Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2023

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

	December 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	$	1,181	$	—	$	—	$	—	$	1,181
Federal funds sold and securities borrowed or purchased under agreements to resell	—		436,340		—		(303,287)		133,053
Trading account assets:
U.S. Treasury and government agencies	65,160		1,963		—		—		67,123
Corporate securities, trading loans and other	—		41,462		1,689		—		43,151
Equity securities	47,431		41,380		187		—		88,998
Non-U.S. sovereign debt	5,517		21,195		396		—		27,108
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		38,802		2		—		38,804
Mortgage trading loans, ABS and other MBS	—		10,955		1,215		—		12,170
Total trading account assets (2)	118,108		155,757		3,489		—		277,354
Derivative assets	14,676		272,244		3,422		(251,019)		39,323
AFS debt securities:
U.S. Treasury and government agencies	176,764		902		—		—		177,666
Mortgage-backed securities:
Agency	—		37,812		—		—		37,812
Agency-collateralized mortgage obligations	—		2,544		—		—		2,544
Non-agency residential	—		109		273		—		382
Commercial	—		10,435		—		—		10,435
Non-U.S. securities	1,093		21,679		103		—		22,875
Other taxable securities	—		4,835		—		—		4,835
Tax-exempt securities	—		10,100		—		—		10,100
Total AFS debt securities	177,857		88,416		376		—		266,649
Other debt securities carried at fair value:
U.S. Treasury and government agencies	1,690		—		—		—		1,690
Non-agency residential MBS	—		211		69		—		280
Non-U.S. and other securities	1,786		6,447		—		—		8,233
Total other debt securities carried at fair value	3,476		6,658		69		—		10,203
Loans and leases	—		3,476		93		—		3,569
Loans held-for-sale	—		1,895		164		—		2,059
Other assets (3)	8,052		2,152		1,657		—		11,861
Total assets (4)	$	323,350	$	966,938	$	9,270	$	(554,306)	$	745,252
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	284	$	—	$	—	$	284
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		481,896		—		(303,287)		178,609
Trading account liabilities:
U.S. Treasury and government agencies	14,908		65		—		—		14,973
Equity securities	51,772		4,710		12		—		56,494
Non-U.S. sovereign debt	9,390		6,997		—		—		16,387
Corporate securities and other	—		7,637		39		—		7,676
Total trading account liabilities	76,070		19,409		51		—		95,530
Derivative liabilities	14,375		280,908		5,916		(257,767)		43,432
Short-term borrowings	—		4,680		10		—		4,690
Accrued expenses and other liabilities	8,969		2,483		21		—		11,473
Long-term debt	—		42,195		614		—		42,809
Total liabilities (4)	$	99,414	$	831,855	$	6,612	$	(561,054)	$	376,827

(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 $18.0 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 $42 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 $970 million.

(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.23 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 (2)	—		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 (3)	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 (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 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 (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.

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 2023, 2022 and 2021, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and

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

Level 3 – Fair Value Measurements (1)
	Balance 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, 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		144		2		453		(241)		20		(1,029)		385		(429)		1,689		50
Equity securities	145		44		—		39		(52)		—		(61)		153		(81)		187		(5)
Non-U.S. sovereign debt	518		68		30		64		(23)		—		(259)		—		(2)		396		70
Mortgage trading loans, MBS and ABS	1,552		(50)		—		263		(417)		—		(241)		436		(326)		1,217		(71)
Total trading account assets	4,599		206		32		819		(733)		20		(1,590)		974		(838)		3,489		44
Net derivative assets (liabilities) (4)	(2,893)		179		(375)		1,318		(1,281)		—		(1,575)		(8)		2,141		(2,494)		(857)
AFS debt securities:
Non-agency residential MBS	258		1		23		—		—		—		(9)		—		—		273		2
Non-U.S. and other taxable securities	195		10		7		—		—		—		(106)		4		(7)		103		2
Tax-exempt securities	51		1		—		—		—		—		(52)		—		—		—		—
Total AFS debt securities	504		12		30		—		—		—		(167)		4		(7)		376		4
Other debt securities carried at fair value – Non-agency residential MBS	119		(4)		—		—		(19)		—		(6)		—		(21)		69		(3)
Loans and leases (5,6)	253		(9)		—		9		(54)		—		(100)		16		(22)		93		(13)
Loans held-for-sale (5,6)	232		24		3		—		(25)		—		(70)		—		—		164		13
Other assets (6,7)	1,799		211		10		176		(326)		104		(319)		2		—		1,657		74
Trading account liabilities – Equity securities	—		1		—		—		—		—		2		(15)		—		(12)		1
Trading account liabilities – Corporate securities    and other	(58)		(3)		—		(3)		(1)		(1)		24		(35)		38		(39)		(9)
Short-term borrowings (5)	(14)		1		—		—		(13)		(8)		24		—		—		(10)		(1)
Accrued expenses and other liabilities (5)	(32)		21		—		(11)		—		—		—		—		1		(21)		4
Long-term debt (5)	(862)		179		(26)		(9)		50		—		47		—		7		(614)		183
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)

