Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis at March 31, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value. Unless otherwise noted below, assets and liabilities in the following table are recorded at fair value through net income.

	Fair Value Measurements on a Recurring Basis
March 31, 2022	Level 1		Level 2		Level 3		Gross Balance		Netting(6)		Net Balance
	(in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	1,948	$	424	$	—	$	2,372	$	—	$	2,372
Debt securities issued by foreign entities	535		—		—		535		—		535
Equity securities	10,942		—		—		10,942		—		10,942
Precious metals trading	—		3,076		—		3,076		—		3,076
Derivatives:(1)
Interest rate contracts	17		1,733		2		1,752		—		1,752
Foreign exchange contracts	—		14,064		2		14,066		—		14,066
Equity contracts	—		1,343		197		1,540		—		1,540
Precious metals contracts	—		1,177		—		1,177		—		1,177
Credit contracts	—		117		—		117		—		117
Other contracts(2)	—		—		3		3		—		3
Derivatives netting	—		—		—		—		(16,720)		(16,720)
Total derivatives	17		18,434		204		18,655		(16,720)		1,935
Securities available-for-sale:(3)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	10,278		20,837		—		31,115		—		31,115
Asset-backed securities:
Home equity	—		—		17		17		—		17
Other	—		—		97		97		—		97
Debt securities issued by foreign entities	2,361		108		—		2,469		—		2,469
Loans held for sale(4)	—		144		—		144		—		144
Other assets:
Mortgage servicing rights	—		—		21		21		—		21
Equity securities	—		136		—		136		—		136
Equity securities measured at net asset value(5)	—		—		—		140		—		140
Total assets	$	26,081	$	43,159	$	339	$	69,719	$	(16,720)	$	52,999
Liabilities:
Domestic deposits(4)	$	—	$	1,887	$	492	$	2,379	$	—	$	2,379
Trading liabilities, excluding derivatives	969		1,316		—		2,285		—		2,285
Derivatives:(1)
Interest rate contracts	10		1,530		3		1,543		—		1,543
Foreign exchange contracts	1		13,419		3		13,423		—		13,423
Equity contracts	5		1,116		198		1,319		—		1,319
Precious metals contracts	3		1,425		—		1,428		—		1,428
Credit contracts	—		131		2		133		—		133
Other contracts(2)	—		—		27		27		—		27
Derivatives netting	—		—		—		—		(15,674)		(15,674)
Total derivatives	19		17,621		233		17,873		(15,674)		2,199
Long-term debt(4)	—		5,593		2,072		7,665		—		7,665
Total liabilities	$	988	$	26,417	$	2,797	$	30,202	$	(15,674)	$	14,528

	Fair Value Measurements on a Recurring Basis
December 31, 2021	Level 1		Level 2		Level 3		Gross Balance		Netting(6)		Net Balance
	(in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,337	$	432	$	—	$	2,769	$	—	$	2,769
Debt securities issued by foreign entities	134		33		—		167		—		167
Equity securities	15,795		—		—		15,795		—		15,795
Precious metals trading	—		3,907		—		3,907		—		3,907
Derivatives:(1)
Interest rate contracts	8		1,839		1		1,848		—		1,848
Foreign exchange contracts	—		11,350		—		11,350		—		11,350
Equity contracts	—		1,845		213		2,058		—		2,058
Precious metals contracts	4		936		—		940		—		940
Credit contracts	—		28		—		28		—		28
Other contracts(2)	—		—		5		5		—		5
Derivatives netting	—		—		—		—		(14,788)		(14,788)
Total derivatives	12		15,998		219		16,229		(14,788)		1,441
Securities available-for-sale:(3)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	10,817		22,049		—		32,866		—		32,866
Asset-backed securities:
Home equity	—		—		19		19		—		19
Other	—		—		101		101		—		101
Debt securities issued by foreign entities	2,201		111		—		2,312		—		2,312
Loans held for sale(4)	—		48		—		48		—		48
Other assets:
Mortgage servicing rights	—		—		16		16		—		16
Equity securities	—		144		—		144		—		144
Equity securities measured at net asset value(5)	—		—		—		138		—		138
Total assets	$	31,296	$	42,722	$	355	$	74,511	$	(14,788)	$	59,723
Liabilities:
Domestic deposits(4)	$	—	$	2,214	$	535	$	2,749	$	—	$	2,749
Trading liabilities, excluding derivatives	1,103		46		—		1,149		—		1,149
Derivatives:(1)
Interest rate contracts	10		1,888		1		1,899		—		1,899
Foreign exchange contracts	—		11,124		2		11,126		—		11,126
Equity contracts	—		1,194		167		1,361		—		1,361
Precious metals contracts	—		779		—		779		—		779
Credit contracts	—		80		2		82		—		82
Other contracts(2)	—		—		38		38		—		38
Derivatives netting	—		—		—		—		(13,287)		(13,287)
Total derivatives	10		15,065		210		15,285		(13,287)		1,998
Long-term debt(4)	—		7,089		1,853		8,942		—		8,942
Total liabilities	$	1,113	$	24,414	$	2,598	$	28,125	$	(13,287)	$	14,838

