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Fair Values of Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value on a Recurring Basis
Table 12.1 presents the balances of assets and liabilities recorded at fair value on a recurring basis.
Table 12.1: Fair Value on a Recurring Basis

September 30, 2024December 31, 2023
(in millions)Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Trading debt securities:
Securities of U.S. Treasury and federal agencies$38,916 3,973 — 42,889 32,178 3,027 — 35,205 
Collateralized loan obligations— 931 76 1,007 — 762 64 826 
Corporate debt securities— 17,135 55 17,190 — 12,859 82 12,941 
Federal agency mortgage-backed securities— 52,326 — 52,326 — 42,944 — 42,944 
Non-agency mortgage-backed securities— 1,611 4 1,615 — 1,477 10 1,487 
Other debt securities— 5,648 2 5,650 — 3,898 1 3,899 
Total trading debt securities38,916 81,624 137 120,677 32,178 64,967 157 97,302 
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies28,956 — — 28,956 45,467 — — 45,467 
Securities of U.S. states and political subdivisions— 12,633 19 12,652 — 20,009 57 20,066 
Federal agency mortgage-backed securities— 120,092 — 120,092 — 59,578 — 59,578 
Non-agency mortgage-backed securities— 1,952 — 1,952 — 2,748 1 2,749 
Collateralized loan obligations— 1,725 — 1,725 — 1,533 — 1,533 
Other debt securities— 444 183 627 — 892 163 1,055 
Total available-for-sale debt securities28,956 136,846 202 166,004 45,467 84,760 221 130,448 
Loans held for sale— 5,449 233 5,682 — 2,444 448 2,892 
Mortgage servicing rights (residential)— — 6,544 6,544 — — 7,468 7,468 
Derivative assets (gross):
Interest rate contracts170 24,750 1,501 26,421 195 31,434 816 32,445 
Commodity contracts— 2,434 14 2,448 — 2,723 18 2,741 
Equity contracts97 16,277 161 16,535 71 13,041 193 13,305 
Foreign exchange contracts— 27,594 63 27,657 — 24,730 37 24,767 
Credit contracts— 88 5 93 — 74 39 113 
Total derivative assets (gross)267 71,143 1,744 73,154 266 72,002 1,103 73,371 
Equity securities
17,493 4,812 56 22,361 10,849 8,949 43 19,841 
Other assets
— — 107 107 — — 49 49 
 Total assets prior to derivative netting$85,632 299,874 9,023 394,529 88,760 233,122 9,489 331,371 
Derivative netting (1)
(55,433)(55,148)
Total assets after derivative netting$339,096 276,223 
Derivative liabilities (gross):
Interest rate contracts$(158)(24,552)(2,970)(27,680)(201)(32,298)(4,383)(36,882)
Commodity contracts— (2,310)(13)(2,323)— (2,719)(27)(2,746)
Equity contracts
(46)(14,940)(1,490)(16,476)(35)(12,108)(1,667)(13,810)
Foreign exchange contracts— (29,466)(14)(29,480)— (27,138)(19)(27,157)
Credit contracts— (42)(4)(46)— (39)(5)(44)
Total derivative liabilities (gross)(204)(71,310)(4,491)(76,005)(236)(74,302)(6,101)(80,639)
Short-sale and other liabilities
(22,743)(7,203)(63)(30,009)(19,695)(5,776)(83)(25,554)
Interest-bearing deposits
— (1,087)— (1,087)— (1,297)— (1,297)
Long-term debt— (3,774)— (3,774)— (2,308)— (2,308)
Total liabilities prior to derivative netting$(22,947)$(83,374)(4,554)(110,875)(19,931)(83,683)(6,184)(109,798)
Derivative netting (1)
64,615 62,144 
Total liabilities after derivative netting$(46,260)(47,654)
(1)Represents balance sheet netting of derivative asset and liability balances, related cash collateral, and portfolio level counterparty valuation adjustments. See Note 11 (Derivatives) for additional information.
Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis
Table 12.2 presents the changes in Level 3 assets and liabilities measured at fair value on a recurring basis.
