS	597		13		64		—		(73)		—		(40)		206		(343)		424		—
Non-U.S. securities	2		—		—		—		—		—		—		—		—		2		—
Other taxable securities	7		2		—		—		—		—		(5)		61		—		65		—
Tax-exempt securities	—		—		—		—		—		—		—		108		—		108		—
Total AFS debt securities	606		15		64		—		(73)		—		(45)		375		(343)		599		—
Other debt securities carried at fair value – Non-agency residential MBS	172		36		—		—		—		—		(17)		155		(47)		299		38
Loans and leases (5,6)	338		—		—		230		(35)		217		(57)		—		—		693		(1)
Loans held-for-sale (5,6)	542		48		(6)		12		(71)		36		(245)		59		—		375		22
Other assets (6,7)	2,932		(81)		19		—		(10)		179		(683)		5		(1)		2,360		(267)
Trading account liabilities – Equity securities	—		(2)		—		—		—		—		—		—		—		(2)		(2)
Trading account liabilities – Corporate securities    and other	(18)		8		—		(1)		(3)		(1)		—		—		—		(15)		—
Long-term debt (5,8)	(817)		(59)		(64)		—		—		(40)		180		(350)		1		(1,149)		(55)

(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 - predominantly other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.

(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 2020 and 2019.

(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.

(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.

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, 2018
Trading account assets:
Corporate securities, trading loans and other	$	1,864	$	(32)	$	(1)	$	436	$	(403)	$	5	$	(568)	$	804	$	(547)	$	1,558	$	(117)
Equity securities	235		(17)		—		44		(11)		—		(4)		78		(49)		276		(22)
Non-U.S. sovereign debt	556		47		(44)		13		(57)		—		(30)		117		(137)		465		48
Mortgage trading loans, ABS and other MBS	1,498		148		3		585		(910)		—		(158)		705		(236)		1,635		97
Total trading account assets	4,153		146		(42)		1,078		(1,381)		5		(760)		1,704		(969)		3,934		6
Net derivative assets (liabilities) (4)	(1,714)		106		—		531		(1,179)		—		778		39		504		(935)		(116)
AFS debt securities:
Non-agency residential MBS	—		27		(33)		—		(71)		—		(25)		774		(75)		597		—
Non-U.S. securities	25		—		(1)		—		(10)		—		(15)		3		—		2		—
Other taxable securities	509		1		(3)		—		(23)		—		(11)		60		(526)		7		—
Tax-exempt securities	469		—		—		—		—		—		(1)		1		(469)		—		—
Total AFS debt securities (5)	1,003		28		(37)		—		(104)		—		(52)		838		(1,070)		606		—
Other debt securities carried at fair value - Non-agency residential MBS	—		(18)		—		—		(8)		—		(34)		365		(133)		172		(18)
Loans and leases (6,7)	571		(16)		—		—		(134)		—		(83)		—		—		338		(9)
Loans held-for-sale (6)	690		44		(26)		71		—		1		(201)		23		(60)		542		31
Other assets (5,7,8)	2,425		414		(38)		2		(69)		96		(792)		929		(35)		2,932		149
Trading account liabilities – Corporate securities and other	(24)		11		—		9		(12)		(2)		—		—		—		(18)		(7)
Accrued expenses and other liabilities (6)	(8)		—		—		—		—		—		8		—		—		—		—
Long-term debt (6)	(1,863)		103		4		9		—		(141)		486		(262)		847		(817)		95

(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; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily market making and similar activities.   

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018.

(4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.

(5)Transfers out of AFS debt securities and into other assets primarily relate to the reclassifcation of certain securities.

(6)Amounts represent instruments that are accounted for under the fair value option.

(7)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.

