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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024 and December 31, 2023, 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, 2024	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	$	3,462	$	962	$	—	$	4,424	$	—	$	4,424








Debt securities issued by foreign entities	1,045		8		—		1,053		—		1,053
Equity securities	12,273		—		—		12,273		—		12,273
Precious metals trading	—		329		—		329		—		329
Derivatives:(2)
Interest rate contracts	5		1,321		5		1,331		—		1,331
Foreign exchange contracts	—		10,496		11		10,507		—		10,507
Equity contracts	—		838		210		1,048		—		1,048
Precious metals contracts	—		1,222		—		1,222		—		1,222
Credit contracts	—		147		—		147		—		147
Other contracts(3)	—		—		4		4		—		4
Derivatives netting	—		—		—		—		(13,371)		(13,371)
Total derivatives	5		14,024		230		14,259		(13,371)		888
Securities available-for-sale:(4)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	8,018		14,234		—		22,252		—		22,252
Asset-backed securities:


Home equity	—		—		11		11		—		11

Other	—		—		91		91		—		91

Debt securities issued by foreign entities	3,085		111		—		3,196		—		3,196
Loans(5)	—		14		—		14		—		14
Loans held for sale(5)	—		239		25		264		—		264
Other assets:
Mortgage servicing rights	—		—		19		19		—		19
Equity securities	—		125		—		125		—		125
Equity securities measured at net asset value(6)	—		—		—		142		—		142
Other(5)(7)	—		661		—		661		—		661
Total assets	$	27,888	$	30,707	$	376	$	59,113	$	(13,371)	$	45,742
Liabilities:
Domestic deposits(5)	$	—	$	1,753	$	331	$	2,084	$	—	$	2,084
Trading liabilities, excluding derivatives	1,210		38		—		1,248		—		1,248
Derivatives:(2)
Interest rate contracts	4		1,011		8		1,023		—		1,023
Foreign exchange contracts	—		10,559		11		10,570		—		10,570
Equity contracts	—		1,118		143		1,261		—		1,261
Precious metals contracts	—		1,136		—		1,136		—		1,136
Credit contracts			229		—		229		—		229
Other contracts(3)			—		34		34		—		34
Derivatives netting	—		—		—		—		(12,740)		(12,740)
Total derivatives	4		14,053		196		14,253		(12,740)		1,513

Long-term debt(5)	—		4,911		1,959		6,870		—		6,870
Other liabilities(5)(7)	—		661		—		661		—		661
Total liabilities	$	1,214	$	21,416	$	2,486	$	25,116	$	(12,740)	$	12,376


	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

(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 $821 million and $1,276 million and trading derivative liabilities of $1,298 million and $1,496 million at March 31, 2024 and December 31, 2023, respectively, as well as derivatives held for hedging and other non-qualifying economic hedging activities. See Note 8, "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 income (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 income (loss). Changes in the allowance for credit losses on securities available-for-sale are recorded through net income.

(5)See Note 9, "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 income (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 the three months ended March 31, 2024 and 2023. 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, 2024		Total Realized / Unrealized Gains (Losses) Included in				Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2024		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	$	(4)	$	(1)	$	—	$	—	$	—	$	—	$	2	$	—	$	(3)	$	(1)	$	—
Foreign exchange contracts	—		—		—		—		—		—		—		—		—		—		—
Equity contracts	21		59		—		—		—		3		(7)		(9)		67		50		—

Credit contracts	1		(3)		—		—		—		(1)		—		3		—		—		—
Other contracts(2)	(35)		(2)		—		—		—		7		—		—		(30)		—		—
Asset-backed securities available-for-sale(3)	104		—		(1)		—		—		(1)		—		—		102		—		(1)
Loans held for sale(4)	32		1		—		17		—		(24)		3		(4)		25		1		—
Mortgage servicing rights(5)	19		—		—		—		—		—		—		—		19		—		—

Total assets	$	138	$	54	$	(1)	$	17	$	—	$	(16)	$	(2)	$	(10)	$	180	$	50	$	(1)
Liabilities:
Domestic deposits(4)	$	(293)	$	(4)	$	(2)	$	—	$	(74)	$	35	$	—	$	7	$	(331)	$	(3)	$	(2)
Long-term debt(4)	(1,919)		(107)		(2)		—		(327)		281		(13)		128		(1,959)		(69)		(2)

Total liabilities	$	(2,212)	$	(111)	$	(4)	$	—	$	(401)	$	316	$	(13)	$	135	$	(2,290)	$	(72)	$	(4)




























	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		Mar. 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)		128		—		—		—		12		—		2		(84)		112		—

