Fair Value Measurements

12 Months Ended

Dec. 31, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements

Under 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 that require an entity to maximize the use of observable inputs and minimize the use of unobservable inputs. The Corporation categorizes its financial instruments into three levels based on the established fair value hierarchy and conducts a review of 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 financial models measuring the fair values of the assets and liabilities become unobservable or observable, respectively, in the current marketplace, or when previously insignificant unobservable and observable inputs become significant, respectively. For more information regarding the fair value hierarchy and how the Corporation measures fair value, see Note 1 – Summary of Significant Accounting Principles. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 21 – Fair Value Option.

Valuation Techniques

The following sections outline the valuation methodologies for the Corporation’s assets and liabilities. While the Corporation believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date.

During 2024, there were no significant 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.

Trading Account Assets and Liabilities and Debt Securities

The fair values of trading account assets and liabilities are primarily based on actively traded markets where prices are based on either direct market quotes or observed transactions. The fair values of debt securities are generally based on quoted market prices or market prices for similar assets. Liquidity is a significant factor in the determination of the fair values of trading account assets and liabilities and debt securities. Market price quotes may not be readily available for some positions such as positions within a market sector where trading activity has slowed significantly or ceased. Some of these instruments are valued using a discounted cash flow model, which estimates the fair value of the securities using internal credit risk, and interest rate and prepayment risk models that incorporate management’s best estimate of current key assumptions such as default rates, loss severity and prepayment rates. Principal and interest cash flows are discounted using an observable discount rate for similar instruments with adjustments that management believes a market participant would consider in determining fair value for the specific security. Other instruments are valued using a net asset value approach that considers the value of the underlying securities. Underlying assets are valued using external pricing services, where available, or matrix pricing based on the vintages and ratings. Situations of illiquidity generally are triggered by the market’s perception of credit uncertainty regarding a single company or a specific market sector. In these

instances, fair value is determined based on limited available market information and other factors, principally from reviewing the issuer’s financial statements and changes in credit ratings made by one or more rating agencies.

Derivative Assets and Liabilities

The fair values of derivative assets and liabilities traded in the OTC market are determined using quantitative models that utilize multiple market inputs including interest rates, prices and indices to generate continuous yield or pricing curves and volatility factors to value the position. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. When third-party pricing services are used, the methods and assumptions are reviewed by the Corporation. Estimation risk is greater for derivative asset and liability positions that are either option-based or have longer maturity dates where observable market inputs are less readily available, or are unobservable, in which case, quantitative-based extrapolations of rate, price or index scenarios are used in determining fair values. The fair values of derivative assets and liabilities include adjustments for market liquidity, counterparty credit quality and other instrument-specific factors, where appropriate. In addition, the Corporation incorporates within its fair value measurements of OTC derivatives a valuation adjustment to reflect the credit risk associated with the net position. Positions are netted by counterparty, and fair value for net long exposures is adjusted for counterparty credit risk while the fair value for net short exposures is adjusted for the Corporation’s own credit risk. The Corporation also incorporates FVA within its fair value measurements to include funding costs on uncollateralized derivatives and derivatives where the Corporation is not permitted to use the collateral it receives. An estimate of severity of loss is also used in the determination of fair value, primarily based on market data.

Loans and Loan Commitments

The fair values of loans and loan commitments are based on market prices, where available, or discounted cash flow analyses using market-based credit spreads of comparable debt instruments or credit derivatives of the specific borrower or comparable borrowers. Results of discounted cash flow analyses may be adjusted, as appropriate, to reflect other market conditions or the perceived credit risk of the borrower.

Mortgage Servicing Rights

The fair values of MSRs are primarily determined using an option-adjusted spread valuation approach, which factors in prepayment risk to determine the fair value of MSRs. This approach consists of projecting servicing cash flows under multiple interest rate scenarios and discounting these cash flows using risk-adjusted discount rates.

Loans Held-for-sale

The fair values of LHFS are based on quoted market prices, where available, or are determined by discounting estimated cash flows using interest rates approximating the Corporation’s current origination rates for similar loans adjusted to reflect the inherent credit risk. The borrower-specific credit risk is embedded within the market prices, where available, or is implied by considering loan performance when selecting comparables.

