Fair Value Option (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and 2021, 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 March 31,
	2022							2021
(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	$	(230)	$	—		$	(230)	$	(12)		$	—		$	(12)
Securities borrowed	(198)		—			(198)		(70)			—			(70)
Trading assets:
Debt and equity instruments, excluding loans	344		—			344		623		(f)	—			623
Loans reported as trading assets:
Changes in instrument-specific credit risk	(6)		—			(6)		204			—			204
Other changes in fair value	(11)		—			(11)		(1)			—			(1)
Loans:
Changes in instrument-specific credit risk	6		12		(c)	18		237			1		(c)	238
Other changes in fair value	(719)		(514)		(c)	(1,233)		(250)			340		(c)	90
Other assets	11		(3)		(d)	8		19			(19)		(d)	—
Deposits(a)	402		—			402		167			—			167
Federal funds purchased and securities loaned or sold under repurchase agreements	82		—			82		34			—			34
Short-term borrowings(a)	302		—			302		(122)			—			(122)
Trading liabilities	(66)		—			(66)		—			—			—
Beneficial interests issued by consolidated VIEs	(1)		—			(1)		—			—			—
Other liabilities	3		—			3		1			—			1
Long-term debt(a)(b)	3,960		19		(c)(d)	3,979		1,247			(5)		(c)(d)	1,242

(a)Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected are 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 $(8) million and $(2) million for the three months ended March 31, 2022 and 2021, 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 certain hybrid financial instruments in CIB. Refer to Note 6 for further information regarding interest income and interest expense.

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

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 March 31, 2022, and December 31, 2021, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.


	March 31, 2022							December 31, 2021
(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
Nonaccrual loans
Loans reported as trading assets	$	2,988		$	493	$	(2,495)	$	3,263		$	546	$	(2,717)
Loans	1,024			915		(109)		918			797		(121)
Subtotal	4,012			1,408		(2,604)		4,181			1,343		(2,838)
90 or more days past due and government guaranteed

Loans(a)	292			284		(8)		293			281		(12)

All other performing loans(b)
Loans reported as trading assets	8,908			7,460		(1,448)		8,594			7,528		(1,066)
Loans	48,378			47,264		(1,114)		57,695			57,742		47
Subtotal	57,286			54,724		(2,562)		66,289			65,270		(1,019)
Total loans	$	61,590		$	56,416	$	(5,174)	$	70,763		$	66,894	$	(3,869)
Long-term debt
Principal-protected debt	$	35,336	(d)	$	30,307	$	(5,029)	$	35,957	(d)	$	33,799	$	(2,158)
Nonprincipal-protected debt(c)	NA			40,397		NA		NA			41,135		NA
Total long-term debt	NA			$	70,704	NA		NA			$	74,934	NA
Long-term beneficial interests
Nonprincipal-protected debt(c)	NA			$	11	NA		NA			$	12	NA
Total long-term beneficial interests	NA			$	11	NA		NA			$	12	NA

(a)These balances are excluded from nonaccrual loans as the loans are insured and/or guaranteed by U.S. government agencies.

(b)There were no performing loans that were ninety days or more past due as of March 31, 2022, and December 31, 2021, respectively.

(c)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.

(d)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.


	March 31, 2022									December 31, 2021
(in millions)	Long-term debt		Short-term borrowings		Deposits			Total		Long-term debt		Short-term borrowings		Deposits			Total
Risk exposure
Interest rate	$	31,470	$	99	$	5,507		$	37,076	$	34,127	$	1	$	4,860		$	38,988
Credit	5,756		638		—			6,394		6,352		858		—			7,210
Foreign exchange	3,152		297		200			3,649		3,386		315		1,066			4,767
Equity	28,422		6,761		4,476			39,659		29,317		6,827		5,125			41,269
Commodity	556		—		3		(a)	559		405		—		3		(a)	408
Total structured notes	$	69,356	$	7,795	$	10,186		$	87,337	$	73,587	$	8,001	$	11,054		$	92,642

(a)Excludes deposits linked to precious metals for which the fair value option has not been elected of $629 million and $692 million for the periods ended March 31, 2022 and December 31, 2021, respectively.