Table 12.2: 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, 2024
Trading debt securities$166 (15)10 (42)4 16 (2)137 (11)(6)
Available-for-sale debt securities187 11 5 — (2)1 — 202 10 (6)
Loans held for sale222 5 17 (23)(21)48 (15)233 4 (7)
Mortgage servicing rights (residential) (8)7,061 (529)22 (10)— — — 6,544 (294)(7)
Net derivative assets and liabilities:
Interest rate contracts(4,588)2,317 — — 810 (8)— (1,469)3,000 
Equity contracts(1,299)(168)— — 205 (106)39 (1,329)(64)
Other derivative contracts20 111 7 (1)(82)(4)— 51 59 
Total derivative contracts(5,867)2,260 7 (1)933 (118)39 (2,747)2,995 (9)
Equity securities53 3 7 (7)— — — 56 2 (6)
Other assets and liabilities97 (54)— 1 — — — 44 (54)(10)
Quarter ended September 30, 2023
Trading debt securities$132 12 5 (8)(3)22 (24)136 1 (6)
Available-for-sale debt securities230 15 33 (32)(3)49 — 292 (10)(6)
Loans held for sale486 (5)53 (38)(37)28 (6)481 (13)(7)
Mortgage servicing rights (residential) (8)8,251 221 36 (51)— — — 8,457 511 (7)
Net derivative assets and liabilities:
Interest rate contracts(5,638)(2,019)— — 813 (37)8 (6,873)(1,350)
Equity contracts(1,381)5 — — 68 (25)79 (1,254)50 
Other derivative contracts(1)(32)6 (1)17 — (2)(13)(13)
Total derivative contracts(7,020)(2,046)6 (1)898 (62)85 (8,140)(1,313)(9)
Equity securities27 17 7 (6)— 1 — 46 14 (6)
Other assets and liabilities
(58)105 — — — — — 47 105 (10)
Nine months ended September 30, 2024
Trading debt securities$157 (12)135 (181)(8)64 (18)137 (11)(6)
Available-for-sale debt securities221 7 20 — (17)1 (30)202 8 (6)
Loans held for sale448 2 110 (118)(74)105 (240)233 1 (7)
Mortgage servicing rights (residential) (8)7,468 (678)61 (307)— — — 6,544 17 (7)
Net derivative assets and liabilities:
Interest rate contracts(3,567)(152)— — 2,258 (8)— (1,469)1,709 
Equity contracts(1,474)(440)— — 557 (150)178 (1,329)(30)
Other derivative contracts43 219 9 (3)(215)(4)2 51 12 
Total derivative contracts(4,998)(373)9 (3)2,600 (162)180 (2,747)1,691 (9)
Equity securities43 12 16 (15)— — — 56 10 (6)
Other assets and liabilities(34)78 — — — — — 44 78 (10)
Nine months ended September 30, 2023
Trading debt securities$185 5 112 (156)(7)77 (80)136 (9)(6)
Available-for-sale debt securities276 (9)109 (32)(13)304 (343)292 (28)(6)
Loans held for sale793 (5)220 (267)(102)93 (251)481 (27)(7)
Mortgage servicing rights (residential) (8)9,310 (334)131 (650)— — — 8,457 602 (7)
Net derivative assets and liabilities:
Interest rate contracts(2,582)(4,594)1 (1)1,748 (1,467)22 (6,873)(3,082)
Equity contracts
(1,224)(458)— — 402 (80)106 (1,254)(48)
Other derivative contracts9 (95)12 (3)68 (2)(2)(13)(67)
Total derivative contracts(3,797)(5,147)13 (4)2,218 (1,549)126 (8,140)(3,197)(9)
Equity securities20 1 11 (9)— 23 — 46 3 (6)
Other assets and liabilities
(167)214 — — — — — 47 214 (10)
(1)All amounts represent net gains (losses) included in net income except for AFS debt securities and other assets and liabilities which also included net gains (losses) in other comprehensive income. Net gains (losses) included in other comprehensive income for AFS debt securities were $10 million and $8 million for the third quarter and first nine months of 2024, respectively, and $(9) million and $(28) million for the third quarter and first nine months of 2023, respectively. Net gains (losses) included in other comprehensive income for other assets and liabilities were $(10) million and $(20) million for the third quarter and first nine months of 2024, respectively, and $(13) million and $(8) million for the third quarter and first nine months of 2023, 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.