Short-term Borrowings and Long-term Debt

The Corporation issues structured liabilities that have coupons or repayment terms linked to the performance of debt or equity securities, interest rates, indices, currencies or commodities. The fair values of these structured liabilities are estimated using quantitative models for the combined derivative and debt portions of the notes. These models incorporate observable and, in some instances, unobservable inputs including security prices, interest rate yield curves, option volatility, currency, commodity or equity rates and correlations among these inputs. The Corporation also considers the impact of its own credit spread in determining the discount rate used to value these liabilities. The credit spread is determined by reference to observable spreads in the secondary bond market.

Securities Financing Agreements

The fair values of certain reverse repurchase agreements, repurchase agreements and securities borrowed transactions are determined using quantitative models, including discounted cash flow models that require the use of multiple market inputs including interest rates and spreads to generate continuous yield or pricing curves, and volatility factors. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services.

Deposits

The fair values of deposits are determined using quantitative models, including discounted cash flow models that require the use of multiple market inputs including interest rates and spreads to generate continuous yield or pricing curves, and volatility factors. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. The Corporation considers the impact of its own credit spread in the valuation of these liabilities. The credit risk is determined by reference to observable credit spreads in the secondary cash market.

Asset-backed Secured Financings

The fair values of asset-backed secured financings are based on external broker bids, where available, or are determined by discounting estimated cash flows using interest rates approximating the Corporation’s current origination rates for similar loans, adjusted to reflect the inherent credit risk.

Recurring Fair Value

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

	December 31, 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	$	1,318	$	—	$	—	$	—	$	1,318
Federal funds sold and securities borrowed or purchased under agreements to resell	—		521,878		—		(377,377)		144,501
Trading account assets:
U.S. Treasury and government agencies	66,582		3,940		—		—		70,522
Corporate securities, trading loans and other	—		43,222		1,814		—		45,036
Equity securities	66,783		36,450		374		—		103,607
Non-U.S. sovereign debt	3,017		36,763		344		—		40,124
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		43,850		5		—		43,855
Mortgage trading loans, ABS and other MBS	—		10,343		973		—		11,316
Total trading account assets (2)	136,382		174,568		3,510		—		314,460
Derivative assets	14,626		289,940		3,562		(267,180)		40,948
AFS debt securities:
U.S. Treasury and government agencies	233,671		908		—		—		234,579
Mortgage-backed securities:
Agency	—		31,202		—		—		31,202
Agency-collateralized mortgage obligations	—		19,318		—		—		19,318
Non-agency residential	—		38		247		—		285
Commercial	—		25,274		328		—		25,602
Non-U.S. securities	75		22,320		36		—		22,431
Other taxable securities	—		4,603		—		—		4,603
Tax-exempt securities	—		8,412		—		—		8,412
Total AFS debt securities	233,746		112,075		611		—		346,432
Other debt securities carried at fair value:
U.S. Treasury and government agencies	3,885		—		—		—		3,885
Non-agency residential MBS	—		101		149		—		250
Non-U.S. and other securities	854		7,186		—		—		8,040
Total other debt securities carried at fair value	4,739		7,287		149		—		12,175
Loans and leases	—		4,167		82		—		4,249
Loans held-for-sale	—		2,082		132		—		2,214
Other assets (3)	8,279		2,928		1,969		—		13,176
Total assets (4)	$	399,090	$	1,114,925	$	10,015	$	(644,557)	$	879,473
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	310	$	—	$	—	$	310
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		570,236		—		(377,377)		192,859
Trading account liabilities:
U.S. Treasury and government agencies	16,408		195		—		—		16,603
Equity securities	40,066		4,843		10		—		44,919
Non-U.S. sovereign debt	2,727		17,279		—		—		20,006
Corporate securities and other	—		10,871		110		—		10,981
Mortgage trading loans and ABS	—		34		—		—		34
Total trading account liabilities	59,201		33,222		120		—		92,543
Derivative liabilities	15,354		284,810		5,523		(266,334)		39,353
Short-term borrowings	—		6,245		—		—		6,245
Accrued expenses and other liabilities	9,113		3,997		89		—		13,199
Long-term debt	—		49,452		553		—		50,005
Total liabilities (4)	$	83,668	$	948,272	$	6,285	$	(643,711)	$	394,514

(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 $18.3 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 $99 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 $972 million.

