v3.20.4
Fair Value Option (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Financial Assets and Financial Liabilities by Level
The table below presents, by level within the fair value hierarchy, other financial assets and liabilities at fair value, substantially all of which are accounted for at fair value under the fair value option.
 
$ in millions
     Level 1       Level 2       Level 3       Total  
As of December 2020
                                
Assets
                                
Resale agreements
  
 
$  –
 
  
 
$ 108,060
 
  
 
$          –
 
  
 
$ 108,060
 
Securities borrowed
  
 
–
 
  
 
28,898
 
  
 
–
 
  
 
28,898
 
Customer and other receivables
  
 
–
 
  
 
82
 
  
 
–
 
  
 
82
 
Total
  
 
$  –
 
  
 
$ 137,040
 
  
 
$          –
 
  
 
$ 137,040
 
 
Liabilities
        
Deposits
  
 
$  –
 
  
 
$  (11,955
) 
  
 
$  (4,221
) 
  
 
$  (16,176
) 
Repurchase agreements
  
 
–
 
  
 
(126,569
) 
  
 
(2
) 
  
 
(126,571
) 
Securities loaned
  
 
–
 
  
 
(1,053
) 
  
 
–
 
  
 
(1,053
) 
Other secured financings
  
 
–
 
  
 
(20,652
) 
  
 
(3,474
) 
  
 
(24,126
) 
Unsecured borrowings:
                                
Short-term
  
 
–
 
  
 
(19,227
) 
  
 
(7,523
) 
  
 
(26,750
) 
Long-term
  
 
–
 
  
 
(28,335
) 
  
 
(12,576
) 
  
 
(40,911
) 
Other liabilities
  
 
–
 
  
 
(1
) 
  
 
(262
) 
  
 
(263
) 
Total
  
 
$  –
 
  
 
$(207,792
) 
  
 
$(28,058
) 
  
 
$(235,850
) 
 
As of December 2019
                                
Assets
                                
Resale agreements
     $  –       $  
  
85,691		       $        
  
 –		       $  
  
85,691		  
Securities borrowed
     –       26,279       –       26,279  
Customer and other receivables
     –       53       –       53  
Total
     $  –       $
  
112,023		       $        
  
 –		       $
  
112,023		  
 
Liabilities
        
Deposits
     $  –       $  
  
(13,742		 )      $  
  
(4,023		 )      $  
  
(17,765		 ) 
Repurchase agreements
     –       (117,726 )      (30 )      (117,756 ) 
Securities loaned
     –       (714 )      –       (714 ) 
Other secured financings
     –       (17,685 )      (386 )      (18,071 ) 
Unsecured borrowings:
                                
Short-term
     –       (20,300 )      (5,707 )      (26,007 ) 
Long-term
     –       (32,920 )      (10,741 )      (43,661 ) 
Other liabilities
     –       (1 )      (149 )      (150 ) 
Total
     $  –       $
  
(203,088		 )      $
  
(21,036		 )      $
  
(224,124		 ) 
Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 other financial liabilities accounted for at fair value.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Beginning balance
  
 
$(21,036
) 
        $(19,397 ) 
Net realized gains/(losses)
  
 
(317
) 
        (337 ) 
Net unrealized gains/(losses)
  
 
(1,301
) 
        (2,254 ) 
Issuances
  
 
(18,123
) 
        (9,892 ) 
Settlements
  
 
15,373
 
        11,104  
Transfers into level 3
  
 
(3,575
) 
        (877 ) 
Transfers out of level 3
  
 
921
 
        617  
Ending balance
  
 
$(28,058
) 
        $(21,036 ) 
The table below presents information, by the consolidated balance sheet line items, for liabilities included in the summary table above.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Deposits
                   
Beginning balance
  
 
$  (4,023
) 
        $  (3,168 ) 
Net realized gains/(losses)
  
 
1
 
        (3 ) 
Net unrealized gains/(losses)
  
 
(319
) 
        (473 ) 
Issuances
  
 
(4,049
) 
        (932 ) 
Settlements
  
 
4,168
 
        452  
Transfers into level 3
  
 
(57
) 
        (28 ) 
Transfers out of level 3
  
 
58
 
        129  
Ending balance
  
 
$  (4,221
) 
        $  (4,023 ) 
 
