Fair Value Measurements

6 Months Ended

Jun. 30, 2022

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 six months ended June 30, 2022, 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 2021 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 June 30, 2022 and December 31, 2021, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.

	June 30, 2022
	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	$	774	$	—	$	—	$	—	$	774
Federal funds sold and securities borrowed or purchased under agreements to resell	—		154,287		—		—		154,287
Trading account assets:
U.S. Treasury and government agencies	46,899		287		—		—		47,186
Corporate securities, trading loans and other	—		45,434		2,367		—		47,801
Equity securities	99,723		31,104		179		—		131,006
Non-U.S. sovereign debt	9,177		25,200		470		—		34,847
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		22,869		96		—		22,965
Mortgage trading loans, ABS and other MBS	—		8,932		1,290		—		10,222
Total trading account assets (2)	155,799		133,826		4,402		—		294,027
Derivative assets	21,180		384,582		2,967		(346,682)		62,047
AFS debt securities:
U.S. Treasury and government agencies	193,080		975		—		—		194,055
Mortgage-backed securities:
Agency	—		28,725		—		—		28,725
Agency-collateralized mortgage obligations	—		2,613		—		—		2,613
Non-agency residential	—		131		299		—		430
Commercial	—		12,560		—		—		12,560
Non-U.S. securities	1		11,636		199		—		11,836
Other taxable securities	—		3,269		1		—		3,270
Tax-exempt securities	—		12,713		52		—		12,765
Total AFS debt securities	193,081		72,622		551		—		266,254
Other debt securities carried at fair value:
U.S. Treasury and government agencies	190		—		—		—		190
Non-agency residential MBS	—		297		112		—		409
Non-U.S. and other securities	4,051		3,761		—		—		7,812
Total other debt securities carried at fair value	4,241		4,058		112		—		8,411
Loans and leases	—		5,240		256		—		5,496
Loans held-for-sale	—		1,525		345		—		1,870
Other assets (3)	4,980		1,250		1,750		—		7,980
Total assets (4)	$	380,055	$	757,390	$	10,383	$	(346,682)	$	801,146
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	444	$	—	$	—	$	444
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		145,165		—		—		145,165
Trading account liabilities:
U.S. Treasury and government agencies	19,495		326		—		—		19,821
Equity securities	37,397		7,430		—		—		44,827
Non-U.S. sovereign debt	13,495		10,685		—		—		24,180
Corporate securities and other	—		8,460		14		—		8,474
Total trading account liabilities	70,387		26,901		14		—		97,302
Derivative liabilities	19,572		365,284		4,649		(351,080)		38,425
Short-term borrowings	—		2,931		—		—		2,931
Accrued expenses and other liabilities	5,457		1,461		63		—		6,981
Long-term debt	—		27,563		812		—		28,375
Total liabilities (4)	$	95,416	$	569,749	$	5,538	$	(351,080)	$	319,623

(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 $11.3 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 $2.0 billion 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 $963 million, which are classified as Level 3 assets.

(4)Total recurring Level 3 assets were 0.33 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.19 percent of total consolidated liabilities.

	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.

The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and six months ended June 30, 2022 and 2021, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to

decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.

