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Fair Value Disclosures (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value Disclosures  
Assets and Liabilities Measured at Fair Value on a Recurring Basis

Assets and Liabilities Measured at Fair Value on a Recurring Basis.

At September 30, 2015.
Quoted Prices in Active Markets for Identical Assets(Level 1)Significant Observable Inputs(Level 2)Significant Unobservable Inputs(Level 3)Counterparty and Cash Collateral NettingBalance at September 30, 2015
(dollars in millions)
Assets at Fair Value
Trading assets:
U.S. government and agency securities:
U.S. Treasury securities $ 18,359 $ — $ — $ — $ 18,359
U.S. agency securities 1,328 18,690 — — 20,018
Total U.S. government and agency securities 19,687 18,690 — — 38,377
Other sovereign government obligations 19,597 7,493 11 — 27,101
Corporate and other debt:
State and municipal securities — 1,954 33 — 1,987
Residential mortgage-backed securities — 1,746 404 — 2,150
Commercial mortgage-backed securities — 1,868 79 — 1,947
Asset-backed securities — 771 31 — 802
Corporate bonds — 13,207 226 — 13,433
Collateralized debt and loan obligations — 187 545 — 732
Loans and lending commitments — 6,170 5,164 — 11,334
Other debt — 1,714 530 — 2,244
Total corporate and other debt — 27,617 7,012 — 34,629
Corporate equities(1) 96,023 491 575 — 97,089
Derivative and other contracts:
Interest rate contracts 860 368,503 2,160 — 371,523
Credit contracts — 23,844 937 — 24,781
Foreign exchange contracts 102 70,801 347 — 71,250
Equity contracts 876 49,833 951 — 51,660
Commodity contracts 3,392 14,646 3,203 — 21,241
Other — 364 — — 364
Netting(2) (4,652) (437,820) (3,981) (61,072) (507,525)
Total derivative and other contracts 578 90,171 3,617 (61,072) 33,294
Investments:
Investments measured at NAV(3) 4,278
Principal investments 23 97 541 — 661
Other 149 204 312 — 665
Total investments 172 301 853 — 5,604
Physical commodities — 1,717 — — 1,717
Total trading assets 136,057 146,480 12,068 (61,072) 237,811
AFS securities 27,765 33,394 — — 61,159
Securities received as collateral 9,455 — 1 — 9,456
Securities purchased under agreements to resell — 809 — — 809
Intangible assets(4) — — 5 — 5
Total assets measured at fair value$ 173,277 $ 180,683 $ 12,074 $ (61,072)$ 309,240

Quoted Prices in Active Markets for Identical Assets(Level 1)Significant Observable Inputs(Level 2)Significant Unobservable Inputs(Level 3)Counterparty and Cash Collateral NettingBalance at September 30, 2015
(dollars in millions)
Liabilities at Fair Value
Short-term borrowings$ — $ 1,699 $ 69 $ — $ 1,768
Trading liabilities:
U.S. government and agency securities:
U.S. Treasury securities 14,524 — — — 14,524
U.S. agency securities 1,026 135 — — 1,161
Total U.S. government and agency securities 15,550 135 — — 15,685
Other sovereign government obligations 13,611 2,379 — — 15,990
Corporate and other debt:
State and municipal securities — 3 — — 3
Corporate bonds — 6,783 19 — 6,802
Lending commitments — 2 — — 2
Other debt — 7 4 — 11
Total corporate and other debt — 6,795 23 — 6,818
Corporate equities(1) 50,017 1,145 97 — 51,259
Derivative and other contracts:
Interest rate contracts 780 346,806 2,071 — 349,657
Credit contracts — 22,900 1,742 — 24,642
Foreign exchange contracts 60 72,593 281 — 72,934
Equity contracts 691 53,728 2,992 — 57,411
Commodity contracts 3,845 13,551 1,771 — 19,167
Other — 51 — — 51
Netting(2) (4,652) (437,820) (3,981) (41,636) (488,089)
Total derivative and other contracts 724 71,809 4,876 (41,636) 35,773
Total trading liabilities 79,902 82,263 4,996 (41,636) 125,525
Obligation to return securities received as collateral 20,327 — 1 — 20,328
Securities sold under agreements to repurchase — 443 154 — 597
Other secured financings — 3,109 341 — 3,450
Long-term borrowings — 28,925 2,462 — 31,387
Total liabilities measured at fair value$ 100,229 $ 116,439 $ 8,023 $ (41,636)$ 183,055

_____________

AFS—available for sale

(1) For trading purposes, the Company holds or sells short equity securities issued by entities in diverse industries and of varying size.

(2) For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Counterparty and Cash Collateral Netting.” For contracts with the same counterparty, counterparty netting among positions classified within the same level is included within that shared level. For further information on derivative instruments and hedging activities, see Note 4.

(3) Certain investments that are measured at fair value using the NAV per share, or its equivalent, are not classified in the fair value hierarchy. For additional disclosure about such investments, see “Fair Value of Investments that are Measured at Net Asset Value” herein.

(4) Amount represents mortgage servicing rights (“MSRs”) accounted for at fair value.

