v3.20.4
Trading Cash Instruments (Tables)
 12 Months Ended
Dec. 31, 2020
Text Block [Abstract]  
Cash Instruments by Level
The table below presents trading cash instruments by level within the fair value hierarchy.
 
$ in millions
     Level 1       Level 2       Level 3       Total  
As of December 2020
                                
Assets
                                
Government and agency obligations:
 
                        
U.S.
  
 
$  93,670
 
  
 
$  44,863
 
  
 
$       –
 
  
 
$138,533
 
Non-U.S.
  
 
46,147
 
  
 
11,261
 
  
 
15
 
  
 
57,423
 
Loans and securities backed by:
                                
Commercial real estate
  
 
–
 
  
 
597
 
  
 
203
 
  
 
800
 
Residential real estate
  
 
–
 
  
 
6,948
 
  
 
131
 
  
 
7,079
 
Corporate debt instruments
  
 
915
 
  
 
29,639
 
  
 
797
 
  
 
31,351
 
State and municipal obligations
  
 
–
 
  
 
200
 
  
 
–
 
  
 
200
 
Other debt obligations
  
 
338
 
  
 
1,055
 
  
 
19
 
  
 
1,412
 
Equity securities
  
 
75,300
 
  
 
2,505
 
  
 
72
 
  
 
77,877
 
Commodities
  
 
–
 
  
 
9,374
 
  
 
–
 
  
 
9,374
 
Total
  
 
$216,370
 
  
 
$106,442
 
  
 
$1,237
 
  
 
$324,049
 
 
Liabilities
                                
Government and agency obligations:
 
                        
U.S.
  
 
$
 
(16,880
) 
  
 
$
  
      (13
) 
  
 
$       –
 
  
 
$
 
(16,893
) 
Non-U.S.
  
 
(22,092
) 
  
 
(1,792
) 
  
 
–
 
  
 
(23,884
) 
Loans and securities backed by:
                                
Commercial real estate
  
 
–
 
  
 
(17
) 
  
 
(1
) 
  
 
(18
) 
Residential real estate
  
 
–
 
  
 
(1
) 
  
 
–
 
  
 
(1
) 
Corporate debt instruments
  
 
(2
) 
  
 
(7,970
) 
  
 
(50
) 
  
 
(8,022
) 
State and municipal obligations
  
 
–
 
  
 
(5
) 
  
 
–
 
  
 
(5
) 
Other debt obligations
  
 
–
 
  
 
–
 
  
 
(2
) 
  
 
(2
) 
Equity securities
  
 
(45,734
) 
  
 
(550
) 
  
 
(27
) 
  
 
(46,311
) 
Total
  
 
$
 
(84,708
) 
  
 
$
 
(10,348
) 
  
 
$  
  
(80
) 
  
 
$
 
(95,136
) 
 
As of December 2019
                                
Assets
                                
Government and agency obligations:
 
                        
U.S.
     $108,200       $  34,714       $     21       $142,935  
Non-U.S.
     33,709       11,108       22       44,839  
Loans and securities backed by:
                                
Commercial real estate
     –       2,031       191       2,222  
Residential real estate
     –       5,794       231       6,025  
Corporate debt instruments
     1,313       26,768       692       28,773  
State and municipal obligations
     –       680       –       680  
Other debt obligations
     409       1,074       10       1,493  
Equity securities
     78,782       489       75       79,346  
Commodities
     –       3,767       –       3,767  
Total
     $222,413       $  86,425       $1,242       $310,080  
 
Liabilities
                                
Government and agency obligations:
 
                        
U.S.
     $   (9,914 )      $        (47 )      $      
  
–		       $   (9,961 ) 
Non-U.S.
     (21,213 )      (2,205 )      (6 )      (23,424 ) 
Loans and securities backed by:
                                
Commercial real estate
     –       (31 )      (1 )      (32 ) 
Residential real estate
     –       (2 )      –       (2 ) 
Corporate debt instruments
     (115 )      (7,494 )      (253 )      (7,862 ) 
State and municipal obligations
     –       (2 )      –       (2 ) 
Equity securities
     (23,519 )      (212 )      (13 )      (23,744 ) 
Commodities
     –       (6 )      –       (6 ) 
Total
     $ (54,761 )      $   (9,999 )      $  (273 )      $ (65,033 ) 
In the table above:
 
•  
Trading cash instrument assets are shown as positive amounts and trading cash instrument liabilities are shown as negative amounts.
 
