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Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2021

Assets and liabilities measured at fair value on a recurring basis

The following table presents the assets and liabilities reported at fair value as of March 31, 2021, and December 31, 2020, by major product category and fair value hierarchy.


Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy						Derivative netting adjustments(f)

March 31, 2021 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	267,613	$	—	$	—	$	267,613
Securities borrowed	—		66,277		—		—		66,277
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		50,988		397		—		51,385
Residential – nonagency	—		2,258		32		—		2,290
Commercial – nonagency	—		1,183		2		—		1,185
Total mortgage-backed securities	—		54,429		431		—		54,860
U.S. Treasury, GSEs and government agencies(a)	74,980		10,095		—		—		85,075
Obligations of U.S. states and municipalities	—		7,009		8		—		7,017
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,584		—		—		1,584
Non-U.S. government debt securities	40,535		51,757		177		—		92,469
Corporate debt securities	—		28,118		370		—		28,488
Loans	—		7,071		832		—		7,903
Asset-backed securities	—		2,538		54		—		2,592
Total debt instruments	115,515		162,601		1,872		—		279,988
Equity securities	152,474		1,992		688		—		155,154
Physical commodities(b)	10,769		6,314		—		—		17,083
Other	—		18,531		122		—		18,653
Total debt and equity instruments(c)	278,758		189,438		2,682		—		470,878
Derivative receivables:
Interest rate	3,646		305,725		2,250		(283,073)		28,548
Credit	—		13,575		637		(13,164)		1,048
Foreign exchange	144		185,794		689		(171,515)		15,112
Equity	—		69,570		4,008		(53,825)		19,753
Commodity	—		23,387		292		(15,021)		8,658
Total derivative receivables	3,790		598,051		7,876		(536,598)		73,119
Total trading assets(d)	282,548		787,489		10,558		(536,598)		543,997
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	3		112,456		—		—		112,459
Residential – nonagency	—		10,601		—		—		10,601
Commercial – nonagency	—		3,029		—		—		3,029
Total mortgage-backed securities	3		126,086		—		—		126,089
U.S. Treasury and government agencies	194,784		—		—		—		194,784
Obligations of U.S. states and municipalities	—		19,922		—		—		19,922
Certificates of deposit	—		—		—		—		—
Non-U.S. government debt securities	12,270		8,603		—		—		20,873
Corporate debt securities	—		210		—		—		210
Asset-backed securities:
Collateralized loan obligations	—		11,329		—		—		11,329
Other	—		6,735		—		—		6,735

Total available-for-sale securities	207,057		172,885		—		—		379,942
Loans (e)	—		48,944		1,823		—		50,767
Mortgage servicing rights	—		—		4,470		—		4,470
Other assets(d)	42,839		6,519		511		—		49,869
Total assets measured at fair value on a recurring basis	$	532,444	$	1,349,727	$	17,362	$	(536,598)	$	1,362,935
Deposits	$	—	$	11,455	$	2,652	$	—	$	14,107
Federal funds purchased and securities loaned or sold under repurchase agreements	—		197,834		—		—		197,834
Short-term borrowings	—		16,338		3,664		—		20,002
Trading liabilities:
Debt and equity instruments(c)	104,557		26,292		60		—		130,909
Derivative payables:
Interest rate	3,194		273,891		2,101		(268,442)		10,744
Credit	—		13,961		641		(12,704)		1,898
Foreign exchange	154		184,124		1,228		(168,468)		17,038
Equity	—		71,701		7,842		(57,143)		22,400
Commodity	—		22,657		1,203		(15,500)		8,360
Total derivative payables	3,348		566,334		13,015		(522,257)		60,440
Total trading liabilities	107,905		592,626		13,075		(522,257)		191,349
Accounts payable and other liabilities	39,933		2,830		61		—		42,824
Beneficial interests issued by consolidated VIEs	—		193		—		—		193
Long-term debt	—		53,118		22,575		—		75,693
Total liabilities measured at fair value on a recurring basis	$	147,838	$	874,394	$	42,027	$	(522,257)	$	542,002