(1)Includes trading derivative assets of $1,836 million and $1,405 million and trading derivative liabilities of $2,056 million and $1,874 million at March 31, 2022 and December 31, 2021, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives. See Note 10, "Derivative Financial Instruments," for additional information. Excluding changes in fair value of a derivative instrument associated with a qualifying cash flow hedge, which are recognized initially in other comprehensive loss, derivative assets and liabilities are recorded at fair value through net income.

(2)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.

(3)Securities available-for-sale are recorded at fair value through other comprehensive loss. Changes in the allowance for credit losses on securities available-for-sale are recorded through net income.

(4)See Note 11, "Fair Value Option," for additional information. Excluding the fair value movement on fair value option liabilities attributable to our own credit spread, which is recorded in other comprehensive loss, fair value option assets and liabilities are recorded at fair value through net income.

(5)Investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy.

(6)Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.

Changes in Fair Value of Level 3 Assets and Liabilities

The following table summarizes additional information about changes in the fair value of Level 3 assets and liabilities during the three months ended March 31, 2022 and 2021. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.

	Jan. 1, 2022		Total Realized / Unrealized Gains (Losses) Included in				Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2022		Current Period Unrealized Gains (Losses) Still Held Included in
			Earnings		Other Compre- hensive Income (Loss)														Earnings		Other Compre- hensive Income (Loss)
	(in millions)
Assets:
Derivatives, net:(1)
Interest rate contracts	—		—		—		—		—		—		(1)		—		(1)		(1)		—
Foreign exchange contracts	(2)		1		—		—		—		—		—		—		(1)		1		—
Equity contracts	46		(120)		—		—		—		1		29		43		(1)		(95)		—
Credit contracts	(2)		—		—		—		—		—		—		—		(2)		—		—
Other contracts(2\)	(33)		(1)		—		—		—		10		—		—		(24)		—		—
Asset-backed securities available-for-sale(3)	120		—		(3)		—		—		(3)		—		—		114		—		(3)
Mortgage servicing rights(4)	16		4		—		—		1		—		—		—		21		2		—
Total assets	$	145	$	(116)	$	(3)	$	—	$	1	$	8	$	28	$	43	$	106	$	(93)	$	(3)
Liabilities:
Domestic deposits(5)	$	(535)	$	21	$	(2)	$	—	$	—	$	70	$	(49)	$	3	$	(492)	$	19	$	(2)
Long-term debt(5)	(1,853)		94		5		—		(300)		102		(206)		86		(2,072)		67		5
Total liabilities	$	(2,388)	$	115	$	3	$	—	$	(300)	$	172	$	(255)	$	89	$	(2,564)	$	86	$	3

