Fair Value Measurements

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value MeasurementsUnder applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of its fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current

marketplace. During the nine months ended September 30, 2020, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact on the Corporation’s consolidated financial position or results of operations.

For more information regarding the fair value hierarchy, how the Corporation measures fair value and valuation techniques, see Note 1 – Summary of Significant Accounting Principles and Note 21 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2019 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 15 – Fair Value Option.

Recurring Fair Value

Assets and liabilities carried at fair value on a recurring basis at September 30, 2020 and December 31, 2019, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.

	September 30, 2020
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments (1)		Assets/Liabilities at Fair Value
Assets
Time deposits placed and other short-term investments	$	385	$	—	$	—	$	—	$	385
Federal funds sold and securities borrowed or purchased under agreements to resell	—		103,101		—		—		103,101
Trading account assets:
U.S. Treasury and agency securities	43,143		2,439		—		—		45,582
Corporate securities, trading loans and other	—		25,438		1,470		—		26,908
Equity securities	82,015		34,097		207		—		116,319
Non-U.S. sovereign debt	10,003		26,455		290		—		36,748
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)	—		20,896		133		—		21,029
Mortgage trading loans, ABS and other MBS	—		7,277		1,637		—		8,914
Total trading account assets (3)	135,161		116,602		3,737		—		255,500
Derivative assets	16,129		399,497		2,498		(373,827)		44,297
AFS debt securities:
U.S. Treasury and agency securities	101,693		1,185		—		—		102,878
Mortgage-backed securities:
Agency	—		69,864		—		—		69,864
Agency-collateralized mortgage obligations	—		5,837		—		—		5,837
Non-agency residential	—		843		440		—		1,283
Commercial	—		16,206		—		—		16,206
Non-U.S. securities	—		16,340		14		—		16,354
Other taxable securities	—		3,608		68		—		3,676
Tax-exempt securities	—		17,414		180		—		17,594
Total AFS debt securities	101,693		131,297		702		—		233,692
Other debt securities carried at fair value:
U.S. Treasury and agency securities	3		—		—		—		3
Non-agency residential MBS	—		751		458		—		1,209
Non-U.S. and other securities	5,961		5,132		—		—		11,093
Total other debt securities carried at fair value	5,964		5,883		458		—		12,305
Loans and leases	—		6,609		625		—		7,234
Loans held-for-sale	—		983		922		—		1,905
Other assets (4)	6,802		4,048		1,875		—		12,725
Total assets (5)	$	266,134	$	768,020	$	10,817	$	(373,827)	$	671,144
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	626	$	—	$	—	$	626
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		132,322		—		—		132,322
Trading account liabilities:
U.S. Treasury and agency securities	11,013		200		—		—		11,213
Equity securities	40,609		5,390		1		—		46,000
Non-U.S. sovereign debt	9,966		10,731		—		—		20,697
Corporate securities and other	—		6,755		16		—		6,771
Total trading account liabilities	61,588		23,076		17		—		84,681
Derivative liabilities	17,292		389,769		6,029		(371,362)		41,728
Short-term borrowings	—		4,577		—		—		4,577
Accrued expenses and other liabilities	8,530		4,235		—		—		12,765
Long-term debt	—		29,485		970		—		30,455
Total liabilities (5)	$	87,410	$	584,090	$	7,016	$	(371,362)	$	307,154

(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

(2)Includes $21.5 billion of GSE obligations.

(3)Includes securities with a fair value of $13.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.

(4)Includes MSRs of $1.1 billion which are classified as Level 3 assets.

(5)Total recurring Level 3 assets were 0.40 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.28 percent of total consolidated liabilities.