(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 primarily 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 $(324) million and $28 million related to financial instruments still held at December 31, 2023 and 2022.

(4)Net derivative assets (liabilities) include derivative assets of $3.4 billion and $3.2 billion and derivative liabilities of $5.9 billion and $6.1 billion at December 31, 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.

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, 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; 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 $19 million related to financial instruments still held at December 31, 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and derivative liabilities of $5.8 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 2023, 2022 and 2021, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and

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

Level 3 – Fair Value Measurements (1)
	Balance 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, 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		144		2		453		(241)		20		(1,029)		385		(429)		1,689		50
Equity securities	145		44		—		39		(52)		—		(61)		153		(81)		187		(5)
Non-U.S. sovereign debt	518		68		30		64		(23)		—		(259)		—		(2)		396		70
Mortgage trading loans, MBS and ABS	1,552		(50)		—		263		(417)		—		(241)		436		(326)		1,217		(71)
Total trading account assets	4,599		206		32		819		(733)		20		(1,590)		974		(838)		3,489		44
Net derivative assets (liabilities) (4)	(2,893)		179		(375)		1,318		(1,281)		—		(1,575)		(8)		2,141		(2,494)		(857)
AFS debt securities:
Non-agency residential MBS	258		1		23		—		—		—		(9)		—		—		273		2
Non-U.S. and other taxable securities	195		10		7		—		—		—		(106)		4		(7)		103		2
Tax-exempt securities	51		1		—		—		—		—		(52)		—		—		—		—
Total AFS debt securities	504		12		30		—		—		—		(167)		4		(7)		376		4
Other debt securities carried at fair value – Non-agency residential MBS	119		(4)		—		—		(19)		—		(6)		—		(21)		69		(3)
Loans and leases (5,6)	253		(9)		—		9		(54)		—		(100)		16		(22)		93		(13)
Loans held-for-sale (5,6)	232		24		3		—		(25)		—		(70)		—		—		164		13
Other assets (6,7)	1,799		211		10		176		(326)		104		(319)		2		—		1,657		74
Trading account liabilities – Equity securities	—		1		—		—		—		—		2		(15)		—		(12)		1
Trading account liabilities – Corporate securities    and other	(58)		(3)		—		(3)		(1)		(1)		24		(35)		38		(39)		(9)
Short-term borrowings (5)	(14)		1		—		—		(13)		(8)		24		—		—		(10)		(1)
Accrued expenses and other liabilities (5)	(32)		21		—		(11)		—		—		—		—		1		(21)		4
Long-term debt (5)	(862)		179		(26)		(9)		50		—		47		—		7		(614)		183
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)

(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 primarily 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 $(324) million and $28 million related to financial instruments still held at December 31, 2023 and 2022.

(4)Net derivative assets (liabilities) include derivative assets of $3.4 billion and $3.2 billion and derivative liabilities of $5.9 billion and $6.1 billion at December 31, 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.

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, 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; 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 $19 million related to financial instruments still held at December 31, 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.1 billion and derivative liabilities of $5.8 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, 2023 and 2022.

