Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)

  
Valuation Techniques and Inputs for Level 3 Fair Value MeasurementsThe Company’s Level 3 inventory consists of both cashinstruments and derivatives of varying complexity.The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

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| As of December 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weightedaverage(4) |
| Assets |   |   |   |   |   |   |
| Securities borrowed and purchased under agreements to resell | $ | 231  |  | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
|  |  |  | Interest rate | 0.26  | % | 0.72  | % | 0.50  | % |
| Mortgage-backed securities | $ | 279  |  | Price-based | Price | $ | 4  |  | $ | 118  |  | $ | 79  |  |
|  | 526  |  | Yield analysis | Yield | 1.43  | % | 23.79  | % | 7.25  | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 2,264  |  | Price-based | Price | $ | —  |  | $ | 995  |  | $ | 193  |  |
|  | 415  |  | Model-based | Equity volatility | 0.08  | % | 290.64  | % | 53.94  | % |
| Marketable equity securities(5) | $ | 128  |  | Price-based | Price | $ | —  |  | $ | 73,000  |  | $ | 6,477  |  |
|  | 43  |  | Model-based | WAL | 1.73 years | 1.73 years | 1.73 years |
|  |  |  | Recovery(in millions) | $ | 7,148  |  | $ | 7,148  |  | $ | 7,148  |  |
| Asset-backed securities | $ | 386  |  | Price-based | Price | $ | 5  |  | $ | 754  |  | $ | 87  |  |
|  | 208  |  | Yield analysis | Yield | 2.43  | % | 19.35  | % | 8.18  | % |
| Non-marketable equities | $ | 121  |  | Price-based | Illiquidity discount  | 10.00  | % | 36.00  | % | 26.43  | % |
|  | 112  |  | Comparables analysis | PE ratio | 11.00x | 29.00x | 15.42x |
|  | 83  |  | Model-based | Price | $ | 3  |  | $ | 2,601  |  | $ | 2,029  |  |
|  |  |  | Adjustment factor | 0.33x | 0.44x | 0.34x |
|  |  |  | Revenue multiple | 19.80x | 30.00x | 20.48x |
|  |  |  | Cost of capital  | 17.50  | % | 20.00  | % | 17.57  | % |
| Derivatives—gross(6) |  |  |  |  |  |  |
| Interest rate contracts (gross) | $ | 6,054  |  | Model-based | IR normal volatility | 0.24  | % | 0.94  | % | 0.70  | % |
| Foreign exchange contracts (gross) | $ | 1,364  |  | Model-based | IR Normal volatility | 0.24  | % | 0.74  | % | 0.58  | % |
|  |  |  | FX volatility | 2.13  | % | 107.42  | % | 11.21  | % |
|  |  |  | Credit spread | 140 bps | 696 bps | 639 bps |
| Equity contracts (gross)(7) | $ | 4,690  |  | Model-based | Equity volatility | 0.08  | % | 290.64  | % | 47.67  | % |
|  |  |  | Equity forward | 57.99  | % | 165.83  | % | 89.45  | % |
|  |  |  | Equity-FX Correlation | (95.00) | % | 80.00  | % | (16.00) | % |
|  |  |  | Equity-Equity Correlation | (6.49) | % | 99.00  | % | 85.61  | % |
| Commodity and other contracts (gross) | $ | 3,172  |  | Model-based | Forward price | 8.00  | % | 599.44  | % | 123.22  | % |
|  |  |  | Commodity volatility | 10.87  | % | 188.30  | % | 26.85  | % |
|  |  |  | Commodity correlation | (50.52) | % | 89.83  | % | (7.11) | % |
| Credit derivatives (gross) | $ | 1,480  |  | Model-based | Credit spread | 1.00 bps | 874.72 bps | 68.83 bps |
|  | 427  |  | Price-based | Recovery rate | 20.00  | % | 75.00  | % | 44.72  | % |
|  |  |  | Upfront points | 2.74  | % | 99.96  | % | 59.37  | % |
|  |  |  | Price | $ | 40  |  | $ | 103  |  | $ | 80  |  |
|  |  |  | Credit correlation | 30.00  | % | 80.00  | % | 54.57  | % |
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| Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 69  |  | Price-based | Price | $ | 94  |  | $ | 2,598  |  | $ | 591  |  |
| Loans and leases | $ | 691  |  | Model-based | Equity volatility | 22.48  | % | 85.44  | % | 50.56  | % |

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