Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of fair value methodologies

The following table describes the valuation methodologies generally used by the Firm to measure its significant products/instruments at fair value, including the general classification of such instruments pursuant to the valuation hierarchy.

Product/instrument	Valuation methodology	Classifications in the valuation hierarchy
Securities financing agreements	Valuations are based on discounted cash flows, which consider:	Predominantly level 2
	• Derivative features: refer to the discussion of derivatives below for further information.
	• Market rates for the respective maturity
	• Collateral characteristics
Loans and lending-related commitments — wholesale
Loans carried at fair value (trading loans and non-trading loans) and associated lending-related commitments	Where observable market data is available, valuations are based on:	Level 2 or 3
	• Observed market prices (circumstances are infrequent)
	• Relevant broker quotes
	• Observed market prices for similar instruments
	Where observable market data is unavailable or limited, valuations are based on discounted cash flows, which consider the following:
	• Credit spreads derived from the cost of CDS; or benchmark credit curves developed by the Firm, by industry and credit rating
	• Prepayment speed
	• Collateral characteristics
Loans — consumer
Loans carried at fair value — conforming residential mortgage loans expected to be sold	Fair value is based on observable prices for mortgage-backed securities with similar collateral and incorporates adjustments to these prices to account for differences between the securities and the value of the underlying loans, which include credit characteristics, portfolio composition, and liquidity.	Predominantly level 2
Investment and trading securities	Quoted market prices	Level 1
	In the absence of quoted market prices, securities are valued based on:	Level 2 or 3
	• Observable market prices for similar securities
	•  Relevant broker quotes
	•  Discounted cash flows
	In addition, the following inputs to discounted cash flows are used for the following products:
	Mortgage- and asset-backed securities specific inputs:
	•  Collateral characteristics
	• Deal-specific payment and loss allocations
	• Current market assumptions related to yield, prepayment speed, conditional default rates and loss severity
	Collateralized loan obligations (“CLOs”) specific inputs:
	•  Collateral characteristics
	•  Deal-specific payment and loss allocations
	•Expected prepayment speed, conditional default rates, loss severity
	•  Credit spreads
	• Credit rating data
Physical commodities	Valued using observable market prices or data.	Level 1 or 2

Product/instrument	Valuation methodology	Classifications in the valuation hierarchy
Derivatives	Exchange-traded derivatives that are actively traded and valued using the exchange price.	Level 1
	Derivatives that are valued using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs as well as considering the contractual terms. The key valuation inputs used will depend on the type of derivative and the nature of the underlying instruments and may include equity prices, commodity prices, interest rate yield curves, foreign exchange rates, volatilities, correlations, CDS spreads and recovery rates.  Additionally, the credit quality of the counterparty and of the Firm as well as market funding levels may also be considered.	Level 2 or 3
	In addition, specific inputs used for derivatives that are valued based on models with significant unobservable inputs are as follows:
	Structured credit derivatives specific inputs include:
	•  CDS spreads and recovery rates
	•  Credit correlation between the underlying debt instruments
	Equity option specific inputs include:
	•  Forward equity price
	•  Equity volatility
	•  Equity correlation
	•  Equity-FX correlation
	•  Equity-IR correlation
	Interest rate and FX exotic options specific inputs include:
	•  Interest rate volatility
	•  Interest rate spread volatility
	•  Interest rate correlation
	•  Foreign exchange correlation
	•  Interest rate-FX correlation
	Commodity derivatives specific inputs include:
	•  Commodity volatility
	•  Forward commodity price
	•  Commodity correlation
	Additionally, adjustments are made to reflect counterparty credit quality (CVA) and the impact of funding (FVA). Refer to page 188 of this Note.
Mortgage servicing rights	Refer to Mortgage servicing rights in Note 15.	Level 3
Private equity direct investments	Fair value is estimated using all available information; the range of potential inputs include:	Level 2 or 3
	• Transaction prices
	• Trading multiples of comparable public companies
	• Operating performance of the underlying portfolio company
	• Adjustments as required, since comparable public companies are not identical to the company being valued, and for company-specific issues and lack of liquidity.
	• Additional available inputs relevant to the investment.
Fund investments (e.g., mutual/collective investment funds, private equity funds, hedge funds, and real estate funds)	Net asset value
	• NAV is supported by the ability to redeem and purchase at the NAV level.	Level 1
	• Adjustments to the NAV as required, for restrictions on redemption (e.g., lock-up periods or withdrawal limitations) or where observable activity is limited.	Level 2 or 3(a)
Beneficial interests issued by consolidated VIEs	Valued using observable market information, where available.	Level 2 or 3
	In the absence of observable market information, valuations are based on the fair value of the underlying assets held by the VIE.