(4)Total recurring Level 3 assets were 0.31 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.

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 2024, 2023 and 2022, 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 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 December 31		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Year Ended December 31, 2024
Trading account assets:
Corporate securities, trading loans and other	$	1,689	$	87	$	(6)	$	1,128	$	(913)	$	44	$	(1,158)	$	1,125	$	(182)	$	1,814	$	324
Equity securities	187		50		—		255		(65)		—		(62)		62		(53)		374		(12)
Non-U.S. sovereign debt	396		(1)		(57)		82		(16)		—		(79)		19		—		344		—
Mortgage trading loans, MBS and ABS	1,217		(151)		—		420		(617)		—		(63)		369		(197)		978		(172)
Total trading account assets	3,489		(15)		(63)		1,885		(1,611)		44		(1,362)		1,575		(432)		3,510		140
Net derivative assets (liabilities) (4)	(2,494)		1,035		—		1,104		(1,338)		—		(576)		(696)		1,004		(1,961)		(132)
AFS debt securities:
Non-agency residential MBS	273		8		57		—		—		—		(152)		191		(130)		247		6
Commercial MBS	—		(8)		1		338		—		—		(3)		—		—		328		(8)
Non-U.S. and other taxable securities	103		(1)		—		—		—		—		(66)		7		(7)		36		1
Total AFS debt securities	376		(1)		58		338		—		—		(221)		198		(137)		611		(1)
Other debt securities carried at fair value – Non-agency residential MBS	69		5		—		—		—		—		(27)		118		(16)		149		(1)
Loans and leases (5,6)	93		1		—		—		—		1		(13)		—		—		82		—
Loans held-for-sale (5,6)	164		(6)		(7)		25		—		1		(45)		—		—		132		(15)
Other assets (6,7)	1,657		279		(52)		272		(6)		139		(321)		1		—		1,969		47
Trading account liabilities – Equity securities	(12)		9		—		—		(4)		—		7		(21)		11		(10)		6
Trading account liabilities – Corporate securities    and other	(39)		(55)		—		(7)		(15)		(3)		26		(17)		—		(110)		(69)
Short-term borrowings (5)	(10)		1		—		—		—		(9)		18		—		—		—		—
Accrued expenses and other liabilities (5)	(21)		(234)		—		165		—		—		1		—		—		(89)		(224)
Long-term debt (5)	(614)		64		(25)		—		—		—		23		(1)		—		(553)		65
Year Ended December 31, 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		144		2		453		(241)		20		(1,029)		385		(429)		1,689		50
Equity securities	145		44		—		39		(52)		—		(61)		153		(81)		187		(5)
Non-U.S. sovereign debt	518		68		30		64		(23)		—		(259)		—		(2)		396		70
Mortgage trading loans, MBS and ABS	1,552		(50)		—		263		(417)		—		(241)		436		(326)		1,217		(71)
Total trading account assets	4,599		206		32		819		(733)		20		(1,590)		974		(838)		3,489		44
Net derivative assets (liabilities) (4)	(2,893)		179		(375)		1,318		(1,281)		—		(1,575)		(8)		2,141		(2,494)		(857)
AFS debt securities:
Non-agency residential MBS	258		1		23		—		—		—		(9)		—		—		273		2
Non-U.S. and other taxable securities	195		10		7		—		—		—		(106)		4		(7)		103		2
Tax-exempt securities	51		1		—		—		—		—		(52)		—		—		—		—
Total AFS debt securities	504		12		30		—		—		—		(167)		4		(7)		376		4
Other debt securities carried at fair value – Non-agency residential MBS	119		(4)		—		—		(19)		—		(6)		—		(21)		69		(3)
Loans and leases (5,6)	253		(9)		—		9		(54)		—		(100)		16		(22)		93		(13)
Loans held-for-sale (5,6)	232		24		3		—		(25)		—		(70)		—		—		164		13
Other assets (6,7)	1,799		211		10		176		(326)		104		(319)		2		—		1,657		74
Trading account liabilities – Equity securities	—		1		—		—		—		—		2		(15)		—		(12)		1
Trading account liabilities – Corporate securities    and other	(58)		(3)		—		(3)		(1)		(1)		24		(35)		38		(39)		(9)
Short-term borrowings (5)	(14)		1		—		—		(13)		(8)		24		—		—		(10)		(1)
Accrued expenses and other liabilities (5)	(32)		21		—		(11)		—		—		—		—		1		(21)		4
Long-term debt (5)	(862)		179		(26)		(9)		50		—		47		—		7		(614)		183

(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 $104 million and $324 million related to financial instruments still held at December 31, 2024 and 2023.

