Valuation techniques of level 3 instruments vary by instrument, but are generally based on discounted cash flow techniques. The valuation techniques and the nature of significant inputs used to determine the fair values of each type of level 3 instrument are described below:

Loans and Securities Backed by Commercial Real Estate

Loans and securities backed by commercial real estate are directly or indirectly collateralized by a single property or a portfolio of properties, and may include tranches of varying levels of subordination. Significant inputs are generally determined based on relative value analyses and include:

•Market yields implied by transactions of similar or related assets and/or current levels and changes in market indices, such as the CMBX (an index that tracks the performance of commercial mortgage bonds);

•Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral;

•A measure of expected future cash flows in a default scenario (recovery rates) implied by the value of the underlying collateral, which is mainly driven by current performance of the underlying collateral and capitalization rates. Recovery rates are expressed as a percentage of notional or face value of the instrument and reflect the benefit of credit enhancements on certain instruments; and

•Timing of expected future cash flows (duration) which, in certain cases, may incorporate the impact of any loan forbearances and other unobservable inputs (e.g., prepayment speeds).

Loans and Securities Backed by Residential Real Estate

Loans and securities backed by residential real estate are directly or indirectly collateralized by portfolios of residential real estate and may include tranches of varying levels of subordination. Significant inputs are generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles. Significant inputs include:

•Market yields implied by transactions of similar or related assets;

•Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral;

•Cumulative loss expectations, driven by default rates, home price projections, residential property liquidation timelines, related costs and subsequent recoveries; and

•Duration, driven by underlying loan prepayment speeds and residential property liquidation timelines.

Corporate Debt Instruments

Corporate debt instruments includes corporate loans, debt securities and convertible debentures. Significant inputs for corporate debt instruments are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same or similar issuer for which observable prices or broker quotations are available. Significant inputs include:

•Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices, such as the CDX (an index that tracks the performance of corporate credit);

•Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related instrument, the cost of borrowing the underlying reference obligation;

•Duration; and

•Market and transaction multiples for corporate debt instruments with convertibility or participation options.

Equity Securities

Equity securities consists of private equities. Recent third-party completed or pending transactions (e.g., merger proposals, debt restructurings, tender offers) are considered the best evidence for any change in fair value. When these are not available, the following valuation methodologies are used, as appropriate:

•Industry multiples (primarily EBITDA and revenue multiples) and public comparables;

•Transactions in similar instruments;

•Discounted cash flow techniques; and

•Third-party appraisals.

The firm also considers changes in the outlook for the relevant industry and financial performance of the issuer as compared to projected performance. Significant inputs include:

•Market and transaction multiples;

•Discount rates and capitalization rates; and

•For equity securities with debt-like features, market yields implied by transactions of similar or related assets, current performance and recovery assumptions, and duration.

Other Trading Cash Instruments, Investments and Loans

The significant inputs to the valuation of other instruments, such as non-U.S. government and agency obligations, state and municipal obligations, and other loans and debt obligations are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:

•Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices;

•Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related instrument, the cost of borrowing the underlying reference obligation; and

•Duration.

Valuation Techniques and Significant Inputs for Derivatives

The firm’s level 2 and level 3 derivatives are valued using derivative pricing models (e.g., discounted cash flow models, correlation models and models that incorporate option pricing methodologies, such as Monte Carlo simulations). Price transparency of derivatives can generally be characterized by product type, as described below.

•Interest Rate. In general, the key inputs used to value interest rate derivatives are transparent, even for most long-dated contracts. Interest rate swaps and options denominated in the currencies of leading industrialized nations are characterized by high trading volumes and tight bid/offer spreads. Interest rate derivatives that reference indices, such as an inflation index, or the shape of the yield curve (e.g., 10-year swap rate vs. 2-year swap rate) are more complex, but the key inputs are generally observable.

•Credit. Price transparency for credit default swaps, including both single names and baskets of credits, varies by market and underlying reference entity or obligation. Credit default swaps that reference indices, large corporates and major sovereigns generally exhibit the most price transparency. For credit default swaps with other underliers, price transparency varies based on credit rating, the cost of borrowing the underlying reference obligations, and the availability of the underlying reference obligations for delivery upon the default of the issuer. Credit default swaps that reference loans, asset-backed securities and emerging market debt instruments tend to have less price transparency than those that reference corporate bonds. In addition, more complex credit derivatives, such as those sensitive to the correlation between two or more underlying reference obligations, generally have less price transparency.

•Currency. Prices for currency derivatives based on the exchange rates of leading industrialized nations, including those with longer tenors, are generally transparent. The primary difference between the price transparency of developed and emerging market currency derivatives is that emerging markets tend to be only observable for contracts with shorter tenors.

•Commodity. Commodity derivatives include transactions referenced to energy (e.g., oil, natural gas and electricity), metals (e.g., precious and base) and soft commodities (e.g., agricultural). Price transparency varies based on the underlying commodity, delivery location, tenor and product quality (e.g., diesel fuel compared to unleaded gasoline). In general, price transparency for commodity derivatives is greater for contracts with shorter tenors and contracts that are more closely aligned with major and/or benchmark commodity indices.

•Equity. Price transparency for equity derivatives varies by market and underlier. Options on indices and the common stock of corporates included in major equity indices exhibit the most price transparency. Equity derivatives generally have observable market prices, except for contracts with long tenors or reference prices that differ significantly from current market prices. More complex equity derivatives, such as those sensitive to the correlation between two or more individual stocks, generally have less price transparency.

Liquidity is essential to the observability of all product types. If transaction volumes decline, previously transparent prices and other inputs may become unobservable. Conversely, even highly structured products may at times have trading volumes large enough to provide observability of prices and other inputs.

Level 1. Level 1 derivatives include short-term contracts for future delivery of securities when the underlying security is a level 1 instrument, and exchange-traded derivatives if they are actively traded and are valued at their quoted market price.

Level 2. Level 2 derivatives include OTC derivatives for which all significant valuation inputs are corroborated by market evidence and exchange-traded derivatives that are not actively traded and/or that are valued using models that calibrate to market-clearing levels of OTC derivatives.

The selection of a particular model to value a derivative depends on the contractual terms of and specific risks inherent in the instrument, as well as the availability of pricing information in the market. For derivatives that trade in liquid markets, model selection does not involve significant management judgment because outputs of models can be calibrated to market-clearing levels.

Valuation models require a variety of inputs, such as contractual terms, market prices, yield curves, discount rates (including those derived from interest rates on collateral received and posted as specified in credit support agreements for collateralized derivatives), credit curves, measures of volatility, prepayment rates, loss severity rates and correlations of such inputs. Significant inputs to the valuations of level 2 derivatives can be verified to market transactions, broker or dealer quotations or other alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or executable) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Level 3. Level 3 derivatives are valued using models which utilize observable level 1 and/or level 2 inputs, as well as unobservable level 3 inputs. The significant unobservable inputs used to value the firm’s level 3 derivatives are described below.

•For level 3 interest rate and currency derivatives, significant unobservable inputs include correlations of certain currencies and interest rates (e.g., the correlation between Euro inflation and Euro interest rates) and specific interest rate and currency volatilities.

•For level 3 credit derivatives, significant unobservable inputs include illiquid credit spreads and upfront credit points, which are unique to specific reference obligations and reference entities, and recovery rates.

