Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

Assets and liabilities measured at fair value on a recurring basis

The following table presents the assets and liabilities reported at fair value as of March 31, 2019, and December 31, 2018, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy						Derivative netting adjustments(f)
March 31, 2019 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	13,969	$	—	$	—		$	13,969
Securities borrowed	—		5,642		—		—			5,642
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		96,098		412		—			96,510
Residential – nonagency	—		2,119		85		—			2,204
Commercial – nonagency	—		1,873		17		—			1,890
Total mortgage-backed securities	—		100,090		514		—			100,604
U.S. Treasury and government agencies(a)	92,642		10,071		—		—			102,713
Obligations of U.S. states and municipalities	—		6,200		623		—			6,823
Certificates of deposit, bankers’ acceptances and commercial paper	—		3,029		—		—			3,029
Non-U.S. government debt securities	39,316		32,546		170		—			72,032
Corporate debt securities	—		21,875		568		—			22,443
Loans(b)	—		42,671		1,741		—			44,412
Asset-backed securities	—		2,495		119		—			2,614
Total debt instruments	131,958		218,977		3,735		—			354,670
Equity securities	107,042		337		202		—			107,581
Physical commodities(c)	4,665		2,480		—		—			7,145
Other	—		13,323		304		—			13,627
Total debt and equity instruments(d)	243,665		235,117		4,241		—			483,023
Derivative receivables:
Interest rate	1,799		289,034		1,434		(269,509		)	22,758
Credit	—		15,140		780		(15,196		)	724
Foreign exchange	595		148,848		552		(138,124		)	11,871
Equity	—		40,286		2,978		(33,942		)	9,322
Commodity	—		14,839		190		(9,371		)	5,658
Total derivative receivables	2,394		508,147		5,934		(466,142		)	50,333
Total trading assets(e)	246,059		743,264		10,175		(466,142		)	533,356
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		74,923		—		—			74,923
Residential – nonagency	—		10,113		—		—			10,113
Commercial – nonagency	—		6,687		—		—			6,687
Total mortgage-backed securities	—		91,723		—		—			91,723
U.S. Treasury and government agencies	58,764		—		—		—			58,764
Obligations of U.S. states and municipalities	—		34,487		—		—			34,487
Certificates of deposit	—		75		—		—			75
Non-U.S. government debt securities	14,321		7,714		—		—			22,035
Corporate debt securities	—		1,792		—		—			1,792
Asset-backed securities:
Collateralized loan obligations	—		20,929		—		—			20,929
Other	—		6,711		—		—			6,711
Total available-for-sale securities	73,085		163,431		—		—			236,516
Loans	—		3,596		123		—			3,719
Mortgage servicing rights	—		—		5,957		—			5,957
Other assets(e)	8,663		83		841		—			9,587
Total assets measured at fair value on a recurring basis	$	327,807	$	929,985	$	17,096	$	(466,142	)	$	808,746
Deposits	$	—	$	27,276	$	4,528	$	—		$	31,804
Federal funds purchased and securities loaned or sold under repurchase agreements	—		971		—		—			971
Short-term borrowings	—		5,696		1,502		—			7,198
Trading liabilities:
Debt and equity instruments(d)	95,128		22,724		52		—			117,904
Derivative payables:
Interest rate	2,507		258,282		1,581		(254,648		)	7,722
Credit	—		16,144		895		(15,056		)	1,983
Foreign exchange	550		146,574		908		(136,634		)	11,398
Equity	—		40,601		5,044		(34,616		)	11,029
Commodity	—		16,278		855		(10,262		)	6,871
Total derivative payables	3,057		477,879		9,283		(451,216		)	39,003
Total trading liabilities	98,185		500,603		9,335		(451,216		)	156,907
Accounts payable and other liabilities	3,186		76		15		—			3,277
Beneficial interests issued by consolidated VIEs	—		13		—		—			13
Long-term debt	—		39,586		21,655		—			61,241
Total liabilities measured at fair value on a recurring basis	$	101,371	$	574,221	$	37,035	$	(451,216	)	$	261,411

