FAIR VALUE (Tables)

3 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis

The following tables present assets and liabilities measured at fair value on a recurring basis. Netting adjustments represent the impact of counterparty and collateral netting on our derivative balances included on our Condensed Consolidated Statements of Financial Condition. See Note 6 for additional information.

$ in millions	Level 1		Level 2		Level 3		Netting adjustments		Balance as of December 31, 2021
Assets at fair value on a recurring basis:
Assets segregated for regulatory purposes (1)	$	9,599	$	—	$	—	$	—	$	9,599
Trading assets:
Municipal and provincial obligations	—		91		—		—		91
Corporate obligations	11		40		—		—		51
Government and agency obligations	23		71		—		—		94
Agency mortgage-backed securities (“MBS”), collateralized mortgage obligations (“CMOs”) and asset-backed securities (“ABS”)	—		89		—		—		89
Non-agency CMOs and ABS	—		27		—		—		27
Total debt securities	34		318		—		—		352
Equity securities	10		1		—		—		11
Brokered certificates of deposit	—		5		—		—		5
Other	—		—		2		—		2
Total trading assets	44		324		2		—		370
Available-for-sale securities (2)	15		8,532		—		—		8,547
Derivative assets:
Interest rate - matched book	—		171		—		—		171
Interest rate - other	3		111		—		(72)		42
Other	—		—		1		—		1
Total derivative assets	3		282		1		(72)		214
Other investments - private equity - not measured at net asset value (“NAV”)	—		—		75		—		75
All other investments:
Government and agency obligations (3)	436		—		—		—		436
Other	93		2		23		—		118
Total all other investments	529		2		23		—		554
Subtotal	10,190		9,140		101		(72)		19,359
Other investments - private equity - measured at NAV									82
Total assets at fair value on a recurring basis	$	10,190	$	9,140	$	101	$	(72)	$	19,441
Liabilities at fair value on a recurring basis:
Trading liabilities:
Corporate obligations	$	—	$	11	$	—	$	—	$	11
Government and agency obligations	128		—		—		—		128
Total debt securities	128		11		—		—		139
Equity securities	32		—		—		—		32
Total trading liabilities	160		11		—		—		171
Derivative liabilities:
Interest rate - matched book	—		171		—		—		171
Interest rate - other	2		101		—		(74)		29
Foreign exchange	—		32		—		—		32
Total derivative liabilities	2		304		—		(74)		232
Total liabilities at fair value on a recurring basis	$	162	$	315	$	—	$	(74)	$	403

$ in millions	Level 1		Level 2		Level 3		Netting adjustments		Balance as of September 30, 2021
Assets at fair value on a recurring basis:
Assets segregated for regulatory purposes (1)	$	2,100	$	—	$	—	$	—	$	2,100
Trading assets:
Municipal and provincial obligations	—		155		—		—		155
Corporate obligations	16		63		—		—		79
Government and agency obligations	15		94		—		—		109
Agency MBS, CMOs and ABS	—		211		—		—		211
Non-agency CMOs and ABS	—		14		—		—		14
Total debt securities	31		537		—		—		568
Equity securities	8		4		—		—		12
Brokered certificates of deposit	—		16		—		—		16
Other	—		—		14		—		14
Total trading assets	39		557		14		—		610
Available-for-sale securities (2)	15		8,300		—		—		8,315
Derivative assets:
Interest rate - matched book	—		193		—		—		193
Interest rate - other	16		128		—		(87)		57
Foreign exchange	—		5		—		—		5
Total derivative assets	16		326		—		(87)		255
Other investments - private equity - not measured at NAV	—		—		75		—		75
All other investments:
Government and agency obligations (3)	86		—		—		—		86
Other	77		2		23		—		102
Total all other investments	163		2		23		—		188
Subtotal	2,333		9,185		112		(87)		11,543
Other investments - private equity - measured at NAV									94
Total assets at fair value on a recurring basis	$	2,333	$	9,185	$	112	$	(87)	$	11,637
Liabilities at fair value on a recurring basis:
Trading liabilities:
Municipal and provincial obligations	$	2	$	—	$	—	$	—	$	2
Corporate obligations	—		6		—		—		6
Government and agency obligations	137		—		—		—		137
Total debt securities	139		6		—		—		145
Equity securities	28		3		—		—		31
Total trading liabilities	167		9		—		—		176
Derivative liabilities:
Interest rate - matched book	—		193		—		—		193
Interest rate - other	16		106		—		(88)		34
Other	—		—		1		—		1
Total derivative liabilities	16		299		1		(88)		228
Total liabilities at fair value on a recurring basis	$	183	$	308	$	1	$	(88)	$	404

(1)    These assets consist of U.S. Treasury securities (“U.S. Treasuries”) with maturities greater than 3 months as of our date of purchase.

(2)    Substantially all of our available-for-sale securities consist of agency MBS and agency CMOs. See Note 5 for further information.

(3)    These assets are comprised of U.S. Treasuries primarily purchased to meet certain deposit requirements with clearing organizations or to meet future broker-dealer customer reserve requirements.

Level 3 Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis, Roll Forward Table of Change in Balances

The following tables present the changes in fair value for Level 3 assets and liabilities measured at fair value on a recurring basis. The realized and unrealized gains and losses in the tables may include changes in fair value that were attributable to both observable and unobservable inputs. In the following tables, gains/(losses) on trading instruments are reported in “Principal transactions” and gains/(losses) on other investments are reported in “Other” revenues on our Condensed Consolidated Statements of Income and Comprehensive Income.

