Fair Value Measurement (Tables)

9 Months Ended

Sep. 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 September 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)
September 30, 2019 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	13,705	$	—	$	—		$	13,705
Securities borrowed	—		5,784		—		—			5,784
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		70,617		811		—			71,428
Residential – nonagency	—		2,253		24		—			2,277
Commercial – nonagency	—		1,613		5		—			1,618
Total mortgage-backed securities	—		74,483		840		—			75,323
U.S. Treasury, GSEs and government agencies(a)	76,953		9,446		—		—			86,399
Obligations of U.S. states and municipalities	—		6,229		627		—			6,856
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,180		—		—			2,180
Non-U.S. government debt securities	38,162		36,634		146		—			74,942
Corporate debt securities	—		20,461		484		—			20,945
Loans(b)	—		43,308		1,746		—			45,054
Asset-backed securities	—		2,996		38		—			3,034
Total debt instruments	115,115		195,737		3,881		—			314,733
Equity securities	100,829		249		170		—			101,248
Physical commodities(c)	7,690		3,075		—		—			10,765
Other	—		13,172		332		—			13,504
Total debt and equity instruments(d)	223,634		212,233		4,383		—			440,250
Derivative receivables:
Interest rate	1,312		372,834		1,787		(347,426		)	28,507
Credit	—		15,072		645		(14,879		)	838
Foreign exchange	3,681		158,893		558		(150,451		)	12,681
Equity	—		44,064		2,314		(38,969		)	7,409
Commodity	—		20,969		269		(15,096		)	6,142
Total derivative receivables	4,993		611,832		5,573		(566,821		)	55,577
Total trading assets(e)	228,627		824,065		9,956		(566,821		)	495,827
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		105,581		—		—			105,581
Residential – nonagency	—		12,901		1		—			12,902
Commercial – nonagency	—		5,324		—		—			5,324
Total mortgage-backed securities	—		123,806		1		—			123,807
U.S. Treasury and government agencies	141,529		—		—		—			141,529
Obligations of U.S. states and municipalities	—		31,064		—		—			31,064
Certificates of deposit	—		74		—		—			74
Non-U.S. government debt securities	13,604		8,554		—		—			22,158
Corporate debt securities	—		1,634		—		—			1,634
Asset-backed securities:
Collateralized loan obligations	—		27,908		—		—			27,908
Other	—		5,247		—		—			5,247
Total available-for-sale securities	155,133		198,287		1		—			353,421
Loans	—		5,759		1		—			5,760
Mortgage servicing rights	—		—		4,419		—			4,419
Other assets(e)	7,467		37		746		—			8,250
Total assets measured at fair value on a recurring basis	$	391,227	$	1,047,637	$	15,123	$	(566,821	)	$	887,166
Deposits	$	—	$	25,719	$	3,636	$	—		$	29,355
Federal funds purchased and securities loaned or sold under repurchase agreements	—		933		—		—			933
Short-term borrowings	—		4,496		2,001		—			6,497
Trading liabilities:
Debt and equity instruments(d)	66,515		23,970		68		—			90,553
Derivative payables:
Interest rate	1,206		335,401		2,106		(328,490		)	10,223
Credit	—		16,100		962		(14,903		)	2,159
Foreign exchange	3,583		160,760		1,399		(150,726		)	15,016
Equity	—		45,109		5,782		(40,288		)	10,603
Commodity	—		25,495		316		(16,022		)	9,789
Total derivative payables	4,789		582,865		10,565		(550,429		)	47,790
Total trading liabilities	71,304		606,835		10,633		(550,429		)	138,343
Accounts payable and other liabilities	2,355		37		19		—			2,411
Beneficial interests issued by consolidated VIEs	—		39		—		—			39
Long-term debt	—		49,608		22,349		—			71,957
Total liabilities measured at fair value on a recurring basis	$	73,659	$	687,667	$	38,638	$	(550,429	)	$	249,535

	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. GSEs and 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, GSEs 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. GSEs and 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 September 30, 2019, and December 31, 2018, included total U.S. GSE obligations of $133.6 billion and $92.3 billion, respectively, which were mortgage-related.

