Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Assets and liabilities measured at fair value on a recurring basis

The following table presents the assets and liabilities reported at fair value as of June 30, 2020, and December 31, 2019, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy						Derivative netting adjustments(f)
June 30, 2020 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	243,953	$	—	$	—		$	243,953
Securities borrowed	—		42,525		—		—			42,525
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		68,115		469		—			68,584
Residential – nonagency	—		2,314		23		—			2,337
Commercial – nonagency	—		1,477		2		—			1,479
Total mortgage-backed securities	—		71,906		494		—			72,400
U.S. Treasury, GSEs and government agencies(a)	117,168		11,886		—		—			129,054
Obligations of U.S. states and municipalities	—		7,484		8		—			7,492
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,058		—		—			2,058
Non-U.S. government debt securities	32,563		34,972		167		—			67,702
Corporate debt securities	—		20,792		946		—			21,738
Loans(b)	—		38,060		2,678		—			40,738
Asset-backed securities	—		2,375		39		—			2,414
Total debt instruments	149,731		189,533		4,332		—			343,596
Equity securities	85,042		81		191		—			85,314
Physical commodities(c)	5,094		3,680		—		—			8,774
Other	—		13,088		379		—			13,467
Total debt and equity instruments(d)	239,867		206,382		4,902		—			451,151
Derivative receivables:
Interest rate	2,210		404,569		2,213		(371,964		)	37,028
Credit	—		14,153		780		(13,762		)	1,171
Foreign exchange	158		162,834		803		(151,220		)	12,575
Equity	—		63,304		4,628		(53,075		)	14,857
Commodity	—		25,405		213		(16,403		)	9,215
Total derivative receivables	2,368		670,265		8,637		(606,424		)	74,846
Total trading assets(e)	242,235		876,647		13,539		(606,424		)	525,997
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	5		152,301		—		—			152,306
Residential – nonagency	—		18,269		—		—			18,269
Commercial – nonagency	—		6,805		—		—			6,805
Total mortgage-backed securities	5		177,375		—		—			177,380
U.S. Treasury and government agencies	214,462		—		—		—			214,462
Obligations of U.S. states and municipalities	—		30,426		—		—			30,426
Certificates of deposit	—		—		—		—			—
Non-U.S. government debt securities	13,743		10,317		—		—			24,060
Corporate debt securities	—		674		—		—			674
Asset-backed securities:
Collateralized loan obligations	—		30,798		—		—			30,798
Other	—		8,083		—		—			8,083
Total available-for-sale securities	228,210		257,673		—		—			485,883
Loans	—		5,662		261		—			5,923
Mortgage servicing rights	—		—		3,080		—			3,080
Other assets(e)	6,969		4,361		541		—			11,871
Total assets measured at fair value on a recurring basis	$	477,414	$	1,430,821	$	17,421	$	(606,424	)	$	1,319,232
Deposits	$	—	$	18,295	$	3,217	$	—		$	21,512
Federal funds purchased and securities loaned or sold under repurchase agreements	—		189,341		—		—			189,341
Short-term borrowings	—		17,629		2,305		—			19,934
Trading liabilities:
Debt and equity instruments(d)	84,681		22,995		59		—			107,735
Derivative payables:
Interest rate	2,052		365,150		2,317		(356,749		)	12,770
Credit	—		15,009		917		(13,846		)	2,080
Foreign exchange	140		175,118		1,398		(160,479		)	16,177
Equity	—		62,046		6,664		(52,748		)	15,962
Commodity	—		26,637		510		(16,659		)	10,488
Total derivative payables	2,192		643,960		11,806		(600,481		)	57,477
Total trading liabilities	86,873		666,955		11,865		(600,481		)	165,212
Accounts payable and other liabilities	2,648		579		91		—			3,318
Beneficial interests issued by consolidated VIEs	—		40		—		—			40
Long-term debt	—		52,030		22,728		—			74,758
Total liabilities measured at fair value on a recurring basis	$	89,521	$	944,869	$	40,206	$	(600,481	)	$	474,115