Level 3 – Fair Value Measurements (1)
	Balance April 1		Total Realized/Unrealized Gains  (Losses) in Net  Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance June 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Three Months Ended June 30, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,189	$	(67)	$	(1)	$	755	$	(45)	$	—	$	(99)	$	152	$	(517)	$	2,367	$	(90)
Equity securities	183		(9)		—		12		(9)		—		—		18		(16)		179		(7)
Non-U.S. sovereign debt	496		(1)		(33)		5		(2)		—		—		5		—		470		—
Mortgage trading loans, MBS and ABS	1,615		(86)		—		78		(162)		—		(73)		65		(51)		1,386		(95)
Total trading account assets	4,483		(163)		(34)		850		(218)		—		(172)		240		(584)		4,402		(192)
Net derivative assets (liabilities) (4)	(2,134)		725		—		67		(166)		—		237		(36)		(375)		(1,682)		763
AFS debt securities:
Non-agency residential MBS	244		(2)		2		—		—		—		(19)		74		—		299		(2)
Non-U.S. and other taxable securities	155		3		(8)		126		—		—		(9)		—		(67)		200		—
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		—
Total AFS debt securities	451		1		(6)		126		—		—		(28)		74		(67)		551		(2)
Other debt securities carried at fair value – Non-agency residential MBS	138		(1)		—		—		—		—		(8)		—		(17)		112		(1)
Loans and leases (5,6)	690		(11)		—		—		(153)		—		(21)		—		(249)		256		(9)
Loans held-for-sale (5,6)	382		17		(7)		66		(6)		—		(115)		8		—		345		13
Other assets (6,7)	1,695		82		(8)		—		—		45		(64)		—		—		1,750		61
Trading account liabilities – Corporate securities    and other	(11)		(1)		—		—		—		—		(2)		—		—		(14)		—
Accrued expenses and other liabilities (5)	(50)		(13)		—		—		—		—		—		—		—		(63)		(13)
Long-term debt (5)	(877)		(13)		46		—		14		(1)		13		—		6		(812)		(13)
Three Months Ended June 30, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,516	$	38	$	—	$	185	$	(110)	$	—	$	(116)	$	306	$	(55)	$	1,764	$	16
Equity securities	273		32		—		8		(26)		—		—		26		(53)		260		23
Non-U.S. sovereign debt	334		20		34		—		—		—		—		26		—		414		20
Mortgage trading loans, MBS and ABS	1,561		(10)		—		119		(274)		—		(28)		188		(58)		1,498		(10)
Total trading account assets	3,684		80		34		312		(410)		—		(144)		546		(166)		3,936		49
Net derivative assets (liabilities) (4)	(3,206)		5		—		211		(88)		—		36		(83)		241		(2,884)		(19)
AFS debt securities:
Non-agency residential MBS	284		1		3		—		—		—		(8)		—		(75)		205		—
Non-U.S. and other taxable securities	86		(1)		1		—		—		—		(1)		—		—		85		—
Tax-exempt securities	98		3		—		—		—		—		—		—		(50)		51		3
Total AFS debt securities	468		3		4		—		—		—		(9)		—		(125)		341		3
Other debt securities carried at fair value – Non-agency residential MBS	260		3		—		—		—		—		(14)		32		—		281		3
Loans and leases (5,6)	793		34		—		—		—		60		(46)		16		—		857		34
Loans held-for-sale (5,6)	220		10		11		38		—		—		(23)		7		—		263		4
Other assets (6,7)	2,090		(153)		4		55		(144)		23		(100)		—		—		1,775		(117)
Trading account liabilities – Corporate securities    and other	(16)		—		—		—		—		(1)		—		—		—		(17)		—
Long-term debt (5)	(1,028)		(67)		15		2		—		(2)		19		—		1		(1,060)		(66)

(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; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $(9) million and $67 million related to financial instruments still held at June 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.0 billion and $3.3 billion and derivative liabilities of $4.6 billion and $6.2 billion at June 30, 2022 and 2021.

