Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2023

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 and nine months ended September 30, 2023 and 2022, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.


	Three months ended September 30,
	2023							2022
(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	$	146	$	—		$	146	$	(185)	$	—		$	(185)
Securities borrowed	29		—			29		(209)		—			(209)
Trading assets:
Debt and equity instruments, excluding loans	200		—			200		(1,782)		—			(1,782)
Loans reported as trading assets:
Changes in instrument-specific credit risk	17		—			17		34		—			34
Other changes in fair value	4		—			4		(36)		—			(36)
Loans:
Changes in instrument-specific credit risk	31		4		(c)	35		(133)		3		(c)	(130)
Other changes in fair value	(74)		(78)		(c)	(152)		(340)		(107)		(c)	(447)
Other assets	32		(1)		(d)	31		12		(7)		(d)	5
Deposits(a)	(454)		—			(454)		364		—			364
Federal funds purchased and securities loaned or sold under repurchase agreements	(17)		—			(17)		104		—			104
Short-term borrowings(a)	(130)		—			(130)		85		—			85
Trading liabilities	4		—			4		9		—			9
Beneficial interests issued by consolidated VIEs	—		—			—		—		—			—
Other liabilities	(2)		—			(2)		(2)		—			(2)
Long-term debt(a)(b)	2,606		(14)		(c)(d)	2,592		1,828		125		(c)(d)	1,953


	Nine months ended September 30,
	2023							2022
(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	$	366	$	—		$	366	$	(560)	$	—		$	(560)
Securities borrowed	57		—			57		(508)		—			(508)
Trading assets:
Debt and equity instruments, excluding loans	2,955		—			2,955		(2,693)		—			(2,693)
Loans reported as trading assets:
Changes in instrument-specific credit risk	248		—			248		(109)		—			(109)
Other changes in fair value	9		2		(c)	11		(58)		—			(58)
Loans:
Changes in instrument-specific credit risk	102		—			102		(210)		26		(c)	(184)
Other changes in fair value	45		26		(c)	71		(1,560)		(881)		(c)	(2,441)
Other assets	46		(2)		(d)	44		21		(6)		(d)	15
Deposits(a)	(1,322)		—			(1,322)		1,148		—			1,148
Federal funds purchased and securities loaned or sold under repurchase agreements	(86)		—			(86)		310		—			310
Short-term borrowings(a)	(399)		—			(399)		858		—			858
Trading liabilities	(26)		—			(26)		(3)		—			(3)
Beneficial interests issued by consolidated VIEs	—		—			—		(1)		—			(1)
Other liabilities	(3)		—			(3)		(6)		—			(6)
Long-term debt(a)(b)	(855)		(42)		(c)(d)	(897)		11,193		158		(c)(d)	11,351

(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 not material both for the three and nine months ended September 30, 2023 and 2022.

(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 7 for further information regarding interest income and interest expense.

Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding

The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of September 30, 2023 and December 31, 2022, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.


	September 30, 2023							December 31, 2022
(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	$	3,080		$	572	$	(2,508)	$	2,517		$	368	$	(2,149)
Loans	875			750		(125)		967			829		(138)
Subtotal	3,955			1,322		(2,633)		3,484			1,197		(2,287)
90 or more days past due and government guaranteed
Loans(a)	71			65		(6)		124			115		(9)
All other performing loans(b)
Loans reported as trading assets	9,009			7,574		(1,435)		7,823			6,135		(1,688)
Loans	39,212			37,993		(1,219)		42,588			41,135		(1,453)
Subtotal	48,221			45,567		(2,654)		50,411			47,270		(3,141)
Total loans	$	52,247		$	46,954	$	(5,293)	$	54,019		$	48,582	$	(5,437)
Long-term debt
Principal-protected debt	$	45,221	(d)	$	34,331	$	(10,890)	$	41,341	(d)	$	31,105	$	(10,236)
Nonprincipal-protected debt(c)	NA			44,026		NA		NA			41,176		NA
Total long-term debt	NA			$	78,357	NA		NA			$	72,281	NA
Long-term beneficial interests
Nonprincipal-protected debt(c)	NA			$	66	NA		NA			$	5	NA
Total long-term beneficial interests	NA			$	66	NA		NA			$	5	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 September 30, 2023 and December 31, 2022.

(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.


	September 30, 2023									December 31, 2022
(in millions)	Long-term debt		Short-term borrowings		Deposits			Total		Long-term debt		Short-term borrowings		Deposits			Total
Risk exposure
Interest rate	$	34,449	$	271	$	60,595		$	95,315	$	31,973	$	260	$	24,655		$	56,888
Credit	4,746		365		—			5,111		4,105		170		—			4,275
Foreign exchange	2,373		953		112			3,438		2,674		788		50			3,512
Equity	34,007		5,850		2,986			42,843		30,864		4,272		3,545			38,681
Commodity	1,989		21		1		(a)	2,011		1,655		16		2		(a)	1,673
Total structured notes	$	77,564	$	7,460	$	63,694		$	148,718	$	71,271	$	5,506	$	28,252		$	105,029

(a)Excludes deposits linked to precious metals for which the fair value option has not been elected of $587 million and $602 million for the periods ended September 30, 2023 and December 31, 2022, respectively.