	Fair value hierarchy						Derivative netting adjustments(f)
December 31, 2018 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	13,235	$	—	$	—		$	13,235
Securities borrowed	—		5,105		—		—			5,105
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		76,249		549		—			76,798
Residential – nonagency	—		1,798		64		—			1,862
Commercial – nonagency	—		1,501		11		—			1,512
Total mortgage-backed securities	—		79,548		624		—			80,172
U.S. Treasury and government agencies(a)	51,477		7,702		—		—			59,179
Obligations of U.S. states and municipalities	—		7,121		689		—			7,810
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,214		—		—			1,214
Non-U.S. government debt securities	27,878		27,056		155		—			55,089
Corporate debt securities	—		18,655		334		—			18,989
Loans(b)	—		40,047		1,706		—			41,753
Asset-backed securities	—		2,756		127		—			2,883
Total debt instruments	79,355		184,099		3,635		—			267,089
Equity securities	71,119		482		232		—			71,833
Physical commodities(c)	5,182		1,855		—		—			7,037
Other	—		13,192		301		—			13,493
Total debt and equity instruments(d)	155,656		199,628		4,168		—			359,452
Derivative receivables:
Interest rate	682		266,380		1,642		(245,490		)	23,214
Credit	—		19,235		860		(19,483		)	612
Foreign exchange	771		166,238		676		(154,235		)	13,450
Equity	—		46,777		2,508		(39,339		)	9,946
Commodity	—		20,339		131		(13,479		)	6,991
Total derivative receivables	1,453		518,969		5,817		(472,026		)	54,213
Total trading assets(e)	157,109		718,597		9,985		(472,026		)	413,665
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		68,646		—		—			68,646
Residential – nonagency	—		8,519		1		—			8,520
Commercial – nonagency	—		6,654		—		—			6,654
Total mortgage-backed securities	—		83,819		1		—			83,820
U.S. Treasury and government agencies	56,059		—		—		—			56,059
Obligations of U.S. states and municipalities	—		37,723		—		—			37,723
Certificates of deposit	—		75		—		—			75
Non-U.S. government debt securities	15,313		8,789		—		—			24,102
Corporate debt securities	—		1,918		—		—			1,918
Asset-backed securities:
Collateralized loan obligations	—		19,437		—		—			19,437
Other	—		7,260		—		—			7,260
Total available-for-sale securities	71,372		159,021		1		—			230,394
Loans	—		3,029		122		—			3,151
Mortgage servicing rights	—		—		6,130		—			6,130
Other assets(e)	7,810		195		927		—			8,932
Total assets measured at fair value on a recurring basis	$	236,291	$	899,182	$	17,165	$	(472,026	)	$	680,612
Deposits	$	—	$	19,048	$	4,169	$	—		$	23,217
Federal funds purchased and securities loaned or sold under repurchase agreements	—		935		—		—			935
Short-term borrowings	—		5,607		1,523		—			7,130
Trading liabilities:
Debt and equity instruments(d)	80,199		22,755		50		—			103,004
Derivative payables:
Interest rate	1,526		239,576		1,680		(234,998		)	7,784
Credit	—		19,309		967		(18,609		)	1,667
Foreign exchange	695		163,549		973		(152,432		)	12,785
Equity	—		46,462		4,733		(41,034		)	10,161
Commodity	—		21,158		1,260		(13,046		)	9,372
Total derivative payables	2,221		490,054		9,613		(460,119		)	41,769
Total trading liabilities	82,420		512,809		9,663		(460,119		)	144,773
Accounts payable and other liabilities	3,063		196		10		—			3,269
Beneficial interests issued by consolidated VIEs	—		27		1		—			28
Long-term debt	—		35,468		19,418		—			54,886
Total liabilities measured at fair value on a recurring basis	$	85,483	$	574,090	$	34,784	$	(460,119	)	$	234,238

(a) At March 31, 2019, and December 31, 2018, included total U.S. government-sponsored enterprise obligations of $128.0 billion and $92.3 billion, respectively, which were predominantly mortgage-related.

(b) At March 31, 2019, and December 31, 2018, included within trading loans were $15.2 billion and $13.2 billion, respectively, of residential first-lien mortgages, and $2.7 billion and $2.3 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $8.1 billion and $7.6 billion, respectively.

(c) Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities

inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. For a further discussion of the Firm’s hedge accounting relationships, refer to Note 4. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

(d) Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).

