XML 54 R28.htm IDEA: XBRL DOCUMENT v3.19.2
Fair Values (Tables)
 6 Months Ended
Jun. 30, 2019
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis
Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
At June 30, 2019
$ in millions
Level 1
Level 2
Level 3
Netting1
Total
Assets at fair value
 
 
 
 
 
Trading assets:
 
 
 
 
 
U.S. Treasury and agency securities
$
55,358

$
27,102

$
5

$
—

$
82,465

Other sovereign government obligations
32,032

5,221

10

—

37,263

State and municipal securities
—

3,335

16

—

3,351

MABS
—

1,471

480

—

1,951

Loans and lending commitments2
—

5,452

5,604

—

11,056

Corporate and other debt
—

19,872

1,364

—

21,236

Corporate equities3
90,741

463

98

—

91,302

Derivative and other contracts:
 
 
 
 
Interest rate
3,158

190,360

1,359

—

194,877

Credit
—

5,540

786

—

6,326

Foreign exchange
15

56,361

21

—

56,397

Equity
1,632

41,040

1,401

—

44,073

Commodity and other
1,081

9,200

3,042

—

13,323

Netting1
(4,645
)
(228,574
)
(1,073
)
(47,940
)
(282,232
)
Total derivative and other contracts
1,241

73,927

5,536

(47,940
)
32,764

Investments4
516

275

785

—

1,576

Physical commodities
—

908

—

—

908

Total trading assets4
179,888

138,026

13,898

(47,940
)
283,872

Investment securities—AFS
33,692

29,346

—

—

63,038

Securities purchased under agreements to resell
—

4

—

—

4

Total assets at fair value
$
213,580

$
167,376

$
13,898

$
(47,940
)
$
346,914


 
At June 30, 2019
$ in millions
Level 1
Level 2
Level 3
Netting1
Total
Liabilities at fair value
 
 
 
 
 
Deposits
$
—

$
796

$
138

$
—

$
934

Trading liabilities:
 
 
 
 
 
U.S. Treasury and agency securities
12,309

423

—

—

12,732

Other sovereign government obligations
22,769

1,960

1

—

24,730

Corporate and other debt
—

7,753

2

—

7,755

Corporate equities3
61,937

198

33

—

62,168

Derivative and other contracts:
 
 
 
 
Interest rate
2,872

179,899

543

—

183,314

Credit
—

5,967

924

—

6,891

Foreign exchange
7

59,147

50

—

59,204

Equity
1,366

41,795

3,116

—

46,277

Commodity and other
1,246

6,779

1,181

—

9,206

Netting1
(4,645
)
(228,574
)
(1,073
)
(38,580
)
(272,872
)
Total derivative and other contracts
846

65,013

4,741

(38,580
)
32,020

Total trading liabilities
97,861

75,347

4,777

(38,580
)
139,405

Securities sold under agreements to repurchase
—

658

—

—

658

Other secured financings
—

8,322

154

—

8,476

Borrowings
—

57,570

3,939

—

61,509

Total liabilities at fair value
$
97,861

$
142,693

$
9,008

$
(38,580
)
$
210,982

 
At December 31, 2018
$ in millions
Level 1
Level 2
Level 3
Netting1
Total
Assets at fair value
 
 
 
 
 
Trading assets:
 
 
 
 
 
U.S. Treasury and agency securities
$
38,767

$
29,594

$
54

$
—

$
68,415

Other sovereign government obligations
28,395

5,529

17

—

33,941

State and municipal securities
—

3,161

148

—

3,309

MABS
—

2,154

354

—

2,508

Loans and lending commitments2
—

4,055

6,870

—

10,925

Corporate and other debt
—

18,129

1,076

—

19,205

Corporate equities3
93,626

522

95

—

94,243

Derivative and other contracts:
 
 
 
Interest rate
2,793

155,027

1,045

—

158,865

Credit
—

5,707

421

—

6,128

Foreign exchange
62

63,023

161

—

63,246

Equity
1,256

45,596

1,022

—

47,874

Commodity and other
963

8,517

2,992

—

12,472

Netting1
(4,151
)
(210,190
)
(896
)
(44,175
)
(259,412
)
Total derivative and other contracts
923

67,680

4,745

(44,175
)
29,173

Investments4
412

293

757

—

1,462

Physical commodities
—

536

—

—

536

Total trading assets4
162,123

131,653

14,116

(44,175
)
263,717

Investment securities—AFS
36,399

24,662

—

—

61,061

Intangible assets
—

5

—

—

5

Total assets at fair value
$
198,522

$
156,320

$
14,116

$
(44,175
)
$
324,783

 
At December 31, 2018
$ in millions
Level 1
Level 2
Level 3
Netting1
Total
Liabilities at fair value
 