	December 31, 2019
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments (1)		Assets/Liabilities at Fair Value
Assets
Time deposits placed and other short-term investments	$	1,000	$	—	$	—	$	—	$	1,000
Federal funds sold and securities borrowed or purchased under agreements to resell	—		50,364		—		—		50,364
Trading account assets:
U.S. Treasury and agency securities	49,517		4,157		—		—		53,674
Corporate securities, trading loans and other	—		25,226		1,507		—		26,733
Equity securities	53,597		32,619		239		—		86,455
Non-U.S. sovereign debt	3,965		23,854		482		—		28,301
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)	—		24,324		—		—		24,324
Mortgage trading loans, ABS and other MBS	—		8,786		1,553		—		10,339
Total trading account assets (3)	107,079		118,966		3,781		—		229,826
Derivative assets	14,079		328,442		2,226		(304,262)		40,485
AFS debt securities:
U.S. Treasury and agency securities	67,332		1,196		—		—		68,528
Mortgage-backed securities:
Agency	—		122,528		—		—		122,528
Agency-collateralized mortgage obligations	—		4,641		—		—		4,641
Non-agency residential	—		653		424		—		1,077
Commercial	—		15,021		—		—		15,021
Non-U.S. securities	—		11,989		2		—		11,991
Other taxable securities	—		3,876		65		—		3,941
Tax-exempt securities	—		17,804		108		—		17,912
Total AFS debt securities	67,332		177,708		599		—		245,639
Other debt securities carried at fair value:
U.S. Treasury and agency securities	3		—		—		—		3
Agency MBS	—		3,003		—		—		3,003
Non-agency residential MBS	—		1,035		299		—		1,334
Non-U.S. and other securities	400		6,088		—		—		6,488
Total other debt securities carried at fair value	403		10,126		299		—		10,828
Loans and leases	—		7,642		693		—		8,335
Loans held-for-sale	—		3,334		375		—		3,709
Other assets (4)	11,782		1,376		2,360		—		15,518
Total assets (5)	$	201,675	$	697,958	$	10,333	$	(304,262)	$	605,704
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	508	$	—	$	—	$	508
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		16,008		—		—		16,008
Trading account liabilities:
U.S. Treasury and agency securities	13,140		282		—		—		13,422
Equity securities	38,148		4,144		2		—		42,294
Non-U.S. sovereign debt	10,751		11,310		—		—		22,061
Corporate securities and other	—		5,478		15		—		5,493
Total trading account liabilities	62,039		21,214		17		—		83,270
Derivative liabilities	11,904		320,479		4,764		(298,918)		38,229
Short-term borrowings	—		3,941		—		—		3,941
Accrued expenses and other liabilities	13,927		1,507		—		—		15,434
Long-term debt	—		33,826		1,149		—		34,975
Total liabilities (5)	$	87,870	$	397,483	$	5,930	$	(298,918)	$	192,365

(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

(2)Includes $26.7 billion of GSE obligations.

(3)Includes securities with a fair value of $14.7 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.

(4)Includes MSRs of $1.5 billion which are classified as Level 3 assets.

(5)Total recurring Level 3 assets were 0.42 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.27 percent of total consolidated liabilities.

The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2020 and 2019, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due

to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.

