Valuation Techniques for Assets and Liabilities Measured at Fair Value on a Recurring Basis

U.S. Treasury and Agency Securities

U.S. Treasury Securities

Valuation Technique:

•Fair value is determined using quoted market prices.

Valuation Hierarchy Classification:

•Level 1—as inputs are observable and in an active market

U.S. Agency Securities

Valuation Techniques:

•Non-callable agency-issued debt securities are generally valued using quoted market prices, and callable agency-issued debt securities are valued by benchmarking model-derived prices to quoted market prices and trade data for comparable instruments.

•The fair value of agency mortgage pass-through pool securities is model-driven based on spreads of comparable to-be-announced securities.

•CMOs are generally valued using quoted market prices and trade data adjusted by subsequent changes in related indices for comparable instruments.

Valuation Hierarchy Classification:

•Level 1—on-the-run agency issued debt securities if actively traded and inputs are observable

•Level 2—all other agency issued debt securities, agency mortgage pass-through pool securities and CMOs if actively traded and inputs are observable

•Level 3—in instances where the trading activity is limited or inputs are unobservable

Other Sovereign Government Obligations

Valuation Techniques:

•Fair value is determined using quoted prices in active markets when available. When not available, quoted prices in less active markets are used. In the absence of position-specific quoted prices, fair value may be determined through benchmarking from comparable instruments.

Valuation Hierarchy Classification:

•Level 1—if actively traded and inputs are observable

•Level 2—if the market is less active or prices are dispersed

•Level 3—in instances where the prices are unobservable

State and Municipal Securities

Valuation Techniques:

•Fair value is determined using recently executed transactions, market price quotations or pricing models that factor in, where applicable, interest rates, bond or CDS spreads, adjusted for any basis difference between cash and derivative instruments.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data for comparable instruments

•Level 3—in instances where market data are not observable

MABS

Valuation Techniques:

•Mortgage- and asset-backed securities may be valued based on price or spread data obtained from observed transactions or independent external parties such as vendors or brokers.

•When position-specific external price data are not observable, the fair value determination may require benchmarking to comparable instruments, and/or analyzing expected credit losses, default and recovery rates, and/or applying discounted cash flow techniques. When evaluating the comparable instruments for use in the valuation of each security, security collateral-specific attributes, including payment priority, credit enhancement levels, type of collateral, delinquency rates and loss severity, are considered. In addition, for RMBS borrowers, FICO scores and the level of documentation for the loan are considered.

•Market standard cash flow models may be utilized to model the specific collateral composition and cash flow structure of each transaction. Key inputs to these models are market spreads, forecasted credit losses, and default and prepayment rates for each asset category.

•Valuation levels of RMBS and CMBS indices are used as an additional data point for benchmarking purposes or to price outright index positions.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data for comparable instruments

•Level 3—if external prices or significant spread inputs are unobservable or if the comparability assessment involves significant subjectivity related to property type differences, cash flows, performance or other inputs

Loans and Lending Commitments

Valuation Techniques:

•Fair value of corporate loans is determined using recently executed transactions, market price quotations (where observable), implied yields from comparable debt, market observable CDS spread levels obtained from independent external parties adjusted for any basis difference between cash and derivative instruments, along with proprietary valuation models and default recovery analysis where such transactions and quotations are unobservable.

•Fair value of contingent corporate lending commitments is determined by using executed transactions on comparable loans and the anticipated market price based on pricing indications from syndicate banks and customers. The valuation of loans and lending commitments also takes into account fee income that is considered an attribute of the contract.

•Fair value of mortgage loans is determined using observable prices based on transactional data or third-party pricing for comparable instruments, when available.

•Where position-specific external prices are not observable, fair value is estimated based on benchmarking to prices and rates observed in the primary market for similar loan or borrower types or based on the present value of

expected future cash flows using the Firm’s best available estimates of the key assumptions, including forecasted credit losses, prepayment rates, forward yield curves and discount rates commensurate with the risks involved or a methodology that utilizes the capital structure and credit spreads of recent comparable securitization transactions.

•Fair value of equity margin loans is determined by discounting future interest cash flows, net of potential losses resulting from large downward price movements of the underlying margin loan collateral. The potential losses are modeled using the margin loan rate, which is calibrated from market observable CDS spreads, implied debt yields or volatility metrics of the loan collateral.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data for comparable instruments

•Level 3—in instances where prices or significant spread inputs are unobservable or if the comparability assessment involves significant subjectivity

Corporate and Other Debt

Corporate Bonds

Valuation Techniques:

•Fair value is determined using recently executed transactions, market price quotations, bond spreads and CDS spreads obtained from independent external parties, such as vendors and brokers, adjusted for any basis difference between cash and derivative instruments.

•The spread data used are for the same maturity as the bond. If the spread data do not reference the issuer, then data that reference comparable issuers are used. When position-specific external price data are not observable, fair value is determined based on either benchmarking to comparable instruments or cash flow models with yield curves, bond or single-name CDS spreads and recovery rates or loss given default as significant inputs.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data for comparable instruments

•Level 3—in instances where prices or significant spread inputs are unobservable or if the comparability assessment involves significant subjectivity

CDOs

Valuation Techniques:

•The Firm holds cash CDOs that typically reference a tranche of an underlying synthetic portfolio of single-name CDS spreads collateralized by corporate bonds (CLN) or cash portfolio of ABS/loans (“asset-backed CDOs”).

