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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2023

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 December 31, 2023 and 2022, 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
December 31, 2023	Level 1		Level 2		Level 3		Gross Balance		Netting(1)		Net Balance
	(in millions)
Assets:

Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	3,564	$	1,208	$	—	$	4,772	$	—	$	4,772








Debt securities issued by foreign entities	4,019		—		—		4,019		—		4,019
Equity securities	11,702		—		—		11,702		—		11,702
Precious metals trading	—		346		—		346		—		346
Derivatives:(2)
Interest rate contracts	7		1,246		2		1,255		—		1,255
Foreign exchange contracts	—		13,605		1		13,606		—		13,606
Equity contracts	7		844		190		1,041		—		1,041
Precious metals contracts	3		1,150		—		1,153		—		1,153
Credit contracts	—		107		2		109		—		109
Other contracts(3)	—		—		5		5		—		5
Derivatives netting	—		—		—		—		(15,870)		(15,870)
Total derivatives	17		16,952		200		17,169		(15,870)		1,299
Securities available-for-sale:(4)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	7,799		15,324		—		23,123		—		23,123
Asset-backed securities:


Home equity	—		—		12		12		—		12

Other	—		—		92		92		—		92

Debt securities issued by foreign entities	2,359		110		—		2,469		—		2,469
Loans(5)	—		15		—		15		—		15
Loans held for sale(5)	—		218		32		250		—		250
Other assets:
Mortgage servicing rights	—		—		19		19		—		19
Equity securities	—		127		—		127		—		127
Equity securities measured at net asset value(6)	—		—		—		143		—		143
Other(5)(7)	—		10		—		10		—		10
Total assets	$	29,460	$	34,310	$	355	$	64,268	$	(15,870)	$	48,398
Liabilities:
Domestic deposits(5)	$	—	$	1,528	$	293	$	1,821	$	—	$	1,821
Trading liabilities, excluding derivatives	1,688		301		—		1,989		—		1,989
Derivatives:(2)
Interest rate contracts	16		1,100		6		1,122		—		1,122
Foreign exchange contracts	—		13,534		1		13,535		—		13,535
Equity contracts	—		1,104		169		1,273		—		1,273
Precious metals contracts	—		1,033		—		1,033		—		1,033
Credit contracts	—		259		1		260		—		260
Other contracts(3)	—		—		40		40		—		40
Derivatives netting	—		—		—		—		(15,431)		(15,431)
Total derivatives	16		17,030		217		17,263		(15,431)		1,832

Long-term debt(5)	—		5,620		1,919		7,539		—		7,539
Other liabilities(5)(7)	—		10		—		10		—		10
Total liabilities	$	1,704	$	24,489	$	2,429	$	28,622	$	(15,431)	$	13,191


	Fair Value Measurements on a Recurring Basis
December 31, 2022	Level 1		Level 2		Level 3		Gross Balance		Netting(1)		Net Balance
	(in millions)
Assets:

Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	1,670	$	369	$	—	$	2,039	$	—	$	2,039








Debt securities issued by foreign entities	6,337		54		—		6,391		—		6,391
Equity securities	7,855		—		—		7,855		—		7,855
Precious metals trading	—		3,831		—		3,831		—		3,831
Derivatives:(2)
Interest rate contracts	8		1,846		2		1,856		—		1,856
Foreign exchange contracts	—		15,734		10		15,744		—		15,744
Equity contracts	—		956		72		1,028		—		1,028
Precious metals contracts	—		1,201		—		1,201		—		1,201
Credit contracts	—		108		2		110		—		110
Other contracts(3)	—		—		5		5		—		5
Derivatives netting	—		—		—		—		(18,278)		(18,278)
Total derivatives	8		19,845		91		19,944		(18,278)		1,666
Securities available-for-sale:(4)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	8,195		17,196		—		25,391		—		25,391

Asset-backed securities:


Home equity	—		—		15		15		—		15

Other	—		—		93		93		—		93

Debt securities issued by foreign entities	1,740		106		—		1,846		—		1,846
Loans(5)	—		20		—		20		—		20
Loans held for sale(5)	—		188		49		237		—		237
Other assets:
Mortgage servicing rights	—		—		22		22		—		22
Equity securities			127				127		—		127
Equity securities measured at net asset value(6)	—		—		—		140		—		140
Other(5)(7)	—		325		—		325		—		325
Total assets	$	25,805	$	42,061	$	270	$	68,276	$	(18,278)	$	49,998
Liabilities:
Domestic deposits(5)	$	—	$	1,181	$	373	$	1,554	$	—	$	1,554
Trading liabilities, excluding derivatives	837		—		—		837		—		837
Derivatives:(2)
Interest rate contracts	6		1,471		7		1,484		—		1,484
Foreign exchange contracts	—		15,500		10		15,510		—		15,510
Equity contracts	4		625		298		927		—		927
Precious metals contracts	1		1,254		—		1,255		—		1,255
Credit contracts	—		106		—		106		—		106
Other contracts(3)	—		—		38		38		—		38
Derivatives netting	—		—		—		—		(17,154)		(17,154)
Total derivatives	11		18,956		353		19,320		(17,154)		2,166

Long-term debt(5)	—		5,739		2,639		8,378		—		8,378
Other liabilities(5)(7)	—		325		—		325		—		325
Total liabilities	$	848	$	26,201	$	3,365	$	30,414	$	(17,154)	$	13,260

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

(2)Includes trading derivative assets of $1,276 million and $1,614 million and trading derivative liabilities of $1,496 million and $1,966 million at December 31, 2023 and 2022, respectively, as well as derivatives held for hedging and other non-qualifying economic hedging activities. See Note 16, "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.

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

(4)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.

(5)See Note 17, "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.

(6)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.

(7)Consists of assets and liabilities associated with certain client share repurchase transactions.

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 2023 and 2022. 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, 2023		Total Realized / Unrealized Gains (Losses) Included in				Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Dec. 31, 2023		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	$	(5)	$	1	$	—	$	—	$	—	$	—	$	—	$	—	$	(4)	$	1	$	—
Foreign exchange contracts	—		—		—		—		—		—		—		—		—		—		—
Equity contracts	(226)		226		—		—		—		27		1		(7)		21		130		—

Credit contracts	2		1		—		—		—		—		(2)		—		1		1		—
Other contracts(2)	(33)		(44)		—		—		—		42		—		—		(35)		—		—
Asset-backed securities available-for-sale(3)	108		—		(1)		—		—		(3)		—		—		104		—		(1)
Loans held for sale(4)	49		2		—		13		—		(57)		45		(20)		32		—		—
Mortgage servicing rights(5)	22		(3)		—		—		—		—		—		—		19		(3)		—
Total assets	$	(83)	$	183	$	(1)	$	13	$	—	$	9	$	44	$	(27)	$	138	$	129	$	(1)
Liabilities:
Domestic deposits(4)	$	(373)	$	(3)	$	3	$	—	$	(95)	$	139	$	—	$	36	$	(293)	$	4	$	3
Long-term debt(4)	(2,639)		(420)		(4)		—		(739)		1,028		(93)		948		(1,919)		(197)		(4)
Total liabilities	$	(3,012)	$	(423)	$	(1)	$	—	$	(834)	$	1,167	$	(93)	$	984	$	(2,212)	$	(193)	$	(1)




























	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		Dec. 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	$	—	$	(2)	$	—	$	—	$	—	$	—	$	(3)	$	—	$	(5)	$	(1)	$	—
Foreign exchange contracts	(2)		2		—		—		—		—		—		—		—		—		—
Equity contracts	46		(340)		—		—		—		(4)		8		64		(226)		(233)		—

