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## Notes to consolidated financial statements 

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(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. GSE and government agency securities of $449 million, nonagency securities of $28 million and non-trading loans of $805 million. 

(c) Comprises nonagency securities of $3 million, trading loans of $43 million and non-trading loans of $420 million. 

(d) Comprises trading loans of $850 million and non-trading loans of $1.1 billion. 

(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. 

