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


	Three Months Ended June 30,				Six Months Ended June 30,
$ in millions	2022		2021		2022		2021
U.S. Treasury and agency securities
Beginning balance	$	8	$	12	$	2	$	9
Realized and unrealized gains (losses)	—		44		—		59
Purchases	4		22		4		25
Sales	(3)		(68)		(2)		(68)

Net transfers	—		15		5		—
Ending balance	$	9	$	25	$	9	$	25
Unrealized gains (losses)	$	—	$	44	$	—	$	58
Other sovereign government obligations
Beginning balance	$	188	$	17	$	211	$	268

Purchases	20		75		44		76
Sales	(45)		(16)		(104)		(260)

Net transfers	(2)		2		10		(6)
Ending balance	$	161	$	78	$	161	$	78
Unrealized gains (losses)	$	—	$	—	$	—	$	—
State and municipal securities
Beginning balance	$	—	$	—	$	13	$	—

Purchases	—		4		—		4


Net transfers	29		—		16		—
Ending balance	$	29	$	4	$	29	$	4
Unrealized gains (losses)	$	—	$	—	$	—	$	—
MABS
Beginning balance	$	351	$	374	$	344	$	322
Realized and unrealized gains (losses)	(1)		8		(2)		59
Purchases	45		21		82		128
Sales	(62)		(58)		(149)		(123)

Net transfers	6		12		64		(29)
Ending balance	$	339	$	357	$	339	$	357
Unrealized gains (losses)	$	(2)	$	6	$	(2)	$	1
Loans and lending commitments
Beginning balance	$	3,141	$	5,045	$	3,806	$	5,759
Realized and unrealized gains (losses)	11		22		37		3
Purchases and originations	367		1,527		677		2,673
Sales	(382)		(1,438)		(618)		(2,569)
Settlements	(660)		(712)		(981)		(933)
Net transfers	30		452		(414)		(37)
Ending balance	$	2,507	$	4,896	$	2,507	$	4,896
Unrealized gains (losses)	$	6	$	38	$	21	$	9


	Three Months Ended June 30,				Six Months Ended June 30,
$ in millions	2022		2021		2022		2021
Corporate and other debt
Beginning balance	$	1,753	$	3,319	$	1,973	$	3,435
Realized and unrealized gains (losses)	5		207		15		135
Purchases and originations	267		883		595		1,413
Sales	(360)		(908)		(548)		(1,087)
Settlements	(16)		—		(130)		—
Net transfers1	464		(1,700)		208		(2,095)
Ending balance	$	2,113	$	1,801	$	2,113	$	1,801
Unrealized gains (losses)	$	7	$	264	$	11	$	248
Corporate equities
Beginning balance	$	239	$	114	$	115	$	86
Realized and unrealized gains (losses)	—		12		(1)		26
Purchases	51		25		78		50
Sales	(87)		(36)		(72)		(38)

Net transfers	43		35		126		26
Ending balance	$	246	$	150	$	246	$	150
Unrealized gains (losses)	$	—	$	15	$	—	$	28
Investments
Beginning balance	$	1,120	$	924	$	1,125	$	828
Realized and unrealized gains (losses)	(111)		47		(135)		107
Purchases	27		28		46		92
Sales	(11)		(9)		(14)		(24)

Net transfers	2		(12)		5		(25)
Ending balance	$	1,027	$	978	$	1,027	$	978
Unrealized gains (losses)	$	(106)	$	47	$	(131)	$	94
Investment securities —AFS
Beginning balance	$	—	$	127	$	—	$	2,804
Realized and unrealized gains (losses)	(2)		—		(2)		(4)

Sales	—		(11)		—		(203)

Net transfers2	40		(116)		40		(2,597)
Ending balance	$	38	$	—	$	38	$	—
Unrealized gains (losses)	$	(2)	$	—	$	(2)	$	—









Net derivatives: Interest rate
Beginning balance	$	634	$	691	$	708	$	682
Realized and unrealized gains (losses)	(275)		(43)		(533)		(388)
Purchases	2		41		—		57
Issuances	(3)		(52)		—		(66)
Settlements	(173)		18		(131)		103
Net transfers	(287)		13		(146)		280
Ending balance	$	(102)	$	668	$	(102)	$	668
Unrealized gains (losses)	$	(266)	$	(40)	$	(372)	$	(370)