 
 
 
 
Deposits
$
—

$
415

$
27

$
—

$
442

Trading liabilities:
 
 
 
 
 
U.S. Treasury and agency securities
11,272

543

—

—

11,815

Other sovereign government obligations
21,391

1,454

—

—

22,845

Corporate and other debt
—

8,550

1

—

8,551

Corporate equities3
56,064

199

15

—

56,278

Derivative and other contracts:
 
 
 
 
Interest rate
2,927

142,746

427

—

146,100

Credit
—

5,772

381

—

6,153

Foreign exchange
41

63,379

86

—

63,506

Equity
1,042

47,091

2,507

—

50,640

Commodity and other
1,228

6,872

940

—

9,040

Netting1
(4,151
)
(210,190
)
(896
)
(32,944
)
(248,181
)
Total derivative and other contracts
1,087

55,670

3,445

(32,944
)
27,258

Total trading liabilities
89,814

66,416

3,461

(32,944
)
126,747

Securities sold under agreements to repurchase
—

812

—

—

812

Other secured financings
—

5,037

208

—

5,245

Borrowings
—

47,378

3,806

—

51,184

Total liabilities at fair value
$
89,814

$
120,058

$
7,502

$
(32,944
)
$
184,430

 
MABS—Mortgage- and asset-backed securities
1.
For positions with the same counterparty classified in different levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Netting.” Positions classified within the same level that are with the same counterparty are netted within the column for that level. For further information on derivative instruments and hedging activities, see Note 4.
2.
For a further breakdown by type, see the following Breakdown of Loans and Lending Commitments at Fair Value table.
3.
For trading purposes, the Firm holds or sells short equity securities issued by entities in diverse industries and of varying sizes.
4.
Amounts exclude certain investments that are measured based on NAV per share, which are not classified in the fair value hierarchy. For additional disclosure about such investments, see “Net Asset Value Measurements—Fund Interests” herein.
Schedule of Breakdown of Loans and Lending Commitments at Fair Value
Breakdown of Loans and Lending Commitments at Fair Value
$ in millions
At
June 30,
2019
At
December 31, 2018
Corporate
$
8,241

$
9,171

Residential real estate
1,274

1,153

Commercial real estate
1,541

601

Total
$
11,056

$
10,925
Schedule of Unsettled Fair Value of Futures Contracts
Unsettled Fair Value of Futures Contracts1 
$ in millions
At
June 30,
2019
At
December 31, 2018
Customer and other receivables, net
$
507

$
615

  
1.
These contracts are primarily Level 1, actively traded, valued based on quoted prices from the exchange and are excluded from the previous recurring fair value tables.
Schedule of Rollforward of Level 3 Assets Measured at Fair Value on a Recurring Basis
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
2019
2018
2019
2018
Assets at Fair value
U.S. Treasury and agency securities
Beginning balance
$
7

$
—

$
54

$
—

Purchases
5

—

5

—

Sales
(4
)
—

(54
)
—

Net transfers
(3
)
—

—

—

Ending balance
$
5

$
—

$
5

$
—

Unrealized gains (losses)
$
—

$
—

$
—

$
—

Other sovereign government obligations
Beginning balance
$
5

$
7

$
17

$
1

Realized and unrealized gains (losses)
—

(3
)
—

—

Purchases
8

2

8

4

Sales
(3
)
(1
)
(4
)
—

Net transfers
—

—

(11
)
—

Ending balance
$
10

$
5

$
10

$
5

Unrealized gains (losses)
$
—

$
—

$
—

$
—

State and municipal securities
Beginning balance
$
12

$
2

$
148

$
8

Realized and unrealized gains (losses)
—

—

—

—

Purchases
15

1

15

1

Sales
(11
)
(1
)
(43
)
(7
)
Net transfers
—

—

(104
)
—

Ending balance
$
16

$
2

$
16

$
2

Unrealized gains (losses)
$
—

$
—

$
—

$
—

MABS
Beginning balance
$
301

$
342

$
354

$
423

Realized and unrealized gains (losses)
(5
)
—

3

76

Purchases
52

35

63

74

Sales
(43
)
(88
)
(133
)
(282
)
Settlements
(19
)
(7
)
(22
)
(12
)
Net transfers
194

45

215

48

Ending balance
$
480

$
327

$
480

$
327

Unrealized gains (losses)
$
(12
)
$
(6
)
$
(24
)
$
—

Loans and lending commitments
Beginning balance
$
6,343

$
8,128

$
6,870

$
5,945

Realized and unrealized gains (losses)
73

(62
)
44

(6
)
Purchases and originations
957

1,726

1,548

3,841

Sales
(1,021
)
(615
)
(588
)
(913
)
Settlements
(733
)
(1,781
)
(1,487
)
(1,531
)
Net transfers
(15
)
(473
)
(783
)
(413
)
Ending balance
$
5,604

