Fair Values

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Fair Values

Fair Values

Recurring Fair Value Measurements

Assets and Liabilities Measured at Fair Value on a Recurring Basis

	At September 30, 2019
$ in millions	Level 1			Level 2			Level 3			Netting1			Total
Assets at fair value
Trading assets:
U.S. Treasury and agency securities	$	44,129		$	25,280		$	18		$	—		$	69,427
Other sovereign government obligations	33,333			5,512			12			—			38,857
State and municipal securities	—			3,080			1			—			3,081
MABS	—			1,593			401			—			1,994
Loans and lending commitments2	—			5,155			4,869			—			10,024
Corporate and other debt	—			21,646			1,390			—			23,036
Corporate equities3	92,191			459			103			—			92,753
Derivative and other contracts:
Interest rate	1,965			220,709			1,502			—			224,176
Credit	—			6,870			849			—			7,719
Foreign exchange	55			64,477			100			—			64,632
Equity	982			46,836			1,082			—			48,900
Commodity and other	1,305			6,866			3,099			—			11,270
Netting1	(3,686		)	(265,103		)	(1,122		)	(54,162		)	(324,073		)
Total derivative and other contracts	621			80,655			5,510			(54,162		)	32,624
Investments4	514			200			785			—			1,499
Physical commodities	—			1,022			—			—			1,022
Total trading assets	170,788			144,602			13,089			(54,162		)	274,317
Investment securities—AFS	34,931			29,783			—			—			64,714
Securities purchased under agreements to resell	—			4			—			—			4
Total assets at fair value	$	205,719		$	174,389		$	13,089		$	(54,162	)	$	339,035

	At September 30, 2019
$ in millions	Level 1			Level 2			Level 3			Netting1			Total
Liabilities at fair value
Deposits	$	—		$	1,477		$	145		$	—		$	1,622
Trading liabilities:
U.S. Treasury and agency securities	12,826			194			1			—			13,021
Other sovereign government obligations	22,090			1,593			3			—			23,686
Corporate and other debt	—			7,968			4			—			7,972
Corporate equities3	63,197			95			32			—			63,324
Derivative and other contracts:
Interest rate	1,730			211,860			714			—			214,304
Credit	—			7,361			744			—			8,105
Foreign exchange	13			66,223			48			—			66,284
Equity	987			46,484			2,463			—			49,934
Commodity and other	1,324			6,456			1,125			—			8,905
Netting1	(3,686		)	(265,103		)	(1,122		)	(42,219		)	(312,130		)
Total derivative and other contracts	368			73,281			3,972			(42,219		)	35,402
Total trading liabilities	98,481			83,131			4,012			(42,219		)	143,405
Securities sold under agreements to repurchase	—			732			—			—			732
Other secured financings	—			6,242			110			—			6,352
Borrowings	—			58,116			3,538			—			61,654
Total liabilities at fair value	$	98,481		$	149,698		$	7,805		$	(42,219	)	$	213,765

	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 assets	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.

Breakdown of Loans and Lending Commitments at Fair Value

$ in millions	At September 30, 2019		At December 31, 2018
Corporate	$	7,387	$	9,171
Residential real estate	1,206		1,153
Commercial real estate	1,431		601
Total	$	10,024	$	10,925

Unsettled Fair Value of Futures Contracts¹ 

$ in millions	At September 30, 2019		At December 31, 2018
Customer and other receivables, net	$	501	$	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.

For a description of the valuation techniques applied to the Firm’s major categories of assets and liabilities measured at

fair value on a recurring basis, see Note 3 to the financial statements in the 2018 Form 10-K. During the current year period, there were no significant revisions made to the Firm’s valuation techniques.

