Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024 and December 31, 2023, 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, 2024 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	324,418	$	—	$	—	$	324,418
Securities borrowed	—		84,258		—		—		84,258
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		99,292		729		—		100,021
Residential – nonagency	—		1,873		8		—		1,881
Commercial – nonagency	—		1,089		12		—		1,101
Total mortgage-backed securities	—		102,254		749		—		103,003
U.S. Treasury, GSEs and government agencies(a)	184,768		10,418		—		—		195,186
Obligations of U.S. states and municipalities	—		5,781		7		—		5,788
Certificates of deposit, bankers’ acceptances and commercial paper	—		3,626		—		—		3,626
Non-U.S. government debt securities	32,609		70,891		173		—		103,673
Corporate debt securities	—		37,925		570		—		38,495
Loans	—		8,796		531		—		9,327
Asset-backed securities	—		2,687		14		—		2,701
Total debt instruments	217,377		242,378		2,044		—		461,799
Equity securities	215,191		487		203		—		215,881
Physical commodities(b)	1,612		995		2		—		2,609
Other	—		17,345		107		—		17,452
Total debt and equity instruments(c)	434,180		261,205		2,356		—		697,741
Derivative receivables:
Interest rate	1,287		231,904		4,811		(212,474)		25,528
Credit	—		9,518		1,212		(9,999)		731
Foreign exchange	153		182,868		847		(165,780)		18,088
Equity	—		80,591		2,913		(76,459)		7,045
Commodity	—		17,521		273		(12,565)		5,229
Total derivative receivables	1,440		522,402		10,056		(477,277)		56,621
Total trading assets(d)	435,620		783,607		12,412		(477,277)		754,362
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	10		71,227		—		—		71,237
Residential – nonagency	—		2,961		—		—		2,961
Commercial – nonagency	—		2,659		—		—		2,659
Total mortgage-backed securities	10		76,847		—		—		76,857
U.S. Treasury and government agencies	110,642		134		—		—		110,776
Obligations of U.S. states and municipalities	—		18,811		—		—		18,811
Non-U.S. government debt securities	12,463		7,416		—		—		19,879
Corporate debt securities	—		89		—		—		89
Asset-backed securities:
Collateralized loan obligations	—		7,164		—		—		7,164
Other(a)	—		2,576		—		—		2,576
Total available-for-sale securities	123,115		113,037		—		—		236,152
Loans(e)	—		36,145		2,901		—		39,046
Mortgage servicing rights	—		—		8,605		—		8,605
Other assets(d)	9,772		4,056		811		—		14,639
Total assets measured at fair value on a recurring basis	$	568,507	$	1,345,521	$	24,729	$	(477,277)	$	1,461,480
Deposits	$	—	$	78,523	$	2,055	$	—	$	80,578
Federal funds purchased and securities loaned or sold under repurchase agreements	—		264,554		—		—		264,554
Short-term borrowings	—		20,650		2,206		—		22,856
Trading liabilities:
Debt and equity instruments(c)	157,774		34,513		37		—		192,324
Derivative payables:
Interest rate	1,588		221,085		4,011		(214,678)		12,006
Credit	—		11,788		952		(11,590)		1,150
Foreign exchange	155		180,125		823		(171,096)		10,007
Equity	—		84,983		5,694		(84,110)		6,567
Commodity	—		18,103		776		(12,606)		6,273
Total derivative payables	1,743		516,084		12,256		(494,080)		36,003
Total trading liabilities	159,517		550,597		12,293		(494,080)		228,327
Accounts payable and other liabilities	7,076		1,793		48		—		8,917
Beneficial interests issued by consolidated VIEs	—		1		—		—		1
Long-term debt	—		64,052		28,678		—		92,730
Total liabilities measured at fair value on a recurring basis	$	166,593	$	980,170	$	45,280	$	(494,080)	$	697,963

