Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

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 September 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.

	September 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	$	682	$	—	$	—	$	—	$	682
Federal funds sold and securities borrowed or purchased under agreements to resell	—		165,521		—		—		165,521
Trading account assets:
U.S. Treasury and government agencies	62,200		501		—		—		62,701
Corporate securities, trading loans and other	—		44,931		2,349		—		47,280
Equity securities	82,645		28,537		171		—		111,353
Non-U.S. sovereign debt	11,613		22,537		485		—		34,635
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		26,743		50		—		26,793
Mortgage trading loans, ABS and other MBS	—		9,283		1,413		—		10,696
Total trading account assets (2)	156,458		132,532		4,468		—		293,458
Derivative assets	20,236		453,548		3,286		(405,114)		71,956
AFS debt securities:
U.S. Treasury and government agencies	166,691		922		—		—		167,613
Mortgage-backed securities:
Agency	—		23,604		—		—		23,604
Agency-collateralized mortgage obligations	—		2,369		—		—		2,369
Non-agency residential	—		134		266		—		400
Commercial	—		5,773		—		—		5,773
Non-U.S. securities	7		10,579		417		—		11,003
Other taxable securities	—		3,405		—		—		3,405
Tax-exempt securities	—		12,120		52		—		12,172
Total AFS debt securities	166,698		58,906		735		—		226,339
Other debt securities carried at fair value:
U.S. Treasury and government agencies	520		—		—		—		520
Non-agency residential MBS	—		286		100		—		386
Non-U.S. and other securities	3,656		5,344		—		—		9,000
Total other debt securities carried at fair value	4,176		5,630		100		—		9,906
Loans and leases	—		4,654		197		—		4,851
Loans held-for-sale	—		2,123		272		—		2,395
Other assets (3)	4,660		861		1,805		—		7,326
Total assets (4)	$	352,910	$	823,775	$	10,863	$	(405,114)	$	782,434
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	453	$	—	$	—	$	453
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		165,390		—		—		165,390
Trading account liabilities:
U.S. Treasury and government agencies	16,495		419		—		—		16,914
Equity securities	35,187		5,873		—		—		41,060
Non-U.S. sovereign debt	11,283		8,086		—		—		19,369
Corporate securities and other	—		7,412		13		—		7,425
Total trading account liabilities	62,965		21,790		13		—		84,768
Derivative liabilities	19,609		434,324		5,503		(409,280)		50,156
Short-term borrowings	—		1,987		6		—		1,993
Accrued expenses and other liabilities	5,652		1,049		63		—		6,764
Long-term debt	—		26,738		793		—		27,531
Total liabilities (4)	$	88,226	$	651,731	$	6,378	$	(409,280)	$	337,055

(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 $17.7 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $918 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 0.23 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.