$
6,923

$
5,604

$
6,923

Unrealized gains (losses)
$
66

$
(78
)
$
44

$
(61
)
 
 
 
 
 

 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Corporate and other debt
Beginning balance
$
1,061

$
814

$
1,076

$
701

Realized and unrealized gains (losses)
86

37

161

43

Purchases
407

166

428

366

Sales
(101
)
(194
)
(267
)
(165
)
Settlements
(3
)
(3
)
(5
)
(1
)
Net transfers
(86
)
(119
)
(29
)
(243
)
Ending balance
$
1,364

$
701

$
1,364

$
701

Unrealized gains (losses)
$
85

$
5

$
152

$
6

Corporate equities
Beginning balance
$
152

$
233

$
95

$
166

Realized and unrealized gains (losses)
(12
)
(4
)
(10
)
2

Purchases
21

21

28

43

Sales
(13
)
(25
)
(31
)
(49
)
Net transfers
(50
)
(54
)
16

9

Ending balance
$
98

$
171

$
98

$
171

Unrealized gains (losses)
$
(10
)
$
(3
)
$
(7
)
$
(7
)
Investments
Beginning balance
$
974

$
1,012

$
757

$
1,020

Realized and unrealized gains (losses)
26

(8
)
38

23

Purchases
9

17

14

64

Sales
(32
)
(28
)
(36
)
(133
)
Net transfers
(192
)
(52
)
12

(33
)
Ending balance
$
785

$
941

$
785

$
941

Unrealized gains (losses)
$
29

$
2

$
38

$
7

Net derivative and other contracts:
Interest rate
Beginning balance
$
551

$
670

$
618

$
1,218

Realized and unrealized gains (losses)
238

(75
)
183

(1
)
Purchases
53

61

59

69

Issuances
(19
)
(24
)
(30
)
(51
)
Settlements
(1
)
(45
)
(15
)
(131
)
Net transfers
(6
)
(20
)
1

(537
)
Ending balance
$
816

$
567

$
816

$
567

Unrealized gains (losses)
$
230

$
(99
)
$
234

$
(13
)
Credit
Beginning balance
$
(261
)
$
(30
)
$
40

$
41

Realized and unrealized gains (losses)
30

111

217

(22
)
Purchases
28

15

93

4

Issuances
(19
)
(41
)
(470
)
(40
)
Settlements
39

(57
)
(8
)
17

Net transfers
45

—

(10
)
(2
)
Ending balance
$
(138
)
$
(2
)
$
(138
)
$
(2
)
Unrealized gains (losses)
$
30

$
115

$
224

$
(28
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Foreign exchange
Beginning balance
$
5

$
(33
)
$
75

$
(112
)
Realized and unrealized gains (losses)
(33
)
37

(154
)
96

Purchases
—

—

—

—

Issuances
—

(19
)
—

(46
)
Settlements
(22
)
(3
)
(12
)
46

Net transfers
21

(8
)
62

(10
)
Ending balance
$
(29
)
$
(26
)
$
(29
)
$
(26
)
Unrealized gains (losses)
$
(37
)
$
43

$
(45
)
$
28

Equity
Beginning balance
$
(1,760
)
$
1,015

$
(1,485
)
$
1,208

Realized and unrealized gains (losses)
86

51

(92
)
163

Purchases
60

29

96

94

Issuances
(158
)
(191
)
(359
)
(930
)
Settlements
43

185

185

294

Net transfers
14

(2,624
)
(60
)
(2,364
)
Ending balance
$
(1,715
)
$
(1,535
)
$
(1,715
)
$
(1,535
)
Unrealized gains (losses)
$
70

$
(14
)
$
(106
)
$
135

Commodity and other
Beginning balance
$
2,106

$
1,660

$
2,052

$
1,446

Realized and unrealized gains (losses)
(145
)
170

(113
)
392

Purchases
8

1

16

35

Issuances
(2
)
(3
)
(17
)
(6
)
Settlements
(106
)
122

(183
)
7

Net transfers
—

82

106

158

Ending balance
$
1,861

$
2,032

$
1,861

$
2,032

Unrealized gains (losses)
$
(272
)
$
107

$
(306
)
$
230

Liabilities at Fair Value
Deposits
Beginning balance
$
99

$
44

$
27

$
47

Realized and unrealized losses (gains)
6

(1
)
12

(1
)
Issuances
24

5

51

10

Settlements
(4
)
—

(4
)
(1
)
Net transfers
13

(11
)
52

(18
)
Ending balance
$
138

$
37

$
138

$
37

Unrealized losses (gains)
$
6

$
(1
)
$
12

$
(1
)
Nonderivative trading liabilities
Beginning balance
$
43

$
39

$
16

$
25

Realized and unrealized losses (gains)
(9
)
(3
)
(10
)
(6
)
Purchases
(24
)
(17
)
(30
)
(19
)
Sales
11