	Fair value hierarchy						Derivative netting adjustments(f)
December 31, 2023 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	259,813	$	—	$	—	$	259,813
Securities borrowed	—		70,086		—		—		70,086
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		73,840		758		—		74,598
Residential – nonagency	—		1,921		5		—		1,926
Commercial – nonagency	—		1,362		12		—		1,374
Total mortgage-backed securities	—		77,123		775		—		77,898
U.S. Treasury, GSEs and government agencies(a)	133,997		9,998		—		—		143,995
Obligations of U.S. states and municipalities	—		5,858		10		—		5,868
Certificates of deposit, bankers’ acceptances and commercial paper	—		756		—		—		756
Non-U.S. government debt securities	24,846		55,557		179		—		80,582
Corporate debt securities	—		32,854		484		—		33,338
Loans	—		7,872		684		—		8,556
Asset-backed securities	—		2,199		6		—		2,205
Total debt instruments	158,843		192,217		2,138		—		353,198
Equity securities	107,926		679		127		—		108,732
Physical commodities(b)	2,479		3,305		7		—		5,791
Other	—		17,879		101		—		17,980
Total debt and equity instruments(c)	269,248		214,080		2,373		—		485,701
Derivative receivables:
Interest rate	2,815		243,578		4,298		(224,367)		26,324
Credit	—		8,644		1,010		(9,103)		551
Foreign exchange	149		204,737		889		(187,756)		18,019
Equity	—		55,167		2,522		(52,761)		4,928
Commodity	—		15,234		205		(10,397)		5,042
Total derivative receivables	2,964		527,360		8,924		(484,384)		54,864
Total trading assets(d)	272,212		741,440		11,297		(484,384)		540,565
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		85,170		—		—		85,170
Residential – nonagency	—		3,639		—		—		3,639
Commercial – nonagency	—		2,803		—		—		2,803
Total mortgage-backed securities	—		91,612		—		—		91,612
U.S. Treasury and government agencies	57,683		122		—		—		57,805
Obligations of U.S. states and municipalities	—		21,367		—		—		21,367
Non-U.S. government debt securities	13,095		8,187		—		—		21,282
Corporate debt securities	—		100		—		—		100
Asset-backed securities:
Collateralized loan obligations	—		6,752		—		—		6,752
Other(a)	—		2,786		—		—		2,786
Total available-for-sale securities	70,778		130,926		—		—		201,704
Loans(e)	—		35,772		3,079		—		38,851
Mortgage servicing rights	—		—		8,522		—		8,522
Other assets(d)	6,635		3,929		758		—		11,322
Total assets measured at fair value on a recurring basis	$	349,625	$	1,241,966	$	23,656	$	(484,384)	$	1,130,863
Deposits	$	—	$	76,551	$	1,833	$	—	$	78,384
Federal funds purchased and securities loaned or sold under repurchase agreements	—		169,003		—		—		169,003
Short-term borrowings	—		18,284		1,758		—		20,042
Trading liabilities:
Debt and equity instruments(c)	107,292		32,252		37		—		139,581
Derivative payables:
Interest rate	4,409		232,277		3,796		(228,586)		11,896
Credit	—		11,293		745		(10,949)		1,089
Foreign exchange	147		211,289		827		(199,643)		12,620
Equity	—		60,887		4,924		(56,443)		9,368
Commodity	—		15,894		484		(10,504)		5,874
Total derivative payables	4,556		531,640		10,776		(506,125)		40,847
Total trading liabilities	111,848		563,892		10,813		(506,125)		180,428
Accounts payable and other liabilities	3,968		1,617		52		—		5,637
Beneficial interests issued by consolidated VIEs	—		1		—		—		1
Long-term debt	—		60,198		27,726		—		87,924
Total liabilities measured at fair value on a recurring basis	$	115,816	$	889,546	$	42,182	$	(506,125)	$	541,419

(a)At March 31, 2024 and December 31, 2023, included total U.S. GSE obligations of $103.8 billion and $78.5 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, 2024 and December 31, 2023, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.1 billion and $1.0 billion, respectively. Included in these balances at March 31, 2024 and December 31, 2023, were trading assets of $47 million and $42 million, respectively, and other assets of $1.0 billion and $984 million, respectively.