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 the three and nine months ended September 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 July 1		Total Realized/Unrealized Gains  (Losses) in Net  Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Three Months Ended September 30, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,367	$	(28)	$	(1)	$	176	$	(144)	$	—	$	(300)	$	329	$	(50)	$	2,349	$	(30)
Equity securities	179		(5)		—		13		(7)		—		—		3		(12)		171		(5)
Non-U.S. sovereign debt	470		39		(12)		11		(2)		—		(18)		2		(5)		485		39
Mortgage trading loans, MBS and ABS	1,386		(57)		—		166		(72)		—		(6)		113		(67)		1,463		(47)
Total trading account assets	4,402		(51)		(13)		366		(225)		—		(324)		447		(134)		4,468		(43)
Net derivative assets (liabilities) (4)	(1,682)		(266)		—		97		(238)		—		49		(62)		(115)		(2,217)		(293)
AFS debt securities:
Non-agency residential MBS	299		(1)		(11)		—		—		—		(8)		—		(13)		266		(1)
Non-U.S. and other taxable securities	200		2		(3)		—		—		—		(5)		224		(1)		417		(2)
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		—
Total AFS debt securities	551		1		(14)		—		—		—		(13)		224		(14)		735		(3)
Other debt securities carried at fair value – Non-agency residential MBS	112		(2)		—		—		—		—		(4)		—		(6)		100		(2)
Loans and leases (5)	256		(1)		—		—		—		—		(58)		—		—		197		(2)
Loans held-for-sale (5)	345		(27)		(2)		—		—		—		(44)		—		—		272		(27)
Other assets (6,7)	1,750		70		(20)		—		(2)		78		(68)		—		(3)		1,805		61
Trading account liabilities – Corporate securities    and other	(14)		1		—		—		—		—		—		—		—		(13)		—
Short-term borrowings (5)	—		1		—		—		(4)		—		—		(3)		—		(6)		1
Accrued expenses and other liabilities (5)	(63)		7		—		(7)		—		—		—		—		—		(63)		7
Long-term debt (5)	(812)		26		(12)		—		—		—		18		(13)		—		(793)		26
Three Months Ended September 30, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,764	$	(2)	$	—	$	89	$	(43)	$	—	$	(118)	$	239	$	(295)	$	1,634	$	(20)
Equity securities	260		(2)		—		18		(11)		—		—		20		(76)		209		(2)
Non-U.S. sovereign debt	414		4		(26)		16		—		—		(9)		—		—		399		4
Mortgage trading loans, MBS and ABS	1,498		(43)		—		97		(89)		—		(61)		180		(8)		1,574		(41)
Total trading account assets	3,936		(43)		(26)		220		(143)		—		(188)		439		(379)		3,816		(59)
Net derivative assets (liabilities) (4)	(2,884)		564		—		124		(168)		—		23		173		(157)		(2,325)		512
AFS debt securities:
Non-agency residential MBS	205		(1)		(2)		—		—		—		(12)		208		—		398		(4)
Non-U.S. and other taxable securities	85		(3)		(1)		—		—		—		2		—		—		83		—
Tax-exempt securities	51		2		—		—		—		—		—		—		—		53		2
Total AFS debt securities	341		(2)		(3)		—		—		—		(10)		208		—		534		(2)
Other debt securities carried at fair value – Non-agency residential MBS	281		(2)		—		—		—		—		(9)		26		—		296		(2)
Loans and leases (5)	857		(59)		—		—		—		—		(67)		—		(13)		718		(59)
Loans held-for-sale (5)	263		13		(7)		94		(1)		—		(22)		—		—		340		10
Other assets (6,7)	1,775		15		(6)		1		1		51		(95)		2		—		1,744		49
Trading account liabilities – Corporate securities    and other	(17)		6		—		—		—		—		—		—		—		(11)		(1)
Long-term debt (5)	(1,060)		(65)		2		—		—		(9)		30		(25)		1		(1,126)		(65)

(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 - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $60 million and $38 million related to financial instruments still held at September 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $3.8 billion and derivative liabilities of $5.5 billion and $6.2 billion at September 30, 2022 and 2021.

