Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2019 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	13,982	$	—	$	—		$	13,982
Securities borrowed	—		5,685		—		—			5,685
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		104,186		617		—			104,803
Residential – nonagency	—		2,102		42		—			2,144
Commercial – nonagency	—		1,708		9		—			1,717
Total mortgage-backed securities	—		107,996		668		—			108,664
U.S. Treasury and government agencies(a)	88,502		9,712		—		—			98,214
Obligations of U.S. states and municipalities	—		6,628		680		—			7,308
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,492		—		—			1,492
Non-U.S. government debt securities	34,840		31,353		190		—			66,383
Corporate debt securities	—		22,140		562		—			22,702
Loans(b)	—		42,180		1,778		—			43,958
Asset-backed securities	—		2,643		33		—			2,676
Total debt instruments	123,342		224,144		3,911		—			351,397
Equity securities	98,234		456		147		—			98,837
Physical commodities(c)	3,692		3,339		—		—			7,031
Other	—		12,874		311		—			13,185
Total debt and equity instruments(d)	225,268		240,813		4,369		—			470,450
Derivative receivables:
Interest rate	1,529		331,329		1,698		(308,068		)	26,488
Credit	—		14,971		694		(15,032		)	633
Foreign exchange	2,170		141,248		682		(133,437		)	10,663
Equity	—		41,997		2,933		(35,725		)	9,205
Commodity	—		16,663		208		(10,982		)	5,889
Total derivative receivables	3,699		546,208		6,215		(503,244		)	52,878
Total trading assets(e)	228,967		787,021		10,584		(503,244		)	523,328
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		96,616		—		—			96,616
Residential – nonagency	—		12,740		—		—			12,740
Commercial – nonagency	—		5,989		—		—			5,989
Total mortgage-backed securities	—		115,345		—		—			115,345
U.S. Treasury and government agencies	73,990		—		—		—			73,990
Obligations of U.S. states and municipalities	—		31,901		—		—			31,901
Certificates of deposit	—		74		—		—			74
Non-U.S. government debt securities	14,869		7,623		—		—			22,492
Corporate debt securities	—		1,778		—		—			1,778
Asset-backed securities:
Collateralized loan obligations	—		24,781		—		—			24,781
Other	—		5,996		—		—			5,996
Total available-for-sale securities	88,859		187,498		—		—			276,357
Loans	—		4,304		5		—			4,309
Mortgage servicing rights	—		—		5,093		—			5,093
Other assets(e)	7,784		198		861		—			8,843
Total assets measured at fair value on a recurring basis	$	325,610	$	998,688	$	16,543	$	(503,244	)	$	837,597
Deposits	$	—	$	28,858	$	4,066	$	—		$	32,924
Federal funds purchased and securities loaned or sold under repurchase agreements	—		981		—		—			981
Short-term borrowings	—		5,684		2,052		—			7,736
Trading liabilities:
Debt and equity instruments(d)	84,236		21,879		45		—			106,160
Derivative payables:
Interest rate	2,090		296,717		2,242		(292,166		)	8,883
Credit	—		16,305		926		(14,975		)	2,256
Foreign exchange	2,438		144,304		875		(136,491		)	11,126
Equity	—		42,205		5,493		(36,521		)	11,177
Commodity	—		18,238		1,116		(11,317		)	8,037
Total derivative payables	4,528		517,769		10,652		(491,470		)	41,479
Total trading liabilities	88,764		539,648		10,697		(491,470		)	147,639
Accounts payable and other liabilities	2,583		198		92		—			2,873
Beneficial interests issued by consolidated VIEs	—		—		—		—			—
Long-term debt	—		45,965		21,863		—			67,828
Total liabilities measured at fair value on a recurring basis	$	91,347	$	621,334	$	38,770	$	(491,470	)	$	259,981

	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 June 30, 2019, and December 31, 2018, included total U.S. government-sponsored enterprise obligations of $153.6 billion and $92.3 billion, respectively, which were predominantly mortgage-related.