	Fair value hierarchy							Derivative netting adjustments(f)

December 31, 2020 (in millions)	Level 1		Level 2		Level 3					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	—		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		476		(g)	—		100,163
Physical commodities(b)	6,382		5,189		—			—		11,571
Other	—		17,165		49		(g)	—		17,214
Total debt and equity instruments(c)	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(d)	236,916		883,791		10,291			(627,924)		503,074
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)(g)	7		113,294		—			—		113,301
Residential – nonagency	—		10,233		—			—		10,233
Commercial – nonagency	—		2,856		—			—		2,856
Total mortgage-backed securities	7		126,383		—			—		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	215,093		173,085		—			—		388,178
Loans(e)	—		42,169		2,305			—		44,474
Mortgage servicing rights	—		—		3,276			—		3,276
Other assets(d)	8,110		4,561		538			—		13,209
Total assets measured at fair value on a recurring basis	$	460,119	$	1,394,604	$	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(c)	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

(a)At March 31, 2021, and December 31, 2020, included total U.S. GSE obligations of $96.3 billion and $117.6 billion, respectively, which were mortgage-related.

(b)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.

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

(d)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At March 31, 2021, and December 31, 2020, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $678 million and $670 million, respectively. Included in these balances at March 31, 2021, and December 31, 2020, were trading assets of $55 million and $52 million, respectively, and other assets of $623 million and $618 million, respectively.

(e)At March 31, 2021, and December 31, 2020, included within loans were $20.1 billion and $15.1 billion, respectively, of residential first-lien mortgages, and $6.0 billion and $6.3 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 $11.9 billion and $8.4 billion, 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.

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

Fair value inputs, assets and liabilities, quantitative information


Level 3 inputs(a)
March 31, 2021
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)	$	991	Discounted cash flows	Yield	0%	–	15%		6%
				Prepayment speed	0%	–	48%		9%
				Conditional default rate	0%	–	30%		10%
				Loss severity	0%	–	109%		8%
Commercial mortgage-backed securities and loans(c)	516		Market comparables	Price	$0	–	$100		$86

Corporate debt securities	370		Market comparables	Price	$10	–	$120		$96

Loans(d)	1,579		Market comparables	Price	$5	–	$111		$82




Asset-backed securities	54		Market comparables	Price	$2	–	$96		$61
Net interest rate derivatives	130		Option pricing	Interest rate volatility	7 bps	–	723 bps		132 bps
				Interest rate spread volatility	11 bps	–	23 bps		15 bps
				Interest rate correlation	(65)%	–	99%		36%
				IR-FX correlation	(35)%	–	50%		(1)%
	19		Discounted cash flows	Prepayment speed	0%	–	30%		8%
Net credit derivatives	(41)		Discounted cash flows	Credit correlation	37%	–	65%		49%
				Credit spread	1 bps	–	1,501 bps		396 bps
				Recovery rate	0%	–	70%		47%


				Conditional default rate	2%	–	100%		37%
				Loss severity	100%				100%
	37		Market comparables	Price	$0	–	$115		$69
Net foreign exchange derivatives	(424)		Option pricing	IR-FX correlation	(40)%	–	65%		17%
	(115)		Discounted cash flows	Prepayment speed	9%				9%
Net equity derivatives	(3,834)		Option pricing	Forward equity price(h)	61%	–	130%		99%
				Equity volatility	4%	–	146%		33%
				Equity correlation	12%	–	99%		55%
				Equity-FX correlation	(79)%	–	60%		(26)%
				Equity-IR correlation	15%	–	50%		28%
Net commodity derivatives	(911)		Option pricing	OIl Commodity Forward	$478 / MT	–	$553 / MT		$516 / MT
				Forward power price	$13 / MWH	–	$55 / MWH		$34 / MWH

				Commodity volatility	2%	–	70%		36%
				Commodity correlation	(50)%	–	95%		23%
MSRs	4,470		Discounted cash flows	Refer to Note 14




Long-term debt, short-term borrowings, and deposits(e)	27,985		Option pricing	Interest rate volatility	7 bps	–	723 bps		132 bps
				Interest rate correlation	(65)%	–	99%		36%
				IR-FX correlation	(35)%	–	50%		(1)%
				Equity correlation	12%	–	99%		55%
				Equity-FX correlation	(79)%	–	60%		(26)%
				Equity-IR correlation	15%	–	50%		28%
	906		Discounted cash flows	Credit correlation	37%	–	65%		49%
Other level 3 assets and liabilities, net(f)	1,385

(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 $397 million, nonagency securities of $32 million and non-trading loans of $562 million.