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

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

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

Level 3 – Fair Value Measurements (1)
	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Nine Months Ended September 30, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,110	$	(97)	$	(2)	$	943	$	(342)	$	—	$	(417)	$	849	$	(695)	$	2,349	$	(141)
Equity securities	190		2		—		41		(22)		—		(4)		29		(65)		171		(20)
Non-U.S. sovereign debt	396		58		8		18		(4)		—		(33)		52		(10)		485		55
Mortgage trading loans, MBS and ABS	1,527		(235)		—		373		(389)		—		(100)		429		(142)		1,463		(124)
Total trading account assets	4,223		(272)		6		1,375		(757)		—		(554)		1,359		(912)		4,468		(230)
Net derivative assets (liabilities) (4)	(2,662)		1,076		—		222		(589)		—		393		(241)		(416)		(2,217)		701
AFS debt securities:
Non-agency residential MBS	316		1		(33)		—		(8)		—		(71)		74		(13)		266		1
Non-U.S. and other taxable securities	71		5		(12)		126		—		—		(14)		311		(70)		417		1
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		(1)
Total AFS debt securities	439		6		(45)		126		(8)		—		(85)		385		(83)		735		1
Other debt securities carried at fair value – Non-agency residential MBS	242		(42)		—		—		—		—		(77)		—		(23)		100		(7)
Loans and leases (5)	748		(42)		—		—		(154)		—		(106)		—		(249)		197		(20)
Loans held-for-sale (5)	317		(3)		3		170		(6)		—		(217)		8		—		272		(11)
Other assets (6,7)	1,572		296		(25)		—		(1)		163		(201)		4		(3)		1,805		152
Trading account liabilities – Corporate securities    and other	(11)		—		—		—		—		—		(2)		—		—		(13)		—
Short-term borrowings (5)	—		1		—		—		(4)		—		—		(3)		—		(6)		1
Accrued expenses and other liabilities (5)	—		(56)		—		(7)		—		—		—		—		—		(63)		(33)
Long-term debt (5)	(1,075)		(96)		67		—		14		(1)		35		(19)		282		(793)		(102)
Nine Months Ended September 30, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,359	$	23	$	—	$	515	$	(300)	$	—	$	(251)	$	697	$	(409)	$	1,634	$	(42)
Equity securities	227		20		—		71		(60)		—		—		98		(147)		209		(17)
Non-U.S. sovereign debt	354		24		(14)		18		—		—		(9)		26		—		399		27
Mortgage trading loans, MBS and ABS	1,440		(4)		—		344		(584)		1		(125)		624		(122)		1,574		(65)
Total trading account assets	3,380		63		(14)		948		(944)		1		(385)		1,445		(678)		3,816		(97)
Net derivative assets (liabilities) (4)	(3,468)		855		—		473		(517)		—		206		(18)		144		(2,325)		579
AFS debt securities:
Non-agency residential MBS	378		(16)		(96)		—		—		—		(37)		244		(75)		398		(7)
Non-U.S. and other taxable securities	89		(4)		(6)		8		—		—		(4)		—		—		83		—
Tax-exempt securities	176		19		—		—		—		—		—		—		(142)		53		18
Total AFS debt securities	643		(1)		(102)		8		—		—		(41)		244		(217)		534		11
Other debt securities carried at fair value – Non-agency residential MBS	267		—		—		—		—		—		(29)		58		—		296		—
Loans and leases (5)	717		45		—		—		—		70		(147)		46		(13)		718		52
Loans held-for-sale (5)	236		17		(4)		132		(1)		—		(62)		26		(4)		340		40
Other assets (6,7)	1,970		36		2		56		(144)		115		(300)		9		—		1,744		92
Trading account liabilities – Corporate securities    and other	(16)		6		—		—		—		(1)		—		—		—		(11)		—
Long-term debt (5)	(1,164)		(83)		4		2		—		(11)		67		(57)		116		(1,126)		(54)

(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 - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; 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 $2 million and $(45) million related to financial instruments still held at September 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $3.8 billion and derivative liabilities of $5.5 billion and $6.2 billion at September 30, 2022 and 2021.

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

(6)Issuances represent 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.