	Fair value hierarchy						Derivative netting adjustments(f)
December 31, 2019 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	14,561	$	—	$	—		$	14,561
Securities borrowed	—		6,237		—		—			6,237
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		44,510		797		—			45,307
Residential – nonagency	—		1,977		23		—			2,000
Commercial – nonagency	—		1,486		4		—			1,490
Total mortgage-backed securities	—		47,973		824		—			48,797
U.S. Treasury, GSEs and government agencies(a)	78,289		10,295		—		—			88,584
Obligations of U.S. states and municipalities	—		6,468		10		—			6,478
Certificates of deposit, bankers’ acceptances and commercial paper	—		252		—		—			252
Non-U.S. government debt securities	26,600		27,169		155		—			53,924
Corporate debt securities	—		17,956		558		—			18,514
Loans(b)	—		47,047		1,382		—			48,429
Asset-backed securities	—		2,593		37		—			2,630
Total debt instruments	104,889		159,753		2,966		—			267,608
Equity securities	71,890		244		196		—			72,330
Physical commodities(c)	3,638		3,579		—		—			7,217
Other	—		13,896		232		—			14,128
Total debt and equity instruments(d)	180,417		177,472		3,394		—			361,283
Derivative receivables:
Interest rate	721		311,173		1,400		(285,873		)	27,421
Credit	—		14,252		624		(14,175		)	701
Foreign exchange	117		137,938		432		(129,482		)	9,005
Equity	—		43,642		2,085		(39,250		)	6,477
Commodity	—		17,058		184		(11,080		)	6,162
Total derivative receivables	838		524,063		4,725		(479,860		)	49,766
Total trading assets(e)	181,255		701,535		8,119		(479,860		)	411,049
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		110,117		—		—			110,117
Residential – nonagency	—		12,989		1		—			12,990
Commercial – nonagency	—		5,188		—		—			5,188
Total mortgage-backed securities	—		128,294		1		—			128,295
U.S. Treasury and government agencies	139,436		—		—		—			139,436
Obligations of U.S. states and municipalities	—		29,810		—		—			29,810
Certificates of deposit	—		77		—		—			77
Non-U.S. government debt securities	12,966		8,821		—		—			21,787
Corporate debt securities	—		845		—		—			845
Asset-backed securities:
Collateralized loan obligations	—		24,991		—		—			24,991
Other	—		5,458		—		—			5,458
Total available-for-sale securities	152,402		198,296		1		—			350,699
Loans	—		7,104		—		—			7,104
Mortgage servicing rights	—		—		4,699		—			4,699
Other assets(e)	7,305		452		724		—			8,481
Total assets measured at fair value on a recurring basis	$	340,962	$	928,185	$	13,543	$	(479,860	)	$	802,830
Deposits	$	—	$	25,229	$	3,360	$	—		$	28,589
Federal funds purchased and securities loaned or sold under repurchase agreements	—		549		—		—			549
Short-term borrowings	—		4,246		1,674		—			5,920
Trading liabilities:
Debt and equity instruments(d)	59,047		16,481		41		—			75,569
Derivative payables:
Interest rate	795		276,746		1,732		(270,670		)	8,603
Credit	—		14,358		763		(13,469		)	1,652
Foreign exchange	109		143,960		1,039		(131,950		)	13,158
Equity	—		47,261		5,480		(40,204		)	12,537
Commodity	—		19,685		200		(12,127		)	7,758
Total derivative payables	904		502,010		9,214		(468,420		)	43,708
Total trading liabilities	59,951		518,491		9,255		(468,420		)	119,277
Accounts payable and other liabilities	3,231		452		45		—			3,728
Beneficial interests issued by consolidated VIEs	—		36		—		—			36
Long-term debt	—		52,406		23,339		—			75,745
Total liabilities measured at fair value on a recurring basis	$	63,182	$	601,409	$	37,673	$	(468,420	)	$	233,844

(a) At June 30, 2020, and December 31, 2019, included total U.S. GSE obligations of $153.3 billion and $104.5 billion, respectively, which were mortgage-related.

(b) At June 30, 2020, and December 31, 2019, included within trading loans were $14.3 billion and $19.8 billion, respectively, of residential first-lien mortgages, and $2.0 billion and $3.4 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. GSEs and government agencies of $7.1 billion and $13.6 billion, respectively.

(c) Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities

inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. Refer to Note 5 for a further discussion of the Firm’s hedge accounting relationships. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

(d) Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).