•Credit correlation, a primary input used to determine the fair value of CLNs, is usually unobservable and derived using a benchmarking technique. Other model inputs such as credit spreads, including collateral spreads and interest rates, are typically observable.

•Asset-backed CDOs are valued based on an evaluation of the market and model input parameters sourced from comparable instruments as indicated by market activity. Each asset-backed CDO position is evaluated independently taking into consideration available

comparable market levels, underlying collateral performance and pricing, deal structures and liquidity.

Valuation Hierarchy Classification:

•Level 2—when either comparable market transactions are observable or credit correlation input is insignificant

•Level 3—when either comparable market transactions are unobservable or the credit correlation input is significant

Equity Contracts with Financing Features

Valuation Techniques:

•Fair value of certain equity contracts, which are not classified as OTC derivatives because they do not meet the net investment criteria, is determined by discounting future interest cash flows, inclusive of the estimated value of the embedded optionality. The valuation uses the same derivative pricing models and valuation techniques as described under “OTC Derivative Contracts” herein.

Valuation Hierarchy Classification:

•Level 2—when the contract is valued using observable inputs or where the unobservable input is not deemed significant

•Level 3—when the contract is valued using an unobservable input that is deemed significant

Corporate Equities

Valuation Techniques:

•Exchange-traded equity securities are generally valued based on quoted prices from the exchange.

•Unlisted equity securities are generally valued based on an assessment of each security, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable transactions, trading multiples and changes in market outlook, among other factors.

•Listed fund units are generally marked to the exchange-traded price if actively traded, or to NAV if not. Unlisted fund units are generally marked to NAV.

Valuation Hierarchy Classification:

•Level 1—actively traded exchange-traded securities and fund units

•Level 2—if not actively traded, inputs are observable or if undergoing a recent M&A event or corporate action

•Level 3—if not actively traded, inputs are unobservable or if undergoing an aged M&A event or corporate action

Derivative and Other Contracts

Exchange-Traded Derivative Contracts

Valuation Techniques:

•Exchange-traded derivatives that are actively traded are valued based on quoted prices from the exchange.

•Exchange-traded derivatives that are not actively traded are valued using the same techniques as those applied to OTC derivatives as noted below.

Valuation Hierarchy Classification:

•Level 1—when actively traded

•Level 2—when not actively traded

OTC Derivative Contracts

Valuation Techniques:

•OTC derivative contracts include forward, swap and option contracts related to interest rates, foreign

currencies, credit standing of reference entities, equity prices or commodity prices.

•Depending on the product and the terms of the transaction, the fair value of OTC derivative products can be modeled using a series of techniques, including closed-form analytic formulas, such as the Black-Scholes option-pricing model, simulation models or a combination thereof. Many pricing models do not entail material subjectivity as the methodologies employed do not necessitate significant judgment since model inputs may be observed from actively quoted markets, as is the case for generic interest rate swaps, many equity, commodity and foreign currency option contracts, and certain CDS. In the case of more established derivative products, the pricing models used by the Firm are widely accepted by the financial services industry.

•More complex OTC derivative products are typically less liquid and require more judgment in the implementation of the valuation technique since direct trading activity or quotes are unobservable. This includes certain types of interest rate derivatives with both volatility and correlation exposure, equity, commodity or foreign currency derivatives that are either longer-dated or include exposure to multiple underlyings, and credit derivatives, including CDS on certain mortgage- or asset-backed securities and basket CDS. Where required inputs are unobservable, relationships to observable data points, based on historical and/or implied observations, may be employed as a technique to estimate the model input values. For further information on the valuation techniques for OTC derivative products, see Note 2.

Valuation Hierarchy Classification:

•Level 2—when valued using observable inputs or where the unobservable input is not deemed significant

•Level 3—if an unobservable input is deemed significant

Investments

Valuation Techniques:

•Investments include direct investments in equity securities, as well as various investment management funds, which include investments made in connection with certain employee deferred compensation plans.

•Exchange-traded direct equity investments are generally valued based on quoted prices from the exchange.

•For direct investments, initially, the transaction price is generally considered by the Firm as the exit price and is its best estimate of fair value.

•After initial recognition, in determining the fair value of non-exchange-traded internally and externally managed funds, the Firm generally considers the NAV of the fund provided by the fund manager to be the best estimate of fair value. These investments are included in the Fund Interests table in the "Net Asset Value Measurements" section herein.

•For non-exchange-traded investments either held directly or held within internally managed funds, fair value after initial recognition is based on an assessment of each underlying investment, considering rounds of financing

and third-party transactions, discounted cash flow analyses and market-based information, including comparable Firm transactions, trading multiples and changes in market outlook, among other factors.

Valuation Hierarchy Classification:

•Level 1—if actively traded

•Level 2—when not actively traded and valued based on rounds of financing or third-party transactions

•Level 3—when not actively traded and rounds of financing or third-party transactions are not available

Physical Commodities

Valuation Techniques:.

