Fair Value Disclosures

Fair Value Measurements

Valuation Techniques for Assets and Liabilities Measured at Fair Value on a Recurring Basis

Asset and Liability / Valuation Technique				Valuation Hierarchy Classification
U.S. Treasury and Agency Securities
	U.S. Treasury Securities		•	Level 1
	•	Fair value is determined using quoted market prices.

	U.S. Agency Securities		•	Level 1 - non-callable agency-issued debt securities
	•	Non-callable agency-issued debt securities are generally valued using quoted market prices, and callable agency-issued debt securities are valued by benchmarking model-derived prices to quoted market prices and trade data for comparable instruments.	•	Generally Level 2 - callable agency-issued debt securities, agency mortgage pass-through pool securities and CMOs
	•	The fair value of agency mortgage pass-through pool securities is model-driven based on spreads of comparable to-be-announced securities.	•	Level 3 - in instances where the inputs are unobservable
	•	CMOs are generally valued using quoted market prices and trade data adjusted by subsequent changes in related indices for comparable instruments.
Other Sovereign Government Obligations			•	Generally Level 1
	•	Fair value is determined using quoted prices in active markets when available.	•	Level 2 - if the market is less active or prices are dispersed
			•	Level 3 - in instances where the prices are unobservable
State and Municipal Securities
	•	Fair value is determined using recently executed transactions, market price quotations or pricing models that factor in, where applicable, interest rates, bond or CDS spreads and volatility and/or volatility skew, adjusted for any basis difference between cash and derivative instruments.	•	Generally Level 2 – if value based on observable market data for comparable instruments
			•	Level 3 in instances where market data is not observable
RMBS, CMBS, ABS (collectively known as Mortgage- and Asset-backed securities (“MABS”))
	•	Mortgage- and asset-backed securities may be valued based on price or spread data obtained from observed transactions or independent external parties such as vendors or brokers.	•	Generally Level 2 - if value based on observable market data for comparable instruments
	•	When position-specific external price data are not observable, the fair value determination may require benchmarking to comparable instruments, and/or analyzing expected credit losses, default and recovery rates, and/or applying discounted cash flow techniques. When evaluating the comparable instruments for use in the valuation of each security, security collateral-specific attributes, including payment priority, credit enhancement levels, type of collateral, delinquency rates and loss severity, are considered. In addition, for RMBS borrowers, FICO scores and the level of documentation for the loan are considered.	•	Level 3 - if external prices or significant spread inputs are unobservable, or if the comparability assessment involves significant subjectivity related to property type differences, cash flows, performance or other inputs
	•	Market standard models, such as Intex, Trepp or others, may be deployed to model the specific collateral composition and cash flow structure of each transaction. Key inputs to these models are market spreads, forecasted credit losses, and default and prepayment rates for each asset category.
	•	Valuation levels of RMBS and CMBS indices are used as an additional data point for benchmarking purposes or to price outright index positions.
Corporate and other debt
	Corporate Bonds
	•	Fair value is determined using recently executed transactions, market price quotations, bond spreads, CDS spreads, or at the money volatility and/or volatility skew obtained from independent external parties, such as vendors and brokers, adjusted for any basis difference between cash and derivative instruments.	•	Generally Level 2 - if value based on observable market data for comparable instruments
	•	The spread data used are for the same maturity as the bond. If the spread data do not reference the issuer, then data that reference a comparable issuer are used. When position-specific external price data are not observable, fair value is determined based on either benchmarking to comparable instruments or cash flow models with yield curves, bond or single-name CDS spreads and recovery rates as significant inputs.	•	Level 3 – in instances where prices or significant spread inputs are unobservable
	CDO
	•	The Firm holds cash CDOs that typically reference a tranche of an underlying synthetic portfolio of single-name CDS spreads collateralized by corporate bonds (CLN) or cash portfolio of ABS/loans (“asset-backed CDOs”).	•	Level 2 - when either comparable market transactions are observable, or credit correlation input is insignificant
	•	Credit correlation, a primary input used to determine the fair value of CLNs, is usually unobservable and derived using a benchmarking technique. Other model inputs such as credit spreads, including collateral spreads, and interest rates are typically observable.	•	Level 3 - when either comparable market transactions are unobservable, or the credit correlation input is significant
	•	Asset-backed CDOs are valued based on an evaluation of the market and model input parameters sourced from comparable instruments as indicated by market activity. Each asset-backed CDO position is evaluated independently taking into consideration available comparable market levels, underlying collateral performance and pricing, deal structures and liquidity.
Loans and Lending Commitments
	•	Fair value of corporate loans is determined using recently executed transactions, market price quotations (where observable), implied yields from comparable debt, market observable CDS spread levels obtained from independent external parties adjusted for any basis difference between cash and derivative instruments, along with proprietary valuation models and default recovery analysis where such transactions and quotations are unobservable.	•	Level 2 - if value based on observable market data for comparable instruments
	•	Fair value of contingent corporate lending commitments is determined by using executed transactions on comparable loans and the anticipated market price based on pricing indications from syndicate banks and customers. The valuation of loans and lending commitments also takes into account fee income that is considered an attribute of the contract.	•	Level 3 - in instances where prices or significant spread inputs are unobservable
	•	Fair value of mortgage loans is determined using observable prices based on transactional data or third-party pricing for comparable instruments, when available.
	•	Where position-specific external prices are not observable, fair value is estimated based on benchmarking to prices and rates observed in the primary market for similar loan or borrower types or based on the present value of expected future cash flows using the Firm’s best available estimates of the key assumptions, including forecasted credit losses, prepayment rates, forward yield curves and discount rates commensurate with the risks involved or a methodology that utilizes the capital structure and credit spreads of recent comparable securitization transactions.
	•	Fair value of equity margin loans is determined by discounting future interest cash flows, net of estimated credit losses. The estimated credit losses are derived by benchmarking to market observable CDS spreads, implied debt yields or volatility metrics of the loan collateral.
Corporate Equities
	•	Exchange-traded equity securities are generally valued based on quoted prices from the exchange. To the extent these securities are actively traded, valuation adjustments are not applied.	•	Level 1 - exchange-traded securities and fund units if actively traded
	•	Unlisted equity securities are generally valued based on an assessment of each security, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable transactions, trading multiples and changes in market outlook, among other factors.	•	Level 2 - exchange-traded securities if not actively traded, or if undergoing a recent M&A event or corporate action
	•	Listed fund units are generally marked to the exchange-traded price if actively traded, or NAV if not. Unlisted fund units are generally marked to NAV.	•	Level 3 - exchange-traded securities if not actively traded, or if undergoing an aged M&A event or corporate action
Derivative and Other Contracts
	Listed Derivative Contracts
	•	Listed derivatives that are actively traded are valued based on quoted prices from the exchange.	•	Level 1 - listed derivatives that are actively traded
	•	Listed derivatives that are not actively traded are valued using the same techniques as those applied to OTC derivatives.	•	Level 2 - listed derivatives that are not actively traded

