Quarterly report [Sections 13 or 15(d)]

Fair Value Measurements

v3.26.1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
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 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 the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current marketplace. During the six months ended June 30, 2026, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact on the Corporation’s consolidated financial position or results of operations.
For more information regarding the fair value hierarchy, how the Corporation measures fair value and valuation techniques, see Note 1 – Summary of Significant Accounting Principles and Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2025 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 15 – Fair Value Option.

Recurring Fair Value
Assets and liabilities carried at fair value on a recurring basis at June 30, 2026 and December 31, 2025, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
June 30, 2026
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
 $ 1,230  $ —  $ —  $ —  $ 1,230 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  651,425  —  (434,219) 217,206 
Trading account assets:
U.S. Treasury and government agencies 55,963  2,188  —  —  58,151 
Corporate securities, trading loans and other —  59,109  2,341  —  61,450 
Equity securities 101,391  18,965  317  —  120,673 
Non-U.S. sovereign debt 17,299  45,549  236  —  63,084 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed —  45,647  7  —  45,654 
Mortgage trading loans, ABS and other MBS —  8,528  1,208  —  9,736 
Total trading account assets (2)
174,653  179,986  4,109  —  358,748 
Derivative assets 22,226  323,161  4,631  (304,682) 45,336 
AFS debt securities:
U.S. Treasury and government agencies 193,653  750  —  —  194,403 
Mortgage-backed securities:
Agency —  40,841  —  —  40,841 
Agency-collateralized mortgage obligations —  17,148  —  —  17,148 
Non-agency residential —  48  4  —  52 
Commercial —  44,018  39  —  44,057 
Non-U.S. securities 3,767  33,885  15  —  37,667 
Other taxable securities —  7,347  —  —  7,347 
Tax-exempt securities —  7,025  —  —  7,025 
Total AFS debt securities 197,420  151,062  58  —  348,540 
Other debt securities carried at fair value:
U.S. Treasury and government agencies 3,753  —  —  —  3,753 
Agency MBS —  5  —  —  5 
Non-agency residential MBS —  117  43  —  160 
Non-U.S. and other securities
 1,393  9,568  —  —  10,961 
Total other debt securities carried at fair value 5,146  9,690  43  —  14,879 
Loans and leases —  3,293  66  —  3,359 
Loans held-for-sale —  3,805  37  —  3,842 
Other assets (3)
1,640  3,604  2,067  —  7,311 
Total assets (4)
$ 402,315  $ 1,326,026  $ 11,011  $ (738,901) $ 1,000,451 
Liabilities
Interest-bearing deposits in U.S. offices $ —  $ 1,828  $ —  $ —  $ 1,828 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  657,917  —  (434,219) 223,698 
Trading account liabilities:
U.S. Treasury and government agencies 17,780  399  —  —  18,179 
Equity securities 64,041  369  19  —  64,429 
Non-U.S. sovereign debt 15,301  11,135  —  —  26,436 
Corporate securities and other —  14,006  106  —  14,112 
Mortgage trading loans and ABS —  6  —  —  6 
Total trading account liabilities 97,122  25,915  125  —  123,162 
Derivative liabilities 23,559  326,207  6,392  (313,581) 42,577 
Short-term borrowings —  11,428  3  —  11,431 
Accrued expenses and other liabilities 1,781  2,974  75  —  4,830 
Long-term debt —  84,205  592  —  84,797 
Total liabilities (4)
$ 122,462  $ 1,110,474  $ 7,187  $ (747,800) $ 492,323 
(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 $11.4 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 $1.1 billion 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 0.31 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.22 percent of total consolidated liabilities.
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.
