Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2016

Financial Assets and Financial Liabilities by Level

The table below presents, by level within the fair value hierarchy, other financial assets and financial liabilities accounted for at fair value primarily under the fair value option.


$ in millions	Level 1	Level 2		Level 3		Total
As of September 2016
Assets
Securities segregated for regulatory and other purposes	$19,186	$ 16,872		$ —		$ 36,058

Securities purchased under agreements to resell	—	93,352		—		93,352

Securities borrowed	—	78,788		—		78,788

Receivables from customers and counterparties	—	3,242		55		3,297
Total	$19,186	$ 192,254		$ 55		$ 211,495
Liabilities
Deposits	$ —	$ (10,878	)	$ (3,218	)	$ (14,096	)

Securities sold under agreements to repurchase	—	(73,830	)	(75	)	(73,905	)

Securities loaned	—	(1,969	)	—		(1,969	)

Other secured financings	—	(21,390	)	(616	)	(22,006	)

Unsecured borrowings:
Short-term	—	(13,069	)	(3,672	)	(16,741	)

Long-term	—	(22,828	)	(7,438	)	(30,266	)

Other liabilities and accrued expenses	—	(556	)	(109	)	(665	)
Total	$ —	$(144,520	)	$(15,128	)	$(159,648	)
As of December 2015
Assets
Securities segregated for regulatory and other purposes	$19,562	$ 18,942		$ —		$ 38,504

Securities purchased under agreements to resell	—	119,450		—		119,450

Securities borrowed	—	69,801		—		69,801

Receivables from customers and counterparties	—	4,947		45		4,992
Total	$19,562	$ 213,140		$ 45		$ 232,747
Liabilities
Deposits	$ —	$ (12,465	)	$ (2,215	)	$ (14,680	)

Securities sold under agreements to repurchase	—	(85,998	)	(71	)	(86,069	)

Securities loaned	—	(466	)	—		(466	)

Other secured financings	—	(22,658	)	(549	)	(23,207	)

Unsecured borrowings:
Short-term	—	(13,610	)	(4,133	)	(17,743	)

Long-term	—	(18,049	)	(4,224	)	(22,273	)

Other liabilities and accrued expenses	—	(1,201	)	(52	)	(1,253	)
Total	$ —	$(154,447	)	$(11,244	)	$(165,691	)

Level 3 Rollforward

The table below presents changes in fair value for other financial assets and financial liabilities accounted for at fair value categorized as level 3 as of the end of the period. In the table below:


	Level 3 Other Financial Assets and Liabilities at Fair Value
$ in millions		Balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/ (losses)		Purchases		Sales		Issuances		Settlements		Transfers into level 3		Transfers out of level 3	Balance, end of period
Three Months Ended September 2016
Receivables from customers and counterparties		$ 48		$ 1		$ 1		$ 6		$—		$ —		$ (1	)	$ —		$ —	$ 55
Total other financial assets		$ 48		$ 1		$ 1		$ 6		$—		$ —		$ (1	)	$ —		$ —	$ 55
Deposits		$ (2,936	)	$ (7	)	$ —		$ —		$—		$ (284	)	$ 9		$ —		$ —	$ (3,218	)

Securities sold under agreements to repurchase		(76	)	—		—		—		—		—		1		—		—	(75	)

Other secured financings		(688	)	(1	)	(9	)	(3	)	—		(1	)	191		(106	)	1	(616	)

Unsecured short-term borrowings		(4,654	)	—		(218	)	—		—		(692	)	1,208		(76	)	760	(3,672	)

Unsecured long-term borrowings		(6,626	)	(19	)	(88	)	—		—		(1,160	)	378		(48	)	125	(7,438	)

Other liabilities and accrued expenses		(109	)	4		9		—		—		(13	)	—		—		—	(109	)
Total other financial liabilities		$(15,089	)	$(23	)	$(306	)	$ (3	)	$—		$(2,150	)	$1,787		$ (230	)	$ 886	$(15,128	)
Nine Months Ended September 2016
Receivables from customers and counterparties		$ 45		$ 2		$ 1		$ 10		$—		$ —		$ (3	)	$ —		$ —	$ 55
Total other financial assets		$ 45		$ 2		$ 1		$ 10		$—		$ —		$ (3	)	$ —		$ —	$ 55
Deposits		$ (2,215	)	$(20	)	$(208	)	$ —		$—		$ (797	)	$ 22		$ —		$ —	$ (3,218	)

Securities sold under agreements to repurchase		(71	)	—		(6	)	—		—		—		2		—		—	(75	)

Other secured financings		(549	)	(4	)	(33	)	(8	)	6		(141	)	228		(116	)	1	(616	)

Unsecured short-term borrowings		(4,133	)	(33	)	(98	)	—		—		(3,327	)	3,522		(427	)	824	(3,672	)