	OTC Derivative Contracts
	•	OTC derivative contracts include forward, swap and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices or commodity prices.	•	Generally Level 2 - OTC derivative products valued using observable inputs, or where the unobservable input is not deemed significant
	•	Depending on the product and the terms of the transaction, the fair value of OTC derivative products can be modeled using a series of techniques, including closed-form analytic formulas, such as the Black-Scholes option-pricing model, simulation models or a combination thereof. Many pricing models do not entail material subjectivity as the methodologies employed do not necessitate significant judgment since model inputs may be observed from actively quoted markets, as is the case for generic interest rate swaps, many equity, commodity and foreign currency option contracts, and certain CDS. In the case of more established derivative products, the pricing models used by the Firm are widely accepted by the financial services industry.	•	Level 3 – OTC derivative products for which the unobservable input is deemed significant
	•	More complex OTC derivative products are typically less liquid and require more judgment in the implementation of the valuation technique since direct trading activity or quotes are unobservable. This includes certain types of interest rate derivatives with both volatility and correlation exposure, equity, commodity or foreign currency derivatives that are either longer-dated or include exposure to multiple underlyings, and credit derivatives, including CDS on certain mortgage- or asset-backed securities and basket CDS. Where required inputs are unobservable, relationships to observable data points, based on historical and/or implied observations, may be employed as a technique to estimate the model input values.

		For further information on the valuation techniques for OTC derivative products, see Note 2.
Investments
	•	Investments include direct investments in equity securities, as well as various investment management funds, which include investments made in connection with certain employee deferred compensation plans.	•	Level 1 - exchange-traded direct equity investments in an active market
	•	For direct investments, initially, the transaction price is generally considered by the Firm as the exit price and is its best estimate of fair value.	•	Level 2 - non-exchange-traded direct equity investments and investments in various investment management funds if valued based on rounds of financing or third-party transactions; exchange-traded direct equity investments if not actively traded
	•	After initial recognition, in determining the fair value of non-exchange-traded internally and externally managed funds, the Firm generally considers the NAV of the fund provided by the fund manager to be the best estimate of fair value.	•	Level 3 - non-exchange-traded direct equity investments and investments in various investment management funds where rounds of financing or third-party transactions are not available
	•	For non-exchange-traded investments either held directly or held within internally managed funds, fair value after initial recognition is based on an assessment of each underlying investment, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable Firm transactions, trading multiples and changes in market outlook, among other factors.
	•	Exchange-traded direct equity investments are generally valued based on quoted prices from the exchange.
Physical Commodities			•	Level 2
	•	The Firm trades various physical commodities, including natural gas and precious metals.
	•	Fair value is determined using observable inputs, including broker quotations and published indices.
Investment Securities—AFS Securities				For further information on the determination of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein.
	•	AFS securities are composed of U.S. government and agency securities (e.g., U.S. Treasury securities, agency-issued debt, agency mortgage pass-through securities and CMOs), CMBS, FFELP student loan ABS, state and municipal securities, corporate bonds, and CLOs.