(e) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At March 31, 2019, and December 31, 2018, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $736 million and $747 million, respectively. Included in these balances at March 31, 2019, and December 31, 2018, were trading assets of $46 million and $49 million, respectively, and other assets of $690 million and $698 million, respectively.

(f) As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.

Fair value inputs, assets and liabilities, quantitative information

Level 3 inputs(a)
March 31, 2019
Product/Instrument	Fair value (in millions)			Principal valuation technique	Unobservable inputs(g)	Range of input values							Weighted average
Residential mortgage-backed securities and loans(b)	$	748		Discounted cash flows	Yield	0		%	–	18		%			7		%
					Prepayment speed	0		%	–	22		%			11		%
					Conditional default rate	0		%	–	5		%			1		%
					Loss severity	0		%	–	100		%			3		%
Commercial mortgage-backed securities and loans(c)	397			Market comparables	Price	$	0		–	$	102				$	87
Obligations of U.S. states and municipalities	623			Market comparables	Price	$	63		–	$	100				$	98
Corporate debt securities	568			Market comparables	Price	$	0		–	$	111				$	82
Loans(d)	226			Discounted cash flows	Yield	6		%	–	18		%			8		%
	1,007			Market comparables	Price	$	2		–	$	102				$	80
Asset-backed securities	119			Market comparables	Price	$	0		–	$	105				$	65
Net interest rate derivatives	(217		)	Option pricing	Interest rate spread volatility	16		bps	–	38				bps
					Interest rate correlation	(25		)%	–	97		%
					IR-FX correlation	45		%	–	60		%
	70			Discounted cash flows	Prepayment speed	4		%	–	30		%
Net credit derivatives	(162		)	Discounted cash flows	Credit correlation	30		%	–	55		%
					Credit spread	6		bps	–	1,396		bps
					Recovery rate	20		%	–	70		%
					Conditional default rate	1		%	–	93		%
					Loss severity	100%
	47			Market comparables	Price	$	1		–	$	115
Net foreign exchange derivatives	(198		)	Option pricing	IR-FX correlation	(50		)%	–	60		%
	(158		)	Discounted cash flows	Prepayment speed	9%
Net equity derivatives	(2,066		)	Option pricing	Equity volatility	14		%	–	65		%
					Equity correlation	25		%	–	98		%
					Equity-FX correlation	(75		)%	–	59		%
					Equity-IR correlation	20		%	–	60		%
Net commodity derivatives	(665		)	Option pricing	Forward commodity price	$	52		–	$ 69 per barrel
					Commodity volatility	5		%	–	57		%
					Commodity correlation	(51		)%	–	95		%
MSRs	5,957			Discounted cash flows	Refer to Note 14
Other assets	214			Discounted cash flows	Credit spread	55bps									55bps
					Yield	8		%	–	10		%			9		%
	930			Market comparables	Price	$	19		–	$	110				$	34
Long-term debt, short-term borrowings, and deposits(e)	27,685			Option pricing	Interest rate spread volatility	16		bps	–	38				bps
					Interest rate correlation	(25		)%	–	97		%
					IR-FX correlation	(50		)%	–	60		%
					Equity correlation	25		%	–	98		%
					Equity-FX correlation	(75		)%	–	59		%
					Equity-IR correlation	20		%	–	60		%
Other level 3 assets and liabilities, net(f)	305

(a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ.

(b) Includes U.S. government agency securities of $408 million, nonagency securities of $85 million and trading loans of $255 million.

(c) Includes U.S. government agency securities of $4 million, nonagency securities of $17 million, trading loans of $253 million and non-trading loans of $123 million.

(d) Comprises trading loans.

(e) Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are financial instruments that typically contain embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.

(f) Includes level 3 assets and liabilities that are insignificant both individually and in aggregate.

