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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2024

Assets and Liabilities Carried at Fair Value on a Recurring Basis

Assets and liabilities carried at fair value on a recurring basis at September 30, 2024 and December 31, 2023, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.



	September 30, 2024
	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	$	1,174	$	—	$	—	$	—	$	1,174
Federal funds sold and securities borrowed or purchased under agreements to resell	—		523,687		—		(347,458)		176,229
Trading account assets:
U.S. Treasury and government agencies	61,516		154		—		—		61,670
Corporate securities, trading loans and other	—		47,761		1,800		—		49,561
Equity securities	85,151		35,041		251		—		120,443
Non-U.S. sovereign debt	13,665		40,876		341		—		54,882
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		45,272		4		—		45,276
Mortgage trading loans, ABS and other MBS	—		9,273		1,030		—		10,303
Total trading account assets (2)	160,332		178,377		3,426		—		342,135
Derivative assets	20,477		283,198		3,652		(273,145)		34,182
AFS debt securities:
U.S. Treasury and government agencies	209,247		948		—		—		210,195
Mortgage-backed securities:
Agency	—		34,594		—		—		34,594
Agency-collateralized mortgage obligations	—		16,504		—		—		16,504
Non-agency residential	—		75		221		—		296
Commercial	—		18,793		193		—		18,986
Non-U.S. securities	1,006		21,831		77		—		22,914

Other taxable securities	—		2,609		—		—		2,609
Tax-exempt securities	—		9,621		—		—		9,621
Total AFS debt securities	210,253		104,975		491		—		315,719
Other debt securities carried at fair value:
U.S. Treasury and government agencies	2,384		—		—		—		2,384



Non-agency residential MBS	—		129		137		—		266



Non-U.S. and other securities	793		6,274		—		—		7,067
Total other debt securities carried at fair value	3,177		6,403		137		—		9,717
Loans and leases	—		4,086		86		—		4,172
Loans held-for-sale	—		2,985		156		—		3,141


Other assets (3)	11,617		3,889		1,748		—		17,254

Total assets (4)	$	407,030	$	1,107,600	$	9,696	$	(620,603)	$	903,723

Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	443	$	—	$	—	$	443
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		590,889		—		(347,458)		243,431
Trading account liabilities:
U.S. Treasury and government agencies	14,676		217		—		—		14,893
Equity securities	36,574		6,224		8		—		42,806
Non-U.S. sovereign debt	13,865		12,498		—		—		26,363
Corporate securities and other	—		14,173		71		—		14,244
Mortgage trading loans and ABS	—		10		—		—		10
Total trading account liabilities	65,115		33,122		79		—		98,316
Derivative liabilities	21,189		297,058		5,811		(280,927)		43,131
Short-term borrowings	—		6,478		—		—		6,478
Accrued expenses and other liabilities	12,319		3,707		10		—		16,036
Long-term debt	—		52,975		579		—		53,554
Total liabilities (4)	$	98,623	$	984,672	$	6,479	$	(628,385)	$	461,389

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

(2)Includes securities with a fair value of $18.7 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. Trading account assets also includes certain commodities inventory of $97 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.

(3)Includes MSRs, which are classified as Level 3 assets, of $919 million.

(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.21 percent of total consolidated liabilities.



	December 31, 2023
	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	$	1,181	$	—	$	—	$	—	$	1,181
Federal funds sold and securities borrowed or purchased under agreements to resell	—		436,340		—		(303,287)		133,053
Trading account assets:
U.S. Treasury and government agencies	65,160		1,963		—		—		67,123
Corporate securities, trading loans and other	—		41,462		1,689		—		43,151
Equity securities	47,431		41,380		187		—		88,998
Non-U.S. sovereign debt	5,517		21,195		396		—		27,108
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		38,802		2		—		38,804
Mortgage trading loans, ABS and other MBS	—		10,955		1,215		—		12,170
Total trading account assets (2)	118,108		155,757		3,489		—		277,354
Derivative assets	14,676		272,244		3,422		(251,019)		39,323
AFS debt securities:
U.S. Treasury and government agencies	176,764		902		—		—		177,666
Mortgage-backed securities:
Agency	—		37,812		—		—		37,812
Agency-collateralized mortgage obligations	—		2,544		—		—		2,544
Non-agency residential	—		109		273		—		382
Commercial	—		10,435		—		—		10,435
Non-U.S. securities	1,093		21,679		103		—		22,875

