Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2022

Financial Assets and Financial Liabilities by Level

The table below presents, by level within the fair value hierarchy, other financial assets and liabilities at fair value, substantially all of which are accounted for at fair value under the fair value option.


$ in millions	Level 1		Level 2		Level 3		Total
As of September 2022
Assets
Resale agreements	$	—	$	182,502	$	—	$	182,502
Securities borrowed	—		42,506		—		42,506
Customer and other receivables	—		25		—		25
Total	$	—	$	225,033	$	—	$	225,033

Liabilities
Deposits	$	—	$	(20,858)	$	(2,729)	$	(23,587)
Repurchase agreements	—		(159,690)		—		(159,690)
Securities loaned	—		(7,444)		—		(7,444)
Other secured financings	—		(12,370)		(1,870)		(14,240)
Unsecured borrowings:
Short-term	—		(27,958)		(4,512)		(32,470)
Long-term	—		(55,685)		(9,673)		(65,358)
Other liabilities	—		(381)		(81)		(462)
Total	$	—	$	(284,386)	$	(18,865)	$	(303,251)

As of December 2021
Assets
Resale agreements	$	—	$	205,703	$	—	$	205,703
Securities borrowed	—		39,955		—		39,955
Customer and other receivables	—		42		—		42
Total	$	—	$	245,700	$	—	$	245,700

Liabilities
Deposits	$	—	$	(31,812)	$	(3,613)	$	(35,425)
Repurchase agreements	—		(165,883)		—		(165,883)
Securities loaned	—		(9,170)		—		(9,170)
Other secured financings	—		(14,508)		(2,566)		(17,074)
Unsecured borrowings:
Short-term	—		(22,003)		(7,829)		(29,832)
Long-term	—		(42,977)		(9,413)		(52,390)
Other liabilities	—		(213)		(146)		(359)
Total	$	—	$	(286,566)	$	(23,567)	$	(310,133)

In the table above, other financial assets are shown as positive amounts and other financial liabilities are shown as negative amounts.

Level 3 Rollforward

The table below presents a summary of the changes in fair value for level 3 other financial liabilities accounted for at fair value.


	Three Months Ended September				Nine Months Ended September
$ in millions	2022		2021		2022		2021
Beginning balance	$	(19,114)	$	(28,136)	$	(23,567)	$	(28,058)
Net realized gains/(losses)	(90)		(181)		(222)		(388)
Net unrealized gains/(losses)	1,538		819		5,977		822
Issuances	(3,296)		(4,856)		(9,486)		(11,797)
Settlements	2,691		6,742		8,548		13,325
Transfers into level 3	(1,494)		(570)		(2,562)		(745)
Transfers out of level 3	900		1,845		2,447		2,504
Ending balance	$	(18,865)	$	(24,337)	$	(18,865)	$	(24,337)

In the table above:

•Changes in fair value are presented for all other financial liabilities that are classified in level 3 as of the end of the period.

•Net unrealized gains/(losses) relates to other financial liabilities that were still held at period-end.

•Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3.

•For level 3 other financial liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts.

•Level 3 other financial liabilities are frequently economically hedged with trading assets and liabilities. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1, 2 or 3 trading assets and liabilities. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

The table below presents information, by the consolidated balance sheet line items, for liabilities included in the summary table above.


	Three Months Ended September				Nine Months Ended September
$ in millions	2022		2021		2022		2021
Deposits
Beginning balance	$	(2,789)	$	(3,908)	$	(3,613)	$	(4,221)
Net realized gains/(losses)	—		(8)		(7)		(23)
Net unrealized gains/(losses)	135		74		466		(28)
Issuances	(261)		(144)		(735)		(341)
Settlements	259		307		1,041		904
Transfers into level 3	(89)		—		(20)		(23)
Transfers out of level 3	16		42		139		95
Ending balance	$	(2,729)	$	(3,637)	$	(2,729)	$	(3,637)

Repurchase agreements
Beginning balance	$	—	$	—	$	—	$	(2)
Settlements	—		—		—		2
Ending balance	$	—	$	—	$	—	$	—

Other secured financings
Beginning balance	$	(1,412)	$	(2,891)	$	(2,566)	$	(3,474)
Net realized gains/(losses)	(13)		3		(18)		(1)
Net unrealized gains/(losses)	86		30		177		71
Issuances	(406)		(43)		(545)		(101)
Settlements	22		414		527		657
Transfers into level 3	(147)		(233)		(110)		(243)
Transfers out of level 3	—		80		665		451
Ending balance	$	(1,870)	$	(2,640)	$	(1,870)	$	(2,640)