(b) At June 30, 2019, and December 31, 2018, included within trading loans were $16.6 billion and $13.2 billion, respectively, of residential first-lien mortgages, and $2.8 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 $9.9 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 June 30, 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 $746 million and $747 million, respectively. Included in these balances at June 30, 2019, and December 31, 2018, were trading assets of $45 million and $49 million, respectively, and other assets of $701 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)
June 30, 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)	$	942		Discounted cash flows	Yield	0		%	–	15		%			6		%
					Prepayment speed	0		%	–	26		%			13		%
					Conditional default rate	0		%	–	5		%			1		%
					Loss severity	0		%	–	70		%			1		%
Commercial mortgage-backed securities and loans(c)	218			Market comparables	Price	$	0		–	$	110				$	85
Obligations of U.S. states and municipalities	680			Market comparables	Price	$	66		–	$	100				$	97
Corporate debt securities	562			Market comparables	Price	$	0		–	$	109				$	83
Loans(d)	212			Discounted cash flows	Yield	5		%	–	18		%			7		%
	1,079			Market comparables	Price	$	2		–	$	102				$	80
Asset-backed securities	33			Market comparables	Price	$	1		–	$	100				$	38
Net interest rate derivatives	(616		)	Option pricing	Interest rate spread volatility	20		bps	–	30				bps
					Interest rate correlation	(28		)%	–	96		%
					IR-FX correlation	45		%	–	60		%
	72			Discounted cash flows	Prepayment speed	4		%	–	30		%
Net credit derivatives	(265		)	Discounted cash flows	Credit correlation	35		%	–	60		%
					Credit spread	6		bps	–	1,402		bps
					Recovery rate	20		%	–	70		%
					Conditional default rate	2		%	–	91		%
					Loss severity	100%
	33			Market comparables	Price	$	1		–	$	115
Net foreign exchange derivatives	(23		)	Option pricing	IR-FX correlation	(45		)%	–	60		%
	(170		)	Discounted cash flows	Prepayment speed	9%
Net equity derivatives	(2,560		)	Option pricing	Equity volatility	14		%	–	60		%
					Equity correlation	25		%	–	98		%
					Equity-FX correlation	(75		)%	–	59		%
					Equity-IR correlation	20		%	–	60		%
Net commodity derivatives	(908		)	Option pricing	Forward commodity price	$	49		–	$ 70 per barrel
					Commodity volatility	5		%	–	65		%
					Commodity correlation	(48		)%	–	95		%
MSRs	5,093			Discounted cash flows	Refer to Note 14
Other assets	358			Discounted cash flows	Credit spread	45 bps									45 bps
					Yield	8		%	–	12		%			12		%
	814			Market comparables	Price	$	19		–	$	113				$	34
Long-term debt, short-term borrowings, and deposits(e)	27,981			Option pricing	Interest rate spread volatility	20		bps	–	30				bps
					Interest rate correlation	(28		)%	–	96		%
					IR-FX correlation	(45		)%	–	60		%
					Equity correlation	25		%	–	98		%
					Equity-FX correlation	(75		)%	–	59		%
					Equity-IR correlation	20		%	–	60		%
Other level 3 assets and liabilities, net(f)	200

(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) Comprises U.S. government agency securities of $617 million, nonagency securities of $42 million and trading loans of $283 million.

