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Fair Value Measurements
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value MeasurementsUnder applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current
marketplace. During the six months ended June 30, 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 June 30, 2023 and December 31, 2022, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
June 30, 2023
 Fair Value Measurements
(Dollars in millions)Level 1Level 2Level 3
Netting Adjustments (1)
Assets/Liabilities at Fair Value
Assets     
Time deposits placed and other short-term investments
$902 $— $— $— $902 
Federal funds sold and securities borrowed or purchased under agreements to resell
— 415,470 7 (263,396)152,081 
Trading account assets:     
U.S. Treasury and government agencies67,763 3,029 — — 70,792 
Corporate securities, trading loans and other— 41,933 2,100 — 44,033 
Equity securities70,741 39,420 159 — 110,320 
Non-U.S. sovereign debt10,290 29,499 568 — 40,357 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed— 35,727 11 — 35,738 
Mortgage trading loans, ABS and other MBS— 8,938 1,222 — 10,160 
Total trading account assets (2)
148,794 158,546 4,060 — 311,400 
Derivative assets16,130 358,083 4,371 (332,109)46,475 
AFS debt securities:     
U.S. Treasury and government agencies70,442 916 — — 71,358 
Mortgage-backed securities:     
Agency— 22,153 — — 22,153 
Agency-collateralized mortgage obligations— 1,803 — — 1,803 
Non-agency residential— 111 288 — 399 
Commercial— 6,481 — — 6,481 
Non-U.S. securities877 14,347 184 — 15,408 
Other taxable securities— 3,773 — — 3,773 
Tax-exempt securities— 10,579 51 — 10,630 
Total AFS debt securities71,319 60,163 523 — 132,005 
Other debt securities carried at fair value:
U.S. Treasury and government agencies824 — — — 824 
Non-agency residential MBS— 208 88 — 296 
Non-U.S. and other securities
1,844 7,071 — — 8,915 
Total other debt securities carried at fair value2,668 7,279 88 — 10,035 
Loans and leases— 4,180 147 — 4,327 
Loans held-for-sale— 1,875 188 — 2,063 
Other assets (3)
6,965 1,254 1,809 — 10,028 
Total assets (4)
$246,778 $1,006,850 $11,193 $(595,505)$669,316 
Liabilities     
Interest-bearing deposits in U.S. offices$— $379 $— $— $379 
Federal funds purchased and securities loaned or sold under agreements to repurchase
— 478,387 — (263,396)214,991 
Trading account liabilities:    
U.S. Treasury and government agencies13,523 3 — — 13,526 
Equity securities50,888 4,240 — — 55,128 
Non-U.S. sovereign debt12,034 9,465 — — 21,499 
Corporate securities and other— 7,616 49 — 7,665 
Total trading account liabilities76,445 21,324 49 — 97,818 
Derivative liabilities16,428 355,700 9,368 (338,097)43,399 
Short-term borrowings— 2,228 11 — 2,239 
Accrued expenses and other liabilities8,774 2,799 14 — 11,587 
Long-term debt— 39,958 664 — 40,622 
Total liabilities (4)
$101,647 $900,775 $10,106 $(601,493)$411,035 
(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 $27.4 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 $843 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 0.36 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.36 percent of total consolidated liabilities.
