v3.22.0.1
Fair Value Option (Tables)
 12 Months Ended
Dec. 31, 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 December 2021
                                
Assets
                                
Resale agreements
  
 
$  –
 
  
 
$ 205,703
 
  
 
$
    
         –
 
  
 
$ 205,703
 
Securities borrowed
  
 
–
 
  
 
39,955
 
  
 
–
 
  
 
39,955
 
Customer and other receivables
  
 
–
 
  
 
42
 
  
 
–
 
  
 
42
 
Total
  
 
$  –
 
  
 
$ 245,700
 
  
 
$
    
         –
 
  
 
$ 245,700
 
 
Liabilities
                                
Deposits
  
 
$  –
 
  
 
$  (31,812
) 
  
 
$  (3,613
) 
  
 
$  (35,425
) 
Repurchase agreements
  
 
–
 
  
 
(165,883
) 
  
 
–
 
  
 
(165,883
) 
Securities loaned
  
 
–
 
  
 
(9,170
) 
  
 
–
 
  
 
(9,170
) 
Other secured financings
  
 
–
 
  
 
(14,508
) 
  
 
(2,566
) 
  
 
(17,074
) 
Unsecured borrowings:
                                
Short-term
  
 
–
 
  
 
(22,003
) 
  
 
(7,829
) 
  
 
(29,832
) 
Long-term
  
 
–
 
  
 
(42,977
) 
  
 
(9,413
) 
  
 
(52,390
) 
Other liabilities
  
 
–
 
  
 
(213
) 
  
 
(146
) 
  
 
(359
) 
Total
  
 
$  –
 
  
 
$(286,566
) 
  
 
$(23,567
) 
  
 
$(310,133
) 
 
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.
 
    Year Ended December  
     
$ in millions
  
 
2021
 
      2020  
Beginning balance
  
 
$(28,058
) 
      $(21,036 ) 
Net realized gains/(losses)
  
 
(401
) 
      (317 ) 
Net unrealized gains/(losses)
  
 
825
 
      (1,301 ) 
Issuances
  
 
(12,632
) 
      (18,123 ) 
Settlements
  
 
14,930
 
      15,373  
Transfers into level 3
  
 
(736
) 
      (3,575 ) 
Transfers out of level 3
  
 
2,505
 
      921  
Ending balance
  
 
$(23,567
) 
      $(28,058 ) 
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
  
 
2021
 
      2020  
Deposits
                 
Beginning balance
  
 
$  (4,221
) 
      $  (4,023 ) 
Net realized gains/(losses)
  
 
(28
) 
      1  
Net unrealized gains/(losses)
  
 
(110
) 
      (319 ) 
Issuances
  
 
(473
) 
      (4,049 ) 
Settlements
  
 
1,203
 
      4,168  
Transfers into level 3
  
 
(70
) 
      (57 ) 
Transfers out of level 3
  
 
86
 
      58  
Ending balance
  
 
$  (3,613
) 
      $  (4,221 ) 
 
Repurchase agreements
                 
Beginning balance
  
 
$
    
        (2
) 
      $       (30 ) 
Net unrealized gains/(losses)
  
 
1
 
      (2 ) 
Settlements
  
 
1
 
      30  
Ending balance
  
 
$
    
        –
 
      $         (2 ) 
 
Other secured financings
                 
Beginning balance
  
 
$  (3,474
) 
      $     (386 ) 
Net realized gains/(losses)
  
 
(27
) 
      13  
Net unrealized gains/(losses)
  
 
63
 
      (142 ) 
Issuances
  
 
(145
) 
      (1,195 ) 
Settlements
  
 
779
 
      368  
Transfers into level 3
  
 
(135
) 
      (2,132 ) 
Transfers out of level 3
  
 
373
 
      –  
Ending balance
  
 
$  (2,566
) 
      $  (3,474 ) 
 
Unsecured short-term borrowings
                 
Beginning balance
  
 
$  (7,523
) 
      $  (5,707 ) 
Net realized gains/(losses)
  
 
(134
) 
      (132 ) 
Net unrealized gains/(losses)
  
 
374
 
      (215 ) 
Issuances
  
 
(7,878
) 
      (6,634 ) 
Settlements
  
 
7,188
 
      5,029  
Transfers into level 3
  
 
(163
) 
      (629 ) 
Transfers out of level 3
  
 
307
 
      765  
Ending balance
  
 
$  (7,829
) 
      $  (7,523 ) 
 
Unsecured long-term borrowings
                 
Beginning balance
  
 
$(12,576
) 
      $(10,741 ) 
Net realized gains/(losses)
  
 
(212
) 
      (229 ) 
Net unrealized gains/(losses)
  
 
381
 
      (510 ) 
Issuances
  
 
(4,136
) 
      (6,215 ) 
Settlements
  
 
5,759
 
      5,778  
Transfers into level 3
  
 
(368
) 
      (757 ) 
Transfers out of level 3
  
 
1,739
 
      98  
Ending balance
  
 
$  (9,413
) 
      $(12,576 ) 
 
Other liabilities
                 
Beginning balance
  
 
$
    
    (262
) 
      $     (149 ) 
Net realized gains/(losses)
  
 
–
 
      30  
Net unrealized gains/(losses)
  
 
116
 
      (113 ) 
Issuances
  
 
–
 
      (30 ) 
Ending balance
  
 
$
    
    (146
) 
      $     (262 ) 
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
  
 
2021
 
      2020        2019  
Unsecured short-term borrowings
  
 
$(1,016
) 
      $    206        $(3,365 ) 
Unsecured long-term borrowings
  
 
(2,393
) 
      (2,804 )       (5,251 ) 
Other
  
 
(135
) 
      (563 )       (883 ) 
Total
  
 
$(3,544
) 
      $(3,161 )       $(9,499 ) 
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
  
 
2021
 
      2020        2019  
Pre-tax DVA
  
 
$433
 
      $(347 )       $(2,763 ) 
After tax DVA
  
 
$322
 
      $(261 )       $(2,079 ) 
In the table above:
 
•  
After tax DVA is included in debt valuation adjustment in the consolidated statements of comprehensive income.
 
•  
The gains/(losses) reclassified to market making in the consolidated statements of earnings from accumulated other comprehensive income/(loss) upon extinguishment of such financial liabilities were not material for 2021, 2020 and 2019.
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
  
 
2021
 
      2020  
Performing loans
                 
Aggregate contractual principal in excess of fair value
    
$1,373
      
$     958
  
 
Loans on nonaccrual status and/or more than 90 days past due
  
Aggregate contractual principal in excess of fair value
    
$8,600
      
$10,526
  
Aggregate fair value
    
$3,559
      
$  3,519