(e) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At June 30, 2020, and December 31, 2019, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $702 million and $684 million, respectively. Included in these balances at June 30, 2020, and December 31, 2019, were trading assets of $45 million and $54 million, respectively, and other assets of $657 million and $630 million, respectively.

(f)

As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collatera

Fair value inputs, assets and liabilities, quantitative information

Level 3 inputs(a)
June 30, 2020
Product/Instrument	Fair value (in millions)			Principal valuation technique	Unobservable inputs(g)	Range of input values			Average(i)
Residential mortgage-backed securities and loans(b)	$	1,035		Discounted cash flows	Yield	(9)%	–	25%		5%
					Prepayment speed	0%	–	44%		12%
					Conditional default rate	0%	–	30%		12%
					Loss severity	0%	–	110%		7%
Commercial mortgage-backed securities and loans(c)	538			Market comparables	Price	$0	–	$101		$85
Obligations of U.S. states and municipalities	8			Market comparables	Price	$80	–	$100		$97
Corporate debt securities	946			Market comparables	Price	$3	–	$119		$69
Loans(d)	160			Discounted cash flows	Yield	5%	–	30%		8%
	1,700			Market comparables	Price	$6	–	$104		$76
Asset-backed securities	39			Market comparables	Price	$1	–	$79		$49
Net interest rate derivatives	(139		)	Option pricing	Interest rate volatility	7%	–	121%		24%
					Interest rate spread volatility	20bps	–	30bps		25bps
					Interest rate correlation	(65)%	–	94%		43%
					IR-FX correlation	(50)%	–	35%		0%
	35			Discounted cash flows	Prepayment speed	3%	–	30%		10%
Net credit derivatives	(175		)	Discounted cash flows	Credit correlation	29%	–	64%		44%
					Credit spread	7bps	–	1,443bps		481bps
					Recovery rate	3%	–	70%		47%
					Conditional default rate	2%	–	66%		24%
					Loss severity	100%				100%
	38			Market comparables	Price	$1	–	$115		$71
Net foreign exchange derivatives	(441		)	Option pricing	IR-FX correlation	(58)%	–	70%		12%
	(154		)	Discounted cash flows	Prepayment speed	9%				9%
Net equity derivatives	(2,036		)	Option pricing	Forward equity price(h)	64%	–	103%		98%
					Equity volatility	4%	–	123%		36%
					Equity correlation	25%	–	100%		79%
					Equity-FX correlation	(77)%	–	55%		(17)%
					Equity-IR correlation	20%	–	35%		28%
Net commodity derivatives	(297		)	Option pricing	Forward industrial metal price	$ 1,209 / MT	–	$ 16,649 / MT		$ 6,670 / MT
					Forward power price	$ 13 / MWH	–	$ 80 / MWH		$ 25 / MWH
					Commodity volatility	4%	–	112%		27%
					Commodity correlation	(45)%	–	95%		30%
MSRs	3,080			Discounted cash flows	Refer to Note 15
Other assets	412			Discounted cash flows	Credit spread	45bps				45bps
					Yield	12%				12%
	508			Market comparables	Price	$30	–	$122		$40
Long-term debt, short-term borrowings, and deposits(e)	28,250			Option pricing	Interest rate volatility	7%	–	121%		24%
					Interest rate correlation	(65)%	–	94%		43%
					IR-FX correlation	(50)%	–	35%		0%
					Equity correlation	25%	–	100%		79%
					Equity-FX correlation	(77)%	–	55%		(17)%
					Equity-IR correlation	20%	–	35%		28%
Other level 3 assets and liabilities, net(f)	208

(a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ.

(b) Comprises U.S. GSEs and government agency securities of $469 million, nonagency securities of $23 million and trading loans of $543 million.

(c) Comprises nonagency securities of $2 million, trading loans of $275 million and non-trading loans of $261 million.

(d) Comprises trading loans.

(e) Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are financial instruments that typically contain embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.

(f) Includes level 3 assets and liabilities that are insignificant both individually and in aggregate.

(g) Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.

(h) Forward equity price is expressed as a percentage of the current equity price.

(i)

Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used.

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three and six months ended June 30, 2020 and 2019. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs to the overall fair value measurement. However, level 3 financial instruments

typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.