(c) Comprises nonagency securities of $9 million, trading loans of $204 million and non-trading loans of $5 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 and six months ended June 30, 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 June 30, 2019 (in millions)	Fair value at April 1, 2019			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2019				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2019
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	412		$	(25	)		$	318		$	(68	)			$	(20	)	$	—		$	—			$	617		$	(24	)
Residential – nonagency	85			1				11			(14		)			(19		)	—			(22		)		42			—
Commercial – nonagency	17			—				4			—					(12		)	—			—				9			(1		)
Total mortgage-backed securities	514			(24		)		333			(82		)			(51		)	—			(22		)		668			(25		)
U.S. Treasury and government agencies	—			—				—			—					—			—			—				—			—
Obligations of U.S. states and municipalities	623			1				57			(1		)			—			—			—				680			—
Non-U.S. government debt securities	170			—				117			(103		)			—			9			(3		)		190			—
Corporate debt securities	568			7				61			(62		)			(53		)	51			(10		)		562			22
Loans	1,741			56				385			(216		)			(156		)	139			(171		)		1,778			68
Asset-backed securities	119			2				2			(58		)			(30		)	—			(2		)		33			2
Total debt instruments	3,735			42				955			(522		)			(290		)	199			(208		)		3,911			67
Equity securities	202			(12		)		8			(3		)			—			21			(69		)		147			(12		)
Other	304			20				3			—					(15		)	—			(1		)		311			35
Total trading assets – debt and equity instruments	4,241			50			(c)	966			(525		)			(305		)	220			(278		)		4,369			90			(c)
Net derivative receivables:(b)
Interest rate	(147		)	(341		)		28			(60		)			(57		)	(6		)	39				(544		)	(459		)
Credit	(115		)	(127		)		13			(1		)			4			1			(7		)		(232		)	(139		)
Foreign exchange	(356		)	58				10			(8		)			114			(17		)	6				(193		)	82
Equity	(2,066		)	(21		)		34			(158		)			(284		)	(148		)	83				(2,560		)	(91		)
Commodity	(665		)	(171		)		7			(83		)			21			(17		)	—				(908		)	(151		)
Total net derivative receivables	(3,349		)	(602		)	(c)	92			(310		)			(202		)	(187		)	121				(4,437		)	(758		)	(c)
Available-for-sale securities:
Mortgage-backed securities	—			—				—			—					—			—			—				—			—
Asset-backed securities	—			—				—			—					—			—			—				—			—
Total available-for-sale securities	—			—				—			—					—			—			—				—			—
Loans	123			1			(c)	—			—					(119		)	—			—				5			—			(c)
Mortgage servicing rights	5,957			(826		)	(d)	426			(217		)			(247		)	—			—				5,093			(826		)	(d)
Other assets	841			(89		)	(c)	142			(8		)			(26		)	1			—				861			(92		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2019 (in millions)	Fair value at April 1, 2019			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2019				Change in unrealized (gains)/ losses related to financial instruments held at June 30, 2019
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,528		$	89		(c)(e)	$	—		$	—		$	92	$	(292	)	$	—		$	(351	)		$	4,066		$	104		(c)(e)
Short-term borrowings	1,502			72			(c)(e)	—			—			1,037		(624		)	67			(2		)		2,052			28			(c)(e)
Trading liabilities – debt and equity instruments	52			—				(5		)	5			—		—			4			(11		)		45			—
Accounts payable and other liabilities	15			(1		)	(c)	(3		)	80			—		—			1			—				92			(1		)	(c)
Beneficial interests issued by consolidated VIEs	—			—				—			—			—		—			—			—				—			—
Long-term debt	21,655			455			(c)(e)	—			—			2,648		(2,729		)	200			(366		)		21,863			621			(c)(e)

