XML 59 R45.htm IDEA: XBRL DOCUMENT v3.22.2.2
Fair Values of Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Fair Value on a Recurring Basis Table 15.1 presents the balances of assets and liabilities recorded at fair value on a recurring basis.
Table 15.1: Fair Value on a Recurring Basis
September 30, 2022December 31, 2021
(in millions)Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Trading debt securities:
Securities of U.S. Treasury and federal agencies
$29,417 4,768 — 34,185 27,607 2,249 — 29,856 
Collateralized loan obligations— 660 167 827 — 655 211 866 
Corporate debt securities
— 10,154 15 10,169 — 9,987 18 10,005 
Federal agency mortgage-backed securities— 32,921 — 32,921 — 40,350 — 40,350 
Non-agency mortgage-backed securities— 1,409 — 1,409 — 1,531 11 1,542 
Other debt securities— 6,255 — 6,255 — 5,645 1 5,646 
Total trading debt securities
29,417 56,167 182 85,766 27,607 60,417 241 88,265 
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies44,730 — — 44,730 39,661 — — 39,661 
Non-U.S. government securities— 162 — 162 — 71 — 71 
Securities of U.S. states and political subdivisions— 10,127 539 10,666 — 16,832 85 16,917 
Federal agency mortgage-backed securities— 50,351 — 50,351 — 105,886 — 105,886 
Non-agency mortgage-backed securities— 3,426 — 3,426 — 4,522 10 4,532 
Collateralized loan obligations— 4,134 — 4,134 — 5,708 — 5,708 
Other debt securities— 2,192 174 2,366 — 4,378 91 4,469 
Total available-for-sale debt securities44,730 70,392 713 115,835 39,661 137,397 186 177,244 
Loans held for sale— 5,051 1,074 6,125 — 14,862 1,033 15,895 
Mortgage servicing rights (residential)— — 9,828 9,828 — — 6,920 6,920 
Derivative assets (gross):
Interest rate contracts
508 44,681 176 45,365 52 22,296 190 22,538 
Commodity contracts
— 9,811 245 10,056 — 5,902 63 5,965 
Equity contracts
5,472 9,683 566 15,721 6,402 9,350 2,019 17,771 
Foreign exchange contracts
95 24,390 90 24,575 8 6,573 7 6,588 
Credit contracts
— 44 18 62 — 32 14 46 
Total derivative assets (gross)6,075 88,609 1,095 95,779 6,462 44,153 2,293 52,908 
Equity securities:
Marketable16,092 222 3 16,317 29,968 82 4 30,054 
Nonmarketable (1)— 8,366 15 8,381 — 57 8,906 8,963 
Total equity securities16,092 8,588 18 24,698 29,968 139 8,910 39,017 
 Total assets prior to derivative netting$96,314 228,807 12,910 338,031 103,698 256,968 19,583 380,249 
Derivative netting (2)(66,526)(31,430)
Total assets after derivative netting$271,505 348,819 
Derivative liabilities (gross):
Interest rate contracts
$(309)(44,193)(2,646)(47,148)(28)(17,712)(63)(17,803)
Commodity contracts
— (5,357)(120)(5,477)— (2,351)(66)(2,417)
Equity contracts
(3,550)(5,261)(1,709)(10,520)(5,820)(10,753)(2,448)(19,021)
Foreign exchange contracts
(87)(27,943)(28)(28,058)(8)(6,654)(10)(6,672)
Credit contracts
— (33)(2)(35)— (40)(3)(43)
Total derivative liabilities (gross)(3,946)(82,787)(4,505)(91,238)(5,856)(37,510)(2,590)(45,956)
Short-sale and other trading liabilities(20,592)(6,380)— (26,972)(15,436)(5,249)— (20,685)
Total liabilities prior to derivative netting$(24,538)(89,167)(4,505)(118,210)(21,292)(42,759)(2,590)(66,641)
Derivative netting (2)67,838 36,532 
Total liabilities after derivative netting$(50,372)(30,109)
(1)Excludes $81 million of nonmarketable equity securities as of December 31, 2021 that are measured at fair value using non-published NAV per share (or its equivalent) as a practical expedient that are not classified in the fair value hierarchy.