(g)

Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three months ended March 31, 2019 and 2018. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs to the overall fair

value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2019 (in millions)	Fair value at January 1, 2019			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at March 31, 2019				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2019
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	549		$	(15	)		$	5		$	(100	)			$	(18	)	$	1		$	(10	)		$	412		$	(16	)
Residential – nonagency	64			24				70			(69		)			(1		)	15			(18		)		85			1
Commercial – nonagency	11			2				12			(19		)			(2		)	15			(2		)		17			1
Total mortgage-backed securities	624			11				87			(188		)			(21		)	31			(30		)		514			(14		)
U.S. Treasury and government agencies	—			—				—			—					—			—			—				—			—
Obligations of U.S. states and municipalities	689			13				1			(74		)			(6		)	—			—				623			14
Non-U.S. government debt securities	155			(1		)		71			(54		)			—			2			(3		)		170			(1		)
Corporate debt securities	334			22				223			(7		)			—			28			(32		)		568			39
Loans	1,706			83				72			(118		)			(120		)	159			(41		)		1,741			83
Asset-backed securities	127			(2		)		17			(21		)			(7		)	20			(15		)		119			(4		)
Total debt instruments	3,635			126				471			(462		)			(154		)	240			(121		)		3,735			117
Equity securities	232			(2		)		15			(79		)			(22		)	75			(17		)		202			(2		)
Other	301			4				12			(1		)			(11		)	1			(2		)		304			13
Total trading assets – debt and equity instruments	4,168			128			(c)	498			(542		)			(187		)	316			(140		)		4,241			128			(c)
Net derivative receivables:(b)
Interest rate	(38		)	(322		)		19			(147		)			298			18			25				(147		)	(376		)
Credit	(107		)	(17		)		—			(1		)			6			3			1				(115		)	(21		)
Foreign exchange	(297		)	(245		)		1			(9		)			181			(8		)	21				(356		)	(220		)
Equity	(2,225		)	731				127			(297		)			(401		)	(67		)	66				(2,066		)	226
Commodity	(1,129		)	533				3			(88		)			24			1			(9		)		(665		)	507
Total net derivative receivables	(3,796		)	680			(c)	150			(542		)			108			(53		)	104				(3,349		)	116			(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—					(1		)	—			—				—			—
Asset-backed securities	—			—				—			—					—			—			—				—			—
Total available-for-sale securities	1			—				—			—					(1		)	—			—				—			—
Loans	122			3			(c)	—			—					(2		)	—			—				123			3			(c)
Mortgage servicing rights	6,130			(299		)	(e)	436			(111		)			(199		)	—			—				5,957			(299		)	(e)
Other assets	927			(7		)	(c)	9			(80		)			(1		)	—			(7		)		841			(10		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2019 (in millions)	Fair value at January 1, 2019			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at March 31, 2019				Change in unrealized (gains)/ losses related to financial instruments held at March 31, 2019
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,169		$	152		(c)(i)	$	—		$	—		$	335	$	(24	)	$	—		$	(104	)		$	4,528		$	144		(c)(i)
Short-term borrowings	1,523			46			(c)(i)	—			—			651		(601		)	1			(118		)		1,502			80			(c)(i)
Trading liabilities – debt and equity instruments	50			—				(2		)	11			—		—			3			(10		)		52			1			(c)
Accounts payable and other liabilities	10			—				(5		)	10			—		—			—			—				15			—
Beneficial interests issued by consolidated VIEs	1			(1		)	(c)	—			—			—		—			—			—				—			—
Long-term debt	19,418			1,273			(c)(i)	—			—			2,051		(1,188		)	273			(172		)		21,655			1,625			(c)(i)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2018 (in millions)	Fair value at January 1, 2018			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at March 31, 2018				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2018
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	307		$	3			$	329		$	(87	)			$	(20	)	$	4		$	(28	)		$	508		$	1
Residential – nonagency	60			(2		)		—			(2		)			(2		)	29			(28		)		55			—
Commercial – nonagency	11			1				6			(7		)			(1		)	4			—				14			—
Total mortgage-backed securities	378			2				335			(96		)			(23		)	37			(56		)		577			1
U.S. Treasury and government agencies	1			—				—			—					—			—			(1		)		—			—
Obligations of U.S. states and municipalities	744			(2		)		39			—					(77		)	—			—				704			(2		)
Non-U.S. government debt securities	78			2				225			(92		)			—			17			(33		)		197			3
Corporate debt securities	312			(1		)		81			(100		)			(1		)	131			(116		)		306			(1		)
Loans	2,719			62				470			(728		)			(137		)	123			(141		)		2,368			30
Asset-backed securities	153			5				14			(13		)			(34		)	11			(73		)		63			—
Total debt instruments	4,385			68				1,164			(1,029		)			(272		)	319			(420		)		4,215			31
Equity securities	295			(8		)		28			(10		)			—			4			(9		)		300			(7		)
Other	690			15				18			(6		)			(20		)	1			—				698			15
Total trading assets – debt and equity instruments	5,370			75			(c)	1,210			(1,045		)			(292		)	324			(429		)		5,213			39			(c)
Net derivative receivables:(b)
Interest rate	264			53				17			(4		)			46			26			70				472			131
Credit	(35		)	17				1			(2		)			4			3			17				5			11
Foreign exchange	(396		)	146				—			(5		)			11			(38		)	(6		)		(288		)	156
Equity	(3,409		)	639				218			(242		)			434			(111		)	(41		)		(2,512		)	448
Commodity	(674		)	185				—			—					12			1			(43		)		(519		)	227
Total net derivative receivables	(4,250		)	1,040			(c)	236			(253		)			507			(119		)	(3		)		(2,842		)	973			(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—					—			—			—				1			—
Asset-backed securities	276			1				—			—					(73		)	—			—				204			1
Total available-for-sale securities	277			1			(d)	—			—					(73		)	—			—				205			1			(d)
Loans	276			5			(c)	122			—					(7		)	—			—				396			5			(c)
Mortgage servicing rights	6,030			384			(e)	243			(295		)			(160		)	—			—				6,202			384			(e)
Other assets	1,265			(37		)	(c)	23			(14		)			(16		)	—			(1		)		1,220			(38		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2018 (in millions)	Fair value at January 1, 2018			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at March 31, 2018				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2018
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,142		$	(90	)	(c)(i)	$	—		$	—		$	321	$	(198	)	$	—		$	(158	)		$	4,017		$	(125	)	(c)(i)
Short-term borrowings	1,665			15			(c)(i)	—			—			1,208		(746		)	12			(29		)		2,125			43			(c)(i)
Trading liabilities – debt and equity instruments	39			3			(c)	(37		)	43			—		1			2			(1		)		50			5			(c)
Accounts payable and other liabilities	13			—				(6		)	—			—		—			—			—				7			—
Beneficial interests issued by consolidated VIEs	39			—				—			—			—		(38		)	—			—				1			—
Long-term debt	16,125			(246		)	(c)(i)	—			—			3,091		(2,263		)	375			(132		)		16,950			(354		)	(c)(i)