•For level 3 commodity derivatives, significant unobservable inputs include volatilities for options with strike prices that differ significantly from current market prices and prices or spreads for certain products for which the product quality or physical location of the commodity is not aligned with benchmark indices.

•For level 3 equity derivatives, significant unobservable inputs generally include equity volatility inputs for options that are long-dated and/or have strike prices that differ significantly from current market prices. In addition, the valuation of certain structured trades requires the use of level 3 correlation inputs, such as the correlation of the price performance of two or more individual stocks or the correlation of the price performance for a basket of stocks to another asset class, such as commodities.

Subsequent to the initial valuation of a level 3 derivative, the firm updates the level 1 and level 2 inputs to reflect observable market changes and any resulting gains and losses are classified in level 3. Level 3 inputs are changed when corroborated by evidence, such as similar market transactions, third-party pricing services and/or broker or dealer quotations or other empirical market data. In circumstances where the firm cannot verify the model value by reference to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. See Note 5 for further information about significant unobservable inputs used in the valuation of level 3 derivatives.

Valuation Adjustments. Valuation adjustments are integral to determining the fair value of derivative portfolios and are used to adjust the mid-market valuations produced by derivative pricing models to the exit price valuation. These adjustments incorporate bid/offer spreads, the cost of liquidity, and credit and funding valuation adjustments, which account for the credit and funding risk inherent in the uncollateralized portion of derivative portfolios. The firm also makes funding valuation adjustments to collateralized derivatives where the terms of the agreement do not permit the firm to deliver or repledge collateral received. Market-based inputs are generally used when calibrating valuation adjustments to market-clearing levels.

In addition, for derivatives that include significant unobservable inputs, the firm makes model or exit price adjustments to account for the valuation uncertainty present in the transaction.

Valuation Techniques and Significant Inputs for Other Financial Instruments at Fair Value

In addition to trading cash instruments, derivatives, and certain investments and loans, the firm accounts for certain of its other financial assets and liabilities at fair value under the fair value option. Such instruments include resale and repurchase agreements; certain securities borrowed and loaned transactions; certain customer and other receivables, including certain margin loans; certain time deposits, including structured certificates of deposit, which are hybrid financial instruments; substantially all other secured financings, including transfers of assets accounted for as financings; certain unsecured short- and long-term borrowings, substantially all of which are hybrid financial instruments; and certain other assets and liabilities. These instruments are generally valued based on discounted cash flow techniques, which incorporate inputs with reasonable levels of price transparency, and are generally classified in level 2 because the inputs are observable. Valuation adjustments may be made for liquidity and for counterparty and the firm’s credit quality. The significant inputs used to value the firm’s other financial instruments are described below.

Resale and Repurchase Agreements and Securities Borrowed and Loaned. The significant inputs to the valuation of resale and repurchase agreements and securities borrowed and loaned are funding spreads, the amount and timing of expected future cash flows and interest rates.

Customer and Other Receivables. The significant inputs to the valuation of receivables are interest rates, the amount and timing of expected future cash flows and funding spreads.

Deposits. The significant inputs to the valuation of time deposits are interest rates and the amount and timing of future cash flows. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments described above. See Note 7 for further information about derivatives and Note 13 for further information about deposits.

Other Secured Financings. The significant inputs to the valuation of other secured financings are the amount and timing of expected future cash flows, interest rates, funding spreads and the fair value of the collateral delivered by the firm (determined using the amount and timing of expected future cash flows, market prices, market yields and recovery assumptions). See Note 11 for further information about other secured financings.

Unsecured Short- and Long-Term Borrowings. The significant inputs to the valuation of unsecured short- and long-term borrowings are the amount and timing of expected future cash flows, interest rates, the credit spreads of the firm and commodity prices for prepaid commodity transactions. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments described above. See Note 7 for further information about derivatives and Note 14 for further information about borrowings.

Other Assets and Liabilities. The significant inputs to the valuation of other assets and liabilities are the amount and timing of expected future cash flows, interest rates, market yields, volatility and correlation inputs. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments described above. See Note 7 for further information about derivatives.

Fair Value Hierarchy

Financial assets and liabilities at fair value includes trading cash instruments, derivatives, and certain investments, loans and other financial assets and liabilities at fair value.

Fair Value of Trading Cash Instruments by Level

The table below presents trading cash instruments by level within the fair value hierarchy.


$ in millions	Level 1		Level 2		Level 3		Total
As of December 2022
Assets
Government and agency obligations:
U.S.	$	75,598	$	31,783	$	–	$	107,381
Non-U.S.	22,794		15,238		67		38,099
Loans and securities backed by:
Commercial real estate	–		1,135		66		1,201
Residential real estate	–		9,706		88		9,794
Corporate debt instruments	249		27,555		1,238		29,042
State and municipal obligations	–		707		20		727
Other debt obligations	27		2,349		153		2,529
Equity securities	44,909		2,141		100		47,150
Commodities	–		5,907		2		5,909
Total	$	143,577	$	96,521	$	1,734	$	241,832

Liabilities
Government and agency obligations:
U.S.	$	(23,339)	$	(36)	$	–	$	(23,375)
Non-U.S.	(28,537)		(2,172)		–		(30,709)
Loans and securities backed by:
Commercial real estate	–		(30)		–		(30)
Residential real estate	–		(16)		–		(16)
Corporate debt instruments	(64)		(14,217)		(61)		(14,342)
Other debt obligations	–		(35)		(2)		(37)
Equity securities	(67,591)		(488)		(1)		(68,080)
Commodities	–		–		–		–
Total	$	(119,531)	$	(16,994)	$	(64)	$	(136,589)

As of December 2021
Assets
Government and agency obligations:
U.S.	$	63,388	$	27,427	$	–	$	90,815
Non-U.S.	35,284		13,511		19		48,814
Loans and securities backed by:
Commercial real estate	–		1,717		137		1,854
Residential real estate	–		13,083		152		13,235
Corporate debt instruments	590		36,874		1,318		38,782
State and municipal obligations	–		568		36		604
Other debt obligations	69		1,564		66		1,699
Equity securities	105,233		2,958		156		108,347
Commodities	–		7,801		5		7,806
Total	$	204,564	$	105,503	$	1,889	$	311,956

Liabilities
Government and agency obligations:
U.S.	$	(21,002)	$	(25)	$	–	$	(21,027)
Non-U.S.	(39,983)		(2,602)		–		(42,585)
Loans and securities backed by:
Commercial real estate	–		(40)		(2)		(42)
Residential real estate	–		(5)		–		(5)
Corporate debt instruments	(23)		(15,781)		(71)		(15,875)
Equity securities	(48,991)		(915)		(31)		(49,937)
Total	$	(109,999)	$	(19,368)	$	(104)	$	(129,471)

Trading cash instruments consists of instruments held in connection with the firm’s market-making or risk management activities. These instruments are carried at fair value and the related fair value gains and losses are recognized in the consolidated statements of earnings.

In the table above:

•Trading cash instrument assets are shown as positive amounts and trading cash instrument liabilities are shown as negative amounts.

•Corporate debt instruments includes corporate loans, debt securities, convertible debentures, prepaid commodity transactions and transfers of assets accounted for as secured loans rather than purchases.