•  
Corporate debt instruments includes corporate loans, debt securities, convertible debentures, prepaid commodity transactions and transfers of assets accounted for as secured loans rather than purchases.
 
•  
Equity securities includes public equities and exchange-traded funds.
 
•  
Other debt obligations includes other asset-backed securities and money market instruments.
Fair Value, Cash Instruments, Measurement Inputs, Disclosure
The table below presents the amount of level 3 assets, and ranges and weighted averages of significant unobservable inputs used to value level 3 trading cash instruments.
 
   
As of December 2020
          As of December 2019  
           
$ in millions
  
 
Amount or
Range
 
 
  
 
Weighted
Average
 
 
  
 
    
Amount or
Range
  
 
    
Weighted
Average
  
 
Loans and securities backed by commercial real estate
 
        
Level 3 assets
  
 
$203
 
                 $191          
Yield
  
 
1.7% to 22.0%
 
  
 
9.0%
 
         2.7% to 21.7%       13.5%  
Recovery rate
  
 
5.1% to 94.9%
 
  
 
57.7%
 
         11.4% to 81.1%       55.6%  
Duration (years)
  
 
1.1 to 9.1
 
  
 
5.0
 
  
 
     0.3 to 6.6       2.8  
Loans and securities backed by residential real estate
 
        
Level 3 assets
  
 
$131
 
                 $231          
Yield
  
 
0.6% to 15.7%
 
  
 
6.3%
 
         1.2% to 12.0%       5.8%  
Cumulative loss rate
  
 
3.4% to 45.6%
 
  
 
20.8%
 
         5.4% to 30.4%       16.3%  
Duration (years)
  
 
0.9 to 16.1
 
  
 
6.5
 
  
 
     2.3 to 12.4       5.7  
Corporate debt instruments
 
        
Level 3 assets
  
 
$797
 
                 $692          
Yield
  
 
0.6% to 30.6%
 
  
 
9.5%
 
         0.1% to 20.4%       7.2%  
Recovery rate
  
 
0.0% to 73.6%
 
  
 
58.7%
 
         0.0% to 69.7%       54.9%  
Duration (years)
  
 
0.3 to 25.5
 
  
 
4.0
 
  
 
     1.7 to 16.6       5.1  
In the table above:
 
•  
Ranges represent the significant unobservable inputs that were used in the valuation of each type of trading cash instrument.
 
•  
Weighted averages are calculated by weighting each input by the relative fair value of the trading cash instruments.
 
•  
The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one trading cash instrument. For example, the highest recovery rate for corporate debt instruments is appropriate for valuing a specific corporate debt instrument, but may not be appropriate for valuing any other corporate debt instrument. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 trading cash instruments.
 
•  
Increases in yield, duration or cumulative loss rate used in the valuation of level 3 trading cash instruments would have resulted in a lower fair value measurement, while increases in recovery rate would have resulted in a higher fair value measurement as of both December 2020 and December 2019. Due to the distinctive nature of each level 3 trading cash instrument, the interrelationship of inputs is not necessarily uniform within each product type.
 
