Fair Value Option (Tables)
|
3 Months Ended |
Mar. 31, 2019 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Changes in fair value under the fair value option election |
The following table presents the changes in fair value included in the Consolidated statements of income for the three months ended March 31, 2019 and 2018, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table. | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended March 31, |
| 2019 | | 2018 | (in millions) | Principal transactions |
| All other income | Total changes in fair
value recorded (d) | | Principal transactions | | All other income | Total changes in fair value recorded (d) | Federal funds sold and securities purchased under resale agreements | $ | 11 |
|
| $ | — |
|
| $ | 11 |
|
| | $ | 7 |
| | $ | — |
| | $ | 7 |
| Securities borrowed | 37 |
|
| — |
|
| 37 |
|
| | (27 | ) | | — |
| | (27 | ) | Trading assets: | |
| |
| |
| | | | | | | Debt and equity instruments, excluding loans | 1,354 |
|
| — |
|
| 1,354 |
|
| | (186 | ) | | — |
| | (186 | ) | Loans reported as trading assets: | |
| |
| |
| | | | | | | Changes in instrument-specific credit risk | 248 |
|
| 3 |
| (c) | 251 |
|
| | 122 |
| | 5 |
| (c) | 127 |
| Other changes in fair value | 80 |
|
| 237 |
| (c) | 317 |
|
| | 41 |
| | (90 | ) | (c) | (49 | ) | Loans: | |
| |
| |
| | | | | | | Changes in instrument-specific credit risk | 5 |
|
| — |
|
| 5 |
|
| | — |
| | — |
| | — |
| Other changes in fair value | — |
|
| — |
|
| — |
|
| | (1 | ) | | — |
| | (1 | ) | Other assets | 1 |
|
| — |
|
| 1 |
|
| | 2 |
| | (7 | ) | (e) | (5 | ) | Deposits(a) | (496 | ) |
| — |
|
| (496 | ) |
| | 210 |
| | — |
| | 210 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | (5 | ) |
| — |
|
| (5 | ) |
| | 10 |
| | — |
| | 10 |
| Short-term borrowings(a) | (704 | ) |
| — |
|
| (704 | ) |
| | 273 |
| | — |
| | 273 |
| Trading liabilities | 3 |
|
| — |
|
| 3 |
|
| | (7 | ) | | — |
| | (7 | ) | Other liabilities | (4 | ) |
| — |
|
| (4 | ) |
| | — |
| | — |
| | — |
| Long-term debt(a)(b) | (2,836 | ) |
| — |
|
| (2,836 | ) |
| | 1,031 |
| | — |
| | 1,031 |
|
| | (a) | Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were not material for the three months ended March 31, 2019 and 2018, respectively. |
| | (b) | Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk. |
| | (c) | Reported in mortgage fees and related income. |
| | (d) | Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. For further information regarding interest income and interest expense, refer to Note 6. |
| | (e) | Reported in other income. |
|
| Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding |
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of March 31, 2019, and December 31, 2018, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected. | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2019 | | December 31, 2018 | (in millions) | Contractual principal outstanding |
| Fair value | Fair value over/(under) contractual principal outstanding | | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding | Loans(a) |
|
|
|
|
|
|
| | | | | | Nonaccrual loans |
|
|
|
|
|
|
| | | | | | Loans reported as trading assets | $ | 4,262 |
|
| $ | 1,338 |
| $ | (2,924 | ) | | $ | 4,240 |
| | $ | 1,350 |
| $ | (2,890 | ) | Loans | 124 |
|
| 78 |
| (46 | ) | | 39 |
| | — |
| (39 | ) | Subtotal | 4,386 |
|
| 1,416 |
| (2,970 | ) | | 4,279 |
| | 1,350 |
| (2,929 | ) | All other performing loans |
|
|
|
|
|
|
| | | | | | Loans reported as trading assets | 44,140 |
|
| 43,074 |
| (1,066 | ) | | 42,215 |
| | 40,403 |
| (1,812 | ) | Loans | 3,678 |
|
| 3,641 |
| (37 | ) | | 3,186 |
| | 3,151 |
| (35 | ) | Total loans | $ | 52,204 |
|
| $ | 48,131 |
| $ | (4,073 | ) | | $ | 49,680 |
| | $ | 44,904 |
| $ | (4,776 | ) | Long-term debt |
|
|
|
|
|
|
| | | | | | Principal-protected debt | $ | 34,634 |
| (c) | $ | 31,994 |
| $ | (2,640 | ) | | $ | 32,674 |
| (c) | $ | 28,718 |
| $ | (3,956 | ) | Nonprincipal-protected debt(b) | NA |
|
| 29,247 |
| NA |
| | NA |
| | 26,168 |
| NA |
| Total long-term debt | NA |
|
| $ | 61,241 |
| NA |
| | NA |
| | $ | 54,886 |
| NA |
| Long-term beneficial interests | | | | | | | | | | Nonprincipal-protected debt(b) | NA |
|
| $ | 13 |
| NA |
| | NA |
| | $ | 28 |
| NA |
| Total long-term beneficial interests | NA |
|
| $ | 13 |
| NA |
| | NA |
| | $ | 28 |
| NA |
|
| | (a) | There were no performing loans that were ninety days or more past due as of March 31, 2019, and December 31, 2018, respectively. |
| | (b) | Remaining contractual principal is not applicable to nonprincipal-protected structured notes and long-term beneficial interests. Unlike principal-protected structured notes and long-term beneficial interests, for which the Firm is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes and long-term beneficial interests do not obligate the Firm to return a stated amount of principal at maturity, but for structured notes to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal-protected notes. |
(c) Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.
|
| Fair value option, structured notes by balance sheet classification and primary embedded derivative risk |
The following table presents the fair value of structured notes, by balance sheet classification and the primary risk type. | | | | | | | | | | | | | | | | | | | | | | | | | | |
| March 31, 2019 |
| December 31, 2018 | (in millions) | Long-term debt | Short-term borrowings | Deposits | Total |
| Long-term debt | Short-term borrowings | Deposits | Total | Risk exposure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate | $ | 27,338 |
| $ | 95 |
| $ | 20,129 |
| $ | 47,562 |
|
| $ | 24,137 |
| $ | 62 |
| $ | 12,372 |
| $ | 36,571 |
| Credit | 4,205 |
| 460 |
| — |
| 4,665 |
|
| 4,009 |
| 995 |
| — |
| 5,004 |
| Foreign exchange | 3,368 |
| 112 |
| 38 |
| 3,518 |
|
| 3,169 |
| 157 |
| 38 |
| 3,364 |
| Equity | 24,061 |
| 6,182 |
| 7,927 |
| 38,170 |
|
| 21,382 |
| 5,422 |
| 7,368 |
| 34,172 |
| Commodity | 392 |
| 10 |
| 1,489 |
| 1,891 |
|
| 372 |
| 34 |
| 1,207 |
| 1,613 |
| Total structured notes | $ | 59,364 |
| $ | 6,859 |
| $ | 29,583 |
| $ | 95,806 |
|
| $ | 53,069 |
| $ | 6,670 |
| $ | 20,985 |
| $ | 80,724 |
|
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