Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Assets and liabilities measured at fair value on a recurring basis

The following table presents the assets and liabilities reported at fair value as of March 31, 2023, and December 31, 2022, 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, 2023 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	309,336	$	—	$	—	$	309,336
Securities borrowed	—		68,514		—		—		68,514
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		77,406		757		—		78,163
Residential – nonagency	—		2,961		5		—		2,966
Commercial – nonagency	—		1,221		10		—		1,231
Total mortgage-backed securities	—		81,588		772		—		82,360
U.S. Treasury, GSEs and government agencies(a)	110,866		8,858		—		—		119,724
Obligations of U.S. states and municipalities	—		6,049		6		—		6,055
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,556		—		—		1,556
Non-U.S. government debt securities	31,282		59,694		169		—		91,145
Corporate debt securities	—		32,414		538		—		32,952
Loans	—		8,365		926		—		9,291
Asset-backed securities	—		2,689		7		—		2,696
Total debt instruments	142,148		201,213		2,418		—		345,779
Equity securities	138,312		1,561		581		—		140,454
Physical commodities(b)	4,434		11,525		—		—		15,959
Other	—		17,246		140		—		17,386
Total debt and equity instruments(c)	284,894		231,545		3,139		—		519,578
Derivative receivables:
Interest rate	2,702		278,722		4,115		(260,511)		25,028
Credit	—		11,070		977		(11,054)		993
Foreign exchange	163		184,299		1,218		(166,455)		19,225
Equity	—		57,478		3,979		(53,729)		7,728
Commodity	—		19,218		441		(13,359)		6,300
Total derivative receivables	2,865		550,787		10,730		(505,108)		59,274
Total trading assets(d)	287,759		782,332		13,869		(505,108)		578,852
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		67,305		—		—		67,305
Residential – nonagency	—		4,471		—		—		4,471
Commercial – nonagency	—		1,947		—		—		1,947
Total mortgage-backed securities	—		73,723		—		—		73,723
U.S. Treasury and government agencies	81,639		—		—		—		81,639
Obligations of U.S. states and municipalities	—		13,529		—		—		13,529
Non-U.S. government debt securities	10,581		8,849		—		—		19,430
Corporate debt securities	—		114		250		—		364
Asset-backed securities:
Collateralized loan obligations	—		5,520		—		—		5,520
Other	—		3,043		—		—		3,043
Total available-for-sale securities	92,220		104,778		250		—		197,248
Loans(e)	—		37,067		1,479		—		38,546
Mortgage servicing rights	—		—		7,755		—		7,755
Other assets(d)	6,240		6,852		406		—		13,498
Total assets measured at fair value on a recurring basis	$	386,219	$	1,308,879	$	23,759	$	(505,108)	$	1,213,749
Deposits	$	—	$	39,372	$	2,208	$	—	$	41,580
Federal funds purchased and securities loaned or sold under repurchase agreements	—		192,290		—		—		192,290
Short-term borrowings	—		16,664		1,410		—		18,074
Trading liabilities:
Debt and equity instruments(c)	113,813		31,277		63		—		145,153
Derivative payables:
Interest rate	4,082		267,285		3,361		(261,428)		13,300
Credit	—		11,903		525		(11,576)		852
Foreign exchange	144		186,805		673		(174,408)		13,214
Equity	—		61,681		4,864		(56,697)		9,848
Commodity	—		20,034		728		(13,265)		7,497
Total derivative payables	4,226		547,708		10,151		(517,374)		44,711
Total trading liabilities	118,039		578,985		10,214		(517,374)		189,864
Accounts payable and other liabilities	4,403		2,238		56		—		6,697
Beneficial interests issued by consolidated VIEs	—		1		—		—		1
Long-term debt	—		50,958		25,227		—		76,185
Total liabilities measured at fair value on a recurring basis	$	122,442	$	880,508	$	39,115	$	(517,374)	$	524,691