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

	Three Months Ended September 30,						Nine Months Ended September 30,
$ in millions	2019			2018			2019			2018
Assets at Fair value
U.S. Treasury and agency securities
Beginning balance	$	5		$	—		$	54		$	—
Purchases	11			5			18			5
Sales	—			—			(54		)	—
Net transfers	2			—			—			—
Ending balance	$	18		$	5		$	18		$	5
Unrealized gains (losses)	$	—		$	—		$	—		$	—
Other sovereign government obligations
Beginning balance	$	10		$	5		$	17		$	1
Realized and unrealized gains (losses)	(3		)	—			(2		)	—
Purchases	2			32			13			35
Sales	(2		)	(2		)	(6		)	—
Settlements	—			—			—			—
Net transfers	5			1			(10		)	—
Ending balance	$	12		$	36		$	12		$	36
Unrealized gains (losses)	$	(3	)	$	—		$	(2	)	$	—
State and municipal securities
Beginning balance	$	16		$	2		$	148		$	8
Realized and unrealized gains (losses)	—			—			—			—
Purchases	—			2			—			3
Sales	(2		)	—			(43		)	(7		)
Net transfers	(13		)	—			(104		)	—
Ending balance	$	1		$	4		$	1		$	4
Unrealized gains (losses)	$	—		$	—		$	—		$	—
MABS
Beginning balance	$	480		$	327		$	354		$	423
Realized and unrealized gains (losses)	(10		)	(1		)	(9		)	88
Purchases	5			23			66			73
Sales	(58		)	(46		)	(157		)	(317		)
Settlements	—			(14		)	(39		)	(16		)
Net transfers	(16		)	27			186			65
Ending balance	$	401		$	316		$	401		$	316
Unrealized gains (losses)	$	(8	)	$	(8	)	$	(38	)	$	(6	)
Loans and lending commitments
Beginning balance	$	5,604		$	6,923		$	6,870		$	5,945
Realized and unrealized gains (losses)	(51		)	17			3			16
Purchases and originations	852			2,076			1,934			4,030
Sales	(464		)	(1,184		)	(1,541		)	(978		)
Settlements	(811		)	(777		)	(2,130		)	(1,926		)
Net transfers	(261		)	(320		)	(267		)	(352		)
Ending balance	$	4,869		$	6,735		$	4,869		$	6,735
Unrealized gains (losses)	$	(55	)	$	12		$	283		$	(8	)

	Three Months Ended September 30,						Nine Months Ended September 30,
$ in millions	2019			2018			2019			2018
Corporate and other debt
Beginning balance	$	1,364		$	701		$	1,076		$	701
Realized and unrealized gains (losses)	157			(4		)	269			51
Purchases	341			109			632			276
Sales	(474		)	(153		)	(587		)	(227		)
Settlements	—			(6		)	(7		)	(8		)
Net transfers	2			63			7			(83		)
Ending balance	$	1,390		$	710		$	1,390		$	710
Unrealized gains (losses)	$	114		$	9		$	217		$	16
Corporate equities
Beginning balance	$	98		$	171		$	95		$	166
Realized and unrealized gains (losses)	1			(7		)	(41		)	17
Purchases	5			15			44			69
Sales	(16		)	(50		)	(268		)	(134		)
Net transfers	15			(23		)	273			(12		)
Ending balance	$	103		$	106		$	103		$	106
Unrealized gains (losses)	$	7		$	5		$	(38	)	$	14
Investments
Beginning balance	$	785		$	941		$	757		$	1,020
Realized and unrealized gains (losses)	(15		)	5			19			5
Purchases	7			72			28			134
Sales	(7		)	(103		)	(43		)	(209		)
Net transfers	15			(97		)	24			(132		)
Ending balance	$	785		$	818		$	785		$	818
Unrealized gains (losses)	$	(12	)	$	2		$	22		$	5
Net derivative and other contracts:
Interest rate
Beginning balance	$	816		$	567		$	618		$	1,218
Realized and unrealized gains (losses)	(40		)	(3		)	143			(46		)
Purchases	69			12			132			84
Issuances	(11		)	(9		)	(22		)	(38		)
Settlements	2			(2		)	16			(92		)
Net transfers	(48		)	12			(99		)	(549		)
Ending balance	$	788		$	577		$	788		$	577
Unrealized gains (losses)	$	120		$	24		$	214		$	(47	)
Credit
Beginning balance	$	(138	)	$	(2	)	$	40		$	41
Realized and unrealized gains (losses)	(183		)	(39		)	36			(17		)
Purchases	44			4			103			9
Issuances	(19		)	—			(162		)	(40		)
Settlements	389			58			90			30
Net transfers	12			—			(2		)	(2		)
Ending balance	$	105		$	21		$	105		$	21
Unrealized gains (losses)	$	20		$	(41	)	$	41		$	(20	)