•Other debt obligations includes other asset-backed securities and money market instruments.

•Equity securities includes public equities and exchange-traded funds.

See Note 4 for an overview of the firm’s fair value measurement policies, valuation techniques and significant inputs used to determine the fair value of trading cash instruments.

Significant Unobservable Inputs for Trading Cash Instrument Assets

The table below presents the amount of level 3 assets, and ranges and weighted averages of significant unobservable inputs used to value level 3 trading cash instrument assets.


	As of December 2022				As of December 2021
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Loans and securities backed by real estate
Level 3 assets	$	154			$	289
Yield	3.0% to 36.0%		14.2	%	0.4% to 28.5%		9.7	%
Recovery rate	35.8% to 76.1%		54.7	%	5.1% to 86.5%		55.0	%
Cumulative loss rate	3.7% to 29.9%		10.4	%	0.1% to 43.4%		17.7	%
Duration (years)	0.9 to 12.3		4.6		0.1 to 17.2		4.3
Corporate debt instruments
Level 3 assets	$	1,238			$	1,318
Yield	1.1% to 34.3%		6.9	%	0.0% to 18.0%		7.1	%
Recovery rate	11.5% to 77.0%		48.0	%	9.0% to 69.9%		52.0	%
Duration (years)	0.3 to 20.3		4.5		2.0 to 28.5		4.5
Other
Level 3 assets	$	342			$	282
Yield	2.8% to 47.8%		10.0	%	1.1% to 44.8%		9.4	%
Multiples	3.3x to 4.5x		4.3x		N/A		N/A
Duration (years)	1.2 to 14.4		6.1		0.9 to 5.2		2.4

In the table above:

•Other includes government and agency obligations, state and municipal obligations, other debt obligations, equity securities and commodities. In other, the significant unobservable inputs for multiples as of December 2021 did not have a range (and there was no weighted average) as each pertained to a single position. Therefore, such unobservable inputs are not included in the table above.

•Ranges represent the significant unobservable inputs that were used in the valuation of each type of trading cash instrument.

•Weighted averages are calculated by weighting each input by the relative fair value of the trading cash instruments.

•The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one trading cash instrument. For example, the highest recovery rate for corporate debt instruments is appropriate for valuing a specific corporate debt instrument, but may not be appropriate for valuing any other corporate debt instrument. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 trading cash instruments.

•Increases in yield, duration or cumulative loss rate used in the valuation of level 3 trading cash instruments would have resulted in a lower fair value measurement, while increases in recovery rate or multiples would have resulted in a higher fair value measurement as of both December 2022 and December 2021. Due to the distinctive nature of each level 3 trading cash instrument, the interrelationship of inputs is not necessarily uniform within each product type.

•Trading cash instruments are valued using discounted cash flows.

Level 3 Rollforward for Trading Cash Instruments

The table below presents a summary of the changes in fair value for level 3 trading cash instruments.


	Year Ended December

$ in millions	2022		2021
Assets
Beginning balance	$	1,889	$	1,237
Net realized gains/(losses)	167		80
Net unrealized gains/(losses)	(1,889)		52
Purchases	1,271		1,241
Sales	(704)		(456)
Settlements	(345)		(273)
Transfers into level 3	1,680		272
Transfers out of level 3	(335)		(264)
Ending balance	$	1,734	$	1,889

Liabilities
Beginning balance	$	(104)	$	(80)
Net realized gains/(losses)	18		6
Net unrealized gains/(losses)	65		(5)
Purchases	137		36
Sales	(106)		(64)
Settlements	5		13
Transfers into level 3	(89)		(16)
Transfers out of level 3	10		6
Ending balance	$	(64)	$	(104)

In the table above:

•Changes in fair value are presented for all trading cash instruments that are classified in level 3 as of the end of the period.

•Net unrealized gains/(losses) relates to trading cash instruments 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 trading cash instrument 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 trading cash instrument assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 trading cash instrument liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts.

•Level 3 trading cash instruments are frequently economically hedged with level 1 and level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. 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 product type, for assets included in the summary table above.


	Year Ended December

$ in millions	2022		2021
Loans and securities backed by real estate
Beginning balance	$	289	$	334
Net realized gains/(losses)	11		12
Net unrealized gains/(losses)	(11)		3
Purchases	51		135
Sales	(127)		(75)
Settlements	(26)		(53)
Transfers into level 3	19		42
Transfers out of level 3	(52)		(109)
Ending balance	$	154	$	289

Corporate debt instruments
Beginning balance	$	1,318	$	797
Net realized gains/(losses)	29		57
Net unrealized gains/(losses)	(111)		28
Purchases	607		894
Sales	(372)		(330)
Settlements	(247)		(182)
Transfers into level 3	278		207
Transfers out of level 3	(264)		(153)
Ending balance	$	1,238	$	1,318

Other
Beginning balance	$	282	$	106
Net realized gains/(losses)	127		11
Net unrealized gains/(losses)	(1,767)		21
Purchases	613		212
Sales	(205)		(51)
Settlements	(72)		(38)
Transfers into level 3	1,383		23
Transfers out of level 3	(19)		(2)
Ending balance	$	342	$	282

In the table above, other includes government and agency obligations, state and municipal obligations, other debt obligations, equity securities and commodities.

Level 3 Rollforward Commentary for Trading Cash Instruments

Year Ended December 2022. The net realized and unrealized losses on level 3 trading cash instrument assets of $1.72 billion (reflecting $167 million of net realized gains and $1.89 billion of net unrealized losses) for 2022 included gains/(losses) of $(1.77) billion reported in market making and $54 million reported in interest income.

The net unrealized losses on level 3 trading cash instrument assets for 2022 primarily reflected losses on certain equity securities (included in other cash instruments), principally driven by broad macroeconomic and geopolitical concerns.

Transfers into level 3 trading cash instrument assets during 2022 primarily reflected transfers of certain equity securities (included in other cash instruments) and corporate debt instruments from both level 1 and level 2 (in each case, principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 trading cash instrument assets during 2022 primarily reflected transfers of certain corporate debt instruments to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments).

Year Ended December 2021. The net realized and unrealized gains on level 3 trading cash instrument assets of $132 million (reflecting $80 million of net realized gains and $52 million of net unrealized gains) for 2021 included gains of $45 million reported in market making and $87 million reported in interest income.

The drivers of the net unrealized gains on level 3 trading cash instrument assets for 2021 were not material.

Transfers into level 3 trading cash instrument assets during 2021 primarily reflected transfers of certain corporate debt instruments from level 2 (principally due to certain unobservable yield and duration inputs becoming significant to the valuation of these instruments, and reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 trading cash instrument assets during 2021 primarily reflected transfers of certain corporate debt instruments, and loans and securities backed by real estate to level 2 (in each case, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments, and certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments).

Fair Value of Derivatives by Level

The table below presents derivatives on a gross basis by level and product type, as well as the impact of netting.