Unsecured long-term borrowings		(4,224	)	(27	)	21		(2	)	—		(4,676	)	1,417		(260	)	313	(7,438	)

Other liabilities and accrued expenses		(52	)	8		(11	)	—		—		(55	)	1		—		—	(109	)
Total other financial liabilities		$(11,244	)	$(76	)	$(335	)	$(10	)	$ 6		$(8,996	)	$5,192		$ (803	)	$1,138	$(15,128	)
Three Months Ended September 2015
Receivables from customers and counterparties		$ 42		$ —		$ —		$ 2		$ (3	)	$ —		$ 1		$ —		$ —	$ 42
Total other financial assets		$ 42		$ —		$ —		$ 2		$ (3	)	$ —		$ 1		$ —		$ —	$ 42
Deposits		$ (1,680	)	$ (3	)	$ 11		$ —		$—		$ (295	)	$ 8		$ —		$ —	$ (1,959	)

Securities sold under agreements to repurchase		(82	)	—		—		—		—		—		16		—		—	(66	)

Other secured financings		(1,479	)	(4	)	64		(10	)	—		(125	)	84		(312	)	1	(1,781	)

Unsecured short-term borrowings		(4,490	)	66		548		—		—		(1,023	)	552		(154	)	62	(4,439	)

Unsecured long-term borrowings		(3,462	)	(2	)	155		—		—		(586	)	98		(227	)	62	(3,962	)

Other liabilities and accrued expenses		(1,145	)	1		(8	)	—		—		(1	)	1		(23	)	1,125	(50	)
Total other financial liabilities		$(12,338	)	$ 58		$ 770		$(10	)	$—		$(2,030	)	$ 759		$ (716	)	$1,250	$(12,257	)
Nine Months Ended September 2015
Receivables from customers and counterparties		$ 56		$ 1		$ (4	)	$ 6		$ (3	)	$ —		$ (21	)	$ 7		$ —	$ 42
Total other financial assets		$ 56		$ 1		$ (4	)	$ 6		$ (3	)	$ —		$ (21	)	$ 7		$ —	$ 42
Deposits		$ (1,065	)	$ (6	)	$ 64		$ —		$—		$ (997	)	$ 45		$ —		$ —	$ (1,959	)

Securities sold under agreements to repurchase		(124	)	—		(1	)	—		—		—		59		—		—	(66	)

Other secured financings		(1,091	)	(20	)	84		(10	)	32		(630	)	290		(481	)	45	(1,781	)

Unsecured short-term borrowings		(3,712	)	62		356		—		—		(2,735	)	1,882		(669	)	377	(4,439	)

Unsecured long-term borrowings		(2,585	)	(4	)	292		—		—		(2,364	)	726		(421	)	394	(3,962	)

Other liabilities and accrued expenses		(715	)	4		(8	)	—		—		(1	)	7		(23	)	686	(50	)
Total other financial liabilities		$ (9,292	)	$ 36		$ 787		$(10	)	$32		$(6,727	)	$3,009		$(1,594	)	$1,502	$(12,257	)

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

The table below presents the gains and losses recognized in earnings as a result of the firm electing to apply the fair value option to certain financial assets and financial liabilities. These gains and losses are included in “Market making” and “Other principal transactions.” The table below also includes gains and losses on the embedded derivative component of hybrid financial instruments included in unsecured short-term borrowings, unsecured long-term borrowings and deposits. These gains and losses would have been recognized under other U.S. GAAP even if the firm had not elected to account for the entire hybrid financial instrument at fair value.


	Three Months Ended September					Nine Months Ended September
$ in millions		2016		2015			2016		2015
Unsecured short-term borrowings		$(832	)	$1,845			$ (773	)	$ 947

Unsecured long-term borrowings		(19	)	273			(608	)	746

Other liabilities and accrued expenses		1		(237	)		(86	)	(676	)

Other		(85	)	34			(629	)	(28	)
Total		$(935	)	$1,915			$(2,096	)	$ 989

Loans and Lending Commitments

The table below presents the difference between the aggregate fair value and the aggregate contractual principal amount for loans and long-term receivables for which the fair value option was elected. In the table below, the aggregate contractual principal amount of loans on non-accrual status and/or more than 90 days past due (which excludes loans carried at zero fair value and considered uncollectible) exceeds the related fair value primarily because the firm regularly purchases loans, such as distressed loans, at values significantly below the contractual principal amounts.


	As of
$ in millions		September 2016	December 2015
Performing loans and long-term receivables
Aggregate contractual principal in excess of fair value		$ 869	$1,330

Loans on non-accrual status and/or more than 90 days past due
Aggregate contractual principal in excess of fair value		9,132	9,600

Aggregate fair value of loans on non-accrual status and/or more than 90 days past due		2,454	2,391

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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