(a)Excludes certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient.

Product/instrument	Valuation methodology	Classification in the valuation hierarchy
Structured notes (included in deposits, short-term borrowings and long-term debt)	• Valuations are based on discounted cash flow analyses that consider the embedded derivative and the terms and payment structure of the note. • The embedded derivative features are considered using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs, depending on the embedded derivative. The specific inputs used vary according to the nature of the embedded derivative features, as described in the discussion above regarding derivatives valuation. Adjustments are then made to this base valuation to reflect the Firm’s own credit risk (DVA). Refer to page 188 of this Note.	Level 2 or 3

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 December 31, 2020 and 2019, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy
December 31, 2020 (in millions)	Level 1		Level 2		Level 3		Derivative netting adjustments(g)		Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	238,015	$	—	$	—	$	238,015
Securities borrowed	—		52,983		—		—		52,983
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		68,395		449		—		68,844
Residential – nonagency	—		2,138		28		—		2,166
Commercial – nonagency	—		1,327		3		—		1,330
Total mortgage-backed securities	—		71,860		480		—		72,340
U.S. Treasury, GSEs and government agencies(a)	104,263		10,996		—		—		115,259
Obligations of U.S. states and municipalities	—		7,184		8		—		7,192
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,230		—		—		1,230
Non-U.S. government debt securities	26,772		40,671		182		—		67,625
Corporate debt securities	—		21,017		507		—		21,524
Loans(b)	—		6,101		893		—		6,994
Asset-backed securities	—		2,304		28		—		2,332
Total debt instruments	131,035		161,363		2,098		—		294,496
Equity securities	97,035		2,652		179		—		99,866
Physical commodities(c)	6,382		5,189		—		—		11,571
Other	—		17,165		346		—		17,511
Total debt and equity instruments(d)	234,452		186,369		2,623		—		423,444
Derivative receivables:
Interest rate	2,318		386,865		2,307		(355,765)		35,725
Credit	—		12,879		624		(12,823)		680
Foreign exchange	146		205,127		987		(190,479)		15,781
Equity	—		71,279		3,519		(54,125)		20,673
Commodity	—		21,272		231		(14,732)		6,771
Total derivative receivables	2,464		697,422		7,668		(627,924)		79,630
Total trading assets(e)	236,916		883,791		10,291		(627,924)		503,074
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	21,018		92,283		—		—		113,301
Residential – nonagency	—		10,233		—		—		10,233
Commercial – nonagency	—		2,856		—		—		2,856
Total mortgage-backed securities	21,018		105,372		—		—		126,390
U.S. Treasury and government agencies	201,951		—		—		—		201,951
Obligations of U.S. states and municipalities	—		20,396		—		—		20,396
Certificates of deposit	—		—		—		—		—
Non-U.S. government debt securities	13,135		9,793		—		—		22,928
Corporate debt securities	—		216		—		—		216
Asset-backed securities:
Collateralized loan obligations	—		10,048		—		—		10,048
Other	—		6,249		—		—		6,249
Total available-for-sale securities	236,104		152,074		—		—		388,178
Loans(b)(f)	—		42,169		2,305		—		44,474
Mortgage servicing rights	—		—		3,276		—		3,276
Other assets(b)(e)	8,110		4,561		538		—		13,209
Total assets measured at fair value on a recurring basis	$	481,130	$	1,373,593	$	16,410	$	(627,924)	$	1,243,209
Deposits	$	—	$	11,571	$	2,913	$	—	$	14,484
Federal funds purchased and securities loaned or sold under repurchase agreements	—		155,735		—		—		155,735
Short-term borrowings	—		14,473		2,420		—		16,893
Trading liabilities:
Debt and equity instruments(d)	82,669		16,838		51		—		99,558
Derivative payables:
Interest rate	2,496		349,082		2,049		(340,615)		13,012
Credit	—		14,344		848		(13,197)		1,995
Foreign exchange	132		214,373		1,421		(194,493)		21,433
Equity	—		74,032		7,381		(55,515)		25,898
Commodity	—		21,767		962		(14,444)		8,285
Total derivative payables	2,628		673,598		12,661		(618,264)		70,623
Total trading liabilities	85,297		690,436		12,712		(618,264)		170,181
Accounts payable and other liabilities	2,895		513		68		—		3,476
Beneficial interests issued by consolidated VIEs	—		41		—		—		41
Long-term debt	—		53,420		23,397		—		76,817
Total liabilities measured at fair value on a recurring basis	$	88,192	$	926,189	$	41,510	$	(618,264)	$	437,627