$ in millions	Level 1		Level 2		Level 3		Total
As of December 2022
Assets
Interest rates	$	69	$	269,590	$	700	$	270,359
Credit	–		9,690		2,577		12,267
Currencies	–		103,450		494		103,944
Commodities	–		38,331		1,609		39,940
Equities	113		49,481		967		50,561
Gross fair value	182		470,542		6,347		477,071
Counterparty netting in levels	–		(358,917)		(886)		(359,803)
Subtotal	$	182	$	111,625	$	5,461	$	117,268
Cross-level counterparty netting							(1,079)
Cash collateral netting							(56,776)
Net fair value							$	59,413

Liabilities
Interest rates	$	(32)	$	(247,871)	$	(1,159)	$	(249,062)
Credit	–		(10,163)		(1,117)		(11,280)
Currencies	–		(111,840)		(332)		(112,172)
Commodities	–		(32,435)		(690)		(33,125)
Equities	(15)		(55,240)		(1,528)		(56,783)
Gross fair value	(47)		(457,549)		(4,826)		(462,422)
Counterparty netting in levels	–		358,917		886		359,803
Subtotal	$	(47)	$	(98,632)	$	(3,940)	$	(102,619)
Cross-level counterparty netting							1,079
Cash collateral netting							46,805
Net fair value							$	(54,735)

As of December 2021
Assets
Interest rates	$	2	$	246,525	$	1,065	$	247,592
Credit	–		12,823		3,433		16,256
Currencies	–		86,773		237		87,010
Commodities	–		34,501		1,044		35,545
Equities	33		72,570		963		73,566
Gross fair value	35		453,192		6,742		459,969
Counterparty netting in levels	–		(329,164)		(804)		(329,968)
Subtotal	$	35	$	124,028	$	5,938	$	130,001
Cross-level counterparty netting							(1,924)
Cash collateral netting							(64,117)
Net fair value							$	63,960

Liabilities
Interest rates	$	(2)	$	(217,438)	$	(882)	$	(218,322)
Credit	–		(14,176)		(1,579)		(15,755)
Currencies	–		(85,925)		(384)		(86,309)
Commodities	–		(31,925)		(606)		(32,531)
Equities	(29)		(77,393)		(2,851)		(80,273)
Gross fair value	(31)		(426,857)		(6,302)		(433,190)
Counterparty netting in levels	–		329,164		804		329,968
Subtotal	$	(31)	$	(97,693)	$	(5,498)	$	(103,222)
Cross-level counterparty netting							1,924
Cash collateral netting							49,345
Net fair value							$	(51,953)

In the table above:

•Gross fair values exclude the effects of both counterparty netting and collateral netting, and therefore are not representative of the firm’s exposure.

•Counterparty netting is reflected in each level to the extent that receivable and payable balances are netted within the same level and is included in counterparty netting in levels. Where the counterparty netting is across levels, the netting is included in cross-level counterparty netting.

•Derivative assets are shown as positive amounts and derivative liabilities are shown as negative amounts.

See Note 4 for an overview of the firm’s fair value measurement policies, valuation techniques and significant inputs used to determine the fair value of derivatives.

Significant Unobservable Inputs for Derivatives

The table below presents the amount of level 3 derivative assets (liabilities), and ranges, averages and medians of significant unobservable inputs used to value level 3 derivatives.

As of December 2022

As of December 2021

$ in millions, except inputs

Amount or Range

Average/ Median

Amount or Range

Average/ Median

Interest rates, net

(459)

183

Correlation

(10)% to 81%

61%/60%

25% to 81%

63%/62%

Volatility (bps)

31 to 101

60/57

31 to 100

59/54

Credit, net

1,460

1,854

Credit spreads (bps)

5 to 935

149/116

1 to 568

136/107

Upfront credit points

(1) to 100

29/18

2 to 100

34/26

Recovery rates

20% to 50%

40%/40%

20% to 50%

37%/40%

Currencies, net

162

(147)

Correlation

20% to 71%

40%/23%

20% to 71%

40%/41%

Volatility

20% to 21%

20%/20%

19% to 19%

19%/19%

Commodities, net

919

438

Volatility

20% to 118%

50%/46%

15% to 93%

32%/29%

Natural gas spread

$(3.21) to $5.85

$(0.20)/ $(0.27)

$(1.33) to $2.60

$(0.11)/ $(0.07)

Oil spread

$12.68 to $48.92

$20.42/ $20.36

$8.64 to $22.68

$13.36/ $12.69

Electricity price

$3.00 to $329.28

$47.19/ $39.69

$1.50 to $289.96

$37.42/ $32.20

Equities, net

(561)

(1,888)

Correlation

(75)% to 100%

66%/75%

(70)% to 99%

59%/62%

Volatility

2% to 74%

13%/7%

3% to 150%

17%/17%

In the table above:

•Derivative assets are shown as positive amounts and derivative liabilities are shown as negative amounts.

•Ranges represent the significant unobservable inputs that were used in the valuation of each type of derivative.

•Averages represent the arithmetic average of the inputs and are not weighted by the relative fair value or notional amount of the respective financial instruments. An average greater than the median indicates that the majority of inputs are below the average. For example, the difference between the average and the median for credit spreads indicates that the majority of the inputs fall in the lower end of the range.

•The ranges, averages and medians of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one derivative. For example, the highest correlation for interest rate derivatives is appropriate for valuing a specific interest rate derivative but may not be appropriate for valuing any other interest rate derivative. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 derivatives.

•Interest rates, currencies and equities derivatives are valued using option pricing models, credit derivatives are valued using option pricing, correlation and discounted cash flow models, and commodities derivatives are valued using option pricing and discounted cash flow models.

•The fair value of any one instrument may be determined using multiple valuation techniques. For example, option pricing models and discounted cash flow models are typically used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.

•Correlation within currencies and equities includes cross-product type correlation.

•Natural gas spread represents the spread per million British thermal units of natural gas.

•Oil spread represents the spread per barrel of oil and refined products.

•Electricity price represents the price per megawatt hour of electricity.

Range of Significant Unobservable Inputs for Derivatives

The following provides information about the ranges of significant unobservable inputs used to value the firm’s level 3 derivative instruments:

•Correlation. Ranges for correlation cover a variety of underliers both within one product type (e.g., equity index and equity single stock names) and across product types (e.g., correlation of an interest rate and a currency), as well as across regions. Generally, cross-product type correlation inputs are used to value more complex instruments and are lower than correlation inputs on assets within the same derivative product type.

•Volatility. Ranges for volatility cover numerous underliers across a variety of markets, maturities and strike prices. For example, volatility of equity indices is generally lower than volatility of single stocks.

•Credit spreads, upfront credit points and recovery rates. The ranges for credit spreads, upfront credit points and recovery rates cover a variety of underliers (index and single names), regions, sectors, maturities and credit qualities (high-yield and investment-grade). The broad range of this population gives rise to the width of the ranges of significant unobservable inputs.

•Commodity prices and spreads. The ranges for commodity prices and spreads cover variability in products, maturities and delivery locations.

Sensitivity of Fair Value Measurement to Changes in Significant Unobservable Inputs for Derivatives

The following is a description of the directional sensitivity of the firm’s level 3 fair value measurements to changes in significant unobservable inputs, in isolation, as of each period-end:

•Correlation. In general, for contracts where the holder benefits from the convergence of the underlying asset or index prices (e.g., interest rates, credit spreads, foreign exchange rates, inflation rates and equity prices), an increase in correlation results in a higher fair value measurement.

•Volatility. In general, for purchased options, an increase in volatility results in a higher fair value measurement.