•Fair value is determined using observable inputs, including broker quotations and published indices.

Valuation Hierarchy Classification:

•Level 2—valued using observable inputs

Investment Securities—AFS Securities

Valuation Techniques:

•AFS securities are composed of U.S. government and agency securities (e.g., U.S. Treasury securities, agency-issued debt, agency mortgage pass-through securities and CMOs), CMBS, ABS, state and municipal securities, and corporate bonds. For further information on the determination of fair value, refer to the corresponding asset/liability Valuation Technique described herein for the same instruments.

Valuation Hierarchy Classification:

•For further information on the determination of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein.

Deposits

Valuation Techniques:

•The Firm issues FDIC-insured certificates of deposit that pay either fixed coupons or that have repayment terms linked to the performance of debt or equity securities, indices or currencies. The fair value of these certificates of deposit is determined using valuation models that incorporate observable inputs referencing identical or comparable securities, including prices to which the deposits are linked, interest rate yield curves, option volatility and currency rates, equity prices, and the impact of the Firm’s own credit spreads, adjusted for the impact of the FDIC insurance, which is based on vanilla deposit issuance rates.

Valuation Hierarchy Classification:

•Level 2—when valuation inputs are observable

•Level 3—in instances where an unobservable input is deemed significant

Securities Purchased under Agreements to Resell and Securities Sold under Agreements to Repurchase

Valuation Techniques:

•Fair value is computed using a standard cash flow discounting methodology.

•The inputs to the valuation include contractual cash flows and collateral funding spreads, which are the incremental

spread over the OIS rate for a specific collateral rate (which refers to the rate applicable to a specific type of security pledged as collateral).

Valuation Hierarchy Classification:

•Level 2—when the valuation inputs are observable

•Level 3—in instances where an unobservable input is deemed significant

Other Secured Financings

Valuation Techniques:

•Other secured financings are composed of short-dated notes secured by Corporate equities, agreements to repurchase Physical commodities, the liabilities related to sales of Loans and lending commitments accounted for as financings, and secured contracts that are not classified as OTC derivatives because they fail net investment criteria. For further information on the determination of fair value, refer to the Valuation Techniques described herein for the corresponding instruments, which are the collateral referenced by the other secured financing liability.

Valuation Hierarchy Classification:

•For further information on the determination of valuation hierarchy classification, see the Valuation Hierarchy Classification described herein for the corresponding instruments, which are the collateral referenced by the other secured financing liability.

Borrowings

Valuation Techniques:

•The Firm carries certain borrowings at fair value that are primarily composed of: instruments whose payments and redemption values are linked to the performance of a specific index, a basket of stocks, a specific equity security, a commodity, a credit exposure or basket of credit exposures; and instruments with various interest rate-related features, including step-ups, step-downs and zero coupons. Also included are unsecured contracts which are not classified as OTC derivatives because they fail net investment criteria.

•Fair value is determined using valuation models for the derivative and debt portions of the instruments. These models incorporate observable inputs referencing identical or comparable securities, including prices to which the instruments are linked, interest rate yield curves, option volatility and currency rates, and commodity or equity prices.

•Independent, external and traded prices are considered, as well as the impact of the Firm’s own credit spreads, which are based on observed secondary bond market spreads.

Valuation Hierarchy Classification:

•Level 2—when valued using observable inputs or where the unobservable input is not deemed significant

•Level 3—in instances where an unobservable input is deemed significant

Rollforward of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis


$ in millions	2021		2020		2019
U.S. Treasury and agency securities
Beginning balance	$	9	$	22	$	54
Realized and unrealized gains (losses)	—		1		4
Purchases	2		—		17
Sales	(9)		(22)		(54)

Net transfers	—		8		1
Ending balance	$	2	$	9	$	22
Unrealized gains (losses)	$	—	$	—	$	4
Other sovereign government obligations
Beginning balance	$	268	$	5	$	17
Realized and unrealized gains (losses)	(1)		—		(3)
Purchases	146		265		7
Sales	(192)		(2)		(6)

Net transfers	(10)		—		(10)
Ending balance	$	211	$	268	$	5
Unrealized gains (losses)	$	—	$	—	$	(3)
State and municipal securities
Beginning balance	$	—	$	1	$	148

Purchases	4		—		—
Sales	(4)		—		(147)

Net transfers	13		(1)		—
Ending balance	$	13	$	—	$	1
Unrealized gains (losses)	$	—	$	—	$	—
MABS
Beginning balance	$	322	$	438	$	354
Realized and unrealized gains (losses)	51		(66)		(16)
Purchases	254		175		132
Sales	(215)		(244)		(175)
Settlements	—		—		(44)
Net transfers	(68)		19		187
Ending balance	$	344	$	322	$	438
Unrealized gains (losses)	$	(10)	$	(49)	$	(57)
Loans and lending commitments
Beginning balance	$	5,759	$	5,073	$	6,870
Realized and unrealized gains (losses)	51		(65)		38
Purchases and originations	2,446		3,479		2,337
Sales	(2,609)		(957)		(1,268)
Settlements	(1,268)		(2,196)		(2,291)
Net transfers1	(573)		425		(613)
Ending balance	$	3,806	$	5,759	$	5,073
Unrealized gains (losses)	$	(7)	$	58	$	(9)
Corporate and other debt
Beginning balance	$	3,435	$	1,396	$	1,076
Realized and unrealized gains (losses)	(140)		318		418
Purchases and originations	1,355		2,623		650
Sales	(785)		(617)		(729)
Settlements	—		(311)		(7)
Net transfers2	(1,892)		26		(12)
Ending balance	$	1,973	$	3,435	$	1,396
Unrealized gains (losses)	$	(25)	$	311	$	361