Other taxable securities	—		4,835		—		—		4,835
Tax-exempt securities	—		10,100		—		—		10,100
Total AFS debt securities	177,857		88,416		376		—		266,649
Other debt securities carried at fair value:
U.S. Treasury and government agencies	1,690		—		—		—		1,690


Non-agency residential MBS	—		211		69		—		280



Non-U.S. and other securities	1,786		6,447		—		—		8,233
Total other debt securities carried at fair value	3,476		6,658		69		—		10,203
Loans and leases	—		3,476		93		—		3,569
Loans held-for-sale	—		1,895		164		—		2,059
Other assets (3)	8,052		2,152		1,657		—		11,861

Total assets (4)	$	323,350	$	966,938	$	9,270	$	(554,306)	$	745,252

Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	284	$	—	$	—	$	284
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		481,896		—		(303,287)		178,609
Trading account liabilities:
U.S. Treasury and government agencies	14,908		65		—		—		14,973
Equity securities	51,772		4,710		12		—		56,494
Non-U.S. sovereign debt	9,390		6,997		—		—		16,387
Corporate securities and other	—		7,637		39		—		7,676
Total trading account liabilities	76,070		19,409		51		—		95,530
Derivative liabilities	14,375		280,908		5,916		(257,767)		43,432
Short-term borrowings	—		4,680		10		—		4,690
Accrued expenses and other liabilities	8,969		2,483		21		—		11,473
Long-term debt	—		42,195		614		—		42,809
Total liabilities (4)	$	99,414	$	831,855	$	6,612	$	(561,054)	$	376,827

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

(2)Includes securities with a fair value of $18.0 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. Trading account assets also includes certain commodities inventory of $42 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.

(3)Includes MSRs, which are classified as Level 3 assets, of $970 million.

(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.23 percent of total consolidated liabilities.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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, 2024 and 2023, 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 June 30		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, 2024

Trading account assets:

Corporate securities, trading loans and other	$	1,816	$	80	$	—	$	210	$	(194)	$	21	$	(282)	$	166	$	(17)	$	1,800	$	29
Equity securities	231		2		—		27		(15)		—		—		35		(29)		251		1
Non-U.S. sovereign debt	323		6		5		2		(11)		—		(3)		19		—		341		6
Mortgage trading loans, MBS and ABS	973		(33)		—		87		(68)		—		(13)		128		(40)		1,034		(32)
Total trading account assets	3,343		55		5		326		(288)		21		(298)		348		(86)		3,426		4
Net derivative assets (liabilities) (4)	(2,366)		409		—		264		(413)		—		(148)		(86)		181		(2,159)		562
AFS debt securities:



Non-agency residential MBS	133		(2)		12		—		—		—		(3)		94		(13)		221		(3)
Commercial MBS	170		—		—		25		—		—		(2)		—		—		193		—



Non-U.S. and other taxable securities	78		1		—		—		—		—		(4)		4		(2)		77		—

Total AFS debt securities	381		(1)		12		25		—		—		(9)		98		(15)		491		(3)
Other debt securities carried at fair value – Non-agency residential MBS	53		4		—		—		—		—		—		80		—		137		5
Loans and leases (5,6)	89		2		—		—		—		—		(5)		—		—		86		2

Loans held-for-sale (5)	133		9		—		25		—		—		(11)		—		—		156		5
Other assets (6,7)	1,700		46		5		58		(6)		24		(79)		—		—		1,748		15
Trading account liabilities – Equity securities	(11)		6		—		—		—		—		1		(4)		—		(8)		6
Trading account liabilities – Corporate securities and other	(72)		(10)		—		(1)		(1)		—		14		(1)		—		(71)		(12)
Short-term borrowings (5)	(8)		1		—		—		—		—		7		—		—		—		1
Accrued expenses and other liabilities (5)	(8)		(3)		—		—		—		—		1		—		—		(10)		(3)
Long-term debt (5)	(588)		4		(2)		—		—		—		7		—		—		(579)		4

Three Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell	$	7	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(7)	$	—	$	—
Trading account assets:

