The best evidence of fair value is a quoted price in an active market. If quoted prices in active markets are not available, fair value is determined by reference to prices for similar instruments, quoted prices or recent transactions in less active markets, or internally developed models that primarily use market-based or independently sourced inputs, including, but not limited to, interest rates, volatilities, equity or debt prices, foreign exchange rates, commodity prices, credit spreads and funding spreads (i.e., the spread or difference between the interest rate at which a borrower could finance a given financial instrument relative to a benchmark interest rate).


	As of
	September			June			December
$ in millions	2023			2023			2022
Total level 1 financial assets	$	318,535		$	270,334		$	194,698
Total level 2 financial assets	471,365			478,619			485,134
Total level 3 financial assets	24,862			25,945			26,048
Investments in funds at NAV	3,037			3,063			2,941
Counterparty and cash collateral netting	(59,399)			(55,685)			(57,855)
Total financial assets at fair value	$	758,400		$	722,276		$	650,966

Total assets	$	1,577,153		$	1,571,386		$	1,441,799

Total level 3 financial assets divided by:
Total assets	1.6		%	1.7		%	1.8		%
Total financial assets at fair value	3.3		%	3.6		%	4.0		%
Total level 1 financial liabilities	$	123,428		$	125,540		$	119,578
Total level 2 financial liabilities	481,831			469,090			353,060
Total level 3 financial liabilities	27,659			26,159			22,830
Counterparty and cash collateral netting	(44,386)			(43,276)			(47,884)
Total financial liabilities at fair value	$	588,532		$	577,513		$	447,584

Total liabilities	$	1,459,876		$	1,454,893		$	1,324,610

Total level 3 financial liabilities divided by:
Total liabilities	1.9		%	1.8		%	1.7%
Total financial liabilities at fair value	4.7		%	4.5		%	5.1%

The valuation techniques and nature of significant inputs used to determine the fair value of the firm’s financial instruments are described below. See Note 5 for further information about significant unobservable inputs used to value level 3 financial instruments.

Valuation Techniques and Significant Inputs for Trading Cash Instruments, Investments and Loans

Level 1. Level 1 instruments include U.S. government obligations, most non-U.S. government obligations, certain agency obligations, certain corporate debt instruments, certain money market instruments and actively traded listed equities. These instruments are valued using quoted prices for identical unrestricted instruments in active markets. The firm defines active markets for equity instruments based on the average daily trading volume both in absolute terms and relative to the market capitalization for the instrument. The firm defines active markets for debt instruments based on both the average daily trading volume and the number of days with trading activity.

Level 2. Level 2 instruments include certain non-U.S. government obligations, most agency obligations, most mortgage-backed loans and securities, most corporate debt instruments, most state and municipal obligations, most money market instruments, most other debt obligations, restricted or less liquid listed equities, certain private equities, commodities and certain lending commitments.

Valuations of level 2 instruments can be verified to quoted prices, recent trading activity for identical or similar instruments, broker or dealer quotations or 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.

Valuation adjustments are typically made to level 2 instruments (i) if the instrument is subject to transfer restrictions and/or (ii) for other premiums and liquidity discounts that a market participant would require to arrive at fair value. Valuation adjustments are generally based on market evidence.

Level 3. Level 3 instruments have one or more significant valuation inputs that are not observable. Absent evidence to the contrary, level 3 instruments are initially valued at transaction price, which is considered to be the best initial estimate of fair value. Subsequently, the firm uses other methodologies to determine fair value, which vary based on the type of instrument. Valuation inputs and assumptions are changed when corroborated by substantive observable evidence, including values realized on sales.

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 Assets and Liabilities 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 repurchase agreements and substantially all resale 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 assets and liabilities 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.


$ in millions	Level 1		Level 2		Level 3		Total
As of September 2023
Assets
Government and agency obligations:
U.S.	$	96,526	$	53,900	$	–	$	150,426
Non-U.S.	53,688		20,741		71		74,500
Loans and securities backed by:
Commercial real estate	–		1,012		108		1,120
Residential real estate	–		7,929		63		7,992
Corporate debt instruments	125		35,751		1,316		37,192
State and municipal obligations	–		660		–		660
Other debt obligations	226		3,058		105		3,389
Equity securities	117,588		1,781		87		119,456
Commodities	–		4,260		3		4,263
Total	$	268,153	$	129,092	$	1,753	$	398,998

Liabilities
Government and agency obligations:
U.S.	$	(20,133)	$	(74)	$	–	$	(20,207)
Non-U.S.	(45,748)		(2,539)		–		(48,287)
Loans and securities backed by:
Commercial real estate	–		(27)		–		(27)
Residential real estate	–		(12)		–		(12)
Corporate debt instruments	(77)		(14,191)		(40)		(14,308)
Other debt obligations	–		(2)		–		(2)
Equity securities	(57,335)		(11)		(11)		(57,357)
Commodities	–		(106)		–		(106)
Total	$	(123,293)	$	(16,962)	$	(51)	$	(140,306)

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)

Total	$	(119,531)	$	(16,994)	$	(64)	$	(136,589)


	As of September 2023				As of December 2022
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Loans and securities backed by real estate
Level 3 assets	$	171			$	154
Yield	4.2% to 26.3%		16.0	%	3.0% to 36.0%		14.2	%
Recovery rate	42.7% to 76.0%		48.8	%	35.8% to 76.1%		54.7	%
Cumulative loss rate	N/A		N/A		3.7% to 29.9%		10.4	%
Duration (years)	0.5 to 12.0		3.0		0.9 to 12.3		4.6
Corporate debt instruments
Level 3 assets	$	1,316			$	1,238
Yield	3.7% to 40.4%		10.2	%	1.1% to 34.3%		6.9	%
Recovery rate	7.0% to 70.0%		45.7	%	11.5% to 77.0%		48.0	%
Duration (years)	1.2 to 11.6		3.2		0.3 to 20.3		4.5
Other
Level 3 assets	$	266			$	342
Yield	6.2% to 37.5%		16.6	%	2.8% to 47.8%		10.0	%
Multiples	0.7x to 5.1x		4.5x		3.3x to 4.5x		4.3x
Duration (years)	1.5 to 9.6		4.0		1.2 to 14.4		6.1

In the table above:

•Other includes government and agency obligations, state and municipal obligations, other debt obligations, equity securities and commodities.