	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2018 (in millions)	Fair value at April 1, 2018			Total realized/unrealized gains/(losses)																	Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2018					Change in unrealized gains/(losses) related to financial instruments held at June 30, 2018
								Purchases(f)			Sales						Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	508		$	—			$	5		$	(11	)				$	(19	)		$	5		$	(10	)		$	478			$	—
Residential – nonagency	55			2				45			(11		)				(1		)		11			(14		)		87				1
Commercial – nonagency	14			2				1			(1		)				(12		)		17			(3		)		18				1
Total mortgage-backed securities	577			4				51			(23		)				(32		)		33			(27		)		583				2
U.S. Treasury and government agencies	—			—				—			—						—				—			—				—				—
Obligations of U.S. states and municipalities	704			(9		)		42			—						(1		)		—			—				736				(9		)
Non-U.S. government debt securities	197			(12		)		126			(92		)				—				—			(36		)		183				(12		)
Corporate debt securities	306			(3		)		60			(40		)				(10		)		36			(75		)		274				4
Loans	2,368			(21		)		565			(806		)				(192		)		251			(179		)		1,986				(30		)
Asset-backed securities	63			4				45			(9		)				(6		)		2			(12		)		87				4
Total debt instruments	4,215			(37		)		889			(970		)				(241		)		322			(329		)		3,849				(41		)
Equity securities	300			(13		)		65			(50		)				(1		)		—			(13		)		288				(8		)
Other	698			(254		)		16			(34		)				(18		)		—			(2		)		406				(259		)
Total trading assets – debt and equity instruments	5,213			(304		)	(c)	970			(1,054		)				(260		)		322			(344		)		4,543				(308		)	(c)
Net derivative receivables:(b)
Interest rate	472			287				38			(51		)				(179		)		(54		)	(24		)		489				254
Credit	5			21				1			(5		)				(29		)		(4		)	(13		)		(24		)		9
Foreign exchange	(288		)	94				13			(3		)				(8		)		(74		)	21				(245		)		95
Equity	(2,512		)	143				606			(1,042		)				(13		)		38			202				(2,578		)		(24		)
Commodity	(519		)	(35		)		—			—						(186		)		(9		)	(3		)		(752		)		(65		)
Total net derivative receivables	(2,842		)	510			(c)	658			(1,101		)				(415		)		(103		)	183				(3,110		)		269			(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—						—				—			—				1				—
Asset-backed securities	204			—				—			—						(57		)		—			—				147				—
Total available-for-sale securities	205			—				—			—						(57		)		—			—				148				—
Loans	396			(9		)	(c)	—			—						(154		)		—			(74		)		159				(9		)	(c)
Mortgage servicing rights	6,202			94			(d)	236			(104		)				(187		)		—			—				6,241				94			(d)
Other assets	1,220			(13		)	(c)	24			(2		)				(5		)		1			—				1,225				(17		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2018 (in millions)	Fair value at April 1, 2018			Total realized/unrealized (gains)/losses																	Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2018					Change in unrealized (gains)/losses related to financial instruments held at June 30, 2018
								Purchases			Sales			Issuances			Settlements(g)
Liabilities:(a)
Deposits	$	4,017		$	49		(c)(e)	$	—		$	—		$	434		$	(57	)		$	1		$	(139	)		$	4,305			$	50		(c)(e)
Short-term borrowings	2,125			(197		)	(c)(e)	—			—			862			(614		)		43			(10		)		2,209				(27		)	(c)(e)
Trading liabilities – debt and equity instruments	50			(11		)	(c)	(25		)	33			—			—				—			(4		)		43				(4		)	(c)
Accounts payable and other liabilities	7			(1		)	(c)	—			1			—			—				1			—				8				(1		)	(c)
