Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021 and 2020, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.

	December 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	$	707	$	—	$	—	$	—	$	707
Federal funds sold and securities borrowed or purchased under agreements to resell	—		150,665		—		—		150,665
Trading account assets:
U.S. Treasury and government agencies	44,599		803		—		—		45,402
Corporate securities, trading loans and other	—		31,601		2,110		—		33,711
Equity securities	61,425		38,383		190		—		99,998
Non-U.S. sovereign debt	3,822		25,612		396		—		29,830
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		25,645		109		—		25,754
Mortgage trading loans, ABS and other MBS	—		10,967		1,418		—		12,385
Total trading account assets (2)	109,846		133,011		4,223		—		247,080
Derivative assets	34,748		310,581		3,133		(313,118)		35,344
AFS debt securities:
U.S. Treasury and government agencies	198,071		1,074		—		—		199,145
Mortgage-backed securities:
Agency	—		46,339		—		—		46,339
Agency-collateralized mortgage obligations	—		3,380		—		—		3,380
Non-agency residential	—		267		316		—		583
Commercial	—		19,604		—		—		19,604
Non-U.S. securities	—		11,933		—		—		11,933
Other taxable securities	—		2,690		71		—		2,761
Tax-exempt securities	—		15,381		52		—		15,433
Total AFS debt securities	198,071		100,668		439		—		299,178
Other debt securities carried at fair value:
U.S. Treasury and government agencies	575		—		—		—		575
Non-agency residential MBS	—		343		242		—		585
Non-U.S. and other securities	2,580		5,155		—		—		7,735
Total other debt securities carried at fair value	3,155		5,498		242		—		8,895
Loans and leases	—		7,071		748		—		7,819
Loans held-for-sale	—		4,138		317		—		4,455
Other assets (3)	7,657		2,915		1,572		—		12,144
Total assets (4)	$	354,184	$	714,547	$	10,674	$	(313,118)	$	766,287
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	408	$	—	$	—	$	408
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		139,641		—		—		139,641
Trading account liabilities:
U.S. Treasury and government agencies	19,826		313		—		—		20,139
Equity securities	41,744		6,491		—		—		48,235
Non-U.S. sovereign debt	10,400		13,781		—		—		24,181
Corporate securities and other	—		8,124		11		—		8,135
Total trading account liabilities	71,970		28,709		11		—		100,690
Derivative liabilities	35,282		314,380		5,795		(317,782)		37,675
Short-term borrowings	—		4,279		—		—		4,279
Accrued expenses and other liabilities	8,359		3,130		—		—		11,489
Long-term debt	—		28,633		1,075		—		29,708
Total liabilities (4)	$	115,611	$	519,180	$	6,881	$	(317,782)	$	323,890

(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 $10.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $752 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 of $818 million which are classified as Level 3 assets.

(4)Total recurring Level 3 assets were 0.34 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.24 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 government agencies	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	—		21,566		75		—		21,641
Mortgage trading loans, ABS and other MBS	—		8,440		1,365		—		9,805
Total trading account assets (2)	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 government agencies	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 government agencies	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 (3)	9,898		3,850		1,970		—		15,718
Total assets (4)	$	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 government agencies	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 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 certain commodities inventory of $576 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 of $1.0 billion which are classified as Level 3 assets.

(4)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.