•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 September 2023 and December 2022. 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.

•Cumulative loss rate was not significant to the valuation of level 3 loans and securities backed by real estate as of September 2023.

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



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Assets
Beginning balance	$	1,664	$	2,080	$	1,734	$	1,889
Net realized gains/(losses)	22		40		129		85
Net unrealized gains/(losses)	(41)		(124)		(22)		(1,496)
Purchases	295		359		597		1,294
Sales	(167)		(248)		(499)		(635)
Settlements	(91)		(78)		(311)		(206)
Transfers into level 3	309		326		323		1,277
Transfers out of level 3	(238)		(527)		(198)		(380)
Ending balance	$	1,753	$	1,828	$	1,753	$	1,828

Liabilities
Beginning balance	$	(95)	$	(182)	$	(64)	$	(104)
Net realized gains/(losses)	(1)		(4)		6		(42)
Net unrealized gains/(losses)	–		53		(15)		47
Purchases	46		100		52		198
Sales	(29)		(40)		(48)		(121)
Settlements	5		5		13		(2)
Transfers into level 3	(15)		(86)		(3)		(103)
Transfers out of level 3	38		43		8		16
Ending balance	$	(51)	$	(111)	$	(51)	$	(111)

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.



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Loans and securities backed by real estate
Beginning balance	$	221	$	184	$	154	$	289
Net realized gains/(losses)	3		9		9		17
Net unrealized gains/(losses)	(11)		(15)		(11)		(22)
Purchases	13		7		67		44
Sales	(43)		(8)		(53)		(111)
Settlements	(15)		(12)		(26)		(29)
Transfers into level 3	59		39		63		26
Transfers out of level 3	(56)		(39)		(32)		(49)
Ending balance	$	171	$	165	$	171	$	165

Corporate debt instruments
Beginning balance	$	1,145	$	1,440	$	1,238	$	1,318
Net realized gains/(losses)	14		13		31		44
Net unrealized gains/(losses)	(18)		(43)		(6)		(115)
Purchases	216		313		424		558
Sales	(71)		(126)		(263)		(363)
Settlements	(46)		(51)		(214)		(131)
Transfers into level 3	217		201		212		339
Transfers out of level 3	(141)		(395)		(106)		(298)
Ending balance	$	1,316	$	1,352	$	1,316	$	1,352

Other
Beginning balance	$	298	$	456	$	342	$	282
Net realized gains/(losses)	5		18		89		24
Net unrealized gains/(losses)	(12)		(66)		(5)		(1,359)
Purchases	66		39		106		692
Sales	(53)		(114)		(183)		(161)
Settlements	(30)		(15)		(71)		(46)
Transfers into level 3	33		86		48		912
Transfers out of level 3	(41)		(93)		(60)		(33)
Ending balance	$	266	$	311	$	266	$	311

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 the Three Months Ended September 2023. The net realized and unrealized losses on level 3 trading cash instrument assets of $19 million (reflecting $22 million of net realized gains and $41 million of net unrealized losses) for the three months ended September 2023 included gains/(losses) of $(36) million reported in market making and $17 million reported in interest income.

The drivers of net unrealized losses on level 3 trading cash instrument assets for the three months ended September 2023 were not material.

Transfers into level 3 trading cash instrument assets during the three months ended September 2023 primarily reflected transfers of certain corporate debt instruments 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 trading cash instrument assets during the three months ended September 2023 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).

Level 3 Rollforward Commentary for the Nine Months Ended September 2023. The net realized and unrealized gains on level 3 trading cash instrument assets of $107 million (reflecting $129 million of net realized gains and $22 million of net unrealized losses) for the nine months ended September 2023 included gains of $61 million reported in market making and $46 million reported in interest income.

The drivers of net unrealized losses on level 3 trading cash instrument assets for the nine months ended September 2023 were not material.

Transfers into level 3 trading cash instrument assets during the nine months ended September 2023 primarily reflected transfers of certain corporate debt instruments 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 trading cash instrument assets during the nine months ended September 2023 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).

Level 3 Rollforward Commentary for the Three Months Ended September 2022. The net realized and unrealized losses on level 3 trading cash instrument assets of $84 million (reflecting $40 million of net realized gains and $124 million of net unrealized losses) for the three months ended September 2022 included gains/(losses) of $(106) million reported in market making and $22 million reported in interest income.

The drivers of net unrealized losses on level 3 trading cash instrument assets for the three months ended September 2022 were not material.

Transfers into level 3 trading cash instrument assets during the three months ended September 2022 primarily reflected transfers of certain corporate debt instruments 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 trading cash instrument assets during the three months ended September 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).

Level 3 Rollforward Commentary for the Nine Months Ended September 2022. The net realized and unrealized losses on level 3 trading cash instrument assets of $1.41 billion (reflecting $85 million of net realized gains and $1.50 billion of net unrealized losses) for the nine months ended September 2022 included gains/(losses) of $(1.46) billion reported in market making and $53 million reported in interest income.

