Fair Value Measurements (Tables)

12 Months Ended

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

	December 31, 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	$	868	$	—	$	—	$	—	$	868
Federal funds sold and securities borrowed or purchased under agreements to resell	—		146,999		—		—		146,999
Trading account assets:
U.S. Treasury and government agencies	58,894		212		—		—		59,106
Corporate securities, trading loans and other	—		46,897		2,384		—		49,281
Equity securities	77,868		35,065		145		—		113,078
Non-U.S. sovereign debt	7,392		26,306		518		—		34,216
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		28,563		34		—		28,597
Mortgage trading loans, ABS and other MBS	—		10,312		1,518		—		11,830
Total trading account assets (2)	144,154		147,355		4,599		—		296,108
Derivative assets	14,775		380,380		3,213		(349,726)		48,642
AFS debt securities:
U.S. Treasury and government agencies	158,102		920		—		—		159,022
Mortgage-backed securities:
Agency	—		23,442		—		—		23,442
Agency-collateralized mortgage obligations	—		2,221		—		—		2,221
Non-agency residential	—		128		258		—		386
Commercial	—		6,407		—		—		6,407
Non-U.S. securities	—		13,212		195		—		13,407
Other taxable securities	—		4,645		—		—		4,645
Tax-exempt securities	—		11,207		51		—		11,258
Total AFS debt securities	158,102		62,182		504		—		220,788
Other debt securities carried at fair value:
U.S. Treasury and government agencies	561		—		—		—		561
Non-agency residential MBS	—		248		119		—		367
Non-U.S. and other securities	3,027		5,251		—		—		8,278
Total other debt securities carried at fair value	3,588		5,499		119		—		9,206
Loans and leases	—		5,518		253		—		5,771
Loans held-for-sale	—		883		232		—		1,115
Other assets (3)	6,898		897		1,799		—		9,594
Total assets (4)	$	328,385	$	749,713	$	10,719	$	(349,726)	$	739,091
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	311	$	—	$	—	$	311
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		151,708		—		—		151,708
Trading account liabilities:
U.S. Treasury and government agencies	13,906		181		—		—		14,087
Equity securities	36,937		4,825		—		—		41,762
Non-U.S. sovereign debt	9,636		8,228		—		—		17,864
Corporate securities and other	—		6,628		58		—		6,686
Total trading account liabilities	60,479		19,862		58		—		80,399
Derivative liabilities	15,431		376,979		6,106		(353,700)		44,816
Short-term borrowings	—		818		14		—		832
Accrued expenses and other liabilities	7,458		2,262		32		—		9,752
Long-term debt	—		32,208		862		—		33,070
Total liabilities (4)	$	83,368	$	584,148	$	7,072	$	(353,700)	$	320,888

(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 $16.6 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 $40 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 0.25 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 2022, 2021 and 2020, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and

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

Level 3 – Fair Value Measurements (1)
	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance 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, 2022
Trading account assets:
Corporate securities, trading loans and other	2,110		(52)		(2)		1,069		(384)		—		(606)		1,023		(774)		2,384		(78)
Equity securities	190		(3)		—		45		(25)		—		(4)		38		(96)		145		(6)
Non-U.S. sovereign debt	396		59		16		54		(4)		—		(68)		75		(10)		518		56
Mortgage trading loans, MBS and ABS	1,527		(254)		—		729		(665)		—		(112)		536		(209)		1,552		(152)
Total trading account assets	4,223		(250)		14		1,897		(1,078)		—		(790)		1,672		(1,089)		4,599		(180)
Net derivative assets (liabilities) (4)	(2,662)		551		—		319		(830)		—		294		(180)		(385)		(2,893)		259
AFS debt securities:
Non-agency residential MBS	316		—		(35)		—		(8)		—		(75)		73		(13)		258		—
Non-U.S. and other taxable securities	71		10		(10)		126		—		—		(22)		311		(291)		195		1
Tax-exempt securities	52		—		1		—		—		—		(3)		1		—		51		—
Total AFS debt securities	439		10		(44)		126		(8)		—		(100)		385		(304)		504		1
Other debt securities carried at fair value – Non-agency residential MBS	242		(19)		—		—		—		—		(111)		30		(23)		119		14
Loans and leases (5,6)	748		(45)		—		—		(154)		82		(129)		—		(249)		253		(21)
Loans held-for-sale (5,6)	317		9		4		171		(6)		—		(271)		8		—		232		19
Other assets (6,7)	1,572		305		(21)		39		(35)		208		(271)		5		(3)		1,799		213
Trading account liabilities – Corporate securities    and other	(11)		5		—		(4)		—		—		(2)		(46)		—		(58)		1
Short-term borrowings (5)	—		3		—		—		(17)		—		—		(3)		3		(14)		2
Accrued expenses and other liabilities (5)	—		(23)		—		(9)		—		—		—		—		—		(32)		(7)
Long-term debt (5)	(1,075)		(197)		82		—		14		(1)		57		(24)		282		(862)		(200)
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, MBS and ABS	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. and other taxable securities	89		(4)		(7)		8		(10)		—		(4)		—		(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)