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 2021, 2020 and 2019, 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, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,359	$	(17)	$	—	$	765	$	(437)	$	—	$	(327)	$	1,218	$	(451)	$	2,110	$	(79)
Equity securities	227		(18)		—		103		(68)		—		—		112		(166)		190		(44)
Non-U.S. sovereign debt	354		31		(20)		18		—		—		(13)		26		—		396		34
Mortgage trading loans, ABS and other MBS	1,440		(58)		—		518		(721)		7		(167)		771		(263)		1,527		(91)
Total trading account assets	3,380		(62)		(20)		1,404		(1,226)		7		(507)		2,127		(880)		4,223		(180)
Net derivative assets (liabilities) (4)	(3,468)		927		—		521		(653)		—		293		(74)		(208)		(2,662)		800
AFS debt securities:
Non-agency residential MBS	378		(11)		(111)		—		(98)		—		(45)		304		(101)		316		8
Non-U.S. securities	18		(4)		—		—		(10)		—		(4)		—		—		—		—
Other taxable securities	71		—		(7)		8		—		—		—		—		(1)		71		—
Tax-exempt securities	176		20		—		—		—		—		(2)		—		(142)		52		(19)
Total AFS debt securities	643		5		(118)		8		(108)		—		(51)		304		(244)		439		(11)
Other debt securities carried at fair value – Non-agency residential MBS	267		1		—		—		(45)		—		(37)		101		(45)		242		10
Loans and leases (5,6)	717		62		—		59		(13)		70		(180)		46		(13)		748		65
Loans held-for-sale (5,6)	236		13		(6)		132		(1)		—		(79)		26		(4)		317		18
Other assets (6,7)	1,970		7		3		26		(202)		144		(383)		9		(2)		1,572		3
Trading account liabilities – Corporate securities    and other	(16)		6		—		—		—		(1)		—		—		—		(11)		—
Long-term debt (5)	(1,164)		(92)		13		(6)		15		(12)		98		(65)		138		(1,075)		(113)
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)

(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 market making and similar activities and 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 losses of $19 million and $41 million related to financial instruments still held at December 31, 2021 and 2020.

(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and $2.8 billion and derivative liabilities of $5.8 billion and $6.2 billion at December 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.

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, 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 of $3 million related to financial instruments still held at December 31, 2019.

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

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 2021, 2020 and 2019, 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, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,359	$	(17)	$	—	$	765	$	(437)	$	—	$	(327)	$	1,218	$	(451)	$	2,110	$	(79)
Equity securities	227		(18)		—		103		(68)		—		—		112		(166)		190		(44)
Non-U.S. sovereign debt	354		31		(20)		18		—		—		(13)		26		—		396		34
Mortgage trading loans, ABS and other MBS	1,440		(58)		—		518		(721)		7		(167)		771		(263)		1,527		(91)
Total trading account assets	3,380		(62)		(20)		1,404		(1,226)		7		(507)		2,127		(880)		4,223		(180)
Net derivative assets (liabilities) (4)	(3,468)		927		—		521		(653)		—		293		(74)		(208)		(2,662)		800
AFS debt securities:
Non-agency residential MBS	378		(11)		(111)		—		(98)		—		(45)		304		(101)		316		8
Non-U.S. securities	18		(4)		—		—		(10)		—		(4)		—		—		—		—
Other taxable securities	71		—		(7)		8		—		—		—		—		(1)		71		—
Tax-exempt securities	176		20		—		—		—		—		(2)		—		(142)		52		(19)
Total AFS debt securities	643		5		(118)		8		(108)		—		(51)		304		(244)		439		(11)
Other debt securities carried at fair value – Non-agency residential MBS	267		1		—		—		(45)		—		(37)		101		(45)		242		10
Loans and leases (5,6)	717		62		—		59		(13)		70		(180)		46		(13)		748		65
Loans held-for-sale (5,6)	236		13		(6)		132		(1)		—		(79)		26		(4)		317		18
Other assets (6,7)	1,970		7		3		26		(202)		144		(383)		9		(2)		1,572		3
Trading account liabilities – Corporate securities    and other	(16)		6		—		—		—		(1)		—		—		—		(11)		—
Long-term debt (5)	(1,164)		(92)		13		(6)		15		(12)		98		(65)		138		(1,075)		(113)
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)

(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 market making and similar activities and 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 losses of $19 million and $41 million related to financial instruments still held at December 31, 2021 and 2020.

(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and $2.8 billion and derivative liabilities of $5.8 billion and $6.2 billion at December 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.

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, 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 of $3 million related to financial instruments still held at December 31, 2019.

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

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, 2021 and 2020.