(2)Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See Note 14 (Derivatives) for additional information.
Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis Table 15.2 presents the changes in Level 3 assets and liabilities measured at fair value on a recurring basis.
Table 15.2: Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis
Net unrealized gains (losses)
related to assets and liabilities held at period end
(in millions)Balance,
beginning
of period		Net gains/(losses) (1)Purchases (2)SalesSettlementsTransfers 
into 
Level 3 (3)		Transfers
out of
Level 3 (4)		Balance, 
end of 
period		(5)
Quarter ended September 30, 2022
Trading debt securities$169 (15)68 (43)— — 3 182 (15)(6)
Available-for-sale debt securities167 (9)225 — (4)334 — 713 — (6)
Loans held for sale1,072 (55)114 (36)(45)28 (4)1,074 (55)(7)
Mortgage servicing rights (residential) (8)9,163 460 204 1 — — — 9,828 750 (7)
Net derivative assets and liabilities:
Interest rate contracts
(571)(2,220)— — 132 188 1 (2,470)(1,905)
Equity contracts
(1,503)(137)— — 249 12 236 (1,143)131 
Other derivative contracts
137 28 13 (8)28 — 5 203 70 
Total derivative contracts
(1,937)(2,329)13 (8)409 200 242 (3,410)(1,704)(9)
Equity securities31 (1)1 (1)— (3)(9)18 (1)(6)
Quarter ended September 30, 2021
Trading debt securities$192 1 130 (101)(2)— (6)214 (3)(6)
Available-for-sale debt securities2,805 1 362 — (49)— (816)2,303 7 (6)
Loans held for sale1,069 (8)117 (79)(83)106 (131)991 (10)(7)
Mortgage servicing rights (residential) (8)6,717 (232)379 (2)— — — 6,862 275 (7)
Net derivative assets and liabilities:
Interest rate contracts314 110 — — (260)— — 164 16 
Equity contracts(425)(493)— — 595 (58)46 (335)45 
Other derivative contracts35 (68)1 (3)25 (2)— (12)(25)
Total derivative contracts(76)(451)1 (3)360 (60)46 (183)36 (9)
Equity securities9,660 (487)— — — 4 — 9,177 (487)(6)
Nine months ended September 30, 2022
Trading debt securities$241 (52)161 (135)(6)5 (32)182 (48)(6)
Available-for-sale debt securities186 (35)279 (25)(14)460 (138)713 (1)(6)
Loans held for sale1,033 (173)293 (106)(175)214 (12)1,074 (163)(7)
Mortgage servicing rights (residential) (8)6,920 2,289 868 (249)— — — 9,828 3,223 (7)
Net derivative assets and liabilities:
Interest rate contracts
127 (3,179)— — 778 (197)1 (2,470)(2,348)
Equity contracts
(429)(158)— — 1,118 (584)(1,090)(1,143)503 
Other derivative contracts
5 94 13 (8)100 — (1)203 179 
Total derivative contracts
(297)(3,243)13 (8)1,996 (781)(1,090)(3,410)(1,666)(9)
Equity securities8,910 3 1 (3)— 2 (8,895)18 (2)(6)
Nine months ended September 30, 2021
Trading debt securities$173 21 422 (403)(7)22 (14)214 2 (6)
Available-for-sale debt securities2,994 22 386 — (237)253 (1,115)2,303 (13)(6)
Loans held for sale1,234 (12)377 (458)(300)284 (134)991 (13)(7)
Mortgage servicing rights (residential) (8)6,125 (523)1,270 (10)— — — 6,862 1,057 (7)
Net derivative assets and liabilities:
Interest rate contracts446 27 — — (304)— (5)164 (14)
Equity contracts(314)(819)— — 755 (95)138 (335)(154)
Other derivative contracts39 (108)3 (4)57 (2)3 (12)(10)
Total derivative contracts171 (900)3 (4)508 (97)136 (183)(178)(9)
Equity securities9,233 (58)— (5)— 7 — 9,177 (59)(6)
(1)Includes net gains (losses) included in both net income and other comprehensive income. All amounts represent net gains (losses) included in net income except for $(9) million and $(36) million and included in other comprehensive income from AFS debt securities for the third quarter and first nine months of 2022, respectively. The corresponding amounts for the third quarter and first nine months of 2021 were $(2) million and $34 million, respectively.