	Three Months Ended September 30,						Nine Months Ended September 30,
$ in millions	2019			2018			2019			2018
Foreign exchange
Beginning balance	$	(29	)	$	(26	)	$	75		$	(112	)
Realized and unrealized gains (losses)	67			(35		)	(83		)	71
Purchases	—			—			—			2
Issuances	—			—			—			(48		)
Settlements	5			2			—			43
Net transfers	9			15			60			—
Ending balance	$	52		$	(44	)	$	52		$	(44	)
Unrealized gains (losses)	$	79		$	(9	)	$	26		$	1
Equity
Beginning balance	$	(1,715	)	$	(1,535	)	$	(1,485	)	$	1,208
Realized and unrealized gains (losses)	(61		)	(149		)	59			83
Purchases	36			29			75			120
Issuances	(207		)	(138		)	(227		)	(1,052		)
Settlements	(56		)	84			(173		)	319
Net transfers	622			38			370			(2,349		)
Ending balance	$	(1,381	)	$	(1,671	)	$	(1,381	)	$	(1,671	)
Unrealized gains (losses)	$	(86	)	$	(132	)	$	81		$	19
Commodity and other
Beginning balance	$	1,861		$	2,032		$	2,052		$	1,446
Realized and unrealized gains (losses)	120			(29		)	35			332
Purchases	126			—			145			80
Issuances	(36		)	(11		)	(71		)	(18		)
Settlements	(107		)	(1		)	(307		)	17
Net transfers	10			29			120			163
Ending balance	$	1,974		$	2,020		$	1,974		$	2,020
Unrealized gains (losses)	$	33		$	(105	)	$	(89	)	$	33
Liabilities at Fair Value
Deposits
Beginning balance	$	138		$	37		$	27		$	47
Realized and unrealized losses (gains)	5			2			16			(1		)
Issuances	23			11			70			27
Settlements	(8		)	—			(12		)	(2		)
Net transfers	(13		)	23			44			2
Ending balance	$	145		$	73		$	145		$	73
Unrealized losses (gains)	$	5		$	2		$	16		$	(1	)
Nonderivative trading liabilities
Beginning balance	$	36		$	25		$	16		$	25
Realized and unrealized losses (gains)	(7		)	—			(37		)	(4		)
Purchases	(13		)	(12		)	(31		)	(15		)
Sales	6			3			36			12
Net transfers	18			(2		)	56			(4		)
Ending balance	$	40		$	14		$	40		$	14
Unrealized losses (gains)	$	(7	)	$	—		$	(37	)	$	(4	)

	Three Months Ended September 30,						Nine Months Ended September 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	$	154		$	170		$	208		$	239
Realized and unrealized losses (gains)	(1		)	2			5			(16		)
Issuances	—			—			—			8
Settlements	—			—			(8		)	(18		)
Net transfers	(43		)	—			(95		)	(41		)
Ending balance	$	110		$	172		$	110		$	172
Unrealized losses (gains)	$	(1	)	$	2		$	5		$	(16	)
Borrowings
Beginning balance	$	3,939		$	3,295		$	3,806		$	2,984
Realized and unrealized losses (gains)	88			56			498			(156		)
Issuances	201			344			610			1,275
Settlements	(260		)	(81		)	(438		)	(339		)
Net transfers	(430		)	6			(938		)	(144		)
Ending balance	$	3,538		$	3,620		$	3,538		$	3,620
Unrealized losses (gains)	$	91		$	55		$	459		$	(168	)
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA	(23		)	82			68			(45		)

Level 3 instruments may be hedged with instruments classified in Level 1 and/or Level 2. The realized and unrealized gains (losses) for assets and liabilities within the Level 3 category presented in the previous tables do not reflect the related realized and unrealized gains (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 statements.