(b) At September 30, 2019, and December 31, 2018, included within trading loans were $16.1 billion and $13.2 billion, respectively, of residential first-lien mortgages, and $4.2 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. GSEs and government agencies of $10.3 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. Refer to Note 4 for a further discussion of the Firm’s hedge accounting relationships. 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 September 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 $714 million and $747 million, respectively. Included in these balances at September 30, 2019, and December 31, 2018, were trading assets of $48 million and $49 million, respectively, and other assets of $666 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)
September 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)	$	1,132		Discounted cash flows	Yield	0		%	–	19		%			5		%
					Prepayment speed	0		%	–	22		%			14		%
					Conditional default rate	0		%	–	4		%			1		%
					Loss severity	0		%	–	100		%			2		%
Commercial mortgage-backed securities and loans(c)	147			Market comparables	Price	$	0		–	$	102				$	80
Obligations of U.S. states and municipalities	627			Market comparables	Price	$	68		–	$	100				$	97
Corporate debt securities	484			Market comparables	Price	$	4		–	$	116				$	79
Loans(d)	194			Discounted cash flows	Yield	5		%	–	22		%			7		%
	1,115			Market comparables	Price	$	12		–	$	101				$	78
Asset-backed securities	38			Market comparables	Price	$	1		–	$	100				$	53
Net interest rate derivatives	(388		)	Option pricing	Interest rate spread volatility	20		bps	–	30				bps
					Interest rate correlation	(28		)%	–	96		%
					IR-FX correlation	53		%	–	60		%
	69			Discounted cash flows	Prepayment speed	4		%	–	30		%
Net credit derivatives	(353		)	Discounted cash flows	Credit correlation	30		%	–	60		%
					Credit spread	4		bps	–	1,315		bps
					Recovery rate	15		%	–	70		%
					Conditional default rate	2		%	–	93		%
					Loss severity	100%
	36			Market comparables	Price	$	1		–	$	115
Net foreign exchange derivatives	(679		)	Option pricing	IR-FX correlation	(58		)%	–	60		%
	(162		)	Discounted cash flows	Prepayment speed	9%
Net equity derivatives	(3,468		)	Option pricing	Equity volatility	11		%	–	82		%
					Equity correlation	10		%	–	98		%
					Equity-FX correlation	(81		)%	–	59		%
					Equity-IR correlation	25		%	–	60		%
Net commodity derivatives	(47		)	Option pricing	Forward commodity price	$	30		–	$ 61 per barrel
					Commodity volatility	5		%	–	111		%
					Commodity correlation	(48		)%	–	95		%
MSRs	4,419			Discounted cash flows	Refer to Note 14
Other assets	303			Discounted cash flows	Credit spread	45						bps			45		bps
					Yield	12%									12		%
	775			Market comparables	Price	$	18		–	$	115				$	36
Long-term debt, short-term borrowings, and deposits(e)	27,986			Option pricing	Interest rate spread volatility	20		bps	–	30				bps
					Interest rate correlation	(28		)%	–	96		%
					IR-FX correlation	(58		)%	–	60		%
					Equity correlation	10		%	–	98		%
					Equity-FX correlation	(81		)%	–	59		%
					Equity-IR correlation	25		%	–	60		%
Other level 3 assets and liabilities, net(f)	229

(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. GSEs and government agency securities of $811 million, nonagency securities of $24 million and trading loans of $297 million.