	Fair value hierarchy
December 31, 2019 (in millions)	Level 1		Level 2		Level 3		Derivative netting adjustments(g)		Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	14,561	$	—	$	—	$	14,561
Securities borrowed	—		6,237		—		—		6,237
Trading assets:					—
Debt instruments:					—
Mortgage-backed securities:					—
U.S. GSEs and government agencies(a)	—		44,510		797		—		45,307
Residential – nonagency	—		1,977		23		—		2,000
Commercial – nonagency	—		1,486		4		—		1,490
Total mortgage-backed securities	—		47,973		824		—		48,797
U.S. Treasury, GSEs and government agencies(a)	78,289		10,295		—		—		88,584
Obligations of U.S. states and municipalities	—		6,468		10		—		6,478
Certificates of deposit, bankers’ acceptances and commercial paper	—		252		—		—		252
Non-U.S. government debt securities	26,600		27,169		155		—		53,924
Corporate debt securities	—		17,956		558		—		18,514
Loans(b)	—		6,340		673		—		7,013
Asset-backed securities	—		2,593		37		—		2,630
Total debt instruments	104,889		119,046		2,257		—		226,192
Equity securities	71,890		244		196		—		72,330
Physical commodities(c)	3,638		3,579		—		—		7,217
Other	—		13,896		232		—		14,128
Total debt and equity instruments(d)	180,417		136,765		2,685		—		319,867
Derivative receivables:
Interest rate	721		311,173		1,400		(285,873)		27,421
Credit	—		14,252		624		(14,175)		701
Foreign exchange	117		137,938		432		(129,482)		9,005
Equity	—		43,642		2,085		(39,250)		6,477
Commodity	—		17,058		184		(11,080)		6,162
Total derivative receivables	838		524,063		4,725		(479,860)		49,766
Total trading assets(e)	181,255		660,828		7,410		(479,860)		369,633
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		110,117		—		—		110,117
Residential – nonagency	—		12,989		1		—		12,990
Commercial – nonagency	—		5,188		—		—		5,188
Total mortgage-backed securities	—		128,294		1		—		128,295
U.S. Treasury and government agencies	139,436		—		—		—		139,436
Obligations of U.S. states and municipalities	—		29,810		—		—		29,810
Certificates of deposit	—		77		—		—		77
Non-U.S. government debt securities	12,966		8,821		—		—		21,787
Corporate debt securities	—		845		—		—		845
Asset-backed securities:					—		—		—
Collateralized loan obligations	—		24,991		—		—		24,991
Other	—		5,458		—		—		5,458
Total available-for-sale securities	152,402		198,296		1		—		350,699
Loans(b)(f)	—		44,439		516		—		44,955
Mortgage servicing rights	—		—		4,699		—		4,699
Other assets(b)(e)	7,305		3,824		917		—		12,046
Total assets measured at fair value on a recurring basis	$	340,962	$	928,185	$	13,543	$	(479,860)	$	802,830
Deposits	$	—	$	25,229	$	3,360	$	—	$	28,589
Federal funds purchased and securities loaned or sold under repurchase agreements	—		549		—		—		549
Short-term borrowings	—		4,246		1,674		—		5,920
Trading liabilities:
Debt and equity instruments(d)	59,047		16,481		41		—		75,569
Derivative payables:
Interest rate	795		276,746		1,732		(270,670)		8,603
Credit	—		14,358		763		(13,469)		1,652
Foreign exchange	109		143,960		1,039		(131,950)		13,158
Equity	—		47,261		5,480		(40,204)		12,537
Commodity	—		19,685		200		(12,127)		7,758
Total derivative payables	904		502,010		9,214		(468,420)		43,708
Total trading liabilities	59,951		518,491		9,255		(468,420)		119,277
Accounts payable and other liabilities	3,231		452		45		—		3,728
Beneficial interests issued by consolidated VIEs	—		36		—		—		36
Long-term debt	—		52,406		23,339		—		75,745
Total liabilities measured at fair value on a recurring basis	$	63,182	$	601,409	$	37,673	$	(468,420)	$	233,844

(a)At December 31, 2020 and 2019, included total U.S. GSE obligations of $117.6 billion and $104.5 billion, respectively, which were mortgage-related.

(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.