(2)Includes originations of mortgage servicing rights and loans held for sale.
(3)All assets and liabilities transferred into Level 3 were previously classified within Level 2.
(4)All assets and liabilities transferred out of Level 3 are classified as Level 2. During first quarter 2022, we transferred $8.9 billion of non-marketable equity securities and $1.4 billion of related economic hedging derivative assets (equity contracts) out of Level 3 due to our election to measure fair value of these instruments as a portfolio. Under this election, the unit of valuation is the portfolio-level, rather than each individual instrument. The unobservable inputs previously significant to the valuation of the instruments individually are no longer significant, as those unobservable inputs offset under the portfolio election.
(5)Includes net unrealized gains (losses) related to assets and liabilities held at period end included in both net income and other comprehensive income. All amounts represent net unrealized gains (losses) included in net income except for $5 million and $(3) million included in other comprehensive income from AFS debt securities for the third quarter and first nine months of 2021, respectively.
(6)Included in net gains from trading and securities in the consolidated statement of income.
(7)Included in mortgage banking income in the consolidated statement of income.
(8)For additional information on the changes in mortgage servicing rights, see Note 9 (Mortgage Banking Activities).
(9)Included in mortgage banking income, net gains from trading and securities, and other noninterest income in the consolidated statement of income.
Valuation Techniques - Recurring Basis
Table 15.3 provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value on a recurring basis.
The significant unobservable inputs for Level 3 assets inherent in the fair values obtained from third-party vendors are not included in the table, as the specific inputs applied are not
provided by the vendor (for additional information on vendor-developed valuations, see Note 17 (Fair Values of Assets and Liabilities) in our 2021 Form 10-K).
Weighted averages of inputs are calculated using outstanding unpaid principal balance for cash instruments, such as loans and securities, and notional amounts for derivative instruments.
Table 15.3: Valuation Techniques – Recurring Basis
($ in millions, except cost to service amounts)Fair Value Level 3Valuation TechniqueSignificant
Unobservable Input		Range of Inputs Weighted
Average
September 30, 2022
Trading and available-for-sale debt securities$585 Discounted cash flowDiscount rate3.0 -12.5 %4.4 
182 Market comparable pricingComparability adjustment(26.8)-48.0 0.7 
128 Market comparable pricingMultiples1.1x-7.4x4.1x
Loans held for sale1,074 Discounted cash flowDefault rate0.0 -33.4 %0.7 
Discount rate2.3 -13.7 7.8 
Loss severity0.0 -54.7 17.4 
Prepayment rate3.7 -15.0 11.2 
Mortgage servicing rights (residential)9,828 Discounted cash flowCost to service per loan (1)$52 -563 102 
Discount rate8.8 -13.3 %9.1 
Prepayment rate (2)8.1 -19.7 9.3 
Net derivative assets and (liabilities):
Interest rate contracts
(2,082)Discounted cash flowDiscount rate3.1 -4.3 3.9 
(102)Discounted cash flowDefault rate0.4 -5.0 2.2 
Loss severity50.0 -50.0 50.0 
Prepayment rate2.8 -22.0 18.6 
Interest rate contracts: derivative loan
commitments