The net unrealized losses on level 3 trading cash instrument assets for the nine months ended September 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 the nine months ended September 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 the nine months ended September 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).

Derivatives

Fair Value 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 September 2023
Assets
Interest rates	$	112	$	264,074	$	511	$	264,697
Credit	–		9,900		2,749		12,649
Currencies	–		101,232		299		101,531
Commodities	–		19,310		1,405		20,715
Equities	7		48,259		710		48,976
Gross fair value	119		442,775		5,674		448,568
Counterparty netting in levels	–		(339,090)		(1,017)		(340,107)
Subtotal	$	119	$	103,685	$	4,657	$	108,461
Cross-level counterparty netting							(963)
Cash collateral netting							(58,436)
Net fair value							$	49,062

Liabilities
Interest rates	$	(126)	$	(240,782)	$	(1,118)	$	(242,026)
Credit	–		(9,161)		(1,139)		(10,300)
Currencies	–		(101,326)		(151)		(101,477)
Commodities	–		(19,051)		(815)		(19,866)
Equities	(9)		(63,540)		(2,092)		(65,641)
Gross fair value	(135)		(433,860)		(5,315)		(439,310)
Counterparty netting in levels	–		339,090		1,017		340,107
Subtotal	$	(135)	$	(94,770)	$	(4,298)	$	(99,203)
Cross-level counterparty netting							963
Cash collateral netting							43,423
Net fair value							$	(54,817)

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)

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.

•Assets are shown as positive amounts and 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. 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 September 2023

As of December 2022

$ in millions, except inputs

Amount or Range

Average/ Median

Amount or Range

Average/ Median

Interest rates, net

(607)

(459)

Correlation

(10)% to 81%

61%/78%

(10)% to 81%

61%/60%

Volatility (bps)

31 to 101

56/49

31 to 101

60/57

Credit, net

1,610

1,460

Credit spreads (bps)

8 to 1,966

167/105

5 to 935

149/116

Upfront credit points

(2) to 100

24/11

(1) to 100

29/18

Recovery rates

20% to 70%

42%/40%

20% to 50%

40%/40%

Currencies, net

148

162

Correlation

20% to 71%

40%/23%

20% to 71%

40%/23%

Volatility

16% to 16%

16%/16%

20% to 21%

20%/20%

Commodities, net

590

919

Volatility

29% to 97%

44%/40%

20% to 118%

50%/46%

Natural gas spread

$(1.53) to $8.08

$(0.16)/$(0.24)

$(3.21) to $5.85

$(0.20)/ $(0.27)

Oil spread

$(5.03) to $35.79

$12.59/$12.64

$12.68 to $48.92

$20.42/ $20.36

Electricity price

$3.10 to $330.34

$46.58/$34.95

$3.00 to $329.28

$47.19/ $39.69

Equities, net

(1,382)

(561)

Correlation

(70)% to 100%

64%/73%

(75)% to 100%

66%/75%

Volatility

2% to 123%

15%/12%

2% to 74%

13%/7%

In the table above:

•Assets are shown as positive amounts and 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. 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. 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. The table below presents a summary of the changes in fair value for level 3 derivatives.



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Total level 3 derivatives, net
Beginning balance	$	609	$	3,174	$	1,521	$	440
Net realized gains/(losses)	(75)		(16)		205		456
Net unrealized gains/(losses)	(127)		1,167		(957)		4,413
Purchases	113		156		317		216
Sales	(795)		(232)		(1,117)		(1,004)
Settlements	340		491		111		50
Transfers into level 3	3		105		45		(130)
Transfers out of level 3	291		(702)		234		(298)
Ending balance	$	359	$	4,143	$	359	$	4,143

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.



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Interest rates, net
Beginning balance	$	(589)	$	1,035	$	(459)	$	183
Net realized gains/(losses)	(5)		(27)		9		(98)
Net unrealized gains/(losses)	(109)		411		(338)		1,370
Purchases	10		8		30		55
Sales	(98)		(1)		(225)		(27)
Settlements	88		64		167		111
Transfers into level 3	(14)		(15)		25		(7)
Transfers out of level 3	110		(2)		184		(114)
Ending balance	$	(607)	$	1,473	$	(607)	$	1,473

Credit, net
Beginning balance	$	1,711	$	2,164	$	1,460	$	1,854
Net realized gains/(losses)	2		(11)		(18)		36
Net unrealized gains/(losses)	(24)		24		181		92
Purchases	28		64		114		2
Sales	(28)		(8)		(48)		(40)
Settlements	(64)		(144)		(192)		(105)
Transfers into level 3	–		16		(5)		11
Transfers out of level 3	(15)		(439)		118		(184)
Ending balance	$	1,610	$	1,666	$	1,610	$	1,666

Currencies, net
Beginning balance	$	129	$	(239)	$	162	$	(147)
Net realized gains/(losses)	30		28		84		66
Net unrealized gains/(losses)	16		199		(100)		225
Purchases	1		1		2		2
Sales	(2)		(2)		(4)		(7)
Settlements	(46)		122		(31)		62
Transfers into level 3	7		2		7		(81)
Transfers out of level 3	13		14		28		5
Ending balance	$	148	$	125	$	148	$	125

Commodities, net
Beginning balance	$	666	$	1,435	$	919	$	438
Net realized gains/(losses)	(64)		(53)		(39)		(29)
Net unrealized gains/(losses)	(202)		209		(435)		1,264
Purchases	19		5		12		4
Sales	(16)		(16)		(68)		(23)
Settlements	80		(14)		111		(87)
Transfers into level 3	51		78		131		172
Transfers out of level 3	56		(127)		(41)		(222)
Ending balance	$	590	$	1,517	$	590	$	1,517