	Three Months Ended June 30,				Six Months Ended June 30,
$ in millions	2022		2021		2022		2021
Net derivatives: Credit
Beginning balance	$	93	$	(82)	$	98	$	49
Realized and unrealized gains (losses)	(21)		(88)		232		(75)
Purchases	8		17		—		25
Issuances	(7)		(24)		(3)		(38)
Settlements	94		36		(168)		(60)
Net transfers	23		(62)		31		(104)
Ending balance	$	190	$	(203)	$	190	$	(203)
Unrealized gains (losses)	$	(4)	$	(76)	$	224	$	(75)
Net derivatives: Foreign exchange
Beginning balance	$	(33)	$	(110)	$	52	$	61
Realized and unrealized gains (losses)	124		96		(13)		(26)
Purchases	4		2		—		4
Issuances	—		—		—		(2)
Settlements	(148)		1		(46)		(67)
Net transfers	(278)		44		(324)		63
Ending balance	$	(331)	$	33	$	(331)	$	33
Unrealized gains (losses)	$	123	$	(49)	$	7	$	25
Net derivatives: Equity
Beginning balance	$	(654)	$	(2,117)	$	(945)	$	(2,231)
Realized and unrealized gains (losses)	142		283		171		344
Purchases	28		28		28		71
Issuances	(69)		(143)		(52)		(461)
Settlements	167		105		290		5
Net transfers1	(144)		1,007		(22)		1,435
Ending balance	$	(530)	$	(837)	$	(530)	$	(837)
Unrealized gains (losses)	$	113	$	(36)	$	289	$	(25)
Net derivatives: Commodity and other
Beginning balance	$	1,434	$	1,944	$	1,529	$	1,709
Realized and unrealized gains (losses)	359		122		187		348
Purchases	10		—		10		10
Issuances	(21)		—		(26)		(13)
Settlements	(384)		(170)		(238)		(222)
Net transfers	(54)		(466)		(118)		(402)
Ending balance	$	1,344	$	1,430	$	1,344	$	1,430
Unrealized gains (losses)	$	219	$	(63)	$	(174)	$	69
Deposits
Beginning balance	$	26	$	177	$	67	$	126
Realized and unrealized losses (gains)	—		4		—		2

Issuances	2		—		2		—
Settlements	(2)		(2)		(6)		(2)
Net transfers	(7)		(93)		(44)		(40)
Ending balance	$	19	$	86	$	19	$	86
Unrealized losses (gains)	$	—	$	4	$	—	$	2
Nonderivative trading liabilities
Beginning balance	$	48	$	62	$	61	$	79
Realized and unrealized losses (gains)	—		(4)		(4)		4
Purchases	(43)		(38)		(48)		(43)
Sales	37		16		29		16

Net transfers	62		23		66		3
Ending balance	$	104	$	59	$	104	$	59
Unrealized losses (gains)	$	—	$	(2)	$	(4)	$	4


	Three Months Ended June 30,				Six Months Ended June 30,
$ in millions	2022		2021		2022		2021
Securities sold under agreements to repurchase
Beginning balance	$	516	$	441	$	651	$	444
Realized and unrealized losses (gains)	(10)		8		(7)		6


Issuances	9		—		9		—
Settlements	(1)		—		(12)		—
Net transfers	—		—		(127)		(1)
Ending balance	$	514	$	449	$	514	$	449
Unrealized losses (gains)	$	(10)	$	8	$	(7)	$	6
Other secured financings
Beginning balance	$	120	$	555	$	403	$	516
Realized and unrealized losses (gains)	(4)		9		(6)		4

Issuances	4		37		31		407
Settlements	(8)		(176)		(313)		(498)
Net transfers	—		(24)		(3)		(28)
Ending balance	$	112	$	401	$	112	$	401
Unrealized losses (gains)	$	(4)	$	10	$	(6)	$	4
Borrowings
Beginning balance	$	2,399	$	4,262	$	2,157	$	4,374
Realized and unrealized losses (gains)	(312)		125		(476)		36

Issuances	158		146		308		276
Settlements	(183)		(217)		(215)		(326)
Net transfers1	263		(2,341)		551		(2,385)
Ending balance	$	2,325	$	1,975	$	2,325	$	1,975
Unrealized losses (gains)	$	(306)	$	121	$	(479)	$	29
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA	(63)		(4)		(96)		(8)

1.Net transfers from Level 3 to Level 2 in the prior year quarter reflect $2.0 billion of Corporate and Other Debt, $1.0 billion of net Equity derivatives, and $2.2 billion of Borrowings as the unobservable inputs were not significant to the overall fair value measurements.

2.Net transfers in the prior year period reflect the transfer in the first quarter of the prior year of $2.5 billion of AFS securities from Level 3 to Level 2 due to increased trading activity and observability of pricing inputs.