(5)All amounts represent net unrealized gains (losses) related to assets and liabilities held at period end included in net income except for AFS debt securities and other assets and liabilities which also included net unrealized gains (losses) related to assets and liabilities held at period end in other comprehensive income. Net unrealized gains (losses) included in other comprehensive income for AFS debt securities were $10 million for both the third quarter and first nine months of 2024, and $(8) million and $(25) million for the third quarter and first nine months of 2023, respectively. Net unrealized gains (losses) included in other comprehensive income for other assets and liabilities were $(10) million and $(20) million for the third quarter and first nine months of 2024, respectively, and $(13) million and $(8) million for the third quarter and first nine months of 2023, respectively.
(6)Included in net gains from trading and securities on our consolidated statement of income.
(7)Included in mortgage banking income on our consolidated statement of income.
(8)For additional information on the changes in mortgage servicing rights, see Note 6 (Mortgage Banking Activities).
(9)Included in mortgage banking income, net gains from trading and securities, and other noninterest income on our consolidated statement of income.
(10)Included in other noninterest income on our consolidated statement of income.
Valuation Techniques – Recurring Basis
Table 12.3 provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value on a recurring basis.
The significant unobservable inputs for Level 3 assets inherent in the fair values obtained from third-party vendors are not included in the table, as the specific inputs applied are not
provided by the vendor (for additional information on vendor-developed valuations, see Note 15 (Fair Values of Assets and Liabilities) in our 2023 Form 10-K).
Weighted averages of inputs are calculated using outstanding unpaid principal balance for cash instruments, such as loans and securities, and notional amounts for derivative instruments.
Table 12.3: Valuation Techniques – Recurring Basis
($ in millions, except cost to service amounts)Fair Value Level 3Valuation TechniqueSignificant
Unobservable Input		Range of Inputs Weighted
Average
September 30, 2024
Trading and available-for-sale debt securities$19 Discounted cash flowDiscount rate2.5 -6.5 %3.5 
137 Market comparable pricingComparability adjustment(33.5)-56.5 25.0 
183 Market comparable pricingMultiples1.0x-13.6x5.4x
Loans held for sale159 Discounted cash flowDefault rate0.0 -30.1 %1.7 
Discount rate0.8 -17.8 8.6 
Loss severity0.0 -59.4 17.6 
Prepayment rate2.3 -15.8 11.4 
74 Market comparable pricingComparability adjustment(2.8)-1.6 0.0 
Mortgage servicing rights (residential)6,544 Discounted cash flowCost to service per loan (1)$59 -457 104 
Discount rate8.8 -14.9 %9.6 
Prepayment rate (2)7.3 -21.0 8.5 
Net derivative assets and (liabilities):
Interest rate contracts(1,465)Discounted cash flowDiscount rate3.3 -4.7 3.7 
(16)Discounted cash flowDefault rate0.4 -1.1 0.5 
Loss severity50.0 -50.0 50.0 
Interest rate contracts: derivative loan
commitments
12 Discounted cash flowFall-out factor1.0 -99.0 28.2 
Initial-value servicing(34.9)-141.0 bps(6.8)
Equity contracts(811)Discounted cash flowConversion factor(1.9)-0.0 %(1.5)
Weighted average life1.3-4.3yrs2.3
(518)Option modelCorrelation factor(70.0)-99.0 %67.8 
Volatility factor6.5 -120.0 39.9 
 Insignificant Level 3 assets, net of liabilities151  
Total Level 3 assets, net of liabilities$4,469 
(3)
December 31, 2023
Trading and available-for-sale debt securities$60 Discounted cash flowDiscount rate2.7 -7.3 %4.7 
157 Market comparable pricingComparability adjustment(27.1)-20.1 (1.9)
161 Market comparable pricingMultiples1.2x-10.3x5.6x
Loans held for sale359 Discounted cash flowDefault rate0.0 -28.0 %1.1 
Discount rate1.7 -15.4 9.8 
Loss severity0.0 -58.1 15.7 
Prepayment rate2.6 -12.1 10.6 
89 
Market comparable pricing
Comparability adjustment(6.4)-1.1 (1.1)
Mortgage servicing rights (residential)7,468 Discounted cash flowCost to service per loan (1)$52 -527 105 
Discount rate8.9 -13.9 %9.4 
Prepayment rate (2)7.3 -24.3 8.9 
Net derivative assets and (liabilities):
Interest rate contracts(3,501)Discounted cash flowDiscount rate3.6 -5.4 4.2 
(36)Discounted cash flowDefault rate0.4 -5.0 1.2 
Loss severity50.0 -50.0 50.0 
Prepayment rate22.0 -22.0 22.0 
Interest rate contracts: derivative loan
commitments
(30)Discounted cash flowFall-out factor1.0 -99.0 30.2 
Initial-value servicing(5.5)-141.0  bps 10.0 
Equity contracts
(1,020)Discounted cash flowConversion factor(6.9)-0.0 %(6.4)
Weighted average life0.5-2.0 yrs 1.1
(454)Option modelCorrelation factor(67.0)-99.0 %73.8 
Volatility factor6.5 -147.0 38.6 
 Insignificant Level 3 assets, net of liabilities52 
Total Level 3 assets, net of liabilities$3,305 
(3)
(1)The high end of the range of inputs is for servicing modified loans. For non-modified loans, the range is $59 - $163 at September 30, 2024, and $52 - $167 at December 31, 2023.