Credit contracts	(2)		3		—		—		—		1		—		—		2		3		—
Other contracts(2)	(33)		(36)		—		—		—		36		—		—		(33)		—		—
Asset-backed securities available-for-sale(3)	120		—		(8)		—		—		(4)		—		—		108		—		(8)
Loans held for sale(4)	—		(3)		—		—		15		—		37		—		49		(3)		—
Mortgage servicing rights(5)	16		3		—		—		3		—		—		—		22		1		—
Total assets	$	145	$	(373)	$	(8)	$	—	$	18	$	29	$	42	$	64	$	(83)	$	(233)	$	(8)
Liabilities:
Domestic deposits(4)	$	(535)	$	54	$	2	$	—	$	—	$	258	$	(182)	$	30	$	(373)	$	36	$	2
Long-term debt(4)	(1,853)		252		8		—		(1,287)		414		(412)		239		(2,639)		207		8
Total liabilities	$	(2,388)	$	306	$	10	$	—	$	(1,287)	$	672	$	(594)	$	269	$	(3,012)	$	243	$	10

(1)Level 3 net derivatives included derivative assets of $200 million and derivative liabilities of $217 million at December 31, 2023 and derivative assets of $91 million and derivative liabilities of $353 million at December 31, 2022. Gains (losses) on derivatives, net are predominantly included in trading revenue and gain (loss) 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 (losses), 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 income (loss).

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

(5)Gains (losses) on mortgage servicing rights are included in other income (loss) 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 December 31, 2023 and 2022:


December 31, 2023
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)













Interest rate derivative contracts	$	(4)	Market comparable adjusted for probability to fund and, where applicable, option pricing model	Probability to fund for rate lock commitments	71% - 92%	84%

				Interest rate yield curve	9%	N/A

Foreign exchange derivative contracts	$	—	Option pricing model	Cross-currency basis	8bps	N/A
Equity derivative contracts(2)	$	21	Option pricing model	Equity / Equity Index volatility	6% - 111%	41%
				Equity / Equity and Equity / Index correlation	45% - 97%	84%
				Equity forward price	$41 - $6,245	$643

Credit derivative contracts	$	1	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	59bps - 1,558bps	160bps
Other derivative contracts	$	(35)	Discounted cash flows	Conversion rate	1.6 times	N/A
				Expected duration	1.0 year	N/A
Asset-backed securities available-for-sale	$	104	Discounted cash flows	Market assumptions related to yields for comparable instruments	2% - 3%	2%
Loans held for sale	$	32	Market comparables and internal assumptions	Adjusted market price	78% - 100%	90%
Mortgage servicing rights	$	19	Discounted cash flows	Constant prepayment rates	6% - 17%	6%
				Discount rate	10% - 14%	10%
				Estimated annualized costs to service	$72 - $77 per account	$74 per account

Domestic deposits (structured deposits)(2)(3)	$	(293)	Option adjusted discounted cash flows	Equity / Equity Index volatility	7% - 29%	13%
				Equity / Equity and Equity / Index correlation	51% - 93%	71%

Long-term debt (structured notes)(2)(3)	$	(1,919)	Option adjusted discounted cash flows	Equity / Equity Index volatility	7% - 95%	22%
				Equity / Equity and Equity / Index correlation	45% - 97%	84%
				Credit default swap spreads	948bps	NA


December 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	$	(5)	Market comparable adjusted for probability to fund and, where applicable, option pricing model	Probability to fund for rate lock commitments	51% - 99%	84%

				Interest rate yield curve	9%	N/A
Foreign exchange derivative contracts	$	—	Option pricing model	Cross-currency basis	103bps	N/A
Equity derivative contracts(2)	$	(226)	Option pricing model	Equity / Equity Index volatility	8% - 101%	42%
				Equity / Equity and Equity / Index correlation	45% - 99%	85%
				Equity forward price	$39 - $5,271	$1,243
Credit derivative contracts	$	2	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	491bps - 902bps	885bps
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	$	108	Discounted cash flows	Market assumptions related to yields for comparable instruments	2% - 3%	2%
Loans held for sale	$	49	Market comparables and internal assumptions	Adjusted market price	5% - 80%	42%
Mortgage servicing rights	$	22	Discounted cash flows	Constant prepayment rates	6% - 14%	6%
				Discount rate	9% - 13%	9%
				Estimated annualized costs to service	$72 - $76 per account	$74 per account

Domestic deposits (structured deposits)(2)(3)	$	(373)	Option adjusted discounted cash flows	Equity / Equity Index volatility	8% - 24%	19%
				Equity / Equity and Equity / Index correlation	49% - 88%	63%
Long-term debt (structured notes)(2)(3)	$	(2,639)	Option adjusted discounted cash flows	Equity / Equity Index volatility	8% - 55%	29%
				Equity / Equity and Equity / Index correlation	45% - 99%	86%
				Credit default swap spreads	1,223bps	N/A

(1)For 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 in the table.