(c) Comprises nonagency securities of $5 million, trading loans of $141 million and non-trading loans of $1 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 nine months ended September 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 September 30, 2019 (in millions)	Fair value at July 1, 2019			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at September 30, 2019				Change in unrealized gains/(losses) related to financial instruments held at September 30, 2019
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	617		$	(71	)		$	424		$	(104	)			$	(45	)	$	—		$	(10	)		$	811		$	(70	)
Residential – nonagency	42			—				2			(3		)			—			—			(17		)		24			(1		)
Commercial – nonagency	9			—				3			(5		)			—			—			(2		)		5			—
Total mortgage-backed securities	668			(71		)		429			(112		)			(45		)	—			(29		)		840			(71		)
U.S. Treasury, GSEs and government agencies	—			—				—			—					—			—			—				—			—
Obligations of U.S. states and municipalities	680			(2		)		27			(77		)			(1		)	—			—				627			(2		)
Non-U.S. government debt securities	190			(1		)		40			(74		)			—			3			(12		)		146			(1		)
Corporate debt securities	562			45				56			(167		)			—			17			(29		)		484			3
Loans	1,778			(44		)		152			(82		)			(132		)	211			(137		)		1,746			(46		)
Asset-backed securities	33			—				11			(2		)			(2		)	3			(5		)		38			(2		)
Total debt instruments	3,911			(73		)		715			(514		)			(180		)	234			(212		)		3,881			(119		)
Equity securities	147			(14		)		10			(10		)			—			46			(9		)		170			(16		)
Other	311			18				35			(15		)			(15		)	—			(2		)		332			23
Total trading assets – debt and equity instruments	4,369			(69		)	(c)	760			(539		)			(195		)	280			(223		)		4,383			(112		)	(c)
Net derivative receivables:(b)
Interest rate	(544		)	88				39			(15		)			53			10			50				(319		)	(15		)
Credit	(232		)	(65		)		3			(3		)			(23		)	3			—				(317		)	(68		)
Foreign exchange	(193		)	(653		)		2			(1		)			(1		)	6			(1		)		(841		)	(657		)
Equity	(2,560		)	(382		)		174			(118		)			(377		)	(203		)	(2		)		(3,468		)	(362		)
Commodity	(908		)	8				22			(69		)			6			18			876				(47		)	40
Total net derivative receivables	(4,437		)	(1,004		)	(c)	240			(206		)			(342		)	(166		)	923				(4,992		)	(1,062		)	(c)
Available-for-sale securities:
Mortgage-backed securities	—			—				1			—					—			—			—				1			—
Asset-backed securities	—			—				—			—					—			—			—				—			—
Total available-for-sale securities	—			—				1			—					—			—			—				1			—
Loans	5			—				—			—					(4		)	—			—				1			—
Mortgage servicing rights	5,093			(447		)	(d)	388			(359		)			(256		)	—			—				4,419			(447		)	(d)
Other assets	861			(56		)	(c)	19			(72		)			(6		)	—			—				746			(56		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2019 (in millions)	Fair value at July 1, 2019			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at September 30, 2019				Change in unrealized (gains)/ losses related to financial instruments held at September 30, 2019
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,066		$	—			$	—		$	—		$	153	$	(188	)	$	12		$	(407	)		$	3,636		$	16		(c)(e)
Short-term borrowings	2,052			24			(c)(e)	—			—			949		(1,040		)	17			(1		)		2,001			28			(c)(e)
Trading liabilities – debt and equity instruments	45			—				(5		)	25			—		1			2			—				68			—
Accounts payable and other liabilities	92			(6		)	(c)	(71		)	4			—		—			—			—				19			(2		)	(c)
Beneficial interests issued by consolidated VIEs	—			—				—			—			—		—			—			—				—			—
Long-term debt	21,863			187			(c)(e)	—			—			2,230		(1,758		)	49			(222		)		22,349			89			(c)(e)