(286)Discounted cash flowFall-out factor1.0 -99.0 20.5 
Initial-value servicing(43.2)-276.0 bps5.5 
Equity contracts
(948)Discounted cash flowConversion factor(13.9)-0.0 %(10.3)
Weighted average life0.3-2.3yrs1.0
(195)Option modelCorrelation factor(77.0)-99.0 %50.8 
Volatility factor6.5 -85.0 39.9 
Insignificant Level 3 assets, net of liabilities
221 
Total Level 3 assets, net of liabilities
$8,405 (3)
December 31, 2021
Trading and available-for-sale debt securities$136 Discounted cash flowDiscount rate0.4 -12.5 %5.5 
11 Vendor priced
280 Market comparable pricingComparability adjustment(30.2)-19.2 (4.6)
Loans held for sale1,033 Discounted cash flowDefault rate0.0 -29.2 %1.2 
Discount rate1.6 -11.9 5.1 
Loss severity0.0 -46.9 15.4 
Prepayment rate7.5 -18.2 13.1 
Mortgage servicing rights (residential)6,920 Discounted cash flowCost to service per loan (1)$54 -585 106 
Discount rate5.8 -8.8 %6.4 
Prepayment rate (2)12.5 -21.1 14.7 
Net derivative assets and (liabilities):
Interest rate contracts87 Discounted cash flowDefault rate0.0 -5.0 2.1 
Loss severity50.0 -50.0 50.0 
Prepayment rate2.8 -22.0 18.7 
Interest rate contracts: derivative loan
commitments
40 Discounted cash flowFall-out factor1.0 -99.0 16.8 
Initial-value servicing(74.8)-146.0  bps 50.9 
Equity contracts253 Discounted cash flowConversion factor(10.2)-0.0 %(9.7)
Weighted average life0.5-2.0 yrs 1.1
(682)Option modelCorrelation factor(77.0)-99.0 %23.2 
Volatility factor6.5 -72.0 29.1 
Nonmarketable equity securities8,906 Market comparable pricingComparability adjustment(21.6)-(7.7)(15.5)
Insignificant Level 3 assets, net of liabilities9 
Total Level 3 assets, net of liabilities$16,993 (3)
(1)The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $52 - $181 at September 30, 2022, and $54 - $199 at December 31, 2021.
(2)Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.
(3)Consists of total Level 3 assets of $12.9 billion and $19.6 billion and total Level 3 liabilities of $4.5 billion and $2.6 billion, before netting of derivative balances, at September 30, 2022, and December 31, 2021, respectively.
Fair Value on a Nonrecurring Basis Table 15.4 provides the fair value hierarchy and fair value at the date of the nonrecurring fair value adjustment for all assets that were still held as of September 30, 2022, and December 31, 2021, and for which a nonrecurring fair value adjustment was recorded during the nine months ended September 30, 2022, and year ended December 31, 2021.
Table 15.4: Fair Value on a Nonrecurring Basis
September 30, 2022December 31, 2021
(in millions)Level 2 Level 3 Total Level 2 Level 3 Total 
Loans held for sale (1)$840 1,513 2,353 3,911 1,407 5,318 
Loans:
Commercial206 — 206 476 — 476 
Consumer491 — 491 380 — 380 
Total loans697 — 697 856 — 856 
Mortgage servicing rights (commercial)
— 75 75 — 567 567 
Nonmarketable equity securities
1,566 3,666 5,232 6,262 765 7,027 
Other assets
1,560 243 1,803 1,373 175 1,548 
Total assets at fair value on a nonrecurring basis
$4,663 5,497 10,160 12,402 2,914 15,316 
(1)Predominantly consists of commercial mortgages and residential mortgage – first lien loans.
Gains (Losses) on Assets with Nonrecurring Fair Value Adjustment
Table 15.5 presents the gains (losses) on certain assets held at the end of the reporting periods presented for which a nonrecurring fair value adjustment was recognized in earnings during the respective periods. 