Credit contracts	2		—		—		—		—		—		—		—		2		—		—
Other contracts(2)	(33)		(2)		—		—		—		11		—		—		(24)		—		—
Asset-backed securities available-for-sale(3)	108		—		1		—		—		(2)		—		—		107		—		1
Loans held for sale(4)	49		—		—		1		—		—		—		—		50		—		—
Mortgage servicing rights(5)	22		(1)		—		—		—		—		—		—		21		(1)		—
Total assets	$	(83)	$	126	$	1	$	1	$	—	$	21	$	—	$	2	$	68	$	112	$	1
Liabilities:
Domestic deposits(4)	$	(373)	$	(6)	$	4	$	—	$	—	$	80	$	—	$	25	$	(270)	$	(2)	$	4
Long-term debt(4)	(2,639)		(166)		22		—		(189)		175		(1)		403		(2,395)		(119)		22
Total liabilities	$	(3,012)	$	(172)	$	26	$	—	$	(189)	$	255	$	(1)	$	428	$	(2,665)	$	(121)	$	26

(1)Level 3 net derivatives included derivative assets of $230 million and derivative liabilities of $196 million at March 31, 2024 and derivative assets of $113 million and derivative liabilities of $223 million at March 31, 2023. 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, 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 March 31, 2024 and December 31, 2023:


March 31, 2024
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)













Interest rate derivative contracts	$	(3)	Market comparable adjusted for probability to fund and, where applicable, option pricing model	Probability to fund for rate lock commitments	51% - 100%	84%

				Interest rate yield curve	9%	N/A

Foreign exchange derivative contracts	$	—	Option pricing model	Cross-currency basis	(18)bps	N/A
Equity derivative contracts(2)	$	67	Option pricing model	Equity / Equity Index volatility	6% - 130%	40%
				Equity / Equity and Equity / Index correlation	35% - 97%	82%
				Equity forward price	$42 - $6,897	$1,798


Other derivative contracts	$	(30)	Discounted cash flows	Conversion rate	1.6 times	N/A
				Expected duration	0.8 years	N/A
Asset-backed securities available-for-sale	$	102	Discounted cash flows	Market assumptions related to yields for comparable instruments	2% - 3%	2%
Loans held for sale	$	25	Market comparables and internal assumptions	Adjusted market price	48% - 101%	91%
Mortgage servicing rights	$	19	Discounted cash flows	Constant prepayment rates	6% - 16%	6%
				Discount rate	10% - 14%	10%
				Estimated annualized costs to service	$72 - $75 per account	$74 per account

Domestic deposits (structured deposits)(2)(3)	$	(331)	Option adjusted discounted cash flows	Equity / Equity Index volatility	6% - 29%	13%
				Equity / Equity and Equity / Index correlation	43% - 88%	66%

Long-term debt (structured notes)(2)(3)	$	(1,959)	Option adjusted discounted cash flows	Equity / Equity Index volatility	7% - 95%	23%
				Equity / Equity and Equity / Index correlation	35% - 97%	84%
				Credit default swap spreads	795bps	NA


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

(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 March 31, 2024 and December 31, 2023. The gains (losses) during the three months ended March 31, 2024 and 2023 are also included.


	Non-Recurring Fair Value Measurements at March 31, 2024								Total Gains (Losses) For the Three Months Ended March 31, 2024
	Level 1		Level 2		Level 3		Total
	(in millions)

Consumer loans(1)	$	—	$	103	$	—	$	103	$	1
Commercial loans held for sale	—		—		—		—		2
Commercial loans(2)	—		—		382		382		(2)


Leases(3)	—		—		—		—		(3)

Total assets at fair value on a non-recurring basis	$	—	$	103	$	382	$	485	$	(2)


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

Consumer loans(1)	$	—	$	106	$	—	$	106	$	(1)
Commercial loans held for sale	—		—		—		—		(1)
Commercial loans(2)	—		—		374		374		3


Leases(3)	—		—		—		—		(15)
Total assets at fair value on a non-recurring basis	$	—	$	106	$	374	$	480	$	(14)

(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 the first quarters of 2024 and 2023, we wrote down lease ROU assets and leasehold improvement assets associated with the exit of certain office space, including the partial exit of our previous U.S. headquarters during the first quarter of 2024.

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, 2024 and December 31, 2023:

At March 31, 2024

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average(1)

Commercial loans

382

Valuation of third-party appraisal
on underlying collateral

Loss severity rates

2% - 100%

25%

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%

(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 March 31, 2024:

Rating of Securities:(1)

Collateral Type:

Level 3

(in millions)

AAA - A

Home equity - Alt A

BBB - B

Other

102

(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, 2024 and December 31, 2023, and their classification within the fair value hierarchy:


March 31, 2024	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses	$	31,400	$	31,400	$	695	$	30,687	$	18
Federal funds sold and securities purchased under agreements to resell	8,306		8,306		—		8,306		—
Securities held-to-maturity, net of allowance for credit losses	15,294		14,717		1,878		12,839		—
Commercial loans, net of allowance for credit losses	39,742		40,744		—		—		40,744
Commercial loans held for sale	189		189		—		189		—
Consumer loans, net of allowance for credit losses	19,460		17,237		—		—		17,237


Financial liabilities:
Short-term financial liabilities	$	7,051	$	7,051	$	—	$	7,033	$	18
Deposits	119,969		119,959		—		119,959		—

Long-term debt	12,569		13,157		—		13,157		—


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		—