(c)Comprises nonagency securities of $2 million, trading loans of $41 million and non-trading loans of $473 million.

(d)Comprises trading loans of $791 million and non-trading loans of $788 million.

(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 equity securities of $968 million, including $280 million in Other Assets, for which quoted prices are not readily available and the fair value is generally based on internal valuation techniques such as EBITDA multiples and comparable analysis. All other level 3 assets and liabilities 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 three months ended March 31, 2021 and 2020. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.


	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2021 (in millions)	Fair value at January 1, 2021		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2021			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2021
						Purchases(f)		Sales				Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	449	$	23		$	6	$	(48)			$	(33)			$	—		$	397	$	22
Residential – nonagency	28		1			9		(3)				(2)				(1)			32		—
Commercial – nonagency	3		—			—		(1)				—				—			2		—
Total mortgage-backed securities	480		24			15		(52)				(35)		—		(1)			431		22

Obligations of U.S. states and municipalities	8		—			—		—				—		—		—			8		—
Non-U.S. government debt securities	182		(9)			118		(107)				(7)		—		—			177		(9)
Corporate debt securities	507		(15)			91		(146)				—		85		(152)			370		(14)
Loans	893		7			272		(152)				(1)		90		(277)			832		8
Asset-backed securities	28		(1)			28		(3)				—		2		—			54		(1)
Total debt instruments	2,098		6			524		(460)				(43)		177		(430)			1,872		6
Equity securities	476		(5)			230		(43)				—		54		(24)			688		3
Other	49		41			65		—				(29)		—		(4)			122		36
Total trading assets – debt and equity instruments	2,623		42		(c)	819		(503)				(72)		231		(458)			2,682		45		(c)
Net derivative receivables:(b)
Interest rate	258		445			53		(93)				(534)		57		(37)			149		313
Credit	(224)		183			1		(2)				27		(3)		14			(4)		168
Foreign exchange	(434)		(200)			2		(6)				111		10		(22)			(539)		(214)
Equity	(3,862)		23			194		(838)				126		110		413			(3,834)		(213)
Commodity	(731)		(246)			4		(213)				279		(1)		(3)			(911)		(145)
Total net derivative receivables	(4,993)		205		(c)	254		(1,152)				9		173		365			(5,139)		(91)		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—

Total available-for-sale securities	—		—			—		—				—		—		—			—		—
Loans	2,305		(73)		(c)	67		(190)				(201)		155		(240)			1,823		(112)		(c)
Mortgage servicing rights	3,276		797		(d)	583		1				(187)		—		—			4,470		797		(d)
Other assets	538		13		(c)	3		(18)				(25)		—		—			511		12		(c)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2021 (in millions)	Fair value at January 1, 2021		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2021			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2021
						Purchases		Sales		Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	2,913	$	(103)	(c)(e)	$	—	$	—	$	69	$	(95)	$	1	$	(133)		$	2,652	$	(105)	(c)(e)

Short-term borrowings	2,420		(113)		(c)(e)	—		—		2,918		(1,506)		—		(55)			3,664		(27)		(c)(e)
Trading liabilities – debt and equity instruments	51		(3)		(c)	(65)		21		—		—		59		(3)			60		—
Accounts payable and other liabilities	68		(1)		(c)	—		1		—		—		—		(7)			61		(1)		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	23,397		(308)		(c)(e)	—		—		3,465		(3,649)		11		(341)			22,575		(324)		(c)(e)