•Credit spreads, upfront credit points and recovery rates. In general, the fair value of purchased credit protection increases as credit spreads or upfront credit points increase or recovery rates decrease. Credit spreads, upfront credit points and recovery rates are strongly related to distinctive risk factors of the underlying reference obligations, which include reference entity-specific factors, such as leverage, volatility and industry, market-based risk factors, such as borrowing costs or liquidity of the underlying reference obligation, and macroeconomic conditions.

•Commodity prices and spreads. In general, for contracts where the holder is receiving a commodity, an increase in the spread (price difference from a benchmark index due to differences in quality or delivery location) or price results in a higher fair value measurement.

Due to the distinctive nature of each of the firm’s level 3 derivatives, the interrelationship of inputs is not necessarily uniform within each product type.

Level 3 Rollforward for Derivatives

The table below presents a summary of the changes in fair value for level 3 derivatives.


	Year Ended December

$ in millions	2022		2021
Total level 3 derivatives, net
Beginning balance	$	440	$	1,175
Net realized gains/(losses)	839		265
Net unrealized gains/(losses)	1,817		452
Purchases	510		501
Sales	(1,592)		(1,541)
Settlements	100		(59)
Transfers into level 3	(482)		(131)
Transfers out of level 3	(111)		(222)
Ending balance	$	1,521	$	440

In the table above:

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

•Net unrealized gains/(losses) relates to instruments 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 derivative was transferred into level 3 during a reporting period, its entire gain or loss for the period is classified in level 3.

•Positive amounts for transfers into level 3 and negative amounts for transfers out of level 3 represent net transfers of derivative assets. Negative amounts for transfers into level 3 and positive amounts for transfers out of level 3 represent net transfers of derivative liabilities.

•A derivative with level 1 and/or level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input.

•If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified in level 3.

•Gains or losses that have been classified in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives and/or level 1, level 2 and level 3 trading cash instruments. As a result, gains/(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 product type, for derivatives included in the summary table above.


	Year Ended December

$ in millions	2022		2021
Interest rates, net
Beginning balance	$	183	$	267
Net realized gains/(losses)	88		72
Net unrealized gains/(losses)	137		316
Purchases	50		124
Sales	(585)		(341)
Settlements	(20)		18
Transfers into level 3	(13)		2
Transfers out of level 3	(299)		(275)
Ending balance	$	(459)	$	183

Credit, net
Beginning balance	$	1,854	$	1,778
Net realized gains/(losses)	217		(21)
Net unrealized gains/(losses)	(343)		409
Purchases	107		53
Sales	(90)		(217)
Settlements	(27)		(77)
Transfers into level 3	(21)		(70)
Transfers out of level 3	(237)		(1)
Ending balance	$	1,460	$	1,854

Currencies, net
Beginning balance	$	(147)	$	(338)
Net realized gains/(losses)	95		9
Net unrealized gains/(losses)	270		155
Purchases	41		7
Sales	(36)		(10)
Settlements	19		32
Transfers into level 3	(83)		(17)
Transfers out of level 3	3		15
Ending balance	$	162	$	(147)

Commodities, net
Beginning balance	$	438	$	300
Net realized gains/(losses)	(59)		(80)
Net unrealized gains/(losses)	741		355
Purchases	31		42
Sales	(30)		(15)
Settlements	(245)		(149)
Transfers into level 3	182		(3)
Transfers out of level 3	(139)		(12)
Ending balance	$	919	$	438

Equities, net
Beginning balance	$	(1,888)	$	(832)
Net realized gains/(losses)	498		285
Net unrealized gains/(losses)	1,012		(783)
Purchases	281		275
Sales	(851)		(958)
Settlements	373		117
Transfers into level 3	(547)		(43)
Transfers out of level 3	561		51
Ending balance	$	(561)	$	(1,888)

Level 3 Rollforward Commentary for Derivatives

Year Ended December 2022. The net realized and unrealized gains on level 3 derivatives of $2.66 billion (reflecting $839 million of net realized gains and $1.82 billion of net unrealized gains) for 2022 included gains of $2.65 billion reported in market making and gains of $3 million reported in other principal transactions.

The net unrealized gains on level 3 derivatives for 2022 were attributable to gains on certain equity derivatives (primarily reflecting the impact of a decrease in equity prices), gains on certain commodity derivatives (primarily reflecting the impact of an increase in commodity prices), gains on certain currency derivatives (primarily reflecting the impact of changes in foreign exchange rates and an increase in interest rates), and gains on certain interest rate derivatives (primarily reflecting the impact of an increase in interest rates), partially offset by losses on certain credit derivatives (primarily reflecting the impact of an increase in interest rates).

Transfers into level 3 derivatives during 2022 primarily reflected transfers of certain equity derivative liabilities from level 2 (principally due to decreased transparency of certain unobservable volatility inputs used to value these derivatives), partially offset by transfers of certain commodity derivative assets from level 2 (principally due to certain unobservable electricity price inputs becoming significant to the valuation of these derivatives).

Transfers out of level 3 derivatives during 2022 primarily reflected transfers of certain interest rate derivative assets to level 2 (principally due to certain unobservable volatility inputs no longer being significant to the valuation of these derivatives), certain credit derivative assets to level 2 (principally due to certain unobservable credit spread inputs no longer being significant to the net risk of certain portfolios), and certain commodity derivative assets to level 2 (principally due to certain unobservable natural gas spread and electricity price inputs no longer being significant to the valuation of these derivatives), partially offset by transfers of certain equity derivative liabilities to level 2 (principally due to certain unobservable volatility inputs no longer being significant to the valuation of these derivatives).

Year Ended December 2021. The net realized and unrealized gains on level 3 derivatives of $717 million (reflecting $265 million of net realized gains and $452 million of net unrealized gains) for 2021 included gains of $700 million reported in market making and gains of $17 million reported in other principal transactions.

The net unrealized gains on level 3 derivatives for 2021 were primarily attributable to gains on certain credit and currency derivatives (in each case, primarily reflecting the impact of changes in foreign exchange rates), gains on certain commodity derivatives (primarily reflecting the impact of an increase in commodity prices) and gains on certain interest rate derivatives (primarily reflecting the impact of an increase in interest rates), partially offset by losses on certain equity derivatives (primarily reflecting the impact of an increase in equity prices).

The drivers of transfers into level 3 derivatives during 2021 were not material.

Transfers out of level 3 derivatives during 2021 primarily reflected transfers of certain interest rate derivative assets to level 2 (principally due to increased transparency of certain volatility inputs used to value these derivatives).

Fair Value of Investments by Level

The table below presents investments accounted for at fair value by level within the fair value hierarchy.


$ in millions	Level 1		Level 2		Level 3		Total
As of December 2022
Government and agency obligations:
U.S.	$	47,055	$	–	$	–	$	47,055
Non-U.S.	2,169		66		–		2,235
Corporate debt securities	145		2,950		7,003		10,098
Securities backed by real estate	–		176		827		1,003
Money market instruments	48		957		–		1,005
Other debt obligations	–		3		256		259
Equity securities	1,522		3,227		8,856		13,605
Subtotal	$	50,939	$	7,379	$	16,942	$	75,260
Investments in funds at NAV							2,941
Total investments							$	78,201
As of December 2021
Government and agency obligations:
U.S.	$	46,322	$	–	$	–	$	46,322
Non-U.S.	2,612		–		–		2,612
Corporate debt securities	65		5,201		4,527		9,793
Securities backed by real estate	–		1,202		1,078		2,280
Money market instruments	41		1,355		–		1,396
Other debt obligations	–		35		382		417
Equity securities	2,135		7,088		7,915		17,138
Subtotal	$	51,175	$	14,881	$	13,902	$	79,958
Investments in funds at NAV							3,469
Total investments							$	83,427

See Note 4 for an overview of the firm’s fair value measurement policies, valuation techniques and significant inputs used to determine the fair value of investments.

