Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024 and 2023, 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,
	2024							2023
(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	$	219	$	—		$	219	$	146	$	—		$	146
Securities borrowed	95		—			95		29		—			29
Trading assets:
Debt and equity instruments, excluding loans	1,576		—			1,576		200		—			200
Loans reported as trading assets:
Changes in instrument-specific credit risk	75		—			75		17		—			17
Other changes in fair value	(1)		3		(c)	2		4		—			4
Loans:
Changes in instrument-specific credit risk	238		—			238		31		4		(c)	35
Other changes in fair value	190		284		(c)	474		(74)		(78)		(c)	(152)
Other assets	75		—			75		32		(1)		(d)	31
Deposits(a)	(1,209)		—			(1,209)		(454)		—			(454)
Federal funds purchased and securities loaned or sold under repurchase agreements	(57)		—			(57)		(17)		—			(17)
Short-term borrowings(a)	(301)		—			(301)		(130)		—			(130)
Trading liabilities	3		—			3		4		—			4
Beneficial interests issued by consolidated VIEs	—		—			—		—		—			—
Other liabilities	(4)		—			(4)		(2)		—			(2)
Long-term debt(a)(b)	(3,308)		2		(c)(d)	(3,306)		2,606		(14)		(c)(d)	2,592


	Nine months ended September 30,
	2024							2023
(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	$	268	$	—		$	268	$	366	$	—		$	366
Securities borrowed	309		—			309		57		—			57
Trading assets:
Debt and equity instruments, excluding loans	4,385		—			4,385		2,955		—			2,955
Loans reported as trading assets:
Changes in instrument-specific credit risk	273		—			273		248		—			248
Other changes in fair value	18		4		(c)	22		9		2		(c)	11
Loans:
Changes in instrument-specific credit risk	508		(5)		(c)	503		102		—			102
Other changes in fair value	172		439		(c)	611		45		26		(c)	71
Other assets	93		—			93		46		(2)		(d)	44
Deposits(a)	(3,167)		—			(3,167)		(1,322)		—			(1,322)
Federal funds purchased and securities loaned or sold under repurchase agreements	(47)		—			(47)		(86)		—			(86)
Short-term borrowings(a)	(751)		—			(751)		(399)		—			(399)
Trading liabilities	1		—			1		(26)		—			(26)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—			—
Other liabilities	(6)		—			(6)		(3)		—			(3)
Long-term debt(a)(b)	(4,244)		(8)		(c)(d)	(4,252)		(855)		(42)		(c)(d)	(897)

(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, 2024 and 2023.

(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.

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, 2024 and December 31, 2023, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.


	September 30, 2024							December 31, 2023
(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	$	3,521		$	471	$	(3,050)	$	2,987		$	588	$	(2,399)
Loans	1,267			1,072		(195)		838			732		(106)
Subtotal	4,788			1,543		(3,245)		3,825			1,320		(2,505)
90 or more days past due and government guaranteed
Loans(a)	42			38		(4)		65			59		(6)
All other performing loans(b)
Loans reported as trading assets	10,522			9,551		(971)		9,547			7,968		(1,579)
Loans	41,577			41,027		(550)		38,948			38,060		(888)
Subtotal	52,099			50,578		(1,521)		48,495			46,028		(2,467)
Total loans	$	56,929		$	52,159	$	(4,770)	$	52,385		$	47,407	$	(4,978)
Long-term debt
Principal-protected debt	$	56,592	(d)	$	48,246	$	(8,346)	$	47,768	(d)	$	38,882	$	(8,886)
Nonprincipal-protected debt(c)	NA			53,883		NA		NA			49,042		NA
Total long-term debt	NA			$	102,129	NA		NA			$	87,924	NA
Long-term beneficial interests
Nonprincipal-protected debt(c)	NA			$	1	NA		NA			$	1	NA
Total long-term beneficial interests	NA			$	1	NA		NA			$	1	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, 2024 and December 31, 2023.

(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, 2024									December 31, 2023
(in millions)	Long-term debt		Short-term borrowings		Deposits			Total		Long-term debt		Short-term borrowings		Deposits			Total
Risk exposure
Interest rate	$	47,231	$	844	$	47,593		$	95,668	$	38,604	$	654	$	74,526		$	113,784
Credit	5,726		987		—			6,713		5,444		350		—			5,794
Foreign exchange	2,504		917		341			3,762		2,605		941		187			3,733
Equity	44,632		8,038		3,064			55,734		38,685		5,483		2,905			47,073
Commodity	1,421		64		1		(a)	1,486		1,862		11		1		(a)	1,874
Total structured notes	$	101,514	$	10,850	$	50,999		$	163,363	$	87,200	$	7,439	$	77,619		$	172,258

(a)Excludes deposits linked to precious metals for which the fair value option has not been elected of $859 million and $627 million for the periods ended September 30, 2024 and December 31, 2023, respectively.