FAIR VALUE (Tables)

9 Months Ended

Jun. 30, 2024

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 5 for additional information.


$ in millions	Level 1		Level 2		Level 3		Netting adjustments		Balance as of June 30, 2024
Assets at fair value on a recurring basis:

Trading assets:
Municipal and provincial obligations	$	1	$	336	$	—	$	—	$	337
Corporate obligations	22		649		—		—		671
Government and agency obligations	32		111		—		—		143
Agency mortgage-backed securities (“MBS”), collateralized mortgage obligations (“CMOs”) and asset-backed securities (“ABS”)	—		218		—		—		218
Non-agency CMOs and ABS	—		63		—		—		63
Total debt securities	55		1,377		—		—		1,432
Equity securities	11		3		—		—		14
Brokered certificates of deposit	—		13		—		—		13
Other	—		—		13		—		13
Total trading assets	66		1,393		13		—		1,472
Available-for-sale securities (1)	946		7,584		—		—		8,530

Derivative assets - interest rate	2		398		—		(315)		85






All other investments:
Government and agency obligations (2)	90		—		—		—		90
Other	112		1		29		—		142
Total all other investments	202		1		29		—		232
Other assets - client-owned fractional shares	124		—		—		—		124
Subtotal	1,340		9,376		42		(315)		10,443
Other investments - private equity - measured at net asset value (“NAV”)									101
Total assets at fair value on a recurring basis	$	1,340	$	9,376	$	42	$	(315)	$	10,544

Liabilities at fair value on a recurring basis:
Trading liabilities:
Municipal and provincial obligations	$	8	$	—	$	—	$	—	$	8
Corporate obligations	—		595		—		—		595
Government and agency obligations	216		6		—		—		222
Agency MBS and CMOs	—		23		—		—		23

Total debt securities	224		624		—		—		848
Equity securities	32		11		—		—		43

Total trading liabilities	256		635		—		—		891
Derivative liabilities:
Interest rate	2		432		—		(82)		352


Foreign exchange	—		2		—		—		2

Total derivative liabilities	2		434		—		(82)		354
Other payables - repurchase liabilities related to client-owned fractional shares	124		—		—		—		124
Total liabilities at fair value on a recurring basis	$	382	$	1,069	$	—	$	(82)	$	1,369


$ in millions	Level 1		Level 2		Level 3		Netting adjustments		Balance as of September 30, 2023
Assets at fair value on a recurring basis:

Trading assets:
Municipal and provincial obligations	$	—	$	239	$	—	$	—	$	239
Corporate obligations	22		620		—		—		642
Government and agency obligations	24		117		—		—		141
Agency MBS, CMOs, and ABS	—		35		—		—		35
Non-agency CMOs and ABS	—		68		—		—		68
Total debt securities	46		1,079		—		—		1,125
Equity securities	20		2		—		—		22
Brokered certificates of deposit	—		36		—		—		36
Other	—		—		4		—		4
Total trading assets	66		1,117		4		—		1,187
Available-for-sale securities (1)	1,240		7,941		—		—		9,181
Derivative assets:
Interest rate	14		503		—		(261)		256


Foreign exchange	—		9		—		—		9
Total derivative assets	14		512		—		(261)		265

All other investments:
Government and agency obligations (2)	71		—		—		—		71
Other	102		2		30		—		134
Total all other investments	173		2		30		—		205
Other assets - client-owned fractional shares	98		—		—		—		98
Subtotal	1,591		9,572		34		(261)		10,936
Other investments - private equity - measured at NAV									101
Total assets at fair value on a recurring basis	$	1,591	$	9,572	$	34	$	(261)	$	11,037

Liabilities at fair value on a recurring basis:
Trading liabilities:
Municipal and provincial obligations	$	10	$	—	$	—	$	—	$	10
Corporate obligations	—		514		—		—		514
Government and agency obligations	161		1		—		—		162

Total debt securities	171		515		—		—		686
Equity securities	30		—		—		—		30

Total trading liabilities	201		515		—		—		716
Derivative liabilities:
Interest rate	13		563		—		(88)		488


Foreign exchange	—		2		—		—		2

Total derivative liabilities	13		565		—		(88)		490
Other payables - repurchase liabilities related to client-owned fractional shares	98		—		—		—		98
Total liabilities at fair value on a recurring basis	$	312	$	1,080	$	—	$	(88)	$	1,304

(1)Our available-for-sale securities primarily consist of agency MBS, agency CMOs, and U.S. Treasury securities (“U.S. Treasuries”). See Note 4 for further information.