(8)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 2020, 2019 and 2018, 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, 2020
Trading account assets:
Corporate securities, trading loans and other	$	1,507	$	(138)	$	(1)	$	430	$	(242)	$	10	$	(282)	$	639	$	(564)	$	1,359	$	(102)
Equity securities	239		(43)		—		78		(53)		—		(3)		58		(49)		227		(31)
Non-U.S. sovereign debt	482		45		(46)		76		(61)		—		(39)		150		(253)		354		47
Mortgage trading loans, ABS and other MBS	1,553		(120)		(3)		577		(746)		11		(96)		757		(493)		1,440		(92)
Total trading account assets	3,781		(256)		(50)		1,161		(1,102)		21		(420)		1,604		(1,359)		3,380		(178)
Net derivative assets (liabilities) (4)	(2,538)		(235)		—		120		(646)		—		(112)		(235)		178		(3,468)		(953)
AFS debt securities:
Non-agency residential MBS	424		(2)		3		23		(54)		—		(44)		158		(130)		378		(2)
Non-U.S. securities	2		1		—		—		(1)		—		(1)		17		—		18		1
Other taxable securities	65		—		—		9		(4)		—		—		1		—		71		—
Tax-exempt securities	108		(21)		3		—		—		—		(169)		265		(10)		176		(20)
Total AFS debt securities	599		(22)		6		32		(59)		—		(214)		441		(140)		643		(21)
Other debt securities carried at fair value – Non-agency residential MBS	299		26		—		—		(180)		—		(24)		190		(44)		267		3
Loans and leases (5,6)	693		(4)		—		145		(76)		22		(161)		98		—		717		9
Loans held-for-sale (5,6)	375		26		(28)		—		(489)		691		(119)		93		(313)		236		(5)
Other assets (6,7)	2,360		(288)		3		178		(4)		224		(506)		5		(2)		1,970		(374)
Trading account liabilities – Equity securities	(2)		1		—		—		—		—		—		—		1		—		—
Trading account liabilities – Corporate securities    and other	(15)		8		—		(7)		(3)		—		1		—		—		(16)		—
Long-term debt (5)	(1,149)		(46)		2		(104)		—		(47)		218		(52)		14		(1,164)		(5)
Year Ended December 31, 2019
Trading account assets:
Corporate securities, trading loans and other	$	1,558	$	105	$	—	$	534	$	(390)	$	18	$	(578)	$	699	$	(439)	$	1,507	$	29
Equity securities	276		(12)		—		38		(87)		—		(9)		79		(46)		239		(18)
Non-U.S. sovereign debt	465		46		(12)		1		—		—		(51)		39		(6)		482		47
Mortgage trading loans, ABS and other MBS	1,635		99		(2)		662		(899)		—		(175)		738		(505)		1,553		26
Total trading account assets	3,934		238		(14)		1,235		(1,376)		18		(813)		1,555		(996)		3,781		84
Net derivative assets (liabilities) (4,8)	(935)		(37)		—		298		(837)		—		(97)		147		(1,077)		(2,538)		228
AFS debt securities:
Non-agency residential MBS	597		13		64		—		(73)		—		(40)		206		(343)		424		—
Non-U.S. securities	2		—		—		—		—		—		—		—		—		2		—
Other taxable securities	7		2		—		—		—		—		(5)		61		—		65		—
Tax-exempt securities	—		—		—		—		—		—		—		108		—		108		—
Total AFS debt securities	606		15		64		—		(73)		—		(45)		375		(343)		599		—
Other debt securities carried at fair value – Non-agency residential MBS	172		36		—		—		—		—		(17)		155		(47)		299		38
Loans and leases (5,6)	338		—		—		230		(35)		217		(57)		—		—		693		(1)
Loans held-for-sale (5,6)	542		48		(6)		12		(71)		36		(245)		59		—		375		22
Other assets (6,7)	2,932		(81)		19		—		(10)		179		(683)		5		(1)		2,360		(267)
Trading account liabilities – Equity securities	—		(2)		—		—		—		—		—		—		—		(2)		(2)
Trading account liabilities – Corporate securities    and other	(18)		8		—		(1)		(3)		(1)		—		—		—		(15)		—
Long-term debt (5,8)	(817)		(59)		(64)		—		—		(40)		180		(350)		1		(1,149)		(55)

(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 - predominantly other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.

(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 2020 and 2019.

(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.

(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.

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, 2018
Trading account assets:
Corporate securities, trading loans and other	$	1,864	$	(32)	$	(1)	$	436	$	(403)	$	5	$	(568)	$	804	$	(547)	$	1,558	$	(117)
Equity securities	235		(17)		—		44		(11)		—		(4)		78		(49)		276		(22)
Non-U.S. sovereign debt	556		47		(44)		13		(57)		—		(30)		117		(137)		465		48
Mortgage trading loans, ABS and other MBS	1,498		148		3		585		(910)		—		(158)		705		(236)		1,635		97
Total trading account assets	4,153		146		(42)		1,078		(1,381)		5		(760)		1,704		(969)		3,934		6
Net derivative assets (liabilities) (4)	(1,714)		106		—		531		(1,179)		—		778		39		504		(935)		(116)
AFS debt securities:
Non-agency residential MBS	—		27		(33)		—		(71)		—		(25)		774		(75)		597		—
Non-U.S. securities	25		—		(1)		—		(10)		—		(15)		3		—		2		—
Other taxable securities	509		1		(3)		—		(23)		—		(11)		60		(526)		7		—
Tax-exempt securities	469		—		—		—		—		—		(1)		1		(469)		—		—
Total AFS debt securities (5)	1,003		28		(37)		—		(104)		—		(52)		838		(1,070)		606		—
Other debt securities carried at fair value - Non-agency residential MBS	—		(18)		—		—		(8)		—		(34)		365		(133)		172		(18)
Loans and leases (6,7)	571		(16)		—		—		(134)		—		(83)		—		—		338		(9)
Loans held-for-sale (6)	690		44		(26)		71		—		1		(201)		23		(60)		542		31
Other assets (5,7,8)	2,425		414		(38)		2		(69)		96		(792)		929		(35)		2,932		149
Trading account liabilities – Corporate securities and other	(24)		11		—		9		(12)		(2)		—		—		—		(18)		(7)
Accrued expenses and other liabilities (6)	(8)		—		—		—		—		—		8		—		—		—		—
Long-term debt (6)	(1,863)		103		4		9		—		(141)		486		(262)		847		(817)		95

(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; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily market making and similar activities.   