		For further information on the determination of fair value, refer to the corresponding asset/liability Valuation Technique described herein for the same instruments
Deposits
	Certificates of Deposit		•	Generally Level 2
	•	The Firm issues FDIC-insured certificates of deposit that pay either fixed coupons or that have repayment terms linked to the performance of debt or equity securities, indices or currencies. The fair value of these certificates of deposit is determined using valuation models that incorporate observable inputs referencing identical or comparable securities, including prices to which the deposits are linked, interest rate yield curves, option volatility and currency rates, equity prices, and the impact of the Firm’s own credit spreads, adjusted for the impact of the FDIC insurance, which is based on vanilla deposit issuance rates.	•	Level 3 - in instances where the unobservable input is deemed significant
Securities Purchased under Agreements to Resell and Securities Sold under Agreements to Repurchase
	•	Fair value is computed using a standard cash flow discounting methodology.	•	Generally Level 2
	•	The inputs to the valuation include contractual cash flows and collateral funding spreads, which are the incremental spread over the OIS rate for a specific collateral rate (which refers to the rate applicable to a specific type of security pledged as collateral).	•	Level 3 - in instances where the unobservable inputs are deemed significant
Other Secured Financings
	•	Other secured financings are composed of short-dated notes secured by Corporate equities, agreements to repurchase Physical commodities, the liability portion of failed sales of Loans and lending commitments and contracts which are not classified as OTC derivatives because they fail net investment criteria.		For further information on the determination of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein.

		For further information on the determination of fair value, refer to the corresponding asset/liability Valuation Technique described herein.
Borrowings
	Structured Notes		•	Generally Level 2
	•	The Firm issues structured notes which are primarily composed of: instruments whose payments and redemption values are linked to the performance of a specific index, a basket of stocks, a specific equity security, a commodity, a credit exposure or basket of credit exposures; and instruments with various interest-rate-related features including step-ups, step-downs, and zero coupons.	•	Level 3 - in instances where the unobservable inputs are deemed significant
	•	Fair value of structured notes is determined using valuation models for the derivative and debt portions of the notes. These models incorporate observable inputs referencing identical or comparable securities, including prices to which the notes are linked, interest rate yield curves, option volatility and currency rates, and commodity or equity prices.
	•	Independent, external and traded prices for the notes are considered as well as the impact of the Firm’s own credit spreads which are based on observed secondary bond market spreads.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

	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 assets⁴		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

	At December 31, 2017
$ in millions	Level 1		Level 2		Level 3		Netting¹		Total
Assets at fair value
Trading assets:
U.S. Treasury and
agency securities	$	22,077	$	26,888	$	—	$	—	$	48,965
Other sovereign
government
obligations		20,234		7,825		1		—		28,060
State and municipal
securities		—		3,592		8		—		3,600
MABS		—		2,364		423		—		2,787
Loans and lending
commitments²		—		4,791		5,945		—		10,736
Corporate and other
debt		—		16,837		701		—		17,538
Corporate equities³		149,697		492		166		—		150,355
Derivative and other contracts:
Interest rate		472		178,704		1,763		—		180,939
Credit		—		7,602		420		—		8,022
Foreign exchange		58		53,724		15		—		53,797
Equity		1,101		40,359		3,530		—		44,990
Commodity and
other		1,126		5,390		4,147		—		10,663
Netting¹		(2,088)		(216,764)		(1,575)		(47,171)		(267,598)
Total derivative and
other contracts		669		69,015		8,300		(47,171)		30,813
Investments⁴		297		523		1,020		—		1,840
Physical commodities		—		1,024		—		—		1,024
Total trading assets⁴		192,974		133,351		16,564		(47,171)		295,718
Investment securities—
AFS		27,522		27,681		—		—		55,203
Intangible assets		—		3		—		—		3
Total assets
at fair value	$	220,496	$	161,035	$	16,564	$	(47,171)	$	350,924

	At December 31, 2017
$ in millions	Level 1		Level 2		Level 3		Netting¹		Total
Liabilities at fair value
Deposits	$	—	$	157	$	47	$	—	$	204
Trading liabilities:
U.S. Treasury and
agency securities		17,802		24		—		—		17,826
Other sovereign
government
obligations		24,857		2,016		—		—		26,873
Corporate and other
debt		—		7,141		3		—		7,144
Corporate equities³		52,653		82		22		—		52,757
Derivative and other contracts:
Interest rate		364		162,239		545		—		163,148
Credit		—		8,166		379		—		8,545
Foreign exchange		23		55,118		127		—		55,268
Equity		1,001		44,666		2,322		—		47,989
Commodity and
other		1,032		5,156		2,701		—		8,889
Netting¹		(2,088)		(216,764)		(1,575)		(36,717)		(257,144)
Total derivative and
other contracts		332		58,581		4,499		(36,717)		26,695
Total trading liabilities		95,644		67,844		4,524		(36,717)		131,295
Securities sold under
agreements to
repurchase		—		650		150		—		800
Other secured financings		—		3,624		239		—		3,863
Borrowings		—		43,928		2,984		—		46,912
Total liabilities
at fair value	$	95,644	$	116,203	$	7,944	$	(36,717)	$	183,074