(2)These assets are primarily comprised of U.S. Treasuries 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, 2024 Level 3 instruments at fair value
	Financial assets
	Trading assets		Other investments
$ in millions	Other		All other
Fair value beginning of period	$	4	$	29
Total gains/(losses) included in earnings	—		—
Purchases and contributions	31		—
Sales and distributions	(22)		—
Transfers:
Into Level 3	—		—
Out of Level 3	—		—
Fair value end of period	$	13	$	29
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	(1)	$	—


Nine months ended June 30, 2024 Level 3 instruments at fair value
	Financial assets
	Trading assets		Other investments
$ in millions	Other		All other
Fair value beginning of period	$	4	$	30
Total gains/(losses) included in earnings	—		(1)
Purchases and contributions	60		—
Sales and distributions	(51)		—
Transfers:
Into Level 3	—		—
Out of Level 3	—		—
Fair value end of period	$	13	$	29
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	(1)	$	—


Three months ended June 30, 2023 Level 3 instruments at fair value
	Financial assets				Financial liabilities
	Trading assets		Other investments			Derivative liabilities
$ in millions	Other		All other			Other
Fair value beginning of period	$	3	$	28		$	(4)
Total gains/(losses) included in earnings	(1)		1			—
Purchases and contributions	19		—			—
Sales and distributions	(12)		—			—
Transfers:
Into Level 3	—		—			—
Out of Level 3	—		—			—
Fair value end of period	$	9	$	29		$	(4)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	1	$	1		$	—


Nine months ended June 30, 2023 Level 3 instruments at fair value
	Financial assets				Financial liabilities
	Trading assets		Other investments			Derivative liabilities
$ in millions	Other		All other			Other
Fair value beginning of period	$	1	$	29		$	(3)
Total gains/(losses) included in earnings	(1)		—			(1)
Purchases and contributions	55		—			—
Sales, distributions, and deconsolidations	(46)		—			—
Transfers:
Into Level 3	—		—			—
Out of Level 3	—		—			—
Fair value end of period	$	9	$	29		$	(4)
Unrealized gains/(losses) for the period included in earnings for instruments held at the end of the reporting period	$	1	$	—		$	(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, 2024
Private equity investments measured at NAV	$	101	$	26
Private equity investments not measured at NAV	7
Total private equity investments	$	108

September 30, 2023
Private equity investments measured at NAV	$	101	$	29
Private equity investments not measured at NAV	7
Total private equity investments	$	108

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, 2024
Bank loans:
Residential mortgage loans	$	2	$	8	$	10	Collateral or discounted cash flow (1)	Prepayment rate	7 yrs. - 12 yrs. (10.4 yrs.)
Corporate loans	$	—	$	88	$	88	Collateral or discounted cash flow (1)	Recovery rate	33% - 53% (39%)
Loans held for sale	$	30	$	—	$	30	N/A	N/A	N/A


September 30, 2023
Bank loans:
Residential mortgage loans	$	2	$	8	$	10	Collateral or discounted cash flow (1)	Prepayment rate	7 yrs. - 12 yrs. (10.3 yrs.)
Corporate loans	$	—	$	84	$	84	Collateral or discounted cash flow (1)	Recovery rate	22% - 65% (53%)
Loans held for sale	$	2	$	—	$	2	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 collateral valuation technique are not meaningful and 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, 2024 and September 30, 2023. This table excludes financial instruments that are carried at amounts which approximate fair value. See Note 4 of our 2023 Form 10-K for a discussion 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, 2024
Financial assets:
Bank loans, net	$	139	$	43,852	$	43,991	$	45,021
Financial liabilities:
Bank deposits - certificates of deposit	$	2,557	$	—	$	2,557	$	2,562
Other borrowings - subordinated notes payable	$	96	$	—	$	96	$	99
Senior notes payable	$	1,760	$	—	$	1,760	$	2,039

September 30, 2023
Financial assets:
Bank loans, net	$	142	$	42,622	$	42,764	$	43,679
Financial liabilities:
Bank deposits - certificates of deposit	$	2,817	$	—	$	2,817	$	2,831
Other borrowings - subordinated notes payable	$	94	$	—	$	94	$	100
Senior notes payable	$	1,640	$	—	$	1,640	$	2,039