7

28

22

Net transfers
15

(1
)
32

3

Ending balance
$
36

$
25

$
36

$
25

Unrealized losses (gains)
$
(9
)
$
(2
)
$
(10
)
$
(4
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Securities sold under agreements to repurchase
Beginning balance
$
—

$
—

$
—

$
150

Net transfers
—

—

—

(150
)
Ending balance
$
—

$
—

$
—

$
—

Unrealized losses (gains)
$
—

$
—

$
—

$
—

Other secured financings
 
 
Beginning balance
$
153

$
220

$
208

$
239

Realized and unrealized losses (gains)
2

(5
)
6

(17
)
Issuances
—

4

—

7

Settlements
(1
)
(8
)
(8
)
(18
)
Net transfers
—

(41
)
(52
)
(41
)
Ending balance
$
154

$
170

$
154

$
170

Unrealized losses (gains)
$
2

$
(5
)
$
6

$
(17
)
Borrowings
Beginning balance
$
3,775

$
3,626

$
3,806

$
2,984

Realized and unrealized losses (gains)
172

(130
)
444

(201
)
Issuances
354

306

598

825

Settlements
(99
)
(141
)
(243
)
(195
)
Net transfers
(263
)
(366
)
(666
)
(118
)
Ending balance
$
3,939

$
3,295

$
3,939

$
3,295

Unrealized losses (gains)
$
173

$
(133
)
$
419

$
(199
)
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA
35

(16
)
91

(119
)
Schedule of Rollforward of Level 3 Liabilities Measured at Fair Value on a Recurring Basis
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
2019
2018
2019
2018
Assets at Fair value
U.S. Treasury and agency securities
Beginning balance
$
7

$
—

$
54

$
—

Purchases
5

—

5

—

Sales
(4
)
—

(54
)
—

Net transfers
(3
)
—

—

—

Ending balance
$
5

$
—

$
5

$
—

Unrealized gains (losses)
$
—

$
—

$
—

$
—

Other sovereign government obligations
Beginning balance
$
5

$
7

$
17

$
1

Realized and unrealized gains (losses)
—

(3
)
—

—

Purchases
8

2

8

4

Sales
(3
)
(1
)
(4
)
—

Net transfers
—

—

(11
)
—

Ending balance
$
10

$
5

$
10

$
5

Unrealized gains (losses)
$
—

$
—

$
—

$
—

State and municipal securities
Beginning balance
$
12

$
2

$
148

$
8

Realized and unrealized gains (losses)
—

—

—

—

Purchases
15

1

15

1

Sales
(11
)
(1
)
(43
)
(7
)
Net transfers
—

—

(104
)
—

Ending balance
$
16

$
2

$
16

$
2

Unrealized gains (losses)
$
—

$
—

$
—

$
—

MABS
Beginning balance
$
301

$
342

$
354

$
423

Realized and unrealized gains (losses)
(5
)
—

3

76

Purchases
52

35

63

74

Sales
(43
)
(88
)
(133
)
(282
)
Settlements
(19
)
(7
)
(22
)
(12
)
Net transfers
194

45

215

48

Ending balance
$
480

$
327

$
480

$
327

Unrealized gains (losses)
$
(12
)
$
(6
)
$
(24
)
$
—

Loans and lending commitments
Beginning balance
$
6,343

$
8,128

$
6,870

$
5,945

Realized and unrealized gains (losses)
73

(62
)
44

(6
)
Purchases and originations
957

1,726

1,548

3,841

Sales
(1,021
)
(615
)
(588
)
(913
)
Settlements
(733
)
(1,781
)
(1,487
)
(1,531
)
Net transfers
(15
)
(473
)
(783
)
(413
)
Ending balance
$
5,604

$
6,923

$
5,604

$
6,923

Unrealized gains (losses)
$
66

$
(78
)
$
44

$
(61
)
 
 
 
 
 

 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Corporate and other debt
Beginning balance
$
1,061

$
814

$
1,076

$
701

Realized and unrealized gains (losses)
86

37

161

43

Purchases
407

166

428

366

Sales
(101
)
(194
)
(267
)
(165
)
Settlements
(3
)
(3
)
(5
)
(1
)
Net transfers
(86
)
(119
)
(29
)
(243
)
Ending balance
$
1,364

