v3.21.2
Fair Value Option (Tables)
 9 Months Ended
Sep. 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 September 2021
 
Assets
                                
Resale agreements
  
 
$  –
 
  
 
$ 213,062
 
  
 
$     
    
    
    
–
 
  
 
$ 213,062
 
Securities borrowed
  
 
–
 
  
 
34,437
 
  
 
–
 
  
 
34,437
 
Customer and other receivables
  
 
–
 
  
 
46
 
  
 
–
 
  
 
46
 
Total
  
 
$  –
 
  
 
$ 247,545
 
  
 
$     
    
    
    
–
 
  
 
$ 247,545
 
 
Liabilities
                                
Deposits
  
 
$  –
 
  
 
$  (30,441
) 
  
 
$  (3,637
) 
  
 
$  (34,078
) 
Repurchase agreements
  
 
–
 
  
 
(167,339
) 
  
 
–
 
  
 
(167,339
) 
Securities loaned
  
 
–
 
  
 
(7,298
) 
  
 
–
 
  
 
(7,298
) 
Other secured financings
  
 
–
 
  
 
(15,568
) 
  
 
(2,640
) 
  
 
(18,208
) 
Unsecured borrowings:
                                
Short-term
  
 
–
 
  
 
(21,778
) 
  
 
(8,669
) 
  
 
(30,447
) 
Long-term
  
 
–
 
  
 
(38,654
) 
  
 
(9,226
) 
  
 
(47,880
) 
Other liabilities
  
 
–
 
  
 
(1
) 
  
 
(165
) 
  
 
(166
) 
Total
  
 
$  –
 
  
 
$(281,079
) 
  
 
$(24,337
) 
  
 
$(305,416
) 
 
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 September
          
Nine Months
Ended September
  
           
$ in millions
  
 
2021
 
     2020               
 
2021
 
     2020  
Beginning balance
  
 
$(28,136
) 
     $(25,963 )           
 
$(28,058
) 
     $(21,036 ) 
Net realized gains/(losses)
  
 
(181
) 
     (112 )           
 
(388
) 
     (244 ) 
Net unrealized gains/(losses)
  
 
819
 
     (354 )           
 
822
 
     347  
Issuances
  
 
(4,856
) 
     (6,974 )           
 
(11,797
) 
     (18,633 ) 
Settlements
  
 
6,742
 
     6,911            
 
13,325
 
     14,348  
Transfers into level 3
  
 
(570
) 
     (1,756 )           
 
(745
) 
     (2,857 ) 
Transfers out of level 3
  
 
1,845
 
     344    
 
 
 
  
 
2,504
 
     171  
Ending balance
  
 
$(24,337
) 
     $(27,904 )   
 
 
 
  
 
$(24,337
) 
     $(27,904 ) 
The table below presents information, by the consolidated balance sheet line items, for liabilities included in the summary table above.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       
   
Three Months
Ended September
             
Nine Months
Ended September
  
           
$ in millions
  
 
2021
 
     2020    
 
 
 
  
 
2021
 
     2020  
Deposits
 
Beginning balance
  
 
$  (3,908
) 
     $  (4,217 )           
 
$  (4,221
) 
     $  (4,023 ) 
Net realized gains/(losses)
  
 
(8
) 
     (4 )           
 
(23
) 
     –  
Net unrealized gains/(losses)
  
 
74
 
     (68 )           
 
(28
) 
     (142 ) 
Issuances
  
 
(144
) 
     (124 )           
 
(341
) 
     (4,054 ) 
Settlements
  
 
307
 
     235            
 
904
 
     4,083  
Transfers into level 3
  
 
–
 
     (38 )           
 
(23
) 
     (69 ) 
Transfers out of level 3
  
 
42
 
     66    
 
 
 
  
 
95
 
     55  
Ending balance
  
 
$  (3,637
) 
     $  (4,150 )   
 
 
 
  
 
$  (3,637
) 
     $  (4,150 ) 
Repurchase agreements
Beginning balance
  
 
$          –
 
     $       (10 )           
 
$        
 
(2
) 
     $       (30 ) 
Net unrealized gains/(losses)
  
 
–
 
     –            
 
–
 
     (2 ) 
Settlements
  
 
–
 
     8    
 
 
 
  
 
2
 
     30  
Ending balance
  
 
$          –
 
     $         (2 )   
 
 
 
  
 
$          –
 
     $         (2 ) 
Other secured financings
 
Beginning balance
  
 
$  (2,891
) 
     $  (1,773 )           
 
$  (3,474
) 
     $     (386 ) 
Net realized gains/(losses)
  
 
3
 
     7            
 
(1
) 
     13  
Net unrealized gains/(losses)
  