Table 15.5: Gains (Losses) on Assets with Nonrecurring Fair Value Adjustment
Nine months ended September 30,
(in millions)20222021
Loans held for sale$(87)28 
Loans:
Commercial(72)(254)
Consumer(544)(409)
Total loans(616)(663)
Mortgage servicing rights (commercial)4 36 
Nonmarketable equity securities (1)(357)2,974 
Other assets (2)(319)(84)
Total$(1,375)2,291 
(1)Includes impairment of nonmarketable equity securities and observable price changes related to nonmarketable equity securities accounted for under the measurement alternative.
(2)Includes impairment of operating lease ROU assets, valuation of physical commodities, valuation losses on foreclosed real estate and other collateral owned, and impairment of private equity and venture capital investments in consolidated portfolio companies.
Valuation Techniques - Nonrecurring Basis Table 15.6 provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of our Level 3 assets that are measured at fair value on a nonrecurring basis and determined using an internal model. The table is limited to financial instruments that had nonrecurring fair value adjustments during the periods presented. Weighted averages of inputs are calculated using outstanding unpaid principal balance for cash instruments, such as loans, and carrying value prior to the nonrecurring fair value measurement for nonmarketable equity securities and private equity and venture capital investments in consolidated portfolio companies.
Table 15.6: Valuation Techniques – Nonrecurring Basis
($ in millions)Fair Value
Level 3		Valuation
Technique (1)		Significant
Unobservable Input (1)		Range of Inputs
Positive (Negative)		Weighted
Average
September 30, 2022
Loans held for sale (2)$1,513 Discounted cash flowDefault rate(3)0.2 -89.8 %15.9 
Discount rate0.6 -13.94.1 
Loss severity0.4 -49.83.9 
Prepayment rate(4)2.7 -100.037.1 
Mortgage servicing rights (commercial)75 Discounted cash flowCost to service per loan$3,775 -3,7753,775 
Discount rate5.2 -5.2 %5.2 
Prepayment rate0.0 -20.66.7 
Nonmarketable equity securities1,992 Market comparable pricingComparability adjustment(100.0)-(4.0)(23.0)
1,666 Market comparable pricingMultiples0.8x-24.2x16.7x
Other assets (5)234 Market comparable pricingMultiples6.4 -8.07.1 
Insignificant Level 3 assets17 
Total$5,497 
December 31, 2021
Loans held for sale (2)$1,407 Discounted cash flowDefault rate(3)0.2 -78.3 %25.6 
Discount rate0.6 -12.03.3 
Loss severity0.4 -45.64.8 
Prepayment rate(4)5.4 -100.038.9 
Mortgage servicing rights (commercial)567 Discounted cash flowCost to service per loan$150 -3,3812,771 
Discount rate4.0 -4.5 %4.0 
Prepayment rate0.0 -20.65.5 
Nonmarketable equity securities745 Market comparable pricingComparability adjustment(100.0)-(33.0)(59.0)
15 Market comparable pricingMultiples2.0x-3.3x2.8x
5 Discounted cash flowDiscount rate10.5 -10.5 %10.5 
Other assets175 Discounted cash flowDiscount rate0.2 -4.42.9 
Total$2,914 
(1)See Note 17 (Fair Values of Assets and Liabilities) in our 2021 Form 10-K for additional information on the valuation technique and significant unobservable inputs used in the valuation of Level 3 assets.
(2)Consists of approximately $1.3 billion and $1.2 billion of government insured/guaranteed loans purchased from GNMA-guaranteed mortgage securitizations at September 30, 2022, and December 31, 2021, respectively, and approximately $200 million of other mortgage loans that are not government insured/guaranteed at both September 30, 2022, and December 31, 2021.
(3)Applies only to non-government insured/guaranteed loans.
(4)Includes the impact on prepayment rate of expected defaults for government insured/guaranteed loans, which impact the frequency and timing of early resolution of loans.
(5)Represents private equity and venture capital investments in consolidated portfolio companies.
Fair Value Option Table 15.7 reflects differences between the fair value carrying amount of the assets for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity. Nonaccrual loans and loans 90 days or more past due and still accruing included in LHFS for which we have elected the fair value option were insignificant at September 30, 2022, and December 31, 2021.