At December 31, 2014.
Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Observable Inputs(Level 2)Significant Unobservable Inputs(Level 3)Counterparty and Cash Collateral NettingBalance at December 31, 2014
(dollars in millions)
Assets at Fair Value
Trading assets:
U.S. government and agency securities:
U.S. Treasury securities $ 16,961 $ — $ — $ — $ 16,961
U.S. agency securities 850 18,193 — — 19,043
Total U.S. government and agency securities 17,811 18,193 — — 36,004
Other sovereign government obligations 15,149 7,888 41 — 23,078
Corporate and other debt:
State and municipal securities — 2,049 — — 2,049
Residential mortgage-backed securities — 1,991 175 — 2,166
Commercial mortgage-backed securities — 1,484 96 — 1,580
Asset-backed securities — 583 76 — 659
Corporate bonds — 15,800 386 — 16,186
Collateralized debt and loan obligations — 741 1,152 — 1,893
Loans and lending commitments — 6,088 5,874 — 11,962
Other debt — 2,167 285 — 2,452
Total corporate and other debt — 30,903 8,044 — 38,947
Corporate equities(1) 112,490 1,357 272 — 114,119
Derivative and other contracts:
Interest rate contracts 663 495,026 2,484 — 498,173
Credit contracts — 30,813 1,369 — 32,182
Foreign exchange contracts 83 72,769 249 — 73,101
Equity contracts(2) 571 45,967 1,586 — 48,124
Commodity contracts 4,105 18,042 2,268 — 24,415
Other — 376 — — 376
Netting(3) (4,910) (564,127) (4,220) (66,720) (639,977)
Total derivative and other contracts 512 98,866 3,736 (66,720) 36,394
Investments:
Investments measured at NAV(4) 5,009
Principal investments 58 3 835 — 896
Other 225 198 323 — 746
Total investments 283 201 1,158 — 6,651
Physical commodities — 1,608 — — 1,608
Total trading assets 146,245 159,016 13,251 (66,720) 256,801
AFS securities 37,200 32,016 — — 69,216
Securities received as collateral 21,265 51 — — 21,316
Securities purchased under agreements to resell — 1,113 — — 1,113
Intangible assets(5) — — 6 — 6
Total assets measured at fair value$ 204,710 $ 192,196 $ 13,257 $ (66,720)$ 348,452
Liabilities at Fair Value
Short-term borrowings $ — $ 1,765 $ — $ — $ 1,765
Trading liabilities:
U.S. government and agency securities:
U.S. Treasury securities 14,199 — — — 14,199
U.S. agency securities 1,274 85 — — 1,359
Total U.S. government and agency securities 15,473 85 — — 15,558
Other sovereign government obligations 11,653 2,109 — — 13,762
Corporate and other debt:
State and municipal securities — 1 — — 1
Corporate bonds — 5,943 78 — 6,021
Lending commitments — 10 5 — 15
Other debt — 63 38 — 101
Total corporate and other debt — 6,017 121 — 6,138
Corporate equities(1) 31,340 326 45 — 31,711
Derivative and other contracts:
Interest rate contracts 602 469,319 2,657 — 472,578
Credit contracts — 29,997 2,112 — 32,109
Foreign exchange contracts 21 72,233 98 — 72,352
Equity contracts(2) 416 51,405 3,751 — 55,572
Commodity contracts 4,817 15,584 1,122 — 21,523
Other — 172 — — 172
Netting(3) (4,910) (564,127) (4,220) (40,837) (614,094)
Total derivative and other contracts 946 74,583 5,520 (40,837) 40,212
Total trading liabilities 59,412 83,120 5,686 (40,837) 107,381
Obligation to return securities received as collateral 25,629 56 — — 25,685
Securities sold under agreements to repurchase — 459 153 — 612
Other secured financings — 4,355 149 — 4,504
Long-term borrowings — 29,840 1,934 — 31,774
Total liabilities measured at fair value$ 85,041 $ 119,595 $ 7,922 $ (40,837)$ 171,721

_____________

(1) For trading purposes, the Company holds or sells short equity securities issued by entities in diverse industries and of varying size.

(2) The balance of Level 3 asset derivative equity contracts increased by $57 million with a corresponding decrease in the balance of Level 2 asset derivative equity contracts, and the balance of Level 3 liability derivative equity contracts increased by $842 million with a corresponding decrease in the balance of Level 2 liability derivative equity contracts to correct the fair value level assigned to these contracts at December 31, 2014. The total amount of asset and liability derivative equity contracts remained unchanged.

(3) For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Counterparty and Cash Collateral Netting.” For contracts with the same counterparty, counterparty netting among positions classified within the same level is included within that shared level. For further information on derivative instruments and hedging activities, see Note 4.

(4) Certain investments that are measured at fair value using the NAV per share, or its equivalent, are not classified in the fair value hierarchy. For additional disclosure about such investments, see “Fair Value of Investments that are Measured at Net Asset Value” herein.

(5) Amount represents MSRs accounted for at fair value.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
Three Months Ended September 30, 2015.
Beginning Balance at June 30, 2015Total Realized and Unrealized Gains (Losses)(1)Purchases (2)SalesIssuancesSettlementsNet Transfers Ending Balance at September 30, 2015Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at September 30, 2015(3)
(dollars in millions)
Assets at Fair Value
Trading assets:
U.S. agency securities $ 3 $ — $ — $ — $ — $ — $ (3)$ — $ —
Other sovereign government obligations 12 — 5 (4) — — (2) 11 —
Corporate and other debt:
State and municipal securities 7 5 12 (5) — — 14 33 5
Residential mortgage-backed securities 378 3 59 (55) — — 19 404 4
Commercial mortgage-backed securities 84 (12) 17 (6) — — (4) 79 (12)
Asset-backed securities 19 — 13 (7) — — 6 31 —
Corporate bonds 479 (25) 78 (228) — (50) (28) 226 (6)
Collateralized debt and loan obligations 660 (7) 80 (188) — — — 545 (11)
Loans and lending commitments 5,512 (78) 939 (156) — (1,229) 176 5,164 (53)
Other debt 564 (22) 9 (4) — (1) (16) 530 (23)
Total corporate and other debt 7,703 (136) 1,207 (649) — (1,280) 167 7,012 (96)
Corporate equities 486 10 150 (80) — — 9 575 4
Net derivative and other contracts(4):
Interest rate contracts (236) (137) 12 — (7) 74 383 89 (66)
Credit contracts (989) 210 — — (74) 86 (38) (805) 219
Foreign exchange contracts 446 42 3 — — (327) (98) 66 45
Equity contracts (2,102) 309 16 — (50) (187) (27) (2,041) 296
Commodity contracts 1,205 238 — — — (11) — 1,432 179
Total net derivative and
other contracts (1,676) 662 31 — (131) (365) 220 (1,259) 673
Investments:
Principal investments 581 26 8 (50) — — (24) 541 26
Other 300 11 1 — — — — 312 11
Securities received as collateral 3 — — (2) — — — 1 —
Intangible assets 6 (1) — — — — — 5 (1)
Liabilities at Fair Value
Short-term borrowings $ — $ (2)$ — $ — $ 4 $ — $ 63 $ 69 $ (2)
Trading liabilities:
Corporate and other debt:
Corporate bonds 15 9 (10) 23 — — — 19 7
Other debt 4 — — — — — — 4 —
Total corporate and other debt 19 9 (10) 23 — — — 23 7
Corporate equities 112 72 (50) 99 — — 8 97 73
Obligation to return securities
received as collateral 3 — (2) — — — — 1 —
Securities sold under agreements to repurchase 154 — — — — — — 154 —
Other secured financings 168 2 — — 187 (12) — 341 2
Long-term borrowings 2,221 61 — — 237 (81) 146 2,462 64

___________________

(1) Total realized and unrealized gains (losses) are primarily included in Trading revenues in the condensed consolidated statements of income except for $37 million related to Trading assets—Investments, which is included in Investments revenues.