•  
Trading cash instruments are valued using discounted cash flows.
Cash Instruments, Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 trading cash instruments.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Total trading cash instrument assets
                   
Beginning balance
  
 
$1,242
 
        $1,689  
Net realized gains/(losses)
  
 
66
 
        89  
Net unrealized gains/(losses)
  
 
(143
) 
        (35 ) 
Purchases
  
 
796
 
        522  
Sales
  
 
(411
) 
        (885 ) 
Settlements
  
 
(266
) 
        (252 ) 
Transfers into level 3
  
 
156
 
        256  
Transfers out of level 3
  
 
(203
) 
        (142 ) 
Ending balance
  
 
$1,237
 
        $1,242  
 
Total trading cash instrument liabilities
                   
Beginning balance
  
 
$
  
(273
) 
        $   
  
(49		 ) 
Net realized gains/(losses)
  
 
–
 
        10  
Net unrealized gains/(losses)
  
 
(15
) 
        (236 ) 
Purchases
  
 
34
 
        56  
Sales
  
 
(38
) 
        (35 ) 
Settlements
  
 
9
 
        –  
Transfers into level 3
  
 
(27
) 
        (24 ) 
Transfers out of level 3
  
 
230
 
        5  
Ending balance
  
 
$
  
  (80
) 
        $ 
  
(273		 ) 
In the table above:
 
•  
Changes in fair value are presented for all trading cash instruments that are classified in level 3 as of the end of the period.
 
•  
Net unrealized gains/(losses) relates to trading cash instruments that were still held at
period-end.
 
•  
Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a trading cash instrument was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3.
 
•  
For level 3 trading cash instrument assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 trading cash instrument liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts.
 
•  
Level 3 trading cash instruments are frequently economically hedged with level 1 and level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.
The table below presents information, by product type, for assets included in the summary table above.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Loans and securities backed by commercial real estate
 
Beginning balance
  
 
$ 191
 
        $ 332  
Net realized gains/(losses)
  
 
11
 
        5  
Net unrealized gains/(losses)
  
 
(33
) 
        (17 ) 
Purchases
  
 
110
 
        49  
Sales
  
 
(19
) 
        (153 ) 
Settlements
  
 
(64
) 
        (48 ) 
Transfers into level 3
  
 
25
 
        37  
Transfers out of level 3
  
 
(18
) 
        (14 ) 
Ending balance
  
 
$ 203
 
        $ 191  
 
Loans and securities backed by residential real estate
 
Beginning balance
  
 
$ 231
 
        $ 348  
Net realized gains/(losses)
  
 
11
 
        14  
Net unrealized gains/(losses)
  
 
23
 
        28  
Purchases
  
 
69
 
        111  
Sales
  
 
(80
) 
        (223 ) 
Settlements
  
 
(40
) 
        (37 ) 
Transfers into level 3
  
 
5
 
        19  
Transfers out of level 3
  
 
(88
) 
        (29 ) 
Ending balance
  
 
$ 131
 
        $ 231  
 
Corporate debt instruments
                   
Beginning balance
  
 
$ 692
 
        $ 912  
Net realized gains/(losses)
  
 
47
 
        58  
Net unrealized gains/(losses)
  
 
(118
) 
        (27 ) 
Purchases
  
 
551
 
        291  
Sales
  
 
(233
) 
        (458 ) 
Settlements
  
 
(146
) 
        (134 ) 
Transfers into level 3
  
 
96
 
        142  
Transfers out of level 3
  
 
(92
) 
        (92 ) 
Ending balance
  
 
$ 797
 
        $ 692  
 
Other
                   
Beginning balance
  
 
$ 128
 
        $   97  
Net realized gains/(losses)
  
 
(3
) 
        12  
Net unrealized gains/(losses)
  
 
(15
) 
        (19 ) 
Purchases
  
 
66
 
        71  
Sales
  
 
(79
) 
        (51 ) 
Settlements
  
 
(16
) 
        (33 ) 
Transfers into level 3
  
 
30
 
        58  
Transfers out of level 3
  
 
(5
) 
        (7 ) 
Ending balance
  
 
$ 106
 
        $ 128