(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 - 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 $28 million and $(19) million related to financial instruments still held at December 31, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.2 billion and $3.1 billion and derivative liabilities of $6.1 billion and $5.8 billion at December 31, 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)
(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, 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, MBS and ABS	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. and other taxable securities	67		1		—		9		(5)		—		(1)		18		—		89		1
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 - market making and similar activities and other income related to MSRs; Long-term debt - market making and similar activities.   

(3)Includes unrealized 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 $41 million related to financial instruments still held at December 31, 2020.

(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and derivative liabilities of $6.2 billion.

(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.

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 2022, 2021 and 2020, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and

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

Level 3 – Fair Value Measurements (1)
	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance 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, 2022
Trading account assets:
Corporate securities, trading loans and other	2,110		(52)		(2)		1,069		(384)		—		(606)		1,023		(774)		2,384		(78)
Equity securities	190		(3)		—		45		(25)		—		(4)		38		(96)		145		(6)
Non-U.S. sovereign debt	396		59		16		54		(4)		—		(68)		75		(10)		518		56
Mortgage trading loans, MBS and ABS	1,527		(254)		—		729		(665)		—		(112)		536		(209)		1,552		(152)
Total trading account assets	4,223		(250)		14		1,897		(1,078)		—		(790)		1,672		(1,089)		4,599		(180)
Net derivative assets (liabilities) (4)	(2,662)		551		—		319		(830)		—		294		(180)		(385)		(2,893)		259
AFS debt securities:
Non-agency residential MBS	316		—		(35)		—		(8)		—		(75)		73		(13)		258		—
Non-U.S. and other taxable securities	71		10		(10)		126		—		—		(22)		311		(291)		195		1
Tax-exempt securities	52		—		1		—		—		—		(3)		1		—		51		—
Total AFS debt securities	439		10		(44)		126		(8)		—		(100)		385		(304)		504		1
Other debt securities carried at fair value – Non-agency residential MBS	242		(19)		—		—		—		—		(111)		30		(23)		119		14
Loans and leases (5,6)	748		(45)		—		—		(154)		82		(129)		—		(249)		253		(21)
Loans held-for-sale (5,6)	317		9		4		171		(6)		—		(271)		8		—		232		19
Other assets (6,7)	1,572		305		(21)		39		(35)		208		(271)		5		(3)		1,799		213
Trading account liabilities – Corporate securities    and other	(11)		5		—		(4)		—		—		(2)		(46)		—		(58)		1
Short-term borrowings (5)	—		3		—		—		(17)		—		—		(3)		3		(14)		2
Accrued expenses and other liabilities (5)	—		(23)		—		(9)		—		—		—		—		—		(32)		(7)
Long-term debt (5)	(1,075)		(197)		82		—		14		(1)		57		(24)		282		(862)		(200)
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, MBS and ABS	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. and other taxable securities	89		(4)		(7)		8		(10)		—		(4)		—		(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)

(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 - 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 $28 million and $(19) million related to financial instruments still held at December 31, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.2 billion and $3.1 billion and derivative liabilities of $6.1 billion and $5.8 billion at December 31, 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)
(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, 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, MBS and ABS	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. and other taxable securities	67		1		—		9		(5)		—		(1)		18		—		89		1
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 - market making and similar activities and other income related to MSRs; Long-term debt - market making and similar activities.   

(3)Includes unrealized 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 $41 million related to financial instruments still held at December 31, 2020.

(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and derivative liabilities of $6.2 billion.

(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.

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, 2022 and 2021.