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 six months ended June 30, 2026 and 2025, 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 April 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 June 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 June 30, 2026
Trading account assets:
Corporate securities, trading loans and other $ 2,069  $ 38  $ —  $ 904  $ (475) $ 4  $ (344) $ 223  $ (78) $ 2,341  $ 14 
Equity securities 286  12  —  45  (6) —  (17) 2  (5) 317  (5)
Non-U.S. sovereign debt 246  10  —  1  (4) —  (17) —  —  236  10 
Mortgage trading loans, MBS and ABS 1,018  5  —  106  (84) —  (9) 246  (67) 1,215  7 
Total trading account assets 3,619  65  —  1,056  (569) 4  (387) 471  (150) 4,109  26 
Net derivative assets (liabilities) (4)
(584) (1,885) —  691  (839) —  433  118  305  (1,761) (1,395)
AFS debt securities:
Non-agency residential MBS —  —  —  —  —  —  —  4  —  4  — 
Commercial MBS 41  —  —  —  —  —  (2) —  —  39  — 
Non-U.S. and other taxable securities 46  1  —  6  —  —  (10) —  (28) 15  — 
Total AFS debt securities 87  1  —  6  —  —  (12) 4  (28) 58  — 
Other debt securities carried at fair value – Non-agency residential MBS —  1  —  —  —  —  —  42  —  43  (2)
Loans and leases (5)
70  1  —  —  —  —  (2) —  (3) 66  1 
Loans held-for-sale (5)
54  (2) —  —  —  —  (15) —  —  37  (3)
Other assets (6,7)
2,064  (3) (4) 84  —  46  (120) —  —  2,067  (18)
Trading account liabilities – Equity securities (18) (5) —  4  —  —  —  —  —  (19) (5)
Trading account liabilities – Corporate securities
   and other
 (92) 2  —  (13) 3  (1) 3  (11) 3  (106) 2 
Short-term borrowings (5)
(10) 7  —  —  —  —  —  —  —  (3) 1 
Accrued expenses and other liabilities (5)
(52) (60) —  —  —  —  37  —  —  (75) (60)
Long-term debt (5)
(571) (21) (8) —  —  (13) 21  —  —  (592) (21)
Three Months Ended June 30, 2025
Trading account assets:
Corporate securities, trading loans and other $ 1,913  $ 67  $ 1  $ 503  $ (325) $ 15  $ (232) $ 273  $ (63) $ 2,152  $ 29 
Equity securities 335  39  —  29  (15) —  —  62  (48) 402  39 
Non-U.S. sovereign debt 242  17  8  9  —  —  (10) —  (13) 253  16 
Mortgage trading loans, MBS and ABS 987  (22) —  50  (76) —  (75) 112  (60) 916  (16)
Total trading account assets 3,477  101  9  591  (416) 15  (317) 447  (184) 3,723  68 
Net derivative assets (liabilities) (4)
(1,530) 134  —  506  (547) —  67  (18) 201  (1,187) 64 
AFS debt securities:
Non-agency residential MBS 7  1  —  —  —  —  —  —  (5) 3  1 
Commercial MBS 464  —  1  12  —  —  (5) —  —  472  — 
Non-U.S. and other taxable securities 539  —  (2) —  (1) —  —  —  (142) 394  — 
Total AFS debt securities 1,010  1  (1) 12  (1) —  (5) —  (147) 869  1 
Other debt securities carried at fair value – Non-agency residential MBS 51  11  —  —  —  —  (1) —  (18) 43  11 
Loans and leases (5)
125  —  —  —  —  —  (25) —  —  100  — 
Loans held-for-sale (5)
123  14  1  —  —  —  (41) —  —  97  8 
Other assets (6,7)
1,959  (43) 21  59  —  36  (90) —  —  1,942  32 
Trading account liabilities – Equity securities (5) (2) —  —  —  —  —  —  —  (7) (2)
Trading account liabilities – Corporate securities
   and other
 (148) 51  —  8  (11) —  11  (1) —  (90) 39 
Accrued expenses and other liabilities (5)
(94) (55) —  144  —  —  (1) —  —  (6) (55)
Long-term debt (5)
(443) (33) 2  —  —  —  3  —  —  (471) (33)
(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; 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 $(12) million and $33 million related to financial instruments still held at June 30, 2026 and 2025.
