v3.25.4
Fair Value Measurements
 12 Months Ended
Dec. 31, 2025
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 a particular level of hierarchy occur when there is a change in the observability or unobservability of the inputs that are significant to the valuation. 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 2025, 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, 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 1Level 2Level 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 agencies83,234 3,036 — — 86,270 
Corporate securities, trading loans and other— 59,456 1,922 — 61,378 
Equity securities77,225 39,110 322 — 116,657 
Non-U.S. sovereign debt5,745 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 assets18,469 269,936 3,802 (251,326)40,881 
AFS debt securities:     
U.S. Treasury and government agencies249,025 809 — — 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. securities235 31,488 44 — 31,767 
Other taxable securities— 6,026 278 — 6,304 
Tax-exempt securities— 7,787 — — 7,787 
Total AFS debt securities249,260 137,185 353 — 386,798 
Other debt securities carried at fair value:
U.S. Treasury and government agencies3,285 — — — 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 value3,949 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 agencies8,174 5 — — 8,179 
Equity securities58,980 6,063 14 — 65,057 
Non-U.S. sovereign debt4,771 15,644 — — 20,415 
Corporate securities and other— 12,214 119 — 12,333 
Mortgage trading loans and ABS— 12 — — 12 
Total trading account liabilities71,925 33,938 133 — 105,996 
Derivative liabilities18,470 274,002 5,115 (255,511)42,076 
Short-term borrowings— 8,011 40 — 8,051 
Accrued expenses and other liabilities4,656 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 1Level 2Level 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 agencies66,582 3,940 — — 70,522 
Corporate securities, trading loans and other— 43,222 1,814 — 45,036 
Equity securities66,783 36,450 374 — 103,607 
Non-U.S. sovereign debt3,017 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 assets14,626 289,940 3,562 (267,180)40,948 
AFS debt securities:     
U.S. Treasury and government agencies233,671 908 — — 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. securities75 22,320 36 — 22,431 
Other taxable securities— 4,603 — — 4,603 
Tax-exempt securities— 8,412 — — 8,412 
Total AFS debt securities233,746 112,075 611 — 346,432 
Other debt securities carried at fair value:
U.S. Treasury and government agencies3,885 — — — 3,885 
Non-agency residential MBS— 101 149 — 250 
Non-U.S. and other securities854 7,186 — — 8,040 
Total other debt securities carried at fair value4,739 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 agencies16,408 195 — — 16,603 
Equity securities40,066 4,843 10 — 44,919 
Non-U.S. sovereign debt2,727 17,279 — — 20,006 
Corporate securities and other— 10,871 110 — 10,981 
Mortgage trading loans and ABS— 34 — — 34 
Total trading account liabilities59,201 33,222 120 — 92,543 
Derivative liabilities15,354 284,810 5,523 (266,334)39,353 
Short-term borrowings— 6,245 — — 6,245 
Accrued expenses and other liabilities9,113 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.
