v3.20.4
Investments (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value of Investments by Accounting Type
The table below presents information about investments.
 
    As of December  
     
$ in millions
  
 
2020
 
      2019  
Equity securities, at fair value
  
 
$19,781
 
      $22,163  
Debt instruments, at fair value
  
 
16,981
 
      16,570  
Available-for-sale
securities, at fair value
  
 
46,016
 
      19,094  
Investments, at fair value
  
 
82,778
 
      57,827  
Held-to-maturity
securities
  
 
5,301
 
      5,825  
Equity method investments
  
 
366
 
      285  
Total investments
  
 
$88,445
 
      $63,937  
Disclosure Of Equity Securities At Fair Value
The table below presents information about equity securities, at fair value.
 
    As of December  
     
$ in millions
  
 
2020
 
      2019  
Equity securities, at fair value
  
 
$19,781
 
      $22,163  
 
Equity Type
                 
Public equity
  
 
15%
 
      11%  
Private equity
  
 
85%
 
      89%  
Total
  
 
100%
 
      100%  
 
Asset Class
                 
Corporate
  
 
83%
 
      79%  
Real estate
  
 
17%
 
      21%  
Total
  
 
100%
 
      100%  
Disclosure Of Debt Securities At Fair Value
The table below presents information about debt instruments, at fair value.
 
    As of December  
     
$ in millions
  
 
2020
 
      2019  
Corporate debt securities
  
 
$10,991
 
      $10,838  
Securities backed by real estate
  
 
1,940
 
      2,619  
Money market instruments
  
 
2,185
 
      1,681  
Other
  
 
1,865
 
      1,432  
Total
  
 
$16,981
 
      $16,570  
Investments in Funds that are Calculated Using Net Asset Value Per Share
The table below presents the fair value of investments in funds at NAV and the related unfunded commitments.
 
$ in millions
     Fair Value of
Investments		  
 		      Unfunded
Commitments		  
 
As of December 2020
                 
Private equity funds
  
 
$2,042
 
   
 
$
   
557
 
Credit funds
  
 
1,312
 
   
 
680
 
Hedge funds
  
 
102
 
   
 
–
 
Real estate funds
  
 
208
 
   
 
213
 
Total
  
 
$3,664
 
   
 
$1,450
 
 
As of December 2019
                 
Private equity funds
     $2,767        $   765  
Credit funds
     983        820  
Hedge funds
     125        –  
Real estate funds
     331        196  
Total
     $4,206        $1,781  
Summary of Securities Accounted for Available-for-Sale
The table below presents information about
available-for-sale
securities by tenor.
 
$ in millions
     Amortized
Cost		  
 		     Fair
Value		  
 		    
 		 Weighted
Average
Yield		  
 
 
As of December 2020
                        
Less than 1 year
  
 
$      
 
25
 
  
 
$      
 
25
 
  
 
0.08%
 
1 year to 5 years
  
 
35,831
 
  
 
36,158
 
  
 
0.70%
 
5 years to 10 years
  
 
7,454
 
  
 
7,732
 
  
 
1.19%
 
Total U.S. government obligations
  
 
43,310
 
  
 
43,915
 
  
 
0.78%
 
 
5 years to 10 years
  
 
1,739
 
  
 
1,744
 
  
 
0.10%
 
Greater than 10 years
  
 
353
 
  
 
357
 
  
 
0.74%
 
Total non-U.S. government obligations
  
 
2,092
 
  
 
2,101
 
  
 
0.21%
 
Total
available-for-sale
securities
  
 
$45,402
 
  
 
$46,016
 
  
 
0.76%
 
 
As of December 2019
                        
Less than 1 year
     $       25       $       25       0.10%  
1 year to 5 years
     14,038       14,016       1.53%  
5 years to 10 years
     3,505       3,510       1.85%  
Greater than 10 years
     1,469       1,543       2.65%  
Total U.S. government obligations
     19,037       19,094       1.68%  
Total
available-for-sale
securities
     $19,037       $19,094       1.68%  
In the table above:
 
•  
Available-for-sale
securities were classified in level 1 of the fair value hierarchy as of both December 2020 and December 2019.
 
•  
The firm sold
available-for-sale
securities of $4.49 billion (realized gains of $319 million) during 2020 and $9.58 billion (realized gains of $181 million) during 2019. Such gains were included in the consolidated statements of earnings.
•  
The gross unrealized gains included in accumulated other comprehensive income/(loss) were $631 million as of December 2020 and $137 million as of December 2019. The gross unrealized losses included in accumulated other comprehensive income/(loss) were not material as of both December 2020 and December 2019.
 