(e)At both March 31, 2024 and December 31, 2023, included $10.2 billion of residential first-lien mortgages and $6.0 billion 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 $3.4 billion and $2.9 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 and arithmetic 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, 2024
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)	$	1,599	Discounted cash flows	Yield	0%	68%		7%
				Prepayment speed	3%	12%		9%
				Conditional default rate	0%	6%		0%
				Loss severity	0%	110%		3%
Commercial mortgage-backed securities and loans(c)	1,387		Market comparables	Price	$0	$90		$80
Corporate debt securities	570		Market comparables	Price	$0	$243		$100
Loans(d)	1,195		Market comparables	Price	$0	$111		$80
Non-U.S. government debt securities	173		Market comparables	Price	$2	$108		$92
Net interest rate derivatives	798		Option pricing	Interest rate volatility	25bps	420bps		116bps
				Interest rate spread volatility	37bps	77bps		64bps
				Bermudan switch value	0%	52%		20%
				Interest rate correlation	(82)%	90%		19%
				IR-FX correlation	(35)%	60%		4%
	2		Discounted cash flows	Prepayment speed	0%	20%		6%
Net credit derivatives	230		Discounted cash flows	Credit correlation	24%	68%		46%
				Credit spread	0bps	2,999bps		263bps
				Recovery rate	10%	90%		49%
	30		Market comparables	Price	$0	$115		$72
Net foreign exchange derivatives	83		Option pricing	IR-FX correlation	(40)%	60%		22%
	(59)		Discounted cash flows	Prepayment speed	11%			11%
				Interest rate curve	2%	17%		7%
Net equity derivatives	(2,781)		Option pricing	Forward equity price(h)	76%	152%		101%
				Equity volatility	4%	137%		32%
				Equity correlation	1%	100%		57%
				Equity-FX correlation	(88)%	65%		(31)%
				Equity-IR correlation	(40)%	25%		3%
Net commodity derivatives	(503)		Option pricing	Oil commodity forward	$91 / BBL	$277 / BBL		$184 / BBL
				Natural gas commodity forward	$0 / MMBTU	$9 / MMBTU		$5 / MMBTU
				Commodity volatility	15%	24%		19%
				Commodity correlation	(35)%	96%		31%
MSRs	8,605		Discounted cash flows	Refer to Note 14
Long-term debt, short-term borrowings, and deposits(e)	31,734		Option pricing	Interest rate volatility	25bps	420bps		116bps
				Bermudan switch value	0%	52%		20%
				Interest rate correlation	(82)%	90%		19%
				IR-FX correlation	(35)%	60%		4%
				Equity volatility	1%	134%		26%
				Equity correlation	1%	100%		57%
				Equity-FX correlation	(88)%	65%		(31)%
				Equity-IR correlation	(40)%	25%		3%
	1,205		Discounted cash flows	Credit correlation	24%	68%		46%
				Credit spread	1bps	2,501bps		80bps
				Recovery rate	20%	60%		39%
				Yield	5%	20%		12%
				Loss severity	0%	100%		50%
Other level 3 assets and liabilities, net(f)	1,059

(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 $729 million, nonagency securities of $8 million and non-trading loans of $862 million.

(c)Comprises nonagency securities of $12 million, trading loans of $65 million and non-trading loans of $1.3 billion.

(d)Comprises trading loans of $466 million and non-trading loans of $729 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 $783 million including $580 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, 2024 and 2023. 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. 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, 2024 (in millions)	Fair value at   Jan 1, 2024		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2024			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2024
						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	758		1			1		(17)				(21)		7		—			729		1
Residential – nonagency	5		(1)			—		—				—		4		—			8		(1)
Commercial – nonagency	12		(1)			1		—				—		—		—			12		(1)
Total mortgage-backed securities	775		(1)			2		(17)				(21)		11		—			749		(1)
Obligations of U.S. states and municipalities	10		—			—		—				(2)		—		(1)			7		—
Non-U.S. government debt securities	179		5			51		(67)				—		7		(2)			173		(4)
Corporate debt securities	484		11			214		(95)				(30)		4		(18)			570		12
Loans	684		5			143		(199)				(31)		62		(133)			531		5
Asset-backed securities	6		—			1		—				—		7		—			14		—
Total debt instruments	2,138		20			411		(378)				(84)		91		(154)			2,044		12
Equity securities	127		6			81		(30)				—		24		(5)			203		7
Physical commodities	7		(2)			—		—				(3)		—		—			2		(2)
Other	101		11			27		—				(32)		—		—			107		4
Total trading assets – debt and equity instruments	2,373		35		(c)	519		(408)				(119)		115		(159)			2,356		21		(c)
Net derivative receivables:(b)
Interest rate	502		(328)			53		(43)				484		129		3			800		(399)
Credit	265		(25)			—		(15)				14		(6)		27			260		87
Foreign exchange	62		3			34		(38)				(122)		(53)		138			24		67
Equity	(2,402)		(652)			321		(608)				331		(49)		278			(2,781)		(442)
Commodity	(279)		(176)			10		(68)				7		2		1			(503)		(182)
Total net derivative receivables	(1,852)		(1,178)		(c)	418		(772)				714		23		447			(2,200)		(869)		(c)
Available-for-sale securities:
Corporate debt securities	—		—			—		—				—		—		—			—		—
Total available-for-sale securities	—		—			—		—				—		—		—			—		—
Loans	3,079		37		(c)	60		(22)				(392)		303		(164)			2,901		35		(c)
Mortgage servicing rights	8,522		278		(e)	60		5				(260)		—		—			8,605		278		(e)
Other assets	758		29		(c)	47		(9)				(14)		—		—			811		28		(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2024 (in millions)	Fair value at   Jan 1, 2024		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2024			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2024
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	1,833	$	(29)	(c)(f)	$	—	$	—	$	527	$	(203)	$	—	$	(73)		$	2,055	$	(25)	(c)(f)
Short-term borrowings	1,758		1		(c)(f)	—		—		1,645		(1,197)		—		(1)			2,206		8		(c)(f)
Trading liabilities – debt and equity instruments	37		(3)		(c)	(1)		2		—		—		3		(1)			37		(2)		(c)
Accounts payable and other liabilities	52		(4)		(c)	(3)		3		—		—		—		—			48		(4)		(c)
Long-term debt	27,726		551		(c)(f)	—		—		4,503		(3,851)		17		(268)			28,678		500		(c)(f)

	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)

(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, 2024 and December 31, 2023. 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 6% and 8% at March 31, 2024 and December 31, 2023, 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, 2024 and 2023.