(4)Net derivative assets (liabilities) include derivative assets of $4.6 billion and $4.2 billion and derivative liabilities of $6.4 billion and $5.4 billion at June 30, 2026 and 2025.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent 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
June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

 Purchases Sales Issuances Settlements
Six Months Ended June 30, 2026
Trading account assets:
Corporate securities, trading loans and other
$ 1,922  $ 153  $ 4  $ 1,513  $ (888) $ 33  $ (586) $ 490  $ (300) $ 2,341  $ 97 
Equity securities
 322  —  —  77  (46) —  (17) 14  (33) 317  (16)
Non-U.S. sovereign debt
 240  7  7  8  (7) —  (32) 13  —  236  6 
Mortgage trading loans, ABS and other MBS
 935  (18) —  296  (191) —  (66) 362  (103) 1,215  (30)
Total trading account assets 3,419  142  11  1,894  (1,132) 33  (701) 879  (436) 4,109  57 
Net derivative assets (liabilities) (4)
(1,313) (808) —  1,039  (1,312) —  569  (402) 466  (1,761) (562)
AFS debt securities:
Non-agency residential MBS 9  —  —  —  —  —  —  4  (9) 4  — 
Commercial MBS
 22  —  —  18  —  —  (3) 2  —  39  — 
Non-U.S. and other taxable securities 322  1  —  11  —  —  (13) —  (306) 15  — 
Total AFS debt securities 353  1  —  29  —  —  (16) 6  (315) 58  — 
Other debt securities carried at fair value – Non-agency residential MBS
 125  1  —  —  —  —  —  42  (125) 43  (2)
Loans and leases (5)
76  1  —  —  —  —  (8) —  (3) 66  — 
Loans held-for-sale (5)
55  (1) 1  —  —  —  (20) 2  —  37  (4)
Other assets (6,7)
2,118  (33) (4) 99  —  108  (221) —  —  2,067  (49)
Trading account liabilities – Equity securities
 (14) (5) —  8  (3) —  —  (5) —  (19) (4)
Trading account liabilities – Corporate securities
   and other
 (119) (2) —  (14) 3  (2) 33  (12) 7  (106) (5)
Short-term borrowings (5)
(40) 40  —  —  —  (5) 2  —  —  (3) (16)
Accrued expenses and other liabilities (5)
(28) (113) —  —  —  —  62  —  4  (75) (113)
Long-term debt (5)
(481) (87) 8  —  —  (58) 26  —  —  (592) (87)
Six Months Ended June 30, 2025
Trading account assets:
Corporate securities, trading loans and other
 $ 1,814  $ 189  $ 2  $ 1,017  $ (671) $ 23  $ (536) $ 476  $ (162) $ 2,152  $ (98)
Equity securities 374  48  —  85  (28) —  (105) 107  (79) 402  39 
Non-U.S. sovereign debt 344  66  23  25  —  —  (181) —  (24) 253  51 
Mortgage trading loans, ABS and other MBS
 978  (19) —  137  (172) —  (92) 205  (121) 916  2 
Total trading account assets 3,510  284  25  1,264  (871) 23  (914) 788  (386) 3,723  (6)
Net derivative assets (liabilities) (4)
(1,961) 984  —  752  (924) —  24  (272) 210  (1,187) 785 
AFS debt securities:
Non-agency residential MBS 247  1  —  —  —  —  —  —  (245) 3  1 
Commercial MBS 328  (2) 4  237  —  —  (95) —  —  472  (2)
Non-U.S. and other taxable securities 36  —  (3) 506  (1) —  (2) —  (142) 394  — 
Total AFS debt securities 611  (1) 1  743  (1) —  (97) —  (387) 869  (1)
Other debt securities carried at fair value – Non-agency residential MBS
 149  13  —  —  —  —  (2) —  (117) 43  13 
Loans and leases (5,6)
82  1  —  —  —  —  (27) 44  —  100  1 
Loans held-for-sale (5,6)
132  27  3  —  (14) —  (51) —  —  97  (8)
Other assets (6,7)
1,969  (61) 29  91  —  73  (159) —  —  1,942  (2)
Trading account liabilities – Equity securities
 (10) 1  —  3  —  —  —  (3) 2  (7) (1)
Trading account liabilities – Corporate securities
   and other
 (110) 18  —  7  (15) —  21  (12) 1  (90) 15 
Accrued expenses and other liabilities (5)
(89) (62) —  146  —  —  (1) —  —  (6) (76)
Long-term debt (5)
(553) (56) 12  —  —  —  126  —  —  (471) (48)
(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; 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 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 $15 million and $62 million related to financial instruments still held at June 30, 2026 and 2025.
(4)Net derivative assets (liabilities) include derivative assets of $4.6 billion and $4.2 billion and derivative liabilities of $6.4 billion and $5.4 billion at June 30, 2026 and 2025.
(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 June 30, 2026 and December 31, 2025.