$ in millions	2021		2020		2019
Corporate equities
Beginning balance	$	86	$	97	$	95
Realized and unrealized gains (losses)	(8)		(55)		(8)
Purchases	121		36		32
Sales	(50)		(17)		(271)

Net transfers	(34)		25		249
Ending balance	$	115	$	86	$	97
Unrealized gains (losses)	$	(3)	$	(39)	$	1
Investments
Beginning balance	$	828	$	858	$	757
Realized and unrealized gains (losses)	382		32		78
Purchases	226		61		40
Sales	(115)		(106)		(41)

Net transfers	(196)		(17)		24
Ending balance	$	1,125	$	828	$	858
Unrealized gains (losses)	$	359	$	(45)	$	67
Investment securities—AFS
Beginning balance	$	2,804	$	—	$	—
Realized and unrealized gains (losses)	(4)		5		—
Purchases3	—		2,799		—
Sales	(203)		—		—

Net transfers3	(2,597)		—		—
Ending balance	$	—	$	2,804	$	—
Unrealized gains (losses)	$	—	$	5	$	—
Securities purchased under agreements to resell
Beginning balance	$	3	$	—	$	—




Net transfers	(3)		3		—
Ending balance	$	—	$	3	$	—
Unrealized gains (losses)	$	—	$	—	$	—
Net derivatives: Interest rate
Beginning balance	$	682	$	777	$	618
Realized and unrealized gains (losses)	284		(150)		17
Purchases	67		174		98
Issuances	(52)		(44)		(16)
Settlements	14		40		1
Net transfers	(287)		(115)		59
Ending balance	$	708	$	682	$	777
Unrealized gains (losses)	$	292	$	(34)	$	87
Net derivatives: Credit
Beginning balance	$	49	$	124	$	40
Realized and unrealized gains (losses)	95		(91)		(24)
Purchases	18		98		144
Issuances	(46)		(112)		(190)
Settlements	58		94		111
Net transfers	(76)		(64)		43
Ending balance	$	98	$	49	$	124
Unrealized gains (losses)	$	122	$	(111)	$	(17)


$ in millions	2021		2020		2019
Net derivatives: Foreign exchange
Beginning balance	$	61	$	(31)	$	75
Realized and unrealized gains (losses)	(89)		156		(295)
Purchases	2		4		2
Issuances	(15)		—		—
Settlements	16		(17)		7
Net transfers	77		(51)		180
Ending balance	$	52	$	61	$	(31)
Unrealized gains (losses)	$	(62)	$	94	$	(187)
Net derivatives: Equity
Beginning balance	$	(2,231)	$	(1,684)	$	(1,485)
Realized and unrealized gains (losses)	344		72		(260)
Purchases	70		179		155
Issuances	(443)		(713)		(643)
Settlements	160		(354)		242
Net transfers2	1,155		269		307
Ending balance	$	(945)	$	(2,231)	$	(1,684)
Unrealized gains (losses)	$	(103)	$	(210)	$	(194)
Net derivatives: Commodity and other
Beginning balance	$	1,709	$	1,612	$	2,052
Realized and unrealized gains (losses)	529		251		73
Purchases	44		89		152
Issuances	(86)		(57)		(92)
Settlements	(599)		(183)		(611)
Net transfers	(68)		(3)		38
Ending balance	$	1,529	$	1,709	$	1,612
Unrealized gains (losses)	$	141	$	(309)	$	(113)
Deposits
Beginning balance	$	126	$	179	$	27
Realized and unrealized losses (gains)	—		15		20

Issuances	—		21		101
Settlements	(10)		(17)		(15)
Net transfers	(49)		(72)		46
Ending balance	$	67	$	126	$	179
Unrealized losses (gains)	$	—	$	15	$	20
Nonderivative trading liabilities
Beginning balance	$	79	$	37	$	16
Realized and unrealized losses (gains)	(21)		(18)		(21)
Purchases	(30)		(35)		(65)
Sales	43		27		38
Settlements	—		3		—
Net transfers	(10)		65		69
Ending balance	$	61	$	79	$	37
Unrealized losses (gains)	$	(21)	$	(18)	$	(21)
Securities sold under agreements to repurchase
Beginning balance	$	444	$	—	$	—
Realized and unrealized losses (gains)	1		(27)		—


Issuances	—		470		—

Net transfers	206		1		—
Ending balance	$	651	$	444	$	—
Unrealized losses (gains)	$	1	$	(27)	$	—