(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 5 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 December 31, 2020 and 2019, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $670 million and $684 million, respectively. Included in these balances at December 31, 2020 and 2019, were trading assets of $52 million and $54 million, respectively, and other assets of $618 million and $630 million, respectively.

(f)At December 31, 2020 and 2019, included within loans were $15.1 billion and $19.8 billion, respectively, of residential first-lien mortgages, and $6.3 billion and $8.2 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 $8.4 billion and $13.6 billion, respectively.

(g)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

The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and the weighted or arithmetic averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.

The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.

In the Firm’s view, the input range, weighted and arithmetic average values do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to-period and parameter-to-parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.

Level 3 inputs(a)
December 31, 2020
Product/Instrument	Fair value (in millions)		Principal valuation technique	Unobservable inputs(g)	Range of input values			Average(i)
Residential mortgage-backed securities and loans(b)	$	1,282	Discounted cash flows	Yield	0%	–	18%	6%
				Prepayment speed	0%	–	46%	10%
				Conditional default rate	0%	–	30%	14%
				Loss severity	0%	–	107%	7%
Commercial mortgage-backed securities and loans(c)	466		Market comparables	Price	$0	–	$101	$84
Corporate debt securities	507		Market comparables	Price	$2	–	$116	$85
Loans(d)	1,930		Market comparables	Price	$10	–	$104	$72
Asset-backed securities	28		Market comparables	Price	$1	–	$97	$57
Net interest rate derivatives	238		Option pricing	Interest rate volatility	7bps	–	513bps	101bps
				Interest rate spread volatility	11bps	–	23bps	15bps
				Interest rate correlation	(65)%	–	99%	35%
				IR-FX correlation	(35)%	–	50%	0%
	20		Discounted cash flows	Prepayment speed	0%	–	30%	8%
Net credit derivatives	(260)		Discounted cash flows	Credit correlation	34%	–	65%	48%
				Credit spread	3bps	–	1,302bps	441bps
				Recovery rate	0%	–	67%	46%
				Conditional default rate	2%	–	100%	58%
				Loss severity	100%			100%
	36		Market comparables	Price	$1	–	$115	$71
Net foreign exchange derivatives	(298)		Option pricing	IR-FX correlation	(40)%	–	65%	18%
	(136)		Discounted cash flows	Prepayment speed	9%			9%
Net equity derivatives	(3,862)		Option pricing	Forward equity price(h)	61%	–	106%	99%
				Equity volatility	5%	–	138%	35%
				Equity correlation	18%	–	99%	60%
				Equity-FX correlation	(79)%	–	55%	(27)%
				Equity-IR correlation	20%	–	50%	28%
Net commodity derivatives	(731)		Option pricing	Oil Commodity Forward	$600 / MT	–	$609 / MT	$605 / MT
				Forward power price	$12 / MWH	–	$55 / MWH	$34 / MWH
				Commodity volatility	1%	–	58%	29%
				Commodity correlation	(49)%	–	95%	23%
MSRs	3,276		Discounted cash flows	Refer to Note 15
Other assets	299		Discounted cash flows	Credit spread	45bps			45bps
				Yield	4%		30%	7%
	585		Market comparables	Price	$29	–	$29	$29
Long-term debt, short-term borrowings, and deposits(e)	27,912		Option pricing	Interest rate volatility	7bps	–	513bps	101bps
				Interest rate correlation	(65)%	–	99%	35%
				IR-FX correlation	(35)%	–	50%	0%
				Equity correlation	18%	–	99%	60%
				Equity-FX correlation	(79)%	–	55%	(27)%
				Equity-IR correlation	20%	–	50%	28%
	818		Discounted cash flows	Credit correlation	34%	–	65%	48%
Other level 3 assets and liabilities, net(f)	250

(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. GSE and government agency securities of $449 million, nonagency securities of $28 million and non-trading loans of $805 million.

(c)Comprises nonagency securities of $3 million, trading loans of $43 million and non-trading loans of $420 million.

(d)Comprises trading loans of $850 million and non-trading loans of $1.1 billion.

(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.

(h)Forward equity price is expressed as a percentage of the current equity price.

(i)Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used.