Level 3 – Fair Value Measurements (1)
	Balance July 1		Total Realized/Unrealized Gains  (Losses) in Net  Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Three Months Ended September 30, 2020
Trading account assets:
Corporate securities, trading loans and other	$	1,548	$	(20)	$	—	$	—	$	(49)	$	—	$	(91)	$	136	$	(54)	$	1,470	$	(34)
Equity securities	194		8		—		4		(3)		—		—		7		(3)		207		3
Non-U.S. sovereign debt	248		7		(6)		1		(2)		—		(1)		83		(40)		290		6
Mortgage trading loans, ABS and other MBS	1,736		2		—		36		(108)		11		(12)		167		(62)		1,770		10
Total trading account assets	3,726		(3)		(6)		41		(162)		11		(104)		393		(159)		3,737		(15)
Net derivative assets (liabilities) (4)	(3,343)		228		—		39		(177)		—		(58)		3		(223)		(3,531)		196
AFS debt securities:
Non-agency residential MBS	462		—		5		—		—		—		(10)		25		(42)		440		—
Non-U.S. securities	5		—		—		—		—		—		(1)		10		—		14		—
Other taxable securities	65		—		—		3		—		—		—		—		—		68		—
Tax-exempt securities	337		15		—		—		—		—		(167)		—		(5)		180		15
Total AFS debt securities	869		15		5		3		—		—		(178)		35		(47)		702		15
Other debt securities carried at fair value – Non-agency residential MBS	449		18		—		—		—		—		(11)		2		—		458		17
Loans and leases (5,6)	741		(2)		—		—		(25)		—		(89)		—		—		625		(5)
Loans held-for-sale (5,6)	970		(7)		(2)		—		(25)		—		(14)		—		—		922		(10)
Other assets (6,7)	1,911		25		6		—		1		53		(121)		—		—		1,875		4
Trading account liabilities – Equity securities	(1)		—		—		—		—		—		—		—		—		(1)		—
Trading account liabilities – Corporate securities    and other	(16)		2		—		—		(2)		—		—		—		—		(16)		—
Long-term debt (5)	(956)		(50)		(10)		—		—		—		46		—		—		(970)		(50)
Three Months Ended September 30, 2019
Trading account assets:
Corporate securities, trading loans and other	$	1,393	$	28	$	—	$	158	$	(153)	$	—	$	(143)	$	356	$	(48)	$	1,591	$	—
Equity securities	296		(8)		—		17		(81)		—		(1)		66		(10)		279		(31)
Non-U.S. sovereign debt	481		9		(28)		—		—		—		(36)		39		—		465		10
Mortgage trading loans, ABS and other MBS	1,389		(8)		—		91		(156)		—		(48)		316		(21)		1,563		(24)
Total trading account assets	3,559		21		(28)		266		(390)		—		(228)		777		(79)		3,898		(45)
Net derivative assets (liabilities) (4)	(1,114)		73		—		81		(270)		—		(36)		—		34		(1,232)		52
AFS debt securities:
Non-agency residential MBS	568		—		(13)		—		—		—		(8)		—		(39)		508		—
Non-U.S. securities	2		—		—		—		—		—		—		—		—		2		—
Other taxable securities	3		—		—		—		—		—		—		—		—		3		—
Total AFS debt securities	573		—		(13)		—		—		—		(8)		—		(39)		513		—
Other debt securities carried at fair value – Non-agency residential MBS	273		(8)		—		—		—		—		(5)		48		—		308		(8)
Loans and leases (5,6)	355		8		—		27		(17)		44		(16)		—		—		401		8
Loans held-for-sale (5,6)	486		5		(11)		2		—		—		(96)		—		—		386		(7)
Other assets (6,7)	2,551		(40)		(5)		—		—		53		(163)		4		—		2,400		(82)
Trading account liabilities – Equity securities	(2)		—		—		—		—		—		—		—		—		(2)		—
Trading account liabilities – Corporate securities    and other	(13)		1		—		(1)		—		—		—		—		—		(13)		(1)
Long-term debt (5)	(902)		16		1		(27)		—		—		49		(1)		—		(864)		16

(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.

(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - primarily other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $(8) million and $53 million related to financial instruments still held at September 30, 2020 and 2019.

(4)Net derivative assets (liabilities) include derivative assets of $2.5 billion and $3.4 billion and derivative liabilities of $6.0 billion and $4.6 billion at September 30, 2020 and 2019.

(5)Amounts represent instruments that are accounted for under the fair value option.

(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.

