Fair Value Measurements

3 Months Ended

Mar. 31, 2021

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 three months ended March 31, 2021, 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 2020 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 March 31, 2021 and December 31, 2020, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.

	March 31, 2021
	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	$	1,613	$	—	$	—	$	—	$	1,613
Federal funds sold and securities borrowed or purchased under agreements to resell	—		153,387		—		—		153,387
Trading account assets:
U.S. Treasury and agency securities (2)	32,709		2,653		—		—		35,362
Corporate securities, trading loans and other	—		29,847		1,516		—		31,363
Equity securities	108,394		32,455		273		—		141,122
Non-U.S. sovereign debt	12,470		21,085		334		—		33,889
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)	—		25,375		62		—		25,437
Mortgage trading loans, ABS and other MBS	—		8,209		1,499		—		9,708
Total trading account assets (3)	153,573		119,624		3,684		—		276,881
Derivative assets	15,044		357,851		2,805		(329,802)		45,898
AFS debt securities:
U.S. Treasury and agency securities	158,911		1,110		—		—		160,021
Mortgage-backed securities:
Agency	—		54,534		—		—		54,534
Agency-collateralized mortgage obligations	—		4,733		—		—		4,733
Non-agency residential	—		574		284		—		858
Commercial	—		16,800		—		—		16,800
Non-U.S. securities	—		14,755		13		—		14,768
Other taxable securities	—		2,485		73		—		2,558
Tax-exempt securities	—		16,243		98		—		16,341
Total AFS debt securities	158,911		111,234		468		—		270,613
Other debt securities carried at fair value:
U.S. Treasury and agency securities	553		—		—		—		553
Non-agency residential MBS	—		492		260		—		752
Non-U.S. and other securities	4,020		4,974		—		—		8,994
Total other debt securities carried at fair value	4,573		5,466		260		—		10,299
Loans and leases	—		6,210		793		—		7,003
Loans held-for-sale	—		1,460		220		—		1,680
Other assets (4)	12,086		3,036		2,090		—		17,212
Total assets (5)	$	345,800	$	758,268	$	10,320	$	(329,802)	$	784,586
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	504	$	—	$	—	$	504
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		154,865		—		—		154,865
Trading account liabilities:
U.S. Treasury and agency securities	17,622		1,017		—		—		18,639
Equity securities	47,480		3,949		—		—		51,429
Non-U.S. sovereign debt	14,600		9,318		—		—		23,918
Corporate securities and other	—		8,786		16		—		8,802
Total trading account liabilities	79,702		23,070		16		—		102,788
Derivative liabilities	14,647		350,213		6,011		(328,546)		42,325
Short-term borrowings	—		4,503		—		—		4,503
Accrued expenses and other liabilities	14,367		3,204		—		—		17,571
Long-term debt	—		29,486		1,028		—		30,514
Total liabilities (5)	$	108,716	$	565,845	$	7,055	$	(328,546)	$	353,070

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

(2)Includes $26.3 billion of GSE obligations.

(3)Includes securities with a fair value of $11.4 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes precious metal inventories of $431 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 $1.2 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 0.26 percent of total consolidated liabilities.

	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 (2)	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.