(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 $9.0 billion and $9.5 billion and total Level 3 liabilities of $4.6 billion and $6.2 billion, before netting of derivative balances, at September 30, 2024, and December 31, 2023, respectively.
Fair Value on a Nonrecurring Basis
Table 12.4 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, 2024, and December 31, 2023, and for which a nonrecurring fair value adjustment was recorded during the nine months ended September 30, 2024, and the year ended December 31, 2023.
Table 12.4: Fair Value on a Nonrecurring Basis

September 30, 2024December 31, 2023
(in millions)Level 2 Level 3 Total Level 2 Level 3 Total 
Loans held for sale (1)$461 271 732 326 297 623 
Loans:
Commercial1,118 — 1,118 1,565 — 1,565 
Consumer82 — 82 97 — 97 
Total loans1,200 — 1,200 1,662 — 1,662 
Equity securities
1,048 1,479 2,527 2,086 2,354 4,440 
Other assets3,652 23 3,675 2,451 58 2,509 
Total assets at fair value on a nonrecurring basis$6,361 1,773 8,134 6,525 2,709 9,234 
(1)Consists of commercial mortgages and residential mortgage – first lien loans.
Gains (Losses) on Assets with Nonrecurring Fair Value Adjustment
Table 12.5 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 12.5: Gains (Losses) on Assets with Nonrecurring Fair Value Adjustment

Nine months ended September 30,
(in millions)20242023
Loans held for sale$10 (33)
Loans:
Commercial(786)(329)
Consumer(411)(550)
Total loans(1,197)(879)
Equity securities (1)
(156)(681)
Other assets (2)450 (180)
Total$(893)(1,773)
(1)Includes impairment of equity securities and observable price changes related to 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 venture capital investments in consolidated portfolio companies.
Valuation Techniques – Nonrecurring Basis
Table 12.6 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 equity securities and venture capital and private equity investments in consolidated portfolio companies.
Table 12.6: 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, 2024
Loans held for sale$271 Discounted cash flowDefault rate0.2 -88.5 %17.2 
Discount rate2.8 -12.85.2 
Loss severity6.6 -58.015.9 
Prepayment rate2.3 -33.712.4 
Equity securities
1,009 Market comparable pricingMultiples1.0x-7.9x2.2x
470 Market comparable pricingComparability Adjustment(100.0)-2.3 %(40.3)
Insignificant Level 3 assets23 
Total$1,773 
December 31, 2023
Loans held for sale$297 Discounted cash flowDefault rate0.1 -95.8 %17.5 
Discount rate3.0 -13.25.8 
Loss severity5.4 -58.616.6 
Prepayment rate2.1 -33.811.8 
Equity securities
1,721 Market comparable pricingMultiples0.7x-27.1x8.4x
591 Market comparable pricingComparability Adjustment(100.0)-(11.5)%(42.9)
42 Discounted cash flowDiscount rate5.0 -5.0 5.0 
Insignificant Level 3 assets58 
Total$2,709 
(1)See Note 15 (Fair Values of Assets and Liabilities) in our 2023 Form 10-K for additional information on the valuation technique(s) and significant unobservable inputs used in the valuation of Level 3 assets.