(2) Loan originations are included in purchases.

(3) Amounts represent unrealized gains (losses) for the quarter ended September 30, 2015 related to assets and liabilities still outstanding at September 30, 2015.

(4) Net derivative and other contracts represent Trading assets—Derivative and other contracts net of Trading liabilities—Derivative and other contracts. For further information on derivative instruments and hedging activities, see Note 4.

Nine Months Ended September 30, 2015.
Beginning Balance at December 31, 2014Total Realized and Unrealized Gains (Losses)(1)Purchases (2)SalesIssuancesSettlementsNet TransfersEnding Balance at September 30, 2015Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at September 30, 2015(3)
(dollars in millions)
Assets at Fair Value
Trading assets:
Other sovereign government obligations $ 41 $ (1)$ 7 $ (31)$ — $ — $ (5)$ 11 $ —
Corporate and other debt:
State and municipal securities — 5 14 (1) — — 15 33 5
Residential mortgage-backed securities 175 28 172 (57) — — 86 404 19
Commercial mortgage-backed securities 96 (17) 23 (23) — — — 79 (19)
Asset-backed securities 76 (1) 22 (31) — — (35) 31 4
Corporate bonds 386 (19) 155 (218) — (53) (25) 226 (16)
Collateralized debt and loan obligations 1,152 141 320 (709) — (331) (28) 545 (7)
Loans and lending commitments 5,874 (34) 1,860 (95) — (2,461) 20 5,164 (62)
Other debt 285 (13) 30 (14) — (25) 267 530 —
Total corporate and other debt 8,044 90 2,596 (1,148) — (2,870) 300 7,012 (76)
Corporate equities 272 57 437 (199) — — 8 575 67
Net derivative and other contracts(4):
Interest rate contracts (173) (37) 16 — (22) 277 28 89 20
Credit contracts (743) (69) 6 — (94) 86 9 (805) (89)
Foreign exchange contracts 151 133 4 — (1) (197) (24) 66 133
Equity contracts(5) (2,165) (76) 115 — (279) 252 112 (2,041) (237)
Commodity contracts 1,146 345 2 — (112) 111 (60) 1,432 420
Total net derivative and
other contracts (1,784) 296 143 — (508) 529 65 (1,259) 247
Investments:
Principal investments 835 22 20 (109) — (187) (40) 541 —
Other 323 (5) 2 (6) — — (2) 312 —
Securities received as collateral — — 1 — — — — 1 —
Intangible assets 6 — — — — (1) — 5 —
Liabilities at Fair Value
Short-term borrowings $ — $ (2)$ — $ — $ 60 $ — $ 7 $ 69 $ (2)
Trading liabilities:
Corporate and other debt:
Corporate bonds 78 6 (25) 37 — — (65) 19 6
Lending commitments 5 5 — — — — — — 5
Other debt 38 — (1) 7 — (39) (1) 4 —
Total corporate and other debt 121 11 (26) 44 — (39) (66) 23 11
Corporate equities 45 90 (88) 128 — — 102 97 90
Obligation to return securities
received as collateral — — — 1 — — — 1 —
Securities sold under agreements to repurchase 153 (1) — — — — — 154 —
Other secured financings 149 (5) — — 223 (36) — 341 4
Long-term borrowings 1,934 159 — — 853 (213) 47 2,462 157

___________

(1) Total realized and unrealized gains (losses) are primarily included in Trading revenues in the Company’s condensed consolidated statements of income except for $17 million related to Trading assets—Investments, which is included in Investments revenues.

(2) Loan originations are included in purchases.

(3) Amounts represent unrealized gains (losses) for the nine months ended September 30, 2015 related to assets and liabilities still outstanding at September 30, 2015.

(4) Net derivative and other contracts represent Trading assets—Derivative and other contracts net of Trading liabilities—Derivative and other contracts. For further information on derivative instruments and hedging activities, see Note 4.

(5) Net liability Level 3 derivative equity contracts increased by $785 million to correct the fair value level assigned to these contracts at December 31, 2014. The total amount of derivative equity contracts remained unchanged at December 31, 2014.

Three Months Ended September 30, 2014.
Beginning Balance at June 30, 2014Total Realized and Unrealized Gains (Losses)(1)Purchases (2)SalesIssuancesSettlementsNet TransfersEnding Balance at September 30, 2014Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at September 30, 2014(3)
(dollars in millions)
Assets at Fair Value
Trading assets:
Other sovereign government obligations $ 14 $ (1)$ — $ (1)$ — $ — $ 1 $ 13 $ (1)
Corporate and other debt:
State and municipal securities 4 — — — — — (4) — —
Residential mortgage-backed securities 55 11 33 (7) — (11) — 81 11
Commercial mortgage-backed securities 47 (1) 1 (3) — — 13 57 (2)
Asset-backed securities 65 5 27 (8) — — 22 111 5
Corporate bonds 510 36 99 (148) — — 9 506 38
Collateralized debt obligations 1,332 8 299 (362) — (6) — 1,271 6
Loans and lending commitments 5,829 (20) 2,138 (676) — (721) 957 7,507 (24)
Other debt 22 — 135 (3) — — 1 155 —
Total corporate and other debt 7,864 39 2,732 (1,207) — (738) 998 9,688 34
Corporate equities 243 (2) 30 (41) — — 11 241 7
Net derivative and other contracts(4):
Interest rate contracts (109) (15) 7 — (3) (17) 150 13 (22)
Credit contracts (710) 209 7 — (64) (108) (16) (682) 140
Foreign exchange contracts 109 (27) 6 (3) — 70 (1) 154 (25)
Equity contracts (1,097) (6) 56 — (59) (105) 23 (1,188) (9)
Commodity contracts 1,132 73 36 — — (62) (12) 1,167 12
Other (3) (1) — — — 4 — — —
Total net derivative and other contracts (678) 233 112 (3) (126) (218) 144 (536) 96
Investments:
Principal investments 883 (1) 22 (23) — — 32 913 (1)
Other 380 (3) 14 — — — 2 393 (3)
Intangible assets 6 — — — — — — 6 —
Liabilities at Fair Value
Trading liabilities:
Other sovereign government obligations $ — $ — $ — $ — $ — $ — $ 2 $ 2 $ —
Corporate and other debt:
Corporate bonds 14 1 (8) 46 — — (3) 48 1
Lending commitments 12 12 — — — — — — —
Other debt 42 5 — — — (2) — 35 5
Total corporate and other debt 68 18 (8) 46 — (2) (3) 83 6
Corporate equities 6 (5) (12) 2 — — 2 3 (4)
Securities sold under agreements to repurchase 155 2 — — — — — 153 2
Other secured financings 135 — — — 4 (3) 26 162 —
Long-term borrowings 1,779 72 — — 136 (108) 186 1,921 72