(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

Level 3 – Fair Value Measurements (1)
	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Nine Months Ended September 30, 2020
Trading account assets:
Corporate securities, trading loans and other	$	1,507	$	(150)	$	(1)	$	280	$	(181)	$	8	$	(165)	$	520	$	(348)	$	1,470	$	(128)
Equity securities	239		(17)		—		33		(37)		—		—		32		(43)		207		(20)
Non-U.S. sovereign debt	482		35		(69)		76		(61)		—		(20)		100		(253)		290		33
Mortgage trading loans, ABS and other MBS	1,553		(145)		(3)		502		(582)		11		(52)		659		(173)		1,770		(135)
Total trading account assets	3,781		(277)		(73)		891		(861)		19		(237)		1,311		(817)		3,737		(250)
Net derivative assets (liabilities) (4)	(2,538)		111		—		216		(558)		—		(224)		(273)		(265)		(3,531)		(356)
AFS debt securities:
Non-agency residential MBS	424		(5)		(4)		23		—		—		(32)		158		(124)		440		(5)
Non-U.S. securities	2		—		—		—		(1)		—		(1)		14		—		14		—
Other taxable securities	65		—		—		6		(4)		—		—		1		—		68		—
Tax-exempt securities	108		(19)		3		—		—		—		(167)		265		(10)		180		(18)
Total AFS debt securities	599		(24)		(1)		29		(5)		—		(200)		438		(134)		702		(23)
Other debt securities carried at fair value – Non-agency residential MBS	299		12		—		—		—		—		(19)		178		(12)		458		(12)
Loans and leases (5,6)	693		(74)		—		32		(26)		22		(120)		98		—		625		(61)
Loans held-for-sale (5,6)	375		(7)		(35)		—		(106)		691		(89)		93		—		922		(19)
Other assets (6,7)	2,360		(294)		(11)		—		2		206		(391)		5		(2)		1,875		(373)
Trading account liabilities – Equity securities	(2)		1		—		—		—		—		—		—		—		(1)		1
Trading account liabilities – Corporate securities    and other	(15)		7		—		(7)		(2)		—		1		—		—		(16)		—
Long-term debt (5)	(1,149)		5		50		8		—		(45)		201		(52)		12		(970)		(10)
Nine Months Ended September 30, 2019
Trading account assets:
Corporate securities, trading loans and other	$	1,558	$	86	$	—	$	352	$	(305)	$	—	$	(349)	$	602	$	(353)	$	1,591	$	33
Equity securities	276		14		—		38		(87)		—		(4)		69		(27)		279		(14)
Non-U.S. sovereign debt	465		36		(24)		1		—		—		(47)		39		(5)		465		37
Mortgage trading loans, ABS and other MBS	1,635		80		(2)		488		(817)		—		(172)		583		(232)		1,563		13
Total trading account assets	3,934		216		(26)		879		(1,209)		—		(572)		1,293		(617)		3,898		69
Net derivative assets (liabilities) (4)	(935)		(43)		—		248		(676)		—		(124)		139		159		(1,232)		(110)
AFS debt securities:
Non-agency residential MBS	597		—		77		—		—		—		(29)		206		(343)		508		—
Non-U.S. securities	2		—		—		—		—		—		—		—		—		2		—
Other taxable securities	7		—		—		—		—		—		(4)		—		—		3		—
Total AFS debt securities	606		—		77		—		—		—		(33)		206		(343)		513		—
Other debt securities carried at fair value – Non-agency residential MBS	172		41		—		—		—		—		(13)		155		(47)		308		38
Loans and leases (5,6)	338		12		—		27		(32)		97		(41)		—		—		401		11
Loans held-for-sale (5,6)	542		43		(11)		12		(71)		11		(199)		59		—		386		13
Other assets (6,7)	2,932		(194)		11		—		(10)		161		(504)		4		—		2,400		(342)
Trading account liabilities – Equity securities	—		(2)		—		—		—		—		—		—		—		(2)		(2)
Trading account liabilities – Corporate securities    and other	(18)		8		—		—		(3)		—		—		—		—		(13)		(1)
Long-term debt (5)	(817)		(71)		—		(27)		—		(13)		125		(62)		1		(864)		(64)

(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.

(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - primarily other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $(47) million and $47 million related to financial instruments still held at September 30, 2020 and 2019.

(4)Net derivative assets (liabilities) include derivative assets of $2.5 billion and $3.4 billion and derivative liabilities of $6.0 billion and $4.6 billion at September 30, 2020 and 2019.

(5)Amounts represent instruments that are accounted for under the fair value option.

(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.

(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at September 30, 2020 and December 31, 2019.