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 June 30, 2022		At December 31, 2021
Assets at Fair Value on a Recurring Basis



Other sovereign government obligations	$	161	$	211
Comparable pricing:
Bond price	84 to 106 points (96 points)		100 to 140 points (120 points)



MABS	$	339	$	344
Comparable pricing:
Bond price	0 to 95 points (63 points)		0 to 86 points (59 points)
Loans and lending commitments	$	2,507	$	3,806
Margin loan model:



Margin loan rate	2% to 4% (3%)		1% to 4% (3%)
Comparable pricing:
Loan price	84 to 101 points (97 points)		89 to 101 points (97 points)
Corporate and other debt	$	2,113	$	1,973
Comparable pricing:
Bond price	52 to 158 points (90 points)		50 to 163 points (99 points)
Discounted cash flow:
Loss given default	54% to 84% (62% / 54%)		54% to 84% (62% / 54%)



Corporate equities	$	246	$	115
Comparable pricing:
Equity price	100%		100%
Investments	$	1,027	$	1,125
Discounted cash flow:
WACC	13% to 18% (17%)		10% to 16% (15%)
Exit multiple	8 to 17 times (13 times)		8 to 17 times (12 times)
Market approach:
EBITDA multiple	8 to 21 times (10 times)		8 to 25 times (10 times)
Comparable pricing:
Equity price	49% to 100% (90%)		43% to 100% (99%)





Net derivative and other contracts:
Interest rate	$	(102)	$	708
Option model:
IR volatility skew	42% to 76% (59% / 59%)		39% to 79% (64% / 63%)
IR curve correlation	39% to 99% (77% / 79%)		62% to 98% (83% / 84%)
Bond volatility	N/M		5% to 32% (12% / 9%)
Inflation volatility	24% to 62% (44% / 40%)		24% to 65% (44% / 40%)
IR curve	N/M		4%


	Balance / Range (Average1)
$ in millions, except inputs	At June 30, 2022			At December 31, 2021
Credit	$	190		$	98
Credit default swap model:
Cash-synthetic basis	7 points			7 points
Bond price	0 to 83 points (43 points)			0 to 83 points (46 points)
Credit spread	10 to 529 bps (111 bps)			14 to 477 bps (68 bps)
Funding spread	18 to 593 bps (69 bps)			15 to 433 bps (55 bps)


Foreign exchange2	$	(331)		$	52
Option model:
IR - FX correlation	N/M			53% to 56% (55% / 54%)
IR volatility skew	N/M			39% to 79% (64% / 63%)
IR curve	0% to 26% (9% / 7%)			-1% to 7% (2% / 0%)
Foreign exchange volatility skew	-33% to 27% (0% / 0%)			-4% to -2% (-3% / -3%)
Contingency probability	95		%	90% to 95% (94% / 95%)
Equity2	$	(530)		$	(945)
Option model:
Equity volatility	5% to 96% (28%)			5% to 99% (24%)
Equity volatility skew	-4% to 0% (-1%)			-4% to 0% (-1%)
Equity correlation	5% to 96% (82%)			5% to 99% (73%)
FX correlation	-85% to 65% (-47%)			-85% to 37% (-42%)
IR correlation	13% to 30% (15%)			13% to 30% (15%)
Commodity and other	$	1,344		$	1,529
Option model:
Forward power price	$1 to $268 ($55) per MWh			$4 to $263 ($39) per MWh
Commodity volatility	8% to 159% (42%)			8% to 385% (22%)
Cross-commodity correlation	41% to 100% (94%)			43% to 100% (94%)
Liabilities Measured at Fair Value on a Recurring Basis
Deposits	$	19		$	67
Option model:
Equity volatility	N/M			7%

Nonderivative trading liabilities —Corporate equities	$	60		$	45
Comparable pricing:
Equity price	100%			100%
Securities sold under agreements to repurchase	$	514		$	651
Discounted cash flow:
Funding spread	115 to 146 bps (130 bps)			112 to 127 bps (120 bps)
Other secured financings	$	112		$	403


Comparable pricing:
Loan price	23 to 101 points (81 points)			30 to 100 points (83 points)


	Balance / Range (Average1)
$ in millions, except inputs	At June 30, 2022		At December 31, 2021
Borrowings	$	2,325	$	2,157
Option model:
Equity volatility	7% to 93% (21%)		7% to 85% (20%)
Equity volatility skew	-2% to 0% (-1%)		-1% to 0% (0%)
Equity correlation	39% to 95% (86%)		41% to 95% (81%)
Equity - FX correlation	-55% to 25% (-23%)		-55% to 25% (-30%)
IR FX Correlation	-14% to 5% (-5% / -5%)		-26% to 8% (-5% / -5%)
IR curve correlation	39% to 99% (77% / 79%)		N/M
IR volatility skew	42% to 76% (59% / 59%)		N/M
Discounted cash flow:
Loss given default	54% to 84% (62% / 54%)		54% to 84% (62% / 54%)
Nonrecurring Fair Value Measurement
Loans	$	2,572	$	1,576
Corporate loan model:
Credit spread	111 to 749 bps (343 bps)		108 to 565 bps (284 bps)
Comparable pricing:
Loan price	48 to 80 points (69 points)		40 to 80 points (61 points)
Warehouse model:
Credit spread	119 to 267 bps (198 bps)		182 to 446 bps (376 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.