MABS—Mortgage- and asset-backed securities

1. For positions with the same counterparty that cross over the 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 that level. For further information on derivative instruments and hedging activities, see Note 4.

2. For a further breakdown by type, see the following 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 “Fund Interests Measured Based on Net Asset Value” herein.

Breakdown of Loans and Lending Commitments at Fair Value

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Corporate	$	9,171	$	8,358
Residential real estate		1,153		799
Wholesale real estate		601		1,579
Total	$	10,925	$	10,736

Unsettled Fair Value of Futures Contracts¹

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Customer and other receivables, net	$	615	$	831

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.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

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

$ in millions	2018		2017		2016
U.S. Treasury and agency securities
Beginning balance	$	—	$	74	$	—
Realized and unrealized gains (losses)		1		(1)		(4)
Purchases		53		—		72
Sales		—		(240)		—
Settlements		—		—		—
Net transfers		—		167		6
Ending balance	$	54	$	—	$	74
Unrealized gains (losses)	$	1	$	—	$	(4)

Other sovereign government obligations
Beginning balance	$	1	$	6	$	4
Realized and unrealized gains (losses)		—		—		1
Purchases		41		—		4
Sales		(26)		(5)		(7)
Settlements		—		—		—
Net transfers		1		—		4
Ending balance	$	17	$	1	$	6
Unrealized gains (losses)	$	—	$	—	$	—

State and municipal securities
Beginning balance	$	8	$	250	$	19
Realized and unrealized gains (losses)		—		3		—
Purchases		147		6		249
Sales		(9)		(83)		(18)
Settlements		—		—		—
Net transfers		2		(168)		—
Ending balance	$	148	$	8	$	250
Unrealized gains (losses)	$	—	$	—	$	—







$ in millions	2018		2017		2016
MABS
Beginning balance	$	423	$	217	$	438
Realized and unrealized gains (losses)		82		47		(69)
Purchases		177		289		82
Sales		(338)		(158)		(323)
Settlements		(17)		(37)		—
Net transfers		27		65		89
Ending balance	$	354	$	423	$	217
Unrealized gains (losses)	$	(9)	$	(7)	$	(77)

Loans and lending commitments
Beginning balance	$	5,945	$	5,122	$	5,936
Realized and unrealized gains (losses)		(100)		182		(79)
Purchases¹		5,746		3,616		2,261
Sales		(2,529)		(1,561)		(954)
Settlements		(2,281)		(1,463)		(1,863)
Net transfers		89		49		(179)
Ending balance	$	6,870	$	5,945	$	5,122
Unrealized gains (losses)	$	(137)	$	131	$	(80)

Corporate and other debt
Beginning balance	$	701	$	475	$	1,145
Realized and unrealized gains (losses)		106		82		40
Purchases		734		487		350
Sales		(251)		(420)		(708)
Settlements		(11)		(9)		—
Net transfers		(203)		86		(352)
Ending balance	$	1,076	$	701	$	475
Unrealized gains (losses)	$	70	$	23	$	(38)

Corporate equities
Beginning balance	$	166	$	446	$	434
Realized and unrealized gains (losses)		29		(54)		(2)
Purchases		13		173		242
Sales		(161)		(632)		(154)
Settlements		—		—		—
Net transfers		48		233		(74)
Ending balance	$	95	$	166	$	446
Unrealized gains (losses)	$	17	$	(6)	$	—

Net derivatives: Interest rate²
Beginning balance	$	1,218	$	420	$	260
Realized and unrealized gains (losses)		111		322		529
Purchases		63		29		1
Issuances		(19)		(18)		—
Settlements		(172)		608		(83)
Net transfers		(583)		(143)		(287)
Ending balance	$	618	$	1,218	$	420
Unrealized gains (losses)	$	140	$	341	$	463

Net derivatives: Credit²
Beginning balance	$	41	$	(373)	$	(844)
Realized and unrealized gains (losses)		33		(43)		(176)
Purchases		13		—		—
Issuances		(95)		(1)		(4)
Settlements		56		455		623
Net transfers		(8)		3		28
Ending balance	$	40	$	41	$	(373)
Unrealized gains (losses)	$	23	$	(18)	$	(167)