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 the three and nine months ended September 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 July 1		Total Realized/Unrealized Gains  (Losses) in Net  Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Three Months Ended September 30, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,367	$	(28)	$	(1)	$	176	$	(144)	$	—	$	(300)	$	329	$	(50)	$	2,349	$	(30)
Equity securities	179		(5)		—		13		(7)		—		—		3		(12)		171		(5)
Non-U.S. sovereign debt	470		39		(12)		11		(2)		—		(18)		2		(5)		485		39
Mortgage trading loans, MBS and ABS	1,386		(57)		—		166		(72)		—		(6)		113		(67)		1,463		(47)
Total trading account assets	4,402		(51)		(13)		366		(225)		—		(324)		447		(134)		4,468		(43)
Net derivative assets (liabilities) (4)	(1,682)		(266)		—		97		(238)		—		49		(62)		(115)		(2,217)		(293)
AFS debt securities:
Non-agency residential MBS	299		(1)		(11)		—		—		—		(8)		—		(13)		266		(1)
Non-U.S. and other taxable securities	200		2		(3)		—		—		—		(5)		224		(1)		417		(2)
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		—
Total AFS debt securities	551		1		(14)		—		—		—		(13)		224		(14)		735		(3)
Other debt securities carried at fair value – Non-agency residential MBS	112		(2)		—		—		—		—		(4)		—		(6)		100		(2)
Loans and leases (5)	256		(1)		—		—		—		—		(58)		—		—		197		(2)
Loans held-for-sale (5)	345		(27)		(2)		—		—		—		(44)		—		—		272		(27)
Other assets (6,7)	1,750		70		(20)		—		(2)		78		(68)		—		(3)		1,805		61
Trading account liabilities – Corporate securities    and other	(14)		1		—		—		—		—		—		—		—		(13)		—
Short-term borrowings (5)	—		1		—		—		(4)		—		—		(3)		—		(6)		1
Accrued expenses and other liabilities (5)	(63)		7		—		(7)		—		—		—		—		—		(63)		7
Long-term debt (5)	(812)		26		(12)		—		—		—		18		(13)		—		(793)		26
Three Months Ended September 30, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,764	$	(2)	$	—	$	89	$	(43)	$	—	$	(118)	$	239	$	(295)	$	1,634	$	(20)
Equity securities	260		(2)		—		18		(11)		—		—		20		(76)		209		(2)
Non-U.S. sovereign debt	414		4		(26)		16		—		—		(9)		—		—		399		4
Mortgage trading loans, MBS and ABS	1,498		(43)		—		97		(89)		—		(61)		180		(8)		1,574		(41)
Total trading account assets	3,936		(43)		(26)		220		(143)		—		(188)		439		(379)		3,816		(59)
Net derivative assets (liabilities) (4)	(2,884)		564		—		124		(168)		—		23		173		(157)		(2,325)		512
AFS debt securities:
Non-agency residential MBS	205		(1)		(2)		—		—		—		(12)		208		—		398		(4)
Non-U.S. and other taxable securities	85		(3)		(1)		—		—		—		2		—		—		83		—
Tax-exempt securities	51		2		—		—		—		—		—		—		—		53		2
Total AFS debt securities	341		(2)		(3)		—		—		—		(10)		208		—		534		(2)
Other debt securities carried at fair value – Non-agency residential MBS	281		(2)		—		—		—		—		(9)		26		—		296		(2)
Loans and leases (5)	857		(59)		—		—		—		—		(67)		—		(13)		718		(59)
Loans held-for-sale (5)	263		13		(7)		94		(1)		—		(22)		—		—		340		10
Other assets (6,7)	1,775		15		(6)		1		1		51		(95)		2		—		1,744		49
Trading account liabilities – Corporate securities    and other	(17)		6		—		—		—		—		—		—		—		(11)		(1)
Long-term debt (5)	(1,060)		(65)		2		—		—		(9)		30		(25)		1		(1,126)		(65)

(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 - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments 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 $60 million and $38 million related to financial instruments still held at September 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $3.8 billion and derivative liabilities of $5.5 billion and $6.2 billion at September 30, 2022 and 2021.