December 31, 2022
Fair Value Measurements
(Dollars in millions)Level 1Level 2Level 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 (2)
— 146,999 — — 146,999 
Trading account assets:     
U.S. Treasury and government agencies58,894 212 — — 59,106 
Corporate securities, trading loans and other— 46,897 2,384 — 49,281 
Equity securities77,868 35,065 145 — 113,078 
Non-U.S. sovereign debt7,392 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 (3)
144,154 147,355 4,599 — 296,108 
Derivative assets14,775 380,380 3,213 (349,726)48,642 
AFS debt securities:     
U.S. Treasury and government agencies158,102 920 — — 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 securities158,102 62,182 504 — 220,788 
Other debt securities carried at fair value:
U.S. Treasury and government agencies561 — — — 561 
Non-agency residential MBS— 248 119 — 367 
Non-U.S. and other securities3,027 5,251 — — 8,278 
Total other debt securities carried at fair value3,588 5,499 119 — 9,206 
Loans and leases— 5,518 253 — 5,771 
Loans held-for-sale— 883 232 — 1,115 
Other assets (4)
6,898 897 1,799 — 9,594 
Total assets (5)
$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 (2)
— 151,708 — — 151,708 
Trading account liabilities:    
U.S. Treasury and government agencies13,906 181 — — 14,087 
Equity securities36,937 4,825 — — 41,762 
Non-U.S. sovereign debt9,636 8,228 — — 17,864 
Corporate securities and other— 6,628 58 — 6,686 
Total trading account liabilities60,479 19,862 58 — 80,399 
Derivative liabilities15,431 376,979 6,106 (353,700)44,816 
Short-term borrowings— 818 14 — 832 
Accrued expenses and other liabilities7,458 2,262 32 — 9,752 
Long-term debt— 32,208 862 — 33,070 
Total liabilities (5)
$83,368 $584,148 $7,072 $(353,700)$320,888 
(1)Amounts represent the impact of legally enforceable derivative master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Amounts have been netted by $221.7 billion to reflect the application of legally enforceable master netting agreements.
(3)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.
(4)Includes MSRs, which are classified as Level 3 assets, of $1.0 billion.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.25 percent of total consolidated liabilities.
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and six months ended June 30, 2023 and 2022, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to
decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Level 3 – Fair Value Measurements (1)
Balance April 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
GrossGross
Transfers
into
Level 3 		Gross
Transfers
out of
Level 3 		Balance June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)PurchasesSalesIssuancesSettlements
Three Months Ended June 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell$— $— $— $— $— $— $— $7 $— $7 $— 
Trading account assets:       
Corporate securities, trading loans and other
2,322 34 1 98 (35)— (308)46 (58)2,100 13 
Equity securities212 (2)— 10 (32)— (12)6 (23)159 (17)
Non-U.S. sovereign debt541 12 20 33 — — (38)— — 568 12 
Mortgage trading loans, MBS and ABS1,300 (19)— 30 (52)— (105)155 (76)1,233 (28)
Total trading account assets4,375 25 21 171 (119)— (463)207 (157)4,060 (20)
Net derivative assets (liabilities) (4)
(2,779)(1,630)(140)280 (331)— (480)(160)243 (4,997)(1,690)
AFS debt securities:          
Non-agency residential MBS293 — (2)— — — (3)— — 288 — 
Non-U.S. and other taxable securities187 4 4 — — — (7)— (4)184 2 
Tax-exempt securities51 — — — — — — — — 51 — 
Total AFS debt securities531 4 2 — — — (10)— (4)523 2 
Other debt securities carried at fair value – Non-agency residential MBS
94 1 — — — — (2)— (5)88 2 
Loans and leases (5)
243 (13)— — (50)— (33)— — 147 (17)
Loans held-for-sale (5)
206 10 2 — (5)— (25)— — 188 2 
Other assets (6,7)
1,769 98 6 — 1 17 (82)— — 1,809 65 
Trading account liabilities – Corporate securities