	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2020 (in millions)	Fair value at April 1, 2020			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2020				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2020
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	519		$	(10	)		$	5		$	(5	)			$	(40	)	$	—		$	—			$	469		$	(8	)
Residential – nonagency	24			—				2			(2		)			(1		)	—			—				23			—
Commercial – nonagency	3			—				—			—					—			—			(1		)		2			—
Total mortgage-backed securities	546			(10		)		7			(7		)			(41		)	—			(1		)		494			(8		)
Obligations of U.S. states and municipalities	9			—				—			—					(1		)	—			—				8			—
Non-U.S. government debt securities	175			16				49			(68		)			(5		)	—			—				167			14
Corporate debt securities	953			—				69			(56		)			(9		)	65			(76		)		946			3
Loans	3,354			(50		)		167			(98		)			(464		)	517			(748		)		2,678			(47		)
Asset-backed securities	52			(5		)		1			—					(2		)	—			(7		)		39			1
Total debt instruments	5,089			(49		)		293			(229		)			(522		)	582			(832		)		4,332			(37		)
Equity securities	213			(65		)		14			(1		)			—			73			(43		)		191			(44		)
Other	221			165				1			—					(9		)	2			(1		)		379			184
Total trading assets – debt and equity instruments	5,523			51			(c)	308			(230		)			(531		)	657			(876		)		4,902			103			(c)
Net derivative receivables:(b)
Interest rate	(136		)	753				21			(17		)			(622		)	(180		)	77				(104		)	447
Credit	(111		)	(46		)		30			(6		)			16			11			(31		)		(137		)	(41		)
Foreign exchange	(927		)	182				1			(5		)			123			8			23				(595		)	(249		)
Equity	(826		)	(1,036		)		530			(541		)			(54		)	99			(208		)		(2,036		)	(1,215		)
Commodity	(425		)	140				7			(13		)			9			2			(17		)		(297		)	179
Total net derivative receivables	(2,425		)	(7		)	(c)	589			(582		)			(528		)	(60		)	(156		)		(3,169		)	(879		)	(c)
Available-for-sale securities:
Mortgage-backed securities	—			—				—			—					—			—			—				—			—
Total available-for-sale securities	—			—				—			—					—			—			—				—			—
Loans	283			(26		)	(c)	—			—					—			4			—				261			(27		)	(c)
Mortgage servicing rights	3,267			(111		)	(d)	169			2					(247		)	—			—				3,080			(111		)	(d)
Other assets	416			50			(c)	35			—					—			40			—				541			50			(c)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2020 (in millions)	Fair value at April 1, 2020			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2020				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2020
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	3,179		$	194		(c)(e)	$	—		$	—		$	80	$	(256	)	$	261		$	(241	)		$	3,217		$	160		(c)(e)
Short-term borrowings	2,039			98			(c)(e)	—			—			925		(747		)	12			(22		)		2,305			85			(c)(e)
Trading liabilities – debt and equity instruments	61			—				(1		)	—			—		(5		)	7			(3		)		59			—
Accounts payable and other liabilities	15			4			(c)	—			32			—		—			40			—				91			3			(c)
Beneficial interests issued by consolidated VIEs	—			—				—			—			—		—			—			—				—			—
Long-term debt	20,141			2,705			(c)(e)	—			—			1,600		(1,809		)	608			(517		)		22,728			2,194			(c)(e)