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

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

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

Level 3 – Fair Value Measurements (1)
	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Nine Months Ended September 30, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,110	$	(97)	$	(2)	$	943	$	(342)	$	—	$	(417)	$	849	$	(695)	$	2,349	$	(141)
Equity securities	190		2		—		41		(22)		—		(4)		29		(65)		171		(20)
Non-U.S. sovereign debt	396		58		8		18		(4)		—		(33)		52		(10)		485		55
Mortgage trading loans, MBS and ABS	1,527		(235)		—		373		(389)		—		(100)		429		(142)		1,463		(124)
Total trading account assets	4,223		(272)		6		1,375		(757)		—		(554)		1,359		(912)		4,468		(230)
Net derivative assets (liabilities) (4)	(2,662)		1,076		—		222		(589)		—		393		(241)		(416)		(2,217)		701
AFS debt securities:
Non-agency residential MBS	316		1		(33)		—		(8)		—		(71)		74		(13)		266		1
Non-U.S. and other taxable securities	71		5		(12)		126		—		—		(14)		311		(70)		417		1
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		(1)
Total AFS debt securities	439		6		(45)		126		(8)		—		(85)		385		(83)		735		1
Other debt securities carried at fair value – Non-agency residential MBS	242		(42)		—		—		—		—		(77)		—		(23)		100		(7)
Loans and leases (5)	748		(42)		—		—		(154)		—		(106)		—		(249)		197		(20)
Loans held-for-sale (5)	317		(3)		3		170		(6)		—		(217)		8		—		272		(11)
Other assets (6,7)	1,572		296		(25)		—		(1)		163		(201)		4		(3)		1,805		152
Trading account liabilities – Corporate securities    and other	(11)		—		—		—		—		—		(2)		—		—		(13)		—
Short-term borrowings (5)	—		1		—		—		(4)		—		—		(3)		—		(6)		1
Accrued expenses and other liabilities (5)	—		(56)		—		(7)		—		—		—		—		—		(63)		(33)
Long-term debt (5)	(1,075)		(96)		67		—		14		(1)		35		(19)		282		(793)		(102)
Nine Months Ended September 30, 2021
Trading account assets:
Corporate securities, trading loans and other	$	1,359	$	23	$	—	$	515	$	(300)	$	—	$	(251)	$	697	$	(409)	$	1,634	$	(42)
Equity securities	227		20		—		71		(60)		—		—		98		(147)		209		(17)
Non-U.S. sovereign debt	354		24		(14)		18		—		—		(9)		26		—		399		27
Mortgage trading loans, MBS and ABS	1,440		(4)		—		344		(584)		1		(125)		624		(122)		1,574		(65)
Total trading account assets	3,380		63		(14)		948		(944)		1		(385)		1,445		(678)		3,816		(97)
Net derivative assets (liabilities) (4)	(3,468)		855		—		473		(517)		—		206		(18)		144		(2,325)		579
AFS debt securities:
Non-agency residential MBS	378		(16)		(96)		—		—		—		(37)		244		(75)		398		(7)
Non-U.S. and other taxable securities	89		(4)		(6)		8		—		—		(4)		—		—		83		—
Tax-exempt securities	176		19		—		—		—		—		—		—		(142)		53		18
Total AFS debt securities	643		(1)		(102)		8		—		—		(41)		244		(217)		534		11
Other debt securities carried at fair value – Non-agency residential MBS	267		—		—		—		—		—		(29)		58		—		296		—
Loans and leases (5)	717		45		—		—		—		70		(147)		46		(13)		718		52
Loans held-for-sale (5)	236		17		(4)		132		(1)		—		(62)		26		(4)		340		40
Other assets (6,7)	1,970		36		2		56		(144)		115		(300)		9		—		1,744		92
Trading account liabilities – Corporate securities    and other	(16)		6		—		—		—		(1)		—		—		—		(11)		—
Long-term debt (5)	(1,164)		(83)		4		2		—		(11)		67		(57)		116		(1,126)		(54)

(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 - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; 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 $2 million and $(45) million related to financial instruments still held at September 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $3.8 billion and derivative liabilities of $5.5 billion and $6.2 billion at September 30, 2022 and 2021.

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

(6)Issuances represent 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.

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 September 30, 2022 and December 31, 2021.