The table below presents a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2021 and 2020, 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 March 31		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 March 31, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,359	$	(13)	$	—	$	241	$	(147)	$	—	$	(17)	$	152	$	(59)	$	1,516	$	(19)
Equity securities	227		(10)		—		45		(23)		—		—		52		(18)		273		(10)
Non-U.S. sovereign debt	354		—		(22)		2		—		—		—		—		—		334		3
Mortgage trading loans, MBS and ABS	1,440		49		—		128		(221)		1		(36)		256		(56)		1,561		32
Total trading account assets	3,380		26		(22)		416		(391)		1		(53)		460		(133)		3,684		6
Net derivative assets (liabilities) (4)	(3,468)		286		—		138		(261)		—		147		(108)		60		(3,206)		272
AFS debt securities:
Non-agency residential MBS	378		(16)		(97)		—		—		—		(17)		36		—		284		(16)
Non-U.S. securities	18		—		—		—		—		—		(5)		—		—		13		—
Other taxable securities	71		—		(6)		8		—		—		—		—		—		73		—
Tax-exempt securities	176		14		—		—		—		—		—		—		(92)		98		13
Total AFS debt securities	643		(2)		(103)		8		—		—		(22)		36		(92)		468		(3)
Other debt securities carried at fair value – Non-agency residential MBS	267		(1)		—		—		—		—		(6)		—		—		260		(1)
Loans and leases (5,6)	717		70		—		—		—		10		(34)		30		—		793		71
Loans held-for-sale (5,6)	236		(6)		(8)		—		—		—		(17)		19		(4)		220		(9)
Other assets (6,7)	1,970		174		4		—		(1)		41		(105)		7		—		2,090		163
Trading account liabilities – Corporate securities    and other	(16)		—		—		—		—		—		—		—		—		(16)		—
Long-term debt (5)	(1,164)		49		(13)		—		—		—		18		(32)		114		(1,028)		50
Three Months Ended March 31, 2020
Trading account assets:
Corporate securities, trading loans and other	$	1,507	$	(103)	$	(1)	$	216	$	(90)	$	8	$	(32)	$	237	$	(102)	$	1,640	$	(108)
Equity securities	239		(26)		—		26		(11)		—		—		25		(4)		249		(27)
Non-U.S. sovereign debt	482		2		(53)		73		(48)		—		(10)		17		(213)		250		3
Mortgage trading loans, MBS and ABS	1,553		(125)		(2)		362		(245)		—		(19)		233		(24)		1,733		(129)
Total trading account assets	3,781		(252)		(56)		677		(394)		8		(61)		512		(343)		3,872		(261)
Net derivative assets (liabilities) (4)	(2,538)		346		—		40		(148)		—		12		(528)		(93)		(2,909)		279
AFS debt securities:
Non-agency residential MBS	424		(3)		(13)		—		—		—		(12)		128		—		524		—
Non-U.S. securities	2		—		—		—		(1)		—		—		—		—		1		—
Other taxable securities	65		—		—		3		—		—		—		—		—		68		—
Tax-exempt securities	108		(10)		2		—		—		—		—		—		—		100		—
Total AFS debt securities	599		(13)		(11)		3		(1)		—		(12)		128		—		693		—
Other debt securities carried at fair value – Non-agency residential MBS	299		(49)		—		—		—		—		(4)		26		(3)		269		(49)
Loans and leases (5,6)	693		(119)		—		—		—		—		(16)		—		—		558		(107)
Loans held-for-sale (5,6)	375		(9)		(28)		—		—		691		(45)		93		—		1,077		(15)
Other assets (6,7)	2,360		(251)		(30)		—		1		20		(142)		2		—		1,960		(287)
Trading account liabilities – Equity securities	(2)		1		—		—		—		—		—		—		—		(1)		1
Trading account liabilities – Corporate securities    and other	(15)		1		—		(6)		—		—		—		—		—		(20)		1
Long-term debt (5)	(1,149)		127		187		8		—		(13)		141		(23)		1		(721)		126

(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.

(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - 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 $(136) million and $67 million related to financial instruments still held at March 31, 2021 and 2020.

(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $1.9 billion and derivative liabilities of $6.0 billion and $4.8 billion at March 31, 2021 and 2020.

(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 March 31, 2021 and December 31, 2020.