Beneficial interests issued by consolidated VIEs	1			—				—			—			—			—				—			—				1				—
Long-term debt	16,950			(344		)	(c)(e)	—			—			3,150		(i)	(2,123		)	(i)	219			(220		)		17,632			(i)	(427		)	(c)(e)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2019				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2019
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	549		$	(40	)		$	323		$	(168	)			$	(38	)	$	1		$	(10	)		$	617		$	(37	)
Residential – nonagency	64			25				81			(83		)			(20		)	15			(40		)		42			—
Commercial – nonagency	11			2				16			(19		)			(14		)	15			(2		)		9			—
Total mortgage-backed securities	624			(13		)		420			(270		)			(72		)	31			(52		)		668			(37		)
U.S. Treasury and government agencies	—			—				—			—					—			—			—				—			—
Obligations of U.S. states and municipalities	689			14				58			(75		)			(6		)	—			—				680			15
Non-U.S. government debt securities	155			(1		)		188			(157		)			—			11			(6		)		190			2
Corporate debt securities	334			29				284			(69		)			(53		)	79			(42		)		562			35
Loans	1,706			139				457			(334		)			(276		)	298			(212		)		1,778			128
Asset-backed securities	127			—				19			(79		)			(37		)	20			(17		)		33			—
Total debt instruments	3,635			168				1,426			(984		)			(444		)	439			(329		)		3,911			143
Equity securities	232			(14		)		23			(82		)			(22		)	96			(86		)		147			(11		)
Other	301			24				15			(1		)			(26		)	1			(3		)		311			45
Total trading assets – debt and equity instruments	4,168			178			(c)	1,464			(1,067		)			(492		)	536			(418		)		4,369			177			(c)
Net derivative receivables:(b)
Interest rate	(38		)	(663		)		47			(207		)			241			12			64				(544		)	(725		)
Credit	(107		)	(144		)		13			(2		)			10			4			(6		)		(232		)	(155		)
Foreign exchange	(297		)	(187		)		11			(17		)			295			(25		)	27				(193		)	(144		)
Equity	(2,225		)	710				161			(455		)			(685		)	(215		)	149				(2,560		)	(134		)
Commodity	(1,129		)	362				10			(171		)			45			(16		)	(9		)		(908		)	485
Total net derivative receivables	(3,796		)	78			(c)	242			(852		)			(94		)	(240		)	225				(4,437		)	(673		)	(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—					(1		)	—			—				—			—
Asset-backed securities	—			—				—			—					—			—			—				—			—
Total available-for-sale securities	1			—				—			—					(1		)	—			—				—			—
Loans	122			4			(c)	—			—					(121		)	—			—				5			5			(c)
Mortgage servicing rights	6,130			(1,125		)	(d)	862			(328		)			(446		)	—			—				5,093			(1,125		)	(d)
Other assets	927			(96		)	(c)	151			(88		)			(27		)	1			(7		)		861			(98		)	(c)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2019				Change in unrealized (gains)/ losses related to financial instruments held at June 30, 2019
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,169		$	241		(c)(e)	$	—		$	—		$	427	$	(316	)	$	—		$	(455	)		$	4,066		$	246		(c)(e)
Short-term borrowings	1,523			118			(c)(e)	—			—			1,688		(1,225		)	68			(120		)		2,052			115			(c)(e)
Trading liabilities – debt and equity instruments	50			—				(7		)	16			—		—			7			(21		)		45			1			(c)
Accounts payable and other liabilities	10			(1		)	(c)	(8		)	90			—		—			1			—				92			(1		)	(c)
Beneficial interests issued by consolidated VIEs	1			(1		)	(c)	—			—			—		—			—			—				—			—