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 years ended December 31, 2020, 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
Year ended December 31, 2020 (in millions)	Fair value at January 1, 2020		Total realized/unrealized gains/(losses)											Transfers into level 3(i)		Transfers (out of) level 3(i)		Fair value at Dec. 31, 2020		Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2020
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	797	$	(172)		$	134	$	(149)			$	(161)	$	—	$	—	$	449	$	(150)
Residential – nonagency	23		2			15		(5)				(4)		—		(3)		28		(1)
Commercial – nonagency	4		—			1		—				(1)		2		(3)		3		—
Total mortgage-backed securities	824		(170)			150		(154)				(166)		2		(6)		480		(151)
U.S. Treasury, GSEs and government agencies	—		—			—		—				—		—		—		—		—
Obligations of U.S. states and municipalities	10		—			—		(1)				(1)		—		—		8		—
Non-U.S. government debt securities	155		21			281		(245)				(7)		—		(23)		182		11
Corporate debt securities	558		(23)			582		(205)				(236)		411		(580)		507		(25)
Loans(b)	673		(73)			1,112		(484)				(182)		791		(944)		893		(40)
Asset-backed securities	37		(3)			44		(40)				(9)		9		(10)		28		(4)
Total debt instruments	2,257		(248)			2,169		(1,129)				(601)		1,213		(1,563)		2,098		(209)
Equity securities	196		(75)			53		(376)				(1)		535		(153)		179		(20)
Other	232		271			245		(9)				(154)		6		(245)		346		206
Total trading assets – debt and equity instruments	2,685		(52)		(d)	2,467		(1,514)				(756)		1,754		(1,961)		2,623		(23)		(d)
Net derivative receivables:(c)
Interest rate	(332)		2,682			308		(148)				(2,228)		(332)		308		258		325
Credit	(139)		(212)			73		(154)				181		59		(32)		(224)		(110)
Foreign exchange	(607)		49			49		(24)				83		13		3		(434)		116
Equity	(3,395)		(65)			1,664		(2,317)				1,162		(935)		24		(3,862)		(556)
Commodity	(16)		(546)			27		(241)				356		(310)		(1)		(731)		267
Total net derivative receivables	(4,489)		1,908		(d)	2,121		(2,884)				(446)		(1,505)		302		(4,993)		42		(d)
Available-for-sale securities:
Mortgage-backed securities	1		—			—		—				(1)		—		—		—		—
Asset-backed securities	—		—			—		—				—		—		—		—		—
Total available-for-sale securities	1		—			—		—				(1)		—		—		—		—
Loans(b)	516		(243)		(d)	962		(84)				(733)		2,571		(684)		2,305		(18)		(d)
Mortgage servicing rights	4,699		(1,540)		(e)	1,192		(176)				(899)		—		—		3,276		(1,540)		(e)
Other assets(b)	917		(63)		(d)	75		(104)				(320)		40		(7)		538		(3)		(d)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2020 (in millions)	Fair value at January 1, 2020		Total realized/unrealized (gains)/losses													Transfers (out of) level 3(i)		Fair value at Dec. 31, 2020		Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2020
						Purchases		Sales		Issuances		Settlements(h)		Transfers into level 3(i)
Liabilities:(a)
Deposits	$	3,360	$	165	(d)(f)	$	—	$	—	$	671	$	(605)	$	265	$	(943)	$	2,913	$	455	(d)(f)
Short-term borrowings	1,674		(338)		(d)(f)	—		—		5,140		(4,115)		105		(46)		2,420		143		(d)(f)
Trading liabilities – debt and equity instruments	41		(2)		(d)	(126)		14		—		(4)		136		(8)		51		(1)		(d)
Accounts payable and other liabilities	45		33		(d)	(87)		37		—		—		47		(7)		68		28		(d)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—		—		—
Long-term debt	23,339		40		(d)(f)	—		—		9,883		(9,833)		1,250		(1,282)		23,397		1,920		(d)(f)