___________

(1) Total realized and unrealized gains (losses) are primarily included in Trading revenues in the condensed consolidated statements of income except for $(4) million related to Trading assets—Investments, which is included in Investments revenues.

(2) Loan originations are included in purchases.

(3) Amounts represent unrealized gains (losses) for the quarter ended September 30, 2014 related to assets and liabilities still outstanding at September 30, 2014.

(4) Net derivative and other contracts represent Trading assets—Derivative and other contracts net of Trading liabilities—Derivative and other contracts. For further information on derivative instruments and hedging activities, see Note 4.

Nine Months Ended September 30, 2014.
Beginning Balance at December 31, 2013Total Realized and Unrealized Gains (Losses)(1)Purchases (2)SalesIssuancesSettlementsNet TransfersEnding Balance at September 30, 2014Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at September 30, 2014(3)
(dollars in millions)
Assets at Fair Value
Trading assets:
Other sovereign government obligations $ 27 $ (1)$ 7 $ (21)$ — $ — $ 1 $ 13 $ (1)
Corporate and other debt:
Residential mortgage-backed securities 47 34 30 (9) — (20) (1) 81 29
Commercial mortgage-backed securities 108 11 22 (97) — — 13 57 (3)
Asset-backed securities 103 (3) 58 (93) — — 46 111 (3)
Corporate bonds 522 107 185 (302) — — (6) 506 84
Collateralized debt and loan obligations 1,468 137 716 (940) — (109) (1) 1,271 45
Loans and lending commitments 5,129 (202) 3,962 (327) — (1,299) 244 7,507 (181)
Other debt 27 4 128 (6) — (2) 4 155 3
Total corporate and other debt 7,404 88 5,101 (1,774) — (1,430) 299 9,688 (26)
Corporate equities 190 17 83 (47) — — (2) 241 10
Net derivative and other contracts(4):
Interest rate contracts 113 (4) 8 — (3) (61) (40) 13 4
Credit contracts (147) (434) 52 — (118) 10 (45) (682) (475)
Foreign exchange contracts 68 (6) 6 (1) — 106 (19) 154 (2)
Equity contracts (831) (19) 223 (1) (273) (370) 83 (1,188) (66)
Commodity contracts 880 177 200 — — (90) — 1,167 99
Other (4) (1) — — — 5 — — —
Total net derivative and other contracts 79 (287) 489 (2) (394) (400) (21) (536) (440)
Investments:
Principal investments 2,160 49 36 (124) — (1,234) 26 913 129
Other 538 (13) 17 (11) — — (138) 393 (6)
Intangible assets 8 — — — — (2) — 6 (1)
Liabilities at Fair Value
Short-term borrowings $ 1 $ — $ — $ — $ — $ (1)$ — $ — $ —
Trading liabilities:
Other sovereign government obligations — — — — — — 2 2 —
Corporate and other debt:
Corporate bonds 22 2 (46) 85 — — (11) 48 3
Lending commitments 2 2 — — — — — — —
Other debt 48 15 — — — 1 1 35 5
Total corporate and other debt 72 19 (46) 85 — 1 (10) 83 8
Corporate equities 8 (6) (16) 2 — — 3 3 (6)
Securities sold under agreements to repurchase 154 1 — — — — — 153 1
Other secured financings 278 (9) — — 21 (188) 42 162 (6)
Long-term borrowings 1,887 17 — — 372 (289) (32) 1,921 15

__________

(1) Total realized and unrealized gains (losses) are primarily included in Trading revenues in the Company’s condensed consolidated statements of income except for $36 million related to Trading assets—Investments, which is included in Investments revenues.

(2) Loan originations are included in purchases.

(3) Amounts represent unrealized gains (losses) for the nine months ended September 30, 2014 related to assets and liabilities still outstanding at September 30, 2014.

(4) Net derivative and other contracts represent Trading assets—Derivative and other contracts, net of Trading liabilities—Derivative and other contracts. For further information on derivative instruments and hedging activities, see Note 4.