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 (Average)1
$ in millions, except inputs	At September 30, 2019			At December 31, 2018
Assets Measured at Fair Value on a Recurring Basis
MABS	$	401		$	354
Comparable pricing:
Bond price	0 to 97 points (47 points)			0 to 97 points  (38 points)
Loans and lending commitments	$	4,869		$	6,870
Margin loan model:
Discount rate	1% to 7% (2%)			1% to 7% (2%)
Volatility skew	17% to 73% (27%)			19% to 56% (28%)
Credit Spread	9 to 41 bps (26 bps)			14 to 90 bps (36 bps)
Comparable pricing:
Loan price	70 to 100 points (93 points)			60 to 101 points  (95 points)
Corporate and other debt	$	1,390		$	1,076
Comparable pricing:
Bond price	12 to 105 points (82 points)			12 to 100 points (72 points)
Discounted cash flow:
Recovery rate	36		%	20		%
Discount rate	N/M			15% to 21% (16%)
Option model:
At the money volatility	21		%	24% to 78% (50%)
Corporate equities	$	103		$	95
Comparable pricing:
Equity price	100		%	100		%
Investments	$	785		$	757
Discounted cash flow:
WACC	15% to 16% (15%)			9% to 15% (10%)
Exit multiple	7 to 16 times (11 times)			7 to 10 times (10 times)
Market approach:
EBITDA multiple	7 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	$	788		$	618
Option model:
IR volatility skew	34% to 163% (71% / 71%)			22% to 95%  (48% / 51%)
Contingency probability	95%			N/M
IR curve correlation	37% to 89% (66% / 67%)			N/M
Bond volatility	4% to 19% (14% / 14%)			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 September 30, 2019			At December 31, 2018
Credit	$	105		$	40
Comparable pricing:
Cash-synthetic basis	6 points			8 to 9 points (9 points)
Bond price	0 to 103 points (55 points)			0 to 75 points  (26 points)
Credit spread	9 to 507 bps (91 bps)			246 to 499 bps (380 bps)
Funding spread	69 to 131 bps (100 bps)			47 to 98 bps (93 bps)
Correlation model:
Credit correlation	32% to 62% (36%)			36% to 69% (44%)
Foreign exchange2	$	52		$	75
Option model:
IR - FX correlation	29% to 56% (47% / 47%)			53% to 56% (55% / 55%)
IR volatility skew	34% to 163% (71% / 71%)			22% to 95% (48% / 51%)
IR curve	10% to 11% (10% / 10%)			N/M
Contingency probability	85% to 95% (92% / 95%)			90% to 95% (93% / 95%)
Equity2	$	(1,381	)	$	(1,485	)
Option model:
At the money volatility	13% to 81% (35%)			17% to 63% (38%)
Volatility skew	-2% to 0% (-1%)			-2% to 0% (-1%)
Equity correlation	5% to 96% (68%)			5% to 96% (71%)
FX correlation	-60% to 55% (-25%)			-60% to 55% (-26%)
IR correlation	-8% to 44% (17% / 15%)			-7% to 45% (15% / 12%)
Commodity and other	$	1,974		$	2,052
Option model:
Forward power price	$5 to $178 ($28) per MWh			3 to $185 ($31) per  MWh
Commodity volatility	1% to 96% (19%)			7% to 187% (17%)
Cross-commodity correlation	43% to 99% (93%)			5% to 99% (93%)
Liabilities Measured at Fair Value on a Recurring Basis
Deposits	$	145		$	27
Option Model:
At the money volatility	20% to 39% (21%)			N/M
Other secured financings	$	110		$	208
Discounted cash flow:
Funding spread	107 to 122 bps (115 bps)			103 to 193 bps (148 bps)
Option model:
Volatility skew	N/M			-1		%
At the money volatility	25% to 28% (28%)			10% to 40% (25%)
Borrowings	$	3,538		$	3,806
Option model:
At the money volatility	6% to 45% (22%)			5% to 35% (22%)
Volatility skew	-2% to 0% (0%)			-2% to 0% (0%)
Equity correlation	39% to 94% (80%)			45% to 98% (85%)
Equity - FX correlation	-70% to 30% (-22%)			-75% to 50% (-27%)
IR Correlation	N/M			58% to 97% (85% / 91%)
IR - FX Correlation	-33% to 7% (-8% / -8%)			28% to 58% (44% / 44%)

	Balance / Range (Average)1
$ in millions, except inputs	At September 30, 2019		At December 31, 2018
Nonrecurring Fair Value Measurement
Loans	$	1,665	$	1,380
Corporate loan model:
Credit spread	54 to 435 bps (220 bps)		97 to 434 bps (181 bps)
Warehouse model:
Credit spread	183 to 317 bps (220 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).

The previous tables provide information 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. 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. In general, 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 3 to the financial statements in the 2018 Form 10-K. During the current year period, there were no significant revisions made to the descriptions of the Firm’s significant unobservable inputs.

Net Asset Value Measurements

Fund Interests

	At September 30, 2019				At December 31, 2018
$ in millions	Carrying Value		Commitment		Carrying Value		Commitment
Private equity	$	1,542	$	363	$	1,374	$	316
Real estate	1,469		153		1,105		161
Hedge1	95		4		103		4
Total	$	3,106	$	520	$	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.

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 3 to the financial statements in the 2018 Form 10-K.

Amounts in the previous table represent the Firm’s carrying value of general and limited partnership interests in fund investments, as well as any 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.

See Note 11 for information regarding general partner guarantees, which include potential obligations to return performance-based fees in the form of carried interest previously received. See Note 18 for information regarding carried interest at risk of reversal. 