Table 15.7: Fair Value Option
September 30, 2022December 31, 2021
(in millions)Fair value carrying amountAggregate unpaid principalFair value carrying amount less aggregate unpaid principalFair value carrying amountAggregate unpaid principalFair value carrying amount less aggregate
unpaid
principal
Loans held for sale$6,125 6,612 (487)15,895 15,750 145 
Fair Value Estimates for Financial Instruments Table 15.8 presents a summary of fair value estimates for financial instruments that are not carried at fair value on a recurring basis. Some financial instruments are excluded from the scope of this table, such as certain insurance contracts, certain nonmarketable equity securities, and leases. This table also excludes assets and liabilities that are not financial instruments such as the value of the long-term relationships with our deposit, credit card and trust customers, MSRs, premises and equipment, goodwill and deferred taxes.
Loan commitments, standby letters of credit and commercial and similar letters of credit are not included in
Table 15.8. A reasonable estimate of the fair value of these instruments is the carrying value of deferred fees plus the allowance for unfunded credit commitments, which totaled $800 million and $1.4 billion at September 30, 2022, and December 31, 2021, respectively.
The total of the fair value calculations presented does not represent, and should not be construed to represent, the underlying fair value of the Company.
Table 15.8: Fair Value Estimates for Financial Instruments
Estimated fair value 
(in millions)Carrying amountLevel 1 Level 2 Level 3 Total
September 30, 2022
Financial assets
Cash and due from banks (1)
$27,634 27,634 — — 27,634 
Interest-earning deposits with banks (1)
137,821 137,618 203 — 137,821 
Federal funds sold and securities purchased under resale agreements (1)
55,840 — 55,840 — 55,840 
Held-to-maturity debt securities
300,434 14,358 238,580 2,633 255,571 
Loans held for sale3,309 — 1,652 1,707 3,359 
Loans, net (2)
918,780 — 58,172 828,320 886,492 
Nonmarketable equity securities (cost method)
4,301 — — 4,363 4,363 
Total financial assets$1,448,119 179,610 354,447 837,023 1,371,080 
Financial liabilities
Deposits (3)
$39,194 — 25,093 13,051 38,144 
Short-term borrowings
48,222 — 48,237 — 48,237 
Long-term debt (4)
155,634 — 151,895 1,022 152,917 
Total financial liabilities$243,050 — 225,225 14,073 239,298 
December 31, 2021
Financial assets
Cash and due from banks (1)
$24,616 24,616 — — 24,616 
Interest-earning deposits with banks (1)
209,614 209,452 162 — 209,614 
Federal funds sold and securities purchased under resale agreements (1)
66,223 — 66,223 — 66,223 
Held-to-maturity debt securities
272,022 16,825 252,717 2,844 272,386 
Loans held for sale7,722 — 6,300 1,629 7,929 
Loans, net (2)
868,278 — 63,404 820,559 883,963 
Nonmarketable equity securities (cost method)
3,584 — — 3,646 3,646 
Total financial assets$1,452,059 250,893 388,806 828,678 1,468,377 
Financial liabilities
Deposits (3)$30,012 — 14,401 15,601 30,002 
Short-term borrowings
34,409 — 34,409 — 34,409 
Long-term debt (4)
160,660 — 166,682 1,402 168,084 
Total financial liabilities$225,081 — 215,492 17,003 232,495 
(1)Amounts consist of financial instruments for which carrying value approximates fair value.
(2)Excludes lease financing with a carrying amount of $14.4 billion and $14.5 billion at September 30, 2022, and December 31, 2021, respectively.
(3)Excludes deposit liabilities with no defined or contractual maturity of $1.4 trillion and $1.5 trillion at September 30, 2022, and December 31, 2021, respectively.
(4)Excludes obligations under finance leases of $23 million and $26 million at September 30, 2022, and December 31, 2021, respectively.