Corporate securities, trading loans and other	2,100		53		(1)		112		(17)		—		(149)		137		(79)		2,156		16
Equity securities	159		45		—		4		(3)		—		(47)		51		(31)		178		(3)
Non-U.S. sovereign debt	568		16		(14)		2		(3)		—		(203)		—		—		366		16
Mortgage trading loans, MBS and ABS	1,233		(10)		—		40		(101)		—		(8)		90		(35)		1,209		(12)
Total trading account assets	4,060		104		(15)		158		(124)		—		(407)		278		(145)		3,909		17
Net derivative assets (liabilities) (4)	(4,997)		1,445		(235)		613		(395)		—		(577)		(315)		1		(4,460)		1,369
AFS debt securities:



Non-agency residential MBS	288		(2)		(6)		—		—		—		(2)		—		—		278		(2)



Non-U.S. and other taxable securities	184		4		—		—		—		—		(86)		4		—		106		2
Tax-exempt securities	51		—		—		—		—		—		—		—		—		51		—
Total AFS debt securities	523		2		(6)		—		—		—		(88)		4		—		435		—
Other debt securities carried at fair value – Non-agency residential MBS	88		(3)		—		—		—		—		(1)		—		(14)		70		(3)
Loans and leases (5,6)	147		11		—		—		—		—		(29)		—		(22)		107		11

Loans held-for-sale (5)	188		(2)		(2)		—		(4)		—		(9)		—		—		171		(4)
Other assets (6,7)	1,809		115		(8)		168		(303)		27		(82)		—		—		1,726		83
Trading account liabilities – Equity securities	—		—		—		—		—		—		—		(12)		—		(12)		—
Trading account liabilities – Corporate securities and other	(49)		5		—		(1)		—		—		—		(27)		—		(72)		(1)
Short-term borrowings (5)	(11)		(1)		—		—		—		(6)		7		—		—		(11)		(1)
Accrued expenses and other liabilities (5)	(14)		8		—		—		—		—		—		—		1		(5)		8
Long-term debt (5)	(664)		3		1		—		(4)		—		24		—		—		(640)		3

(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 - market making and similar activities and other income; 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 - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income primarily related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges 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 $20 million and $(245) million related to financial instruments still held at September 30, 2024 and 2023.

(4)Net derivative assets (liabilities) include derivative assets of $3.7 billion and $4.6 billion and derivative liabilities of $5.8 billion and $9.1 billion at September 30, 2024 and 2023.

(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, 2024

Trading account assets:

Corporate securities, trading loans and other	$	1,689	$	104	$	(3)	$	501	$	(322)	$	44	$	(748)	$	681	$	(146)	$	1,800	$	(11)
Equity securities	187		8		—		113		(52)		—		(4)		46		(47)		251		—
Non-U.S. sovereign debt	396		11		(29)		28		(16)		—		(68)		19		—		341		11
Mortgage trading loans, MBS and ABS	1,217		(56)		—		324		(539)		—		(56)		292		(148)		1,034		(76)
Total trading account assets	3,489		67		(32)		966		(929)		44		(876)		1,038		(341)		3,426		(76)
Net derivative assets (liabilities) (4)	(2,494)		915		—		758		(992)		—		(683)		(385)		722		(2,159)		(318)
AFS debt securities:



Non-agency residential MBS	273		7		59		—		—		—		(144)		156		(130)		221		5
Commercial MBS	—		(6)		1		200		—		—		(2)		—		—		193		(6)


Non-U.S. and other taxable securities	103		(6)		—		—		—		—		(18)		5		(7)		77		(2)

Total AFS debt securities	376		(5)		60		200		—		—		(164)		161		(137)		491		(3)
Other debt securities carried at fair value – Non-agency residential MBS	69		7		—		—		—		—		(20)		97		(16)		137		(12)
Loans and leases (5,6)	93		3		—		—		—		1		(11)		—		—		86		3
Loans held-for-sale (5,6)	164		7		(4)		25		—		—		(36)		—		—		156		(1)
Other assets (6,7)	1,657		186		(21)		78		(6)		97		(244)		1		—		1,748		158