Significant Unobservable Inputs for Investments

The table below presents the amount of level 3 investments, and ranges and weighted averages of significant unobservable inputs used to value such investments.


	As of December 2022				As of December 2021
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Corporate debt securities
Level 3 assets	$	7,003			$	4,527
Yield	5.0% to 21.8%		11.6	%	2.0% to 29.0%		10.8	%
Recovery rate	10.0% to 70.0%		55.5	%	9.1% to 76.0%		59.1	%
Duration (years)	1.3 to 5.7		3.3		1.4 to 6.4		3.8
Multiples	1.8x to 83.4x		8.3x		0.5x to 28.2x		6.9x
Securities backed by real estate
Level 3 assets	$	827			$	1,078
Yield	8.0% to 20.3%		14.6	%	8.3% to 20.3%		13.1	%
Recovery rate	N/A		N/A		55.1% to 61.0%		56.4	%
Duration (years)	0.6 to 4.2		4.1		0.1 to 2.6		1.2
Other debt obligations
Level 3 assets	$	256			$	382
Yield	5.2% to 8.4%		7.4	%	2.3% to 10.6%		3.2	%
Duration (years)	N/A		N/A		0.9 to 9.3		4.8
Equity securities
Level 3 assets	$	8,856			$	7,915
Multiples	0.5x to 34.3x		8.3x		0.4x to 30.5x		10.1x
Discount rate/yield	5.4% to 38.5%		14.6	%	2.0% to 35.0%		14.1	%
Capitalization rate	4.0% to 10.8%		5.4	%	3.5% to 14.0%		5.7	%

In the table above:

•Ranges represent the significant unobservable inputs that were used in the valuation of each type of investment.

•Weighted averages are calculated by weighting each input by the relative fair value of the investment.

•The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one investment. For example, the highest multiple for private equity securities is appropriate for valuing a specific private equity security but may not be appropriate for valuing any other private equity security. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 investments.

•Increases in yield, discount rate, capitalization rate or duration used in the valuation of level 3 investments would have resulted in a lower fair value measurement, while increases in recovery rate or multiples would have resulted in a higher fair value measurement as of both December 2022 and December 2021. Due to the distinctive nature of each level 3 investment, the interrelationship of inputs is not necessarily uniform within each product type.

•Corporate debt securities, securities backed by real estate and other debt obligations are valued using discounted cash flows, and equity securities are valued using market comparables and discounted cash flows.

•The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.

•The significant unobservable inputs for recovery rate (related to securities backed by real estate) and for duration (related to other debt obligations) as of December 2022 did not have a range (and there was no weighted average) as each pertained to a single position. Therefore, such unobservable inputs are not included in the table above.

Level 3 Rollforward for Investments

The table below presents a summary of the changes in fair value for level 3 investments.


	Year Ended December

$ in millions	2022		2021
Beginning balance	$	13,902	$	16,423
Net realized gains/(losses)	563		449
Net unrealized gains/(losses)	(1,649)		1,263
Purchases	2,362		1,600
Sales	(1,514)		(2,135)
Settlements	(1,995)		(3,265)
Transfers into level 3	6,345		3,080
Transfers out of level 3	(1,072)		(3,513)
Ending balance	$	16,942	$	13,902

In the table above:

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

•Net unrealized gains/(losses) relates to investments 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 an investment 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 investments, increases are shown as positive amounts, while decreases are shown as negative amounts.

The table below presents information, by product type, for investments included in the summary table above.


	Year Ended December

$ in millions	2022		2021
Corporate debt securities
Beginning balance	$	4,527	$	5,286
Net realized gains/(losses)	352		167
Net unrealized gains/(losses)	(173)		311
Purchases	1,007		431
Sales	(125)		(594)
Settlements	(1,117)		(1,876)
Transfers into level 3	2,790		1,871
Transfers out of level 3	(258)		(1,069)
Ending balance	$	7,003	$	4,527

Securities backed by real estate
Beginning balance	$	1,078	$	998
Net realized gains/(losses)	42		45
Net unrealized gains/(losses)	(338)		6
Purchases	199		182
Sales	(169)		(44)
Settlements	(320)		(234)
Transfers into level 3	344		142
Transfers out of level 3	(9)		(17)
Ending balance	$	827	$	1,078

Other debt obligations
Beginning balance	$	382	$	497
Net realized gains/(losses)	12		12
Net unrealized gains/(losses)	(5)		1
Purchases	25		63
Sales	(6)		–
Settlements	(147)		(96)
Transfers out of level 3	(5)		(95)
Ending balance	$	256	$	382

Equity securities
Beginning balance	$	7,915	$	9,642
Net realized gains/(losses)	157		225
Net unrealized gains/(losses)	(1,133)		945
Purchases	1,131		924
Sales	(1,214)		(1,497)
Settlements	(411)		(1,059)
Transfers into level 3	3,211		1,067
Transfers out of level 3	(800)		(2,332)
Ending balance	$	8,856	$	7,915

Level 3 Rollforward Commentary for Investments

Year Ended December 2022. The net realized and unrealized losses on level 3 investments of $1.09 billion (reflecting $563 million of net realized gains and $1.65 billion of net unrealized losses) for 2022 included gains/(losses) of $(1.52) billion reported in other principal transactions and $433 million reported in interest income.

The net unrealized losses on level 3 investments for 2022 primarily reflected losses on certain equity securities and corporate debt securities (in each case, principally driven by broad macroeconomic and geopolitical concerns) and securities backed by real estate (principally driven by an increase in interest rates).

Transfers into level 3 investments during 2022 primarily reflected transfers of certain equity securities and corporate debt securities from level 2 (in each case, principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments), and transfers of certain corporate debt securities from level 2 (due to certain unobservable yield and duration inputs becoming significant to the valuation of these instruments).

Transfers out of level 3 investments during 2022 primarily reflected transfers of certain equity securities and corporate debt securities to level 2 (in each case, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments and certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments).

Year Ended December 2021. The net realized and unrealized gains on level 3 investments of $1.71 billion (reflecting $449 million of net realized gains and $1.26 billion of net unrealized gains) for 2021 included gains of $1.53 billion reported in other principal transactions and $180 million reported in interest income.

The net unrealized gains on level 3 investments for 2021 primarily reflected gains on certain private equity securities and corporate debt securities (in each case, principally driven by corporate performance and company-specific events).

Transfers into level 3 investments during 2021 primarily reflected transfers of certain corporate debt securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments, and certain unobservable yield and duration inputs becoming significant to the valuation of these instruments) and transfers of certain private equity securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 investments during 2021 primarily reflected transfers of certain private equity securities to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments) and transfers of certain corporate debt securities to level 2 (principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments, and increased price transparency as a result of market evidence, including market transactions of these instruments).