Quantitative Information about Level 3 Fair Value Measurements at December 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	$	538	Discounted cash flow, Market comparables	Yield	0% to 22%		9	%
Trading account assets – Mortgage trading loans, MBS and ABS	109			Prepayment speed	1% to 42% CPR		10% CPR
Loans and leases	87			Default rate	0% to 3% CDR		1% CDR
AFS debt securities – Non-agency residential	273			Price	$0 to $115		$70
Other debt securities carried at fair value – Non-agency residential	69			Loss severity	0% to 100%		27	%
Instruments backed by commercial real estate assets	$	363	Discounted cash flow	Yield	0% to 25%		12	%
Trading account assets – Corporate securities, trading loans and other	301			Price	$0 to $100		$75
Trading account assets – Mortgage trading loans, MBS and ABS	62
Commercial loans, debt securities and other	$	3,103	Discounted cash flow, Market comparables	Yield	5% to 59%		13	%
Trading account assets – Corporate securities, trading loans and other	1,388			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	1,046			Loss severity	35% to 40%		37	%
AFS debt securities – Non-U.S. and other taxable securities	103			Price	$0 to $157		$70
Loans and leases	6
Loans held-for-sale	164
Other assets, primarily auction rate securities	$	687	Discounted cash flow, Market comparables	Price	$10 to $95		$85
				Discount rate	10	%	n/a
MSRs	$	970	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years		6 years
				Weighted-average life, variable rate (5)	0 to 11 years		3 years
				Option-adjusted spread, fixed rate	7% to 14%		9	%
				Option-adjusted spread, variable rate	9% to 15%		12	%
Structured liabilities
Long-term debt	$	(614)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	58%		n/a
				Equity correlation	5% to 97%		25	%
				Price	$0 to $100		$90
				Natural gas forward price	$1/MMBtu to $7/MMBtu		$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	9	Discounted cash flow, Stochastic recovery correlation model	Credit spreads	2 to 79 bps		59 bps
				Prepayment speed	15% CPR		n/a
				Default rate	2% CDR		n/a
				Credit correlation	22% to 62%		58	%
				Price	$0 to $94		$87
Equity derivatives	$	(1,386)	Industry standard derivative pricing (3)	Equity correlation	0% to 99%		67	%
				Long-dated equity volatilities	4% to 102%		34	%
Commodity derivatives	$	(633)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$1/MMBtu to $7/MMBtu		$4 /MMBtu
				Power forward price	$21 to $91		$42
Interest rate derivatives	$	(484)	Industry standard derivative pricing (4)	Correlation (IR/IR)	(35)% to 89%		65	%
				Correlation (FX/IR)	(25)% to 58%		35	%
				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)	$	(2,494)

(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 153: Trading account assets – Corporate securities, trading loans and other of $1.7 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $376 million, Other debt securities carried at fair value - Non-agency residential of $69 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $93 million and LHFS of $164 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%	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	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 154: 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

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 2023, 2022 and 2021.

Assets Measured at Fair Value on a Nonrecurring Basis
	December 31, 2023				December 31, 2022
(Dollars in millions)	Level 2		Level 3		Level 2		Level 3
Assets
Loans held-for-sale	$	77	$	2,793	$	1,979	$	3,079
Loans and leases (1)	—		153		—		166
Foreclosed properties (2, 3)	—		48		—		7
Other assets (4)	31		898		88		165
			Gains (Losses)
			2023		2022		2021
Assets
Loans held-for-sale			$	(246)	$	(387)	$	(44)
Loans and leases (1)			(45)		(48)		(60)
Foreclosed properties			(6)		(6)		(2)
Other assets			(252)		(91)		(492)

(1)Includes $10 million, $15 million and $24 million of losses on loans that were written down to a collateral value of zero during 2023, 2022 and 2021, 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 $31 million and $60 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2023 and 2022.

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

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, 2023 and 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)	Year Ended December 31, 2023
Loans held-for-sale	$	2,793	Pricing model	Implied yield	7% to 23%		n/a
Loans and leases (2)	153		Market comparables	OREO discount	10% to 66%		26	%
				Costs to sell	8% to 24%		9	%
Other assets (3)	898		Discounted cash flow	Discount rate	7	%	n/a
	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

(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