Unsecured short-term borrowings
Beginning balance	$	(5,209)	$	(11,461)	$	(7,829)	$	(7,523)
Net realized gains/(losses)	(54)		(112)		(126)		(168)
Net unrealized gains/(losses)	286		429		1,241		334
Issuances	(1,165)		(3,453)		(3,582)		(8,042)
Settlements	1,747		4,846		5,443		6,399
Transfers into level 3	(528)		(200)		(470)		(183)
Transfers out of level 3	411		1,282		811		514
Ending balance	$	(4,512)	$	(8,669)	$	(4,512)	$	(8,669)

Unsecured long-term borrowings
Beginning balance	$	(9,626)	$	(9,714)	$	(9,413)	$	(12,576)
Net realized gains/(losses)	(23)		(64)		(71)		(196)
Net unrealized gains/(losses)	1,034		289		4,028		348
Issuances	(1,464)		(1,216)		(4,624)		(3,313)
Settlements	663		1,175		1,537		5,363
Transfers into level 3	(730)		(137)		(1,962)		(296)
Transfers out of level 3	473		441		832		1,444
Ending balance	$	(9,673)	$	(9,226)	$	(9,673)	$	(9,226)

Other liabilities
Beginning balance	$	(78)	$	(162)	$	(146)	$	(262)
Net unrealized gains/(losses)	(3)		(3)		65		97
Ending balance	$	(81)	$	(165)	$	(81)	$	(165)

Gains and Losses on Other Financial Assets and Financial Liabilities at Fair Value

The table below presents the gains and losses recognized in earnings as a result of the election to apply the fair value option to certain financial assets and liabilities.


	Three Months Ended September				Nine Months Ended September
$ in millions	2022		2021		2022		2021
Unsecured short-term borrowings	$	1,114	$	875	$	5,379	$	(935)
Unsecured long-term borrowings	2,445		(128)		8,316		(1,830)
Other	434		54		1,255		(17)
Total	$	3,993	$	801	$	14,950	$	(2,782)

In the table above:

•Gains/(losses) were substantially all included in market making.

•Gains/(losses) exclude contractual interest, which is included in interest income and interest expense, for all instruments other than hybrid financial instruments. See Note 23 for further information about interest income and interest expense.

•Gains/(losses) included in unsecured short- and long-term borrowings were substantially all related to the embedded derivative component of hybrid financial instruments for each of the three and nine months ended September 2022 and September 2021. These gains and losses would have been recognized under other U.S. GAAP even if the firm had not elected to account for the entire hybrid financial instrument at fair value.

•Other primarily consists of gains/(losses) on deposits, other secured financings and other liabilities.

•Other financial assets and liabilities at fair value are frequently economically hedged with trading assets and liabilities. Accordingly, gains or losses on such other financial assets and liabilities can be partially offset by gains or losses on trading assets and liabilities. As a result, gains or losses on other financial assets and liabilities do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

Summary of DVA Gains/(Losses) on Financial Liabilities

The table below presents information about the net debt valuation adjustment (DVA) gains/(losses) on financial liabilities for which the fair value option was elected.


	Three Months Ended September				Nine Months Ended September
$ in millions	2022		2021		2022		2021
Pre-tax DVA	$	907	$	92	$	3,488	$	222
After tax DVA	$	673	$	67	$	2,601	$	165

In the table above:

•After tax DVA is included in debt valuation adjustment in the consolidated statements of comprehensive income.

•The gains/(losses) reclassified to market making in the consolidated statements of earnings from accumulated other comprehensive income/(loss) upon extinguishment of such financial liabilities were not material for each of the three and nine months ended September 2022 and September 2021.

Loans and Lending Commitments

The table below presents the difference between the aggregate fair value and the aggregate contractual principal amount for loans (included in trading assets and loans in the consolidated balance sheets) for which the fair value option was elected.


	As of
	September		December
$ in millions	2022		2021
Performing loans
Aggregate contractual principal in excess of fair value	$	3,208	$	1,373

Loans on nonaccrual status and/or more than 90 days past due
Aggregate contractual principal in excess of fair value	$	6,319	$	8,600
Aggregate fair value	$	2,555	$	3,559

In the table above, the aggregate contractual principal amount of loans on nonaccrual status and/or more than 90 days past due (which excludes loans carried at zero fair value and considered uncollectible) exceeds the related fair value primarily because the firm regularly purchases loans, such as distressed loans, at values significantly below the contractual principal amounts.