$ in millions	2021		2020		2019
Other secured financings
Beginning balance	$	516	$	109	$	208
Realized and unrealized losses (gains)	(17)		21		5

Issuances	449		208		—
Settlements	(518)		(217)		(8)
Net transfers	(27)		395		(96)
Ending balance	$	403	$	516	$	109
Unrealized losses (gains)	$	(16)	$	21	$	5
Borrowings
Beginning balance	$	4,374	$	4,088	$	3,806
Realized and unrealized losses (gains)	(99)		204		728

Issuances	717		980		1,181
Settlements	(448)		(461)		(950)
Net transfers2	(2,387)		(437)		(677)
Ending balance	$	2,157	$	4,374	$	4,088
Unrealized losses (gains)	$	(114)	$	201	$	600
Portion of unrealized losses (gains) recorded in OCI—Change in net DVA	(17)		63		182

1.Net transfers in 2021 reflect the transfer in the third quarter of $895 million of equity margin loans from Level 3 to Level 2 as a result of the reduced significance of the margin loan rate input. Net transfers in 2020 reflect the largely offsetting impacts of equity margin loan transfers of $857 million into Level 3 in the first quarter and $707 million out of Level 3 in the second quarter, both driven by changes in the significance level of the margin loan rate input based on changes in liquidity conditions.

2.Net transfers in 2021 reflect the transfer in the second quarter of $2.0 billion of Corporate and other debt, $1.0 billion of net Equity derivatives and $2.2 billion of Borrowings from Level 3 to Level 2 as the unobservable inputs were not significant to the overall fair value measurements.

3.Net transfers in 2021 reflect the transfer in the first quarter of $2.5 billion of AFS securities from Level 3 to Level 2 due to increased trading activity and observability of pricing inputs. Purchases of AFS investment securities in 2020 relate to securities acquired as part of the E*TRADE transaction. For additional information on the acquisition of E*TRADE, see Note 3.

Level 3 instruments may be hedged with instruments classified in Level 1 and Level 2. The realized and unrealized gains or losses for assets and liabilities within the Level 3 category presented in the previous tables do not reflect the related realized and unrealized gains or losses on hedging instruments that have been classified by the Firm within the Level 1 and/or Level 2 categories.

The unrealized gains (losses) during the period for assets and liabilities within the Level 3 category may include changes in fair value during the period that were attributable to both observable and unobservable inputs. Total realized and unrealized gains (losses) are primarily included in Trading revenues in the income statement.

Additionally, in the previous tables, consolidations of VIEs are included in Purchases, and deconsolidations of VIEs are included in Settlements.

Significant Unobservable Inputs Used in Recurring and Nonrecurring Level 3 Fair Value Measurements

Valuation Techniques and Unobservable Inputs


	Balance / Range (Average1)
$ in millions, except inputs	At December 31, 2021		At December 31, 2020
Assets at Fair Value on a Recurring Basis



Other sovereign government obligations	$	211	$	268
Comparable pricing:
Bond price	100 to 140 points (120 points)		106 points



MABS	$	344	$	322
Comparable pricing:
Bond price	0 to 86 points (59 points)		0 to 80 points (50 points)
Loans and lending commitments	$	3,806	$	5,759
Margin loan model:
Margin loan rate	1% to 4% (3%)		1% to 5% (3%)
Comparable pricing:
Loan price	89 to 101 points (97 points)		75 to 102 points (93 points)
Corporate and other debt	$	1,973	$	3,435
Comparable pricing:
Bond price	50 to 163 points (99 points)		10 to 133 points (101 points)
Discounted cash flow:
Loss given default	54% to 84% (62% / 54%)		40% to 62% (46% / 40%)

Option model:
Equity volatility	N/M		18% to 21% (19%)
Corporate equities	$	115	$	86
Comparable pricing:
Equity price	100%		100%
Investments	$	1,125	$	828
Discounted cash flow:
WACC	10% to 16% (15%)		8% to 18% (15%)
Exit multiple	8 to 17 times (12 times)		7 to 17 times (12 times)
Market approach:
EBITDA multiple	8 to 25 times (10 times)		8 to 32 times (11 times)
Comparable pricing:
Equity price	43% to 100% (99%)		45% to 100% (99%)
Investment securities—AFS	$	—	$	2,804
Comparable pricing:
Bond price	N/A		97 to 107 points (101 points)
Net derivative and other contracts:
Interest rate	$	708	$	682
Option model:
IR volatility skew	39% to 79% (64% / 63%)		0% to 349% (62% / 59%)
IR curve correlation	62% to 98% (83% / 84%)		54% to 99% (87% / 89%)
Bond volatility	5% to 32% (12% / 9%)		6% to 24% (13% / 13%)
Inflation volatility	24% to 65% (44% / 40%)		25% to 66% (45% / 43%)
IR curve	4%		1		%