$
701

$
1,364

$
701

Unrealized gains (losses)
$
85

$
5

$
152

$
6

Corporate equities
Beginning balance
$
152

$
233

$
95

$
166

Realized and unrealized gains (losses)
(12
)
(4
)
(10
)
2

Purchases
21

21

28

43

Sales
(13
)
(25
)
(31
)
(49
)
Net transfers
(50
)
(54
)
16

9

Ending balance
$
98

$
171

$
98

$
171

Unrealized gains (losses)
$
(10
)
$
(3
)
$
(7
)
$
(7
)
Investments
Beginning balance
$
974

$
1,012

$
757

$
1,020

Realized and unrealized gains (losses)
26

(8
)
38

23

Purchases
9

17

14

64

Sales
(32
)
(28
)
(36
)
(133
)
Net transfers
(192
)
(52
)
12

(33
)
Ending balance
$
785

$
941

$
785

$
941

Unrealized gains (losses)
$
29

$
2

$
38

$
7

Net derivative and other contracts:
Interest rate
Beginning balance
$
551

$
670

$
618

$
1,218

Realized and unrealized gains (losses)
238

(75
)
183

(1
)
Purchases
53

61

59

69

Issuances
(19
)
(24
)
(30
)
(51
)
Settlements
(1
)
(45
)
(15
)
(131
)
Net transfers
(6
)
(20
)
1

(537
)
Ending balance
$
816

$
567

$
816

$
567

Unrealized gains (losses)
$
230

$
(99
)
$
234

$
(13
)
Credit
Beginning balance
$
(261
)
$
(30
)
$
40

$
41

Realized and unrealized gains (losses)
30

111

217

(22
)
Purchases
28

15

93

4

Issuances
(19
)
(41
)
(470
)
(40
)
Settlements
39

(57
)
(8
)
17

Net transfers
45

—

(10
)
(2
)
Ending balance
$
(138
)
$
(2
)
$
(138
)
$
(2
)
Unrealized gains (losses)
$
30

$
115

$
224

$
(28
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Foreign exchange
Beginning balance
$
5

$
(33
)
$
75

$
(112
)
Realized and unrealized gains (losses)
(33
)
37

(154
)
96

Purchases
—

—

—

—

Issuances
—

(19
)
—

(46
)
Settlements
(22
)
(3
)
(12
)
46

Net transfers
21

(8
)
62

(10
)
Ending balance
$
(29
)
$
(26
)
$
(29
)
$
(26
)
Unrealized gains (losses)
$
(37
)
$
43

$
(45
)
$
28

Equity
Beginning balance
$
(1,760
)
$
1,015

$
(1,485
)
$
1,208

Realized and unrealized gains (losses)
86

51

(92
)
163

Purchases
60

29

96

94

Issuances
(158
)
(191
)
(359
)
(930
)
Settlements
43

185

185

294

Net transfers
14

(2,624
)
(60
)
(2,364
)
Ending balance
$
(1,715
)
$
(1,535
)
$
(1,715
)
$
(1,535
)
Unrealized gains (losses)
$
70

$
(14
)
$
(106
)
$
135

Commodity and other
Beginning balance
$
2,106

$
1,660

$
2,052

$
1,446

Realized and unrealized gains (losses)
(145
)
170

(113
)
392

Purchases
8

1

16

35

Issuances
(2
)
(3
)
(17
)
(6
)
Settlements
(106
)
122

(183
)
7

Net transfers
—

82

106

158

Ending balance
$
1,861

$
2,032

$
1,861

$
2,032

Unrealized gains (losses)
$
(272
)
$
107

$
(306
)
$
230

Liabilities at Fair Value
Deposits
Beginning balance
$
99

$
44

$
27

$
47

Realized and unrealized losses (gains)
6

(1
)
12

(1
)
Issuances
24

5

51

10

Settlements
(4
)
—

(4
)
(1
)
Net transfers
13

(11
)
52

(18
)
Ending balance
$
138

$
37

$
138

$
37

Unrealized losses (gains)
$
6

$
(1
)
$
12

$
(1
)
Nonderivative trading liabilities
Beginning balance
$
43

$
39

$
16

$
25

Realized and unrealized losses (gains)
(9
)
(3
)
(10
)
(6
)
Purchases
(24
)
(17
)
(30
)
(19
)
Sales
11

7

28

22

Net transfers
15

(1
)
32

3

Ending balance
$
36

$
25

$
36

$
25

Unrealized losses (gains)
$
(9
)
$
(2
)
$
(10
)
$
(4
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Securities sold under agreements to repurchase
Beginning balance
$
—