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2026
(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 $ 229  Discounted cash flow, Market comparables Yield
0% to 15%
 8 %
Trading account assets – Mortgage trading loans, MBS and ABS 116  Prepayment speed
0% to 22% CPR
5% CPR
Loans and leases 66  Default rate
0% to 7% CDR
7% CDR
AFS debt securities – Non-agency residential 4  Price
$0 to $115
 $75
Other debt securities carried at fair value – Non-agency residential 43  Loss severity
0% to 83%
 29 %
Instruments backed by commercial real estate assets $ 368 
Discounted cash
flow, Asset-based approach
 Yield
0% to 9%
 6 %
Trading account assets – Corporate securities, trading loans and other 285  Price
$0 to $101
 $66
Trading account assets – Mortgage trading loans, MBS and ABS 44 
AFS debt securities – Commercial 39 
Commercial loans, debt securities and other $ 3,399  Discounted cash flow, Market comparables Yield
0% to 28%
 9 %
Trading account assets – Corporate securities, trading loans and other
 2,056  Prepayment speed
20%
 n/a
Trading account assets – Non-U.S. sovereign debt 236  Default rate
2%
 n/a
Trading account assets – Mortgage trading loans, MBS and ABS 1,055  Loss severity
30%
 n/a
AFS debt securities – Non-U.S. and other taxable securities 15  Price
$0 to $165
 $65
Loans held-for-sale 37 
Other assets, primarily MSRs and tax-related equity investments
 $ 2,067  Discounted cash flow, Market comparables Price
$10 to $93
 $82

Yield
7% to 9%
 8 %
Weighted-average life, fixed rate (5)
0 to 14 years
6 years
Weighted-average life, variable rate (5)
0 to 10 years
4 years
Option-adjusted spread, fixed rate
7% to 14%
 9 %
Option-adjusted spread, variable rate
9% to 15%
 11 %
Structured liabilities
Long-term debt $ (592) Discounted cash flow, Market comparables Yield
14% to 28%
 25 %
Price
$27 to $100
 $91
Natural gas forward price
$1/MMBtu to $6/MMBtu
$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ 50 
Market comparables, Discounted cash flow, Stochastic recovery correlation model
 Credit spreads
7 to 228 bps
35 bps
Default rate
 2% CDR
n/a
Credit correlation
43% to 77%
 71 %
Price
$0 to $111
 $72
Equity derivatives $ (1,403)
Industry standard derivative pricing (3)
Equity correlation
0% to 100%
 66%
Long-dated equity volatilities
0% to 118%
 43%
Commodity derivatives $ (651)
Discounted cash
flow
 Natural gas forward price
$1/MMBtu to $6/MMBtu
$3/MMBtu
Commodities volatilities
60% to 63%
 62%
Power forward price
$28 to $125
 $53 
Interest rate derivatives $ 243 
Industry standard derivative pricing (4)
Correlation (IR/IR)
(35)% to 70%
 46 %
Correlation (FX/IR)
(10)% to 35%
 26 %
Long-dated inflation rates
 0% to 17%
2 %
Interest rate volatilities
0% to 10%
 0 %
Total net derivative assets (liabilities) $ (1,761)
(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 87: Trading account assets – Corporate securities, trading loans and other of $2.3 billion, Trading account assets – Non-U.S. sovereign debt of $236 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $58 million, Other debt securities carried at fair value - Non-agency residential of $43 million, Other assets of $2.1 billion, Loans and leases of $66 million and LHFS of $37 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, 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
G(1)% to 20%
2 %
Long-dated inflation volatilities
5%
 n/a
Interest rates 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 88: 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
Uncertainty of Fair Value Measurements from Unobservable Inputs
For information on the types of instruments, valuation approaches and the impact of changes in unobservable inputs used in Level 3 measurements, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2025 Annual Report on Form 10-K.
Nonrecurring Fair Value
The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as nonrecurring. The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and six months ended June 30, 2026 and 2025.
Assets Measured at Fair Value on a Nonrecurring Basis
June 30, 2026 Three Months Ended June 30, 2026 Six Months Ended June 30, 2026
(Dollars in millions)
 Level 2 Level 3 Gains (Losses)
Assets
Loans held-for-sale $ 281  $ 204  $ (6) $ (28)
Foreclosed properties (1)
—  56  2  2 
June 30, 2025 Three Months Ended June 30, 2025 Six Months Ended June 30, 2025
Assets
Loans held-for-sale $ 135  $ —  $ (6) $ 50 
Foreclosed properties (1)
—  67  —  — 
(1)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.
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the six months ended June 30, 2026.
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) Six Months Ended June 30, 2026
Loans held-for-sale $ 204  Pricing model Implied yield
12% to 29%
 19  %
(1)The weighted average is calculated based upon the fair value of the loans.
There were no significant Level 3 instruments held as of December 31, 2025 that had nonrecurring fair value measurements for the year ended December 31, 2025.