Quantitative Information about Level 3 Fair Value Measurements at September 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	$	787	Discounted cash flow, Market comparables	Yield	0% to 25%		9	%
Trading account assets – Mortgage trading loans, MBS and ABS	276			Prepayment speed	0% to 34% CPR		13% CPR
Loans and leases	145			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	266			Price	$0 to $113		$28
Other debt securities carried at fair value – Non-agency residential	100			Loss severity	0% to 100%		23	%
Instruments backed by commercial real estate assets	$	346	Discounted cash flow	Yield	0% to 25%		12	%
Trading account assets – Corporate securities, trading loans and other	282			Price	$0 to $101		$75
Trading account assets – Mortgage trading loans, MBS and ABS	64
Commercial loans, debt securities and other	$	4,468	Discounted cash flow, Market comparables	Yield	5% to 69%		16	%
Trading account assets – Corporate securities, trading loans and other	2,067			Prepayment speed	10% to 20%		17	%
Trading account assets – Non-U.S. sovereign debt	485			Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans, MBS and ABS	1,123			Loss severity	35% to 40%		37	%
AFS debt securities – Tax-exempt securities	52			Price	$0 to $158		$76
AFS debt securities – Non-U.S. and other taxable securities	417
Loans and leases	52
Loans held-for-sale	272
Other assets, primarily auction rate securities	$	780	Discounted cash flow, Market comparables	Price	$10 to $98		$95
				Discount rate	11	%	n/a
MSRs	$	1,025	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years		6 years
				Weighted-average life, variable rate (5)	0 to 11 years		3 years
				Option-adjusted spread, fixed rate	7% to 14%		9	%
				Option-adjusted spread, variable rate	9% to 15%		12	%
Structured liabilities
Long-term debt	$	(793)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	20% to 69%		22	%
				Equity correlation	0% to 92%		59	%
				Price	$0 to $127		$91
				Natural gas forward price	$3/MMBtu to $9/MMBtu		$5 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(33)	Discounted cash flow, Stochastic recovery correlation model	Credit spreads	2 to 94 bps		28 bps
				Upfront points	0 to 100 points		78 points
				Prepayment speed	15% CPR		n/a
				Default rate	2% CDR		n/a
				Credit correlation	20% to 55%		38	%
				Price	$0 to $151		$61
Equity derivatives	$	(1,151)	Industry standard derivative pricing (3)	Equity correlation	0% to 99%		71	%
				Long-dated equity volatilities	5% to 90%		46	%
Commodity derivatives	$	(380)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$3/MMBtu to $9/MMBtu		$5 /MMBtu
				Power forward price	$17 to $197		$50
Interest rate derivatives	$	(653)	Industry standard derivative pricing (4)	Correlation (IR/IR)	(35)% to 92%		67	%
				Correlation (FX/IR)	11% to 58%		42	%
				Long-dated inflation rates	(12)% to 51%		1	%
				Long-dated inflation volatilities	3% to 7%		5	%
				Interest rate volatilities	0% to 2%		1	%
Total net derivative assets (liabilities)	$	(2,217)

(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 $2.3 billion, Trading account assets – Non-U.S. sovereign debt of $485 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.5 billion, AFS debt securities of $735 million, Other debt securities carried at fair value - Non-agency residential of $100 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $197 million and LHFS of $272 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 88: 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

Fair Value Measurements, Nonrecurring

The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 30, 2022 and 2021.

Assets Measured at Fair Value on a Nonrecurring Basis
	September 30, 2022				Three Months Ended September 30, 2022		Nine Months Ended September 30, 2022
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	1,752	$	398	$	119	$	87
Loans and leases (1)	—		152		(13)		(44)
Foreclosed properties (2, 3)	—		6		(2)		(3)
Other assets	80		48		—		(40)
	September 30, 2021				Three Months Ended September 30, 2021		Nine Months Ended September 30, 2021
Assets
Loans held-for-sale	$	124	$	20	$	(2)	$	4
Loans and leases (1)	—		182		(16)		(47)
Foreclosed properties (2, 3)	—		17		(3)		(4)
Other assets	354		2,101		(35)		(494)

(1)Includes $6 million and $17 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2022 compared to losses of $7 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 $75 million and $55 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2022 and 2021.

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

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the nine months ended September 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)	Nine Months Ended September 30, 2022
Loans held-for-sale	$	398	Market comparables	Price	$88 to $100		$91
Loans and leases (2)	152		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