Equities, net
Beginning balance	$	(1,308)	$	(1,221)	$	(561)	$	(1,888)
Net realized gains/(losses)	(38)		47		169		481
Net unrealized gains/(losses)	192		324		(265)		1,462
Purchases	55		78		159		153
Sales	(651)		(205)		(772)		(907)
Settlements	282		463		56		69
Transfers into level 3	(41)		24		(113)		(225)
Transfers out of level 3	127		(148)		(55)		217
Ending balance	$	(1,382)	$	(638)	$	(1,382)	$	(638)

Level 3 Rollforward Commentary for the Three Months Ended September 2023. The net realized and unrealized losses on level 3 derivatives of $202 million (reflecting $75 million of net realized losses and $127 million of net unrealized losses) for the three months ended September 2023 included gains/(losses) of $(204) million reported in market making and $2 million reported in other principal transactions.

The net unrealized losses on level 3 derivatives for the three months ended September 2023 were primarily attributable to losses on certain commodity derivatives (primarily reflecting the impact of changes in commodity prices) and losses on certain interest rate derivatives (primarily reflecting the impact of an increase in interest rates), partially offset by gains on certain equity derivatives (primarily reflecting the impact of a decrease in equity prices).

The drivers of transfers into level 3 derivatives during the three months ended September 2023 were not material.

Transfers out of level 3 derivatives during the three months ended September 2023 primarily reflected transfers of certain equity derivative liabilities to level 2 (principally due to certain unobservable inputs no longer being significant to the valuation of these derivatives) and transfers of certain interest rate derivative liabilities to level 2 (principally due to certain unobservable volatility inputs no longer being significant to the valuation of these derivatives).

Level 3 Rollforward Commentary for the Nine Months Ended September 2023. The net realized and unrealized losses on level 3 derivatives of $752 million (reflecting $205 million of net realized gains and $957 million of net unrealized losses) for the nine months ended September 2023 included losses of $742 million reported in market making and $10 million reported in other principal transactions.

The net unrealized losses on level 3 derivatives for the nine months ended September 2023 were attributable to losses on certain commodity derivatives (primarily reflecting the impact of changes in commodity prices), losses on certain interest rate and currency derivatives (in each case, primarily reflecting the impact of an increase in interest rates), and losses on certain equity derivatives (primarily reflecting the impact of an increase in equity prices), partially offset by gains on certain credit derivatives (primarily reflecting the impact of changes in foreign exchange rates).

Transfers into level 3 derivatives during the nine months ended September 2023 primarily reflected transfers of certain commodity derivative assets from level 2 (principally due to certain unobservable volatility inputs becoming significant to the valuation of these derivatives), partially offset by transfers of certain equity derivative liabilities from level 2 (principally due to reduced transparency of certain unobservable volatility inputs used to value these derivatives).

Transfers out of level 3 derivatives during the nine months ended September 2023 primarily reflected transfers of certain interest rate derivative liabilities to level 2 (principally due to certain unobservable volatility inputs no longer being significant to the valuation of these derivatives) and transfers of certain credit derivative liabilities to level 2 (principally due to certain unobservable credit spread inputs no longer being significant to the net risk of certain portfolios).

Level 3 Rollforward Commentary for the Three Months Ended September 2022. The net realized and unrealized gains on level 3 derivatives of $1.15 billion (reflecting $16 million of net realized losses and $1.17 billion of net unrealized gains) for the three months ended September 2022 included gains of $1.14 billion reported in market making and $7 million reported in other principal transactions.

The net unrealized gains on level 3 derivatives for the three months ended September 2022 were primarily attributable to gains on certain interest rate derivatives (primarily reflecting the impact of an increase in interest rates), 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), and gains on certain currency derivatives (primarily reflecting the impact of changes in foreign exchange rates).

The drivers of transfers into level 3 derivatives during the three months ended September 2022 were not material.

Transfers out of level 3 derivatives during the three months ended September 2022 primarily reflected transfers of 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), certain equity derivative assets to level 2 (principally due to increased transparency of certain unobservable volatility inputs used to value these derivatives), and certain commodity derivative assets to level 2 (principally due to certain unobservable natural gas spread and volatility inputs no longer being significant to the valuation of these derivatives).

Level 3 Rollforward Commentary for the Nine Months Ended September 2022. The net realized and unrealized gains on level 3 derivatives of $4.87 billion (reflecting $456 million of net realized gains and $4.41 billion of net unrealized gains) for the nine months ended September 2022 included gains of $4.85 billion reported in market making and $16 million reported in other principal transactions.

The net unrealized gains on level 3 derivatives for the nine months ended September 2022 were primarily attributable to gains on certain equity derivatives (primarily reflecting the impact of a decrease in equity prices), gains on certain interest rate derivatives (primarily reflecting the impact of an increase in interest rates), and gains on certain commodity derivatives (primarily reflecting the impact of an increase in commodity prices).

Transfers into level 3 derivatives during the nine months ended September 2022 primarily reflected transfers of certain equity derivative liabilities from level 2 (principally due to reduced transparency of certain unobservable volatility inputs used to value these derivatives) and certain currency derivative liabilities from level 2 (principally due to certain unobservable correlation inputs becoming significant to the valuation of 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 the nine months ended September 2022 primarily reflected transfers of certain commodity derivative assets to level 2 (principally due to certain unobservable natural gas spread and 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 interest rate derivative assets to level 2 (principally due to increased transparency of certain unobservable volatility inputs used to value these derivatives), partially offset by transfers of certain equity derivative liabilities to level 2 (principally due to increased transparency of certain unobservable volatility inputs used to value these derivatives).