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2019 (in millions)	Fair value at January 1, 2019		Total realized/unrealized gains/(losses)													Transfers (out of) level 3(i)		Fair value at Dec. 31, 2019		Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2019
						Purchases(g)		Sales				Settlements(h)		Transfers into level 3(i)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	549	$	(62)		$	773	$	(310)			$	(134)	$	1	$	(20)	$	797	$	(58)
Residential – nonagency	64		25			83		(86)				(20)		15		(58)		23		2
Commercial – nonagency	11		2			20		(26)				(14)		15		(4)		4		1
Total mortgage-backed securities	624		(35)			876		(422)				(168)		31		(82)		824		(55)
U.S. Treasury, GSEs and government agencies	—		—			—		—				—		—		—		—		—
Obligations of U.S. states and municipalities	689		13			85		(159)				(8)		—		(610)		10		13
Non-U.S. government debt securities	155		1			290		(287)				—		14		(18)		155		4
Corporate debt securities	334		47			437		(247)				(52)		112		(73)		558		40
Loans(b)	738		29			456		(519)				(82)		437		(386)		673		13
Asset-backed securities	127		—			37		(93)				(40)		28		(22)		37		(3)
Total debt instruments	2,667		55			2,181		(1,727)				(350)		622		(1,191)		2,257		12
Equity securities	232		(41)			58		(103)				(22)		181		(109)		196		(18)
Other	301		(36)			50		(26)				(54)		2		(5)		232		91
Total trading assets – debt and equity instruments	3,200		(22)		(d)	2,289		(1,856)				(426)		805		(1,305)		2,685		85		(d)
Net derivative receivables:(c)
Interest rate	(38)		(394)			109		(125)				5		(7)		118		(332)		(599)
Credit	(107)		(36)			20		(9)				8		29		(44)		(139)		(127)
Foreign exchange	(297)		(551)			17		(67)				312		(22)		1		(607)		(380)
Equity	(2,225)		(310)			397		(573)				(503)		(405)		224		(3,395)		(1,608)
Commodity	(1,129)		497			36		(348)				89		(6)		845		(16)		130
Total net derivative receivables	(3,796)		(794)		(d)	579		(1,122)				(89)		(411)		1,144		(4,489)		(2,584)		(d)
Available-for-sale securities:
Mortgage-backed securities	1		—			—		—				—		—		—		1		—
Asset-backed securities	—		—			—		—				—		—		—		—		—
Total available-for-sale securities	1		—			—		—				—		—		—		1		—
Loans(b)	856		59		(d)	236		(188)				(482)		188		(153)		516		38		(d)
Mortgage servicing rights	6,130		(1,180)		(e)	1,489		(789)				(951)		—		—		4,699		(1,180)		(e)
Other assets(b)	1,161		(150)		(d)	229		(166)				(156)		6		(7)		917		(180)		(d)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2019 (in millions)	Fair value at January 1, 2019		Total realized/unrealized (gains)/losses													Transfers (out of) level 3(i)		Fair value at Dec. 31, 2019		Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2019
						Purchases		Sales		Issuances		Settlements(h)		Transfers into level 3(i)
Liabilities:(a)
Deposits	$	4,169	$	278	(d)(f)	$	—	$	—	$	916	$	(806)	$	12	$	(1,209)	$	3,360	$	307	(d)(f)
Short-term borrowings	1,523		229		(d)(f)	—		—		3,441		(3,356)		85		(248)		1,674		155		(d)(f)
Trading liabilities – debt and equity instruments	50		2		(d)	(22)		41		—		1		16		(47)		41		3		(d)
Accounts payable and other liabilities	10		(2)		(d)	(84)		115		—		—		6		—		45		29		(d)
Beneficial interests issued by consolidated VIEs	1		(1)		(d)	—		—		—		—		—		—		—		—
Long-term debt	19,418		2,815		(d)(f)	—		—		10,441		(8,538)		651		(1,448)		23,339		2,822		(d)(f)