Trading account liabilities – Equity securities	(12)		8		—		—		(4)		—		7		(18)		11		(8)		5
Trading account liabilities – Corporate securities and other	(39)		(28)		—		(4)		(14)		(2)		23		(7)		—		(71)		(31)
Short-term borrowings (5)	(10)		1		—		—		—		(9)		18		—		—		—		1
Accrued expenses and other liabilities (5)	(21)		(12)		—		22		—		—		1		—		—		(10)		(9)
Long-term debt (5)	(614)		35		(19)		—		—		—		20		(1)		—		(579)		36

Nine Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	7	$	(7)	$	—	$	—
Trading account assets:

Corporate securities, trading loans and other	2,384		114		1		336		(172)		14		(601)		331		(251)		2,156		38
Equity securities	145		39		—		20		(47)		—		(59)		134		(54)		178		(10)
Non-U.S. sovereign debt	518		54		22		38		(9)		—		(257)		—		—		366		56
Mortgage trading loans, MBS and ABS	1,552		(38)		—		144		(303)		—		(229)		332		(249)		1,209		(50)
Total trading account assets	4,599		169		23		538		(531)		14		(1,146)		797		(554)		3,909		34
Net derivative assets (liabilities) (4)	(2,893)		(116)		(375)		1,142		(994)		—		(1,372)		(154)		302		(4,460)		(1,794)
AFS debt securities:




Non-agency residential MBS	258		1		26		—		—		—		(7)		—		—		278		1


Non-U.S. and other taxable securities	195		8		7		—		—		—		(101)		4		(7)		106		—
Tax-exempt securities	51		—		—		—		—		—		—		—		—		51		—
Total AFS debt securities	504		9		33		—		—		—		(108)		4		(7)		435		1
Other debt securities carried at fair value – Non-agency residential MBS	119		(4)		—		—		(19)		—		(5)		—		(21)		70		(3)
Loans and leases (5,6)	253		—		—		9		(50)		—		(99)		16		(22)		107		(5)
Loans held-for-sale (5,6)	232		20		2		—		(25)		—		(58)		—		—		171		10
Other assets (6,7)	1,799		223		(1)		174		(302)		71		(240)		2		—		1,726		119
Trading account liabilities – Equity securities	—		—		—		—		—		—		—		(12)		—		(12)		—
Trading account liabilities – Corporate securities and other	(58)		1		—		(2)		(2)		(1)		2		(33)		21		(72)		(2)
Short-term borrowings (5)	(14)		2		—		—		(13)		(8)		22		—		—		(11)		—
Accrued expenses and other liabilities (5)	(32)		38		—		(12)		—		—		—		—		1		(5)		21


Long-term debt (5)	(862)		154		(20)		(9)		49		—		41		—		7		(640)		158

(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 - market making and similar activities and other income; 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 - market making and similar activities and other income; Loans held-for-sale - market making and similar activities and other income; Other assets - market making and similar activities and other income primarily related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges 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 losses of $40 million and $332 million related to financial instruments still held at September 30, 2024 and 2023.

(4)Net derivative assets (liabilities) include derivative assets of $3.7 billion and $4.6 billion and derivative liabilities of $5.8 billion and $9.1 billion at September 30, 2024 and 2023.

(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.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation



Level 3 – Fair Value Measurements (1)

	Balance June 30		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, 2024

Trading account assets:

Corporate securities, trading loans and other	$	1,816	$	80	$	—	$	210	$	(194)	$	21	$	(282)	$	166	$	(17)	$	1,800	$	29
Equity securities	231		2		—		27		(15)		—		—		35		(29)		251		1
Non-U.S. sovereign debt	323		6		5		2		(11)		—		(3)		19		—		341		6
Mortgage trading loans, MBS and ABS	973		(33)		—		87		(68)		—		(13)		128		(40)		1,034		(32)
Total trading account assets	3,343		55		5		326		(288)		21		(298)		348		(86)		3,426		4
Net derivative assets (liabilities) (4)	(2,366)		409		—		264		(413)		—		(148)		(86)		181		(2,159)		562
AFS debt securities:



Non-agency residential MBS	133		(2)		12		—		—		—		(3)		94		(13)		221		(3)
Commercial MBS	170		—		—		25		—		—		(2)		—		—		193		—