Investments

Fair Value 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 September 2023
Government and agency obligations:
U.S.	$	47,073	$	–	$	–	$	47,073
Non-U.S.	2,178		143		–		2,321
Corporate debt securities	160		2,252		6,950		9,362
Securities backed by real estate	–		13		772		785
Money market instruments	24		872		–		896
Other debt obligations	–		53		249		302
Equity securities	828		2,345		9,358		12,531
Subtotal	$	50,263	$	5,678	$	17,329	$	73,270
Investments in funds at NAV							3,037
Total investments							$	76,307
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

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. 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 September 2023				As of December 2022
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Corporate debt securities
Level 3 assets	$	6,950			$	7,003
Yield	6.4% to 22.0%		12.5	%	5.0% to 21.8%		11.6	%
Recovery rate	7.3% to 58.9%		28.1	%	10.0% to 70.0%		55.5	%
Duration (years)	0.7 to 5.0		3.2		1.3 to 5.7		3.3
Multiples	0.9x to 46.2x		7.1x		1.8x to 83.4x		8.3x
Securities backed by real estate
Level 3 assets	$	772			$	827
Yield	8.0% to 18.4%		13.3	%	8.0% to 20.3%		14.6	%
Duration (years)	2.0 to 3.1		3.1		0.6 to 4.2		4.1
Other debt obligations
Level 3 assets	$	249			$	256
Yield	7.9% to 9.2%		8.4	%	5.2% to 8.4%		7.4	%
Equity securities
Level 3 assets	$	9,358			$	8,856
Multiples	0.5x to 36.0x		8.6x		0.5x to 34.3x		8.3x
Discount rate/yield	3.9% to 25.2%		12.6	%	5.4% to 38.5%		14.6	%
Capitalization rate	4.5% to 10.8%		5.5	%	4.0% to 10.8%		5.4	%

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 September 2023 and December 2022. 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.

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



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Beginning balance	$	18,128	$	16,109	$	16,942	$	13,902
Net realized gains/(losses)	113		103		344		428
Net unrealized gains/(losses)	(346)		(407)		(904)		(1,828)
Purchases	213		445		755		1,385
Sales	(111)		(236)		(621)		(741)
Settlements	(456)		(272)		(1,127)		(1,461)
Transfers into level 3	942		1,687		3,257		6,425
Transfers out of level 3	(1,154)		(475)		(1,317)		(1,156)
Ending balance	$	17,329	$	16,954	$	17,329	$	16,954

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.



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Corporate debt securities
Beginning balance	$	7,520	$	6,576	$	7,003	$	4,527
Net realized gains/(losses)	88		69		301		224
Net unrealized gains/(losses)	(66)		(111)		(54)		(297)
Purchases	58		137		373		624
Sales	(53)		(78)		(185)		(151)
Settlements	(274)		(143)		(735)		(810)
Transfers into level 3	415		659		1,049		2,944
Transfers out of level 3	(738)		(371)		(802)		(323)
Ending balance	$	6,950	$	6,738	$	6,950	$	6,738

Securities backed by real estate
Beginning balance	$	878	$	1,067	$	827	$	1,078
Net realized gains/(losses)	1		7		10		21
Net unrealized gains/(losses)	(95)		(88)		(191)		(287)
Purchases	7		17		56		76
Sales	–		(47)		(58)		(96)
Settlements	(19)		(23)		(38)		(140)
Transfers into level 3	–		1		171		269
Transfers out of level 3	–		(22)		(5)		(9)
Ending balance	$	772	$	912	$	772	$	912

Other debt obligations
Beginning balance	$	246	$	303	$	256	$	382
Net realized gains/(losses)	1		3		3		9
Net unrealized gains/(losses)	3		(3)		2		(8)
Purchases	6		4		1		28

Settlements	(7)		(23)		(13)		(127)

Ending balance	$	249	$	284	$	249	$	284

Equity securities
Beginning balance	$	9,484	$	8,163	$	8,856	$	7,915
Net realized gains/(losses)	23		24		30		174
Net unrealized gains/(losses)	(188)		(205)		(661)		(1,236)
Purchases	142		287		325		657
Sales	(58)		(111)		(378)		(494)
Settlements	(156)		(83)		(341)		(384)
Transfers into level 3	527		1,027		2,037		3,212
Transfers out of level 3	(416)		(82)		(510)		(824)
Ending balance	$	9,358	$	9,020	$	9,358	$	9,020

Level 3 Rollforward Commentary for the Three Months Ended September 2023. The net realized and unrealized losses on level 3 investments of $233 million (reflecting $113 million of net realized gains and $346 million of net unrealized losses) for the three months ended September 2023 included gains/(losses) of $(385) million reported in other principal transactions and $152 million reported in interest income.

The net unrealized losses on level 3 investments for the three months ended September 2023 primarily reflected losses on certain equity securities and securities backed by real estate (in each case, principally driven by commercial real estate investments).

Transfers into level 3 investments during the three months ended September 2023 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).

Transfers out of level 3 investments during the three months ended September 2023 primarily reflected transfers of certain corporate debt securities and equity 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).

Level 3 Rollforward Commentary for the Nine Months Ended September 2023. The net realized and unrealized losses on level 3 investments of $560 million (reflecting $344 million of net realized gains and $904 million of net unrealized losses) for the nine months ended September 2023 included gains/(losses) of $(1.03) billion reported in other principal transactions and $470 million reported in interest income.