	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2018 (in millions)	Fair value at July 1, 2018				Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at September 30, 2018					Change in unrealized gains/(losses) related to financial instruments held at September 30, 2018
									Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	478			$	2			$	14		$	(28	)			$	(17	)	$	83		$	(3	)		$	529			$	—
Residential – nonagency	87				1				—			(6		)			(3		)	18			(20		)		77				1
Commercial – nonagency	18				(1		)		—			—								9			(13		)		13				(1		)
Total mortgage-backed securities	583				2				14			(34		)			(20		)	110			(36		)		619				—
U.S. Treasury, GSEs and government agencies	—				—				—			—					—			—			—				—				—
Obligations of U.S. states and municipalities	736				8				26			(70		)			(1		)	—			—				699				7
Non-U.S. government debt securities	183				(9		)		44			(29		)			(2		)	1			(24		)		164				(9		)
Corporate debt securities	274				(2		)		156			(87		)			(4		)	82			(24		)		395				(3		)
Loans	1,986				17				188			(146		)			(199		)	48			(361		)		1,533				3
Asset-backed securities	87				6				5			(7		)			(13		)	5			(7		)		76				3
Total debt instruments	3,849				22				433			(373		)			(239		)	246			(452		)		3,486				1
Equity securities	288				20				6			(48		)						82			(19		)		329				(18		)
Other	406				30				13			—					(37		)	2			(1		)		413				10
Total trading assets – debt and equity instruments	4,543				72			(c)	452			(421		)			(276		)	330			(472		)		4,228				(7		)	(c)
Net derivative receivables:(b)
Interest rate	489				236				28			(22		)			(101		)	68			(7		)		691				216
Credit	(24		)		(19		)		1			—					47			6			16				27				(15		)
Foreign exchange	(245		)		(56		)		29			(7		)			(49		)	(2		)	28				(302		)		(54		)
Equity	(2,578		)		(94		)		643			(635		)			622			(251		)	16				(2,277		)		(121		)
Commodity	(752		)		318				—			—					(113		)	15			7				(525		)		138
Total net derivative receivables	(3,110		)		385			(c)	701			(664		)			406			(164		)	60				(2,386		)		164			(c)
Available-for-sale securities:
Mortgage-backed securities	1				—				—			—					—			—			—				1				—
Asset-backed securities	147				—				—			—					(86		)	—			—				61				—
Total available-for-sale securities	148				—				—			—					(86		)	—			—				62				—
Loans	159				(1		)	(c)	1			—					(19		)	—			—				140				(1		)	(c)
Mortgage servicing rights	6,241				98			(d)	291			(2		)			(195		)	—			—				6,433				98			(d)
Other assets	1,225				(160		)	(c)	2			—					(7		)	3			—				1,063				(160		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2018 (in millions)	Fair value at July 1, 2018				Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at September 30, 2018					Change in unrealized (gains)/losses related to financial instruments held at September 30, 2018
									Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,305			$	(84	)	(c)(e)	$	—		$	—		$	517	$	(170	)	$	1		$	(129	)		$	4,440			$	(82	)	(c)(e)
Short-term borrowings	2,209				(47		)	(c)(e)	—			—			713		(885		)	6			(25		)		1,971				(31		)	(c)(e)
Trading liabilities – debt and equity instruments	43				36			(c)	(6		)	19			—		(2		)	7			(1		)		96				36			(c)
Accounts payable and other liabilities	8				1			(c)	—			—			—		—			3			—				12				1			(c)
Beneficial interests issued by consolidated VIEs	1				—				—			—			—		—			—			—				1				—
Long-term debt	17,632			(i)	194			(c)(e)	—			—			3,551		(1,809		)	59			(219		)		19,408			(i)	192			(c)(e)

