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Fair Value Option (Tables)
 9 Months Ended
Sep. 30, 2019
Fair Value Disclosures [Abstract]  
Changes in fair value under the fair value option election
The following table presents the changes in fair value included in the Consolidated statements of income for the three months ended September 30, 2019 and 2018, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.
 
Three months ended September 30,
 
2019
 
2018
(in millions)
Principal transactions
 
All other income
Total changes in fair
value recorded (e)
 
Principal transactions
 
All other income
Total changes in fair value recorded (e)
Federal funds sold and securities purchased under resale agreements
$
(23
)
 
$
—

 
$
(23
)
 
 
$
(23
)
 
$
—

 
$
(23
)
Securities borrowed
99

 
—

 
99

 
 
(24
)
 
—

 
(24
)
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Debt and equity instruments, excluding loans
546

 
—

 
546

 
 
(45
)
 
5

(c) 
(40
)
Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
111

 
(4
)
(c) 
107

 
 
122

 
1

(c) 
123

Other changes in fair value
74

 
320

(c) 
394

 
 
(6
)
 
49

(c) 
43

Loans:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
(4
)
 
—

 
(4
)
 
 
(1
)
 
—

 
(1
)
Other changes in fair value
—

 
—

 
—

 
 
1

 
—

 
1

Other assets
(6
)
 
—

 
(6
)
 
 
2

 
16

(d) 
18

Deposits(a)
(397
)
 
—

 
(397
)
 
 
32

 
—

 
32

Federal funds purchased and securities loaned or sold under repurchase agreements
2

 
—

 
2

 
 
8

 
—

 
8

Short-term borrowings(a)
173

 
—

 
173

 
 
(25
)
 
—

 
(25
)
Trading liabilities
—

 
—

 
—

 
 
2

 
—

 
2

Other liabilities
1

 
—

 
1

 
 
—

 
—

 
—

Long-term debt(a)(b)
(614
)
 
—

 
(614
)
 
 
259

 
—

 
259


























 
Nine months ended September 30,
 
2019
 
2018
(in millions)
Principal transactions
 
All other income
Total changes in fair
value recorded (e)
 
Principal transactions
 
All other income
Total changes in fair value recorded (e)
Federal funds sold and securities purchased under resale agreements
$
10

 
$
—

 
$
10

 
 
$
(49
)
 
$
—

 
$
(49
)
Securities borrowed
179

 
—

 
179

 
 
(22
)
 
—

 
(22
)
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Debt and equity instruments, excluding loans
2,104

 
—

 
2,104

 
 
(490
)
 
6

(c) 
(484
)
Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
558

 
1

(c) 
559

 
 
458

 
5

(c) 
463

Other changes in fair value
274

 
885

(c) 
1,159

 
 
64

 
24

(c) 
88

Loans:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
(12
)
 
—

 
(12
)
 
 
(2
)
 
—

 
(2
)
Other changes in fair value
1

 
—

 
1

 
 
(1
)
 
—

 
(1
)
Other assets
(3
)
 
3

(d) 
—

 
 
4

 
6

(d) 
10

Deposits(a)
(1,589
)
 
—

 
(1,589
)
 
 
371

 
—

 
371

Federal funds purchased and securities loaned or sold under repurchase agreements
(18
)
 
—

 
(18
)
 
 
27

 
—

 
27

Short-term borrowings(a)
(601
)
 
—

 
(601
)
 
 
86

 
—

 
86

Trading liabilities
5

 
—

 
5

 
 
1

 
—

 
1

Other liabilities
(7
)
 
—

 
(7
)
 
 
—

 
—

 
—

Long-term debt(a)(b)
(5,220
)
 
—

 
(5,220
)
 
 
1,486

 
—

 
1,486

(a)
Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were not material for the three and nine months ended September 30, 2019 and 2018, respectively.
(b)
Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk.
(c)
Reported in mortgage fees and related income.
(d)
Reported in other income.
(e)
Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. Refer to Note 6 for further information regarding interest income and interest expense.
Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of September 30, 2019, and December 31, 2018, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
 
September 30, 2019
 
December 31, 2018
(in millions)
Contractual principal outstanding

Fair value
Fair value over/(under) contractual principal outstanding
 
Contractual principal outstanding
 
Fair value
Fair value over/(under) contractual principal outstanding
Loans(a)







 
 
 
 
 
Nonaccrual loans







 
 
 
 
 
Loans reported as trading assets
$
3,884


$
1,151

$
(2,733
)
 
$
4,240

 
$
1,350

$
(2,890
)
Loans
181


151

(30
)
 
39

 
—

(39
)
Subtotal
4,065


1,302

(2,763
)
 
4,279

 
1,350

(2,929
)
All other performing loans







 
 
 
 
 
Loans reported as trading assets
45,315


43,903

(1,412
)
 
42,215

 
40,403

(1,812
)
Loans
5,686


5,609

(77
)
 
3,186

 
3,151

(35
)
Total loans
$
55,066


$
50,814

$
(4,252
)
 
$
49,680

 
$
44,904

$
(4,776
)
Long-term debt







 
 
 
 
 
Principal-protected debt
$
40,750

(c) 
$
37,635

$
(3,115
)
 
$
32,674

(c) 
$
28,718

$
(3,956
)
Nonprincipal-protected debt(b)
NA


34,322

NA

 
NA

 
26,168

NA

Total long-term debt
NA


$
71,957

NA

 
NA

 
$
54,886

NA

Long-term beneficial interests
 
 
 
 
 
 
 
 
 
Nonprincipal-protected debt(b)
NA


$
39

NA

 
NA

 
$
28

NA

Total long-term beneficial interests
NA


$
39

NA

 
NA

 
$
28

NA

(a)
There were no performing loans that were ninety days or more past due as of September 30, 2019, and December 31, 2018, respectively.
(b)
Remaining contractual principal is not applicable to nonprincipal-protected structured notes and long-term beneficial interests. Unlike principal-protected structured notes and long-term beneficial interests, for which the Firm is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes and long-term beneficial interests do not obligate the Firm to return a stated amount of principal at maturity, but for structured notes to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal-protected notes.
(c)
Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.
Fair value option, structured notes by balance sheet classification and primary embedded derivative risk
The following table presents the fair value of structured notes, by balance sheet classification and the primary risk type.
 
September 30, 2019
 
December 31, 2018
(in millions)
Long-term debt
Short-term borrowings
Deposits
Total
 
Long-term debt
Short-term borrowings
Deposits
Total
Risk exposure
 
 
 
 
 
 
 
 
 
Interest rate
$
33,402

$
54

$
17,547

$
51,003

 
$
24,137

$
62

$
12,372

$
36,571

Credit
5,207

817

—

6,024

 
4,009

995

—

5,004

Foreign exchange
3,570

45

8

3,623

 
3,169

157

38

3,364

Equity
27,644

5,565

8,190

41,399

 
21,382

5,422

7,368

34,172

Commodity
504

7

1,352

1,863

 
372

34

1,207

1,613

Total structured notes
$
70,327

$
6,488

$
27,097

$
103,912

 
$
53,069

$
6,670

$
20,985

$
80,724