The net unrealized losses on level 3 investments for the nine months ended September 2023 primarily reflected losses on certain equity securities and securities backed by real estate (in each case, principally driven by commercial real estate investments).

Transfers into level 3 investments during the nine months ended September 2023 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 certain unobservable yield inputs becoming significant to the valuation of these instruments).

Transfers out of level 3 investments during the nine months ended September 2023 primarily reflected transfers of certain corporate debt securities to level 2 (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 becoming less significant to the valuation of these instruments) and transfers of certain equity securities to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments).

Level 3 Rollforward Commentary for the Three Months Ended September 2022. The net realized and unrealized losses on level 3 investments of $304 million (reflecting $103 million of net realized gains and $407 million of net unrealized losses) for the three months ended September 2022 included gains/(losses) of $(427) million reported in other principal transactions and $123 million reported in interest income.

The net unrealized losses on level 3 investments for the three months ended September 2022 primarily reflected losses on certain equity securities and corporate debt securities (in each case, principally driven by broad macroeconomic concerns).

Transfers into level 3 investments during the three months ended September 2022 primarily reflected transfers of certain 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) and 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).

Transfers out of level 3 investments during the three months ended September 2022 primarily reflected 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).

Level 3 Rollforward Commentary for the Nine Months Ended September 2022. The net realized and unrealized losses on level 3 investments of $1.40 billion (reflecting $428 million of net realized gains and $1.83 billion of net unrealized losses) for the nine months ended September 2022 included gains/(losses) of $(1.71) billion reported in other principal transactions and $314 million reported in interest income.

The net unrealized losses on level 3 investments for the nine months ended September 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 the nine months ended September 2022 primarily reflected transfers of certain 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), and transfers of certain corporate debt securities 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 investments during the nine months ended September 2022 primarily reflected transfers of certain 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 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).

Loans

Fair Value 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 September 2023
Loan Type
Corporate	$	–	$	440	$	431	$	871
Real estate:
Commercial	–		281		270		551
Residential	–		3,977		51		4,028
Other collateralized	–		708		142		850
Other	–		70		78		148
Total	$	–	$	5,476	$	972	$	6,448
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

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 $(170) million for the three months ended September 2023, $(168) million for the three months ended September 2022, $(207) million for the nine months ended September 2023 and $(363) million for the nine months ended September 2022. These gains/(losses) were included in other principal transactions.

Significant Unobservable Inputs. 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 September 2023				As of December 2022
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Corporate
Level 3 assets	$	431			$	637
Yield	8.8% to 12.8%		9.3	%	4.1% to 26.9%		9.6	%
Recovery rate	2.0% to 95.0%		60.0	%	23.1% to 95.0%		66.0	%
Duration (years)	0.9 to 4.3		2.3		1.6 to 3.3		2.6
Real estate
Level 3 assets	$	321			$	785
Yield	5.0% to 20.5%		17.6	%	3.0% to 27.0%		16.1	%
Recovery rate	4.2% to 99.2%		50.1	%	3.6% to 66.2%		54.4	%
Duration (years)	0.2 to 6.2		1.8		0.6 to 6.7		2.5
Other collateralized
Level 3 assets	$	142			$	140
Yield	6.6% to 20.9%		9.8	%	5.8% to 12.7%		7.7	%
Duration (years)	1.8 to 2.2		1.9		2.5 to 2.9		2.7
Other
Level 3 assets	$	78			$	275
Yield	9.4% to 15.4%		11.8	%	9.4% to 10.0%		9.9	%
Duration (years)	2.8 to 5.3		3.8		N/A		N/A

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 September 2023 and December 2022. 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. The table below presents a summary of the changes in fair value for level 3 loans.



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Beginning balance	$	1,251	$	2,347	$	1,837	$	2,354
Net realized gains/(losses)	11		17		39		89
Net unrealized gains/(losses)	(174)		(89)		(254)		(217)
Purchases	6		7		86		212
Sales	(5)		(18)		(462)		(61)
Settlements	(95)		(156)		(254)		(429)
Transfers into level 3	–		141		–		272
Transfers out of level 3	(22)		(191)		(20)		(162)
Ending balance	$	972	$	2,058	$	972	$	2,058

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.



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Corporate
Beginning balance	$	543	$	738	$	637	$	672
Net realized gains/(losses)	7		8		20		21
Net unrealized gains/(losses)	(76)		(10)		(134)		(30)
Purchases	5		7		47		119
Sales	–		(18)		(47)		(53)
Settlements	(26)		(77)		(72)		(116)
Transfers into level 3	–		39		–		65
Transfers out of level 3	(22)		(19)		(20)		(10)
Ending balance	$	431	$	668	$	431	$	668

Real estate
Beginning balance	$	490	$	1,007	$	785	$	1,188
Net realized gains/(losses)	2		7		9		47
Net unrealized gains/(losses)	(100)		(79)		(123)		(167)
Purchases	1		–		2		73
Sales	(5)		–		(196)		(8)
Settlements	(67)		(70)		(156)		(249)
Transfers into level 3	–		100		–		128
Transfers out of level 3	–		(25)		–		(72)
Ending balance	$	321	$	940	$	321	$	940

Other collateralized
Beginning balance	$	140	$	285	$	140	$	229
Net realized gains/(losses)	1		1		3		2
Net unrealized gains/(losses)	1		–		–		(1)
Purchases	–		–		2		2

Settlements	–		(1)		(3)		(26)
Transfers into level 3	–		2		–		13
Transfers out of level 3	–		(147)		–		(79)
Ending balance	$	142	$	140	$	142	$	140

Other
Beginning balance	$	78	$	317	$	275	$	265
Net realized gains/(losses)	1		1		7		19
Net unrealized gains/(losses)	1		–		3		(19)
Purchases	–		–		35		18
Sales	–		–		(219)		–
Settlements	(2)		(8)		(23)		(38)
Transfers into level 3	–		–		–		66
Transfers out of level 3	–		–		–		(1)
Ending balance	$	78	$	310	$	78	$	310

Level 3 Rollforward Commentary for the Three Months Ended September 2023. The net realized and unrealized losses on level 3 loans of $163 million (reflecting $11 million of net realized gains and $174 million of net unrealized losses) for the three months ended September 2023 included gains/(losses) of $(172) million reported in other principal transactions and $9 million reported in interest income.