Quantitative Information about Level 3 Fair Value Measurements at September 30, 2020
(Dollars in millions)				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets	$	1,903	Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans, ABS and other MBS	566			Prepayment speed	1% to 31% CPR	19% CPR
Loans and leases	356			Default rate	0% to 3% CDR	1% CDR
Loans held-for-sale	1			Loss severity	0% to 48%	19	%
AFS debt securities, primarily non-agency residential	440			Price	$0 to $160	$80
AFS debt securities – Other taxable securities	82
Other debt securities carried at fair value - Non-agency residential	458
Instruments backed by commercial real estate assets	$	1,158	Discounted cash flow	Yield	0% to 25%	4	%
Trading account assets – Corporate securities, trading loans and other	288			Price	$0 to $117	$62
Trading account assets – Mortgage trading loans, ABS and other MBS	156
Loans held-for-sale	714
Commercial loans, debt securities and other	$	3,043	Discounted cash flow, Market comparables	Yield	1% to 32%	8	%
Trading account assets – Corporate securities, trading loans and other	1,182			Prepayment speed	10% to 20%	14	%
Trading account assets – Non-U.S. sovereign debt	290			Default rate	3% to 4%	4	%
Trading account assets – Mortgage trading loans, ABS and other MBS	915			Loss severity	35% to 40%	38	%
AFS debt securities – Tax-exempt securities	180			Price	$0 to $142	$67
Loans and leases	269			Long-dated equity volatilities	93%	n/a
Loans held-for-sale	207
Other assets, primarily auction rate securities	$	793	Discounted cash flow, Market comparables	Price	$10 to $98	$94
MSRs	$	1,082	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years	4 years
				Weighted-average life, variable rate (5)	0 to 10 years	3 years
				Option-adjusted spread, fixed rate	7% to 14%	9	%
				Option-adjusted spread, variable rate	9% to 15%	12	%
Structured liabilities
Long-term debt	$	(970)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	2% to 7%	7	%
				Equity correlation	5% to 100%	76	%
				Long-dated equity volatilities	15% to 79%	35	%
				Price	$0 to $118	$82
				Natural gas forward price	$1/MMBtu to $4/MMBtu	$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(50)	Discounted cash flow, Stochastic recovery correlation model	Yield	5%	n/a
				Upfront points	0 to 100 points	75 points
				Prepayment speed	15% to 100% CPR	23% CPR
				Default rate	2% CDR	n/a
				Credit correlation	24% to 69%	49	%
				Price	$0 to $122	$53
Equity derivatives	$	(1,879)	Industry standard derivative pricing (3)	Equity correlation	5% to 100%	76	%
				Long-dated equity volatilities	15% to 79%	35	%
Commodity derivatives	$	(1,528)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$1/MMBtu to $4/MMBtu	$3 /MMBtu
				Correlation	54% to 85%	74	%
				Volatilities	22% to 89%	43	%
Interest rate derivatives	$	(74)	Industry standard derivative pricing (4)	Correlation (IR/IR)	15% to 96%	38	%
				Correlation (FX/IR)	0% to 46%	2	%
				Long-dated inflation rates	-5% to 84%	15	%
				Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets (liabilities)	$	(3,531)

(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.

(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 90: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $290 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.6 billion, AFS debt securities of $702 million, Other debt securities carried at fair value - Non-agency residential of $458 million, Other assets, including MSRs, of $1.9 billion, Loans and leases of $625 million and LHFS of $922 million.

(3)Includes models such as Monte Carlo simulation and Black-Scholes.

(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019
(Dollars in millions)				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets	$	1,407	Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans, ABS and other MBS	332			Prepayment speed	1% to 27% CPR	17% CPR
Loans and leases	281			Default rate	0% to 3% CDR	1% CDR
Loans held-for-sale	4			Loss severity	0% to 47%	14	%
AFS debt securities, primarily non-agency residential	491			Price	$0 to $160	$94
Other debt securities carried at fair value - Non-agency residential	299
Instruments backed by commercial real estate assets	$	303	Discounted cash flow	Yield	0% to 30%	14	%
Trading account assets – Corporate securities, trading loans and other	201			Price	$0 to $100	$55
Trading account assets – Mortgage trading loans, ABS and other MBS	85
Loans held-for-sale	17
Commercial loans, debt securities and other	$	3,798	Discounted cash flow, Market comparables	Yield	1% to 20%	6	%
Trading account assets – Corporate securities, trading loans and other	1,306			Prepayment speed	10% to 20%	13	%
Trading account assets – Non-U.S. sovereign debt	482			Default rate	3% to 4%	4	%
Trading account assets – Mortgage trading loans, ABS and other MBS	1,136			Loss severity	35% to 40%	38	%
AFS debt securities – Tax-exempt securities	108			Price	$0 to $142	$72
Loans and leases	412			Long-dated equity volatilities	35%	n/a
Loans held-for-sale	354
Other assets, primarily auction rate securities	$	815	Discounted cash flow, Market comparables	Price	$10 to $100	$96
MSRs	$	1,545	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 14 years	5 years
				Weighted-average life, variable rate (5)	0 to 9 years	3 years
				Option-adjusted spread, fixed rate	7% to 14%	9	%
				Option-adjusted spread, variable rate	9% to 15%	11	%
Structured liabilities
Long-term debt	$	(1,149)	Discounted cash flow, Market comparables, Industry standard derivative pricing (3)	Yield	2% to 6%	5	%
				Equity correlation	9% to 100%	63	%
				Long-dated equity volatilities	4% to 101%	32	%
				Price	$0 to $116	$74
				Natural gas forward price	$1/MMBtu to $5/MMBtu	$3/MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	13	Discounted cash flow, Stochastic recovery correlation model	Yield	5%	n/a
				Upfront points	0 to 100 points	63 points
				Prepayment speed	15% to 100% CPR	22% CPR
				Default rate	1% to 4% CDR	2% CDR
				Loss severity	35%	n/a
				Price	$0 to $104	$73
Equity derivatives	$	(1,081)	Industry standard derivative pricing (3)	Equity correlation	9% to 100%	63	%
				Long-dated equity volatilities	4% to 101%	32	%
Commodity derivatives	$	(1,357)	Discounted cash flow, Industry standard derivative pricing (3)	Natural gas forward price	$1/MMBtu to $5/MMBtu	$3/MMBtu
				Correlation	30% to 69%	68	%
				Volatilities	14% to 54%	27	%
Interest rate derivatives	$	(113)	Industry standard derivative pricing (4)	Correlation (IR/IR)	15% to 94%	52	%
				Correlation (FX/IR)	0% to 46%	2	%
				Long-dated inflation rates	G-23% to 56%	16	%
				Long-dated inflation volatilities	0% to 1%	1	%
Total net derivative assets (liabilities)	$	(2,538)