$
—

$
—

$
150

Net transfers
—

—

—

(150
)
Ending balance
$
—

$
—

$
—

$
—

Unrealized losses (gains)
$
—

$
—

$
—

$
—

Other secured financings
 
 
Beginning balance
$
153

$
220

$
208

$
239

Realized and unrealized losses (gains)
2

(5
)
6

(17
)
Issuances
—

4

—

7

Settlements
(1
)
(8
)
(8
)
(18
)
Net transfers
—

(41
)
(52
)
(41
)
Ending balance
$
154

$
170

$
154

$
170

Unrealized losses (gains)
$
2

$
(5
)
$
6

$
(17
)
Borrowings
Beginning balance
$
3,775

$
3,626

$
3,806

$
2,984

Realized and unrealized losses (gains)
172

(130
)
444

(201
)
Issuances
354

306

598

825

Settlements
(99
)
(141
)
(243
)
(195
)
Net transfers
(263
)
(366
)
(666
)
(118
)
Ending balance
$
3,939

$
3,295

$
3,939

$
3,295

Unrealized losses (gains)
$
173

$
(133
)
$
419

$
(199
)
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA
35

(16
)
91

(119
)
Schedule of Valuation Techniques and Unobservable Inputs
Valuation Techniques and Unobservable Inputs
 
Balance / Range (Average)1
$ in millions, except inputs
At June 30, 2019
At December 31, 2018
Assets Measured at Fair Value on a Recurring Basis
MABS
$
480

$
354

Comparable pricing:
 
Bond price
1 to 97 points
(50 points)

0 to 97 points (38 points)

Loans and lending commitments
$
5,604

$
6,870

Margin loan model:
 
 
Discount rate
1% to 6% (2%)

1% to 7% (2%)

Volatility skew
14% to 63% (21%)

19% to 56% (28%)

Credit Spread
10 to 63 bps (28 bps)

14 to 90 bps (36 bps)

Comparable pricing:
 
Loan price
76 to 103 points
(94 points)

60 to 101 points (95 points)

Corporate and other debt
$
1,364

$
1,076

Comparable pricing:
 
Bond price
12 to 100 points
(75 points)

12 to 100 points (72 points)

Discounted cash flow:
 
Recovery rate
27
%
20
 %
Discount rate
N/M

15% to 21% (16%)

Option model:
 
 
At the money volatility
20
%
24% to 78% (50%)

Corporate equities
$
98

$
95

Comparable pricing:
 
Equity price
100
%
100
 %
Investments
$
785

$
757

Discounted cash flow:
 
WACC
14% to 17% (15%)

9% to 15% (10%)

Exit multiple
7 to 15 times (11 times)

7 to 10 times (10 times)

Market approach:
 
 
EBITDA multiple
6 to 25 times (11 times)

6 to 24 times (12 times)

Comparable pricing:
 
Equity price
75% to 100% (99%)

75% to 100% (96%)

Net derivative and other contracts:
 
Interest rate
$
816

$
618

Option model:
 
 
IR volatility skew
25% to 127%
(74% / 63%)

22% to 95% (48% / 51%)

Contingency probability
90% to 95% (93% / 93%)

N/M

Inflation volatility
23% to 62% (43% / 40%)

23% to 65% (44% / 40%)

IR curve
1
%
1
 %
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance / Range (Average)1
$ in millions, except inputs
At June 30, 2019
At December 31, 2018
Credit
$
(138
)
$
40

Comparable pricing:
 
Cash-synthetic basis
12 points

8 to 9 points (9 points)

Bond price
0 to 83 points
(39 points)

0 to 75 points (26 points)

Credit spread
12 to 499 bps (100 bps)

246 to 499 bps (380 bps)

Funding spread
63 to 105 bps (95 bps)

47 to 98 bps (93 bps)

Correlation model:
 
 
Credit correlation
31% to 64% (38%)

36% to 69% (44%)

Foreign exchange2
$
(29
)
$
75

Option model:
 
 
IR FX correlation
29% to 57% (46% / 46%)

53% to 56% (55% / 55%)

IR volatility skew
25% to 127%
(74% / 63%)

22% to 95% (48% / 51%)

Contingency probability
67% to 97% (82% / 82%)

90% to 95% (93% / 95%)

Equity2
$
(1,715
)
$
(1,485
)
Option model:
 
 
At the money volatility
6% to 72% (36%)

17% to 63% (38%)

Volatility skew
-2% to 0% (-1%)

-2% to 0% (-1%)

Equity correlation
5% to 96% (71%)

5% to 96% (71%)

FX correlation
-60% to 55% (-17%)

-60% to 55% (-26%)

IR correlation
-7% to 44% (16% / 13%)

-7% to 45% (15% / 12%)

Commodity and other
$
1,861

$
2,052

Option model:
 
 
Forward power price
$4 to $118 ($28) per MWh

3 to $185 ($31) per MWh

Commodity volatility
7% to 213% (16%)

7% to 187% (17%)

Cross-commodity correlation
5% to 99% (93%)

5% to 99% (93%)