	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2019 (in millions)	Fair value at April 1, 2019			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2019				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2019
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	412		$	(25	)		$	318		$	(68	)			$	(20	)	$	—		$	—			$	617		$	(24	)
Residential – nonagency	85			1				11			(14		)			(19		)	—			(22		)		42			—
Commercial – nonagency	17			—				4			—					(12		)	—			—				9			(1		)
Total mortgage-backed securities	514			(24		)		333			(82		)			(51		)	—			(22		)		668			(25		)
Obligations of U.S. states and municipalities	623			1				57			(1		)			—			—			—				680			—
Non-U.S. government debt securities	170			—				117			(103		)			—			9			(3		)		190			—
Corporate debt securities	568			7				61			(62		)			(53		)	51			(10		)		562			22
Loans	1,741			56				385			(216		)			(156		)	139			(171		)		1,778			68
Asset-backed securities	119			2				2			(58		)			(30		)	—			(2		)		33			2
Total debt instruments	3,735			42				955			(522		)			(290		)	199			(208		)		3,911			67
Equity securities	202			(12		)		8			(3		)			—			21			(69		)		147			(12		)
Other	304			20				3			—					(15		)	—			(1		)		311			35
Total trading assets – debt and equity instruments	4,241			50			(c)	966			(525		)			(305		)	220			(278		)		4,369			90			(c)
Net derivative receivables:(b)
Interest rate	(147		)	(341		)		28			(60		)			(57		)	(6		)	39				(544		)	(459		)
Credit	(115		)	(127		)		13			(1		)			4			1			(7		)		(232		)	(139		)
Foreign exchange	(356		)	58				10			(8		)			114			(17		)	6				(193		)	82
Equity	(2,066		)	(21		)		34			(158		)			(284		)	(148		)	83				(2,560		)	(91		)
Commodity	(665		)	(171		)		7			(83		)			21			(17		)	—				(908		)	(151		)
Total net derivative receivables	(3,349		)	(602		)	(c)	92			(310		)			(202		)	(187		)	121				(4,437		)	(758		)	(c)
Available-for-sale securities:
Mortgage-backed securities	—			—				—			—					—			—			—				—			—
Total available-for-sale securities	—			—				—			—					—			—			—				—			—
Loans	123			1			(c)	—			—					(119		)	—			—				5			—
Mortgage servicing rights	5,957			(826		)	(d)	426			(217		)			(247		)	—			—				5,093			(826		)	(d)
Other assets	841			(89		)	(c)	142			(8		)			(26		)	1			—				861			(92		)	(c)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2019 (in millions)	Fair value at April 1, 2019			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2019				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2019
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,528		$	89		(c)(e)	$	—		$	—		$	92	$	(292	)	$	—		$	(351	)		$	4,066		$	104		(c)(e)
Short-term borrowings	1,502			72			(c)(e)	—			—			1,037		(624		)	67			(2		)		2,052			28			(c)(e)
Trading liabilities – debt and equity instruments	52			—				(5		)	5			—		—			4			(11		)		45			—
Accounts payable and other liabilities	15			(1		)	(c)	(3		)	80			—		—			1			—				92			(1		)	(c)
Beneficial interests issued by consolidated VIEs	—			—				—			—			—		—			—			—				—			—
Long-term debt	21,655			455			(c)(e)	—			—			2,648		(2,729		)	200			(366		)		21,863			621			(c)(e)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 2020 (in millions)	Fair value at Jan 1, 2020			Total realized/unrealized gains/(losses)															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2020				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2020
								Purchases(f)			Sales					Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	797		$	(149	)		$	24		$	(121	)			$	(82	)	$	—		$	—			$	469		$	(139	)
Residential – nonagency	23			(1		)		4			(2		)			(1		)	—			—				23			2
Commercial – nonagency	4			—				1			—					(1		)	1			(3		)		2			4
Total mortgage-backed securities	824			(150		)		29			(123		)			(84		)	1			(3		)		494			(133		)
Obligations of U.S. states and municipalities	10			—				—			(1		)			(1		)	—			—				8			—
Non-U.S. government debt securities	155			4				139			(125		)			(5		)	—			(1		)		167			(6		)
Corporate debt securities	558			(55		)		361			(98		)			(9		)	292			(103		)		946			(11		)
Loans	1,382			(211		)		866			(260		)			(517		)	2,305			(887		)		2,678			(174		)
Asset-backed securities	37			(7		)		37			(15		)			(3		)	—			(10		)		39			—
Total debt instruments	2,966			(419		)		1,432			(622		)			(619		)	2,598			(1,004		)		4,332			(324		)
Equity securities	196			(103		)		24			(5		)			—			155			(76		)		191			(79		)
Other	232			164				10			(5		)			(21		)	2			(3		)		379			184
Total trading assets – debt and equity instruments	3,394			(358		)	(c)	1,466			(632		)			(640		)	2,755			(1,083		)		4,902			(219		)	(c)
Net derivative receivables:(b)
Interest rate	(332		)	1,395				87			(67		)			(863		)	(352		)	28				(104		)	286
Credit	(139		)	62				48			(134		)			(17		)	71			(28		)		(137		)	28
Foreign exchange	(607		)	(157		)		39			(9		)			109			8			22				(595		)	(118		)
Equity	(3,395		)	2,001				589			(1,089		)			529			(557		)	(114		)		(2,036		)	2,619
Commodity	(16		)	(263		)		11			(28		)			18			(4		)	(15		)		(297		)	(276		)