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2018 (in millions)	Fair value at January 1, 2018		Total realized/unrealized gains/(losses)													Transfers (out of) level 3(i)		Fair value at Dec. 31, 2018		Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2018
						Purchases(g)		Sales				Settlements(h)		Transfers into level 3(i)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	307	$	(23)		$	478	$	(164)			$	(73)	$	94	$	(70)	$	549	$	(21)
Residential – nonagency	60		(2)			78		(50)				(7)		59		(74)		64		1
Commercial – nonagency	11		2			18		(18)				(17)		36		(21)		11		(2)
Total mortgage-backed securities	378		(23)			574		(232)				(97)		189		(165)		624		(22)
U.S. Treasury, GSEs and government agencies	1		—			—		—				—		—		(1)		—		—
Obligations of U.S. states and municipalities	744		(17)			112		(70)				(80)		—		—		689		(17)
Non-U.S. government debt securities	78		(22)			459		(277)				(12)		23		(94)		155		(9)
Corporate debt securities	312		(18)			364		(309)				(48)		262		(229)		334		(1)
Loans(b)	612		1			941		(536)				(219)		619		(680)		738		(13)
Asset-backed securities	153		28			98		(41)				(55)		45		(101)		127		22
Total debt instruments	2,278		(51)			2,548		(1,465)				(511)		1,138		(1,270)		2,667		(40)
Equity securities	295		(40)			118		(120)				(1)		107		(127)		232		9
Other	690		(285)			55		(40)				(118)		3		(4)		301		(301)
Total trading assets – debt and equity instruments	3,263		(376)		(d)	2,721		(1,625)				(630)		1,248		(1,401)		3,200		(332)		(d)
Net derivative receivables:(c)
Interest rate	264		150			107		(133)				(430)		(15)		19		(38)		187
Credit	(35)		(40)			5		(7)				(57)		4		23		(107)		(28)
Foreign exchange	(396)		103			52		(20)				30		(108)		42		(297)		(63)
Equity	(3,409)		198			1,676		(2,208)				1,805		(617)		330		(2,225)		561
Commodity	(674)		(73)			1		(72)				(301)		7		(17)		(1,129)		146
Total net derivative receivables	(4,250)		338		(d)	1,841		(2,440)				1,047		(729)		397		(3,796)		803		(d)
Available-for-sale securities:																		—
Mortgage-backed securities	1		—			—		—				—		—		—		1		—
Asset-backed securities	276		1			—		—				(277)		—		—		—		—
Total available-for-sale securities	277		1		(j)	—		—				(277)		—		—		1		—
Loans(b)	2,152		9		(d)	412		(1,256)				(496)		194		(159)		856		(4)		(d)
Mortgage servicing rights	6,030		230		(e)	1,246		(636)				(740)		—		—		6,130		230		(e)
Other assets(b)	1,496		(319)		(d)	195		(38)				(176)		4		(1)		1,161		(331)		(d)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2018 (in millions)	Fair value at January 1, 2018		Total realized/unrealized (gains)/losses											Transfers into level 3(i)		Transfers (out of) level 3(i)		Fair value at Dec. 31, 2018		Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2018
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	4,142	$	(136)	(d)(f)	$	—	$	—	$	1,437	$	(736)	$	2	$	(540)	$	4,169	$	(204)	(d)(f)
Short-term borrowings	1,665		(329)		(d)(f)	—		—		3,455		(3,388)		272		(152)		1,523		(131)		(d)(f)
Trading liabilities – debt and equity instruments	39		19		(d)	(99)		114		—		(1)		14		(36)		50		16		(d)
Accounts payable and other liabilities	13		—			(12)		5		—		—		4		—		10		—
Beneficial interests issued by consolidated VIEs	39		—			—		1		—		(39)		—		—		1		—
Long-term debt	16,125		(1,169)		(d)(f)	—		—		11,919		(7,769)		1,143		(831)		19,418		(1,385)		(d)(f)

(a)Level 3 assets at fair value as a percentage of total Firm assets accounted for at fair value (including assets measured at fair value on a nonrecurring basis) were 1%, 2% and 3% at December 31, 2020, 2019 and 2018, respectively. Level 3 liabilities at fair value as a percentage of total Firm liabilities at fair value (including liabilities measured at fair value on a nonrecurring basis) were 9%, 16% and 15% at December 31, 2020, 2019 and 2018, respectively.

(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.

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

(d)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.

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

(f)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 years ended December 31, 2020, 2019 and 2018, respectively. Unrealized (gains)/losses are reported in OCI, and they were $221 million, $319 million and $(277) million for the years ended December 31, 2020, 2019 and 2018, respectively.

(g)Loan originations are included in purchases.

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

(i)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.

(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) and foreign exchange hedge accounting adjustments recorded in income on AFS securities for the years ended December 31, 2020 and 2019, respectively and $1 million recorded for the year ended December 31, 2018. There were no material unrealized gains/(losses) recorded on AFS securities in OCI for the years ended December 31, 2020, 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.

Year ended December 31, (in millions)	2020		2019		2018
Credit and funding adjustments:
Derivatives CVA	$	(337)	$	241	$	193
Derivatives FVA	(64)		199		(74)

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of December 31, 2020 and 2019, respectively, for which nonrecurring fair value adjustments were recorded during the years ended December 31, 2020 and 2019, respectively, by major product category and fair value hierarchy.

	Fair value hierarchy								Total fair value
December 31, 2020 (in millions)	Level 1		Level 2			Level 3
Loans	$	—	$	1,611	(c)	$	972	(d)	$	2,583
Other assets(a)	—		5			979			984
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,616		$	1,951		$	3,567
Accounts payable and other liabilities(b)	—		—			12			12
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—		$	12		$	12

	Fair value hierarchy								Total fair value
December 31, 2019 (in millions)	Level 1		Level 2			Level 3
Loans	$	—	$	3,462	(c)	$	269		$	3,731
Other assets	—		14			1,043		(e)	1,057
Total assets measured at fair value on a nonrecurring basis	$	—	$	3,476		$	1,312		$	4,788

(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 $979 million in level 3 assets measured at fair value on a nonrecurring basis as of December 31, 2020, $535 million related to equity securities adjusted based on the measurement alternative. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

(b) There were no liabilities measured at fair value on a nonrecurring basis at December 31, 2019.