Quantitative Information about and Sensitivity of Significant Unobservable Inputs used in Recurring Level 3 Fair Value Measurements
At September 30, 2015
Balance at September 30, 2015Valuations Technique(s) /Significant Unobservable Input(s) /Sensitivity of the Fair Value to Changes in the Unobservable InputsRange(1)Averages(2)
(dollars in millions)
Assets at Fair Value
Trading assets:
Corporate and other debt:
Residential mortgage-backed
securities$ 404 Comparable pricing:
Comparable bond price / (A)0 to 80 points36 points
Commercial mortgage-backed
securities 79 Comparable pricing:
Comparable bond price / (A)0 to 9 points2 points
Corporate bonds 226 Comparable pricing:
Comparable bond price / (A)4 to 119 points83 points
Collateralized debt and loan
obligations 545 Comparable pricing(3):
Comparable bond price / (A)45 to 103 points77 points
Correlation model:
Credit correlation / (B)35% to 60%49%
Loans and lending commitments 5,164 Corporate loan model:
Credit spread / (C)72 to 831 basis points544 basis points
Margin loan model:
Credit spread / (C)(D)80 to 548 basis points165 basis points
Volatility skew / (C)(D)14% to 70%36%
Discount rate / (C)(D)2% to 6%4%
Option model:
Volatility skew / (C)-1%-1%
Comparable pricing(3):
Comparable loan price / (A)40 to 103 points89 points
Discounted cash flow
Implied weighted average cost of capital / (C)(D)6% to 8%7%
Capitalization rate / (C)(D)4% to 10%4%
Other debt 530 Comparable pricing:
Comparable loan price / (A)3 to 84 points65 points
Comparable pricing:
Comparable bond price / (A)11 points11 points
Option model:
At the money volatility / (A)16% to 53%16%
Margin loan model(3):
Discount rate / (C)1% to 2%1%
Corporate equities 575 Comparable pricing:
Comparable price / (A)59% to 91%78%
Comparable pricing(3):
Comparable equity price / (A)100%100%
Market approach:
EBITDA multiple / (A)(D)9 times9 times
Price / Book ratio / (A)(D)0 times0 times
Net derivative and other contracts(4):
Interest rate contracts 89 Option model:
Interest rate volatility concentration
liquidity multiple / (C)(D)0 to 3 times2 times
Interest rate - Foreign exchange
correlation / (C)(D)26% to 62%44% / 43% (5)
Interest rate volatility skew / (A)(D)32% to 91%44% / 43% (5)
Interest rate quanto correlation / (A)(D)-8% to 37%2% / -8% (5)
Interest rate curve correlation / (C)(D)24% to 93%69% / 75% (5)
Inflation volatility / (A)(D)60%60% / 60% (5)
Interest rate - Inflation correlation / (A)(D)-43% to -41%-43% / -43% (5)
Credit contracts (805)Comparable pricing:
Cash synthetic basis / (C)(D)5 to 12 points9 points
Comparable bond price / (C)(D)0 to 75 points25 points
Correlation model(3):
Credit correlation / (B)34% to 99%58%
Foreign exchange contracts(6) 66 Option model:
Interest rate - Foreign exchange correlation /
(C)(D)26% to 62%44% / 43% (5)
Interest rate volatility skew / (A)(D)32% to 91%44% / 43% (5)
Interest rate curve / (A)(D)0% to 1%0% / 0% (5)
Interest rate quanto correlation / (A)(D)-8% to 37%2% / -8% (5)
Equity contracts(6) (2,041)Option model:
At the money volatility / (A)(D) 16% to 62%31%
Volatility skew / (A)(D)-3% to 0%-1%
Equity - Equity correlation / (C)(D)40% to 99%72%
Equity - Foreign exchange correlation / (A)(D)-50% to 10%-16%
Equity - Interest rate correlation / (C)(D)-31% to 50%14% / 7% (5)
Commodity contracts 1,432 Option model:
Forward power price / (C)(D)$4 to $91 per$33 per
Megawatt hourMegawatt hour
Commodity volatility / (A)(D)10% to 59%18%
Cross commodity correlation / (C)(D)43% to 100%93%
Investments:
Principal investments 541 Discounted cash flow:
Implied weighted average cost of capital / (C)(D)14%14%
Exit multiple / (A)(D)10 times10 times
Capitalization rate / (C)(D) 5% to 10%6%
Equity discount rate / (C)(D)18% to 35%21%
Market approach(3):
EBITDA multiple / (A)(D)9 to 19 times11 times
Forward capacity price / (A)(D)$5 to $9$7
Comparable pricing:
Comparable equity price / (A)75% to 100%84%
Other 312 Discounted cash flow:
Implied weighted average cost of capital / (C)(D)10%10%
Exit multiple / (A)(D)10 times10 times
Market approach:
EBITDA multiple / (A)8 to 14 times10 times
Comparable pricing(3):
Comparable equity price / (A)100%100%
Liabilities at Fair Value
Short-term borrowings$ 69 Comparable pricing:
Comparable equity price / (A)20%20%
Corporate equities 97 Comparable pricing:
Comparable equity price / (A)0% to 100%80%
Securities sold under agreements
to repurchase 154 Discounted cash flow:
Funding spread / (A)96 to 123 basis points113 basis points
Other secured financings 341 Comparable pricing:
Comparable bond price / (A)100 points100 points
Discounted cash flow(3):
Discount rate / (C)4% to 17%5%
Discounted cash flow:
Funding spread / (A)108 to 130 basis points119 basis points
Long-term borrowings 2,462 Option model(3):
At the money volatility / (C)(D)22% to 40%29%
Volatility skew / (A)(D)-2% to 0%-1%
Equity - Equity correlation / (A)(D)40% to 97%78%
Equity - Foreign exchange correlation / (C)(D)-70% to 35%-42%
Option model:
Equity alpha / (A)25% to 80%63%
Correlation model:
Credit correlation / (B)40% to 60%44%
Comparable pricing:
Comparable equity price / (A)100 %100%