Three months ended December 31, 2021 Level 3 instruments at fair value
	Financial assets								Financial liabilities
	Trading assets		Derivative assets		Other investments				Derivative liabilities
$ in millions	Other		Other		Private equity investments		All other		Other
Fair value beginning of period	$	14	$	—	$	75	$	23	$	(1)
Total gains included in earnings	2		1		—		—		1
Purchases and contributions	25		—		—		—		—
Sales and distributions	(39)		—		—		—		—
Transfers:
Into Level 3	—		—		—		—		—
Out of Level 3	—		—		—		—		—
Fair value end of period	$	2	$	1	$	75	$	23	$	—
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	(1)	$	2	$	—	$	—	$	—

Three months ended December 31, 2020 Level 3 instruments at fair value
	Financial assets						Financial liabilities
	Trading assets		Other investments				Derivative liabilities
$ in millions	Other		Private equity investments		All other		Other
Fair value beginning of period	$	12	$	37	$	22	$	(5)
Total gains/(losses) included in earnings	2		15		—		4
Purchases and contributions	6		—		—		—
Sales and distributions	(17)		—		—		—
Transfers:
Into Level 3	—		—		—		—
Out of Level 3	—		—		—		—
Fair value end of period	$	3	$	52	$	22	$	(1)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	3	$	15	$	—	$	3

Significant Assumptions Used in Valuation of Level 3 Financial Instruments

The following table presents the valuation techniques and significant unobservable inputs used in the valuation of certain of our private equity investments classified as level 3. These inputs represent those that a market participant would take into account when pricing these instruments. Weighted averages are calculated by weighting each input by the relative fair value of the related financial instrument. Certain investments are valued initially at transaction price and updated as other investment-specific events take place which indicate that a change in the carrying values of these investments is appropriate. Other investment-specific events include such events as our periodic review, significant transactions occur or new developments become known.

Recurring measurements $ in millions	Fair value at December 31, 2021		Valuation technique(s)	Unobservable input	Range (weighted-average)
Other investments - private equity investments (not measured at NAV)	$	75	Discounted cash flow, transaction price or other investment-specific events	Discount rate	25%
				Terminal earnings before interest, taxes, depreciation and amortization (“EBITDA”) multiple	10.0x
				Terminal year	2023 - 2035 (2024)
	Fair value at September 30, 2021
Other investments - private equity investments (not measured at NAV)	$	75	Discounted cash flow, transaction price or other investment-specific events	Discount rate	25%
				Terminal EBITDA multiple	10.0x
				Terminal year	2023 - 2035 (2024)

Net asset value of recorded value and unfunded commitments

The following table presents the recorded value and unfunded commitments related to our private equity investments portfolio.

$ in millions	Recorded value		Unfunded commitment
December 31, 2021
Private equity investments measured at NAV	$	82	$	8
Private equity investments not measured at NAV	75
Total private equity investments	$	157
September 30, 2021
Private equity investments measured at NAV	$	94	$	8
Private equity investments not measured at NAV	75
Total private equity investments	$	169

Fair Value Measurements, Nonrecurring

The following table presents assets measured at fair value on a nonrecurring basis along with the valuation techniques and significant unobservable inputs used in the valuation of the assets classified as level 3. These inputs represent those that a market participant would take into account when pricing these instruments. Weighted averages are calculated by weighting each input by the relative fair value of the related financial instrument.

$ in millions	Level 2		Level 3		Total fair value		Valuation technique(s)	Unobservable input	Range (weighted-average)
December 31, 2021
Bank loans:
Residential mortgage loans	$	3	$	10	$	13	Collateral or discounted cash flow (1)	Prepayment rate	7 yrs. - 12 yrs. (10.5 yrs.)
Corporate loans	$	—	$	41	$	41	Collateral or discounted cash flow (1)	Not meaningful (1)	Not meaningful (1)
Loans held for sale	$	161	$	—	$	161	N/A	N/A	N/A
September 30, 2021
Bank loans:
Residential mortgage loans	$	3	$	11	$	14	Collateral or discounted cash flow (1)	Prepayment rate	7 yrs. - 12 yrs. (10.5 yrs.)
Corporate loans	$	—	$	49	$	49	Collateral or discounted cash flow (1)	Not meaningful (1)	Not meaningful (1)
Loans held for sale	$	29	$	—	$	29	N/A	N/A	N/A

(1)    The valuation techniques used to estimate the fair values are based on collateral value less selling costs for the collateral-dependent loans and discounted cash flows for loans that are not collateral-dependent.

Carrying Amounts and Estimated Fair Values of Financial Instruments Not Carried at Fair Value

The following table presents the estimated fair value and fair value hierarchy of financial assets and liabilities that are not recorded at fair value on the Condensed Consolidated Statements of Financial Condition at December 31, 2021 and September 30, 2021. This table excludes financial instruments that are carried at amounts which approximate fair value. Refer to Note 4 of our 2021 Form 10-K for a discussion of the fair value hierarchy classifications of our financial instruments that are not recorded at fair value.

$ in millions	Level 2		Level 3		Total estimated fair value		Carrying amount
December 31, 2021
Financial assets:
Bank loans, net	$	69	$	25,840	$	25,909	$	25,917
Financial liabilities:
Bank deposits - certificates of deposit	$	—	$	802	$	802	$	789
Senior notes payable	$	2,434	$	—	$	2,434	$	2,037
September 30, 2021
Financial assets:
Bank loans, net	$	116	$	24,839	$	24,955	$	24,902
Financial liabilities:
Bank deposits - certificates of deposit	$	—	$	898	$	898	$	878
Senior notes payable	$	2,459	$	—	$	2,459	$	2,037