Fair Value Option
Table 12.7 reflects differences between the fair value carrying amount of the assets and liabilities for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity.
Table 12.7: Fair Value Option

September 30, 2024December 31, 2023
(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 (1)$5,682 5,796 (114)2,892 3,119 (227)
Interest-bearing deposits(1,087)(1,087)— (1,297)(1,298)1 
Long-term debt (2)(3,774)(4,331)557 (2,308)(2,864)556 
(1)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, 2024, and December 31, 2023.
(2)Includes zero coupon notes for which the aggregate unpaid principal amount reflects the contractual principal due at maturity.
Gains (Losses) on Changes in Fair Value Included in Earnings
Table 12.8 reflects amounts included in earnings related to initial measurement and subsequent changes in fair value, by income statement line item, for assets and liabilities for which
the fair value option was elected. Amounts recorded in net interest income are excluded from the table below.

Table 12.8: Gains (Losses) on Changes in Fair Value Included in Earnings

20242023
(in millions)Mortgage banking noninterest income
Net gains from trading and securities
Other noninterest incomeMortgage banking noninterest income
Net gains from trading and securities
Other noninterest income
Quarter ended September 30,
Loans held for sale$65 13 — 30 8 (44)
Interest-bearing deposits
— (6)— — (4)— 
Long-term debt— (56)— — 10 — 
Nine months ended September 30,
Loans held for sale$108 28 — 161 33 (48)
Interest-bearing deposits
— (2)— — (4)— 
Long-term debt— 3 — — (11)— 
Fair Value Estimates for Financial Instruments
Table 12.9 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 12.9. 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 $505 million and $575 million at September 30, 2024, and December 31, 2023, 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 12.9: Fair Value Estimates for Financial Instruments
Estimated fair value 
(in millions)Carrying amountLevel 1 Level 2 Level 3 Total
September 30, 2024
Financial assets
Cash and due from banks (1)$33,530 33,530 — — 33,530 
Interest-earning deposits with banks (1) 152,016 151,638 378 — 152,016 
Federal funds sold and securities purchased under resale agreements (1)105,390 — 105,390 — 105,390 
Held-to-maturity debt securities243,151 2,261 206,496 2,959 211,716 
Loans held for sale1,593 — 1,265 377 1,642 
Loans, net (2)879,108 — 45,160 806,535 851,695 
Equity securities (cost method)
3,916 — — 4,003 4,003 
Total financial assets$1,418,704 187,429 358,689 813,874 1,359,992 
Financial liabilities
Deposits (3)$161,358 — 85,648 75,244 160,892 
Short-term borrowings111,629 — 111,630 — 111,630 
Long-term debt (4)178,225 — 180,614 2,323 182,937 
Total financial liabilities$451,212 — 377,892 77,567 455,459 
December 31, 2023
Financial assets
Cash and due from banks (1)$33,026 33,026 — — 33,026 
Interest-earning deposits with banks (1)204,193 203,960 233 — 204,193 
Federal funds sold and securities purchased under resale agreements (1)80,456 — 80,456 — 80,456 
Held-to-maturity debt securities262,708 2,288 222,209 2,819 227,316 
Loans held for sale2,044 — 848 1,237 2,085 
Loans, net (2)905,764 — 52,127 818,358 870,485 
Equity securities (cost method)
5,276 — — 5,344 5,344 
Total financial assets$1,493,467 239,274 355,873 827,758 1,422,905 
Financial liabilities
Deposits (3)$190,970 — 127,738 62,372 190,110 
Short-term borrowings89,340 — 89,340 — 89,340 
Long-term debt (4)205,261 — 205,705 2,028 207,733 
Total financial liabilities$485,571 — 422,783 64,400 487,183 
(1)Amounts consist of financial instruments for which carrying value approximates fair value.
(2)Excludes lease financing with a carrying amount of $16.3 billion and $16.2 billion at September 30, 2024, and December 31, 2023, respectively.
(3)Excludes deposit liabilities with no defined or contractual maturity of $1.2 trillion at both September 30, 2024, and December 31, 2023.
(4)Excludes obligations under finance leases of $16 million and $19 million at September 30, 2024, and December 31, 2023, respectively.