(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.

(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 91: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $482 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.6 billion, AFS debt securities of $599 million, Other debt securities carried at fair value - Non-agency residential of $299 million, Other assets, including MSRs, of $2.4 billion, Loans and leases of $693 million and LHFS of $375 million.

(3)Includes models such as Monte Carlo simulation and Black-Scholes.

(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable

Uncertainty of Fair Value Measurements from Unobservable Inputs

For information on the types of instruments, valuation approaches and the impact of changes in unobservable inputs used in Level 3 measurements, see Note 21 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2019 Annual Report on Form 10-K.

Nonrecurring Fair Value

The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as nonrecurring. The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 30, 2020 and 2019.

Assets Measured at Fair Value on a Nonrecurring Basis
	September 30, 2020				Three Months Ended September 30, 2020		Nine Months Ended September 30, 2020
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	630	$	903	$	(14)	$	(121)
Loans and leases (1)	—		226		(19)		(59)
Foreclosed properties (2, 3)	—		27		(7)		(11)
Other assets	209		576		(32)		(58)
	September 30, 2019				Three Months Ended September 30, 2019		Nine Months Ended September 30, 2019
Assets
Loans held-for-sale	$	5	$	111	$	(7)	$	(18)
Loans and leases (1)	—		232		(21)		(62)
Foreclosed properties (2, 3)	—		19		(7)		(10)
Other assets	165		658		(2,085)		(2,104)

(1)Includes $9 million and $26 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2020 compared to losses of $8 million and $25 million for the same periods in 2019.

(2)Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses recorded during the first 90 days after transfer of a loan to foreclosed properties.

(3)Excludes $131 million and $275 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2020 and 2019.

The table below presents information about significant unobservable inputs at September 30, 2020 and December 31, 2019.

Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average (1)
(Dollars in millions)	September 30, 2020
Loans held-for-sale	$	903	Discounted cash flow	Price	$8 to $99	$94
Loans and leases (2)	226		Market comparables	OREO discount	13% to 59%	24	%
				Costs to sell	8% to 26%	9	%
Other assets (3)	576		Discounted cash flow	Revenue attrition	2% to 19%	7	%
				Discount rate	11% to 14%	12	%
	December 31, 2019
Loans held-for-sale	$	102	Discounted cash flow	Price	$85 to $97	$88
Loans and leases (2)	257		Market comparables	OREO discount	13% to 59%	24	%
				Costs to sell	8% to 26%	9	%
Other assets (4)	640		Discounted cash flow	Customer attrition	0% to 19%	5	%
				Cost to service	11% to 19%	15	%

(1)The weighted average is calculated based upon the fair value of the loans.

(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.

(3)The fair value of the intangible asset related to the merchant contracts received from the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the revenue attrition rate and the discount rate. For more information, see Note 7 – Goodwill and Intangible Assets.

(4)Reflects the measurement of the Corporation’s merchant services equity method investment on which the Corporation recorded an impairment charge in 2019. For more information, see Note 13 – Commitments and Contingencies to the Consolidated Financial Statements of the Corporation’s 2019 Annual Report on Form 10-K. The fair value of the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the customer attrition rate and the cost-to-service rate.