Annual report [Section 13 and 15(d), not S-K Item 405]

Fair Value Measurements (Tables)

v3.25.4
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2025
Fair Value Disclosures [Abstract]  
Assets and Liabilities Carried at Fair Value on a Recurring Basis
Assets and liabilities carried at fair value on a recurring basis at December 31, 2025 and 2024, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
December 31, 2025
  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
 $ 1,242  $ —  $ —  $ —  $ 1,242 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  672,313  —  (486,822) 185,491 
Trading account assets:          
U.S. Treasury and government agencies 83,234  3,036  —  —  86,270 
Corporate securities, trading loans and other —  59,456  1,922  —  61,378 
Equity securities 77,225  39,110  322  —  116,657 
Non-U.S. sovereign debt 5,745  41,014  240  —  46,999 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  44,691  9  —  44,700 
Mortgage trading loans, ABS and other MBS —  10,024  926  —  10,950 
Total trading account assets (2)
166,204  197,331  3,419  —  366,954 
Derivative assets 18,469  269,936  3,802  (251,326) 40,881 
AFS debt securities:          
U.S. Treasury and government agencies 249,025  809  —  —  249,834 
Mortgage-backed securities:          
Agency —  33,141  —  —  33,141 
Agency-collateralized mortgage obligations —  19,199  —  —  19,199 
Non-agency residential —  263  9  —  272 
Commercial —  38,472  22  —  38,494 
Non-U.S. securities 235  31,488  44  —  31,767 
Other taxable securities —  6,026  278  —  6,304 
Tax-exempt securities —  7,787  —  —  7,787 
Total AFS debt securities 249,260  137,185  353  —  386,798 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 3,285  —  —  —  3,285 
Non-agency residential MBS —  123  125  —  248 
Non-U.S. and other securities
 664  11,980  —  —  12,644 
Total other debt securities carried at fair value 3,949  12,103  125  —  16,177 
Loans and leases —  3,422  76  —  3,498 
Loans held-for-sale —  2,216  55  —  2,271 
Other assets (3)
3,742  3,198  2,118  —  9,058 
Total assets (4)
$ 442,866  $ 1,297,704  $ 9,948  $ (738,148) $ 1,012,370 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 1,223  $ —  $ —  $ 1,223 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  709,889  —  (486,822) 223,067 
Trading account liabilities:        
U.S. Treasury and government agencies 8,174  5  —  —  8,179 
Equity securities 58,980  6,063  14  —  65,057 
Non-U.S. sovereign debt 4,771  15,644  —  —  20,415 
Corporate securities and other —  12,214  119  —  12,333 
Mortgage trading loans and ABS —  12  —  —  12 
Total trading account liabilities 71,925  33,938  133  —  105,996 
Derivative liabilities 18,470  274,002  5,115  (255,511) 42,076 
Short-term borrowings —  8,011  40  —  8,051 
Accrued expenses and other liabilities 4,656  4,312  28  —  8,996 
Long-term debt —  72,110  481  —  72,591 
Total liabilities (4)
$ 95,051  $ 1,103,485  $ 5,797  $ (742,333) $ 462,000 
(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 $13.2 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 $27 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 $946 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.19 percent of total consolidated liabilities.
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.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
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, 2025
Trading account assets:              
Corporate securities, trading loans and other
$ 1,814  $ 185  $ 3  $ 1,849  $ (1,093) $ 40  $ (1,114) $ 690  $ (452) $ 1,922  $ (88)
Equity securities
 374  4  —  187  (57) —  (105) 156  (237) 322  (13)
Non-U.S. sovereign debt
 344  87  23  36  —  —  (226) —  (24) 240  62 
Mortgage trading loans, MBS and ABS 978  (128) —  283  (283) —  (189) 435  (161) 935  (126)
Total trading account assets 3,510  148  26  2,355  (1,433) 40  (1,634) 1,281  (874) 3,419  (165)
Net derivative assets (liabilities) (4)
(1,961) 632  —  1,315  (1,859) —  191  (422) 791  (1,313) (130)
AFS debt securities:                    
Non-agency residential MBS 247  1  —  —  —  —  —  6  (245) 9  1 
Commercial MBS
 328  (2) 4  258  —  —  (114) —  (452) 22  (3)
Non-U.S. and other taxable securities 36  (1) (3) 677  (1) —  (3) 125  (508) 322  (1)
Total AFS debt securities 611  (2) 1  935  (1) —  (117) 131  (1,205) 353  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 149  6  —  —  —  —  2  85  (117) 125  (39)
Loans and leases (5,6)
82  2  —  2  —  24  (78) 44  —  76  2 
Loans held-for-sale (5,6)
132  29  3  1  (14) —  (70) —  (26) 55  (13)
Other assets (6,7)
1,969  (163) 28  505  —  154  (375) —  —  2,118  (207)
Trading account liabilities – Equity securities
 (10) (1) —  4  (3) —  —  (7) 3  (14) (1)
Trading account liabilities – Corporate securities
   and other
 (110) 4  —  —  (15) (2) 21  (18) 1  (119) 11 
Short-term borrowings (5)
—  —  —  —  —  (42) 2  —  —  (40) — 
Accrued expenses and other liabilities (5)
(89) (106) —  172  —  —  (1) (4) —  (28) (53)
Long-term debt (5)
(553) (11) (5) —  —  —  133  (45) —  (481) (6)
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 
(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 - market making and similar activities and other income; Other assets - market making and similar activities and other income; 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 $50 million and $(104) million related to financial instruments still held at December 31, 2025 and 2024.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $3.6 billion and derivative liabilities of $5.1 billion and $5.5 billion at December 31, 2025 and 2024.