•  
Beginning in January 2020,
available-for-sale
securities are reviewed to determine if an allowance for credit losses should be recorded in the consolidated statements of earnings. The firm considers various factors in such determination, including market conditions, changes in issuer credit ratings, severity of the unrealized losses, and the intent and ability to hold the security until recovery. See Note 3 for further information about the adoption of CECL. Prior to January 2020, such securities were reviewed for other-than-temporary impairment. The firm did not record any provision for credit losses on such securities during 2020 and there was no other-than-temporary impairment during 2019.
Debt Securities, Held-to-maturity
The table below presents information about
held-to-maturity
securities by type and tenor.
 
$ in millions
     Amortized
Cost		  
 		      Fair
Value		  
 		     
 		 Weighted
Average
Yield		  
 
 
As of December 2020
                          
Less than 1 year
  
 
$  
 
501
 
   
 
$  
 
513
 
   
 
2.53%
 
1 year to 5 years
  
 
2,529
 
   
 
2,695
 
   
 
2.34%
 
5 years to 10 years
  
 
1,531
 
   
 
1,675
 
   
 
2.25%
 
Total U.S. government obligations
  
 
4,561
 
   
 
4,883
 
   
 
2.33%
 
 
5 years to 10 years
  
 
4
 
   
 
3
 
   
 
2.56%
 
Greater than 10 years
  
 
736
 
   
 
751
 
   
 
1.08%
 
Total securities backed by real estate
  
 
740
 
   
 
754
 
   
 
1.08%
 
Total
held-to-maturity
securities
  
 
$5,301
 
   
 
$5,637
 
   
 
2.15%
 
 
As of December 2019
                          
1 year to 5 years
     $3,534        $3,613        2.40%  
5 years to 10 years
     1,534        1,576        2.25%  
Total U.S. government obligations
     5,068        5,189        2.35%  
 
Less than 1 year
     6        6        4.16%  
Greater than 10 years
     751        769        1.67%  
Total securities backed by real estate
     757        775        1.69%  
Total
held-to-maturity
securities
     $5,825        $5,964        2.27%  
Fair Value, Investments, Measurement Inputs, Disclosure
The table below presents a summary of level 3 financial assets.
 
    As of December  
     
$ in millions
  
 
2020
 
      2019  
Trading assets:
                 
Trading cash instruments
  
 
$    1,237
 
      $    1,242  
Derivatives
  
 
5,967
 
      4,654  
Investments
  
 
16,423
 
      15,282  
Loans
  
 
2,678
 
      1,890  
Total
  
 
$  26,305
 
      $  23,068  
Investments, Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 loans.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Beginning balance
  
 
$1,890
 
        $1,990  
Net realized gains/(losses)
  
 
72
 
        46  
Net unrealized gains/(losses)
  
 
87
 
        85  
Purchases
  
 
670
 
        249  
Sales
  
 
(50
) 
        (14 ) 
Settlements
  
 
(727
) 
        (795 ) 
Transfers into level 3
  
 
836
 
        444  
Transfers out of level 3
  
 
(100
) 
        (115 ) 
Ending balance
  
 
$2,678
 
        $1,890  
The table below presents information, by loan type, for loans included in the summary table above.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Corporate
                   
Beginning balance
  
 
$
  
  752
 
        $ 659  
Net realized gains/(losses)
  
 
22
 
        5  
Net unrealized gains/(losses)
  
 
(22
) 
        (27 ) 
Purchases
  
 
277
 
        151  
Sales
  
 
(38
) 
        –  
Settlements
  
 
(125
) 
        (298 ) 
Transfers into level 3
  
 
163
 
        290  
Transfers out of level 3
  
 
(100
) 
        (28 ) 
Ending balance
  
 
$
  
  929
 
        $ 752  
 
Commercial real estate
                   
Beginning balance
  
 
$
  
  591
 
        $ 677  
Net realized gains/(losses)
  
 
24
 
        20  
Net unrealized gains/(losses)
  
 
60
 
        28  
Purchases
  
 
334
 
        11  
Sales
  
 
(5
) 
        (9 ) 
Settlements
  
 
(366
) 
        (229 ) 
Transfers into level 3
  
 
466
 
        94  
Transfers out of level 3
     –          (1 ) 
Ending balance
  
 
$1,104
 
        $ 591  
 
Residential real estate
                   
Beginning balance
  
 
$
  
  221
 
        $ 290  
Net realized gains/(losses)
  