The net unrealized losses on level 3 loans for the three months ended September 2023 primarily reflected losses on certain loans backed by real estate (principally driven by commercial real estate loans) and corporate loans (principally driven by company-specific events).

There were no transfers into level 3 loans during the three months ended September 2023.

The drivers of transfers out of level 3 loans during the three months ended September 2023 were not material.

Level 3 Rollforward Commentary for the Nine Months Ended September 2023. The net realized and unrealized losses on level 3 loans of $215 million (reflecting $39 million of net realized gains and $254 million of net unrealized losses) for the nine months ended September 2023 included gains/(losses) of $(237) million reported in other principal transactions and $22 million reported in interest income.

The net unrealized losses on level 3 loans for the nine months ended September 2023 primarily reflected losses on certain corporate loans (principally driven by company-specific events) and loans backed by real estate (principally driven by commercial real estate loans).

There were no transfers into level 3 loans during the nine months ended September 2023.

The drivers of transfers out of level 3 loans during the nine months ended September 2023 were not material.

Level 3 Rollforward Commentary for the Three Months Ended September 2022. The net realized and unrealized losses on level 3 loans of $72 million (reflecting $17 million of net realized gains and $89 million of net unrealized losses) for the three months ended September 2022 included gains/(losses) of $(83) million reported in other principal transactions and $11 million reported in interest income.

The drivers of net unrealized losses on level 3 loans for the three months ended September 2022 were not material.

Transfers into level 3 loans during the three months ended September 2022 primarily reflected transfers of certain loans backed by real estate 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 the three months ended September 2022 primarily reflected transfers of certain other collateralized loans to level 2 (principally due to certain unobservable yield inputs no longer being significant to the valuation of these instruments).

Level 3 Rollforward Commentary for the Nine Months Ended September 2022. The net realized and unrealized losses on level 3 loans of $128 million (reflecting $89 million of net realized gains and $217 million of net unrealized losses) for the nine months ended September 2022 included gains/(losses) of $(148) million reported in other principal transactions and $20 million reported in interest income.

The net unrealized losses on level 3 loans for the nine months ended September 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 the nine months ended September 2022 primarily reflected transfers of certain loans backed by real estate 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).

The drivers of transfers out of level 3 loans during the nine months ended September 2022 were not material.

Other Financial Assets and Liabilities

Fair Value 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 2023
Assets
Resale agreements	$	–	$	190,446	$	–	$	190,446
Securities borrowed	–		36,792		–		36,792
Customer and other receivables	–		23		–		23
Other assets	–		173		151		324
Total	$	–	$	227,434	$	151	$	227,585

Liabilities
Deposits	$	–	$	(25,831)	$	(2,726)	$	(28,557)
Repurchase agreements	–		(225,679)		–		(225,679)
Securities loaned	–		(8,178)		–		(8,178)
Other secured financings	–		(11,380)		(2,734)		(14,114)
Unsecured borrowings:
Short-term	–		(38,056)		(4,295)		(42,351)
Long-term	–		(60,580)		(13,336)		(73,916)
Other liabilities	–		(395)		(219)		(614)
Total	$	–	$	(370,099)	$	(23,310)	$	(393,409)

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)

In the table above, assets are shown as positive amounts and 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. See below for information about the significant unobservable inputs used to value level 3 other financial liabilities at fair value as of both September 2023 and December 2022.

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 September 2023:

•Yield: 6.8% to 13.3% (weighted average: 9.0%)

•Duration: 0.4 to 5.8 years (weighted average: 1.4 years)

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)

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



	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Assets
Beginning balance	$	126	$	–	$	74	$	–
Net unrealized gains/(losses)	25		–		77		–

Ending balance	$	151	$	–	$	151	$	–

Liabilities
Beginning balance	$	(21,897)	$	(19,114)	$	(18,826)	$	(23,567)
Net realized gains/(losses)	(88)		(90)		(223)		(222)
Net unrealized gains/(losses)	1,210		1,538		425		5,977
Issuances	(3,036)		(3,296)		(6,212)		(9,486)
Settlements	3,154		2,691		6,380		8,548
Transfers into level 3	(3,656)		(1,494)		(6,030)		(2,562)
Transfers out of level 3	1,003		900		1,176		2,447
Ending balance	$	(23,310)	$	(18,865)	$	(23,310)	$	(18,865)

In the table above:

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

•Net unrealized gains/(losses) relates to other financial assets and 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 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 assets and 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	2023		2022		2023		2022
Deposits
Beginning balance	$	(2,889)	$	(2,789)	$	(2,743)	$	(3,613)
Net realized gains/(losses)	–		–		–		(7)
Net unrealized gains/(losses)	73		135		19		466
Issuances	(157)		(261)		(376)		(735)
Settlements	232		259		594		1,041
Transfers into level 3	(3)		(89)		(254)		(20)
Transfers out of level 3	18		16		34		139
Ending balance	$	(2,726)	$	(2,729)	$	(2,726)	$	(2,729)

