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Fair Value Option

9 Months Ended

Sep. 30, 2022

The Firm has elected the fair value option for certain eligible instruments that are risk managed on a fair value basis to mitigate income statement volatility caused by measurement basis differences between the elected instruments and their associated risk management transactions or to eliminate complexities of applying certain accounting models.

Borrowings Measured at Fair Value on a Recurring Basis


$ in millions	At September 30, 2022		At December 31, 2021
Business Unit Responsible for Risk Management
Equity	$	34,226	$	37,046
Interest rates	22,896		28,638
Commodities	9,147		7,837
Credit	1,220		1,347
Foreign exchange	1,299		1,472
Total	$	68,788	$	76,340

Net Revenues from Borrowings under the Fair Value Option


	Three Months Ended September 30,				Nine Months Ended September 30,
$ in millions	2022		2021		2022		2021
Trading revenues	$	4,034	$	1,383	$	16,361	$	937
Interest expense	67		77		203		234
Net revenues1	$	3,967	$	1,306	$	16,158	$	703

1.Amounts do not reflect any gains or losses from related economic hedges.

Gains (losses) from changes in fair value are recorded in Trading revenues and are mainly attributable to movements in the reference price or index, interest rates or foreign exchange rates.

Gains (Losses) Due to Changes in Instrument-Specific Credit Risk


	Three Months Ended September 30,
	2022				2021
$ in millions	Trading Revenues		OCI		Trading Revenues		OCI
Loans and other receivables1	$	(68)	$	—	$	58	$	—
Lending commitments	(2)		—		(3)		—
Deposits	—		(9)		—		6
Borrowings	—		1,091		(9)		190


	Nine Months Ended September 30,
	2022				2021
$ in millions	Trading Revenues		OCI		Trading Revenues		OCI
Loans and other receivables1	$	(59)	$	—	$	311	$	—
Lending commitments	(3)		—		(2)		—
Deposits	—		5		—		15
Borrowings	1		3,468		(36)		612


$ in millions	At September 30, 2022		At December 31, 2021
Cumulative pre-tax DVA gain (loss) recognized in AOCI	$	1,034	$	(2,439)

1.Loans and other receivables-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses.

Difference Between Contractual Principal and Fair Value1


$ in millions	At September 30, 2022		At December 31, 2021
Loans and other receivables2	$	10,908	$	12,633
Nonaccrual loans2	8,192		9,999
Borrowings3	5,558		(2,106)

1.Amounts indicate contractual principal greater than or (less than) fair value.

2.The majority of the difference between principal and fair value amounts for loans and other receivables relates to distressed debt positions purchased at amounts well below par.

3.Excludes borrowings where the repayment of the initial principal amount fluctuates based on changes in a reference price or index.

The previous tables exclude non-recourse debt from consolidated VIEs, liabilities related to transfers of financial assets treated as collateralized financings, pledged commodities and other liabilities that have specified assets attributable to them.

Fair Value Loans on Nonaccrual Status


$ in millions	At September 30, 2022		At December 31, 2021
Nonaccrual loans	$	440	$	989
Nonaccrual loans 90 or more days past due	41		363

- Definition

The entire disclosure for a company's election to apply 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) the reasons for electing a fair value option for each eligible item or group of similar eligible items; (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) 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: (i) information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures and (ii) the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (d) 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; (e) 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; (f) for investments that would have been accounted for under the equity method if the entity had not chosen to apply the fair value option, the information required for such investments, if material either individually or in the aggregate; (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) a description of how interest and dividends are measured and where they are reported in the income statement; (c) for loans and other receivables held as assets: (i) the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk and (ii) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (d) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) 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, (ii) qualitative information about the reasons for those changes, and (iii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

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