Quantitative Information about Level 3 Fair Value Measurements at March 31, 2021
(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	$	1,403	Discounted cash flow, Market comparables	Yield	0% to 25%		7	%
Trading account assets – Mortgage trading loans, ABS and other MBS	433			Prepayment speed	7% to 35% CPR		16% CPR
Loans and leases	426			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	284			Price	$0 to $152		$96
Other debt securities carried at fair value – Non-agency residential	260			Loss severity	14% to 37%		15	%
Instruments backed by commercial real estate assets	$	481	Discounted cash flow	Yield	0% to 25%		4	%
Trading account assets – Corporate securities, trading loans and other	326			Price	$0 to $101		$62
Trading account assets – Mortgage trading loans, ABS and other MBS	61
AFS debt securities, primarily other taxable securities	86
Loans held-for-sale	8
Commercial loans, debt securities and other	$	3,268	Discounted cash flow, Market comparables	Yield	0% to 25%		9	%
Trading account assets – Corporate securities, trading loans and other	1,190			Prepayment speed	10% to 20%		13	%
Trading account assets – Non-U.S. sovereign debt	334			Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans, ABS and other MBS	1,067			Loss severity	35% to 40%		38	%
AFS debt securities – Tax-exempt securities	98			Price	$0 to $170		$67
Loans and leases	367			Long-dated equity volatilities	50%		n/a
Loans held-for-sale	212
Other assets, primarily auction rate securities	$	936	Discounted cash flow, Market comparables	Price	$10 to $97		$94
				Discount rate	9	%	n/a
MSRs	$	1,154	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years		5 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	$	(1,028)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	0% to 13%		11	%
				Equity correlation	2% to 99%		72	%
				Long-dated equity volatilities	4% to 64%		35	%
				Price	$0 to $120		$84
				Natural gas forward price	$1/MMBtu to $5/MMBtu		$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(39)	Discounted cash flow, Stochastic recovery correlation model	Yield	5%		n/a
				Credit spreads	0 to 191 bps		65 bps
				Upfront points	16 to 100 points		74 points
				Prepayment speed	15% to 100% CPR		17%
				Default rate	2% CDR		n/a
				Credit correlation	20% to 22%		21	%
				Price	$0 to $122		$62
Equity derivatives	$	(1,924)	Industry standard derivative pricing (3)	Equity correlation	2% to 99%		72	%
				Long-dated equity volatilities	4% to 64%		35	%
Commodity derivatives	$	(1,278)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$1/MMBtu to $5/MMBtu		$3 /MMBtu
				Correlation	39% to 79%		69	%
				Volatilities	24% to 47%		32	%
Interest rate derivatives	$	35	Industry standard derivative pricing (4)	Correlation (IR/IR)	15% to 90%		44	%
				Correlation (FX/IR)	0% to 46%		4	%
				Long-dated inflation rates	(3)% to 36%		7	%
				Long-dated inflation volatilities	0% to 1%		1	%
				Interest rate volatilities	0% to 2%		1	%
Total net derivative assets (liabilities)	$	(3,206)

(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 80: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $334 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.6 billion, AFS debt securities of $468 million, Other debt securities carried at fair value - Non-agency residential of $260 million, Other assets, including MSRs, of $2.1 billion, Loans and leases of $793 million and LHFS of $220 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, 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	G(7)% to 84%	14	%
				Long-dated inflation volatilities	0% to 1%	1	%
				Interest rates 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 81: 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, MBS and ABS 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

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 2020 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 months ended March 31, 2021 and 2020.

Assets Measured at Fair Value on a Nonrecurring Basis
	March 31, 2021				Three Months Ended March 31, 2021
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	2,116	$	66	$	5
Loans and leases (1)	—		85		(14)
Foreclosed properties (2, 3)	—		3		(1)
Other assets	49		2,155		(403)
	March 31, 2020				Three Months Ended March 31, 2020
Assets
Loans held-for-sale	$	1,017	$	628	$	(78)
Loans and leases (1)	—		117		(27)
Foreclosed properties (2, 3)	—		15		(6)
Other assets	27		24		(2)

(1)Includes $3 million and $12 million of losses on loans that were written down to a collateral value of zero during the three months ended March 31, 2021 and 2020.

(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 $87 million and $224 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at March 31, 2021 and 2020.

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements at March 31, 2021 and December 31, 2020.

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)	Three Months Ended March 31, 2021
Loans held-for-sale	$	66	Discounted cash flow	Price	$73 to $99		$84
Loans and leases (2)	85		Market comparables	OREO discount	13% to 59%		24	%
				Costs to sell	8% to 26%		9	%
Other assets (3)	1,955		Discounted cash flow	Discount rate	7	%	n/a
	194		Market comparables	Estimated appraisal value	n/a		n/a
	Year Ended December 31, 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 (4)	576		Discounted cash flow	Revenue attrition	2% to 19%		7	%
				Discount rate	11% to 14%		12	%

(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 and impaired assets related to the Corporation’s real estate rationalization.

(4)Represents the fair value of the intangible asset related to the merchant contracts received from the dissolution of the Corporation's merchant services joint venture.

n/a = not applicable