	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2019				Change in unrealized gains/(losses) related to financial instruments held at September 30, 2019
								Purchases(f)			Sales						Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	549		$	(111	)		$	747		$	(272	)				$	(83	)		$	1		$	(20	)		$	811		$	(116	)
Residential – nonagency	64			25				83			(86		)				(20		)		15			(57		)		24			(1		)
Commercial – nonagency	11			2				19			(24		)				(14		)		15			(4		)		5			1
Total mortgage-backed securities	624			(84		)		849			(382		)				(117		)		31			(81		)		840			(116		)
U.S. Treasury, GSEs and government agencies	—			—				—			—						—				—			—				—			—
Obligations of U.S. states and municipalities	689			12				85			(152		)				(7		)		—			—				627			13
Non-U.S. government debt securities	155			(2		)		228			(231		)				—				14			(18		)		146			3
Corporate debt securities	334			74				340			(236		)				(53		)		96			(71		)		484			15
Loans	1,706			95				609			(416		)				(408		)		509			(349		)		1,746			44
Asset-backed securities	127			—				30			(81		)				(39		)		23			(22		)		38			(3		)
Total debt instruments	3,635			95				2,141			(1,498		)				(624		)		673			(541		)		3,881			(44		)
Equity securities	232			(28		)		33			(92		)				(22		)		142			(95		)		170			(21		)
Other	301			42				50			(16		)				(41		)		1			(5		)		332			55
Total trading assets – debt and equity instruments	4,168			109			(c)	2,224			(1,606		)				(687		)		816			(641		)		4,383			(10		)	(c)
Net derivative receivables:(b)
Interest rate	(38		)	(575		)		86			(102		)	(i)			174			(i)	22			114				(319		)	(694		)
Credit	(107		)	(209		)		16			(5		)				(13		)		7			(6		)		(317		)	(169		)
Foreign exchange	(297		)	(840		)		13			(18		)				294				(19		)	26				(841		)	(815		)
Equity	(2,225		)	328				335			(573		)				(1,062		)		(418		)	147				(3,468		)	(1,193		)
Commodity	(1,129		)	370				32			(240		)				51				2			867				(47		)	634
Total net derivative receivables	(3,796		)	(926		)	(c)	482			(938		)				(556		)		(406		)	1,148				(4,992		)	(2,237		)	(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				1			—						(1		)		—			—				1			—
Asset-backed securities	—			—				—			—						—				—			—				—			—
Total available-for-sale securities	1			—				1			—						(1		)		—			—				1			—
Loans	122			4			(c)	—			—						(125		)		—			—				1			—
Mortgage servicing rights	6,130			(1,572		)	(d)	1,250			(687		)				(702		)		—			—				4,419			(1,572		)	(d)
Other assets	927			(152		)	(c)	170			(160		)				(33		)		1			(7		)		746			(145		)	(c)
	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2019				Change in unrealized (gains)/ losses related to financial instruments held at September 30, 2019
								Purchases			Sales				Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,169		$	241		(c)(e)	$	—		$	—			$	580	$	(504	)		$	12		$	(862	)		$	3,636		$	250		(c)(e)
Short-term borrowings	1,523			142			(c)(e)	—			—				2,637		(2,265		)		85			(121		)		2,001			74			(c)(e)
Trading liabilities – debt and equity instruments	50			—				(12		)	41				—		1				9			(21		)		68			(1		)	(c)
Accounts payable and other liabilities	10			(7		)	(c)	(79		)	94				—		—				1			—				19			4			(c)
Beneficial interests issued by consolidated VIEs	1			(1		)	(c)	—			—				—		—				—			—				—			—
Long-term debt	19,418			1,915			(c)(e)	—			—				6,929		(5,675		)		522			(760		)		22,349			2,010			(c)(e)