	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2020 (in millions)	Fair value at January 1, 2020		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2020			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2020
						Purchases(f)		Sales				Settlements(g)
Assets:(a)

Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	797	$	(139)		$	19	$	(116)			$	(42)	$	—	$	—		$	519	$	(131)
Residential – nonagency	23		(1)			2		—				—		—		—			24		(1)
Commercial – nonagency	4		—			1		—				(1)		1		(2)			3		—
Total mortgage-backed securities	824		(140)			22		(116)				(43)		1		(2)			546		(132)

Obligations of U.S. states and municipalities	10		—			—		(1)				—		—		—			9		—
Non-U.S. government debt securities	155		(12)			90		(57)				—		—		(1)			175		(10)
Corporate debt securities	558		(55)			292		(42)				—		227		(27)			953		(50)
Loans	673		(98)			497		(130)				(16)		568		(108)			1,386		(127)
Asset-backed securities	37		(2)			36		(15)				(1)		—		(3)			52		(1)
Total debt instruments	2,257		(307)			937		(361)				(60)		796		(141)			3,121		(320)
Equity securities	196		(38)			10		(4)				—		82		(33)			213		(39)
Other	232		(1)			9		(5)				(12)		—		(2)			221		2
Total trading assets – debt and equity instruments	2,685		(346)		(c)	956		(370)				(72)		878		(176)			3,555		(357)		(c)
Net derivative receivables:(b)
Interest rate	(332)		642			66		(50)				(241)		(172)		(49)			(136)		282
Credit	(139)		108			18		(128)				(33)		60		3			(111)		65
Foreign exchange	(607)		(339)			38		(4)				(14)		—		(1)			(927)		(508)
Equity	(3,395)		3,037			59		(548)				583		(656)		94			(826)		3,707
Commodity	(16)		(403)			4		(15)				9		(6)		2			(425)		(399)
Total net derivative receivables	(4,489)		3,045		(c)	185		(745)				304		(774)		49			(2,425)		3,147		(c)
Available-for-sale securities:
Mortgage-backed securities	1		—			—		—				(1)		—		—			—		—

Total available-for-sale securities	1		—			—		—				(1)		—		—			—		—
Loans	516		(64)		(c)	191		(32)				(9)		1,514		(31)			2,085		(63)		(c)
Mortgage servicing rights	4,699		(1,382)		(d)	273		(75)				(248)		—		—			3,267		(1,382)		(d)
Other assets	917		(92)		(c)	13		(28)				(228)		—		—			582		(91)		(c)


	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2020 (in millions)	Fair value at January 1, 2020		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2020			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2020
						Purchases		Sales		Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	3,360	$	(149)	(c)(e)	$	—	$	—	$	386	$	(172)	$	4	$	(250)		$	3,179	$	(135)	(c)(e)

Short-term borrowings	1,674		(345)		(c)(e)	—		—		1,615		(929)		40		(16)			2,039		(409)		(c)(e)
Trading liabilities – debt and equity instruments	41		3		(c)	(75)		7		—		—		86		(1)			61		6		(c)
Accounts payable and other liabilities	45		(8)		(c)	(23)		1		—		—		—		—			15		(7)		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	23,339		(4,110)		(c)(e)	—		—		4,607		(3,549)		370		(516)			20,141		(3,984)		(c)(e)

(a)Level 3 assets at fair value as a percentage of total Firm assets at fair value (including assets measured at fair value on a nonrecurring basis) were 1% at both March 31, 2021 and December 31, 2020, 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 8% and 9%, at March 31, 2021 and December 31, 2020, 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 were not material for the three months ended March 31, 2021 and 2020. Unrealized (gains)/losses are reported in OCI, and were $(22) million and $(1.1) billion for the three months ended March 31, 2021 and 2020, respectively.

(f)Loan originations are included in purchases.

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

Impact of credit adjustments on earnings

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


	Three months ended March 31,
(in millions)	2021		2020
Credit and funding adjustments:
Derivatives CVA	$	240	$	(924)
Derivatives FVA	105		(1,021)

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of March 31, 2021 and 2020, for which nonrecurring fair value adjustments were recorded during the three months ended March 31, 2021 and 2020, by major product category and fair value hierarchy.