	Fair value hierarchy						Derivative netting adjustments(f)
December 31, 2022 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	311,883	$	—	$	—	$	311,883
Securities borrowed	—		70,041		—		—		70,041
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		68,162		759		—		68,921
Residential – nonagency	—		2,498		5		—		2,503
Commercial – nonagency	—		1,448		7		—		1,455
Total mortgage-backed securities	—		72,108		771		—		72,879
U.S. Treasury, GSEs and government agencies(a)	61,191		8,546		—		—		69,737
Obligations of U.S. states and municipalities	—		6,608		7		—		6,615
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,009		—		—		2,009
Non-U.S. government debt securities	18,213		48,429		155		—		66,797
Corporate debt securities	—		25,626		463		—		26,089
Loans	—		5,744		759		—		6,503
Asset-backed securities	—		2,536		23		—		2,559
Total debt instruments	79,404		171,606		2,178		—		253,188
Equity securities	82,483		2,060		665		—		85,208
Physical commodities(b)	9,595		16,673		2		—		26,270
Other	—		18,146		64		—		18,210
Total debt and equity instruments(c)	171,482		208,485		2,909		—		382,876
Derivative receivables:
Interest rate	3,390		292,956		4,069		(271,996)		28,419
Credit	—		9,722		607		(9,239)		1,090
Foreign exchange	169		240,207		1,203		(218,214)		23,365
Equity	—		57,485		4,428		(52,774)		9,139
Commodity	—		24,982		375		(16,490)		8,867
Total derivative receivables	3,559		625,352		10,682		(568,713)		70,880
Total trading assets(d)	175,041		833,837		13,591		(568,713)		453,756
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	3		71,500		—		—		71,503
Residential – nonagency	—		4,620		—		—		4,620
Commercial – nonagency	—		1,958		—		—		1,958
Total mortgage-backed securities	3		78,078		—		—		78,081
U.S. Treasury and government agencies	92,060		—		—		—		92,060
Obligations of U.S. states and municipalities	—		6,786		—		—		6,786
Non-U.S. government debt securities	10,591		9,105		—		—		19,696
Corporate debt securities	—		118		239		—		357
Asset-backed securities:
Collateralized loan obligations	—		5,792		—		—		5,792
Other	—		3,085		—		—		3,085
Total available-for-sale securities	102,654		102,964		239		—		205,857
Loans(e)	—		40,661		1,418		—		42,079
Mortgage servicing rights	—		—		7,973		—		7,973
Other assets(d)	7,544		6,065		405		—		14,014
Total assets measured at fair value on a recurring basis	$	285,239	$	1,365,451	$	23,626	$	(568,713)	$	1,105,603
Deposits	$	—	$	26,458	$	2,162	$	—	$	28,620
Federal funds purchased and securities loaned or sold under repurchase agreements	—		151,999		—		—		151,999
Short-term borrowings	—		14,391		1,401		—		15,792
Trading liabilities:
Debt and equity instruments(c)	98,719		28,032		84		—		126,835
Derivative payables:
Interest rate	2,643		284,280		3,368		(274,321)		15,970
Credit	—		9,377		594		(9,217)		754
Foreign exchange	160		250,647		714		(232,665)		18,856
Equity	—		57,649		4,812		(53,657)		8,804
Commodity	—		22,748		521		(16,512)		6,757
Total derivative payables	2,803		624,701		10,009		(586,372)		51,141
Total trading liabilities	101,522		652,733		10,093		(586,372)		177,976
Accounts payable and other liabilities	5,702		1,283		53		—		7,038
Beneficial interests issued by consolidated VIEs	—		5		—		—		5
Long-term debt	—		48,189		24,092		—		72,281
Total liabilities measured at fair value on a recurring basis	$	107,224	$	895,058	$	37,801	$	(586,372)	$	453,711

(a)At March 31, 2023, and December 31, 2022, included total U.S. GSE obligations of $78.9 billion and $73.8 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, 2023, and December 31, 2022, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $976 million and $950 million, respectively. Included in these balances at March 31, 2023, and December 31, 2022, were trading assets of $40 million and $43 million, respectively, and other assets of $936 million and $907 million, respectively.

(e)At March 31, 2023, and December 31, 2022, included $10.2 billion and $9.7 billion, respectively, of residential first-lien mortgages, and $6.4 billion and $6.8 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 $3.6 billion and $2.4 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.