(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, 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 (6)
(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 - 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 losses of $324 million related to financial instruments still held at December 31, 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.4 billion and derivative liabilities of $5.9 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.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
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, 2025
Trading account assets:              
Corporate securities, trading loans and other
$ 1,814  $ 185  $ 3  $ 1,849  $ (1,093) $ 40  $ (1,114) $ 690  $ (452) $ 1,922  $ (88)
Equity securities
 374  4  —  187  (57) —  (105) 156  (237) 322  (13)
Non-U.S. sovereign debt
 344  87  23  36  —  —  (226) —  (24) 240  62 
Mortgage trading loans, MBS and ABS 978  (128) —  283  (283) —  (189) 435  (161) 935  (126)
Total trading account assets 3,510  148  26  2,355  (1,433) 40  (1,634) 1,281  (874) 3,419  (165)
Net derivative assets (liabilities) (4)
(1,961) 632  —  1,315  (1,859) —  191  (422) 791  (1,313) (130)
AFS debt securities:                    
Non-agency residential MBS 247  1  —  —  —  —  —  6  (245) 9  1 
Commercial MBS
 328  (2) 4  258  —  —  (114) —  (452) 22  (3)
Non-U.S. and other taxable securities 36  (1) (3) 677  (1) —  (3) 125  (508) 322  (1)
Total AFS debt securities 611  (2) 1  935  (1) —  (117) 131  (1,205) 353  (3)
Other debt securities carried at fair value – Non-agency residential MBS
 149  6  —  —  —  —  2  85  (117) 125  (39)
Loans and leases (5,6)
82  2  —  2  —  24  (78) 44  —  76  2 
Loans held-for-sale (5,6)
132  29  3  1  (14) —  (70) —  (26) 55  (13)
Other assets (6,7)
1,969  (163) 28  505  —  154  (375) —  —  2,118  (207)
Trading account liabilities – Equity securities
 (10) (1) —  4  (3) —  —  (7) 3  (14) (1)
Trading account liabilities – Corporate securities
   and other
 (110) 4  —  —  (15) (2) 21  (18) 1  (119) 11 
Short-term borrowings (5)
—  —  —  —  —  (42) 2  —  —  (40) — 
Accrued expenses and other liabilities (5)
(89) (106) —  172  —  —  (1) (4) —  (28) (53)
Long-term debt (5)
(553) (11) (5) —  —  —  133  (45) —  (481) (6)
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 
(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 - market making and similar activities and other income; Other assets - market making and similar activities and other income; 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 $50 million and $(104) million related to financial instruments still held at December 31, 2025 and 2024.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $3.6 billion and derivative liabilities of $5.1 billion and $5.5 billion at December 31, 2025 and 2024.
(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, 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 (6)
(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 - 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 losses of $324 million related to financial instruments still held at December 31, 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.4 billion and derivative liabilities of $5.9 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.
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 December 31, 2025 and 2024.