Fair Value of Loans by Level

The table below presents loans held for investment accounted for at fair value under the fair value option by level within the fair value hierarchy.


$ in millions	Level 1		Level 2		Level 3		Total
As of December 2022
Loan Type
Corporate	$	–	$	359	$	637	$	996
Real estate:
Commercial	–		435		711		1,146
Residential	–		4,437		74		4,511
Other collateralized	–		576		140		716
Other	–		11		275		286
Total	$	–	$	5,818	$	1,837	$	7,655
As of December 2021
Loan Type
Corporate	$	–	$	937	$	672	$	1,609
Real estate:
Commercial	–		605		983		1,588
Residential	–		5,980		205		6,185
Other collateralized	–		726		229		955
Other	–		167		265		432
Total	$	–	$	8,415	$	2,354	$	10,769

The gains/(losses) as a result of changes in the fair value of loans held for investment for which the fair value option was elected were $(367) million for 2022 and $216 million for 2021. These gains/(losses) were included in other principal transactions.

Significant Unobservable Inputs for Loans

The table below presents the amount of level 3 loans, and ranges and weighted averages of significant unobservable inputs used to value such loans.


	As of December 2022				As of December 2021
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Corporate
Level 3 assets	$	637			$	672
Yield	4.1% to 26.9%		9.6	%	1.5% to 55.6%		17.8	%
Recovery rate	23.1% to 95.0%		66.0	%	20.0% to 92.0%		46.6	%
Duration (years)	1.6 to 3.3		2.6		1.0 to 4.3		2.5
Real estate
Level 3 assets	$	785			$	1,188
Yield	3.0% to 27.0%		16.1	%	2.1% to 20.0%		13.2	%
Recovery rate	3.6% to 66.2%		54.4	%	3.8% to 99.5%		43.7	%
Duration (years)	0.6 to 6.7		2.5		0.1 to 4.0		1.7
Other collateralized
Level 3 assets	$	140			$	229
Yield	5.8% to 12.7%		7.7	%	1.8% to 4.3%		3.3	%
Duration (years)	2.5 to 2.9		2.7		0.9 to 6.8		3.2
Other
Level 3 assets	$	275			$	265
Yield	9.4% to 10.0%		9.9	%	3.8% to 18.7%		7.9	%
Duration (years)	N/A		N/A		2.9 to 5.5		3.6

In the table above:

•Ranges represent the significant unobservable inputs that were used in the valuation of each type of loan.

•Weighted averages are calculated by weighting each input by the relative fair value of the loan.

•The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one loan. For example, the highest yield for real estate loans is appropriate for valuing a specific real estate loan but may not be appropriate for valuing any other real estate loan. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 loans.

•Increases in yield or duration used in the valuation of level 3 loans would have resulted in a lower fair value measurement, while increases in recovery rate would have resulted in a higher fair value measurement as of both December 2022 and December 2021. Due to the distinctive nature of each level 3 loan, the interrelationship of inputs is not necessarily uniform within each product type.

•Loans are valued using discounted cash flows.

•The significant unobservable inputs for duration related to other loans as of December 2022 did not have a range (and there was no weighted average) as it related to a purchased portfolio of revolving loans with a single duration.

Level 3 Rollforward for Loans

The table below presents a summary of the changes in fair value for level 3 loans.


	Year Ended December

$ in millions	2022		2021
Beginning balance	$	2,354	$	2,678
Net realized gains/(losses)	82		99
Net unrealized gains/(losses)	(129)		(33)
Purchases	113		272
Sales	(82)		(54)
Settlements	(403)		(668)
Transfers into level 3	236		369
Transfers out of level 3	(334)		(309)
Ending balance	$	1,837	$	2,354

In the table above:

•Changes in fair value are presented for loans that are classified in level 3 as of the end of the period.

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

•Purchases includes originations and secondary purchases.

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

The table below presents information, by loan type, for loans included in the summary table above.


	Year Ended December

$ in millions	2022		2021
Corporate
Beginning balance	$	672	$	896
Net realized gains/(losses)	29		30
Net unrealized gains/(losses)	(40)		(34)
Purchases	27		81
Sales	(74)		(17)
Settlements	(95)		(228)
Transfers into level 3	121		37
Transfers out of level 3	(3)		(93)
Ending balance	$	637	$	672

Real estate
Beginning balance	$	1,188	$	1,364
Net realized gains/(losses)	45		57
Net unrealized gains/(losses)	(108)		(62)
Purchases	65		78
Sales	(8)		(10)
Settlements	(233)		(353)
Transfers into level 3	102		242
Transfers out of level 3	(266)		(128)
Ending balance	$	785	$	1,188

Other collateralized
Beginning balance	$	229	$	97
Net realized gains/(losses)	3		1
Net unrealized gains/(losses)	(2)		(1)
Purchases	3		62
Settlements	(55)		(20)
Transfers into level 3	13		90
Transfers out of level 3	(51)		–
Ending balance	$	140	$	229

Other
Beginning balance	$	265	$	321
Net realized gains/(losses)	5		11
Net unrealized gains/(losses)	21		64
Purchases	18		51
Sales	–		(27)
Settlements	(20)		(67)
Transfers out of level 3	(14)		(88)
Ending balance	$	275	$	265

Level 3 Rollforward Commentary for Loans

Year Ended December 2022. The net realized and unrealized losses on level 3 loans of $47 million (reflecting $82 million of net realized gains and $129 million of net unrealized losses) for 2022 included gains/(losses) of $(78) million reported in other principal transactions and $31 million reported in interest income.

The net unrealized losses on level 3 loans for 2022 primarily reflected losses on certain loans backed by real estate (principally due to the impact of an increase in interest rates).

Transfers into level 3 loans during 2022 primarily reflected transfers of certain corporate loans and loans backed by real estate from level 2 (in each case, principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 loans during 2022 primarily reflected transfers of certain loans backed by real estate to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments).

Year Ended December 2021. The net realized and unrealized gains on level 3 loans of $66 million (reflecting $99 million of net realized gains and $33 million of net unrealized losses) for 2021 included gains of $42 million reported in other principal transactions and $24 million reported in interest income.

The drivers of net unrealized losses on level 3 loans for 2021 were not material.

Transfers into level 3 loans during 2021 primarily reflected transfers of certain loans backed by real estate from level 2 (principally due to certain unobservable yield and duration inputs becoming significant to the valuation of these instruments) and transfers of certain other collateralized loans from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 loans during 2021 primarily reflected transfers of certain loans backed by real estate, corporate loans and other loans to level 2 (in each case, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments).

Fair Value of Other Financial Assets and 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 December 2022
Assets
Resale agreements	$	–	$	225,117	$	–	$	225,117
Securities borrowed	–		38,578		–		38,578
Customer and other receivables	–		25		–		25
Other assets	–		71		74		145
Total	$	–	$	263,791	$	74	$	263,865

Liabilities
Deposits	$	–	$	(13,003)	$	(2,743)	$	(15,746)
Repurchase agreements	–		(110,349)		–		(110,349)
Securities loaned	–		(4,372)		–		(4,372)
Other secured financings	–		(10,914)		(1,842)		(12,756)
Unsecured borrowings:
Short-term	–		(35,641)		(4,090)		(39,731)
Long-term	–		(63,081)		(10,066)		(73,147)
Other liabilities	–		(74)		(85)		(159)
Total	$	–	$	(237,434)	$	(18,826)	$	(256,260)

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.