   and other
(64)(4)— (1)— — 2 (2)20 (49)— 
Short-term borrowings (5)
(9)3 — — (10)(1)6 — — (11)3 
Accrued expenses and other liabilities (5)
(20)6 — — — — — — — (14)6 
Long-term debt (5)
(772)64 (15)— 53 — 6 — — (664)69 
Three Months Ended June 30, 2022
Trading account assets:
Corporate securities, trading loans and other
$2,189 $(67)$(1)$755 $(45)$— $(99)$152 $(517)$2,367 $(90)
Equity securities183 (9)— 12 (9)— — 18 (16)179 (7)
Non-U.S. sovereign debt496 (1)(33)5 (2)— — 5 — 470 — 
Mortgage trading loans, MBS and ABS1,615 (86)— 78 (162)— (73)65 (51)1,386 (95)
Total trading account assets4,483 (163)(34)850 (218)— (172)240 (584)4,402 (192)
Net derivative assets (liabilities) (4)
(2,134)725 — 67 (166)— 237 (36)(375)(1,682)763 
AFS debt securities:       
Non-agency residential MBS244 (2)2 — — — (19)74 — 299 (2)
Non-U.S. and other taxable securities155 3 (8)126 — — (9)— (67)200 — 
Tax-exempt securities52 — — — — — — — — 52 — 
Total AFS debt securities451 1 (6)126 — — (28)74 (67)551 (2)
Other debt securities carried at fair value – Non-agency residential MBS
138 (1)— — — — (8)— (17)112 (1)
Loans and leases (5)
690 (11)— — (153)— (21)— (249)256 (9)
Loans held-for-sale (5)
382 17 (7)66 (6)— (115)8 — 345 13 
Other assets (6,7)
1,695 82 (8)— — 45 (64)— — 1,750 61 
Trading account liabilities – Corporate securities
   and other
(11)(1)— — — — (2)— — (14)— 
Accrued expenses and other liabilities (5)
(50)(13)— — — — — — — (63)(13)
Long-term debt (5)
(877)(13)46 — 14 (1)13 — 6 (812)(13)
(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 - market making and similar activities and other income; 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, derivatives designated in cash flow hedges 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 $124 million and $9 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 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.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI (3)
GrossGross
Transfers
into
Level 3 		Gross
Transfers
out of
Level 3 		Balance
June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

PurchasesSalesIssuancesSettlements
Six Months Ended June 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell$— $— $— $— $— $— $— $7 $— $7 $— 
Trading account assets:       
Corporate securities, trading loans and other
2,384 61 2 224 (155)14 (452)194 (172)2,100 29 
Equity securities
145 (6)— 16 (44)— (12)83 (23)159 (17)
Non-U.S. sovereign debt
518 38 36 36 (6)— (54)— — 568 96 
Mortgage trading loans, MBS and ABS1,552 (28)— 104 (202)— (221)242 (214)1,233 (39)
Total trading account assets4,599 65 38 380 (407)14 (739)519 (409)4,060 69 
Net derivative assets (liabilities) (4)
(2,893)(1,561)(140)529 (599)— (795)161 301 (4,997)(2,077)
AFS debt securities:          
Non-agency residential MBS258 3 32 — — — (5)— — 288 4 
Non-U.S. and other taxable securities195 4 7 — — — (15)— (7)184 (1)
Tax-exempt securities51 — — — — — — — — 51 — 
Total AFS debt securities504 7 39 — — — (20)— (7)523 3 
Other debt securities carried at fair value – Non-agency residential MBS
119 (1)— — (19)— (4)— (7)88 1 
Loans and leases (5,6)
253 (11)— 9 (50)— (70)16 — 147 (17)
Loans held-for-sale (5,6)
232 22 4 — (21)— (49)— — 188 20 
Other assets (6,7)
1,799 108 7 6 1 44 (158)2 — 1,809 48 
Trading account liabilities – Corporate securities
   and other
(58)(4)— (1)(2)(1)2 (6)21 (49)(1)
Short-term borrowings (5)
(14)3 — — (13)(2)15 — — (11)2 
Accrued expenses and other liabilities (5)
(32)30 — (12)— — — — — (14)11 
Long-term debt (5)
(862)151 (21)(9)53 — 17 — 7 (664)139 
Six Months Ended June 30, 2022
Trading account assets:     
Corporate securities, trading loans and other
$2,110 $(69)$(1)$767 $(198)$— $(117)$520 $(645)$2,367 $(53)
Equity securities190 7 — 28 (15)— (4)26 (53)179 (11)
Non-U.S. sovereign debt396 19 20 7 (2)— (15)50 (5)470 16 