Total net derivative receivables	(4,489		)	3,038			(c)	774			(1,327		)			(224		)	(834		)	(107		)		(3,169		)	2,539			(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—					(1		)	—			—				—			—
Total available-for-sale securities	1			—				—			—					(1		)	—			—				—			—
Loans	—			(37		)	(c)	—			—					—			298			—				261			(37		)	(c)
Mortgage servicing rights	4,699			(1,493		)	(d)	442			(73		)			(495		)	—			—				3,080			(1,493		)	(d)
Other assets	724			(32		)	(c)	37			(28		)			(200		)	40			—				541			(34		)	(c)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 2020 (in millions)	Fair value at Jan 1, 2020			Total realized/unrealized (gains)/losses															Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2020				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2020
								Purchases			Sales			Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	3,360		$	45		(c)(e)	$	—		$	—		$	466	$	(428	)	$	265		$	(491	)		$	3,217		$	58		(c)(e)
Short-term borrowings	1,674			(247		)	(c)(e)	—			—			2,540		(1,676		)	52			(38		)		2,305			(37		)	(c)(e)
Trading liabilities – debt and equity instruments	41			3			(c)	(76		)	7			—		(5		)	93			(4		)		59			2			(c)
Accounts payable and other liabilities	45			(4		)	(c)	(23		)	33			—		—			40			—				91			(4		)	(c)
Beneficial interests issued by consolidated VIEs	—			—				—			—			—		—			—			—				—			—
Long-term debt	23,339			(1,405		)	(c)(e)	—			—			6,207		(5,358		)	978			(1,033		)		22,728			(476		)	(c)(e)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 2019 (in millions)	Fair value at Jan 1, 2019			Total realized/unrealized gains/(losses)																	Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2019				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2019
								Purchases(f)			Sales						Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	549		$	(40	)		$	323		$	(168	)				$	(38	)		$	1		$	(10	)		$	617		$	(37	)
Residential – nonagency	64			25				81			(83		)				(20		)		15			(40		)		42			—
Commercial – nonagency	11			2				16			(19		)				(14		)		15			(2		)		9			—
Total mortgage-backed securities	624			(13		)		420			(270		)				(72		)		31			(52		)		668			(37		)
Obligations of U.S. states and municipalities	689			14				58			(75		)				(6		)		—			—				680			15
Non-U.S. government debt securities	155			(1		)		188			(157		)				—				11			(6		)		190			2
Corporate debt securities	334			29				284			(69		)				(53		)		79			(42		)		562			35
Loans	1,706			139				457			(334		)				(276		)		298			(212		)		1,778			128
Asset-backed securities	127			—				19			(79		)				(37		)		20			(17		)		33			—
Total debt instruments	3,635			168				1,426			(984		)				(444		)		439			(329		)		3,911			143
Equity securities	232			(14		)		23			(82		)				(22		)		96			(86		)		147			(11		)
Other	301			24				15			(1		)				(26		)		1			(3		)		311			45
Total trading assets – debt and equity instruments	4,168			178			(c)	1,464			(1,067		)				(492		)		536			(418		)		4,369			177			(c)
Net derivative receivables:(b)
Interest rate	(38		)	(663		)		47			(87		)	(i)			121			(i)	12			64				(544		)	(725		)
Credit	(107		)	(144		)		13			(2		)				10				4			(6		)		(232		)	(155		)
Foreign exchange	(297		)	(187		)		11			(17		)				295				(25		)	27				(193		)	(144		)
Equity	(2,225		)	710				161			(455		)				(685		)		(215		)	149				(2,560		)	(134		)
Commodity	(1,129		)	362				10			(171		)				45				(16		)	(9		)		(908		)	485
Total net derivative receivables	(3,796		)	78			(c)	242			(732		)				(214		)		(240		)	225				(4,437		)	(673		)	(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—						(1		)		—			—				—			—
Total available-for-sale securities	1			—				—			—						(1		)		—			—				—			—
Loans	122			4			(c)	—			—						(121		)		—			—				5			5			(c)
Mortgage servicing rights	6,130			(1,125		)	(d)	862			(328		)				(446		)		—			—				5,093			(1,125		)	(d)
Other assets	927			(96		)	(c)	151			(88		)				(27		)		1			(7		)		861			(98		)	(c)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 2019 (in millions)	Fair value at Jan 1, 2019			Total realized/unrealized (gains)/losses																	Transfers into level 3(h)			Transfers (out of) level 3(h)			Fair value at June 30, 2019				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2019
								Purchases			Sales				Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	4,169		$	241		(c)(e)	$	—		$	—			$	427	$	(316	)		$	—		$	(455	)		$	4,066		$	246		(c)(e)
Short-term borrowings	1,523			118			(c)(e)	—			—				1,688		(1,225		)		68			(120		)		2,052			115			(c)(e)
Trading liabilities – debt and equity instruments	50			—				(7		)	16				—		—				7			(21		)		45			1			(c)
Accounts payable and other liabilities	10			(1		)	(c)	(8		)	90				—		—				1			—				92			(1		)	(c)
Beneficial interests issued by consolidated VIEs	1			(1		)	(c)	—			—				—		—				—			—				—			—
Long-term debt	19,418			1,728			(c)(e)	—			—				4,699		(3,917		)		473			(538		)		21,863			2,039			(c)(e)