	Jan. 1, 2021		Total Realized / Unrealized Gains (Losses) Included in				Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2021		Current Period Unrealized Gains (Losses) Still Held Included in
			Earnings		Other Compre- hensive Income (Loss)														Earnings		Other Compre- hensive Income (Loss)
	(in millions)
Assets:
Trading assets, excluding derivatives:(6)
Residential mortgage asset-backed securities	$	15	$	9	$	—	$	—	$	—	$	—	$	—	$	—	$	24	$	9	$	—
Derivatives, net:(1)
Interest rate contracts	34		(32)		—		—		—		—		—		—		2		(17)		—
Foreign exchange contracts	9		(11)		—		—		—		—		—		—		(2)		(12)		—
Equity contracts	119		(22)		—		—		—		(54)		—		(1)		42		(32)		—
Credit contracts	63		(17)		—		—		—		(1)		—		—		45		(19)		—
Other contracts(2)	(59)		2		—		—		—		7		—		—		(50)		—		—
Asset-backed securities available-for-sale(3)	131		—		1		—		—		(2)		—		—		130		—		1
Mortgage servicing rights(4)	7		1		—		—		3		—		—		—		11		1		—
Total assets	$	319	$	(70)	$	1	$	—	$	3	$	(50)	$	—	$	(1)	$	202	$	(70)	$	1
Liabilities:
Domestic deposits(5)	$	(646)	$	4	$	—	$	—	$	—	$	28	$	—	$	15	$	(599)	$	8	$	—
Long-term debt(5)	(448)		(3)		—		—		(123)		89		(2)		1		(486)		4		—
Total liabilities	$	(1,094)	$	1	$	—	$	—	$	(123)	$	117	$	(2)	$	16	$	(1,085)	$	12	$	—

(1)Level 3 net derivatives included derivative assets of $204 million and derivative liabilities of $233 million at March 31, 2022 and derivative assets of $541 million and derivative liabilities of $504 million at March 31, 2021. Gains (losses) on derivatives, net are predominantly included in trading revenue and gain on instruments designated at fair value and related derivatives in the consolidated statement of income.

(2)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares. Gains (losses) on these swap agreements are included in other income (loss) in the consolidated statement of income.

(3)Realized gains (losses) on securities available-for-sale are included in other securities gains, net in the consolidated statement of income. Changes in the allowance for credit losses on securities available-for-sale are included in the provision for credit losses in the consolidated statement of income. Unrealized gains (losses) on securities available-for-sale are included in other comprehensive loss.

(4)Gain (losses) on mortgage servicing rights are included in other income (loss) in the consolidated statement of income.

(5)Excluding unrealized gains (losses) on fair value option liabilities attributable to our own credit spread, which are recorded in other comprehensive loss, gains (losses) on fair value option liabilities are included in gain on instruments designated at fair value and related derivatives in the consolidated statement of income.

(6)Gains (losses) on trading assets, excluding derivatives are included in trading revenue in the consolidated statement of income.

Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3

The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements at March 31, 2022 and December 31, 2021:

March 31, 2022
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Interest rate derivative contracts	$	(1)	Market comparable adjusted for probability to fund and, where applicable, option pricing model	Probability to fund for rate lock commitments	52% - 99%	85%
				Interest rate yield curve	9%	N/A
Foreign exchange derivative contracts(2)	$	(1)	Option pricing model	Implied volatility of currency pairs	0% - 14%	10%
				Cross-currency basis	(60)bps	N/A
Equity derivative contracts(2)	$	(1)	Option pricing model	Equity / Equity Index volatility	8% - 74%	44%
				Equity / Equity and Equity / Index correlation	44% - 97%	83%
				Equity forward price	$45 - $5,941	$877
Credit derivative contracts	$	(2)	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	101bps - 319bps	220bps
Other derivative contracts	$	(24)	Discounted cash flows	Conversion rate	1.6 times	N/A
				Expected duration	0.8 years	N/A
Asset-backed securities available-for-sale	$	114	Discounted cash flows	Market assumptions related to yields for comparable instruments	2% - 3%	3%
Mortgage servicing rights	$	21	Discounted cash flows	Constant prepayment rates	6% - 15%	7%
				Discount rate	8% - 13%	8%
				Estimated annualized costs to service	$72 - $80 per account	$74 per account
Domestic deposits (structured deposits)(2)(3)	$	(492)	Option adjusted discounted cash flows	Equity / Equity Index volatility	8% - 23%	16%
				Equity / Equity and Equity / Index correlation	49% - 89%	68%
Long-term debt (structured notes)(2)(3)	$	(2,072)	Option adjusted discounted cash flows	Implied volatility of currency pairs	0% - 14%	10%
				Equity / Equity Index volatility	8% - 55%	28%
				Equity / Equity and Equity / Index correlation	44% - 97%	83%
				Credit default swap spreads	864bps	N/A