Other secured financings
Beginning balance	$	(2,817)	$	(1,412)	$	(1,842)	$	(2,566)
Net realized gains/(losses)	(3)		(13)		(3)		(18)
Net unrealized gains/(losses)	41		86		13		177
Issuances	(158)		(406)		(676)		(545)
Settlements	488		22		875		527
Transfers into level 3	(325)		(147)		(1,626)		(110)
Transfers out of level 3	40		–		525		665
Ending balance	$	(2,734)	$	(1,870)	$	(2,734)	$	(1,870)

Unsecured short-term borrowings
Beginning balance	$	(4,822)	$	(5,209)	$	(4,090)	$	(7,829)
Net realized gains/(losses)	(23)		(54)		(72)		(126)
Net unrealized gains/(losses)	148		286		(178)		1,241
Issuances	(1,552)		(1,165)		(2,968)		(3,582)
Settlements	1,853		1,747		3,013		5,443
Transfers into level 3	(204)		(528)		(174)		(470)
Transfers out of level 3	305		411		174		811
Ending balance	$	(4,295)	$	(4,512)	$	(4,295)	$	(4,512)

Unsecured long-term borrowings
Beginning balance	$	(11,296)	$	(9,626)	$	(10,066)	$	(9,413)
Net realized gains/(losses)	(62)		(23)		(148)		(71)
Net unrealized gains/(losses)	945		1,034		556		4,028
Issuances	(1,020)		(1,464)		(2,043)		(4,624)
Settlements	581		663		1,898		1,537
Transfers into level 3	(3,124)		(730)		(3,976)		(1,962)
Transfers out of level 3	640		473		443		832
Ending balance	$	(13,336)	$	(9,673)	$	(13,336)	$	(9,673)

Other liabilities
Beginning balance	$	(73)	$	(78)	$	(85)	$	(146)
Net unrealized gains/(losses)	3		(3)		15		65
Issuances	(149)		–		(149)		–

Ending balance	$	(219)	$	(81)	$	(219)	$	(81)

Level 3 Rollforward Commentary for the Three Months Ended September 2023. The net realized and unrealized gains on level 3 other financial liabilities of $1.12 billion (reflecting $88 million of net realized losses and $1.21 billion of net unrealized gains) for the three months ended September 2023 included gains/(losses) of $1.15 billion reported in market making, $16 million reported in other principal transactions and $(4) million reported in interest expense in the consolidated statements of earnings, and $(44) million reported in debt valuation adjustment in the consolidated statements of comprehensive income.

The net unrealized gains on level 3 other financial liabilities for the three months ended September 2023 primarily reflected gains on certain hybrid financial instruments included in unsecured long-term borrowings (principally due to an increase in interest rates and a decrease in equity prices).

Transfers into level 3 other financial liabilities during the three months ended September 2023 primarily reflected transfers of certain hybrid financial instruments included in unsecured long-term borrowings from level 2 (principally due to reduced price transparency of certain credit spread inputs used to value these instruments).

Transfers out of level 3 other financial liabilities during the three months ended September 2023 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 inputs used to value these instruments).

Level 3 Rollforward Commentary for the Nine Months Ended September 2023. The net realized and unrealized gains on level 3 other financial liabilities of $202 million (reflecting $223 million of net realized losses and $425 million of net unrealized gains) for the nine months ended September 2023 included gains/(losses) of $415 million reported in market making, $4 million reported in other principal transactions and $(12) million reported in interest expense in the consolidated statements of earnings, and $(205) million reported in debt valuation adjustment in the consolidated statements of comprehensive income.

The net unrealized gains on level 3 other financial liabilities for the nine months ended September 2023 primarily reflected gains on certain hybrid financial instruments included in unsecured long-term borrowings (principally due to an increase in interest rates), partially offset by losses on certain hybrid financial instruments included in unsecured short-term borrowings (principally due to an increase in equity prices).

Transfers into level 3 other financial liabilities during the nine months ended September 2023 primarily reflected transfers of certain hybrid financial instruments included in unsecured long-term borrowings from level 2 (principally due to reduced price transparency of certain credit spread and volatility inputs used to value these instruments) and transfers of 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 the nine months ended September 2023 primarily reflected transfers of certain hybrid financial instruments included in other secured financings to level 2 (principally due to increased price transparency of certain yield and duration inputs used to value these instruments) and transfers of certain unsecured long- and short-term borrowings to level 2 (principally due to increased price transparency of certain volatility inputs used to value these instruments).

Level 3 Rollforward Commentary for the Three Months Ended September 2022. The net realized and unrealized gains on level 3 other financial liabilities of $1.45 billion (reflecting $90 million of net realized losses and $1.54 billion of net unrealized gains) for the three months ended September 2022 included gains/(losses) of $1.13 billion reported in market making, $69 million reported in other principal transactions and $(7) million reported in interest expense in the consolidated statements of earnings, and $262 million reported in debt valuation adjustment in the consolidated statements of comprehensive income.

The net unrealized gains on level 3 other financial liabilities for the three months ended September 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 the three months ended September 2022 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 transfers of 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 the three months ended September 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).

Level 3 Rollforward Commentary for the Nine Months Ended September 2022. The net realized and unrealized gains on level 3 other financial liabilities of $5.76 billion (reflecting $222 million of net realized losses and $5.98 billion of net unrealized gains) for the nine months ended September 2022 included gains/(losses) of $4.69 billion reported in market making, $155 million reported in other principal transactions and $(14) million reported in interest expense in the consolidated statements of earnings, and $924 million reported in debt valuation adjustment in the consolidated statements of comprehensive income.