See Note 4 for an overview of the firm’s fair value measurement policies, valuation techniques and significant inputs used to determine the fair value of other financial assets and liabilities.

Significant Unobservable Inputs for Other Financial Instruments at Fair Value

See below for information about the significant unobservable inputs used to value level 3 other financial liabilities at fair value as of both December 2022 and December 2021.

Other Secured Financings. The ranges and weighted averages of significant unobservable inputs used to value level 3 other secured financings are presented below. These ranges and weighted averages exclude unobservable inputs that are only relevant to a single instrument, and therefore are not meaningful.

As of December 2022:

•Yield: 4.5% to 9.4% (weighted average: 5.9%)

•Duration: 0.6 to 5.1 years (weighted average: 2.2 years)

As of December 2021:

•Yield: 1.3% to 6.4% (weighted average: 2.1%)

•Duration: 0.6 to 7.1 years (weighted average: 3.7 years)

Generally, increases in yield or duration, in isolation, would have resulted in a lower fair value measurement as of period-end. Due to the distinctive nature of each of level 3 other secured financings, the interrelationship of inputs is not necessarily uniform across such financings. See Note 11 for further information about other secured financings.

Deposits, Unsecured Borrowings and Other Assets and Liabilities. Substantially all of the firm’s deposits, unsecured short- and long-term borrowings, and other assets and liabilities that are classified in level 3 are hybrid financial instruments. As the significant unobservable inputs used to value hybrid financial instruments primarily relate to the embedded derivative component of these deposits, unsecured borrowings and other assets and liabilities, these unobservable inputs are incorporated in the firm’s derivative disclosures. See Note 12 for further information about other assets, Note 13 for further information about deposits, Note 14 for further information about unsecured borrowings and Note 15 for further information about other liabilities.

Level 3 Rollforward for Other Financial Instruments at Fair Value

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


	Year Ended December

$ in millions	2022		2021
Assets
Beginning balance	$	–	$	–
Net unrealized gains/(losses)	65		–
Purchases	9		–
Ending balance	$	74	$	–
Liabilities
Beginning balance	$	(23,567)	$	(28,058)
Net realized gains/(losses)	(311)		(401)
Net unrealized gains/(losses)	4,459		825
Issuances	(10,090)		(12,632)
Settlements	10,255		14,930
Transfers into level 3	(1,851)		(736)
Transfers out of level 3	2,279		2,505
Ending balance	$	(18,826)	$	(23,567)

In the table above:

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

•Net unrealized gains/(losses) relates to other financial instruments 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 instrument 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 assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 other financial liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts.

•Level 3 other financial instruments 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.


	Year Ended December

$ in millions	2022		2021
Deposits
Beginning balance	$	(3,613)	$	(4,221)
Net realized gains/(losses)	(5)		(28)
Net unrealized gains/(losses)	391		(110)
Issuances	(937)		(473)
Settlements	1,264		1,203
Transfers into level 3	(13)		(70)
Transfers out of level 3	170		86
Ending balance	$	(2,743)	$	(3,613)

Repurchase agreements
Beginning balance	$	–	$	(2)
Net unrealized gains/(losses)	–		1
Settlements	–		1
Ending balance	$	–	$	–

Other secured financings
Beginning balance	$	(2,566)	$	(3,474)
Net realized gains/(losses)	(12)		(27)
Net unrealized gains/(losses)	31		63
Issuances	(621)		(145)
Settlements	850		779
Transfers into level 3	(110)		(135)
Transfers out of level 3	586		373
Ending balance	$	(1,842)	$	(2,566)

Unsecured short-term borrowings
Beginning balance	$	(7,829)	$	(7,523)
Net realized gains/(losses)	(112)		(134)
Net unrealized gains/(losses)	730		374
Issuances	(3,497)		(7,878)
Settlements	6,201		7,188
Transfers into level 3	(265)		(163)
Transfers out of level 3	682		307
Ending balance	$	(4,090)	$	(7,829)

Unsecured long-term borrowings
Beginning balance	$	(9,413)	$	(12,576)
Net realized gains/(losses)	(182)		(212)
Net unrealized gains/(losses)	3,246		381
Issuances	(5,035)		(4,136)
Settlements	1,940		5,759
Transfers into level 3	(1,463)		(368)
Transfers out of level 3	841		1,739
Ending balance	$	(10,066)	$	(9,413)

Other liabilities
Beginning balance	$	(146)	$	(262)
Net unrealized gains/(losses)	61		116
Ending balance	$	(85)	$	(146)

Level 3 Rollforward Commentary for Other Financial Instruments at Fair Value

Year Ended December 2022. The net realized and unrealized gains on level 3 other financial liabilities of $4.15 billion (reflecting $311 million of net realized losses and $4.46 billion of net unrealized gains) for 2022 included gains/(losses) of $3.60 billion reported in market making, $64 million reported in other principal transactions and $(21) million reported in interest expense in the consolidated statements of earnings, and $503 million reported in debt valuation adjustment in the consolidated statements of comprehensive income.

The net unrealized gains on level 3 other financial liabilities for 2022 primarily reflected gains on certain hybrid financial instruments included in unsecured long- and short-term borrowings (principally due to a decrease in global equity prices and an increase in interest rates).

Transfers into level 3 other financial liabilities during 2022 primarily reflected transfers of certain hybrid financial instruments included in unsecured long- and short-term borrowings from level 2 (principally due to reduced transparency of certain volatility and correlation inputs used to value these instruments).

Transfers out of level 3 other financial liabilities during 2022 primarily reflected transfers of certain hybrid financial instruments included in unsecured long- and short-term borrowings to level 2 (principally due to increased price transparency of certain volatility and correlation inputs used to value these instruments) and transfers of certain other secured financings to level 2 (principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments).

Year Ended December 2021. The net realized and unrealized gains on level 3 other financial liabilities of $424 million (reflecting $401 million of net realized losses and $825 million of net unrealized gains) for 2021 included gains/(losses) of $355 million reported in market making, $32 million reported in other principal transactions and $(20) million reported in interest expense in the consolidated statements of earnings, and $57 million reported in debt valuation adjustment in the consolidated statements of comprehensive income.

The net unrealized gains on level 3 other financial liabilities for 2021 primarily reflected gains on certain hybrid financial instruments included in unsecured long- and short-term borrowings (principally due to an increase in interest rates).

Transfers into level 3 other financial liabilities during 2021 primarily reflected transfers of certain hybrid financial instruments included in unsecured long- and short-term borrowings from level 2 (principally due to reduced price transparency of certain volatility and correlation inputs used to value these instruments) and certain other secured financings from level 2 (principally due to reduced price transparency of certain yield and duration inputs used to value these instruments).Transfers out of level 3 other financial liabilities during 2021 primarily reflected transfers of certain hybrid financial instruments included in unsecured long- and short-term borrowings to level 2 (principally due to increased price transparency of certain volatility and correlation inputs used to value these instruments, and certain unobservable volatility inputs no longer being significant to the valuation of these instruments) and certain other secured financings to level 2 (principally due to increased price transparency of certain yield and duration inputs used to value these instruments).