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)
March 31, 2023
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)	$	1,695	Discounted cash flows	Yield	4%	30%		7%
				Prepayment speed	3%	12%		9%
				Conditional default rate	0%	5%		0%
				Loss severity	0%	110%		3%
Commercial mortgage-backed securities and loans(c)	432		Market comparables	Price	$0	$99		$80
Corporate debt securities	788		Market comparables	Price	$0	$243		$96
Loans(d)	1,050		Market comparables	Price	$0	$356		$84
Non-U.S. government debt securities	169		Market comparables	Price	$6	$103		$86
Net interest rate derivatives	775		Option pricing	Interest rate volatility	24 bps	633 bps		132 bps
				Interest rate spread volatility	33 bps	46 bps		36 bps
				Bermudan switch value	0%	52%		20%
				Interest rate correlation	(89)%	89%		15%
				IR-FX correlation	(35)%	60%		6%
	(21)		Discounted cash flows	Prepayment speed	0%	21%		7%
Net credit derivatives	430		Discounted cash flows	Credit correlation	40%	65%		49%
				Credit spread	0 bps	9,828 bps		370 bps
				Recovery rate	20%	90%		41%
	22		Market comparables	Price	$3	$115		$80
Net foreign exchange derivatives	627		Option pricing	IR-FX correlation	(40)%	60%		20%
	(82)		Discounted cash flows	Prepayment speed	11%			11%
				Interest rate curve	2%	18%		7%
Net equity derivatives	(885)		Option pricing	Forward equity price(h)	78%	138%		101%
				Equity volatility	5%	139%		32%
				Equity correlation	17%	100%		58%
				Equity-FX correlation	(86)%	60%		(28)%
				Equity-IR correlation	5%	35%		19%
Net commodity derivatives	(287)		Option pricing	Oil commodity forward	$104 / BBL	$286 / BBL		$195 / BBL
				Natural gas commodity forward	$0 / MMBTU	$9 / MMBTU		$5 / MMBTU
				Commodity volatility	4%	127%		66%
				Commodity correlation	(30)%	77%		23%
MSRs	7,755		Discounted cash flows	Refer to Note 14
Long-term debt, short-term borrowings, and deposits(e)	27,517		Option pricing	Interest rate volatility	24 bps	633 bps		132 bps
				Bermudan switch value	0%	52%		20%
				Interest rate correlation	(89)%	89%		15%
				IR-FX correlation	(35)%	60%		6%
				Equity correlation	17%	100%		58%
				Equity-FX correlation	(86)%	60%		(28)%
				Equity-IR correlation	5%	35%		19%
	1,328		Discounted cash flows	Credit correlation	40%	65%		49%
Other level 3 assets and liabilities, net(f)	1,021

(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 $732 million, nonagency securities of $5 million and non-trading loans of $958 million.

(c)Comprises U.S. GSE and government agency securities of $25 million, nonagency securities of $10 million, trading loans of $72 million and non-trading loans of $325 million.