(c) Primarily includes certain mortgage loans that were reclassified to held-for-sale.

(d) Of the $972 million in level 3 assets measured at fair value on a nonrecurring basis as of December 31, 2020, $602 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans). 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 13% to 46% with a weighted average of 27%.

(e) Prior-period amounts have been revised to conform with the current presentation.

The following table presents the total change in value of assets and liabilities for which fair value adjustments have been recognized for the years ended December 31, 2020, 2019 and 2018, related to assets and liabilities held at those dates.

December 31, (in millions)	2020		2019			2018
Loans(a)	$	(393)	$	(274)		$	(68)
Other assets(b)	(529)		182		(c)	132
Accounts payable and other liabilities	(11)		—			—
Total nonrecurring fair value gains/(losses)	$	(933)	$	(92)		$	64

(a)Includes the impact of certain mortgage loans that were reclassified to held-for-sale.

(b)Included $(134) million, $201 million and $149 million for the years ended December 31, 2020, 2019 and 2018, respectively,of net (losses)/gains as a result of the measurement alternative.

(c)Prior-period amounts have been revised to conform with the current presentation.

Carrying value of equity securities without readily determinable fair values

The following table presents the carrying value of equity securities without readily determinable fair values held as of December 31, 2020 and 2019, 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.

As of or for the year ended December 31,
(in millions)	2020		2019
Other assets
Carrying value(a)	$	2,368	$	2,441
Upward carrying value changes(b)	167		243		(d)
Downward carrying value changes/impairment(c)	(301)		(42)

(a)The period-end carrying values reflect cumulative purchases and sales in addition to upward and downward carrying value changes.

(b)The cumulative upward carrying value changes between January 1, 2018 and December 31, 2020 were $708 million.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and December 31, 2020 were $(430) million.

(d)Prior-period amounts have been revised to conform with the current presentation.

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 December 31, 2020 and 2019, 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.

	December 31, 2020										December 31, 2019
			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	$	24.9	$	24.9	$	—	$	—	$	24.9	$	21.7	$	21.7	$	—	$	—	$	21.7
Deposits with banks	502.7		502.7		—		—		502.7		241.9		241.9		—		—		241.9
Accrued interest and accounts receivable	89.4		—		89.3		0.1		89.4		71.3		—		71.2		0.1		71.3
Federal funds sold and securities purchased under resale agreements	58.3		—		58.3		—		58.3		234.6		—		234.6		—		234.6
Securities borrowed	107.7		—		107.7		—		107.7		133.5		—		133.5		—		133.5
Investment securities, held-to-maturity	201.8		53.2		152.3		—		205.5		47.5		0.1		48.8		—		48.9
Loans, net of allowance for loan losses(a)	940.1		—		210.9		755.6		966.5		939.5		—		214.1		734.9		949.0
Other	81.8		—		80.0		1.9		81.9		61.3		—		60.6		0.8		61.4
Financial liabilities
Deposits	$	2,129.8	$	—	$	2,128.9	$	—	$	2,128.9	$	1,533.8	$	—	$	1,534.1	$	—	$	1,534.1
Federal funds purchased and securities loaned or sold under repurchase agreements	59.5		—		59.5		—		59.5		183.1		—		183.1		—		183.1
Short-term borrowings	28.3		—		28.3		—		28.3		35.0		—		35.0		—		35.0
Accounts payable and other liabilities	186.6		—		181.9		4.3		186.2		164.0		0.1		160.0		3.5		163.6
Beneficial interests issued by consolidated VIEs	17.5		—		17.6		—		17.6		17.8		—		17.9		—		17.9
Long-term debt	204.8		—		209.2		3.2		212.4		215.5		—		218.3		3.5		221.8

(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. Carrying value of the loan takes into account the loan’s allowance for loan losses, which represents the loan’s expected credit losses over its remaining expected life. The difference between the estimated fair value and carrying value of a loan is generally attributable to changes in market interest rates, including credit spreads, market liquidity premiums and other factors that affect the fair value of a loan but do not affect its carrying value.

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 and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

	December 31, 2020										December 31, 2019
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a)(b)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)(b)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	2.2	$	—	$	—	$	2.1	$	2.1	$	1.2	$	—	$	—	$	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)Includes the wholesale allowance for lending-related commitments.