Quantitative Information about Level 3 Fair Value Measurements at December 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	$	1,269	Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans, ABS and other MBS	338			Prepayment speed	1% to 40% CPR		19% CPR
Loans and leases	373			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	316			Price	$0 to $168		$92
Other debt securities carried at fair value – Non-agency residential	242			Loss severity	0% to 43%		13	%
Instruments backed by commercial real estate assets	$	298	Discounted cash flow	Yield	0% to 25%		4	%
Trading account assets – Corporate securities, trading loans and other	138			Price	$0 to $101		$57
Trading account assets – Mortgage trading loans, ABS and other MBS	77
AFS debt securities – Other taxable securities	71
Loans held-for-sale	12
Commercial loans, debt securities and other	$	4,212	Discounted cash flow, Market comparables	Yield	0% to 19%		10	%
Trading account assets – Corporate securities, trading loans and other	1,972			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, ABS and other MBS	1,112			Loss severity	35% to 40%		37	%
AFS debt securities – Tax-exempt securities	52			Price	$0 to $189		$73
Loans and leases	375			Long-dated equity volatilities	45%		n/a
Loans held-for-sale	305
Other assets, primarily auction rate securities	$	754	Discounted cash flow, Market comparables	Price	$10 to $96		$91
				Discount rate	9	%	n/a
MSRs	$	818	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 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	$	(1,075)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	0% to 19%		18	%
				Equity correlation	3% to 100%		80	%
				Long-dated equity volatilities	5% to 78%		36	%
				Price	$0 to $125		$82
				Natural gas forward price	$2/MMBtu to $8/MMBtu		$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(104)	Discounted cash flow, Stochastic recovery correlation model	Credit spreads	7 to 155 bps		61 bps
				Upfront points	16 to 100 points		68 points
				Prepayment speed	15% CPR		n/a
				Default rate	2% CDR		n/a
				Credit correlation	20% to 60%		55	%
				Price	$0 to $120		$53
Equity derivatives	$	(1,710)	Industry standard derivative pricing (3)	Equity correlation	3% to 100%		80	%
				Long-dated equity volatilities	5% to 78%		36	%
Commodity derivatives	$	(976)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$2/MMBtu to $8/MMBtu		$4 /MMBtu
				Correlation	65% to 85%		76	%
				Power forward price	$11 to $103		$32
				Volatilities	41% to 69%		63	%
Interest rate derivatives	$	128	Industry standard derivative pricing (4)	Correlation (IR/IR)	(1)% to 90%		54	%
				Correlation (FX/IR)	(1)% to 58%		44	%
				Long-dated inflation rates	(10)% to 11%		3	%
				Long-dated inflation volatilities	0% to 2%		2	%
				Interest rate volatilities	0% to 2%		1	%
Total net derivative assets (liabilities)	$	(2,662)

(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 152: Trading account assets – Corporate securities, trading loans and other of $2.1 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.5 billion, AFS debt securities of $439 million, Other debt securities carried at fair value - Non-agency residential of $242 million, Other assets, including MSRs, of $1.6 billion, Loans and leases of $748 million and LHFS of $317 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 153: 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

Fair Value Measurements, Nonrecurring

Assets Measured at Fair Value on a Nonrecurring Basis
	December 31, 2021				December 31, 2020
(Dollars in millions)	Level 2		Level 3		Level 2		Level 3
Assets
Loans held-for-sale	$	634	$	24	$	1,020	$	792
Loans and leases (1)	—		213		—		301
Foreclosed properties (2, 3)	—		5		—		17
Other assets	256		2,046		323		576
			Gains (Losses)
			2021		2020		2019
Assets
Loans held-for-sale			$	(44)	$	(79)	$	(14)
Loans and leases (1)			(60)		(73)		(81)
Foreclosed properties			(2)		(6)		(9)
Other assets			(492)		(98)		(2,145)

(1)Includes $24 million, $30 million and $36 million of losses on loans that were written down to a collateral value of zero during 2021, 2020 and 2019, 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 $52 million and $119 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2021 and 2020.

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements at December 31, 2021 and 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)	Year Ended December 31, 2021
Loans and leases (2)	$	213	Market comparables	OREO discount	13% to 59%		24	%
				Costs to sell	8% to 26%		9	%
Other assets (3)	1,875		Discounted cash flow	Discount rate	7	%	n/a
	166		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