December 31, 2021
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Interest rate derivative contracts	$	—	Market comparable adjusted for probability to fund and, where applicable, option pricing model	Probability to fund for rate lock commitments	36% - 99%	83%
				Interest rate yield curve	8%	N/A
Foreign exchange derivative contracts(2)	$	(2)	Option pricing model	Implied volatility of currency pairs	0% - 9%	6%
				Cross-currency basis	(86)bps	N/A
Equity derivative contracts(2)	$	46	Option pricing model	Equity / Equity Index volatility	8% - 85%	40%
				Equity / Equity and Equity / Index correlation	44% - 98%	81%
				Equity dividend yields and forward price	(4)% - 1%	0%
Credit derivative contracts	$	(2)	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	76bps - 325bps	234bps
Other derivative contracts	$	(33)	Discounted cash flows	Conversion rate	1.6 times	N/A
				Expected duration	1.0 year	N/A
Asset-backed securities available-for-sale	$	120	Discounted cash flows	Market assumptions related to yields for comparable instruments	3% - 4%	3%
Mortgage servicing rights	$	16	Discounted cash flows	Constant prepayment rates	10% - 16%	12%
				Discount rate	8% - 13%	8%
				Estimated annualized costs to service	$72 - $85 per account	$75 per account
Domestic deposits (structured deposits)(2)(3)	$	(535)	Option adjusted discounted cash flows	Equity / Equity Index volatility	8% - 21%	15%
				Equity / Equity and Equity / Index correlation	49% - 85%	62%
Long-term debt (structured notes)(2)(3)	$	(1,853)	Option adjusted discounted cash flows	Implied volatility of currency pairs	0% - 9%	6%
				Equity / Equity Index volatility	8% - 71%	31%
				Equity / Equity and Equity / Index correlation	44% - 98%	82%
				Credit default swap spreads	798bps	N/A

(1)For foreign exchange derivatives, equity derivatives, credit derivatives, structured deposits and structured notes, weighted averages are calculated based on the fair value of the instruments. For all remaining instrument types, weighted averages are calculated based on the notional value of the instruments.

(2)We are the client-facing entity and, except for structured notes and deposits with embedded credit derivative features, we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market risk neutral in substantially all of the structured notes and deposits. The corresponding intra-group derivatives are presented as equity derivatives and foreign exchange derivatives in the table.

(3)Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs. See equity and foreign exchange derivatives and credit derivatives below for a discussion of the uncertainty of Level 3 inputs related to structured deposits and structured notes.

N/A Not Applicable

Assets and Liabilities Recorded at Fair Value on a Non Recurring Basis

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded at March 31, 2022 and December 31, 2021. The gains (losses) during the three months ended March 31, 2022 and 2021 are also included.

	Non-Recurring Fair Value Measurements at March 31, 2022								Total Gains (Losses) For the Three Months Ended March 31, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Consumer loans held for sale(1)	$	—	$	27	$	280	$	307	$	(1)
Consumer loans(2)	—		96		—		96		2
Commercial loans held for sale(3)	—		6		—		6		—
Commercial loans(4)	—		—		138		138		5
Leases(5)	—		—		—		—		(1)
Total assets at fair value on a non-recurring basis	$	—	$	129	$	418	$	547	$	5

	Non-Recurring Fair Value Measurements at December 31, 2021								Total Gains (Losses) For the Three Months Ended March 31, 2021
	Level 1		Level 2		Level 3		Total
	(in millions)
Consumer loans held for sale(1)	$	—	$	24	$	1,742	$	1,766	$	—
Consumer loans(2)	—		102		—		102		4
Commercial loans held for sale(3)	—		75		68		143		—
Commercial loans(4)	—		—		186		186		19
Leases(5)	—		—		5		5		—
Total assets at fair value on a non-recurring basis	$	—	$	201	$	2,001	$	2,202	$	23

(1)At March 31, 2022 and December 31, 2021, the fair value of the loans held for sale was below cost. During 2021, certain consumer loans were transferred to held for sale for which significant inputs in estimating fair value were unobservable.