Quantitative Information about Level 3 Fair Value Measurements at December 31, 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	$	852	Discounted cash flow, Market comparables	Yield	0% to 25%		10	%
Trading account assets – Mortgage trading loans, MBS and ABS	338			Prepayment speed	0% to 29% CPR		12% CPR
Loans and leases	137			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	258			Price	$0 to $111		$26
Other debt securities carried at fair value – Non-agency residential	119			Loss severity	0% to 100%		24	%
Instruments backed by commercial real estate assets	$	362	Discounted cash flow	Yield	0% to 25%		10	%
Trading account assets – Corporate securities, trading loans and other	292			Price	$0 to $100		$75
Trading account assets – Mortgage trading loans, MBS and ABS	66
Loans held-for-sale	4
Commercial loans, debt securities and other	$	4,348	Discounted cash flow, Market comparables	Yield	5% to 43%		15	%
Trading account assets – Corporate securities, trading loans and other	2,092			Prepayment speed	10% to 20%		15	%
Trading account assets – Non-U.S. sovereign debt	518			Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans, MBS and ABS	1,148			Loss severity	35% to 40%		38	%
AFS debt securities – Tax-exempt securities	51			Price	$0 to $157		$75
AFS debt securities – Non-U.S. and other taxable securities	195
Loans and leases	116
Loans held-for-sale	228
Other assets, primarily auction rate securities	$	779	Discounted cash flow, Market comparables	Price	$10 to $97		$94
				Discount rate	11	%	n/a
MSRs	$	1,020	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years		6 years
				Weighted-average life, variable rate (5)	0 to 12 years		4 years
				Option-adjusted spread, fixed rate	7% to 14%		9	%
				Option-adjusted spread, variable rate	9% to 15%		12	%
Structured liabilities
Long-term debt	$	(862)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	22% to 43%		23	%
				Equity correlation	0% to 95%		69	%
				Price	$0 to $119		$90
				Natural gas forward price	$3/MMBtu to $13/MMBtu		$9 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(44)	Discounted cash flow, Stochastic recovery correlation model	Credit spreads	3 to 63 bps		22 bps
				Upfront points	0 to 100 points		83 points
				Prepayment speed	15% CPR		n/a
				Default rate	2% CDR		n/a
				Credit correlation	18% to 53%		44	%
				Price	$0 to $151		$63
Equity derivatives	$	(1,534)	Industry standard derivative pricing (3)	Equity correlation	0% to 100%		73	%
				Long-dated equity volatilities	4% to 101%		44	%
Commodity derivatives	$	(291)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$3/MMBtu to $13/MMBtu		$8 /MMBtu
				Power forward price	$9 to $123		$43
Interest rate derivatives	$	(1,024)	Industry standard derivative pricing (4)	Correlation (IR/IR)	(35)% to 89%		67	%
				Correlation (FX/IR)	11% to 58%		43	%
				Long-dated inflation rates	0% to 39%		1	%
				Long-dated inflation volatilities	0% to 5%		2	%
				Interest rate volatilities	0% to 2%		1	%
Total net derivative assets (liabilities)	$	(2,893)

(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 150: Trading account assets – Corporate securities, trading loans and other of $2.4 billion, Trading account assets – Non-U.S. sovereign debt of $518 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.6 billion, AFS debt securities of $504 million, Other debt securities carried at fair value - Non-agency residential of $119 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $253 million and LHFS of $232 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 151: 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 2022, 2021, and 2020.

Assets Measured at Fair Value on a Nonrecurring Basis
	December 31, 2022				December 31, 2021
(Dollars in millions)	Level 2		Level 3		Level 2		Level 3
Assets
Loans held-for-sale	$	1,979	$	3,079	$	634	$	24
Loans and leases (1)	—		166		—		213
Foreclosed properties (2, 3)	—		7		—		5
Other assets	88		165		256		2,046
			Gains (Losses)
			2022		2021		2020
Assets
Loans held-for-sale			$	(387)	$	(44)	$	(79)
Loans and leases (1)			(48)		(60)		(73)
Foreclosed properties			(6)		(2)		(6)
Other assets			(91)		(492)		(98)

(1)Includes $15 million, $24 million and $30 million of losses on loans that were written down to a collateral value of zero during 2022, 2021 and 2020, 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 $60 million and $52 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 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 at December 31, 2022 and 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)	Year Ended December 31, 2022
Loans held-for-sale	$	3,079	Pricing model	Implied yield	9% to 24%		n/a
Loans and leases (2)	166		Market comparables	OREO discount	10% to 66%		26	%
				Costs to sell	8% to 24%		9	%
Other assets (3)	165		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