Mortgage trading loans, MBS and ABS1,527 (178)— 207 (317)— (94)316 (75)1,386 (124)
Total trading account assets4,223 (221)19 1,009 (532)— (230)912 (778)4,402 (172)
Net derivative assets (liabilities) (4)
(2,662)1,342 — 125 (351)— 344 (179)(301)(1,682)1,238 
AFS debt securities:       
Non-agency residential MBS316 2 (22)— (8)— (63)74 — 299 2 
Non-U.S. and other taxable securities71 3 (9)126 — — (9)87 (69)200 3 
Tax-exempt securities52 — — — — — — — — 52 (1)
Total AFS debt securities439 5 (31)126 (8)— (72)161 (69)551 4 
Other debt securities carried at fair value – Non-agency residential MBS
242 (40)— — — — (73)— (17)112 (5)
Loans and leases (5,6)
748 (41)— — (154)— (48)— (249)256 (34)
Loans held-for-sale (5,6)
317 24 5 170 (6)— (173)8 — 345 18 
Other assets (6,7)
1,572 226 (5)— 1 85 (133)4 — 1,750 193 
Trading account liabilities – Corporate securities
   and other
(11)(1)— — — — (2)— — (14)— 
Accrued expenses and other liabilities (5)
— (63)— — — — — — — (63)(64)
Long-term debt (5)
(1,075)(122)79 — 14 (1)17 (6)282 (812)(125)
(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 - market making and similar activities and other income; 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, derivatives designated in cash flow hedges 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 $(74) million and $71 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at June 30, 2023 and December 31, 2022.
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2023
(Dollars in millions)Inputs
Financial InstrumentFair
Value		Valuation
Technique		Significant Unobservable
Inputs		Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets$599 Discounted cash flow, Market comparables Yield
0% to 20%
9 %
Trading account assets – Mortgage trading loans, MBS and ABS133 Prepayment speed
0% to 38% CPR
12% CPR
Loans and leases90 Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential288 Price
$0 to $114
$20
Other debt securities carried at fair value – Non-agency residential88 Loss severity
0% to 100%
26 %
Instruments backed by commercial real estate assets$406 Discounted cash
flow		Yield
0% to 25%
12 %
Trading account assets – Corporate securities, trading loans and other315 Price
$0 to $100
$77
Trading account assets – Mortgage trading loans, MBS and ABS91 
Commercial loans, debt securities and other$3,842 Discounted cash flow, Market comparablesYield
5% to 41%
21 %
Trading account assets – Corporate securities, trading loans and other
1,785 Prepayment speed
10% to 20%
15 %
Trading account assets – Non-U.S. sovereign debt568 Default rate
3% to 4%
4 %
Trading account assets – Mortgage trading loans, MBS and ABS1,009 Loss severity
35% to 40%
38 %
AFS debt securities – Tax-exempt securities51 Price
$0 to $157
$72
AFS debt securities – Non-U.S. and other taxable securities184 
Loans and leases57 
Loans held-for-sale188 
Other assets, primarily auction rate securities$805 Discounted cash flow, Market comparablesPrice
$10 to $97
$94

Discount rate11 %n/a
MSRs$1,004 Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 14 years
6 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 $(664)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
40% to 41%
41 %
Equity correlation
2% to 95%
79 %
Price
$0 to $100
$88
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives$1 Discounted cash flow, Stochastic recovery correlation modelCredit spreads
3 to 84 bps
67 bps
Prepayment speed
15% CPR
n/a
Default rate
 2% CDR
n/a
Credit correlation
19% to 60%
53 %
Price
$0 to $100
$87
Equity derivatives$(1,419)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
68 %
Long-dated equity volatilities
2% to 122%
38 %
Commodity derivatives$(553)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$2/MMBtu to $8/MMBtu
$4 /MMBtu
Power forward price
$18 to $91
$39
Interest rate derivatives$(3,026)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
66 %
Correlation (FX/IR)