At December 31, 2014.
Valuation Technique(s) /
Significant Unobservable Input(s) /
Balance at Sensitivity of the Fair Value to Changes
December 31, 2014 in the Unobservable InputsRange(1)Averages(2)
Assets at Fair Value(dollars in millions)
Trading assets:
Corporate and other debt:
Residential mortgage-backed
securities$ 175 Comparable pricing:
Comparable bond price / (A)3 to 90 points15 points
Commercial mortgage-backed
securities 96 Comparable pricing:
Comparable bond price / (A)0 to 7 points1 point
Asset-backed securities 76 Comparable pricing:
Comparable bond price / (A)0 to 62 points23 points
Corporate bonds 386 Comparable pricing:
Comparable bond price / (A)1 to 160 points90 points
Collateralized debt and loan
obligations 1,152 Comparable pricing(3):
Comparable bond price / (A)20 to 100 points66 points
Correlation model:
Credit correlation / (B)47% to 65%56%
Loans and lending commitments 5,874 Corporate loan model:
Credit spread / (C)36 to 753 basis points373 basis points
Margin loan model:
Credit spread / (C)(D)150 to 451 basis points216 basis points
Volatility skew / (C)(D)3% to 37%21%
Discount rate / (C)(D)2% to 3%3%
Option model:
Volatility skew / (C)-1%-1%
Comparable pricing(3):
Comparable loan price / (A)15 to 105 points89 points
Other debt 285 Comparable pricing(3):
Comparable loan price / (A)0 to 75 points39 points
Comparable pricing:
Comparable bond price / (A)15 points15 points
Option model:
At the money volatility / (A)15% to 54%15%
Corporate equities 272 Net asset value:
Discount to net asset value / (C)0% to 71%36%
Comparable pricing:
Comparable price / (A)83% to 96%85%
Comparable pricing(3):
Comparable equity price / (A)100%100%
Market approach:
EBITDA multiple / (A)(D)6 to 9 times8 times
Price / Book ratio / (A)(D)0 times0 times
Net derivative and other contracts(4):
Interest rate contracts (173)Option model:
Interest rate volatility concentration
liquidity multiple / (C)(D)0 to 3 times2 times
Interest rate - Foreign exchange
correlation / (A)(D)28% to 62%44% / 42%(5)
Interest rate volatility skew / (A)(D)38% to 104%86% / 60%(5)
Interest rate quanto correlation / (A)(D)-9% to 35%6% / -6%(5)
Interest rate curve correlation / (A)(D)44% to 87%73% / 80%(5)
Inflation volatility / (A)(D)69% to 71%70% / 71%(5)
Interest rate - Inflation correlation / (A)(D)-44% to -40%-42% / -43%(5)
Credit contracts (743)Comparable pricing:
Cash synthetic basis / (C)(D)5 to 13 points9 points
Comparable bond price / (C)(D)0 to 55 points18 points
Correlation model(3):
Credit correlation / (B)42% to 95%63%
Foreign exchange contracts(6) 151 Option model:
Interest rate quanto correlation / (A)(D)-9% to 35%6% / -6%(5)
Interest rate - Credit spread correlation / (A)(D)-54% to -2%-17% / -11%(5)
Interest rate curve correlation / (A)(D)44% to 87%73% / 80%(5)
Interest rate - Foreign exchange correlation
/ (A)(D)28% to 62%44% / 42%(5)
Interest rate curve / (A)(D)0% to 2%1% / 1%(5)
Equity contracts(6)(7) (2,165)Option model:
At the money volatility / (A)(D) 14% to 51%29%
Volatility skew / (A)(D)-2% to 0%-1%
Equity - Equity correlation / (C)(D)40% to 99%72%
Equity - Foreign exchange correlation / (C)(D)-50% to 10%-16%
Equity - Interest rate correlation / (C)(D)-18% to 81%26% / 11%(5)
Commodity contracts 1,146 Option model:
Forward power price / (C)(D)$5 to $106 per$38 per
Megawatt hourMegawatt hour
Commodity volatility / (A)(D)11% to 90%19%
Cross commodity correlation / (C)(D)33% to 100%93%
Investments:
Principal investments 835 Discounted cash flow:
Implied weighted average cost of capital / (C)(D)11%11%
Exit multiple / (A)(D)10 times10 times
Discounted cash flow:
Equity discount rate / (C)25%25%
Market approach(3):
EBITDA multiple / (A)(D)4 to 14 times10 times
Price / Earnings ratio / (A)(D)23 times23 times
Forward capacity price / (A)(D)$5 to $7$7
Comparable pricing:
Comparable equity price / (A)64% to 100%95%
Other 323 Discounted cash flow:
Implied weighted average cost of capital / (C)(D)10% to 13%11%
Exit multiple / (A)(D)6 to 9 times9 times
Market approach:
EBITDA multiple / (A)(D)9 to 13 times10 times
Comparable pricing(3):
Comparable equity price / (A)100%100%
Liabilities at Fair Value
Trading liabilities:
Corporate and other debt:
Corporate bonds $ 78 Option model:
Volatility skew / (C)(D)-1%-1%
At the money volatility / (C)(D) 10%10%
Securities sold under agreements
to repurchase 153 Discounted cash flow:
Funding spread / (A)75 to 91 basis points86 basis points
Other secured financings 149 Comparable pricing:
Comparable bond price / (A)99 to 101 points100 points
Discounted cash flow(3):
Funding spread / (A)82 to 98 basis points95 basis points
Long-term borrowings 1,934 Option model(3):
At the money volatility / (C)(D)18% to 32%27%
Volatility skew / (A)(D)-1% to 0%0%
Equity - Equity correlation / (A)(D)40% to 90%68%
Equity - Foreign exchange correlation / (C)(D)-73% to 30%-32%
Option model:
Equity alpha / (A)0% to 94%67%
Correlation model:
Credit correlation / (B)48% to 65%51%

________________

EBITDA—Earnings before interest, taxes, depreciation and amortization

(1) The ranges of significant unobservable inputs are represented in points, percentages, basis points, times or megawatt hours. Points are a percentage of par; for example, 80 points would be 80% of par. A basis point equals 1/100th of 1%; for example, 831 basis points would equal 8.31%. 

(2) Amounts represent weighted averages except where simple averages and the median of the inputs are provided (see footnote 5 below). Weighted averages are calculated by weighting each input by the fair value of the respective financial instruments except for collateralized debt and loan obligations, principal investments, other debt, corporate bonds, long-term borrowings and derivative instruments where some or all inputs are weighted by risk.

(3) This is the predominant valuation technique for this major asset or liability class.

(4) Credit Valuation Adjustment (“CVA”) and Funding Valuation Adjustments (“FVA”) are included in the balance, but excluded from the Valuation Technique(s) and Significant Unobservable Input(s) in the table above. CVA is a Level 3 input when the underlying counterparty credit curve is unobservable. FVA is a Level 3 input in its entirety given the lack of observability of funding spreads in the principal market.

(5) The data structure of the significant unobservable inputs used in valuing interest rate contracts, foreign exchange contracts and certain equity contracts may be in a multi-dimensional form, such as a curve or surface, with risk distributed across the structure. Therefore, a simple average and median, together with the range of data inputs, may be more appropriate measurements than a single point weighted average.

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

(7) Net liability Level 3 derivative equity contracts increased by $785 million to correct the fair value level assigned to these contracts at December 31, 2014. This correction did not result in a change to the Valuation Technique(s), Significant Unobservable Inputs, Ranges or Averages.

Sensitivity of the fair value to changes in the unobservable inputs:

(A) Significant increase (decrease) in the unobservable input in isolation would result in a significantly higher (lower) fair value measurement.

(B) Significant changes in credit correlation may result in a significantly higher or lower fair value measurement. Increasing (decreasing) correlation drives a redistribution of risk within the capital structure such that junior tranches become less (more) risky and senior tranches become more (less) risky.

