v3.21.2
Fair Value Option (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 2021
                                
Assets
                                
Resale agreements
  
 
$
 
 
–
 
  
 
$ 154,123
 
  
 
$         
  
–
 
  
 
$ 154,123
 
Securities borrowed
  
 
–
 
  
 
41,076
 
  
 
–
 
  
 
41,076
 
Customer and other receivables
  
 
–
 
  
 
57
 
  
 
–
 
  
 
57
 
Total
  
 
$
 
 
–
 
  
 
$ 195,256
 
  
 
$         
  
–
 
  
 
$ 195,256
 
 
Liabilities
                                
Deposits
  
 
$
 
 
–
 
  
 
$  (29,650
) 
  
 
$  (3,908
) 
  
 
$  (33,558
) 
Repurchase agreements
  
 
–
 
  
 
(151,692
) 
  
 
–
 
  
 
(151,692
) 
Securities loaned
  
 
–
 
  
 
(6,301
) 
  
 
–
 
  
 
(6,301
) 
Other secured financings
  
 
–
 
  
 
(23,279
) 
  
 
(2,891
) 
  
 
(26,170
) 
Unsecured borrowings:
                                
Short-term
  
 
–
 
  
 
(20,410
) 
  
 
(11,461
) 
  
 
(31,871
) 
Long-term
  
 
–
 
  
 
(34,682
) 
  
 
(9,714
) 
  
 
(44,396
) 
Other liabilities
  
 
–
 
  
 
(2
) 
  
 
(162
) 
  
 
(164
) 
Total
  
 
$
 
 
–
 
  
 
$(266,016
) 
  
 
$(28,136
) 
  
 
$(294,152
) 
 
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		 ) 
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.
 
   
Three Months
Ended June
        
Six Months
Ended June
  
           
$ in millions
  
 
2021
 
     2020           
 
2021
 
     2020  
Beginning balance
  
 
$(27,791
) 
     $(21,650 )       
 
$(28,058
) 
     $(21,036 ) 
Net realized gains/(losses)
  
 
(200
) 
     (109 )       
 
(294
) 
     (203 ) 
Net unrealized gains/(losses)
  
 
(612
) 
     (1,977 )       
 
(49
) 
     777  
Issuances
  
 
(7,776
) 
     (9,541 )       
 
(12,334
) 
     (15,206 ) 
Settlements
  
 
7,258
 
     7,707        
 
10,844
 
     11,132  
Transfers into level 3
  
 
(903
) 
     (628 )       
 
(980
) 
     (1,622 ) 
Transfers out of level 3
  
 
1,888
 
     235    
 
  
 
2,735
 
     195  
Ending balance
  
 
$(28,136
) 
     $(25,963 )   
 
  
 
$(28,136
) 
     $(25,963 ) 
The table below presents information, by the consolidated balance sheet line items, for liabilities included in the summary table above.
 
   
Three Months
Ended June
           
Six Months
Ended June
  
           
$ in millions
  
 
2021
 
     2020    
 
  
 
2021
 
     2020  
Deposits
                                    
Beginning balance
  
 
$  (3,984
) 
     $  (3,996 )       
 
$  (4,221
) 
     $  (4,023 ) 
Net realized gains/(losses)
  
 
(9
) 
     (1 )       
 
(16
) 
     4  
Net unrealized gains/(losses)
  
 
(110
) 
     (79 )       
 
(111
) 
     (75 ) 
Issuances
  
 
(125
) 
     (3,929 )       
 
(215
) 
     (4,025 ) 
Settlements
  
 
313
 
     3,796        
 
625
 
     3,919  
Transfers into level 3
  
 
(7
) 
     (44 )       
 
(28
) 
     (66 ) 
Transfers out of level 3
  
 
14
 
     36    
 
  
 
58
 
     49  
Ending balance
  
 
$  (3,908
) 
     $  (4,217 )   
 
  
 
$  (3,908
) 
     $  (4,217 ) 
 
Repurchase agreements
                                    
Beginning balance
  
 
$        
 
(1
) 
     $       (12 )       
 
$        
 
(2
) 
     $    
    
  (30		 ) 
Net unrealized gains/(losses)
  
 
–
 
     (4 )       
 
–
 
     (1 ) 
Settlements
  
 
1
 
     6    
 
  
 
2
 
     21  
Ending balance
  
 
$          
 
–
 
     $       (10 )   
 
  
 
$
 
          –
 
     $    
    
  (10		 ) 
 
Other secured financings
                                    
Beginning balance
  
 
$  (3,224
) 
     $  (1,230 )       
 
$  (3,474
) 
     $     (386 ) 
Net realized gains/(losses)
  