	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2018					Change in unrealized gains/(losses) related to financial instruments held at September 30, 2018
								Purchases(f)			Sales						Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	307		$	5			$	348		$	(126	)				$	(56	)		$	92		$	(41	)		$	529			$	3
Residential – nonagency	60			1				45			(19		)				(6		)		58			(62		)		77				4
Commercial – nonagency	11			2				7			(8		)				(13		)		30			(16		)		13				(1		)
Total mortgage-backed securities	378			8				400			(153		)				(75		)		180			(119		)		619				6
U.S. Treasury, GSEs and government agencies	1			—				—			—						—				—			(1		)		—				—
Obligations of U.S. states and municipalities	744			(3		)		107			(70		)				(79		)		—			—				699				(3		)
Non-U.S. government debt securities	78			(19		)		395			(213		)				(2		)		18			(93		)		164				(18		)
Corporate debt securities	312			(6		)		297			(227		)				(15		)		249			(215		)		395				(1		)
Loans	2,719			58				1,223			(1,680		)				(528		)		422			(681		)		1,533				(22		)
Asset-backed securities	153			15				64			(29		)				(53		)		18			(92		)		76				8
Total debt instruments	4,385			53				2,486			(2,372		)				(752		)		887			(1,201		)		3,486				(30		)
Equity securities	295			(1		)		99			(108		)				(1		)		86			(41		)		329				11
Other	690			(209		)		47			(40		)				(75		)		3			(3		)		413				(250		)
Total trading assets – debt and equity instruments	5,370			(157		)	(c)	2,632			(2,520		)				(828		)		976			(1,245		)		4,228				(269		)	(c)
Net derivative receivables:(b)
Interest rate	264			576				83			(77		)				(234		)		40			39				691				498
Credit	(35		)	19				3			(7		)				22				5			20				27				7
Foreign exchange	(396		)	184				42			(15		)				(46		)		(114		)	43				(302		)		42
Equity	(3,409		)	688				1,467			(1,919		)				1,043				(324		)	177				(2,277		)		31
Commodity	(674		)	468				—			—						(287		)		7			(39		)		(525		)		158
Total net derivative receivables	(4,250		)	1,935			(c)	1,595			(2,018		)				498				(386		)	240				(2,386		)		736			(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—						—				—			—				1				—
Asset-backed securities	276			1				—			—						(216		)		—			—				61				1
Total available-for-sale securities	277			1			(j)	—			—						(216		)		—			—				62				1			(j)
Loans	276			(5		)	(c)	123			—						(180		)		—			(74		)		140				(5		)	(c)
Mortgage servicing rights	6,030			576			(d)	770			(401		)				(542		)		—			—				6,433				576			(d)
Other assets	1,265			(210		)	(c)	49			(16		)				(28		)		4			(1		)		1,063				(217		)	(c)
	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2018					Change in unrealized (gains)/losses related to financial instruments held at September 30, 2018
								Purchases			Sales			Issuances			Settlements(g)
Liabilities:(a)
Deposits	$	4,142		$	(125	)	(c)(e)	$	—		$	—		$	1,272		$	(425	)		$	2		$	(426	)		$	4,440			$	(115	)	(c)(e)
Short-term borrowings	1,665			(229		)	(c)(e)	—			—			2,783			(2,245		)		61			(64		)		1,971				26			(c)(e)
Trading liabilities – debt and equity instruments	39			28			(c)	(68		)	95			—			(1		)		9			(6		)		96				11			(c)
Accounts payable and other liabilities	13			—				(6		)	1			—			—				4			—				12				—
Beneficial interests issued by consolidated VIEs	39			—				—			—			—			(38		)		—			—				1				—
Long-term debt	16,125			(396		)	(c)(e)	—			—			9,792		(i)	(6,195		)	(i)	653			(571		)		19,408			(i)	(576		)	(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 September 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) were 15% at both September 30, 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) 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 nine months ended September 30, 2019 and 2018, respectively. Unrealized (gains)/losses are reported in OCI, and they were $(62) million and $123 million for the three months ended September 30, 2019 and 2018, respectively and $108 million for the nine months ended September 30, 2019 and were not material for the nine months ended September 30, 2018.