	Balance / Range (Average1)
$ in millions, except inputs	At December 31, 2021		At December 31, 2020
Credit	$	98	$	49
Credit default swap model:
Cash-synthetic basis	7 points		7 points
Bond price	0 to 83 points (46 points)		0 to 85 points (47 points)
Credit spread	14 to 477 bps (68 bps)		20 to 435 bps (74 bps)
Funding spread	15 to 433 bps (55 bps)		65 to 118 bps (86 bps)
Correlation model:
Credit correlation	N/A		27% to 44% (32%)
Foreign exchange2	$	52	$	61
Option model:
IR - FX correlation	53% to 56% (55% / 54%)		55% to 59% (56% / 56%)
IR volatility skew	39% to 79% (64% / 63%)		0% to 349% (62% / 59%)
IR curve	-1% to 7% (2% / 0%)		6% to 8% (7% / 8%)
Foreign exchange volatility skew	-4% to -2% (-3% / -3%)		-22% to 28% (3% / 1%)
Contingency probability	90% to 95% (94% / 95%)		50% to 95% (83% / 93%)
Equity2	$	(945)	$	(2,231)
Option model:
Equity volatility	5% to 99% (24%)		16% to 97% (43%)
Equity volatility skew	-4% to 0% (-1%)		-3% to 0% (-1%)
Equity correlation	5% to 99% (73%)		24% to 96% (74%)
FX correlation	-85% to 37% (-42%)		-79% to 60% (-16%)
IR correlation	13% to 30% (15%)		-13% to 47% (21% / 20%)
Commodity and other	$	1,529	$	1,709
Option model:
Forward power price	$4 to $263 ($39) per MWh		$-1 to $157 ($28) per MWh
Commodity volatility	8% to 385% (22%)		8% to 183% (19%)
Cross-commodity correlation	43% to 100% (94%)		43% to 99% (92%)
Liabilities at Fair Value on a Recurring Basis
Deposits	$	67	$	126
Option model:
Equity volatility	7%		7% to 22% (8%)
Nonderivative trading liabilities —Corporate equities	$	45	$	63
Comparable pricing:
Equity price	100%		100%
Securities sold under agreements to repurchase	$	651	$	444
Discounted cash flow:
Funding spread	112 to 127 bps (120 bps)		107 to 127 bps (115 bps)
Other secured financings	$	403	$	516
Discounted cash flow:
Funding spread	N/A		111 bps (111 bps)
Comparable pricing:
Loan price	30 to 100 points (83 points)		30 to 101 points (56 points)


	Balance / Range (Average1)
$ in millions, except inputs	At December 31, 2021		At December 31, 2020
Borrowings	$	2,157	$	4,374
Option model:
Equity volatility	7% to 85% (20%)		6% to 66% (23%)
Equity volatility skew	-1% to 0% (0%)		-2% to 0% (0%)
Equity correlation	41% to 95% (81%)		37% to 95% (78%)
Equity - FX correlation	-55% to 25% (-30%)		-72% to 13% (-24%)

IR - FX Correlation	-26% to 8% (-5% / -5%)		-28% to 6% (-6% / -6%)
Discounted cash flow:
Loss given default	54% to 84% (62% / 54%)		N/M
Nonrecurring Fair Value Measurement
Loans	$	1,576	$	3,134
Corporate loan model:
Credit spread	108 to 565 bps (284 bps)		36 to 636 bps (336 bps)
Comparable pricing:
Loan price	40 to 80 points (61 points)		N/M
Warehouse model:
Credit spread	182 to 446 bps (376 bps)		200 to 413 bps (368 bps)
Comparable pricing:
Bond Price	N/M		88 to 99 bps (94 bps)

Points—Percentage of par

IR—Interest rate

FX—Foreign exchange

1.A single amount is disclosed for range and average when there is no significant difference between the minimum, maximum and average. Amounts represent weighted averages except where simple averages and the median of the inputs are more relevant.

2.Includes derivative contracts with multiple risks (i.e., hybrid products).

The previous table provides information on the valuation techniques, significant unobservable inputs, and the ranges and averages for each major category of assets and liabilities measured at fair value on a recurring and nonrecurring basis with a significant Level 3 balance. The level of aggregation and breadth of products cause the range of inputs to be wide and not evenly distributed across the inventory of financial instruments. Further, the range of unobservable inputs may differ across firms in the financial services industry because of diversity in the types of products included in each firm’s inventory. Generally, there are no predictable relationships between multiple significant unobservable inputs attributable to a given valuation technique.

During 2021, there were no significant revisions made to the descriptions of the Firm’s significant unobservable inputs.

An increase (decrease) to the following significant unobservable inputs would generally result in a higher (lower) fair value.

•Comparable Bond or Loan Price. A pricing input used when prices for the identical instrument are not available. Significant subjectivity may be involved when fair value is determined using pricing data available for comparable instruments. Valuation using comparable instruments can be done by calculating an implied yield (or spread over a liquid benchmark) from the price of a comparable bond or loan, then adjusting that yield (or spread) to derive a value for the bond or loan. The adjustment to yield (or spread)

should account for relevant differences in the bonds or loans such as maturity or credit quality. Alternatively, a price-to-price basis can be assumed between the comparable instrument and the bond or loan being valued in order to establish the value of the bond or loan.

•Comparable Equity Price. A price derived from equity raises, share buybacks and external bid levels, etc. A discount or premium may be included in the fair value estimate.