Non-U.S. and other taxable securities	78		1		—		—		—		—		(4)		4		(2)		77		—

Total AFS debt securities	381		(1)		12		25		—		—		(9)		98		(15)		491		(3)
Other debt securities carried at fair value – Non-agency residential MBS	53		4		—		—		—		—		—		80		—		137		5
Loans and leases (5,6)	89		2		—		—		—		—		(5)		—		—		86		2

Loans held-for-sale (5)	133		9		—		25		—		—		(11)		—		—		156		5
Other assets (6,7)	1,700		46		5		58		(6)		24		(79)		—		—		1,748		15
Trading account liabilities – Equity securities	(11)		6		—		—		—		—		1		(4)		—		(8)		6
Trading account liabilities – Corporate securities and other	(72)		(10)		—		(1)		(1)		—		14		(1)		—		(71)		(12)
Short-term borrowings (5)	(8)		1		—		—		—		—		7		—		—		—		1
Accrued expenses and other liabilities (5)	(8)		(3)		—		—		—		—		1		—		—		(10)		(3)
Long-term debt (5)	(588)		4		(2)		—		—		—		7		—		—		(579)		4

Three Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell	$	7	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(7)	$	—	$	—
Trading account assets:

Corporate securities, trading loans and other	2,100		53		(1)		112		(17)		—		(149)		137		(79)		2,156		16
Equity securities	159		45		—		4		(3)		—		(47)		51		(31)		178		(3)
Non-U.S. sovereign debt	568		16		(14)		2		(3)		—		(203)		—		—		366		16
Mortgage trading loans, MBS and ABS	1,233		(10)		—		40		(101)		—		(8)		90		(35)		1,209		(12)
Total trading account assets	4,060		104		(15)		158		(124)		—		(407)		278		(145)		3,909		17
Net derivative assets (liabilities) (4)	(4,997)		1,445		(235)		613		(395)		—		(577)		(315)		1		(4,460)		1,369
AFS debt securities:



Non-agency residential MBS	288		(2)		(6)		—		—		—		(2)		—		—		278		(2)



Non-U.S. and other taxable securities	184		4		—		—		—		—		(86)		4		—		106		2
Tax-exempt securities	51		—		—		—		—		—		—		—		—		51		—
Total AFS debt securities	523		2		(6)		—		—		—		(88)		4		—		435		—
Other debt securities carried at fair value – Non-agency residential MBS	88		(3)		—		—		—		—		(1)		—		(14)		70		(3)
Loans and leases (5,6)	147		11		—		—		—		—		(29)		—		(22)		107		11

Loans held-for-sale (5)	188		(2)		(2)		—		(4)		—		(9)		—		—		171		(4)
Other assets (6,7)	1,809		115		(8)		168		(303)		27		(82)		—		—		1,726		83
Trading account liabilities – Equity securities	—		—		—		—		—		—		—		(12)		—		(12)		—
Trading account liabilities – Corporate securities and other	(49)		5		—		(1)		—		—		—		(27)		—		(72)		(1)
Short-term borrowings (5)	(11)		(1)		—		—		—		(6)		7		—		—		(11)		(1)
Accrued expenses and other liabilities (5)	(14)		8		—		—		—		—		—		—		1		(5)		8
Long-term debt (5)	(664)		3		1		—		(4)		—		24		—		—		(640)		3

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

(4)Net derivative assets (liabilities) include derivative assets of $3.7 billion and $4.6 billion and derivative liabilities of $5.8 billion and $9.1 billion at September 30, 2024 and 2023.

(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, 2024

Trading account assets:

Corporate securities, trading loans and other	$	1,689	$	104	$	(3)	$	501	$	(322)	$	44	$	(748)	$	681	$	(146)	$	1,800	$	(11)
Equity securities	187		8		—		113		(52)		—		(4)		46		(47)		251		—
Non-U.S. sovereign debt	396		11		(29)		28		(16)		—		(68)		19		—		341		11
Mortgage trading loans, MBS and ABS	1,217		(56)		—		324		(539)		—		(56)		292		(148)		1,034		(76)
Total trading account assets	3,489		67		(32)		966		(929)		44		(876)		1,038		(341)		3,426		(76)
Net derivative assets (liabilities) (4)	(2,494)		915		—		758		(992)		—		(683)		(385)		722		(2,159)		(318)
AFS debt securities:



Non-agency residential MBS	273		7		59		—		—		—		(144)		156		(130)		221		5
Commercial MBS	—		(6)		1		200		—		—		(2)		—		—		193		(6)


Non-U.S. and other taxable securities	103		(6)		—		—		—		—		(18)		5		(7)		77		(2)

Total AFS debt securities	376		(5)		60		200		—		—		(164)		161		(137)		491		(3)
Other debt securities carried at fair value – Non-agency residential MBS	69		7		—		—		—		—		(20)		97		(16)		137		(12)
Loans and leases (5,6)	93		3		—		—		—		1		(11)		—		—		86		3
Loans held-for-sale (5,6)	164		7		(4)		25		—		—		(36)		—		—		156		(1)
Other assets (6,7)	1,657		186		(21)		78		(6)		97		(244)		1		—		1,748		158


Trading account liabilities – Equity securities	(12)		8		—		—		(4)		—		7		(18)		11		(8)		5
Trading account liabilities – Corporate securities and other	(39)		(28)		—		(4)		(14)		(2)		23		(7)		—		(71)		(31)
Short-term borrowings (5)	(10)		1		—		—		—		(9)		18		—		—		—		1
Accrued expenses and other liabilities (5)	(21)		(12)		—		22		—		—		1		—		—		(10)		(9)
Long-term debt (5)	(614)		35		(19)		—		—		—		20		(1)		—		(579)		36

Nine Months Ended September 30, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	7	$	(7)	$	—	$	—
Trading account assets:

Corporate securities, trading loans and other	2,384		114		1		336		(172)		14		(601)		331		(251)		2,156		38
Equity securities	145		39		—		20		(47)		—		(59)		134		(54)		178		(10)
Non-U.S. sovereign debt	518		54		22		38		(9)		—		(257)		—		—		366		56
Mortgage trading loans, MBS and ABS	1,552		(38)		—		144		(303)		—		(229)		332		(249)		1,209		(50)
Total trading account assets	4,599		169		23		538		(531)		14		(1,146)		797		(554)		3,909		34
Net derivative assets (liabilities) (4)	(2,893)		(116)		(375)		1,142		(994)		—		(1,372)		(154)		302		(4,460)		(1,794)
AFS debt securities:




Non-agency residential MBS	258		1		26		—		—		—		(7)		—		—		278		1


Non-U.S. and other taxable securities	195		8		7		—		—		—		(101)		4		(7)		106		—
Tax-exempt securities	51		—		—		—		—		—		—		—		—		51		—
Total AFS debt securities	504		9		33		—		—		—		(108)		4		(7)		435		1
Other debt securities carried at fair value – Non-agency residential MBS	119		(4)		—		—		(19)		—		(5)		—		(21)		70		(3)
Loans and leases (5,6)	253		—		—		9		(50)		—		(99)		16		(22)		107		(5)
Loans held-for-sale (5,6)	232		20		2		—		(25)		—		(58)		—		—		171		10
Other assets (6,7)	1,799		223		(1)		174		(302)		71		(240)		2		—		1,726		119
Trading account liabilities – Equity securities	—		—		—		—		—		—		—		(12)		—		(12)		—
Trading account liabilities – Corporate securities and other	(58)		1		—		(2)		(2)		(1)		2		(33)		21		(72)		(2)
Short-term borrowings (5)	(14)		2		—		—		(13)		(8)		22		—		—		(11)		—
Accrued expenses and other liabilities (5)	(32)		38		—		(12)		—		—		—		—		1		(5)		21


Long-term debt (5)	(862)		154		(20)		(9)		49		—		41		—		7		(640)		158

(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 - market making and similar activities and other income; 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 - market making and similar activities and other income; Loans held-for-sale - market making and similar activities and other income; Other assets - market making and similar activities and other income primarily related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges 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 losses of $40 million and $332 million related to financial instruments still held at September 30, 2024 and 2023.

(4)Net derivative assets (liabilities) include derivative assets of $3.7 billion and $4.6 billion and derivative liabilities of $5.8 billion and $9.1 billion at September 30, 2024 and 2023.

(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.

Fair Value Measurement Inputs and Valuation Techniques

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, 2024 and December 31, 2023.