(4)Net derivative assets (liabilities) include derivative assets of $3.6 billion and $3.4 billion and derivative liabilities of $5.5 billion and $5.9 billion at December 31, 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)
(Dollars in millions)	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 December 31		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
							Purchases		Sales		Issuances		Settlements
Year Ended December 31, 2022
Trading account assets:
Corporate securities, trading loans and other	$	2,110	$	(52)	$	(2)	$	1,069	$	(384)	$	—	$	(606)	$	1,023	$	(774)	$	2,384	$	(78)
Equity securities	190		(3)		—		45		(25)		—		(4)		38		(96)		145		(6)
Non-U.S. sovereign debt	396		59		16		54		(4)		—		(68)		75		(10)		518		56
Mortgage trading loans, MBS and ABS	1,527		(254)		—		729		(665)		—		(112)		536		(209)		1,552		(152)
Total trading account assets	4,223		(250)		14		1,897		(1,078)		—		(790)		1,672		(1,089)		4,599		(180)
Net derivative assets (liabilities) (4)	(2,662)		551		—		319		(830)		—		294		(180)		(385)		(2,893)		259
AFS debt securities:
Non-agency residential MBS	316		—		(35)		—		(8)		—		(75)		73		(13)		258		—
Non-U.S. and other taxable securities	71		10		(10)		126		—		—		(22)		311		(291)		195		1
Tax-exempt securities	52		—		1		—		—		—		(3)		1		—		51		—
Total AFS debt securities	439		10		(44)		126		(8)		—		(100)		385		(304)		504		1
Other debt securities carried at fair value - Non-agency residential MBS	242		(19)		—		—		—		—		(111)		30		(23)		119		14
Loans and leases (5,6)	748		(45)		—		—		(154)		82		(129)		—		(249)		253		(21)
Loans held-for-sale (5,6)	317		9		4		171		(6)		—		(271)		8		—		232		19
Other assets (6,7)	1,572		305		(21)		39		(35)		208		(271)		5		(3)		1,799		213
Trading account liabilities – Corporate securities and other	(11)		5		—		(4)		—		—		(2)		(46)		—		(58)		1
Short-term borrowings (5)	—		3		—		—		(17)		—		—		(3)		3		(14)		2
Accrued expenses and other liabilities (6)	—		(23)		—		(9)		—		—		—		—		—		(32)		(7)
Long-term debt (5)	(1,075)		(197)		82		—		14		(1)		57		(24)		282		(862)		(200)

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

(3)Includes unrealized 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 of $28 million related to financial instruments still held at December 31, 2022.

(4)Net derivative assets (liabilities) include derivative assets of $3.2 billion and derivative liabilities of $6.1 billion.

(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 December 31, 2024 and 2023.