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

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

(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

Level 3 – Fair Value Measurements (1)
	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance June 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Six Months Ended June 30, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,110	$	(69)	$	(1)	$	767	$	(198)	$	—	$	(117)	$	520	$	(645)	$	2,367	$	(53)
Equity securities	190		7		—		28		(15)		—		(4)		26		(53)		179		(11)
Non-U.S. sovereign debt	396		19		20		7		(2)		—		(15)		50		(5)		470		16
Mortgage trading loans, MBS and ABS	1,527		(178)		—		207		(317)		—		(94)		316		(75)		1,386		(124)
Total trading account assets	4,223		(221)		19		1,009		(532)		—		(230)		912		(778)		4,402		(172)
Net derivative assets (liabilities) (4)	(2,662)		1,342		—		125		(351)		—		344		(179)		(301)		(1,682)		1,238
AFS debt securities:
Non-agency residential MBS	316		2		(22)		—		(8)		—		(63)		74		—		299		2
Non-U.S. and other taxable securities	71		3		(9)		126		—		—		(9)		87		(69)		200		3
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		(1)
Total AFS debt securities	439		5		(31)		126		(8)		—		(72)		161		(69)		551		4
Other debt securities carried at fair value – Non-agency residential MBS	242		(40)		—		—		—		—		(73)		—		(17)		112		(5)
Loans and leases (5,6)	748		(41)		—		—		(154)		—		(48)		—		(249)		256		(34)
Loans held-for-sale (5,6)	317		24		5		170		(6)		—		(173)		8		—		345		18
Other assets (6,7)	1,572		226		(5)		—		1		85		(133)		4		—		1,750		193
Trading account liabilities – Corporate securities    and other	(11)		(1)		—		—		—		—		(2)		—		—		(14)		—
Accrued expenses and other liabilities (5)	—		(63)		—		—		—		—		—		—		—		(63)		(64)
Long-term debt (5)	(1,075)		(122)		79		—		14		(1)		17		(6)		282		(812)		(125)
Six Months Ended June 30, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,359	$	25	$	—	$	426	$	(257)	$	—	$	(133)	$	458	$	(114)	$	1,764	$	(5)
Equity securities	227		22		—		53		(49)		—		—		78		(71)		260		14
Non-U.S. sovereign debt	354		20		12		2		—		—		—		26		—		414		23
Mortgage trading loans, MBS and ABS	1,440		39		—		247		(495)		1		(64)		444		(114)		1,498		16
Total trading account assets	3,380		106		12		728		(801)		1		(197)		1,006		(299)		3,936		48
Net derivative assets (liabilities) (4)	(3,468)		291		—		349		(349)		—		183		(191)		301		(2,884)		192
AFS debt securities:
Non-agency residential MBS	378		(15)		(94)		—		—		—		(25)		36		(75)		205		(2)
Non-U.S. and other taxable securities	89		(1)		(5)		8		—		—		(6)		—		—		85		—
Tax-exempt securities	176		17		—		—		—		—		—		—		(142)		51		16
Total AFS debt securities	643		1		(99)		8		—		—		(31)		36		(217)		341		14
Other debt securities carried at fair value – Non-agency residential MBS	267		2		—		—		—		—		(20)		32		—		281		2
Loans and leases (5,6)	717		104		—		—		—		70		(80)		46		—		857		111
Loans held-for-sale (5,6)	236		4		3		38		—		—		(40)		26		(4)		263		(5)
Other assets (6,7)	1,970		21		8		55		(145)		64		(205)		7		—		1,775		46
Trading account liabilities – Corporate securities    and other	(16)		—		—		—		—		(1)		—		—		—		(17)		1
Long-term debt (5)	(1,164)		(18)		2		2		—		(2)		37		(32)		115		(1,060)		(34)

(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; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $71 million and $(5) million related to financial instruments still held at June 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.0 billion and $3.3 billion and derivative liabilities of $4.6 billion and $6.2 billion at June 30, 2022 and 2021.

(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 June 30, 2022 and December 31, 2021.