(2)Represents residential mortgage loans held for investment whose carrying amount was adjusted during the period based on the fair value of the underlying collateral.

(3)At March 31, 2022 and December 31, 2021, the fair value of the loans held for sale was below cost. During the second quarter of 2021, certain commercial loans were transferred to held for sale for which significant inputs in estimating fair value were unobservable.

(4)Certain commercial loans are individually assessed for impairment. We measure the credit impairment of a collateral-dependent loan based on the fair value of the collateral asset. The collateral often involves real estate properties that are illiquid due to market conditions. As a result, these loans are classified as a Level 3 fair value measurement within the fair value hierarchy.

(5)During the first quarter of 2022, we wrote down the lease ROU assets associated with certain office space that we determined we would exit. During the fourth quarter of 2021, we transferred one of our owned office space properties to held for sale and, as a result, its carrying amount was written down to an estimated fair value of $5 million.

Quantitative Information about Non Recurring Fair Value Measurement of Assets and Liabilities

The following tables present quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy at March 31, 2022 and December 31, 2021:

At March 31, 2022
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Consumer loans held for sale	$	280	Market comparables and internal assumptions	Adjusted market price	8% - 95%	93%
Commercial loans	138		Valuation of third party appraisal on underlying collateral	Loss severity rates	2% - 74%	20%

At December 31, 2021
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Consumer loans held for sale	$	1,742	Market comparables and internal assumptions	Adjusted market price	10% - 100%	98%
Commercial loans held for sale	68		Market comparables and internal assumptions	Adjusted market price	94%	N/A
Commercial loans	186		Valuation of third party appraisal on underlying collateral	Loss severity rates	2% - 76%	23%

(1)Weighted average is calculated based on the carrying value of the loans.

N/A Not Applicable

Additional Information Relating to Asset-Backed Securities and Collateralized Debt Obligations

The following tables provide additional information relating to our available-for-sale asset-backed securities at March 31, 2022:

Rating of Securities:(1)	Collateral Type:	Level 3
		(in millions)
AAA - A	Home equity - Alt A	$	17
BBB - B	Other	97
		$	114

(1)We utilize S&P as the primary source of credit ratings in the tables above. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order.

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments, excluding financial instruments that are carried at fair value on a recurring basis, at March 31, 2022 and December 31, 2021, and their classification within the fair value hierarchy:

March 31, 2022	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses	$	46,760	$	46,760	$	976	$	45,738	$	46
Federal funds sold and securities purchased under agreements to resell	5,759		5,759		—		5,759		—
Securities held-to-maturity, net of allowance for credit losses	4,804		4,758		—		4,758		—
Commercial loans, net of allowance for credit losses	42,013		42,940		—		—		42,940
Commercial loans held for sale	91		91		—		91		—
Consumer loans, net of allowance for credit losses	16,130		15,561		—		—		15,561
Consumer loans held for sale	713		715		—		32		683
Financial liabilities:
Short-term financial liabilities	$	6,837	$	6,837	$	—	$	6,790	$	47
Deposits	128,796		128,787		—		128,787		—
Long-term debt	8,025		8,611		—		8,611		—

December 31, 2021	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses	$	48,404	$	48,404	$	954	$	47,400	$	50
Federal funds sold and securities purchased under agreements to resell	10,514		10,514		—		10,514		—
Securities held-to-maturity, net of allowance for credit losses	5,203		5,359		—		5,359		—
Commercial loans, net of allowance for credit losses	39,376		39,862		—		—		39,862
Commercial loans held for sale	438		443		—		359		84
Consumer loans, net of allowance for credit losses	16,041		15,672		—		—		15,672
Consumer loans held for sale	3,731		3,809		—		77		3,732
Financial liabilities:
Short-term financial liabilities	$	6,389	$	6,389	$	—	$	6,338	$	51
Deposits	131,533		131,533		—		131,533		—
Deposits held for sale	8,750		8,750		—		8,750		—
Long-term debt	8,294		8,861		—		8,861		—