(C) Significant increase (decrease) in the unobservable input in isolation would result in a significantly lower (higher) fair value measurement.

(D) There are no predictable relationships between the significant unobservable inputs.

Fair Value of Investments that Calculate Net Asset Value
At September 30, 2015At December 31, 2014
Fair ValueCommitmentFair ValueCommitment
(dollars in millions)
Private equity funds$ 1,962 $ 597 $ 2,569 $ 613
Real estate funds 1,664 135 1,753 112
Hedge funds(1):
Long-short equity hedge funds 447 ─ 433 ─
Fixed income/credit-related hedge funds 73 ─ 76 ─
Event-driven hedge funds 3 ─ 39 ─
Multi-strategy hedge funds 129 4 139 3
Total$ 4,278 $ 736 $ 5,009 $ 728

(1) Fixed income/credit-related hedge funds, event-driven hedge funds and multi-strategy hedge funds are redeemable at least on a three-month period basis, primarily with a notice period of 90 days or less. At September 30, 2015, approximately 32% of the fair value amount of long-short equity hedge funds was redeemable at least quarterly, 48% is redeemable every six months and 20% of these funds have a redemption frequency of greater than six months. At December 31, 2014, approximately 36% of the fair value amount of long-short equity hedge funds was redeemable at least quarterly, 47% is redeemable every six months and 17% of these funds have a redemption frequency of greater than six months. The notice period for long-short equity hedge funds at September 30, 2015 and December 31, 2014 was primarily greater than six months.

At September 30, 2015
Fair Value of the Funds Estimated to be Liquidated
Fund TypeLess than 5 years5-10 yearsOver 10 yearsTotal
(dollars in millions)
Private equity funds$ 139 $ 1,151 $ 672 $ 1,962
Real estate funds 235 882 547 1,664

At September 30, 2015
Hedge Fund Restrictions
Hedge Fund TypeFair ValueLock-up RestrictionsGate Restrictions
(dollars in millions)
Long-short equity(1)(2)$ 447 1%12%
Fixed income/credit-related(1) 73 13%N/A
Event-driven(1) 3 3%N/A
Multi-strategy(1)(2) 129 37%28%

N/A—Not Applicable.

(1) The remaining restriction period subject to lock-up restrictions was primarily over three years at September 30, 2015.

(2) The restriction period for these investments subject to an exit restriction was indefinite at September 30, 2015.
Net Gains (Losses) Due to Changes in Fair Value for Items Measured at Fair Value Pursuant to the Fair Value Option Election
InterestGains (Losses)
TradingIncomeIncluded in
Revenues(Expense)Net Revenues
(dollars in millions)
Three Months Ended September 30, 2015
Securities purchased under agreements to resell$ (1)$ 2 $ 1
Short-term borrowings(1) (85) ─ (85)
Securities sold under agreements to repurchase ─ (2) (2)
Long-term borrowings(1) 1,137 (129) 1,008
Nine Months Ended September 30, 2015
Securities purchased under agreements to resell$ (4)$ 7 $ 3
Short-term borrowings(1) (127) ─ (127)
Securities sold under agreements to repurchase 4 (5) (1)
Long-term borrowings(1) 2,226 (399) 1,827
Three Months Ended September 30, 2014
Securities purchased under agreements to resell$ (2)$ 2 $ ─
Short-term borrowings(2) 5 2 7
Securities sold under agreements to repurchase 3 (2) 1
Long-term borrowings(2) 1,579 (174) 1,405
Nine Months Ended September 30, 2014
Securities purchased under agreements to resell$ (4)$ 6 $ 2
Short-term borrowings(2) (32) 2 (30)
Securities sold under agreements to repurchase (2) (4) (6)
Long-term borrowings(2) 631 (520) 111

  • Of the total gains (losses) recorded in Trading revenues for short-term and long-term borrowings for the quarter and nine months ended September 30, 2015, $435 million and $742 million, respectively, are attributable to changes in the credit quality of the Company and other credit factors, and the respective remainder is attributable to changes in foreign currency rates or interest rates or movements in the reference price or index for structured notes before the impact of related hedges.
  • Of the total gains (losses) recorded in Trading revenues for short-term and long-term borrowings for the quarter and nine months ended September 30, 2014, $215 million and $428 million, respectively, are attributable to changes in the credit quality of the Company and other credit factors, and the respective remainder is attributable to changes in foreign currency rates or interest rates or movements in the reference price or index for structured notes before the impact of related hedges.
Breakdown of Outstanding Short-term and Long-term Borrowings
Short-Term and Long-Term Borrowings
Business UnitAt September 30, 2015At December 31, 2014
(dollars in millions)
Equity$ 17,054 $ 17,253
Interest rates 13,614 13,545
Credit and foreign exchange 1,947 2,105
Commodities 540 636
Total$ 33,155 $ 33,539
Gains (Losses) Due to Changes in Instrument Specific Credit Risk
Three Months EndedNine Months Ended
September 30,September 30,
2015201420152014
(dollars in millions)
Short-term and long-term borrowings(1)$ 435 $ 215 $ 742 $ 428
Loans and other debt(2) (32) 25 39 153
Lending commitments(3) 5 2 13 29

_____________

(1) The change in the fair value of short-term and long-term borrowings (primarily structured notes) includes an adjustment to reflect the change in credit quality of the Company based upon observations of the Company’s secondary bond market spreads and changes in other credit factors.

(2) Loans and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses, such as those due to changes in interest rates.

(3) Gains (losses) on lending commitments were generally determined based on the differential between estimated expected client yields and contractual yields at each respective period-end.

Net Difference between Contractual Principal Amount and Fair Value
Contractual Principal Amount Exceeds Fair Value
At September 30, 2015At December 31, 2014
(dollars in millions)
Loans and other debt(1)$ 14,186 $ 14,990
Loans 90 or more days past due and/or on nonaccrual status(1)(2) 11,798 12,916
Short-term and long-term borrowings(3) 694 (670)

_____________

(1) The majority of the difference between principal and fair value amounts for loans and other debt emanates from the Company’s distressed debt trading business, which purchases distressed debt at amounts well below par.

(2) The aggregate fair value of loans that were in nonaccrual status, which includes all loans 90 or more days past due, was $2,070 million and $1,367 million at September 30, 2015 and December 31, 2014, respectively. The aggregate fair value of loans that were 90 or more days past due was $916 million and $643 million at September 30, 2015 and December 31, 2014, respectively.