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2025
(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 $ 327  Discounted cash flow, Market comparables Yield
0% to 15%
 8 %
Trading account assets – Mortgage trading loans, MBS and ABS 120  Prepayment speed
0% to 40% CPR
7% CPR
Loans and leases 73  Default rate
0% to 7% CDR
7% CDR
AFS debt securities – Non-agency residential
 9  Price
$0 to $115
 $53
Other debt securities carried at fair value – Non-agency residential
 125  Loss severity
0% to 81%
 27 %
Instruments backed by commercial real estate assets $ 373 
Discounted cash
flow, Asset-based approach
 Yield
0% to 5%
 2 %
Trading account assets – Corporate securities, trading loans and other 304  Price
$0 to $100
 $42
Trading account assets – Mortgage trading loans, MBS and ABS 47 
AFS debt securities – Commercial 22 
Commercial loans, debt securities and other $ 3,006  Discounted cash flow, Market comparables Yield
4% to 24%
 13 %
Trading account assets – Corporate securities, trading loans and other
 1,618  Prepayment speed
20%
 n/a
Trading account assets – Non-U.S. sovereign debt 240  Default rate
2%
 n/a
Trading account assets – Mortgage trading loans, MBS and ABS 768  Loss severity
30%
 n/a
AFS debt securities – Non-U.S. and other taxable securities 322  Price
$0 to $137
 $67
Loans and leases 3 
Loans held-for-sale 55 
Other assets, primarily MSRs and tax-related equity investments
 $ 2,118  Discounted cash flow, Market comparables Price
$10 to $95
 $84

Yield
8% to 11%
 9 %
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 11 years
4 years
Option-adjusted spread, fixed rate
7% to 14%
 9 %
Option-adjusted spread, variable rate
9% to 15%
 12 %
Structured liabilities
Long-term debt $ (481) Discounted cash flow, Market comparables Yield
15% to 22%
 20 %
Price
$29 to $101
 $93
Natural gas forward price
$2/MMBtu to $6/MMBtu
$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (3)
Market comparables, Discounted cash flow, Stochastic recovery correlation model
 Credit spreads
5 to 245 bps
36 bps
Default rate
 2% CDR
n/a
Credit correlation
40% to 74%
 67 %
Price
$0 to $111
 $106
Equity derivatives $ (1,018)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 68%
Long-dated equity volatilities
0% to 104%
 37%
Commodity derivatives $ (664)
Discounted cash
flow
 Natural gas forward price
$2/MMBtu to $6/MMBtu
$3/MMBtu
Commodities volatilities
49% to 53%
 51 %
Power forward price
$29 to $134
 $56 
Interest rate derivatives $ 372 
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 70%
 45 %
Correlation (FX/IR)
(5)% to 58%
 26 %
Long-dated inflation rates
 (1)% to 20%
2 %
Long-dated inflation volatilities
5%
 n/a
Interest rate volatilities
(1)% to 1%
 0 %
Total net derivative assets (liabilities) $ (1,313)
(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 155: Trading account assets – Corporate securities, trading loans and other of $1.9 billion, Trading account assets – Non-U.S. sovereign debt of $240 million, Trading account assets – Mortgage trading loans, MBS and ABS of $935 million, AFS debt securities of $353 million, Other debt securities carried at fair value - Non-agency residential of $125 million, Other assets of $2.1 billion, Loans and leases of $76 million and LHFS of $55 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, 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 MSRs and tax-related equity investments
 $ 1,969  Discounted cash flow, Market comparables
Price
$10 to $95
 $86

Yield
8% to 11%
 9  %
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
G(1)% to 21%
3 %
Long-dated inflation volatilities
0% to 5%
 3 %
Interest rates 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 156: 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 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
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 2025, 2024 and 2023.
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2025 December 31, 2024
(Dollars in millions)
 		 Level 2 Level 3 Level 2 Level 3
Assets      
Loans held-for-sale (1)
$ 171  $ 63  $ 63  $ 2,652 
Loans and leases (2)
—  112  —  119 
Foreclosed properties (3, 4)
—  58  —  93 
Gains (Losses)
2025 2024 2023
Assets      
Loans held-for-sale $ 32  $ (211) $ (246)
Loans and leases (2)
(32) (29) (45)
Foreclosed properties 4  (44) (6)
(1)The Level 3 balance at December 31, 2024 includes certain leveraged finance positions that were written down to fair value during 2024 and subsequently written up and sold during 2025.
(2)Includes $7 million, $8 million, and $10 million of losses on loans that were written down to a collateral value of zero during 2025, 2024 and 2023, respectively.
(3)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.
(4)Excludes $17 million and $16 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2025 and 2024.
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 at December 31, 2025 and 2024.
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, 2025
Loans and leases (2)
$ 112  Market comparables OREO discount
14% to 65%
 27 %
Costs to sell
8% to 10%
 9  %
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  %
(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.