Quantitative Information about Level 3 Fair Value Measurements at September 30, 2024

(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

594

Discounted cash flow, Market comparables

Yield

0% to 20%

Trading account assets – Mortgage trading loans, MBS and ABS

155

Prepayment speed

0% to 44% CPR

8% CPR

Loans and leases

Default rate

0% to 6% CDR

5% CDR

AFS debt securities – Non-agency residential

221

Price

$0 to $116

$72

Other debt securities carried at fair value – Non-agency residential

137

Loss severity

0% to 75%

Instruments backed by commercial real estate assets

449

Discounted cash
flow

Yield

0% to 25%

Trading account assets – Corporate securities, trading loans and other

205

Price

$0 to $103

$78

Trading account assets – Mortgage trading loans, MBS and ABS

AFS debt securities – Commercial

193

Commercial loans, debt securities and other

3,002

Discounted cash flow, Market comparables

Yield

0% to 29%

Trading account assets – Corporate securities, trading loans and other

1,595

Prepayment speed

10% to 20%

Trading account assets – Non-U.S. sovereign debt

341

Default rate

3% to 4%

Trading account assets – Mortgage trading loans, MBS and ABS

828

Loss severity

35% to 40%

AFS debt securities – Non-U.S. and other taxable securities

Price

$0 to $157

$69

Loans and leases

Loans held-for-sale

156

Other assets, primarily auction rate securities

829

Discounted cash flow, Market comparables

Price

$10 to $95

$85

Discount rate

n/a

MSRs

919

Discounted cash
flow

Weighted-average life, fixed rate (5)

0 to 12 years

6 years

Weighted-average life, variable rate (5)

0 to 11 years

3 years

Option-adjusted spread, fixed rate

7% to 14%

Option-adjusted spread, variable rate

9% to 15%

Structured liabilities

Long-term debt

(579)

Discounted cash flow, Market comparables, Industry standard derivative pricing (3)

Yield

18% to 28%

Price

$33 to $100

$91

Natural gas forward price

$2/MMBtu to $7/MMBtu

$3 /MMBtu

Net derivative assets (liabilities)

Credit derivatives

Discounted cash flow, Stochastic recovery correlation model

Credit spreads

3 to 94 bps

56 bps

Prepayment speed

15% CPR

n/a

Default rate

2% CDR

n/a

Credit correlation

24% to 65%

Price

$0 to $97

$90

Equity derivatives

(1,348)

Industry standard derivative pricing (3)

Equity correlation

0% to 100%

Long-dated equity volatilities

1% to 116%

Commodity derivatives

(694)

Discounted cash flow, Industry standard derivative pricing (3)

Natural gas forward price

$2/MMBtu to $7/MMBtu

$3 /MMBtu

Power forward price

$23 to $96

$44

Interest rate derivatives

(142)

Industry standard derivative pricing (4)

Correlation (IR/IR)

(35)% to 70%

Correlation (FX/IR)

(25)% to 58%

Long-dated inflation rates

(1)% to 12%

Long-dated inflation volatilities

0% to 5%

Interest rate volatilities

0% to 4%

Total net derivative assets (liabilities)

(2,159)

(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 $1.8 billion, Trading account assets – Non-U.S. sovereign debt of $341 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.0 billion, AFS debt securities of $491 million, Other debt securities carried at fair value - Non-agency residential of $137 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $86 million and LHFS of $156 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, 2023