(d)Comprises trading loans of $854 million and non-trading loans of $196 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 $796 million including $215 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, 2023 and 2022. 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, 2023 (in millions)	Fair value at   Jan 1, 2023		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2023			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2023
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements	$	—	$	—		$	—	$	—			$	—	$	—	$	—		$	—	$	—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	759		7			25		(7)				(24)		—		(3)			757		7
Residential – nonagency	5		1			—		—				(2)		1		—			5		1
Commercial – nonagency	7		1			—		—				(1)		3		—			10		1
Total mortgage-backed securities	771		9			25		(7)				(27)		4		(3)			772		9
Obligations of U.S. states and municipalities	7		—			—		(1)				—		—		—			6		—
Non-U.S. government debt securities	155		11			50		(47)				—		—		—			169		13
Corporate debt securities	463		24			49		(17)				—		23		(4)			538		20
Loans	759		8			436		(62)				(95)		23		(143)			926		8
Asset-backed securities	23		—			1		(2)				(1)		1		(15)			7		—
Total debt instruments	2,178		52			561		(136)				(123)		51		(165)			2,418		50
Equity securities	665		(31)			58		(71)				—		36		(76)			581		(2)
Physical commodities	2		—			—		—				(2)		—		—			—		—
Other	64		(21)			94		—				2		1		—			140		1
Total trading assets – debt and equity instruments	2,909		—			713		(207)				(123)		88		(241)			3,139		49		(c)
Net derivative receivables:(b)
Interest rate	701		346			35		(50)				(22)		(165)		(91)			754		461
Credit	13		246			3		(3)				171		24		(2)			452		239
Foreign exchange	489		89			28		(41)				(75)		64		(9)			545		126
Equity	(384)		171			318		(687)				—		111		(414)			(885)		308
Commodity	(146)		8			4		(67)				(127)		1		40			(287)		(31)
Total net derivative receivables	673		860		(c)	388		(848)				(53)		35		(476)			579		1,103		(c)
Available-for-sale securities:
Corporate debt securities	239		11			—		—				—		—		—			250		11
Total available-for-sale securities	239		11		(d)	—		—				—		—		—			250		11		(d)
Loans	1,418		26		(c)	148		(66)				(95)		157		(109)			1,479		16		(c)
Mortgage servicing rights	7,973		(11)		(e)	31		2				(240)		—		—			7,755		(11)		(e)
Other assets	405		5		(c)	12		—				(16)		—		—			406		5		(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2023 (in millions)	Fair value at   Jan 1, 2023		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2023			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2023
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,162	$	48	(c)(f)	$	—	$	—	$	128	$	(67)	$	—	$	(63)		$	2,208	$	48	(c)(f)
Short-term borrowings	1,401		90		(c)(f)	—		—		1,051		(1,132)		—		—			1,410		20		(c)(f)
Trading liabilities – debt and equity instruments	84		(12)		(c)	(27)		8		—		—		12		(2)			63		1		(c)
Accounts payable and other liabilities	53		(1)		(c)	—		4		—		—		—		—			56		(1)		(c)
Long-term debt	24,092		1,356		(c)(f)	—		—		2,733		(2,975)		91		(70)			25,227		1,447		(c)(f)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2022 (in millions)	Fair value at   Jan 1, 2022		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2022			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2022
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements	$	—	$	—		$	—	$	—			$	—	$	—	$	—		$	—	$	—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	265		27			22		(7)				(21)		—		—			286		26
Residential – nonagency	28		—			—		—				(11)		—		(7)			10		—
Commercial – nonagency	10		—			—		—				—		—		—			10		—
Total mortgage-backed securities	303		27			22		(7)				(32)		—		(7)			306		26
Obligations of U.S. states and municipalities	7		—			—		—				—		—		—			7		—
Non-U.S. government debt securities	81		(33)			228		(180)				—		37		—			133		(33)
Corporate debt securities	332		(19)			61		(59)				(37)		41		(26)			293		(20)
Loans	708		(4)			297		(98)				(7)		271		(118)			1,049		(4)
Asset-backed securities	26		—			1		—				—		4		(3)			28		—
Total debt instruments	1,457		(29)			609		(344)				(76)		353		(154)			1,816		(31)
Equity securities	662		(813)			223		(240)				—		853		(22)			663		(760)
Physical commodities	—		—			—		—				—		—		—			—		—
Other	160		1			20		—				(5)		—		(1)			175		16
Total trading assets – debt and equity instruments	2,279		(841)		(c)	852		(584)				(81)		1,206		(177)			2,654		(775)		(c)
Net derivative receivables:(b)
Interest rate	(16)		233			126		(94)				151		(27)		(6)			367		422
Credit	74		67			4		(4)				(96)		(3)		2			44		66
Foreign exchange	(419)		345			132		(24)				70		(6)		(22)			76		364
Equity	(3,626)		730			498		(559)				443		(331)		262			(2,583)		838
Commodity	(907)		422			50		(137)				156		—		2			(414)		467
Total net derivative receivables	(4,894)		1,797		(c)	810		(818)				724		(367)		238			(2,510)		2,157		(c)
Available-for-sale securities:
Corporate debt securities	161		27			17		—				—		—		—			205		27
Total available-for-sale securities	161		27		(d)	17		—				—		—		—			205		27		(d)
Loans	1,933		98		(c)	121		(5)				(281)		390		(184)			2,072		156		(c)
Mortgage servicing rights	5,494		959		(e)	1,130		(57)				(232)		—		—			7,294		959		(e)
Other assets	306		9		(c)	41		—				(17)		2		—			341		9		(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2022 (in millions)	Fair value at   Jan 1, 2022		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2022			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2022
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,317	$	(142)	(c)(f)	$	—	$	—	$	108	$	(48)	$	—	$	(114)		$	2,121	$	(143)	(c)(f)
Short-term borrowings	2,481		(401)		(c)(f)	—		—		1,423		(1,347)		1		(11)			2,146		(153)		(c)(f)
Trading liabilities – debt and equity instruments	30		(17)		(c)	(14)		30		—		—		14		(2)			41		31		(c)
Accounts payable and other liabilities	69		(4)		(c)	—		42		—		—		1		—			108		(4)		(c)
Long-term debt	24,374		(1,668)		(c)(f)	—		—		4,050		(2,476)		263		(149)			24,394		(1,575)		(c)(f)

(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 2% at both March 31, 2023 and December 31, 2022. 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 7% and 8% at March 31, 2023 and December 31, 2022, 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)Realized gains/(losses) on AFS securities are reported in investment securities gains/(losses). Unrealized gains/(losses) are reported in OCI. Realized and unrealized gains/(losses) recorded on level 3 AFS securities were not material for the three months ended March 31, 2023 and 2022.

