FAIR VALUE (Tables)

9 Months Ended

Jun. 30, 2022

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 June 30, 2022
Assets at fair value on a recurring basis:
Assets segregated for regulatory purposes (1)	$	2,000	$	—	$	—	$	—	$	2,000
Trading assets:
Municipal and provincial obligations	1		104		—		—		105
Corporate obligations	10		56		—		—		66
Government and agency obligations	24		33		—		—		57
Agency mortgage-backed securities (“MBS”), collateralized mortgage obligations (“CMOs”) and asset-backed securities (“ABS”)	—		96		—		—		96
Non-agency CMOs and ABS	—		107		—		—		107
Total debt securities	35		396		—		—		431
Equity securities	7		—		—		—		7
Brokered certificates of deposit	—		20		—		—		20
Total trading assets	42		416		—		—		458
Available-for-sale securities (2)	912		9,552		—		—		10,464
Derivative assets:
Interest rate - matched book	—		84		—		—		84
Interest rate - other	8		289		—		(235)		62
Foreign exchange	—		4		—		—		4
Other	—		—		2		—		2
Total derivative assets	8		377		2		(235)		152
Other investments - private equity - not measured at net asset value (“NAV”)	—		—		27		—		27
All other investments:
Government and agency obligations (3)	120		—		—		—		120
Other	97		2		24		—		123
Total all other investments	217		2		24		—		243
Subtotal	3,179		10,347		53		(235)		13,344
Other investments - private equity - measured at NAV									95
Total assets at fair value on a recurring basis	$	3,179	$	10,347	$	53	$	(235)	$	13,439
Liabilities at fair value on a recurring basis:
Trading liabilities:
Municipal and provincial obligations	$	2	$	6	$	—	$	—	$	8
Corporate obligations	—		3		—		—		3
Government and agency obligations	101		—		—		—		101
Total debt securities	103		9		—		—		112
Equity securities	46		—		—		—		46
Total trading liabilities	149		9		—		—		158
Derivative liabilities:
Interest rate - matched book	—		84		—		—		84
Interest rate - other	7		345		—		(58)		294
Other	—		—		1		—		1
Total derivative liabilities	7		429		1		(58)		379
Total liabilities at fair value on a recurring basis	$	156	$	438	$	1	$	(58)	$	537

$ 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. These assets do not include U.S. Treasuries with maturities of less than 3 months as of our date of purchase with a fair value of $6.19 billion at June 30, 2022 and $3.55 billion at September 30, 2021 which were considered cash and cash equivalents segregated for regulatory purposes. These assets are classified as Level 1.

(2)    Our available-for-sale securities primarily 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.

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 and derivative 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 June 30, 2022 Level 3 instruments at fair value
	Financial assets								Financial liabilities
	Trading assets		Derivative assets		Other investments				Trading liabilities		Derivative liabilities
$ in millions	Other		Other		Private equity investments		All other		Other		Other
Fair value beginning of period	$	13	$	—	$	23	$	30	$	(1)	$	—
Total gains/(losses) included in earnings	(1)		2		4		(4)		1		(1)
Purchases and contributions	37		—		—		—		—		—
Sales, distributions, and deconsolidations	(49)		—		—		(2)		—		—
Transfers:
Into Level 3	—		—		—		—		—		—
Out of Level 3	—		—		—		—		—		—
Fair value end of period	$	—	$	2	$	27	$	24	$	—	$	(1)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	—	$	2	$	4	$	1	$	—	$	(1)

Nine Months Ended June 30, 2022 Level 3 instruments at fair value
	Financial assets								Financial liabilities
	Trading assets		Derivative assets		Other investments				Trading liabilities		Derivative liabilities
$ in millions	Other		Other		Private equity investments		All other		Other		Other
Fair value beginning of period	$	14	$	—	$	75	$	23	$	—	$	(1)
Total gains/(losses) included in earnings	1		2		4		(4)		—		—
Purchases and contributions	91		—		—		7		—		—
Sales, distributions, and deconsolidations	(106)		—		(40)		(2)		—		—
Transfers:
Into Level 3	—		—		—		—		—		—
Out of Level 3	—		—		(12)		—		—		—
Fair value end of period	$	—	$	2	$	27	$	24	$	—	$	(1)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	—	$	2	$	4	$	1	$	—	$	(1)

Three months ended June 30, 2021 Level 3 instruments at fair value
	Financial assets								Financial liabilities
	Trading assets		Derivative assets		Other investments				Trading liabilities		Derivative liabilities
$ in millions	Other		Other		Private equity investments		All other		Other		Other
Fair value beginning of period	$	5	$	—	$	52	$	23	$	(1)	$	(4)
Total gains/(losses) included in earnings	—		1		14		—		1		—
Purchases and contributions	10		—		—		—		—		—
Sales and distributions	(5)		—		—		—		—		—
Transfers:
Into Level 3	—		—		—		—		—		—
Out of Level 3	—		—		—		—		—		—
Fair value end of period	$	10	$	1	$	66	$	23	$	—	$	(4)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	—	$	1	$	14	$	—	$	—	$	—

Nine Months Ended June 30, 2021 Level 3 instruments at fair value
	Financial assets								Financial liabilities
	Trading assets		Derivative assets		Other investments				Trading liabilities		Derivative liabilities
$ in millions	Other		Other		Private equity investments		All other		Other		Other
Fair value beginning of period	$	12	$	—	$	37	$	22	$	—	$	(5)
Total gains/(losses) included in earnings	—		1		29		1		—		1
Purchases and contributions	26		—		—		—		—		—
Sales and distributions	(28)		—		—		—		—		—
Transfers:
Into Level 3	—		—		—		—		—		—
Out of Level 3	—		—		—		—		—		—
Fair value end of period	$	10	$	1	$	66	$	23	$	—	$	(4)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	—	$	1	$	29	$	—	$	—	$	1

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
June 30, 2022
Private equity investments measured at NAV	$	95	$	29
Private equity investments not measured at NAV	27
Total private equity investments	$	122
September 30, 2021
Private equity investments measured at NAV	$	94	$	8
Private equity investments not measured at NAV	75
Total private equity investments (1)	$	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)
June 30, 2022
Bank loans:
Residential mortgage loans	$	3	$	9	$	12	Collateral or discounted cash flow (1)	Prepayment rate	7 yrs. - 12 yrs. (10.4 yrs.)
Corporate loans	$	—	$	64	$	64	Collateral or  discounted cash flow (1)	Recovery rate	37% - 70% (48%)
Loans held for sale	$	69	$	—	$	69	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)	Recovery rate	74%
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. Unobservable inputs used in the discounted cash flow valuation technique are presented in the table.

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 June 30, 2022 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
June 30, 2022
Financial assets:
Bank loans, net	$	96	$	41,105	$	41,201	$	41,698
Financial liabilities:
Bank deposits - certificates of deposit	$	490	$	619	$	1,109	$	1,121
Other borrowings - Subordinated notes payable	$	98	$	—	$	98	$	100
Senior notes payable	$	1,881	$	—	$	1,881	$	2,038
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