 
13
 
        15  
Net unrealized gains/(losses)
  
 
10
 
        26  
Purchases
  
 
48
 
        58  
Sales
  
 
(2
) 
        (5 ) 
Settlements
  
 
(78
) 
        (137 ) 
Transfers into level 3
  
 
48
 
        60  
Transfers out of level 3
     –          (86 ) 
Ending balance
  
 
$
  
  260
 
        $ 221  
 
Wealth management and other
                   
Beginning balance
  
 
$
  
  326
 
        $ 364  
Net realized gains/(losses)
  
 
13
 
        6  
Net unrealized gains/(losses)
  
 
39
 
        58  
Purchases
  
 
11
 
        29  
Sales
  
 
(5
) 
        –  
Settlements
  
 
(158
) 
        (131 ) 
Transfers into level 3
  
 
159
 
        –  
Ending balance
  
 
$
  
  385
 
        $ 326  
Investments [Member]  
Investments accounted for at fair value
The table below presents investments accounted for at fair value by level within the fair value hierarchy.
 
$ in millions
     Level 1       Level 2       Level 3       Total  
As of December 2020
 
                
Government and agency obligations:
 
                        
U.S.
  
 
$43,915
 
  
 
$         –
 
  
 
$         –
 
  
 
$43,915
 
Non-U.S.
  
 
2,109
 
  
 
48
 
  
 
–
 
  
 
2,157
 
Corporate debt securities
  
 
70
 
  
 
5,635
 
  
 
5,286
 
  
 
10,991
 
Securities backed by real estate
  
 
–
 
  
 
942
 
  
 
998
 
  
 
1,940
 
Money market instruments
  
 
781
 
  
 
1,404
 
  
 
–
 
  
 
2,185
 
Other debt obligations
  
 
–
 
  
 
–
 
  
 
497
 
  
 
497
 
Equity securities
  
 
517
 
  
 
7,270
 
  
 
9,642
 
  
 
17,429
 
Subtotal
  
 
$47,392
 
  
 
$15,299
 
  
 
$16,423
 
  
 
$79,114
 
Investments in funds at NAV
  
 
 
 
  
 
 
 
  
 
 
 
  
 
3,664
 
Total investments
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$82,778
 
 
As of December 2019
                                
Government and agency obligations:
 
                        
U.S.
     $19,094       $        
 
–		       $        
 
–		       $19,094  
Non-U.S.
     –       36       –       36  
Corporate debt securities
     48       7,325       3,465       10,838  
Securities backed by real estate
     –       2,024       595       2,619  
Money market instruments
     732       949       –       1,681  
Other debt obligations
     –       94       319       413  
Equity securities
     251       7,786       10,903       18,940  
Subtotal
     $20,125       $18,214       $15,282       $53,621  
Investments in funds at NAV
  
 
 
 
  
 
 
 
  
 
 
 
     4,206  
Total investments
  
 
 
 
  
 
 
 
  
 
 
 
     $57,827  
Fair Value, Investments, Measurement Inputs, Disclosure
The table below presents the amount of level 3 investments, and ranges and weighted averages of significant unobservable inputs used to value such investments.
 
   
As of December 2020
    
    
     As of December 2019  
           
$ in millions
  
 
Amount or
Range
 
 
  
 
Weighted
Average
 
 
  
 
 
 
    
Amount or
Range
  
 
    
Weighted
Average
  
 
Corporate debt securities
 
        
Level 3 assets
  
 
$5,286
 
                     $3,465          
Yield
  
 
4.5% to 19.5%
 
  
 
10.2%
 
             5.5% to 29.8%       12.0%  
Recovery rate
  
 
10.0% to 70.0%
 
  
 
50.7%
 
             25.0% to 100.0%       68.5%  
Duration (years)
  
 
3.0 to 7.7
 
  
 
4.2
 
             2.9 to 5.9       5.0  
Multiples
  
 
0.6x to 29.3x
 
  
 
6.9x
 
  
 
 
 
     0.6x to 24.4x       7.0x  
Securities backed by real estate
 
        
Level 3 assets
  
 
$998
 
                     $595          
Yield
  
 
8.2% to 52.4%
 
  
 
17.5%
 
             9.4% to 20.3%       16.0%  
Recovery rate
  
 
21.6% to 57.8%
 
  
 
33.7%
 
             33.1% to 34.4%       33.5%  
Duration (years)
  
 
0.4 to 3.6
 
  
 
2.7
 
  
 
 
 
     0.4 to 3.0       0.9  
Other debt obligations
 
                        
Level 3 assets
  
 
$497
 
                     $319          
Yield
  
 
1.7% to 6.2%
 
  
 
3.5%
 
             3.4% to 5.2%       4.5%  
Duration (years)
  