Nonredeemable Funds by Contractual Maturity

	Carrying Value at September 30, 2019
$ in millions	Private Equity		Real Estate
Less than 5 years	$	765	$	1,151
5-10 years	753		230
Over 10 years	24		88
Total	$	1,542	$	1,469

Fair Value Option

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 the complexities of applying certain accounting models.

Borrowings Measured at Fair Value on a Recurring Basis

$ in millions	At September 30, 2019		At December 31, 2018
Business Unit Responsible for Risk Management
Equity	$	29,508	$	24,494
Interest rates	26,427		22,343
Commodities	3,973		2,735
Credit	1,229		856
Foreign exchange	517		756
Total	$	61,654	$	51,184

Net Revenues from Borrowings under the Fair Value Option

	Three Months Ended September 30,					Nine Months Ended September 30,
$ in millions	2019			2018		2019			2018
Trading revenues	$	(795	)	$	449	$	(5,888	)	$	1,334
Interest expense	93			59		280			234
Net revenues1	$	(888	)	$	390	$	(6,168	)	$	1,100

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,
	2019					2018
$ in millions	Trading Revenues			OCI		Trading Revenues			OCI
Borrowings	$	(2	)	$	442	$	(4	)	$	(1,010	)
Loans and other debt1	(3		)	—		55			—
Lending commitments	—			—		(6		)	—
Other	—			1		(32		)	28

	Nine Months Ended September 30,
	2019						2018
$ in millions	Trading Revenues			OCI			Trading Revenues			OCI
Borrowings	$	(9	)	$	(702	)	$	(22	)	$	425
Loans and other debt1	148			—			199			—
Lending commitments	(2		)	—			(3		)	—
Other	—			(2		)	(32		)	32

$ in millions	At September 30, 2019			At December 31, 2018
Cumulative pre-tax DVA gain (loss) recognized in AOCI	$	(532	)	$	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 September 30, 2019			At December 31, 2018
Loans and other debt2	$	13,154		$	13,094
Nonaccrual loans2	10,919			10,831
Borrowings3	(986		)	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.

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

Fair Value Loans on Nonaccrual Status

$ in millions	At September 30, 2019		At December 31, 2018
Nonaccrual loans	$	839	$	1,497
Nonaccrual loans 90 or more days past due	$	452	$	812

Nonrecurring Fair Value Measurements    

Carrying and Fair Values

	At September 30, 2019
	Fair Value
$ in millions	Level 2			Level 31			Total
Assets
Loans	$	1,513		$	1,665		$	3,178
Other assets—Other investments	—			26			26
Other assets—Premises, equipment and software	—			—			—
Total	$	1,513		$	1,691		$	3,204
Liabilities
Other liabilities and accrued expenses—Lending commitments	$	(161	)	$	(64	)	$	(225	)
Total	$	(161	)	$	(64	)	$	(225	)

	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 September 30,						Nine Months Ended September 30,
$ in millions	2019			2018			2019			2018
Assets
Loans2	$	(27	)	$	(5	)	$	(12	)	$	1
Other assets—Other investments	(3		)	(2		)	(8		)	(9		)
Other assets—Premises, equipment and software	(4		)	(3		)	(8		)	(13		)
Total	$	(34	)	$	(10	)	$	(28	)	$	(21	)
Liabilities
Other liabilities and accrued expenses—Lending commitments2	$	(19	)	$	31		$	82		$	41
Total	$	(19	)	$	31		$	82		$	41

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.

Financial Instruments Not Measured at Fair Value

Carrying and Fair Values

	At September 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	$	35,721	$	35,721	$	—	$	—	$	35,721
Interest bearing deposits with banks	13,196		13,196		—		—		13,196
Restricted cash	30,739		30,739		—		—		30,739
Investment securities—HTM	41,076		27,816		13,513		662		41,991
Securities purchased under agreements to resell	93,363		—		91,966		1,374		93,340
Securities borrowed	132,401		—		132,406		—		132,406
Customer and other receivables1	54,784		—		51,855		2,880		54,735
Loans2	125,522		—		23,119		102,403		125,522
Other assets	474		—		474		—		474
Financial liabilities
Deposits	$	179,116	$	—	$	179,536	$	—	$	179,536
Securities sold under agreements to repurchase	58,730		—		58,724		—		58,724
Securities loaned	9,691		—		9,694		—		9,694
Other secured financings	3,484		—		3,488		—		3,488
Customer and other payables1	199,944		—		199,944		—		199,944
Borrowings	132,005		—		135,409		10		135,419
	Commitment Amount
Lending commitments3	$	118,524	$	—	$	889	$	348	$	1,237

	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 as these are not financial instruments.

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.

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