(3)Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs. See equity 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 December 31, 2023 and 2022. The gains (losses) during 2023 and 2022 are also included.


	Non-Recurring Fair Value Measurements at December 31, 2023								Total Gains (Losses) For the Year Ended December 31, 2023
	Level 1		Level 2		Level 3		Total
	(in millions)

Consumer loans(1)	$	—	$	106	$	—	$	106	$	1
Commercial loans held for sale	—		—		—		—		(32)
Commercial loans(2)	—		—		374		374		(32)


Leases(3)	—		—		—		—		(8)

Total assets at fair value on a non-recurring basis	$	—	$	106	$	374	$	480	$	(71)


	Non-Recurring Fair Value Measurements at December 31, 2022								Total Gains (Losses) For the Year Ended December 31, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Consumer loans held for sale(4)	$	—	$	1	$	—	$	1	$	(10)
Consumer loans(1)	—		112		—		112		6
Commercial loans held for sale	—		—		—		—		(8)
Commercial loans(2)	—		—		52		52		12


Leases(3)	—		—		—		—		(13)
Total assets at fair value on a non-recurring basis	$	—	$	113	$	52	$	165	$	(13)

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

(2)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.

(3)During 2023 and 2022, we wrote down lease ROU assets and leasehold improvement assets associated with the exit of certain office space. During 2022, we also wrote-off certain capitalized software.

(4)At December 31, 2022, the fair value of the loans held for sale was below cost.

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 December 31, 2023 and 2022:

At December 31, 2023

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average(1)

Commercial loans

374

Valuation of third-party appraisal
on underlying collateral

Loss severity rates

1% - 93%

25%

At December 31, 2022

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average(1)

Commercial loans

Valuation of third-party appraisal
on underlying collateral

Loss severity rates

11% - 47%

31%

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

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 December 31, 2023:

Rating of Securities:(1)

Collateral Type:

Level 3

(in millions)

AAA - A

Home equity - Alt A

BBB - B

Other

104

(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 December 31, 2023 and 2022, and their classification within the fair value hierarchy:


December 31, 2023	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses	$	25,732	$	25,732	$	704	$	25,015	$	13
Federal funds sold and securities purchased under agreements to resell	13,878		13,878		—		13,878		—
Securities held-to-maturity, net of allowance for credit losses	15,076		14,689		—		14,689		—
Commercial loans, net of allowance for credit losses	39,383		40,557		—		—		40,557
Commercial loans held for sale	89		89		—		89		—
Consumer loans, net of allowance for credit losses	18,998		17,043		—		—		17,043


Financial liabilities:
Short-term financial liabilities	$	9,927	$	9,927	$	—	$	9,914	$	13
Deposits	119,462		119,465		—		119,465		—

Long-term debt	11,122		11,645		—		11,645		—


December 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	$	18,802	$	18,802	$	1,004	$	17,744	$	54
Federal funds sold and securities purchased under agreements to resell	23,085		23,085		—		23,085		—
Securities held-to-maturity, net of allowance for credit losses	7,317		6,862		—		6,862		—
Commercial loans, net of allowance for credit losses	41,266		42,050		—		—		42,050
Commercial loans held for sale	112		112		—		112		—
Consumer loans, net of allowance for credit losses	17,510		15,984		—		—		15,984

Consumer loans held for sale	5		5		—		5		—


Financial liabilities:
Short-term financial liabilities	$	5,999	$	5,999	$	—	$	5,945	$	54
Deposits	121,669		121,652		—		121,652		—

Long-term debt	9,213		9,769		—		9,769		—