Liabilities Measured at Fair Value on a Recurring Basis
Deposits
$
138

$
27

Option Model:
 
 
At the money volatility
20% to 30% (22%)

N/M

Other secured financings
$
154

$
208

Discounted cash flow:
 
Funding spread
111 to 155 bps (133 bps)

103 to 193 bps (148 bps)

Option model:
 
 
Volatility skew
N/M

-1
 %
At the money volatility
10% to 40% (30%)

10% to 40% (25%)

Borrowings
$
3,939

$
3,806

Option model:
 
 
At the money volatility
6% to 35% (21%)

5% to 35% (22%)

Volatility skew
-1% to 0% (0%)

-2% to 0% (0%)

Equity correlation
38% to 94% (75%)

45% to 98% (85%)

Equity - FX correlation
-72% to 30% (-28%)

-75% to 50% (-27%)

IR Correlation
N/M

58% to 97% (85% / 91%)

IR FX Correlation
25% to 58% (38% / 34%)

28% to 58% (44% / 44%)

 
 
 
 
Balance / Range (Average)1
$ in millions, except inputs
At June 30, 2019
At December 31, 2018
Nonrecurring Fair Value Measurement
Loans
$
1,298

$
1,380

Corporate loan model:
 
Credit spread
58 to 448 bps (202 bps)

97 to 434 bps (181 bps)

Warehouse model:
 
 
Credit spread
264 to 271 bps (266 bps)

223 to 313 bps (247 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).
Schedule of Net Asset Value Measurements
Net Asset Value Measurements
Fund Interests
 
At June 30, 2019
At December 31, 2018
$ in millions
Carrying
Value
Commitment
Carrying
Value
Commitment
Private equity
$
1,545

$
368

$
1,374

$
316

Real estate
1,452

155

1,105

161

Hedge1
96

4

103

4

Total
$
3,093

$
527

$
2,582

$
481

 
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.
Nonredeemable Funds by Contractual Maturity
 
Carrying Value at June 30, 2019
$ in millions
Private Equity
Real Estate
Less than 5 years
$
802

$
634

5-10 years
720

740

Over 10 years
23

78

Total
$
1,545

$
1,452
Schedule of Fair Value Option
Fair Value Loans on Nonaccrual Status
$ in millions
At
June 30,
2019
At
December 31, 2018
Nonaccrual loans
$
971

$
1,497

Nonaccrual loans 90 or more days past due
$
526

$
812


Borrowings Measured at Fair Value on a Recurring Basis
$ in millions
At
June 30,
2019
At
December 31, 2018
Business Unit Responsible for Risk Management
Equity
$
29,459

$
24,494

Interest rates
26,343

22,343

Commodities
3,975

2,735

Credit
1,159

856

Foreign exchange
573

756

Total
$
61,509

$
51,184

 

Gains (Losses) on Borrowings under the Fair Value Option
 
Three Months Ended June 30,
Six Months Ended June 30,
$ in millions
2019
2018
2019
2018
Trading revenues
$
(2,190
)
$
859

$
(5,093
)
$
885

Interest expense
(94
)
(73
)
(187
)
(175
)
Net revenues1
$
(2,284
)
$
786

$
(5,280
)
$
710


1.
Amounts do not reflect any gains or losses from related economic hedges.
Gains (Losses) Due to Changes in Instrument-Specific Credit Risk
 
Three Months Ended June 30,
 
2019
2018
$ in millions
Trading
Revenues
OCI
Trading
Revenues
OCI
Borrowings
$
(3
)
$
(328
)
$
(3
)
$
842

Loans and other debt1
58

—

63

—

Lending commitments
(1
)
—

1

—

Other
—

1

—

—

 
Six Months Ended June 30,
 
2019
2018
$ in millions
Trading
Revenues
OCI
Trading
Revenues
OCI
Borrowings
$
(7
)
$
(1,144
)
$
(18
)
$
1,435

Loans and other debt1
151

—

144

—

Lending commitments
(2
)
—

3

—

Other
—

(3
)
—

2

$ in millions
At
June 30,
2019
At
December 31, 2018
Cumulative pre-tax DVA gain (loss) recognized in AOCI
$
(975
)
$
172


1.
Loans and other debt instrument-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
June 30,
2019
At
December 31, 2018
Loans and other debt2
$
13,064

$
13,094

Nonaccrual loans2
10,950

10,831

Borrowings3
(503
)
2,657


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 debt relates to distressed debt positions purchased at amounts well below par.
3.
Borrowings in this table do not include structured notes where the repayment of the initial principal amount fluctuates based on changes in a reference price or index.
Schedule of Nonrecurring Fair Value Measurements
Nonrecurring Fair Value Measurements    
Carrying and Fair Values
 