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018.

(4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.

(5)Transfers out of AFS debt securities and into other assets primarily relate to the reclassifcation of certain securities.

(6)Amounts represent instruments that are accounted for under the fair value option.

(7)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.

(8)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, 2020 and 2019.

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2020
(Dollars in millions)				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets	$	1,543	Discounted cash flow, Market comparables	Yield	(3)% to 25%		6	%
Trading account assets – Mortgage trading loans, ABS and other MBS	467			Prepayment speed	1% to 56% CPR		20% CPR
Loans and leases	431			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	378			Price	$0 to $168		$110
Other debt securities carried at fair value – Non-agency residential	267			Loss severity	0% to 47%		18	%
Instruments backed by commercial real estate assets	$	407	Discounted cash flow	Yield	0% to 25%		4	%
Trading account assets – Corporate securities, trading loans and other	262			Price	$0 to $100		$52
Trading account assets – Mortgage trading loans, ABS and other MBS	43
AFS debt securities, primarily other taxable securities	89
Loans held-for-sale	13
Commercial loans, debt securities and other	$	3,066	Discounted cash flow, Market comparables	Yield	0% to 26%		9	%
Trading account assets – Corporate securities, trading loans and other	1,097			Prepayment speed	10% to 20%		14	%
Trading account assets – Non-U.S. sovereign debt	354			Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans, ABS and other MBS	930			Loss severity	35% to 40%		38	%
AFS debt securities – Tax-exempt securities	176			Price	$0 to $142		$66
Loans and leases	286			Long-dated equity volatilities	77%		n/a
Loans held-for-sale	223
Other assets, primarily auction rate securities	$	937	Discounted cash flow, Market comparables	Price	$10 to $97		$91
				Discount rate	8	%	n/a
MSRs	$	1,033	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 13 years		4 years
				Weighted-average life, variable rate (5)	0 to 10 years		3 years
				Option-adjusted spread, fixed rate	7% to 14%		9	%
				Option-adjusted spread, variable rate	9% to 15%		12	%
Structured liabilities
Long-term debt	$	(1,164)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	0% to 11%		9	%
				Equity correlation	2% to 100%		64	%
				Long-dated equity volatilities	7% to 64%		32	%
				Price	$0 to $124		$86
				Natural gas forward price	$1/MMBtu to $4/MMBtu		$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(112)	Discounted cash flow, Stochastic recovery correlation model	Yield	5%		n/a
				Upfront points	0 to 100 points		75 points
				Prepayment speed	15% to 100% CPR		22% CPR
				Default rate	2% CDR		n/a
				Credit correlation	21% to 64%		57	%
				Price	$0 to $122		$69
Equity derivatives	$	(1,904)	Industry standard derivative pricing (3)	Equity correlation	2% to 100%		64	%
				Long-dated equity volatilities	7% to 64%		32	%
Commodity derivatives	$	(1,426)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$1/MMBtu to $4/MMBtu		$3 /MMBtu
				Correlation	39% to 85%		73	%
				Volatilities	23% to 70%		39	%
Interest rate derivatives	$	(26)	Industry standard derivative pricing (4)	Correlation (IR/IR)	15% to 96%		34	%
				Correlation (FX/IR)	0% to 46%		3	%
				Long-dated inflation rates	(7)% to 84%		14	%
				Long-dated inflation volatilities	0% to 1%		1	%
				Interest rate volatilities	0% to 2%		1	%
Total net derivative assets (liabilities)	$	(3,468)