Quantitative Information about Level 3 Fair Value Measurements at December 31, 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	$	636	Discounted cash flow, Market comparables	Yield	0% to 20%	9	%
Trading account assets – Mortgage trading loans, MBS and ABS	163			Prepayment speed	0% to 43% CPR	8% CPR
Loans and leases	77			Default rate	0% to 6% CDR	6% CDR
AFS debt securities – Non-agency residential	247			Price	$0 to $115	$74
Other debt securities carried at fair value – Non-agency residential	149			Loss severity	0% to 76%	24	%
Instruments backed by commercial real estate assets	$	555	Discounted cash flow	Yield	1%	n/a
Trading account assets – Corporate securities, trading loans and other	185			Price	$0 to $103	$84
Trading account assets – Mortgage trading loans, MBS and ABS	42
AFS debt securities – Commercial	328
Commercial loans, debt securities and other	$	2,919	Discounted cash flow, Market comparables	Yield	4% to 37%	17	%
Trading account assets – Corporate securities, trading loans and other	1,629			Prepayment speed	20%	n/a
Trading account assets – Non-U.S. sovereign debt	344			Default rate	2%	n/a
Trading account assets – Mortgage trading loans, MBS and ABS	773			Loss severity	30%	n/a
AFS debt securities – Non-U.S. and other taxable securities	36			Price	$0 to $135	$69
Loans and leases	5
Loans held-for-sale	132
Other assets, primarily auction rate securities	$	997	Discounted cash flow, Market comparables	Price	$10 to $95	$86
				Discount rate	8% to 11%	9	%
MSRs	$	972	Discounted cash flow	Weighted-average life, fixed rate (5)	0 to 13 years	6 years
				Weighted-average life, variable rate (5)	0 to 12 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	$	(553)	Discounted cash flow, Market comparables	Yield	18% to 22%	21	%
				Price	$32 to $100	$91
				Natural gas forward price	$2/MMBtu to $7/MMBtu	$4 /MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	(6)	Discounted cash flow, Stochastic recovery correlation model	Credit spreads	3 to 298 bps	63 bps
				Prepayment speed	15% CPR	n/a
				Default rate	2% CDR	n/a
				Credit correlation	29% to 63%	49	%
				Price	$0 to $99	$94
Equity derivatives	$	(869)	Industry standard derivative pricing (3)	Equity correlation	0% to 100%	59	%
				Long-dated equity volatilities	1% to 87%	33	%
Commodity derivatives	$	(740)	Discounted cash flow	Natural gas forward price	$2/MMBtu to $7/MMBtu	$4/MMBtu
				Power forward price	$22 to $104	$48
Interest rate derivatives	$	(346)	Industry standard derivative pricing (4)	Correlation (IR/IR)	(35)% to 70%	50	%
				Correlation (FX/IR)	(25)% to 58%	27	%
				Long-dated inflation rates	(1)% to 21%	3	%
				Long-dated inflation volatilities	0% to 5%	3	%
				Interest rate volatilities	(1)% to 1%	0	%
Total net derivative assets (liabilities)	$	(1,961)

(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 153: Trading account assets – Corporate securities, trading loans and other of $1.8 billion, Trading account assets – Non-U.S. sovereign debt of $344 million, Trading account assets – Mortgage trading loans, MBS and ABS of $978 million, AFS debt securities of $611 million, Other debt securities carried at fair value - Non-agency residential of $149 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $82 million and LHFS of $132 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%	9	%
Trading account assets – Mortgage trading loans, MBS and ABS	109			Prepayment speed	1% to 42% CPR	10% CPR
Loans and leases	87			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	69			Loss severity	0% to 100%	27	%
Instruments backed by commercial real estate assets	$	363	Discounted cash flow	Yield	0% to 25%	12	%
Trading account assets – Corporate securities, trading loans and other	301			Price	$0 to $100	$75
Trading account assets – Mortgage trading loans, MBS and ABS	62
Commercial loans, debt securities and other	$	3,103	Discounted cash flow, Market comparables	Yield	5% to 59%	13	%
Trading account assets – Corporate securities, trading loans and other	1,388			Prepayment speed	10% to 20%	16	%
Trading account assets – Non-U.S. sovereign debt	396			Default rate	3% to 4%	4	%
Trading account assets – Mortgage trading loans, MBS and ABS	1,046			Loss severity	35% to 40%	37	%
AFS debt securities – Non-U.S. and other taxable securities	103			Price	$0 to $157	$70
Loans and leases	6
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%	9	%
				Option-adjusted spread, variable rate	9% to 15%	12	%
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%	25	%
				Price	$0 to $100	$90
				Natural gas forward price	$1/MMBtu to $7/MMBtu	$4/MMBtu
Net derivative assets (liabilities)
Credit derivatives	$	9	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%	58	%
				Price	$0 to $94	$87
Equity derivatives	$	(1,386)	Industry standard derivative pricing (3)	Equity correlation	0% to 99%	67	%
				Long-dated equity volatilities	4% to 102%	34	%
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%	65	%
				Correlation (FX/IR)	(25)% to 58%	35	%
				Long-dated inflation rates	G(1)% to 11%	0	%
				Long-dated inflation volatilities	0% to 5%	2	%
				Interest rates volatilities	0% to 2%	1	%
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 154: 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

In the previous tables, instruments backed by residential and commercial real estate assets include RMBS, commercial MBS, whole loans and mortgage CDOs. Commercial loans, debt securities and other include corporate CLOs and CDOs, commercial loans and bonds, and securities backed by non-real estate assets. Structured liabilities primarily include equity-linked notes that are accounted for under the fair value option.