(a) Level 3 assets as a percentage of total Firm assets accounted for at fair value (including assets measured at fair value on a nonrecurring basis) were 2% and 3% at March 31, 2019 and December 31, 2018, respectively. Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 14% and 15% at March 31, 2019 and December 31, 2018, respectively.

(b) All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.

(c) Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.

(d) Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in investment securities gains/(losses). Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) or foreign exchange hedge accounting adjustments recorded in income on AFS securities for the three months ended March 31, 2019 and 2018, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were zero and $1 million for the three months ended March 31, 2019 and 2018, respectively.

(e) Changes in fair value for MSRs are reported in mortgage fees and related income.

(f) Loan originations are included in purchases.

(g) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidations associated with beneficial interests in VIEs and other items.

(h) All transfers into and/or out of level 3 are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.

(i)

Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and they were not material for the three months ended March 31, 2019 and 2018, respectively. Unrealized (gains)/losses are reported in OCI, and they were $176 million and $52 million for the three months ended March 31, 2019 and 2018, respectively.

Impact of credit adjustments on earnings

The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.

	Three months ended March 31,
(in millions)	2019		2018
Credit and funding adjustments:
Derivatives CVA	$	60	$	84
Derivatives FVA	152		(83		)

Assets and liabilities measured at fair value on a nonrecurring basis

The following table presents the total change in value of assets and liabilities for which a fair value adjustment has been recognized for the three months ended March 31, 2019 and 2018, related to financial instruments held at those dates.