(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 156: Trading account assets – Corporate securities, trading loans and other of $1.4 billion, Trading account assets – Non-U.S. sovereign debt of $354 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.4 billion, AFS debt securities of $643 million, Other debt securities carried at fair value - Non-agency residential of $267 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $717 million and LHFS of $236 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, 2019
(Dollars in millions)				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets	$	1,407	Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans, ABS and other MBS	332			Prepayment speed	1% to 27% CPR	17% CPR
Loans and leases	281			Default rate	0% to 3% CDR	1% CDR
Loans held-for-sale	4			Loss severity	0% to 47%	14	%
AFS debt securities, primarily non-agency residential	491			Price	$0 to $160	$94
Other debt securities carried at fair value - Non-agency residential	299
Instruments backed by commercial real estate assets	$	303	Discounted cash flow	Yield	0% to 30%	14	%
Trading account assets – Corporate securities, trading loans and other	201			Price	$0 to $100	$55
Trading account assets – Mortgage trading loans, ABS and other MBS	85
Loans held-for-sale	17
Commercial loans, debt securities and other	$	3,798	Discounted cash flow, Market comparables	Yield	1% to 20%	6	%
Trading account assets – Corporate securities, trading loans and other	1,306			Prepayment speed	10% to 20%	13	%
Trading account assets – Non-U.S. sovereign debt	482			Default rate	3% to 4%	4	%
Trading account assets – Mortgage trading loans, ABS and other MBS	1,136			Loss severity	35% to 40%	38	%
AFS debt securities – Tax-exempt securities	108			Price	$0 to $142	$72
Loans and leases	412			Long-dated equity volatilities	35%	n/a
Loans held-for-sale	354
Other assets, primarily auction rate securities	$	815	Discounted cash flow, Market comparables	Price	$10 to $100	$96
MSRs	$	1,545	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years	5 years
				Weighted-average life, variable rate (5)	0 to 9 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	$	(1,149)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	2% to 6%	5	%
				Equity correlation	9% to 100%	63	%
				Long-dated equity volatilities	4% to 101%	32	%
				Price	$0 to $116	$74
				Natural gas forward price	$1/MMBtu to $5/MMBtu	$3/MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	13	Discounted cash flow, Stochastic recovery correlation model	Yield	5%	n/a
				Upfront points	0 to 100 points	63 points
				Prepayment speed	15% to 100% CPR	22% CPR
				Default rate	1% to 4% CDR	2% CDR
				Loss severity	35%	n/a
				Price	$0 to $104	$73
Equity derivatives	$	(1,081)	Industry standard derivative pricing (3)	Equity correlation	9% to 100%	63	%
				Long-dated equity volatilities	4% to 101%	32	%
Commodity derivatives	$	(1,357)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$1/MMBtu to $5/MMBtu	$3/MMBtu
				Correlation	30% to 69%	68	%
				Volatilities	14% to 54%	27	%
Interest rate derivatives	$	(113)	Industry standard derivative pricing (4)	Correlation (IR/IR)	15% to 94%	52	%
				Correlation (FX/IR)	0% to 46%	2	%
				Long-dated inflation rates	G(23)% to 56%	16	%
				Long-dated inflation volatilities	0% to 1%	1	%
Total net derivative assets (liabilities)	$	(2,538)

(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 157: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $482 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.6 billion, AFS debt securities of $599 million, Other debt securities carried at fair value - Non-agency residential of $299 million, Other assets, including MSRs, of $2.4 billion, Loans and leases of $693 million and LHFS of $375 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 2020, 2019 and 2018.

Assets Measured at Fair Value on a Nonrecurring Basis
	December 31, 2020				December 31, 2019
(Dollars in millions)	Level 2		Level 3		Level 2		Level 3
Assets
Loans held-for-sale	$	1,020	$	792	$	53	$	102
Loans and leases (1)	—		301		—		257
Foreclosed properties (2, 3)	—		17		—		17
Other assets	323		576		178		646
			Gains (Losses)
			2020		2019		2018
Assets
Loans held-for-sale			$	(79)	$	(14)	$	(18)
Loans and leases (1)			(73)		(81)		(202)
Foreclosed properties			(6)		(9)		(24)
Other assets			(98)		(2,145)		(64)

(1)Includes $30 million, $36 million and $83 million of losses on loans that were written down to a collateral value of zero during 2020, 2019 and 2018, 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 $119 million and $260 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2020 and 2019.

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 2020 and 2019.

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)	2020
Loans held-for-sale	$	792	Discounted cash flow	Price	$8 to $99	$95
Loans and leases (2)	301		Market comparables	OREO discount	13% to 59%	24	%
				Costs to sell	8% to 26%	9	%
Other assets (3)	576		Discounted cash flow	Revenue attrition	2% to 19%	7	%
				Discount rate	11% to 14%	12	%
	2019
Loans held-for-sale	$	102	Discounted cash flow	Price	$85 to $97	$88
Loans and leases (2)	257		Market comparables	OREO discount	13% to 59%	24	%
				Costs to sell	8% to 26%	9	%
Other assets (4)	640		Discounted cash flow	Customer attrition	0% to 19%	5	%
				Cost to service	11% to 19%	15	%

(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)The fair value of the intangible asset related to the merchant contracts received from the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the revenue attrition rate and the discount rate. For more information, see Note 7 – Goodwill and Intangible Assets.

(4)Reflects the measurement of the Corporation’s merchant services equity method investment on which the Corporation recorded an impairment charge in 2019. The fair value of the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the customer attrition rate and the cost-to-service rate.