 
0.2 to 10.3
 
  
 
6.4
 
  
 
 
 
     4.0 to 8.0       6.7  
Equity securities
 
                        
Level 3 assets
  
 
$9,642
 
                     $10,903          
Multiples
  
 
0.6x to 27.9x
 
  
 
9.0x
 
             0.8x to 36.0x       8.0x  
Discount rate/yield
  
 
4.0% to 38.5%
 
  
 
13.5%
 
             2.1% to 20.3%       13.4%  
Capitalization rate
  
 
3.7% to 14.1%
 
  
 
6.3%
 
  
 
 
 
     3.6% to 15.1%       6.1%  
In the table above:
 
•  
Ranges represent the significant unobservable inputs that were used in the valuation of each type of investment.
 
•  
Weighted averages are calculated by weighting each input by the relative fair value of the investment.
 
•  
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 investment. For example, the highest multiple for private equity securities is appropriate for valuing a specific private equity security but may not be appropriate for valuing any other private equity security. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 investments.
 
•  
Increases in yield, discount rate, capitalization rate or duration used in the valuation of level 3 investments would have resulted in a lower fair value measurement, while increases in recovery rate or multiples 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 investment, the interrelationship of inputs is not necessarily uniform within each product type.
•  
Corporate debt securities, securities backed by real estate and other debt obligations are valued using discounted cash flows, and equity securities are valued using market comparables and discounted cash flows.
 
•  
The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.
Investments, Level 3 Rollforward
Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 investments.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Beginning balance
  
 
$15,282
 
        $13,548  
Net realized gains/(losses)
  
 
215
 
        252  
Net unrealized gains/(losses)
  
 
(443
) 
        1,295  
Purchases
  
 
1,815
 
        1,322  
Sales
  
 
(1,550
) 
        (986 ) 
Settlements
  
 
(1,570
) 
        (1,192 ) 
Transfers into level 3
  
 
4,708
 
        2,646  
Transfers out of level 3
  
 
(2,034
) 
        (1,603 ) 
Ending balance
  
 
$16,423
 
        $15,282  
In the table above:
 
•  
Changes in fair value are presented for all investments that are classified in level 3 as of the end of the period.
 
•  
Net unrealized gains/(losses) relates to investments 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 an investment 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 investments, increases are shown as positive amounts, while decreases are shown as negative amounts.
The table below presents information, by product type, for investments included in the summary table above.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Corporate debt securities
 
           
Beginning balance
  
 
$  3,465
 
        $  2,540  
Net realized gains/(losses)
  
 
110
 
        64  
Net unrealized gains/(losses)
  
 
(96
) 
        198  
Purchases
  
 
636
 
        297  
Sales
  
 
(302
) 
        (43 ) 
Settlements
  
 
(678
) 
        (274 ) 
Transfers into level 3
  
 
2,661
 
        1,106  
Transfers out of level 3
  
 
(510
) 
        (423 ) 
Ending balance
  
 
$  5,286
 
        $  3,465  
 
Securities backed by real estate
 
           
Beginning balance
  
 
$    
 
595
 
        $     457  
Net realized gains/(losses)
  
 
22
 
        27  
Net unrealized gains/(losses)
  
 
(96
) 
        –  
Purchases
  
 
233
 
        238  
Sales
  
 
–
 
        (82 ) 
Settlements
  
 
(83
) 
        (98 ) 
Transfers into level 3
  
 
327
 
        63  
Transfers out of level 3
  
 
–
 
        (10 ) 
Ending balance
  
 
$    
 
998
 
        $     595  
 
Other debt obligations
                   
Beginning balance
  
 
$    
 
319
 
        $     216  
Net realized gains/(losses)
  
 
15
 
        1  
Net unrealized gains/(losses)
  
 
1
 
        1  
Purchases
  
 
113
 
        118  
Sales
  
 
–
 
        (9 ) 
Settlements
  
 
(45
) 
        (8 ) 
Transfers into level 3
  
 
94
 
        –  
Ending balance
  
 
$    
 
497
 
        $     319  
 
Equity securities
 
           
Beginning balance
  
 
$10,903
 
        $10,335  
Net realized gains/(losses)
  
 
68
 
        160  
Net unrealized gains/(losses)
  
 
(252
) 
        1,096  
Purchases
  
 
833
 
        669  
Sales
  
 
(1,248
) 
        (852 ) 
Settlements
  
 
(764
) 
        (812 ) 
Transfers into level 3
  
 
1,626
 
        1,477  
Transfers out of level 3
  
 
(1,524
) 
        (1,170 ) 
Ending balance
  
 
$  9,642
 
        $10,903