 
30
 
     (67 )           
 
71
 
     (12 ) 
Issuances
  
 
(43
) 
     (10 )           
 
(101
) 
     (847 ) 
Settlements
  
 
414
 
     79            
 
657
 
     332  
Transfers into level 3
  
 
(233
) 
     (1,299 )           
 
(243
) 
     (2,163 ) 
Transfers out of level 3
  
 
80
 
     –    
 
 
 
  
 
451
 
     –  
Ending balance
  
 
$  (2,640
) 
     $  (3,063 )   
 
 
 
  
 
$  (2,640
) 
     $  (3,063 ) 
Unsecured short-term borrowings
Beginning balance
  
 
$(11,461
) 
     $  (6,806 )           
 
$  (7,523
) 
     $  (5,707 ) 
Net realized gains/(losses)
  
 
(112
) 
     (58 )           
 
(168
) 
     (109 ) 
Net unrealized gains/(losses)
  
 
429
 
     (42 )           
 
334
 
     458  
Issuances
  
 
(3,453
) 
     (4,879 )           
 
(8,042
) 
     (7,605 ) 
Settlements
  
 
4,846
 
     4,295            
 
6,399
 
     5,571  
Transfers into level 3
  
 
(200
) 
     (280 )           
 
(183
) 
     (234 ) 
Transfers out of level 3
  
 
1,282
 
     196    
 
 
 
  
 
514
 
     52  
Ending balance
  
 
$  (8,669
) 
     $  (7,574 )   
 
 
 
  
 
$  (8,669
) 
     $  (7,574 ) 
Unsecured long-term borrowings
Beginning balance
  
 
$  (9,714
) 
     $(12,837 )           
 
$(12,576
) 
     $(10,741 ) 
Net realized gains/(losses)
  
 
(64
) 
     (64 )           
 
(196
) 
     (171 ) 
Net unrealized gains/(losses)
  
 
289
 
     (167 )           
 
348
 
     225  
Issuances
  
 
(1,216
) 
     (1,949 )           
 
(3,313
) 
     (6,099 ) 
Settlements
  
 
1,175
 
     2,294            
 
5,363
 
     4,332  
Transfers into level 3
  
 
(137
) 
     (139 )           
 
(296
) 
     (390 ) 
Transfers out of level 3
  
 
441
 
     82    
 
 
 
  
 
1,444
 
     64  
Ending balance
  
 
$  (9,226
) 
     $(12,780 )   
 
 
 
  
 
$  (9,226
) 
     $(12,780 ) 
Other liabilities
Beginning balance
  
 
$    
 
(162
) 
     $     (320 )           
 
$    
 
(262
) 
     $     (149 ) 
Net realized gains/(losses)
  
 
–
 
     7            
 
–
 
     23  
Net unrealized gains/(losses)
  
 
(3
) 
     (10 )           
 
97
 
     (180 ) 
Issuances
  
 
–
 
     (12 )           
 
–
 
     (28 ) 
Transfers into level 3
  
 
–
 
     –    
 
 
 
  
 
–
 
     (1 ) 
Ending balance
  
 
$    
 
(165
) 
     $     (335 )   
 
 
 
  
 
$    
 
(165
) 
     $     (335 ) 
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 September
           
Nine Months
Ended September
  
           
$ in millions
  
 
2021
 
      2020    
 
  
 
2021
 
      2020  
Unsecured short-term borrowings
  
 
$ 875
 
      $(406 )       
 
$  
 
(935
) 
      $ 1,723  
Unsecured long-term borrowings
  
 
(128
) 
      (143 )       
 
(1,830
) 
      (1,166 ) 
Other
  
 
54
 
      (152 )   
 
  
 
(17
) 
      (246 ) 
Total
  
 
$ 801
 
      $(701 )   
 
  
 
$(2,782
) 
      $    311  
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 September		                  Nine Months
Ended September		  
           
$ in millions
  
 
2021
 
        2020    
 
 
 
  
 
2021
 
        2020  
DVA
(pre-tax)
  
 
$92
 
        $(357 )           
 
$222
 
        $576  
DVA (net of tax)
  
 
$67
 
        $(268 )   
 
 
 
  
 
$165
 
        $428  
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 nine months ended September 2021 and September 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
  
 
 
September
2021
 
 
    
 
 December
2020
  
 
Performing loans
                
Aggregate contractual principal in excess of fair value
  
 
$  1,430
 
     $     958  
 
Loans on nonaccrual status and/or more than 90 days past due
 
 
Aggregate contractual principal in excess of fair value
  
 
$10,279
 
     $10,526  
Aggregate fair value
  
 
$  3,315
 
     $  3,519