(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, 2024 and 2023. Unrealized (gains)/losses are reported in OCI, and were not material for the three months ended March 31, 2024 and 2023.

(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)	2024		2023
Credit and funding adjustments:
Derivatives CVA	$	76	$	55
Derivatives FVA	57		(8)

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of March 31, 2024 and 2023, for which nonrecurring fair value adjustments were recorded during the three months ended March 31, 2024 and 2023, by major product category and fair value hierarchy.

	Fair value hierarchy						Total fair value
March 31, 2024 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	871	$	468	$	1,339
Other assets(a)	—		9		213		222
Total assets measured at fair value on a nonrecurring basis	$	—	$	880	$	681	$	1,561
Accounts payable and other liabilities	—		—		—		—
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	—	$	—

	Fair value hierarchy						Total fair value
March 31, 2023 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	709	$	833	$	1,542
Other assets	—		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

(a)Included impairments on certain equity method investments, as well as 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 $213 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2024, $191 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.

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, 2024 and 2023, related to assets and liabilities held at those dates.

	Three months ended March 31,
(in millions)	2024		2023
Loans	$	(60)	$	(37)
Other assets(a)	(41)		(65)
Accounts payable and other liabilities	—		(3)
Total nonrecurring fair value gains/(losses)	$	(101)	$	(105)

(a)Included $(39) million and $(61) million for the three months ended March 31, 2024 and 2023, respectively, of net gains/(losses) as a result of the measurement alternative. The current period also included impairments on certain equity method investments.

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, 2024 and 2023, 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)	2024		2023
Other assets
Carrying value(a)	$	4,467	$	3,910
Upward carrying value changes(b)	20		35
Downward carrying value changes/impairment(c)	(59)		(96)

(a)The carrying value as of December 31, 2023 was $4.5 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, 2024 were $1.2 billion.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2024 were $(1.3) 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, 2024 and December 31, 2023, 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, 2024										December 31, 2023
			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	$	22.8	$	22.8	$	—	$	—	$	22.8	$	29.1	$	29.1	$	—	$	—	$	29.1
Deposits with banks	539.4		538.9		0.5		—		539.4		595.1		594.6		0.5		—		595.1
Accrued interest and accounts receivable	129.4		—		129.3		0.1		129.4		107.1		—		107.0		0.1		107.1
Federal funds sold and securities purchased under resale agreements	6.1		—		6.1		—		6.1		16.3		—		16.3		—		16.3
Securities borrowed	114.1		—		114.1		—		114.1		130.3		—		130.3		—		130.3
Investment securities, held-to-maturity	334.5		130.2		175.2		—		305.4		369.8		160.6		182.2		—		342.8
Loans, net of allowance for loan losses(a)	1,248.2		—		279.6		953.0		1,232.6		1,262.5		—		285.6		964.6		1,250.2
Other	71.8		—		70.5		1.6		72.1		76.1		—		74.9		1.4		76.3
Financial liabilities
Deposits	$	2,347.8	$	—	$	2,348.3	$	—	$	2,348.3	$	2,322.3	$	—	$	2,322.6	$	—	$	2,322.6
Federal funds purchased and securities loaned or sold under repurchase agreements	61.1		—		61.1		—		61.1		47.5		—		47.5		—		47.5
Short-term borrowings	23.4		—		23.4		—		23.4		24.7		—		24.7		—		24.7
Accounts payable and other liabilities(b)	258.3		—		246.4		10.8		257.2		241.8		—		233.3		8.1		241.4
Beneficial interests issued by consolidated VIEs	28.1		—		28.1		—		28.1		23.0		—		23.0		—		23.0
Long-term debt	303.1		—		252.5		50.9		303.4		303.9		—		252.2		51.3		303.5

(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.

(b)Excludes lending-related commitments disclosed in the table below.

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, 2024										December 31, 2023
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a)(b)(c)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)(b)(c)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	2.8	$	—	$	—	$	4.6	$	4.6	$	3.0	$	—	$	—	$	4.8	$	4.8

(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.

(c)As of March 31, 2024 and December 31, 2023, includes fair value adjustments associated with First Republic for other unfunded commitments to extend credit totaling $935 million and $1.1 billion, respectively, recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to Notes 22 and 26 for additional information.