At June 30, 2019
 
Fair Value
$ in millions
Level 2
Level 31
Total
Assets
 
 
 
Loans
$
2,065

$
1,298

$
3,363

Other assets—Other investments
—

30

30

Other assets—Premises, equipment and software
—

—

—

Total
$
2,065

$
1,328

$
3,393

Liabilities
 
 
 
Other liabilities and accrued expenses—Lending commitments
$
168

$
55

$
223

Total
$
168

$
55

$
223

 
At December 31, 2018
 
Fair Value
$ in millions
Level 2
Level 31
Total
Assets
 
 
 
Loans
$
2,307

$
1,380

$
3,687

Other assets—Other investments
14

100

114

Other assets—Premises, equipment and software
—

—

—

Total
$
2,321

$
1,480

$
3,801

Liabilities
 
 
 
Other liabilities and accrued expenses—Lending commitments
$
292

$
65

$
357

Total
$
292

$
65

$
357

     
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 Fair Value Remeasurements1 
 
Three Months Ended
June 30,
Six Months Ended
June 30,
$ in millions
2019
2018
2019
2018
Assets
 
 
 
 
Loans2
$
(10
)
$
(1
)
$
17

$
8

Other assets—Other investments
—

(7
)
(5
)
(7
)
Other assets—Premises, equipment and software
(2
)
(2
)
(4
)
(10
)
Total
$
(12
)
$
(10
)
$
8

$
(9
)
Liabilities
 
 


Other liabilities and accrued expenses—Lending commitments2
$
7

$
(30
)
$
74

$
(12
)
Total
$
7

$
(30
)
$
74

$
(12
)
 
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 were 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.
Schedule of Financial Instruments Not Measured at Fair Value
Carrying and Fair Values
 
At June 30, 2019
 
Carrying
Value
Fair Value
$ in millions
Level 1
Level 2
Level 3
Total
Financial assets
 
 
 
 
Cash and cash equivalents:
 
 
 
 
Cash and due from banks
$
38,257

$
38,257

$
—

$
—

$
38,257

Interest bearing deposits with banks
10,888

10,888

—

—

10,888

Restricted cash
30,435

30,435

—

—

30,435

Investment securities—HTM
40,028

25,672

14,243

604

40,519

Securities purchased under agreements to resell
85,394

—

84,026

1,435

85,461

Securities borrowed
133,580

—

133,581

—

133,581

Customer and other receivables1
48,423

—

45,511

2,845

48,356

Loans2
120,901

—

22,661

98,563

121,224

Other assets
461

—

461

—

461

Financial liabilities
 
 
 
Deposits
$
175,659

$
—

$
175,954

$
—

$
175,954

Securities sold under agreements to repurchase
61,636

—

61,083

525

61,608

Securities loaned
10,325

—

10,324

—

10,324

Other secured financings
3,505

—

3,508

—

3,508

Customer and other payables1
188,622

—

188,622

—

188,622

Borrowings
136,339

—

140,512

11

140,523

 
Commitment
Amount
 
 
 
 
Lending commitments3
$
125,417

$
—

$
919

$
325

$
1,244









 
At December 31, 2018
 
Carrying
Value
Fair Value
$ in millions
Level 1
Level 2
Level 3
Total
Financial assets
 
 
 
 
Cash and cash equivalents:
 
 
 
 
Cash and due from banks
$
30,541

$
30,541

$
—

$
—

$
30,541

Interest bearing deposits with banks
21,299

21,299

—

—

21,299

Restricted cash
35,356

35,356

—

—

35,356

Investment securities—HTM
30,771

17,473

12,018

474

29,965

Securities purchased under agreements to resell
98,522

—

97,611

866

98,477

Securities borrowed
116,313

—

116,312

—

116,312

Customer and other receivables1
47,972

—

44,620

3,219

47,839

Loans2
115,579

—

25,604

90,121

115,725

Other assets
461

—

461

—

461

Financial liabilities
 
 
 
Deposits
$
187,378

$
—

$
187,372

$
—

$
187,372

Securities sold under agreements to repurchase
48,947

—

48,385

525

48,910

Securities loaned
11,908

—

11,906

—

11,906

Other secured financings
4,221

—

3,233

994

4,227

Customer and other payables1
176,561

—

176,561

—

176,561

Borrowings
138,478

—

140,085

30

140,115

 
Commitment
Amount
 
 
 
 
Lending commitments3
$
104,844

$
—

$
1,249

$
321

$
1,570


1.
Accrued interest and dividend receivables and payables where carrying value approximates fair value have been excluded.
2.
Amounts include loans measured at fair value on a nonrecurring basis.
3.
Represents Lending Commitments accounted for as Held for Investment and Held for Sale. For a further discussion on lending commitments, see Note 11.