(a) Level 3 assets as a percentage of total Firm assets accounted for at fair value (including assets measured at fair value on a nonrecurring basis) were 1% and 2% at June 30, 2020 and December 31, 2019, respectively. Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 8% and 16%, at June 30, 2020 and December 31, 2019, respectively.

(b) All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.

(c) Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.

(d) Changes in fair value for MSRs are reported in mortgage fees and related income.

(e) Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and were not material for the three and six months ended June 30, 2020 and 2019, respectively. Unrealized (gains)/losses are reported in OCI, and they were $940 million and $(5) million for the three months ended June 30, 2020 and 2019, respectively and $(199) million and $170 million for the six months ended June 30, 2020 and 2019

(f) Loan originations are included in purchases.

(g) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidations associated with beneficial interests in VIEs and other items.

(h) All transfers into and/or out of level 3 are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.

(i)

Prior-period amounts have been revised to conform with the current presentation.

Impact of credit adjustments on earnings

The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.

	Three months ended June 30,					Six months ended June 30,
(in millions)	2020		2019			2020			2019
Credit and funding adjustments:
Derivatives CVA	$	207	$	(44	)	$	(718	)	$	16
Derivatives FVA	676		(89		)	(345		)	63

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of June 30, 2020 and 2019, respectively, for which nonrecurring fair value adjustments were recorded during the six months ended June 30, 2020 and 2019, respectively, by major product category and fair value hierarchy.

	Fair value hierarchy								Total fair value
June 30, 2020 (in millions)	Level 1		Level 2			Level 3
Loans	$	—	$	1,793	(c)	$	823	(d)	$	2,616
Other assets(a)	—		4			392			396
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,797		$	1,215		$	3,012
Accounts payable and other liabilities(b)	—		—			95			95
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—		$	95		$	95

	Fair value hierarchy							Total fair value
June 30, 2019 (in millions)	Level 1		Level 2			Level 3
Loans	$	—	$	1,716	(e)	$	141	$	1,857
Other assets	—		13			713		726
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,729		$	854	$	2,583

(a) Primarily includes equity securities without readily determinable fair values that were adjusted based on observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative). Of the $392 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2020, $209 million related to equity securities adjusted based on the measurement alternative. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

(b) Represents at June 30, 2020 the net markdowns associated with $3.4 billion of held-for-sale positions related to unfunded commitments in the bridge financing portfolio. There were no liabilities measured at fair value on a nonrecurring basis at June 30, 2019.

(c) Primarily includes certain mortgage loans that were reclassified to held-for-sale.

(d) Of the $823 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2020, $372 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 15% to 46% with a weighted average of 28%.

(e) Prior-period amounts have been revised to conform with the current presentation.

The following table presents the total change in value of assets and liabilities for which fair value adjustments have been recognized for the three and six months ended June 30, 2020 and 2019, related to assets and liabilities held at those dates.