Long-term debt	19,418			1,728			(c)(e)	—			—			4,699		(3,917		)	473			(538		)		21,863			2,039			(c)(e)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2018					Change in unrealized gains/(losses) related to financial instruments held at June 30, 2018
								Purchases(f)			Sales						Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	307		$	3			$	334		$	(98	)				$	(39	)		$	9		$	(38	)		$	478			$	1
Residential – nonagency	60			—				45			(13		)				(3		)		40			(42		)		87				1
Commercial – nonagency	11			3				7			(8		)				(13		)		21			(3		)		18				(2		)
Total mortgage-backed securities	378			6				386			(119		)				(55		)		70			(83		)		583				—
U.S. Treasury and government agencies	1			—				—			—						—				—			(1		)		—				—
Obligations of U.S. states and municipalities	744			(11		)		81			—						(78		)		—			—				736				(11		)
Non-U.S. government debt securities	78			(10		)		351			(184		)				—				17			(69		)		183				(9		)
Corporate debt securities	312			(4		)		141			(140		)				(11		)		167			(191		)		274				3
Loans	2,719			41				1,035			(1,534		)				(329		)		374			(320		)		1,986				(24		)
Asset-backed securities	153			9				59			(22		)				(40		)		13			(85		)		87				5
Total debt instruments	4,385			31				2,053			(1,999		)				(513		)		641			(749		)		3,849				(36		)
Equity securities	295			(21		)		93			(60		)				(1		)		4			(22		)		288				(8		)
Other	690			(239		)		34			(40		)				(38		)		1			(2		)		406				(251		)
Total trading assets – debt and equity instruments	5,370			(229		)	(c)	2,180			(2,099		)				(552		)		646			(773		)		4,543				(295		)	(c)
Net derivative receivables:(b)
Interest rate	264			340				55			(55		)				(133		)		(28		)	46				489				314
Credit	(35		)	38				2			(7		)				(25		)		(1		)	4				(24		)		11
Foreign exchange	(396		)	240				13			(8		)				3				(112		)	15				(245		)		190
Equity	(3,409		)	782				824			(1,284		)				421				(73		)	161				(2,578		)		514
Commodity	(674		)	150				—			—						(174		)		(8		)	(46		)		(752		)		154
Total net derivative receivables	(4,250		)	1,550			(c)	894			(1,354		)				92				(222		)	180				(3,110		)		1,183			(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—						—				—			—				1				—
Asset-backed securities	276			1				—			—						(130		)		—			—				147				1
Total available-for-sale securities	277			1			(j)	—			—						(130		)		—			—				148				1			(d)
Loans	276			(4		)	(c)	122			—						(161		)		—			(74		)		159				(5		)	(c)
Mortgage servicing rights	6,030			478			(d)	479			(399		)				(347		)		—			—				6,241				478			(d)
Other assets	1,265			(50		)	(c)	47			(16		)				(21		)		1			(1		)		1,225				(52		)	(c)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2018					Change in unrealized (gains)/losses related to financial instruments held at June 30, 2018
								Purchases			Sales			Issuances			Settlements(g)
Liabilities:(a)
Deposits	$	4,142		$	(41	)	(c)(e)	$	—		$	—		$	755		$	(255	)		$	1		$	(297	)		$	4,305			$	(86	)	(c)(e)
Short-term borrowings	1,665			(182		)	(c)(e)	—			—			2,070			(1,360		)		55			(39		)		2,209				(31		)	(c)(e)
Trading liabilities – debt and equity instruments	39			(8		)	(c)	(62		)	76			—			1				2			(5		)		43				(1		)	(c)
Accounts payable and other liabilities	13			(1		)	(c)	(6		)	1			—			—				1			—				8				(1		)	(c)
Beneficial interests issued by consolidated VIEs	39			—				—			—			—			(38		)		—			—				1				—
Long-term debt	16,125			(590		)	(c)(e)	—			—			6,241		(i)	(4,386		)	(i)	594			(352		)		17,632			(i)	(706		)	(c)(e)