	Three months ended March 31,
(in millions)	2019			2018
Loans	$	(21	)	$	(15	)
Other assets(a)	71			496
Total nonrecurring fair value gains/(losses)	$	50		$	481

(a)

Included $78 million and $505 million for the three months ended March 31, 2019 and 2018 respectively, of net gains as a result of the measurement alternative. The following tables present the assets held as of March 31, 2019 and 2018, respectively, for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2019 and 2018, respectively, by major product category and fair value hierarchy.

	Fair value hierarchy							Total fair value
March 31, 2019 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	441	$	84	(b)	$	525
Other assets(a)	—		11		456			467
Total assets measured at fair value on a nonrecurring basis	$	—	$	452	$	540		$	992

	Fair value hierarchy						Total fair value
March 31, 2018 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	690	$	165	$	855
Other assets	—		236		572		808
Total assets measured at fair value on a nonrecurring basis	$	—	$	926	$	737	$	1,663

(a) Primarily includes equity securities without readily determinable fair values that were adjusted based on observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative). Of the $456 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2019, $351 million related to such equity securities. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

(b)

Of the $84 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2019, $65 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 14% to 49% with a weighted average of 28%.

Schedule of equity securities without readily determinable fair values measured under the measurement alternative and related adjustments

The following table presents the carrying value of equity securities without readily determinable fair values still held as of March 31, 2019 and March 31, 2018, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.

	Three months ended
	March 31,
As of or for the period ended,
(in millions)	2019			2018
Other assets
Carrying value(a)	$	1,819		$	1,429
Upward carrying value changes(b)	84			505
Downward carrying value changes/impairment(c)	(6		)	—

(a) The carrying value as of December 31, 2018 was $1.5 billion.

(b) The cumulative upward carrying value changes between January 1, 2018 and March 31, 2019 were $393 million.

(c)

The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2019 were $(166) million.

Carrying value and estimated fair value of financial assets and liabilities

The following table presents by fair value hierarchy classification the carrying values and estimated fair values at March 31, 2019, and December 31, 2018, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy.

	March 31, 2019										December 31, 2018
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value		Level 1		Level 2		Level 3		Total estimated fair value
Financial assets
Cash and due from banks	$	21.9	$	21.9	$	—	$	—	$	21.9	$	22.3	$	22.3	$	—	$	—	$	22.3
Deposits with banks	280.7		280.7		—		—		280.7		256.5		256.5		—		—		256.5
Accrued interest and accounts receivable	71.2		—		71.1		0.1		71.2		72.0		—		71.9		0.1		72.0
Federal funds sold and securities purchased under resale agreements	285.2		—		285.2		—		285.2		308.4		—		308.4		—		308.4
Securities borrowed	117.5		—		117.5		—		117.5		106.9		—		106.9		—		106.9
Investment securities, held-to-maturity	30.8		—		31.5		—		31.5		31.4		—		31.5		—		31.5
Loans, net of allowance for loan losses(a)	939.0		—		229.8		717.5		947.3		968.0		—		241.5		728.5		970.0
Other	56.5		—		55.7		0.9		56.6		60.5		—		59.6		1.0		60.6
Financial liabilities
Deposits	$	1,461.6	$	—	$	1,461.7	$	—	$	1,461.7	$	1,447.4	$	—	$	1,447.5	$	—	$	1,447.5
Federal funds purchased and securities loaned or sold under repurchase agreements	221.7		—		221.7		—		221.7		181.4		—		181.4		—		181.4
Short-term borrowings	64.1		—		64.1		—		64.1		62.1		—		62.1		—		62.1
Accounts payable and other liabilities	176.6		0.1		173.0		3.2		176.3		160.6		0.2		157.0		3.0		160.2
Beneficial interests issued by consolidated VIEs	25.9		—		25.9		—		25.9		20.2		—		20.2		—		20.2
Long-term debt and junior subordinated deferrable interest debentures	229.4		—		229.9		3.3		233.2		227.1		—		224.6		3.3		227.9

(a)

Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses.

The carrying value and estimated fair value of wholesale lending- related commitments

The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

	March 31, 2019										December 31, 2018
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value(b)
Wholesale lending-related commitments	$	1.0	$	—	$	—	$	1.8	$	1.8	$	1.0	$	—	$	—	$	1.9	$	1.9

(a) Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.

(b)

The prior period amounts have been revised to conform with the current period presentation.