•Contingency Probability. Probability associated with the realization of an underlying event upon which the value of an asset is contingent.

•EBITDA Multiple/Exit Multiple. The ratio of Enterprise Value to EBITDA, where enterprise value is the aggregate value of equity and debt minus cash and cash equivalents. The EBITDA multiple reflects the value of the company in terms of its full-year EBITDA, whereas the exit multiple reflects the value of the company in terms of its full-year expected EBITDA at exit. Either multiple allows comparison between companies from an operational perspective as the effect of capital structure, taxation and depreciation/amortization is excluded.

An increase (decrease) to the following significant unobservable inputs would generally result in a lower (higher) fair value.

•Cash-Synthetic Basis. The measure of the price differential between cash financial instruments and their synthetic derivative-based equivalents. The range disclosed in the previous table signifies the number of points by which the synthetic bond equivalent price is higher than the quoted price of the underlying cash bonds.

•Funding Spread. The cost of borrowing defined as the incremental spread over the OIS rate for a specific collateral rate (which refers to the rate applicable to a specific type of security pledged as collateral).

•Loss Given Default. Amount expressed as a percentage of par that is the expected loss when a credit event occurs.

•Margin Loan Rate. The annualized rate that reflects the possibility of losses as a result of movements in the price of the underlying margin loan collateral. The rate is calibrated from the discount rate, credit spreads and/or volatility measures.

•WACC. WACC represents the theoretical rate of return required to debt and equity investors. The WACC is used in a discounted cash flow model that calculates the value of the equity. The model assumes that the cash flow assumptions, including projections, are fully reflected in the current equity value, while the debt to equity ratio is held constant.

An increase (decrease) to the following significant unobservable inputs would generally result in an impact to the fair value, but the magnitude and direction of the impact would depend on whether the Firm is long or short the exposure.

•Correlation. A pricing input where the payoff is driven by more than one underlying risk. Correlation is a measure of the relationship between the movement of two variables (i.e., how the change in one variable influences a change in the other variable).

•Credit Spread. The credit spread reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk. The credit spread of a particular security is often quoted in relation to the yield on a credit risk-free benchmark security or reference rate.

•Interest Rate Curve. The term structure of interest rates (relationship between interest rates and the time to maturity) and a market’s measure of future interest rates at the time of observation. An interest rate curve is used to set interest rate and foreign exchange derivative cash flows and is a pricing input used in the discounting of any OTC derivative cash flow.

•Volatility. The measure of variability in possible returns for an instrument given how much that instrument changes in value over time. Volatility is a pricing input for options, and, generally, the lower the volatility, the less risky the option. The level of volatility used in the valuation of a particular option depends on a number of factors, including the nature of the risk underlying that option, the tenor and the strike price of the option.

•Volatility Skew. The measure of the difference in implied volatility for options with identical underliers and expiry dates but with different strikes.

Net Asset Value Measurements

Fund Interests


	At December 31, 2021				At December 31, 2020
$ in millions	Carrying Value		Commitment		Carrying Value		Commitment
Private equity	$	2,492	$	615	$	2,367	$	644
Real estate	2,064		248		1,403		136
Hedge1	191		2		59		—
Total	$	4,747	$	865	$	3,829	$	780

1.Investments in hedge funds may be subject to initial period lock-up or gate provisions, which restrict an investor from withdrawing from the fund during a certain initial period or restrict the redemption amount on any redemption date, respectively.

Amounts in the previous table represent the Firm’s carrying value of general and limited partnership interests in fund investments, as well as any related performance-based income in the form of carried interest. The carrying amounts are measured based on the NAV of the fund taking into account the distribution terms applicable to the interest held. This same measurement applies whether the fund investments are accounted for under the equity method or fair value.

Private Equity. Funds that pursue multiple strategies, including leveraged buyouts, venture capital, infrastructure growth capital, distressed investments and mezzanine capital. In addition, the funds may be structured with a focus on specific geographic regions.

Real Estate. Funds that invest in real estate assets such as commercial office buildings, retail properties, multi-family residential properties, developments or hotels. In addition, the funds may be structured with a focus on specific geographic regions.

Investments in private equity and real estate funds generally are not redeemable due to the closed-end nature of these funds. Instead, distributions from each fund will be received as the underlying investments of the funds are disposed and monetized.

Hedge. Funds that pursue various investment strategies, including long-short equity, fixed income/credit, event-driven and multi-strategy.

See Note 15 for information regarding general partner guarantees, which include potential obligations to return performance fee distributions previously received. See Note 23 for information regarding carried interest at risk of reversal.

