Fair Value Measurements

3 Months Ended

Mar. 31, 2023

Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement

date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current

marketplace. During the three months ended March 31, 2023, 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 2022 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 15 – Fair Value Option.

Recurring Fair Value

Assets and liabilities carried at fair value on a recurring basis at

March 31, 2023 and December 31, 2022, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.



	March 31, 2023
	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	$	921	$	—	$	—	$	—	$	921
Federal funds sold and securities borrowed or purchased under agreements to resell	—		163,505		—		—		163,505
Trading account assets:
U.S. Treasury and government agencies	63,966		8		—		—		63,974
Corporate securities, trading loans and other	—		41,121		2,322		—		43,443
Equity securities	90,424		37,493		212		—		128,129
Non-U.S. sovereign debt	9,180		28,892		541		—		38,613
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		30,959		11		—		30,970
Mortgage trading loans, ABS and other MBS	—		8,560		1,289		—		9,849
Total trading account assets (2)	163,570		147,033		4,375		—		314,978
Derivative assets	14,626		342,584		3,555		(319,818)		40,947
AFS debt securities:
U.S. Treasury and government agencies	100,579		928		—		—		101,507
Mortgage-backed securities:
Agency	—		23,252		—		—		23,252
Agency-collateralized mortgage obligations	—		2,035		—		—		2,035
Non-agency residential	—		114		293		—		407
Commercial	—		6,440		—		—		6,440
Non-U.S. securities	—		12,933		187		—		13,120

Other taxable securities	—		4,746		—		—		4,746
Tax-exempt securities	—		10,852		51		—		10,903
Total AFS debt securities	100,579		61,300		531		—		162,410
Other debt securities carried at fair value:
U.S. Treasury and government agencies	1,323		—		—		—		1,323



Non-agency residential MBS	—		206		94		—		300



Non-U.S. and other securities	2,989		5,488		—		—		8,477
Total other debt securities carried at fair value	4,312		5,694		94		—		10,100
Loans and leases	—		4,154		243		—		4,397
Loans held-for-sale	—		1,180		206		—		1,386


Other assets (3)	9,905		877		1,769		—		12,551

Total assets (4)	$	293,913	$	726,327	$	10,773	$	(319,818)	$	711,195

Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	378	$	—	$	—	$	378
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		234,338		—		—		234,338
Trading account liabilities:
U.S. Treasury and government agencies	13,886		5		—		—		13,891
Equity securities	44,410		5,528		—		—		49,938
Non-U.S. sovereign debt	12,659		8,165		—		—		20,824
Corporate securities and other	—		7,735		64		—		7,799

Total trading account liabilities	70,955		21,433		64		—		92,452
Derivative liabilities	15,976		341,556		6,334		(323,697)		40,169
Short-term borrowings	—		1,796		9		—		1,805
Accrued expenses and other liabilities	11,042		2,597		20		—		13,659
Long-term debt	—		38,641		772		—		39,413
Total liabilities (4)	$	97,973	$	640,739	$	7,199	$	(323,697)	$	422,214

(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 $18.2 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 $91 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, which are classified as Level 3 assets, of $986 million.

(4)Total recurring Level 3 assets were 0.34 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.25 percent of total consolidated liabilities.



	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, which are classified as Level 3 assets, of $1.0 billion.

(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.

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 months ended March 31, 2023 and 2022, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to

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



Level 3 – Fair Value Measurements (1)

	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance March 31		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Three Months Ended March 31, 2023
Trading account assets:

Corporate securities, trading loans and other	$	2,384	$	27	$	1	$	126	$	(120)	$	14	$	(144)	$	148	$	(114)	$	2,322	$	3
Equity securities	145		(4)		—		6		(12)		—		—		77		—		212		(4)
Non-U.S. sovereign debt	518		26		16		3		(6)		—		(16)		—		—		541		26
Mortgage trading loans, MBS and ABS	1,552		(9)		—		74		(150)		—		(116)		87		(138)		1,300		(25)
Total trading account assets	4,599		40		17		209		(288)		14		(276)		312		(252)		4,375		—
Net derivative assets (liabilities) (4)	(2,893)		69		—		249		(268)		—		(315)		321		58		(2,779)		154
AFS debt securities:



Non-agency residential MBS	258		3		34		—		—		—		(2)		—		—		293		3




Non-U.S. and other taxable securities	195		—		3		—		—		—		(8)		—		(3)		187		—
Tax-exempt securities	51		—		—		—		—		—		—		—		—		51		—
Total AFS debt securities	504		3		37		—		—		—		(10)		—		(3)		531		3
Other debt securities carried at fair value – Non-agency residential MBS	119		(2)		—		—		(19)		—		(2)		—		(2)		94		(2)
Loans and leases (5)	253		2		—		9		—		—		(37)		16		—		243		2