$ in millions	2018		2017		2016
Net derivatives: Foreign exchange²
Beginning balance	$	(112)	$	(43)	$	141
Realized and unrealized gains (losses)		179		(108)		(27)
Purchases		3		—		—
Issuances		(1)		(1)		—
Settlements		2		31		(220)
Net transfers		4		9		63
Ending balance	$	75	$	(112)	$	(43)
Unrealized gains (losses)	$	118	$	(89)	$	(23)

Net derivatives: Equity²
Beginning balance	$	1,208	$	184	$	(2,031)
Realized and unrealized gains (losses)		305		136		539
Purchases		122		988		809
Issuances		(1,179)		(524)		(337)
Settlements		314		396		1,073
Net transfers³		(2,255)		28		131
Ending balance	$	(1,485)	$	1,208	$	184
Unrealized gains (losses)	$	211	$	159	$	376

Net derivatives: Commodity and other²
Beginning balance	$	1,446	$	1,600	$	1,050
Realized and unrealized gains (losses)		500		515		544
Purchases		34		24		24
Issuances		(18)		(57)		(114)
Settlements		(81)		(343)		(44)
Net transfers		171		(293)		140
Ending balance	$	2,052	$	1,446	$	1,600
Unrealized gains (losses)	$	272	$	20	$	304

Investments
Beginning balance	$	1,020	$	958	$	707
Realized and unrealized gains (losses)		(25)		96		(32)
Purchases		149		102		398
Sales		(212)		(57)		(75)
Settlements		—		(78)		(59)
Net transfers		(175)		(1)		19
Ending balance	$	757	$	1,020	$	958
Unrealized gains (losses)	$	(27)	$	88	$	(50)

Deposits
Beginning balance	$	47	$	42	$	19
Realized and unrealized losses (gains)		(1)		3		—
Purchases		—		—		—
Issuances		9		12		23
Settlements		(2)		(3)		—
Net transfers		(26)		(7)		—
Ending balance	$	27	$	47	$	42
Unrealized losses (gains)	$	(1)	$	3	$	—

Trading liabilities⁴
Beginning balance	$	25	$	71	$	22
Realized and unrealized losses (gains)		(6)		(1)		(13)
Purchases		(18)		(139)		(109)
Sales		9		20		234
Settlements		—		—		—
Net transfers		6		74		(63)
Ending balance	$	16	$	25	$	71
Unrealized losses (gains)	$	(7)	$	—	$	—





$ in millions	2018		2017		2016
Securities sold under agreements to repurchase
Beginning balance	$	150	$	149	$	151
Realized and unrealized losses (gains)		—		—		(2)
Purchases		—		—		—
Issuances		—		1		—
Settlements		—		—		—
Net transfers		(150)		—		—
Ending balance	$	—	$	150	$	149
Unrealized losses (gains)	$	—	$	—	$	(2)

Other secured financings
Beginning balance	$	239	$	434	$	461
Realized and unrealized losses (gains)		(39)		35		5
Purchases		—		—		—
Issuances		8		64		79
Settlements		(17)		(251)		(45)
Net transfers		17		(43)		(66)
Ending balance	$	208	$	239	$	434
Unrealized losses (gains)	$	(39)	$	28	$	5

Borrowings
Beginning balance	$	2,984	$	2,014	$	1,988
Realized and unrealized losses (gains)		(385)		196		19
Purchases		—		—		—
Issuances		1,554		1,968		648
Settlements		(274)		(424)		(305)
Net transfers		(73)		(770)		(336)
Ending balance	$	3,806	$	2,984	$	2,014
Unrealized losses (gains)	$	(379)	$	173	$	30

Loan originations are included within Purchases.
Net derivatives represent Trading assets—Derivative and other contracts, net of Trading liabilities—Derivative and other contracts. Amounts shown are presented before counterparty netting.
During 2018, the Firm transferred from Level 3 to Level 2 $2.4 billion of Equity Derivatives due to a reduction in the significance of the unobservable inputs relating to volatility.
Includes corporate and other debt and corporate equities. Excludes derivatives which are reflected within net derivatives.

Level 3 instruments may be hedged with instruments classified in Level 1 and 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

The following disclosures provide information on the valuation techniques, significant unobservable inputs, and their ranges and averages 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. There are no predictable relationships between multiple significant unobservable inputs attributable to a given valuation technique. A single amount is disclosed when there is no significant difference between the minimum, maximum and average.