Nonredeemable Funds by Contractual Maturity


	Carrying Value at December 31, 2021
$ in millions	Private Equity		Real Estate
Less than 5 years	$	982	$	403
5-10 years	1,163		1,283
Over 10 years	347		378
Total	$	2,492	$	2,064

Nonrecurring Fair Value Measurements

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis


	At December 31, 2021
$ in millions	Level 2		Level 31		Total
Assets
Loans	$	4,035	$	1,576	$	5,611
Other assets—Other investments	—		8		8

Other assets—ROU assets	16		—		16
Total	$	4,051	$	1,584	$	5,635
Liabilities
Other liabilities and accrued expenses—Lending commitments	$	173	$	70	$	243
Total	$	173	$	70	$	243


	At December 31, 2020
$ in millions	Level 2		Level 31		Total
Assets
Loans	$	2,566	$	3,134	$	5,700
Other assets—Other investments	—		16		16
Other assets—ROU assets	21		—		21
Total	$	2,587	$	3,150	$	5,737
Liabilities
Other liabilities and accrued expenses—Lending commitments	$	193	$	72	$	265
Total	$	193	$	72	$	265

1.For significant Level 3 balances, refer to “Significant Unobservable Inputs Used in Recurring and Nonrecurring Level 3 Fair Value Measurements” section herein for details of the significant unobservable inputs used for nonrecurring fair value measurement.

Gains (Losses) from Nonrecurring Fair Value Remeasurements1


$ in millions	2021		2020		2019
Assets
Loans2	$	(89)	$	(354)	$	18
Goodwill	(8)		—		—
Intangibles	(3)		(2)		—
Other assets—Other investments3	(57)		(56)		(56)
Other assets—Premises, equipment and software4	(14)		(45)		(22)
Other assets—ROU assets5	(25)		(23)		—
Total	$	(196)	$	(480)	$	(60)
Liabilities
Other liabilities and accrued expenses—Lending commitments2	$	37	$	(5)	$	87
Total	$	37	$	(5)	$	87

1.Gains and losses for Loans and Other assets—Other investments are classified in Other revenues. For other items, gains and losses are recorded in Other revenues if the item is held for sale; otherwise, they are recorded in Other expenses.

2.Nonrecurring changes in the fair value of loans and lending commitments, which exclude the impact of related economic hedges, are calculated as follows: for the held-for-investment category, based on the value of the underlying collateral; and for the held-for-sale category, based on recently executed transactions, market price quotations, valuation models that incorporate market observable inputs where possible, such as comparable loan or debt prices and CDS spread levels adjusted for any basis difference between cash and derivative instruments, or default recovery analysis where such transactions and quotations are unobservable.

3.Losses related to Other assets—Other investments were determined using techniques that included discounted cash flow models, methodologies that incorporate multiples of certain comparable companies and recently executed transactions.

4.Losses related to Other assets—Premises, equipment and software generally include impairments as well as write-offs related to the disposal of certain assets.

5.Losses related to Other assets—ROU assets include impairments related to the discontinued use of certain leased properties.

Financial Instruments Not Measured at Fair Value


	At December 31, 2021
	Carrying Value		Fair Value
$ in millions			Level 1		Level 2		Level 3		Total
Financial assets
Cash and cash equivalents	$	127,725	$	127,725	$	—	$	—	$	127,725
Investment securities—HTM	80,168		29,454		49,352		1,076		79,882
Securities purchased under agreements to resell	119,992		—		117,922		2,075		119,997
Securities borrowed	129,713		—		129,713		—		129,713
Customer and other receivables	91,664		—		88,091		3,442		91,533
Loans1	188,134		—		25,706		163,784		189,490
Other assets	528		—		528		—		528
Financial liabilities
Deposits	$	345,634	$	—	$	345,911	$	—	$	345,911
Securities sold under agreements to repurchase	61,397		—		61,419		—		61,419
Securities loaned	12,299		—		12,296		—		12,296
Other secured financings	4,908		—		4,910		—		4,910
Customer and other payables	228,631		—		228,631		—		228,631
Borrowings	156,787		—		162,154		4		162,158
	Commitment Amount
Lending commitments3	$	133,519	$	—	$	890	$	470	$	1,360


	At December 31, 2020
	Carrying Value		Fair Value
$ in millions			Level 1		Level 2		Level 3		Total
Financial assets
Cash and cash equivalents	$	105,654	$	105,654	$	—	$	—	$	105,654
Investment securities—HTM	71,771		31,239		42,281		900		74,420
Securities purchased under agreements to resell	116,219		—		114,046		2,173		116,219
Securities borrowed	112,391		—		112,392		—		112,392
Customer and other receivables	92,907		—		89,832		3,041		92,873
Loans1	150,597		—		16,635		135,277		151,912
Other assets	485		—		485		—		485
Financial liabilities
Deposits	$	307,261	$	—	$	307,807	$	—	$	307,807
Securities sold under agreements to repurchase	49,472		—		49,315		195		49,510
Securities loaned	7,731		—		7,731		—		7,731
Other secured financings	4,162		—		4,162		—		4,162
Customer and other payables	224,951		—		224,951		—		224,951
Borrowings	143,378		—		150,824		5		150,829
	Commitment Amount
Lending commitments2	$	125,498	$	—	$	709	$	395	$	1,104

1.Amounts include loans measured at fair value on a nonrecurring basis.

2.Represents Lending commitments accounted for as Held for Investment and Held for Sale. For a further discussion on lending commitments, see Note 15.

The previous tables exclude all non-financial assets and liabilities, such as the value of the long-term relationships with the Firm’s deposit customers, and certain financial instruments, such as equity method investments and certain receivables.