Loans held-for-sale (5)	232		12		2		—		(16)		—		(24)		—		—		206		12
Other assets (6,7)	1,799		10		1		6		—		27		(76)		2		—		1,769		(17)

Trading account liabilities – Corporate securities and other	(58)		—		—		—		(2)		(1)		—		(4)		1		(64)		—
Short-term borrowings (5)	(14)		—		—		—		(3)		(1)		9		—		—		(9)		—
Accrued expenses and other liabilities (5)	(32)		24		—		(12)		—		—		—		—		—		(20)		24
Long-term debt (5)	(862)		87		(6)		(9)		—		—		11		—		7		(772)		87

Three Months Ended March 31, 2022
Trading account assets:

Corporate securities, trading loans and other	$	2,110	$	(2)	$	—	$	12	$	(153)	$	—	$	(18)	$	368	$	(128)	$	2,189	$	(21)
Equity securities	190		16		—		16		(6)		—		(4)		8		(37)		183		13
Non-U.S. sovereign debt	396		20		53		2		—		—		(15)		45		(5)		496		17
Mortgage trading loans, MBS and ABS	1,527		(92)		—		129		(155)		—		(21)		251		(24)		1,615		(47)
Total trading account assets	4,223		(58)		53		159		(314)		—		(58)		672		(194)		4,483		(38)
Net derivative assets (liabilities) (4)	(2,662)		617		—		58		(185)		—		107		(143)		74		(2,134)		643
AFS debt securities:



Non-agency residential MBS	316		4		(24)		—		(8)		—		(44)		—		—		244		5



Non-U.S. and other taxable securities	71		—		(1)		—		—		—		—		87		(2)		155		—
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		—
Total AFS debt securities	439		4		(25)		—		(8)		—		(44)		87		(2)		451		5
Other debt securities carried at fair value – Non-agency residential MBS	242		(39)		—		—		—		—		(65)		—		—		138		(39)
Loans and leases (5)	748		(30)		—		—		(1)		—		(27)		—		—		690		(30)

Loans held-for-sale (5)	317		7		12		104		—		—		(58)		—		—		382		5
Other assets (6,7)	1,572		144		3		—		1		40		(69)		4		—		1,695		132

Trading account liabilities – Corporate securities and other	(11)		—		—		—		—		—		—		—		—		(11)		1

Accrued expenses and other liabilities (5)	—		(50)		—		—		—		—		—		—		—		(50)		(31)
Long-term debt (5)	(1,075)		(109)		33		—		—		—		4		(6)		276		(877)		(111)

(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 - primarily 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 of $50 million and $81 million related to financial instruments still held at March 31, 2023 and 2022.

(4)Net derivative assets (liabilities) include derivative assets of $3.6 billion and $3.7 billion and derivative liabilities of $6.3 billion and $5.9 billion at March 31, 2023 and 2022.

(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.

The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at March 31, 2023 and December 31, 2022.

Quantitative Information about Level 3 Fair Value Measurements at March 31, 2023

(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

763

Discounted cash flow, Market comparables

Yield

0% to 25%

Trading account assets – Mortgage trading loans, MBS and ABS

230

Prepayment speed

0% to 37% CPR

12% CPR

Loans and leases

146

Default rate

0% to 3% CDR

1% CDR

AFS debt securities – Non-agency residential

293

Price

$0 to $113

$26

Other debt securities carried at fair value – Non-agency residential

Loss severity

0% to 100%

Instruments backed by commercial real estate assets

384

Discounted cash
flow

Yield

0% to 25%

Trading account assets – Corporate securities, trading loans and other

325

Price

$0 to $100

$78

Trading account assets – Mortgage trading loans, MBS and ABS

Commercial loans, debt securities and other

4,090

Discounted cash flow, Market comparables

Yield

6% to 45%

Trading account assets – Corporate securities, trading loans and other

1,997

Prepayment speed

10% to 20%

Trading account assets – Non-U.S. sovereign debt

541

Default rate

3% to 4%

Trading account assets – Mortgage trading loans, MBS and ABS

1,011

Loss severity

35% to 40%

AFS debt securities – Tax-exempt securities

Price

$0 to $157

$75

AFS debt securities – Non-U.S. and other taxable securities

187

Loans and leases

Loans held-for-sale

206

Other assets, primarily auction rate securities

783

Discounted cash flow, Market comparables

Price

$10 to $97

$94

Discount rate

n/a

MSRs

986

Discounted cash
flow

Weighted-average life, fixed rate (5)

0 to 13 years

6 years

Weighted-average life, variable rate (5)