For a description of the Firm’s significant unobservable inputs and qualitative information about the effect of hypothetical changes in the values of those inputs, see Note 5 to the financial statements in the 2021 Form 10-K. During the current quarter, there were no significant revisions made to the descriptions of the Firm’s significant unobservable inputs.

Net Asset Value Measurements

Fund Interests


	At June 30, 2022				At December 31, 2021
$ in millions	Carrying Value		Commitment		Carrying Value		Commitment
Private equity	$	2,823	$	540	$	2,492	$	615
Real estate	2,170		249		2,064		248
Hedge1	202		2		191		2
Total	$	5,195	$	791	$	4,747	$	865

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.

For a description of the Firm’s investments in private equity funds, real estate funds and hedge funds, which are measured based on NAV, see Note 5 to the financial statements in the 2021 Form 10-K.

See Note 13 for information regarding general partner guarantees, which include potential obligations to return performance fee distributions previously received. See Note 19 for information regarding unrealized carried interest at risk of reversal.

Nonredeemable Funds by Contractual Maturity


	Carrying Value at June 30, 2022
$ in millions	Private Equity		Real Estate
Less than 5 years	$	1,034	$	794
5-10 years	1,264		1,354
Over 10 years	525		22
Total	$	2,823	$	2,170

Nonrecurring Fair Value Measurements

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis


	At June 30, 2022
	Fair Value
$ in millions	Level 2		Level 31		Total
Assets
Loans	$	3,411	$	2,572	$	5,983


Other assets—Other investments	—		5		5

Other assets—ROU assets	7		—		7
Total	$	3,418	$	2,577	$	5,995
Liabilities
Other liabilities and accrued expenses—Lending commitments	$	359	$	142	$	501
Total	$	359	$	142	$	501


	At December 31, 2021
	Fair Value
$ 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

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


	Three Months Ended June 30,				Six Months Ended June 30,
$ in millions	2022		2021		2022		2021
Assets
Loans2	$	(167)	$	(38)	$	(221)	$	(55)
Goodwill	—		—		—		(8)
Intangibles	—		(1)		—		(3)
Other assets—Other investments3	(4)		(2)		(6)		(53)
Other assets—Premises, equipment and software	(1)		(2)		(2)		(4)
Other assets—ROU assets	(4)		—		(6)		—
Total	$	(176)	$	(43)	$	(235)	$	(123)
Liabilities
Other liabilities and accrued expenses—Lending commitments2	$	(191)	$	5	$	(210)	$	40
Total	$	(191)	$	5	$	(210)	$	40

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.

Financial Instruments Not Measured at Fair Value


	At June 30, 2022
	Carrying Value		Fair Value
$ in millions			Level 1		Level 2		Level 3		Total
Financial assets
Cash and cash equivalents	$	131,286	$	131,286	$	—	$	—	$	131,286
Investment securities—HTM	79,477		29,093		41,619		1,030		71,742
Securities purchased under agreements to resell	120,735		—		118,453		2,205		120,658
Securities borrowed	138,508		—		138,506		—		138,506
Customer and other receivables	78,752		—		74,975		3,516		78,491
Loans1	206,482		—		26,339		175,334		201,673
Other assets	722		—		722		—		722
Financial liabilities
Deposits	$	344,192	$	—	$	344,259	$	—	$	344,259
Securities sold under agreements to repurchase	65,223		—		65,163		—		65,163
Securities loaned	13,785		—		13,791		—		13,791
Other secured financings	3,107		—		3,108		—		3,108
Customer and other payables	233,719		—		233,719		—		233,719
Borrowings	155,505		—		152,737		4		152,741
	Commitment Amount
Lending commitments2	$	139,858	$	—	$	2,086	$	805	$	2,891


	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 commitments2	$	133,519	$	—	$	890	$	470	$	1,360

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 13.

The previous tables exclude all non-financial assets and liabilities, such as Goodwill and Intangible assets, and certain financial instruments, such as equity method investments and certain receivables.