	Fair value hierarchy							Total fair value
March 31, 2021 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	1,857	$	303	(b)	$	2,160
Other assets(a)	—		12		370			382
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,869	$	673		$	2,542
Accounts payable and other liabilities	—		—		14			14
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	14		$	14


	Fair value hierarchy						Total fair value
March 31, 2020 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	2,336	$	559	$	2,895
Other assets	—		11		334		345
Total assets measured at fair value on a nonrecurring basis	$	—	$	2,347	$	893	$	3,240
Accounts payable and other liabilities	—		—		775		775
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	775	$	775

(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 $370 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2021, $316 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)Of the $303 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2021, $137 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 45% with a weighted average of 26%.

The following table presents the total change in value of assets and liabilities for which fair value adjustments have been recognized for the three months ended March 31, 2021 and 2020, related to assets and liabilities held at those dates.


	Three months ended March 31,
(in millions)	2021		2020
Loans	$	(33)	$	(267)
Other assets(a)	2		(169)
Accounts payable and other liabilities	(3)		(775)
Total nonrecurring fair value gains/(losses)	$	(34)	$	(1,211)

(a)Included $6 million and $(154) million for the three months ended March 31, 2021 and 2020, respectively, of net gains/(losses) as a result of the measurement alternative.

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 held as of March 31, 2021 and 2020, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.


	Three months ended
	March 31
As of or for the period ended,
(in millions)	2021		2020
Other assets
Carrying value(a)	$	2,302	$	2,560
Upward carrying value changes(b)	7		9
Downward carrying value changes/impairment(c)	(1)		(162)

(a)The carrying value as of December 31, 2020 was $2.4 billion. 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 March 31, 2021 were $618 million.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2021 were $(340) million.

Carrying value and estimated fair value of financial assets and liabilities

The following table presents, by fair value hierarchy classification, the carrying values and estimated fair values at March 31, 2021, and December 31, 2020, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy.


	March 31, 2021										December 31, 2020
			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	$	25.4	$	25.4	$	—	$	—	$	25.4	$	24.9	$	24.9	$	—	$	—	$	24.9
Deposits with banks	685.7		685.7		—		—		685.7		502.7		502.7		—		—		502.7
Accrued interest and accounts receivable	113.6		—		113.5		0.1		113.6		89.4		—		89.3		0.1		89.4
Federal funds sold and securities purchased under resale agreements	4.9		—		4.9		—		4.9		58.3		—		58.3		—		58.3
Securities borrowed	113.4		—		113.2		—		113.2		107.7		—		107.7		—		107.7
Investment securities, held-to-maturity	217.5		74.5		143.2		—		217.7		201.8		53.2		152.3		—		205.5
Loans, net of allowance for loan losses(a)	937.5		—		206.7		752.7		959.4		940.1		—		210.9		755.6		966.5
Other	95.0		—		93.2		1.9		95.1		81.8		—		80.0		1.9		81.9
Financial liabilities
Deposits	$	2,264.0	$	—	$	2,264.0	$	—	$	2,264.0	$	2,129.8	$	—	$	2,128.9	$	—	$	2,128.9
Federal funds purchased and securities loaned or sold under repurchase agreements	106.2		—		106.2		—		106.2		59.5		—		59.5		—		59.5

Short-term borrowings	35.0		—		35.0		—		35.0		28.3		—		28.3		—		28.3
Accounts payable and other liabilities	205.9		—		201.6		3.9		205.5		186.6		—		181.9		4.3		186.2
Beneficial interests issued by consolidated VIEs	15.5		—		15.5		—		15.5		17.5		—		17.6		—		17.6
Long-term debt	203.7		—		207.8		3.3		211.1		204.8		—		209.2		3.2		212.4

(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.


	March 31, 2021										December 31, 2020
			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	$	2.4	$	—	$	—	$	2.8	$	2.8	$	2.2	$	—	$	—	$	2.1	$	2.1

(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.