Fair Value Option (Tables)

3 Months Ended

Mar. 31, 2017

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 March 2017
Assets
Securities purchased under agreements to resell	$ —	$ 116,546		$ —		$ 116,546

Securities borrowed	—	79,893		—		79,893

Receivables from customers and counterparties	—	3,630		14		3,644
Total	$ —	$ 200,069		$ 14		$ 200,083
Liabilities
Deposits	$ —	$ (16,132	)	$ (3,348	)	$ (19,480	)

Securities sold under agreements to repurchase	—	(88,469	)	(64	)	(88,533	)

Securities loaned	—	(4,403	)	—		(4,403	)

Other secured financings	—	(21,392	)	(568	)	(21,960	)

Unsecured borrowings:
Short-term	—	(9,656	)	(4,244	)	(13,900	)

Long-term	—	(24,197	)	(7,878	)	(32,075	)

Other liabilities and accrued expenses	—	(743	)	(63	)	(806	)
Total	$ —	$(164,992	)	$(16,165	)	$(181,157	)
As of December 2016
Assets
Securities purchased under agreements to resell	$ —	$ 116,077		$ —		$ 116,077

Securities borrowed	—	82,398		—		82,398

Receivables from customers and counterparties	—	3,211		55		3,266
Total	$ —	$ 201,686		$ 55		$ 201,741
Liabilities
Deposits	$ —	$ (10,609	)	$ (3,173	)	$ (13,782	)

Securities sold under agreements to repurchase	—	(71,750	)	(66	)	(71,816	)

Securities loaned	—	(2,647	)	—		(2,647	)

Other secured financings	—	(20,516	)	(557	)	(21,073	)

Unsecured borrowings:
Short-term	—	(10,896	)	(3,896	)	(14,792	)

Long-term	—	(22,185	)	(7,225	)	(29,410	)

Other liabilities and accrued expenses	—	(559	)	(62	)	(621	)
Total	$ —	$(139,162	)	$(14,979	)	$(154,141	)

Level 3 Rollforward

Level 3 Rollforward

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


	Three Months Ended March
$ in millions		2017		2016
Total other financial assets
Beginning balance		$ 55		$ 45

Net realized gains/(losses)		(3	)	—

Net unrealized gains/(losses)		—		(1	)

Settlements		(38	)	(1	)
Ending balance		$ 14		$ 43
Total other financial liabilities
Beginning balance		$(14,979	)	$(11,244	)

Net realized gains/(losses)		(104	)	(16	)

Net unrealized gains/(losses)		(344	)	(86	)

Purchases		(2	)	(2	)

Issuances		(2,916	)	(3,573	)

Settlements		2,406		1,504

Transfers into level 3		(327	)	(673	)

Transfers out of level 3		101		440
Ending balance		$(16,165	)	$(13,650	)

The table below disaggregates, by the condensed consolidated statements of financial condition line items, the information for other financial liabilities included in the summary table above.


	Three Months Ended March
$ in millions		2017		2016
Deposits
Beginning balance		$(3,173	)	$(2,215	)

Net realized gains/(losses)		(1	)	(2	)

Net unrealized gains/(losses)		(28	)	(103	)

Issuances		(172	)	(273	)

Settlements		26		8
Ending balance		$(3,348	)	$(2,585	)
Securities sold under agreements to repurchase
Beginning balance		$ (66	)	$ (71	)

Net unrealized gains/(losses)		—		(2	)

Settlements		2		—
Ending balance		$ (64	)	$ (73	)
Other secured financings
Beginning balance		$ (557	)	$ (549	)

Net realized gains/(losses)		4		6

Net unrealized gains/(losses)		(17	)	(34	)

Purchases		(2	)	—

Issuances		(2	)	(225	)

Settlements		92		7

Transfers into level 3		(87	)	(45	)

Transfers out of level 3		1		11
Ending balance		$ (568	)	$ (829	)
Unsecured short-term borrowings
Beginning balance		$(3,896	)	$(4,133	)

Net realized gains/(losses)		(86	)	(16	)

Net unrealized gains/(losses)		(139	)	17

Issuances		(1,803	)	(1,159	)

Settlements		1,683		1,450

Transfers into level 3		(58	)	(492	)

Transfers out of level 3		55		166
Ending balance		$(4,244	)	$(4,167	)
Unsecured long-term borrowings
Beginning balance		$(7,225	)	$(4,224	)

Net realized gains/(losses)		(25	)	(6	)

Net unrealized gains/(losses)		(158	)	36

Purchases		—		(2	)

Issuances		(936	)	(1,893	)

Settlements		603		39

Transfers into level 3		(182	)	(136	)

Transfers out of level 3		45		263
Ending balance		$(7,878	)	$(5,923	)
Other liabilities and accrued expenses
Beginning balance		$ (62	)	$ (52	)

Net realized gains/(losses)		4		2

Net unrealized gains/(losses)		(2	)	—

Issuances		(3	)	(23	)
Ending balance		$ (63	)	$ (73	)

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.


	Three Months Ended March
$ in millions		2017		2016
Unsecured short-term borrowings		$(861	)	$ 198

Unsecured long-term borrowings		(189	)	(422	)

Other liabilities and accrued expenses		187		(28	)

Other		(104	)	(462	)
Total		$(967	)	$(714	)

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.


	As of
$ in millions		March 2017	December 2016
Performing loans and long-term receivables
Aggregate contractual principal in excess of fair value		$ 762	$ 478

Loans on nonaccrual status and/or more than 90 days past due
Aggregate contractual principal in excess of fair value		$5,239	$8,101

Aggregate fair value of loans on nonaccrual status and/or more than 90 days past due		$2,131	$2,138

- 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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