(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 nine months ended September 30, 2019 and 2018, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were zero for both the three months ended September 30, 2019 and 2018, respectively and zero and $1 million for the nine months ended September 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 September 30,					Nine months ended September 30,
(in millions)	2019			2018		2019			2018
Credit and funding adjustments:
Derivatives CVA	$	55		$	66	$	71		$	223
Derivatives FVA	(83		)	88		(20		)	102

Assets and liabilities measured at fair value on a nonrecurring basis

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

	Fair value hierarchy								Total fair value
September 30, 2019 (in millions)	Level 1		Level 2			Level 3
Loans	$	—	$	5,338	(b)	$	246	(c)	$	5,584
Other assets(a)	—		18			775			793
Total assets measured at fair value on a nonrecurring basis	$	—	$	5,356		$	1,021		$	6,377

	Fair value hierarchy						Total fair value
September 30, 2018 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	492	$	243	$	735
Other assets	—		216		826		1,042
Total assets measured at fair value on a nonrecurring basis	$	—	$	708	$	1,069	$	1,777

(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 $775 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2019, $638 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) Primarily includes certain mortgage loans that were reclassified to held-for-sale.

(c)

Of the $246 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2019, $200 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%.

The following table presents the total change in value of assets for which a fair value adjustment has been recognized for the three and nine months ended September 30, 2019 and 2018, related to assets held at those dates.

	Three months ended September 30,							Nine months ended September 30,
(in millions)	2019				2018			2019				2018
Loans	$	(142	)	(b)	$	(22	)	$	(232	)	(b)	$	(36	)
Other assets(a)	23				(117		)	123				383
Total nonrecurring fair value gains/(losses)	$	(119	)		$	(139	)	$	(109	)		$	347

(a) Included $34 million and $(113) million for the three months ended September 30, 2019 and 2018, respectively and $132 million and $384 million for the nine months ended September 30, 2019 and 2018, respectively, of net gains as a result of the measurement alternative.

(b)

Primarily includes the impact of certain mortgage loans that were reclassified to held-for-sale.

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 September 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					Nine months ended
	September 30,					September 30,
As of or for the period ended,
(in millions)	2019		2018			2019			2018
Other assets
Carrying value(a)	$	2,771	$	1,801		$	2,771		$	1,801
Upward carrying value changes(b)	34		14			169			540
Downward carrying value changes/impairment(c)	—		(127		)	(37		)	(156		)

(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 September 30, 2019 were $479 million.

(c)

The cumulative downward carrying value changes/impairment between January 1, 2018 and September 30, 2019 were $(197) 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 September 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.

	September 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	$	21.2	$	21.2	$	—	$	—	$	21.2	$	22.3	$	22.3	$	—	$	—	$	22.3
Deposits with banks	235.4		235.4		—		—		235.4		256.5		256.5		—		—		256.5
Accrued interest and accounts receivable	87.9		—		87.9		—		87.9		72.0		—		71.9		0.1		72.0
Federal funds sold and securities purchased under resale agreements	243.7		—		243.7		—		243.7		308.4		—		308.4		—		308.4
Securities borrowed	132.6		—		132.6		—		132.6		106.9		—		106.9		—		106.9
Investment securities, held-to-maturity	40.8		—		42.4		—		42.4		31.4		—		31.5		—		31.5
Loans, net of allowance for loan losses(a)	926.2		—		218.9		720.7		939.6		968.0		—		241.5		728.5		970.0
Other	60.6		—		59.8		0.9		60.7		60.5		—		59.6		1.0		60.6
Financial liabilities
Deposits	$	1,495.9	$	—	$	1,496.3	$	—	$	1,496.3	$	1,447.4	$	—	$	1,447.5	$	—	$	1,447.5
Federal funds purchased and securities loaned or sold under repurchase agreements	246.8		—		246.8		—		246.8		181.4		—		181.4		—		181.4
Short-term borrowings	42.4		—		42.4		—		42.4		62.1		—		62.1		—		62.1
Accounts payable and other liabilities	181.5		0.7		177.0		3.4		181.1		160.6		0.2		157.0		3.0		160.2
Beneficial interests issued by consolidated VIEs	18.5		—		18.5		—		18.5		20.2		—		20.2		—		20.2
Long-term debt and junior subordinated deferrable interest debentures	224.3		—		223.5		3.4		226.9		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.

	September 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	$	—	$	—	$	1.9	$	1.9	$	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.