0 to 11 years

3 years

Option-adjusted spread, fixed rate

7% to 14%

Option-adjusted spread, variable rate

9% to 15%

Structured liabilities

Long-term debt

(772)

Discounted cash flow, Market comparables, Industry standard derivative pricing (3)

Yield

32% to 45%

Equity correlation

1% to 96%

Price

$0 to $122

$92

Natural gas forward price

$3/MMBtu to $8/MMBtu

$4 /MMBtu

Net derivative assets (liabilities)

Credit derivatives

Discounted cash flow, Stochastic recovery correlation model

Credit spreads

4 to 78 bps

62 bps

Prepayment speed

15% CPR

n/a

Default rate

2% CDR

n/a

Credit correlation

21% to 57%

Price

$0 to $151

$95

Equity derivatives

(1,403)

Industry standard derivative pricing (3)

Equity correlation

0% to 100%

Long-dated equity volatilities

4% to 111%

Commodity derivatives

(495)

Discounted cash flow, Industry standard derivative pricing (3)

Natural gas forward price

$3/MMBtu to $8/MMBtu

$4 /MMBtu

Power forward price

$5 to $105

$40

Interest rate derivatives

(885)

Industry standard derivative pricing (4)

Correlation (IR/IR)

(35)% to 89%

Correlation (FX/IR)

11% to 58%

Long-dated inflation rates

0% to 48%

Long-dated inflation volatilities

1% to 5%

Interest rate volatilities

0% to 2%

Total net derivative assets (liabilities)

(2,779)

(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 83: Trading account assets – Corporate securities, trading loans and other of $2.3 billion, Trading account assets – Non-U.S. sovereign debt of $541 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.3 billion, AFS debt securities of $531 million, Other debt securities carried at fair value - Non-agency residential of $94 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $243 million and LHFS of $206 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, 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%

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%

Instruments backed by commercial real estate assets

362

Discounted cash
flow

Yield

0% to 25%

Trading account assets – Corporate securities, trading loans and other

292

Price

$0 to $100

$75

Trading account assets – Mortgage trading loans, MBS and ABS

Loans held-for-sale

Commercial loans, debt securities and other

4,348

Discounted cash flow, Market comparables

Yield

5% to 43%

Trading account assets – Corporate securities, trading loans and other

2,092

Prepayment speed

10% to 20%

Trading account assets – Non-U.S. sovereign debt

518

Default rate

3% to 4%

Trading account assets – Mortgage trading loans, MBS and ABS

1,148

Loss severity

35% to 40%

AFS debt securities – Tax-exempt securities

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%

Option-adjusted spread, variable rate

9% to 15%

Structured liabilities

Long-term debt

(862)

Discounted cash flow, Market comparables, Industry standard derivative pricing (3)

Yield

22% to 43%

Equity correlation

0% to 95%

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%

Price

$0 to $151

$63

Equity derivatives

(1,534)

Industry standard derivative pricing (3)

Equity correlation

0% to 100%

Long-dated equity volatilities

4% to 101%

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%

Correlation (FX/IR)

11% to 58%

Long-dated inflation rates

G0% to 39%

Long-dated inflation volatilities

0% to 5%

Interest rates volatilities

0% to 2%

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 84: 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

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 2022 Annual Report on Form 10-K.

Nonrecurring Fair Value

The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as nonrecurring. The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2023 and 2022.



Assets Measured at Fair Value on a Nonrecurring Basis


	March 31, 2023				Three Months Ended March 31, 2023
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	715	$	3,428	$	(34)
Loans and leases (1)	—		57		(11)
Foreclosed properties (2, 3)	—		4		(1)
Other assets	—		30		(6)

	March 31, 2022				Three Months Ended March 31, 2022

Assets
Loans held-for-sale	$	31	$	543	$	(1)
Loans and leases (1)	—		68		(15)
Foreclosed properties (2, 3)	—		1		—
Other assets	—		50		(18)

(1)Includes $3 million and $6 million of losses on loans that were written down to a collateral value of zero during the three months ended March 31, 2023 and 2022.

(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 $61 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at March 31, 2023 and 2022.

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the three months ended March 31, 2023 and the year ended December 31, 2022.

Quantitative Information about Nonrecurring Level 3 Fair Value Measurements

Inputs

Financial Instrument

Fair Value

Valuation
Technique

Significant Unobservable
Inputs

Ranges of
Inputs

Weighted

Average (1)

(Dollars in millions)

Three Months Ended March 31, 2023

Loans held-for-sale

3,428

Pricing model

Implied yield

12% to 26%

n/a

Loans and leases (2)

Market comparables

OREO discount

10% to 66%

Costs to sell

8% to 24%

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%

Costs to sell

8% to 24%

Other assets (3)

165

Discounted cash flow

Discount rate

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.

n/a = not applicable

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details