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 2025, 2024 and 2023, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and
transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI (3)
GrossGross
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)

PurchasesSalesIssuancesSettlements
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 ABS978 (128)— 283 (283)— (189)435 (161)935 (126)
Total trading account assets3,510 148 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 MBS247 1 — — — — — 6 (245)9 1 
Commercial MBS
328 (2)4 258 — — (114)— (452)22 (3)
Non-U.S. and other taxable securities36 (1)(3)677 (1)— (3)125 (508)322 (1)
Total AFS debt securities611 (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 securities187 50 — 255 (65)— (62)62 (53)374 (12)
Non-U.S. sovereign debt396 (1)(57)82 (16)— (79)19 — 344 — 
Mortgage trading loans, MBS and ABS1,217 (151)— 420 (617)— (63)369 (197)978 (172)
Total trading account assets3,489 (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 MBS273 8 57 — — — (152)191 (130)247 6 
Commercial MBS— (8)1 338 — — (3)— — 328 (8)
Non-U.S. and other taxable securities103 (1)— — — — (66)7 (7)36 1 
Total AFS debt securities376 (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 $5.5 billion at December 31, 2025 and 2024.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Level 3 – Fair Value Measurements (1)
(Dollars in millions)Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
GrossGross
Transfers
into
Level 3		Gross
Transfers
out of
Level 3		Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
PurchasesSalesIssuancesSettlements
Year Ended December 31, 2023
Federal funds sold and securities borrowed or purchased under agreements to resell$— $— $— $— $— $— $— $7 $(7)$— $— 
Trading account assets:      
Corporate securities, trading loans and other2,384 144 2 453 (241)20 (1,029)385 (429)1,689 50 
Equity securities145 44 — 39 (52)— (61)153 (81)187 (5)
Non-U.S. sovereign debt518 68 30 64 (23)— (259)— (2)396 70 
Mortgage trading loans, MBS and ABS1,552 (50)— 263 (417)— (241)436 (326)1,217 (71)
Total trading account assets4,599 206 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 MBS258 1 23 — — — (9)— — 273 2 
Non-U.S. and other taxable securities195 10 7 — — — (106)4 (7)103 2 
Tax-exempt securities51 1 — — — — (52)— — — — 
Total AFS debt securities504 12 30 — — — (167)4 (7)376 4 
Other debt securities carried at fair value - Non-agency residential MBS119 (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.
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 InstrumentFair
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 ABS120 Prepayment speed
0% to 40% CPR
7% CPR
Loans and leases73 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 other304 Price
$0 to $100
$42
Trading account assets – Mortgage trading loans, MBS and ABS47 
AFS debt securities – Commercial22 
Commercial loans, debt securities and other$3,006 Discounted cash flow, Market comparablesYield
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 debt240 Default rate
2%
n/a
Trading account assets – Mortgage trading loans, MBS and ABS768 Loss severity
30%
n/a
AFS debt securities – Non-U.S. and other taxable securities322 Price
$0 to $137
$67
Loans and leases3 
Loans held-for-sale55 
Other assets, primarily MSRs and tax-related equity investments
$2,118 Discounted cash flow, Market comparablesPrice
$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 InstrumentFair
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 ABS163 
Prepayment speed
0% to 43% CPR
8% CPR
Loans and leases77 Default rate
0% to 6% CDR
6% CDR
AFS debt securities - Non-agency residential247 Price
$0 to $115
$74
Other debt securities carried at fair value - Non-agency residential149 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 other185 Price
$0 to $103
$84
Trading account assets – Mortgage trading loans, MBS and ABS42 
AFS debt securities – Commercial
328 
Commercial loans, debt securities and other$2,919 Discounted cash flow, Market comparablesYield
 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 debt344 Default rate
2%
n/a
Trading account assets – Mortgage trading loans, MBS and ABS773 Loss severity
30%
n/a
AFS debt securities – Non-U.S. and other taxable securities36 Price
 $0 to $135
$69
Loans and leases5 
Loans held-for-sale132 
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 comparablesYield
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 modelCredit 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
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 2025, 2024 and 2023.
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2025December 31, 2024
(Dollars in millions)
 		Level 2Level 3Level 2Level 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)
202520242023
Assets   
Loans held-for-sale$32 $(211)$(246)
Loans and leases (2)
(32)(29)(45)
Foreclosed properties4 (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.
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 InstrumentFair ValueValuation
Technique		Significant Unobservable
Inputs		Ranges of
Inputs
Weighted
Average (1)
(Dollars in millions)Year Ended December 31, 2025
Loans and leases (2)
$112 Market comparablesOREO discount
14% to 65%
27%
Costs to sell
8% to 10%
9 %
Year Ended December 31, 2024
Loans held-for-sale$2,652 Pricing modelImplied yield
9% to 28%
n/a
Loans and leases (2)
119 Market comparablesOREO 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.