	Three months ended June 30,								Six months ended June 30,
(in millions)	2020				2019				2020				2019
Loans	$	(39	)	(b)	$	(79	)	(d)	$	(303	)	(b)	$	(100	)	(d)
Other assets(a)	(39		)		13				(206		)		90
Accounts payable and other liabilities	465			(c)	—				(95		)	(c)	—
Total nonrecurring fair value gains/(losses)	$	387			$	(66	)		$	(604	)		$	(10	)

(a) Included $(4) million and $16 million for the three months ended June 30, 2020 and 2019, respectively and $(158) million and $95 million for the six months ended June 30, 2020 and 2019, respectively, of net (losses)/gains as a result of the measurement alternative.

(b) Includes the impact of certain mortgage loans that were reclassified to held-for-sale.

(c) Represents marks on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.

(d)

Prior-period amounts have been revised to conform with the current presentation.

Schedule of equity securities without readily determinable fair values measured under the measurement alternative and related adjustments

The following table presents the carrying value of equity securities without readily determinable fair values still held as of June 30, 2020 and 2019, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.

	Three months ended						Six months ended
	June 30						June 30
As of or for the period ended,
(in millions)	2020			2019			2020			2019
Other assets
Carrying value(a)	$	2,620		$	1,704		$	2,620		$	1,704
Upward carrying value changes(b)	4			52			13			136
Downward carrying value changes/impairment(c)	(9		)	(36		)	(171		)	(42		)

(a) The carrying value as of December 31, 2019 was $2.4 billion.

(b) The cumulative upward carrying value changes between January 1, 2018 and June 30, 2020 were $541 million.

(c)

The cumulative downward carrying value changes/impairment between January 1, 2018 and June 30, 2020 were $(368) million.

Carrying value and estimated fair value of financial assets and liabilities

The following table presents by fair value hierarchy classification the carrying values and estimated fair values at June 30, 2020, and December 31, 2019, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy.

	June 30, 2020										December 31, 2019
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value		Level 1		Level 2		Level 3		Total estimated fair value
Financial assets
Cash and due from banks	$	20.5	$	20.5	$	—	$	—	$	20.5	$	21.7	$	21.7	$	—	$	—	$	21.7
Deposits with banks	473.2		473.2		—		—		473.2		241.9		241.9		—		—		241.9
Accrued interest and accounts receivable	71.4		—		71.4		—		71.4		71.3		—		71.2		0.1		71.3
Federal funds sold and securities purchased under resale agreements	13.0		—		13.0		—		13.0		234.6		—		234.6		—		234.6
Securities borrowed	100.2		—		100.2		—		100.2		133.5		—		133.5		—		133.5
Investment securities, held-to-maturity	72.9		—		76.1		—		76.1		47.5		0.1		48.8		—		48.9
Loans, net of allowance for loan losses(a)	940.5		—		215.9		752.5		968.4		939.5		—		214.1		734.9		949.0
Other	69.5		—		68.3		1.3		69.6		61.3		—		60.6		0.8		61.4
Financial liabilities
Deposits	$	1,909.5	$	—	$	1,909.7	$	—	$	1,909.7	$	1,533.8	$	—	$	1,534.1	$	—	$	1,534.1
Federal funds purchased and securities loaned or sold under repurchase agreements	46.3		—		46.3		—		46.3		183.1		—		183.1		—		183.1
Short-term borrowings	28.1		—		28.1		—		28.1		35.0		—		35.0		—		35.0
Accounts payable and other liabilities	188.8		—		184.7		3.8		188.5		164.0		0.1		160.0		3.5		163.6
Beneficial interests issued by consolidated VIEs	20.8		—		20.9		—		20.9		17.8		—		17.9		—		17.9
Long-term debt	242.2		—		239.8		3.4		243.2		215.5		—		218.3		3.5		221.8

(a)

Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. Carrying value of the loan takes into account the loan’s allowance for loan losses, which represents the loan’s expected credit losses over its remaining expected life. The difference between the estimated fair value and carrying value of a loan is generally attributable to changes in market interest rates, including credit spreads, market liquidity premiums and other factors that affect the fair value of a loan but do not affect its carrying value.

The carrying value and estimated fair value of wholesale lending-related commitments

The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

	June 30, 2020										December 31, 2019
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a) (b)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	2.1	$	—	$	—	$	2.4	$	2.4	$	1.2	$	—	$	—	$	1.9	$	1.9

(a) Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.

(b)

Includes the wholesale allowance for lending-related commitments and net markdowns associated with held-for-sale positions related to unfunded commitments in the bridge financing portfolio.