(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 were not material for the three months ended March 31, 2023 and 2022. Unrealized (gains)/losses are reported in OCI, and were $(20) million and $(229) million for the three months ended March 31, 2023 and 2022, 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, 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)	2023		2022
Credit and funding adjustments:
Derivatives CVA	$	55	$	(312)
Derivatives FVA	(8)		(58)

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of March 31, 2023 and 2022, for which nonrecurring fair value adjustments were recorded during the three months ended March 31, 2023 and 2022, by major product category and fair value hierarchy.

	Fair value hierarchy							Total fair value
March 31, 2023 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	709	$	833	(b)	$	1,542
Other assets(a)	—		22		179			201
Total assets measured at fair value on a nonrecurring basis	$	—	$	731	$	1,012		$	1,743
Accounts payable and other liabilities	—		—		3			3
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	3		$	3

	Fair value hierarchy						Total fair value
March 31, 2022 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	874	$	417	$	1,291
Other assets	—		15		802		817
Total assets measured at fair value on a nonrecurring basis	$	—	$	889	$	1,219	$	2,108
Accounts payable and other liabilities	—		—		28		28
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	28	$	28

(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 $179 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2023, $158 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 $833 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2023, $14 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 48% with a weighted average of 25%.

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, 2023 and 2022, related to assets and liabilities held at those dates.

	Three months ended March 31,
(in millions)	2023		2022
Loans	$	(37)	$	(18)
Other assets(a)	(65)		360
Accounts payable and other liabilities	(3)		(24)
Total nonrecurring fair value gains/(losses)	$	(105)	$	318

(a)Included $(61) million and $376 million for the three months ended March 31, 2023 and 2022, 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, 2023 and 2022, 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)	2023		2022
Other assets
Carrying value(a)	$	3,910	$	4,131
Upward carrying value changes(b)	35		387
Downward carrying value changes/impairment(c)	(96)		(11)

(a)The carrying value as of December 31, 2022 was $4.1 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, 2023 were $1.5 billion.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2023 were $(1.0) billion.

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, 2023, and December 31, 2022, 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, 2023										December 31, 2022
			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	$	25.1	$	25.1	$	—	$	—	$	25.1	$	27.7	$	27.7	$	—	$	—	$	27.7
Deposits with banks	520.9		520.4		0.5		—		520.9		539.5		539.3		0.2		—		539.5
Accrued interest and accounts receivable	114.8		—		114.7		0.1		114.8		124.7		—		124.6		0.1		124.7
Federal funds sold and securities purchased under resale agreements	7.8		—		7.8		—		7.8		3.7		—		3.7		—		3.7
Securities borrowed	127.4		—		127.4		—		127.4		115.3		—		115.3		—		115.3
Investment securities, held-to-maturity	412.8		187.2		194.8		—		382.0		425.3		189.1		199.5		—		388.6
Loans, net of allowance for loan losses(a)	1,070.3		—		198.9		851.2		1,050.1		1,073.9		—		194.0		853.9		1,047.9
Other	102.4		—		100.8		1.7		102.5		101.2		—		99.6		1.7		101.3
Financial liabilities
Deposits	$	2,335.7	$	—	$	2,335.9	$	—	$	2,335.9	$	2,311.6	$	—	$	2,311.5	$	—	$	2,311.5
Federal funds purchased and securities loaned or sold under repurchase agreements	54.1		—		54.1		—		54.1		50.6		—		50.6		—		50.6
Short-term borrowings	24.2		—		24.2		—		24.2		28.2		—		28.2		—		28.2
Accounts payable and other liabilities	238.5		—		232.3		5.6		237.9		257.5		—		251.2		5.6		256.8
Beneficial interests issued by consolidated VIEs	14.9		—		14.9		—		14.9		12.6		—		12.6		—		12.6
Long-term debt	219.3		—		214.3		2.8		217.1		223.6		—		216.5		2.8		219.3

(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, 2023										December 31, 2022
			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	$	2.3	$	—	$	—	$	3.2	$	3.2	$	2.3	$	—	$	—	$	3.2	$	3.2

(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.