(3) Short-term and long-term borrowings do not include structured notes where the repayment of the initial principal amount fluctuates based on changes in the reference price or index.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Three Months and Nine Months Ended September 30, 2015.

Fair Value Measurements Using:
Quoted PricesTotalTotal
in Active Gains (Losses) Gains (Losses)
CarryingMarkets forSignificantSignificant for the for the
Value atIdenticalObservableUnobservableThree Months EndedNine Months Ended
September 30,AssetsInputsInputsSeptember 30,September 30,
2015(1)(Level 1)(Level 2)(Level 3)2015(2)2015(2)
(dollars in millions)
Assets:
Loans(3)$ 5,089 $ ─ $ 3,060 $ 2,029 $ 12 $ (201)
Other investments(4) ─ ─ ─ ─ ─ (2)
Premises, equipment and
software costs(5) ─ ─ ─ ─ (2) (24)
Total assets$ 5,089 $ ─ $ 3,060 $ 2,029 $ 10 $ (227)
Liabilities:
Other liabilities and accrued
expenses(3)$ (427)$ ─ $ (365)$ (62)$ (144)$ (171)
Total liabilities$ (427)$ ─ $ (365)$ (62)$ (144)$ (171)

Three Months and Nine Months Ended September 30, 2014

.

Fair Value Measurements Using:
Quoted PricesTotalTotal
in Active Gains (Losses) Gains (Losses)
CarryingMarkets forSignificantSignificantfor thefor the
Value atIdenticalObservableUnobservableThree Months EndedNine Months Ended
September 30,AssetsInputsInputsSeptember 30,September 30,
2014(1)(Level 1)(Level 2)(Level 3)2014(2)2014(2)
(dollars in millions)
Assets:
Loans(3)$ 2,672 $ ─ $ 1,996 $ 676 $ (45)$ (55)
Other investments(4) 38 ─ ─ 38 (2) (27)
Premises, equipment and
software costs(5) software costs(5) ─ ─ ─ ─ (27) (43)
Intangible assets(4) 20 ─ ─ 20 (4) (6)
Other assets(5) ─ ─ ─ ─ ─ (9)
Total assets$ 2,730 $ ─ $ 1,996 $ 734 $ (78)$ (140)

_____________

(1) Carrying values relate only to those assets that had fair value adjustments during the quarters ended September 30, 2015 and 2014.

(2) Changes in the fair value of Loans and losses related to Other investments are recorded within Other revenues in the Company’s condensed consolidated statements of income. Losses related to Premises, equipment and software costs, Intangible assets and Other assets are recorded within Other expenses if not held for sale and within Other revenues if held for sale. Losses related to Other liabilities and accrued expenses are recorded within Other revenues and represent non-recurring fair value adjustments for certain lending commitments designated as held for sale.

(3) Non-recurring changes in the fair value of loans and lending commitments held for investment or held for sale were calculated using recently executed transactions; market price quotations; valuation models that incorporate market observable inputs where possible, such as comparable loan or debt prices and credit default swap spread levels adjusted for any basis difference between cash and derivative instruments; or default recovery analysis where such transactions and quotations are unobservable.

(4) Losses related to Other investments and Intangible assets were determined primarily using discounted cash flow models and methodologies that incorporate multiples of certain comparable companies.

(5) Losses related to Premises, equipment and software costs and Other assets were determined primarily using a default recovery analysis.

Financial Instruments Not Measured at Fair Value
At September 30, 2015.
At September 30, 2015Fair Value Measurements Using:
Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Observable Inputs (Level 2)Significant Unobservable Inputs (Level 3)
(dollars in millions)
Financial Assets:
Cash and due from banks$ 19,244 $ 19,244 $ 19,244 $ — $ —
Interest bearing deposits with banks 34,274 34,274 34,274 — —
Cash deposited with clearing organizations or segregated under
federal and other regulations or requirements 35,552 35,552 35,552 — —
Investment securities—HTM securities 3,530 3,528 1,007 2,521 —
Securities purchased under agreements to resell 126,397 126,397 — 125,731 666
Securities borrowed 148,245 148,232 — 148,148 84
Customer and other receivables(1) 46,134 46,028 — 41,230 4,798
Loans(2) 78,209 79,026 — 17,317 61,709
Financial Liabilities:
Deposits$ 147,226 $ 147,248 $ — $ 147,248 $ —
Short-term borrowings 214 214 — 214 —
Securities sold under agreements to repurchase 57,973 58,036 — 55,598 2,438
Securities loaned 20,644 20,657 — 20,488 169
Other secured financings 6,721 6,720 — 5,441 1,279
Customer and other payables(1) 190,434 190,434 — 190,434 —
Long-term borrowings 128,956 130,826 — 130,747 79

At December 31, 2014
At December 31, 2014Fair Value Measurements Using:
Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Observable Inputs (Level 2)Significant Unobservable Inputs (Level 3)
(dollars in millions)
Financial Assets:
Cash and due from banks$ 21,381 $ 21,381 $ 21,381 $ — $ —
Interest bearing deposits with banks 25,603 25,603 25,603 — —
Cash deposited with clearing organizations or segregated under
federal and other regulations or requirements 40,607 40,607 40,607 — —
Investment securities—HTM securities 100 100 100 — —
Securities purchased under agreements to resell 82,175 82,165 — 81,981 184
Securities borrowed 136,708 136,708 — 136,696 12
Customer and other receivables(1) 45,116 45,028 — 39,945 5,083
Loans(2) 66,577 67,800 — 18,212 49,588
Financial Liabilities:
Deposits$ 133,544 $ 133,572 $ — $ 133,572 $ —
Short-term borrowings 496 496 — 496 —
Securities sold under agreements to repurchase 69,337 69,433 — 63,921 5,512
Securities loaned 25,219 25,244 — 24,740 504
Other secured financings 7,581 7,881 — 5,465 2,416
Customer and other payables(1) 178,373 178,373 — 178,373 —
Long-term borrowings 120,998 124,961 — 124,150 811

___________________

HTM—held to maturity

(1) Accrued interest, fees, and dividend receivables and payables where carrying value approximates fair value have been excluded.

(2) Amounts include all loans measured at fair value on a non-recurring basis.