Repurchase agreements
                   
Beginning balance
  
 
$  
  
    (30
) 
        $       (29 ) 
Net unrealized gains/(losses)
  
 
(2
) 
        (4 ) 
Settlements
  
 
30
 
        3  
Ending balance
  
 
$    
  
    (2
) 
        $       (30 ) 
 
Other secured financings
                   
Beginning balance
  
 
$  
  
  (386
) 
        $     (170 ) 
Net realized gains/(losses)
  
 
13
 
        36  
Net unrealized gains/(losses)
  
 
(142
) 
        (52 ) 
Issuances
  
 
(1,195
) 
        (28 ) 
Settlements
  
 
368
 
        19  
Transfers into level 3
  
 
(2,132
) 
        (191 ) 
Ending balance
  
 
$  (3,474
) 
        $     (386 ) 
 
Unsecured short-term borrowings
                   
Beginning balance
  
 
$  (5,707
) 
        $  (4,076 ) 
Net realized gains/(losses)
  
 
(132
) 
        (120 ) 
Net unrealized gains/(losses)
  
 
(215
) 
        (484 ) 
Issuances
  
 
(6,634
) 
        (5,410 ) 
Settlements
  
 
5,029
 
        4,333  
Transfers into level 3
  
 
(629
) 
        (173 ) 
Transfers out of level 3
  
 
765
 
        223  
Ending balance
  
 
$  (7,523
) 
        $  (5,707 ) 
 
Unsecured long-term borrowings
                   
Beginning balance
  
 
$(10,741
) 
        $(11,823 ) 
Net realized gains/(losses)
  
 
(229
) 
        (278 ) 
Net unrealized gains/(losses)
  
 
(510
) 
        (1,223 ) 
Issuances
  
 
(6,215
) 
        (3,494 ) 
Settlements
  
 
5,778
 
        6,297  
Transfers into level 3
  
 
(757
) 
        (485 ) 
Transfers out of level 3
  
 
98
 
        265  
Ending balance
  
 
$(12,576
) 
        $(10,741 ) 
 
Other liabilities
                   
Beginning balance
  
 
$  
  
  (149
) 
        $     (131 ) 
Net realized gains/(losses)
  
 
30
 
        28  
Net unrealized gains/(losses)
  
 
(113
) 
        (18 ) 
Issuances
  
 
(30
) 
        (28 ) 
Ending balance
  
 
$  
  
  (262
) 
        $     (149 ) 
Gains and Losses on Other Financial Assets and Financial Liabilities at Fair Value
The table below presents the gains and losses recognized in earnings as a result of the election to apply the fair value option to certain financial assets and liabilities.
 
    Year Ended December  
       
$ in millions
  
 
2020
 
      2019        2018  
Unsecured short-term borrowings
  
 
$
    
 206
 
      $(3,365 )       $1,443  
Unsecured long-term borrowings
  
 
(2,804
) 
      (5,251 )       926  
Other
  
 
(563
) 
      (883 )       308  
Total
  
 
$(3,161
) 
      $(9,499 )       $2,677  
Summary of DVA Losses on Financial Liabilities
The table below presents information about the net debt valuation adjustment (DVA) gains/(losses) on financial liabilities for which the fair value option was elected.
 
    Year Ended December  
       
$ in millions
  
 
2020
 
      2019        2018  
DVA
(pre-tax)
  
 
$(347
) 
      $(2,763 )       $3,389  
DVA (net of tax)
  
 
$(261
) 
      $(2,079 )       $2,553  
In the table above:
 
•  
DVA (net of tax) is included in debt valuation adjustment in the consolidated statements of comprehensive income.
 
•  
The gains/(losses) reclassified to earnings from accumulated other comprehensive income/(loss) upon extinguishment of such financial liabilities were not material for 2020, 2019 and 2018.
Loans and Lending Commitments
The table below presents the difference between the aggregate fair value and the aggregate contractual principal amount for loans (included in trading assets and loans in the consolidated balance sheets) for which the fair value option was elected.
 
    As of December  
     
$ in millions
  
 
2020
 
     2019  
Performing loans
                
Aggregate contractual principal in excess of fair value
  
 
$
  
   958
 
     $   809  
 
Loans on nonaccrual status and/or more than 90 days past due
 
Aggregate contractual principal in excess of fair value
  
 
$10,526
 
     $6,703  
Aggregate fair value
  
 
$  3,519
 
     $2,776