(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 June 30, 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) was 15% at June 30, 2019 and December 31, 2018.

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

(e) 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 and six months ended June 30, 2019 and 2018, respectively. Unrealized (gains)/losses are reported in OCI, and they were $(5) million and $(71) million for the three months ended June 30, 2019 and 2018, respectively and $170 million and $(123) million for the six months ended June 30, 2019 and 2018, respectively.

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

(j)

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) recorded in income on AFS securities for the three and six months ended June 30, 2019 and 2018, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were zero for both the three months ended June 30, 2019 and 2018, respectively and zero and $1 million for the six months ended June 30, 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 June 30,					Six months ended June 30,
(in millions)	2019			2018		2019		2018
Credit and funding adjustments:
Derivatives CVA	$	(44	)	$	73	$	16	$	157
Derivatives FVA	(89		)	97		63		14

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 and six months ended June 30, 2019 and 2018, related to assets and liabilities held at those dates.

	Three months ended June 30,						Six months ended June 30,
(in millions)	2019			2018			2019			2018
Loans	$	(33	)	$	(18	)	$	(54	)	$	(22	)
Other assets(a)	13			37			90			528
Total nonrecurring fair value gains/(losses)	$	(20	)	$	19		$	36		$	506

(a)

Included $16 million and $41 million for the three months ended June 30, 2019 and 2018, respectively and $95 million and $534 million for the six months ended June 30, 2019 and 2018, respectively, of net gains as a result of the measurement alternative.

The following tables present the assets held as of June 30, 2019 and 2018, respectively, for which a nonrecurring fair value adjustment was recorded during the six months ended June 30, 2019 and 2018, respectively, by major product category and fair value hierarchy.

	Fair value hierarchy							Total fair value
June 30, 2019 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	733	$	141	(b)	$	874
Other assets(a)	—		13		713			726
Total assets measured at fair value on a nonrecurring basis	$	—	$	746	$	854		$	1,600

	Fair value hierarchy						Total fair value
June 30, 2018 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	325	$	210	$	535
Other assets	—		217		823		1,040
Total assets measured at fair value on a nonrecurring basis	$	—	$	542	$	1,033	$	1,575

(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 $713 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2019, $564 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 $141 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2019, $110 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 29%.

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 June 30, 2019 and 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						Six months ended
	June 30,						June 30,
As of or for the period ended,
(in millions)	2019			2018			2019			2018
Other assets
Carrying value(a)	$	1,704		$	1,471		$	1,704		$	1,471
Upward carrying value changes(b)	52			67			136			562
Downward carrying value changes/impairment(c)	(36		)	(26		)	(42		)	(28		)

(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 June 30, 2019 were $446 million.

(c)

The cumulative downward carrying value changes/impairment between January 1, 2018 and June 30, 2019 were $(202) 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 June 30, 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.

	June 30, 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	$	23.2	$	23.2	$	—	$	—	$	23.2	$	22.3	$	22.3	$	—	$	—	$	22.3
Deposits with banks	244.9		244.9		—		—		244.9		256.5		256.5		—		—		256.5
Accrued interest and accounts receivable	87.2		0.8		86.3		0.1		87.2		72.0		—		71.9		0.1		72.0
Federal funds sold and securities purchased under resale agreements	253.9		—		253.9		—		253.9		308.4		—		308.4		—		308.4
Securities borrowed	125.0		—		125.0		—		125.0		106.9		—		106.9		—		106.9
Investment securities, held-to-maturity	30.9		—		32.1		—		32.1		31.4		—		31.5		—		31.5
Loans, net of allowance for loan losses(a)	939.4		—		224.1		727.8		951.9		968.0		—		241.5		728.5		970.0
Other	59.2		—		58.4		0.9		59.3		60.5		—		59.6		1.0		60.6
Financial liabilities
Deposits	$	1,491.4	$	—	$	1,491.8	$	—	$	1,491.8	$	1,447.4	$	—	$	1,447.5	$	—	$	1,447.5
Federal funds purchased and securities loaned or sold under repurchase agreements	200.7		—		200.7		—		200.7		181.4		—		181.4		—		181.4
Short-term borrowings	52.2		—		52.2		—		52.2		62.1		—		62.1		—		62.1
Accounts payable and other liabilities	175.8		0.1		172.2		3.1		175.4		160.6		0.2		157.0		3.0		160.2
Beneficial interests issued by consolidated VIEs	25.6		—		25.6		—		25.6		20.2		—		20.2		—		20.2
Long-term debt and junior subordinated deferrable interest debentures	220.8		—		221.6		3.3		224.9		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.

	June 30, 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	$	1.1	$	—	$	—	$	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.