11% to 58%
42 %
Long-dated inflation rates
 (1)% to 11%
0 %
Long-dated inflation volatilities
0% to 5%
2 %
Interest rate volatilities
0% to 2%
1 %
Total net derivative assets (liabilities)$(4,997)
(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 91: Trading account assets – Corporate securities, trading loans and other of $2.1 billion, Trading account assets – Non-U.S. sovereign debt of $568 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $523 million, Other debt securities carried at fair value - Non-agency residential of $88 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $147 million and LHFS of $188 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 InstrumentFair
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 ABS338 
Prepayment speed
0% to 29% CPR
12% CPR
Loans and leases137 Default rate
0% to 3% CDR
1% CDR
AFS debt securities - Non-agency residential258 Price
$0 to $111
$26
Other debt securities carried at fair value - Non-agency residential119 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 other292 Price
$0 to $100
$75
Trading account assets – Mortgage trading loans, MBS and ABS66 
Loans held-for-sale4 
Commercial loans, debt securities and other$4,348 Discounted cash flow, Market comparablesYield
 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 debt518 Default rate
3% to 4%
4 %
Trading account assets – Mortgage trading loans, MBS and ABS1,148 Loss severity
35% to 40%
38 %
AFS debt securities – Tax-exempt securities51 Price
 $0 to $157
$75
AFS debt securities – Non-U.S. and other taxable securities195 
Loans and leases116 
Loans held-for-sale228 
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 modelCredit 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
$(1,024)
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 89%
67 %
Correlation (FX/IR)
11% to 58%
43 %
Long-dated inflation rates
G0% to 39%
1 %
Long-dated inflation volatilities
0% to 5%
2 %
Interest rates volatilities
0% to 2%
1 %
Total net derivative assets (liabilities)$(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 92: 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 and six months ended June 30, 2023 and 2022.
Assets Measured at Fair Value on a Nonrecurring Basis
June 30, 2023Three Months Ended June 30, 2023Six Months Ended June 30, 2023
(Dollars in millions)Level 2Level 3Gains (Losses)
Assets  
Loans held-for-sale$109 $3,671 $(18)$(67)
Loans and leases (1)
— 95 (13)(23)
Foreclosed properties (2, 3)
— 6 (4)(4)
Other assets4 30 (1)(7)
 June 30, 2022Three Months Ended June 30, 2022Six Months Ended June 30, 2022
Assets  
Loans held-for-sale$749 $403 $(31)$(32)
Loans and leases (1)
— 124 (21)(33)
Foreclosed properties (2, 3)
— 3 (2)(1)
Other assets85 48 (23)(41)
(1)Includes $3 million and $5 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2023 compared to losses of $8 million and $12 million for the same periods in 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 $46 million and $71 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at June 30, 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 six months ended June 30, 2023 and the year ended December 31, 2022.
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
Inputs
Financial InstrumentFair ValueValuation
Technique		Significant Unobservable
Inputs		Ranges of
Inputs
Weighted
Average (1)
(Dollars in millions)Six Months Ended June 30, 2023
Loans held-for-sale$3,671 Pricing modelImplied yield
9% to 26%
n/a
Loans and leases (2)
95 Market comparablesOREO discount
10% to 66%
26 %
Costs to sell
8% to 24%
9 %
Year Ended December 31, 2022
Loans held-for-sale$3,079 Pricing modelImplied yield
9% to 24%
n/a
Loans and leases (2)
166 Market comparablesOREO discount
10% to 66%
26 %
Costs to sell
8% to 24%
9 %
Other assets (3)
165Discounted cash flowDiscount rate7 %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