 
(9
) 
     2        
 
(6
) 
     5  
Net unrealized gains/(losses)
  
 
(1
) 
     (32 )       
 
35
 
     26  
Issuances
  
 
(34
) 
     (806 )       
 
(62
) 
     (806 ) 
Settlements
  
 
92
 
     293        
 
323
 
     373  
Transfers into level 3
  
 
(111
) 
     –        
 
(304
) 
     (985 ) 
Transfers out of level 3
  
 
396
 
     –    
 
  
 
597
 
     –  
Ending balance
  
 
$  (2,891
) 
     $  (1,773 )   
 
  
 
$  (2,891
) 
     $  (1,773 ) 
Unsecured short-term borrowings
 
                            
Beginning balance
  
 
$(10,246
) 
     $  (5,411 )       
 
$  (7,523
) 
     $  (5,707 ) 
Net realized gains/(losses)
  
 
(103
) 
     (48 )       
 
(130
) 
     (81 ) 
Net unrealized gains/(losses)
  
 
(184
) 
     (735 )       
 
(135
) 
     605  
Issuances
  
 
(6,012
) 
     (2,853 )       
 
(9,480
) 
     (5,339 ) 
Settlements
  
 
4,510
 
     2,572        
 
5,303
 
     4,008  
Transfers into level 3
  
 
(395
) 
     (445 )       
 
(218
) 
     (353 ) 
Transfers out of level 3
  
 
969
 
     114    
 
  
 
722
 
     61  
Ending balance
  
 
$(11,461
) 
     $  (6,806 )   
 
  
 
$(11,461
) 
     $  (6,806 ) 
Unsecured long-term borrowings
 
                            
Beginning balance
  
 
$(10,177
) 
     $(10,676 )       
 
$(12,576
) 
     $(10,741 ) 
Net realized gains/(losses)
  
 
(79
) 
     (70 )       
 
(142
) 
     (146 ) 
Net unrealized gains/(losses)
  
 
(314
) 
     (1,132 )       
 
62
 
     393  
Issuances
  
 
(1,605
) 
     (1,945 )       
 
(2,577
) 
     (5,021 ) 
Settlements
  
 
2,342
 
     1,040        
 
4,591
 
     2,811  
Transfers into level 3
  
 
(390
) 
     (139 )       
 
(430
) 
     (218 ) 
Transfers out of level 3
  
 
509
 
     85    
 
  
 
1,358
 
     85  
Ending balance
  
 
$  (9,714
) 
     $(12,837 )   
 
  
 
$  (9,714
) 
     $(12,837 ) 
 
Other liabilities
                                    
Beginning balance
  
 
$    
 
(159
) 
     $    
    
(325		 )       
 
$    
 
(262
) 
     $     (149 ) 
Net realized gains/(losses)
  
 
–
 
     8        
 
–
 
     15  
Net unrealized gains/(losses)
  
 
(3
) 
     5        
 
100
 
     (171 ) 
Issuances
  
 
–
 
     (8 )   
 
  
 
–
 
     (15 ) 
Ending balance
  
 
$    
 
(162
) 
     $     (320 )   
 
  
 
$    
 
(162
) 
     $     (320 ) 
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.
 
   
Three Months
Ended June
           
Six Months
Ended June
  
           
$ in millions
  
 
2021
 
     2020    
 
  
 
2021
 
     2020  
Unsecured short-term borrowings
  
 
$  
 
(850
) 
     $(2,352 )       
 
$(1,810
) 
     $ 2,129  
Unsecured long-term borrowings
  
 
(1,473
) 
     (2,015 )       
 
(1,702
) 
     (1,023 ) 
Other
  
 
(177
) 
     (492 )   
 
  
 
(71
) 
     (94 ) 
Total
  
 
$(2,500
) 
     $(4,859 )   
 
  
 
$(3,583
) 
     $ 1,012  
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.
 
   
Three Months
Ended June
               
Six Months
Ended June
  
           
$ in millions
  
 
2021
 
      2020    
 
  
 
2021
 
      2020  
DVA
(pre-tax)
  
 
$159
 
      $(2,938 )       
 
$130
 
      $933  
DVA (net of tax)
  
 
$117
 
      $(2,218 )   
 
  
 
$  98
 
      $696  
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 both the three and six months ended June 2021 and June 2020.
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  
     
$ in millions
  
 
June
2021
 
 
    
December
2020
  
 
Performing loans
                
Aggregate contractual principal in excess of fair value
  
 
$  1,398
 
     $     958  
 
Loans on nonaccrual status and/or more than 90 days past due
 
Aggregate contractual principal in excess of fair value
  
 
$11,120
 
     $10,526  
Aggregate fair value
  
 
$  3,498
 
     $  3,519