The Corporation uses multiple market approaches in valuing certain of its Level 3 financial instruments. For example, market comparables and discounted cash flows are used together. For a given product, such as corporate debt securities, market comparables may be used to estimate some of the unobservable inputs, and then these inputs are incorporated into a discounted cash flow model. Therefore, the balances disclosed encompass both of these techniques.

The levels of aggregation and diversity within the products disclosed in the tables result in certain ranges of inputs being wide and unevenly distributed across asset and liability categories.

Uncertainty of Fair Value Measurements from Unobservable Inputs

Loans and Securities

A significant increase in market yields, default rates, loss severities or duration would have resulted in a significantly lower fair value for long positions. Short positions would have been impacted in a directionally opposite way. The impact of changes in prepayment speeds would have resulted in differing impacts depending on the seniority of the instrument and, in the case of CLOs, whether prepayments can be reinvested. A significant increase in price would have resulted in a significantly higher fair value for long positions, and short positions would have been impacted in a directionally opposite way.

Structured Liabilities and Derivatives

For credit derivatives, a significant increase in market yield, upfront points (i.e., a single upfront payment made by a

protection buyer at inception), credit spreads, default rates or loss severities would have resulted in a significantly lower fair value for protection sellers and higher fair value for protection buyers. The impact of changes in prepayment speeds would have resulted in differing impacts depending on the seniority of the instrument.

Structured credit derivatives are impacted by credit correlation. Default correlation is a parameter that describes the degree of dependence among credit default rates within a credit portfolio that underlies a credit derivative instrument. The sensitivity of this input on the fair value varies depending on the level of subordination of the tranche. For senior tranches that are net purchases of protection, a significant increase in default correlation would have resulted in a significantly higher fair value. Net short protection positions would have been impacted in a directionally opposite way.

For equity derivatives, commodity derivatives, interest rate derivatives and structured liabilities, a significant change in long-dated rates and volatilities and correlation inputs (i.e., the degree of correlation between an equity security and an index, between two different commodities, between two different interest rates, or between interest rates and foreign exchange rates) would have resulted in a significant impact to the fair value; however, the magnitude and direction of the impact depend on whether the Corporation is long or short the exposure. For structured liabilities, a significant increase in yield or decrease in price would have resulted in a significantly lower fair value.

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 2024, 2023, and 2022.

Assets Measured at Fair Value on a Nonrecurring Basis
	December 31, 2024				December 31, 2023
(Dollars in millions)	Level 2		Level 3		Level 2		Level 3
Assets
Loans held-for-sale	$	63	$	2,652	$	77	$	2,793
Loans and leases (1)	—		119		—		153
Foreclosed properties (2, 3)	—		93		—		48
Other assets (4)	2		236		31		898
			Gains (Losses)
			2024		2023		2022
Assets
Loans held-for-sale			$	(211)	$	(246)	$	(387)
Loans and leases (1)			(29)		(45)		(48)
Foreclosed properties			(44)		(6)		(6)
Other assets			(27)		(252)		(91)

(1)Includes $8 million, $10 million and $15 million of losses on loans that were written down to a collateral value of zero during 2024, 2023 and 2022, respectively.

(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 $16 million and $31 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2024 and 2023.

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

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements at December 31, 2024 and 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)	Year Ended December 31, 2024
Loans held-for-sale	$	2,652	Pricing model	Implied yield	9% to 28%		n/a
Loans and leases (2)	119		Market comparables	OREO discount	10% to 66%		26	%
				Costs to sell	8% to 24%		9	%
Other assets (3)	236		Discounted cash flow	Discount rate	7	%	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%		26	%
				Costs to sell	8% to 24%		9	%
Other assets (3)	898		Discounted cash flow	Discount rate	7	%	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