(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

538

Discounted cash
flow, Market comparables

Yield

0% to 22%

Trading account assets – Mortgage trading loans, MBS and ABS

109

Prepayment speed

1% to 42% CPR

10% CPR

Loans and leases

Default rate

0% to 3% CDR

1% CDR

AFS debt securities - Non-agency residential

273

Price

$0 to $115

$70

Other debt securities carried at fair value - Non-agency residential

Loss severity

0% to 100%

Instruments backed by commercial real estate assets

363

Discounted cash
flow

Yield

0% to 25%

Trading account assets – Corporate securities, trading loans and other

301

Price

$0 to $100

$75

Trading account assets – Mortgage trading loans, MBS and ABS

Commercial loans, debt securities and other

3,103

Discounted cash flow, Market comparables

Yield

5% to 59%

Trading account assets – Corporate securities, trading loans and other

1,388

Prepayment speed

10% to 20%

Trading account assets – Non-U.S. sovereign debt

396

Default rate

3% to 4%

Trading account assets – Mortgage trading loans, MBS and ABS

1,046

Loss severity

35% to 40%

AFS debt securities – Non-U.S. and other taxable securities

103

Price

$0 to $157

$70

Loans and leases

Loans held-for-sale

164

Other assets, primarily auction rate securities

687

Discounted cash flow, Market comparables

Price

$10 to $95

$85

Discount rate

10%

n/a

MSRs

970

Discounted cash
flow

Weighted-average life, fixed rate (5)

0 to 14 years

6 years

Weighted-average life, variable rate (5)

0 to 11 years

3 years

Option-adjusted spread, fixed rate

7% to 14%

Option-adjusted spread, variable rate

9% to 15%

Structured liabilities

Long-term debt

(614)

Discounted cash flow, Market comparables, Industry standard derivative pricing (3)

Yield

58%

n/a

Equity correlation

5% to 97%

Price

$0 to $100

$90

Natural gas forward price

$1/MMBtu to $7/MMBtu

$4/MMBtu

Net derivative assets (liabilities)

Credit derivatives

Discounted cash flow, Stochastic recovery correlation model

Credit spreads

2 to 79 bps

59 bps

Prepayment speed

15% CPR

n/a

Default rate

2% CDR

n/a

Credit correlation

22% to 62%

Price

$0 to $94

$87

Equity derivatives

(1,386)

Industry standard derivative pricing (3)

Equity correlation

0% to 99%

Long-dated equity volatilities

4% to 102%

Commodity derivatives

(633)

Discounted cash flow, Industry standard derivative pricing (3)

Natural gas forward price

$1/MMBtu to $7/MMBtu

$4/MMBtu

Power forward price

$21 to $91

$42

Interest rate derivatives

(484)

Industry standard derivative pricing (4)

Correlation (IR/IR)

(35)% to 89%

Correlation (FX/IR)

(25)% to 58%

Long-dated inflation rates

G(1)% to 11%

Long-dated inflation volatilities

0% to 5%

Interest rates volatilities

0% to 2%

Total net derivative assets (liabilities)

(2,494)

(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 $1.7 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $376 million, Other debt securities carried at fair value - Non-agency residential of $69 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $93 million and LHFS of $164 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

Fair Value Measurements, 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, 2024 and 2023.



Assets Measured at Fair Value on a Nonrecurring Basis


	September 30, 2024				Three Months Ended September 30, 2024		Nine Months Ended September 30, 2024
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	795	$	2,685	$	(62)	$	(160)
Loans and leases (1)	—		89		(10)		(26)
Foreclosed properties (2, 3)	—		149		(17)		(15)
Other assets (4)	1		274		—		(40)

	September 30, 2023				Three Months Ended September 30, 2023		Nine Months Ended September 30, 2023

Assets
Loans held-for-sale	$	276	$	3,066	$	(28)	$	(95)
Loans and leases (1)	—		129		(15)		(36)
Foreclosed properties (2, 3)	—		44		1		(2)
Other assets (4)	31		905		(182)		(189)

(1)Includes $3 million and $7 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2024 compared to losses of $4 million and $8 million for the same periods in 2023.

(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 $19 million and $33 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2024 and 2023.

(4)Represents the fair value of certain impaired renewable energy investments.

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the nine months ended September 30, 2024 and the year ended December 31, 2023.

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)

Nine Months Ended September 30, 2024

Loans held-for-sale

2,685

Pricing model

Implied yield

7% to 23%

n/a

Loans and leases (2)

Market comparables

OREO discount

10% to 66%

Costs to sell

8% to 24%

Other assets (3)

274

Discounted cash flow

Discount rate

n/a

Year Ended December 31, 2023

Loans held-for-sale

2,793

Pricing model

Implied yield

7% to 23%

n/a

Loans and leases (2)

153

Market comparables

OREO discount

10% to 66%

Costs to sell

8% to 24%

Other assets (3)

898

Discounted cash flow

Discount rate

n/a

(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)Represents the fair value of certain impaired renewable energy investments.

n/a = not applicable

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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