Valuation Techniques and Sensitivity of Unobservable Inputs
Used in Level 3 Fair Value Measurements

Recurring Fair Value Measurement

		Balance / Range (Average¹)
$ in millions, except inputs		At December 31, 2018		At December 31, 2017
Assets at Fair Value
U.S. Treasury and
agency securities	$	54	$	—
Comparable pricing:
Bond price	100 to 104 points (100 points)			N/A
State and municipal
securities	$	148	$	8
Comparable pricing:
Bond price	94 to 100 points (96 points)			N/M
MABS	$	354	$	423
Comparable pricing:
Bond price	0 to 97 points (38 points)		0 to 95 points (26 points)
Loans and
lending commitments	$	6,870	$	5,945
Margin loan model:
Discount rate	1% to 7% (2%)		0% to 3% (1%)
Volatility skew	19% to 56% (28%)		7% to 41% (22%)
Credit Spread	14 to 90 bps (36 bps)		N/M
Comparable pricing:
Loan price	60 to 101 points (95 points)		55 to 102 points (95 points)
Corporate and other debt	$	1,076	$	701
Comparable pricing:
Bond price	12 to 100 points (72 points)		3 to 134 points (59 points)
Discounted cash flow:
Recovery rate	20%		6% to 36% (27%)
Discount rate	15% to 21% (16%)		7% to 20% (14%)
Option model:
At the money volatility	24% to 78% (50%)		17% to 52% (52%)
Corporate equities	$	95	$	166
Comparable pricing:
Equity price	100%		100%





		Balance / Range (Average¹)
$ in millions, except inputs		At December 31, 2018		At December 31, 2017
Net derivative and other contracts:
Interest rate	$	618	$	1,218
Option model:
IR volatility skew	22% to 95% (48% / 51%)		31% to 97% (41% / 47%)
Inflation volatility	23% to 65% (44% / 40%)		23% to 63% (44% / 41%)
IR curve	1%			2%
Credit	$	40	$	41
Comparable pricing:
Cash-synthetic basis	8 to 9 points (9 points)		12 to 13 points (12 points)
Bond price	0 to 75 points (26 points)		0 to 75 points (25 points)
Credit spread	246 to 499 bps (380 bps)			N/M
Funding spread	47 to 98 bps (93 bps)			N/M
Correlation model:
Credit correlation	36% to 69% (44%)		38% to 100% (48%)
Foreign exchange²	$	75	$	(112)
Option model:
IR FX correlation	53% to 56% (55% / 55%)		54% to 57% (56% / 56%)
IR volatility skew	22% to 95% (48% / 51%)		31% to 97% (41% / 47%)
Contingency probability	90% to 95% (93% / 95%)		95% to 100% (96% / 95%)
Equity²	$	(1,485)	$	1,208
Option model:
At the money volatility	17% to 63% (38%)		7% to 54% (32%)
Volatility skew	-2% to 0% (-1%)		-5% to 0% (-1%)
Equity correlation	5% to 96% (71%)		5% to 99% (76%)
FX correlation	-60% to 55% (-26%)		-55% to 40% (36%)
IR correlation	-7% to 45% (15% / 12%)		-7% to 49% (18% / 20%)
Commodity and other	$	2,052	$	1,446
Option model:
Forward power price	$3 to $185 ($31) per MWh		$4 to $102 ($31) per MWh
Commodity volatility	7% to 187% (17%)		7% to 205% (17%)
Cross-commodity
correlation	5% to 99% (93%)		5% to 99% (92%)
Investments	$	757	$	1,020
Discounted cash flow:
WACC	9% to 15% (10%)		8% to 15% (9%)
Exit multiple	7 to 10 times (10 times)		8 to 11 times (10 times)
Market approach:
EBITDA multiple	6 to 24 times (12 times)		6 to 25 times (11 times)
Comparable pricing:
Equity price	75% to 100% (96%)		45% to 100% (92%)
Liabilities at Fair Value
Other secured financings	$	208	$	239
Discounted cash flow:
Funding spread	103 to 193 bps (148 bps)		39 to 76 bps (57 bps)
Option model:
Volatility skew	-1%		-1%
At the money volatility	10% to 40% (25%)		10% to 40% (26%)
Borrowings	$	3,806	$	2,984
Option model:
At the money volatility	5% to 35% (22%)		5% to 35% (22%)
Volatility skew	-2% to 0% (0%)		-2% to 0% (0%)
Equity correlation	45% to 98% (85%)		39% to 95% (86%)
Equity - FX correlation	-75% to 50% (-27%)		-55% to 10% (-18%)
IR Correlation		58% to 97% (85% / 91%)		N/M
IR FX Correlation		28% to 58% (44% / 44%)		N/M


		Balance / Range (Average¹)
$ in millions, except inputs		At December 31, 2018		At December 31, 2017
Nonrecurring Fair Value Measurement
Loans	$	1,380	$	924
Corporate loan model:
Credit spread	97 to 434 bps (181 bps)		93 to 563 bps (239 bps)
Expected recovery:
Asset coverage	N/M		95% to 99% (95%)
Warehouse model:
Credit spread	223 to 313 bps (247 bps)		N/M

Points—Percentage of par

IR—Interest rate

FX—Foreign exchange

1. 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).

Significant Unobservable Inputs—Description and Sensitivity

An increase (decrease) to the following inputs would generally result in a higher (lower) fair value.

Asset coverage: The ratio of a borrower’s underlying pledged assets less applicable costs relative to their outstanding debt (while considering the loan's principal and the seniority and security of the loan commitment).