Quantitative Information about Level 3 Fair Value Measurements at June 30, 2022
(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	$	806	Discounted cash flow, Market comparables	Yield	0% to 25%		7	%
Trading account assets – Mortgage trading loans, MBS and ABS	238			Prepayment speed	0% to 33% CPR		14% CPR
Loans and leases	157			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	299			Price	$0 to $120		$28
Other debt securities carried at fair value – Non-agency residential	112			Loss severity	0% to 100%		24	%
Instruments backed by commercial real estate assets	$	467	Discounted cash flow	Yield	0% to 25%		6	%
Trading account assets – Corporate securities, trading loans and other	377			Price	$0 to $100		$75
Trading account assets – Mortgage trading loans, MBS and ABS	73
Loans held-for-sale	17
Commercial loans, debt securities and other	$	4,214	Discounted cash flow, Market comparables	Yield	3% to 145%		16	%
Trading account assets – Corporate securities, trading loans and other	1,990			Prepayment speed	10% to 20%		16	%
Trading account assets – Non-U.S. sovereign debt	470			Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans, MBS and ABS	1,075			Loss severity	35% to 40%		37	%
AFS debt securities – Tax-exempt securities	52			Price	$0 to $157		$73
AFS debt securities – Non-U.S. and other taxable securities	200
Loans and leases	99
Loans held-for-sale	328
Other assets, primarily auction rate securities	$	787	Discounted cash flow, Market comparables	Price	$10 to $95		$93
				Discount rate	10	%	n/a
MSRs	$	963	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years		5 years
				Weighted-average life, variable rate (5)	0 to 12 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	$	(812)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	20% to 145%		22	%
				Equity correlation	0% to 92%		58	%
				Price	$0 to $100		$71
				Natural gas forward price	$3/MMBtu to $8/MMBtu		$5 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(26)	Discounted cash flow, Stochastic recovery correlation model	Credit spreads	2 to 176 bps		69 bps
				Upfront points	0 to 100 points		68 points
				Prepayment speed	15% CPR		n/a
				Default rate	2% CDR		n/a
				Credit correlation	19% to 60%		43	%
				Price	$0 to $151		$58
Equity derivatives	$	(1,283)	Industry standard derivative pricing (3)	Equity correlation	4% to 100%		86	%
				Long-dated equity volatilities	5% to 91%		45	%
Commodity derivatives	$	(434)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$3/MMBtu to $8/MMBtu		$5 /MMBtu
				Power forward price	$17 to $197		$50
Interest rate derivatives	$	61	Industry standard derivative pricing (4)	Correlation (IR/IR)	(1)% to 92%		66	%
				Correlation (FX/IR)	0% to 58%		45	%
				Long-dated inflation rates	(16)% to 39%		1	%
				Long-dated inflation volatilities	2% to 5%		3	%
				Interest rate volatilities	0% to 2%		1	%
Total net derivative assets (liabilities)	$	(1,682)

(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 86: Trading account assets – Corporate securities, trading loans and other of $2.4 billion, Trading account assets – Non-U.S. sovereign debt of $470 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.4 billion, AFS debt securities of $551 million, Other debt securities carried at fair value - Non-agency residential of $112 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $256 million and LHFS of $345 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, 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, MBS and ABS	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, MBS and ABS	77
AFS debt securities – Non-U.S. and 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, MBS and ABS	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	G(10)% to 11%	3	%
				Long-dated inflation volatilities	0% to 2%	2	%
				Interest rates 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 87: 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

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 2021 Annual Report on Form 10-K.

Nonrecurring Fair Value

The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as nonrecurring. The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and six months ended June 30, 2022 and 2021.

Assets Measured at Fair Value on a Nonrecurring Basis
	June 30, 2022				Three Months Ended June 30, 2022		Six Months Ended June 30, 2022
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	749	$	403	$	(31)	$	(32)
Loans and leases (1)	—		124		(21)		(33)
Foreclosed properties (2, 3)	—		3		(2)		(1)
Other assets	85		48		(23)		(41)
	June 30, 2021				Three Months Ended June 30, 2021		Six Months Ended June 30, 2021
Assets
Loans held-for-sale	$	1,105	$	52	$	9	$	9
Loans and leases (1)	—		142		(24)		(37)
Foreclosed properties (2, 3)	—		3		—		(1)
Other assets	322		2,172		(67)		(470)

(1)Includes $8 million and $12 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2022 compared to losses of $15 million and $18 million for the same periods in 2021.

(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 $71 million and $66 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at June 30, 2022 and 2021.

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the six months ended June 30, 2022 and the year ended December 31, 2021.

Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted Average (1)
(Dollars in millions)	Six Months Ended June 30, 2022
Loans held-for-sale	$	403	Market comparables	Price	$85 to $100		$91
Loans and leases (2)	124		Market comparables	OREO discount	10% to 66%		26	%
				Costs to sell	8% to 24%		9	%
Other assets (3)	48		Discounted cash flow	Discount rate	7	%	n/a
	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 (4)	1,875		Discounted cash flow	Discount rate	7%		n/a
	166		Market comparables	Estimated appraisal value	n/a		n/a

(1)The weighted average is calculated based upon the fair value of the loans.

(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.

(3)Represents the fair value of certain impaired renewable energy investments.

(4)Represents the fair value of certain impaired renewable energy investments and impaired assets related to the Corporation’s real estate rationalization.

n/a = not applicable