Comparable bond or loan price: A pricing input used when prices for the identical instrument are not available. Significant subjectivity may be involved when fair value is determined using pricing data available for comparable instruments. Valuation using comparable instruments can be done by calculating an implied yield (or spread over a liquid benchmark) from the price of a comparable bond or loan, then adjusting that yield (or spread) to derive a value for the bond or loan. The adjustment to yield (or spread) should account for relevant differences in the bonds or loans such as maturity or credit quality. Alternatively, a price-to-price basis can be assumed between the comparable instrument and the bond or loan being valued in order to establish the value of the bond or loan.

Comparable equity price: A price derived from equity raises, share buybacks and external bid levels, etc. A discount or premium may be included in the fair value estimate.

Contingency probability: Probability associated with the realization of an underlying event upon which the value of an asset is contingent.

EBITDA multiple / Exit multiple: The ratio of Enterprise Value to EBITDA, where Enterprise Value is the aggregate value of equity and debt minus cash and cash equivalents. The EBITDA multiple reflects the value of the company in terms of its full-year EBITDA, whereas the exit multiple reflects the value of the company in terms of its full-year expected EBITDA at exit. Either multiple allows comparison between companies from an operational perspective as the effect of capital structure, taxation and depreciation/amortization is excluded.

Recovery rate: Amount expressed as a percentage of par that is expected to be received when a credit event occurs.

An increase (decrease) to the following inputs would generally result in a lower (higher) fair value.

Cash-synthetic basis: The measure of the price differential between cash financial instruments and their synthetic derivative-based equivalents. The range disclosed in the table above signifies the number of points by which the synthetic bond equivalent price is higher than the quoted price of the underlying cash bonds.

Credit spread: The credit spread reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk. The credit spread of a particular security is often quoted in relation to the yield on a credit risk-free benchmark security or reference rate, typically either U.S. Treasury or LIBOR.

Funding spread: The cost of borrowing defined as the incremental spread over the OIS rate for a specific collateral rate (which refers to the rate applicable to a specific type of security pledged as collateral).

WACC: WACC theoretically represents the required rate of return to debt and equity investors. The WACC implied by the current value of equity in a discounted cash flow model. The model assumes that the cash flow assumptions, including projections, are fully reflected in the current equity value, while the debt to equity ratio is held constant.

An increase (decrease) to the following inputs would generally result in an impact to the fair value, but the magnitude and direction of the impact would depend on whether the Firm is long or short the exposure.

Correlation: A pricing input where the payoff is driven by more than one underlying risk. Correlation is a measure of the relationship between the movement of two variables (i.e., how the change in one variable influences a change in the other variable).

Interest rate curve: The term structure of interest rates (relationship between interest rates and the time to maturity) and a market’s measure of future interest rates at the time of observation. An interest rate curve is used to set interest rate and foreign exchange derivative cash flows and is a pricing input used in the discounting of any OTC derivative cash flow.

Volatility: The measure of variability in possible returns for an instrument given how much that instrument changes in value over time. Volatility is a pricing input for options and, generally, the lower the volatility, the less risky the option. The level of volatility used in the valuation of a particular option depends on a number of factors, including the nature of the risk underlying that option, the tenor and the strike price of the option.

Volatility skew: The measure of the difference in implied volatility for options with identical underliers and expiry dates but with different strikes.

Fund Interests Measured Based on Net Asset Value


	At December 31, 2018				At December 31, 2017
	Carrying				Carrying
$ in millions	Value		Commitment		Value		Commitment
Private equity	$	1,374	$	316	$	1,674	$	308
Real estate		1,105		161		800		183
Hedge¹		103		4		90		4
Total	$	2,582	$	481	$	2,564	$	495

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.

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

Private Equity. Funds that pursue multiple strategies, including leveraged buyouts, venture capital, infrastructure growth capital, distressed investments and mezzanine capital. In addition, the funds may be structured with a focus on specific domestic or foreign geographic regions.

Real Estate. Funds that invest in real estate assets such as commercial office buildings, retail properties, multi-family residential properties, developments or hotels. In addition, the funds may be structured with a focus on specific domestic or foreign geographic regions.

Investments in private equity and real estate funds generally are not redeemable due to the closed-ended nature of these funds. Instead, distributions from each fund will be received as the underlying investments of the funds are disposed and monetized.

Hedge. Funds that pursue various investment strategies, including long-short equity, fixed income/credit, event-driven and multi-strategy.

See Note 12 for information regarding general partner guarantees, which include potential obligations to return performance fee distributions previously received. See Note 21 for information regarding related performance fees at risk of reversal, including performance fees in the form of carried interest.

Nonredeemable Funds by Contractual Maturity

	Carrying Value at December 31, 2018
$ in millions	Private Equity		Real Estate
Less than 5 years	$	707	$	618
5-10 years		642		440
Over 10 years		25		47
Total	$	1,374	$	1,105

Fair Value Option

The Firm 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 complexities of applying certain accounting models.

Borrowings Measured at Fair Value on a Recurring Basis

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Business Unit Responsible for Risk Management
Equity	$	24,494	$	25,903
Interest rates		22,343		19,230
Commodities		2,735		298
Credit		856		815
Foreign exchange		756		666
Total	$	51,184	$	46,912

Earnings Impact of Borrowings under the Fair Value Option

$ in millions	2018		2017		2016
Trading revenues	$	2,679	$	(4,507)	$	(707)
Interest expense		(321)		(443)		(483)
Net revenues¹	$	2,358	$	(4,950)	$	(1,190)

1. Amounts do not reflect any gains or losses on related hedging instruments.

Gains (losses) are mainly attributable to changes in foreign exchange rates, or interest rates or movements in the reference price or index.

Gains (Losses) Due to Changes in Instrument-Specific Credit Risk

$ in millions	Trading Revenues		OCI
2018
Borrowings	$	(24)	$	1,962
Loans and other debt¹		165		─
Lending commitments²		(3)		─
Other		(32)		41
2017
Borrowings	$	(12)	$	(903)
Loans and other debt¹		159		─
Lending commitments²		(2)		─
Other		─		(7)
2016
Borrowings	$	31	$	(460)
Loans and other debt¹		(71)		─
Lending commitments²		4		─
Other		─		─

$ in millions	At December 31, 2018		At December 31, 2017
Cumulative pre-tax DVA gain
(loss) recognized in AOCI	$	172	$	(1,831)

1. Loans and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses.

2. Gains (losses) on lending commitments were generally determined based on the difference between estimated expected client yields and contractual yields at each respective period-end.

Excess of Contractual Principal Amount Over Fair Value

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Loans and other debt¹	$	13,094	$	13,481
Loans 90 or more days past due
and/or on nonaccrual status¹		10,831		11,253
Borrowings²		2,657		71

1. 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.

2. 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

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Nonaccrual loans	$	1,497	$	1,240
Nonaccrual loans 90 or more
days past due	$	812	$	779

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

	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

	At December 31, 2017
	Fair Value
$ in millions		Level 2		Level 3¹		Total
Assets
Loans	$	1,394	$	924	$	2,318
Other assets—Other
investments		─		144		144
Other assets—Premises,
equipment and software		─		─		─
Total	$	1,394	$	1,068	$	2,462
Liabilities
Other liabilities and
accrued expenses—
Lending commitments	$	158	$	38	$	196
Total	$	158	$	38	$	196

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 Nonrecurring Fair Value
Remeasurements¹

$ in millions	2018		2017		2016
Assets
Loans²	$	(68)	$	18	$	40
Other assets—Other
investments³		(56)		(66)		(52)
Other assets—Premises,
equipment and software		(46)		(25)		(76)
Intangible assets		─		─		(2)
Total	$	(170)	$	(73)	$	(90)
Liabilities
Other liabilities and
accrued expenses—
Lending commitments²	$	(48)	$	75	$	121
Total	$	(48)	$	75	$	121

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.
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.
Losses related to Other assets—Other investments were determined using techniques that included discounted cash flow models, methodologies that incorporate multiples of certain comparable companies and recently executed transactions.

Financial Instruments Not Measured at Fair Value

	At December 31, 2018
	Carrying		Fair Value
$ in millions	Value			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



		At December 31, 2017
	Carrying		Fair Value
$ in millions	Value			Level 1		Level 2		Level 3		Total
Financial assets
Cash and cash equivalents:
Cash and due
from banks	$	24,816	$	24,816	$	—	$	—	$	24,816
Interest bearing
deposits with
banks		21,348		21,348		—		—		21,348
Restricted cash		34,231		34,231		—		—		34,231
Investment securities—
HTM		23,599		11,119		11,673		289		23,081
Securities purchased
under agreements
to resell		84,258		—		78,239		5,978		84,217
Securities borrowed		124,010		—		124,018		1		124,019
Customer and other
receivables¹		51,269		—		47,159		3,984		51,143
Loans²		104,126		—		21,290		82,928		104,218
Other assets		433		—		433		—		433

Financial liabilities
Deposits	$	159,232	$	—	$	159,232	$	—	$	159,232
Securities sold
under agreements
to repurchase		55,624		—		51,752		3,867		55,619
Securities loaned		13,592		—		13,191		401		13,592
Other secured
financings		7,408		—		5,987		1,431		7,418
Customer and
other payables¹		188,464		—		188,464		—		188,464
Borrowings		145,670		—		151,692		30		151,722
	Commitment
	Amount
Lending
commitments³	$	100,151	$	—	$	620	$	174	$	794

1. Accrued interest and dividend receivables and payables where carrying value approximates fair value have been excluded.

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 12.

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.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details