Investments (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value of Investments by Accounting Type

The table below presents information about investments.



	As of

$ in millions		June 2021	December 2020
Equity securities, at fair value		$21,045	$19,781
Debt instruments, at fair value		17,407	16,981
Available-for-sale securities, at fair value		46,569	46,016
Investments, at fair value		85,021	82,778
Held-to-maturity securities		5,260	5,301
Equity method investments		446	366
Total investments		$90,727	$88,445

Disclosure Of Equity Securities At Fair Value

The table below presents information about equity securities, at fair value.



	As of

$ in millions		June 2021	December 2020
Equity securities, at fair value		$21,045	$19,781
Equity Type
Public equity		17%	15%
Private equity		83%	85%
Total		100%	100%
Asset Class
Corporate		83%	83%
Real estate		17%	17%
Total		100%	100%

Disclosure Of Debt Securities At Fair Value

The table below presents information about debt instruments, at fair value.



	As of

$ in millions		June 2021	December 2020
Corporate debt securities		$11,217	$10,991
Securities backed by real estate		2,213	1,940
Money market instruments		1,927	2,185
Other		2,050	1,865
Total		$17,407	$16,981

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 June 2021
Private equity funds	$2,137	$ 625
Credit funds	1,490	685
Hedge funds	83	–
Real estate funds	278	206
Total	$3,988	$1,516
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

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 June 2021
Less than 1 year	$ 25	$ 25	0.03%
1 year to 5 years	37,089	37,003	0.51%
5 years to 10 years	7,453	7,503	1.18%
Total U.S. government obligations	44,567	44,531	0.62%
5 years to 10 years	1,759	1,710	0.10%
Greater than 10 years	357	328	0.74%
Total non-U.S. government obligations	2,116	2,038	0.21%
Total available-for-sale securities	$46,683	$46,569	0.61%
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%

In the table above:

•

Available-for-sale

securities were classified in level 1 of the fair value hierarchy as of both June 2021 and December 2020.

•

The firm sold

available-for-sale

securities of $3.22 billion (realized gains of $3 million) during the three months ended June 2021, $2.04 billion (realized gains of $54 million) during the three months ended June 2020, $13.42 billion (realized gains of $133 million) during the six months ended June 2021 and $3.49 billion (realized gains of $319 million) during the six months ended June 2020. Such gains were included in the consolidated statements of earnings.

•

The gross unrealized gains included in accumulated other comprehensive income/(loss) were $273 million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were $387 million as of June 2021. The gross unrealized gains included in accumulated other comprehensive income/(loss) were $631 million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were not material as of December 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. The firm did not record any provision for credit losses on such securities during either the three or six months ended June 2021 or June 2020.

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 June 2021
Less than 1 year	$ 501	$ 506	2.53%
1 year to 5 years	4,057	4,283	2.30%
Total U.S. government obligations	4,558	4,789	2.33%
5 years to 10 years	3	3	2.65%
Greater than 10 years	699	724	1.11%
Total securities backed by real estate	702	727	1.12%
Total held-to-maturity securities	$5,260	$5,516	2.17%
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%

Fair Value, Investments, Measurement Inputs, Disclosure

The table below presents a summary of level 3 financial assets.


	As of

$ in millions		June 2021	March 2021	December 2020
Trading assets:
Trading cash instruments		$ 1,304	$ 1,373	$ 1,237
Derivatives		5,758	5,940	5,967
Investments		16,332	17,049	16,423
Loans		2,229	2,531	2,678
Total		$ 25,623	$ 26,893	$ 26,305

Investments, Level 3 Rollforward

The table below presents a summary of the changes in fair value for level 3 loans.



	Three Months Ended June					Six Months Ended June

$ in millions		2021		2020			2021		2020
Beginning balance		$2,531		$2,753			$2,678		$1,890
Net realized gains/(losses)		21		16			47		37
Net unrealized gains/(losses)		22		10			(11	)	(53	)
Purchases		35		58			68		397
Sales		–		–			–		(7	)
Settlements		(249	)	(173	)		(377	)	(379	)
Transfers into level 3		51		163			94		787
Transfers out of level 3		(182	)	(168	)		(270	)	(13	)
Ending balance		$2,229		$2,659			$2,229		$2,659

The table below presents information, by loan type, for loans included in the summary table above.



	Three Months Ended June					Six Months Ended June

$ in millions		2021		2020			2021		2020
Corporate
Beginning balance		$ 976		$1,044			$ 929		$ 752
Net realized gains/(losses)		8		4			16		10
Net unrealized gains/(losses)		3		(1	)		(8	)	(17	)
Purchases		32		37			51		64
Sales		–		–			–		(7	)
Settlements		(136	)	(60	)		(133	)	(79	)
Transfers into level 3		50		83			94		229
Transfers out of level 3		(81	)	(168	)		(97	)	(13	)
Ending balance		$ 852		$ 939			$ 852		$ 939
Commercial real estate
Beginning balance		$1,028		$1,063			$1,104		$ 591
Net realized gains/(losses)		7		7			13		16
Net unrealized gains/(losses)		–		(13	)		(18	)	(37	)
Purchases		3		16			17		285
Settlements		(68	)	(47	)		(148	)	(171	)
Transfers into level 3		1		58			–		400
Transfers out of level 3		(51	)	–			(48	)	–
Ending balance		$ 920		$1,084			$ 920		$1,084
Residential real estate
Beginning balance		$ 176		$ 260			$ 260		$ 221
Net realized gains/(losses)		3		2			6		1
Net unrealized gains/(losses)		(19	)	15			(24	)	1
Purchases		–		5			–		42
Settlements		(17	)	(15	)		(28	)	(39	)
Transfers into level 3		–		1			–		42
Transfers out of level 3		(25	)	–			(96	)	–
Ending balance		$ 118		$ 268			$ 118		$ 268
Wealth management and other
Beginning balance		$ 351		$ 386			$ 385		$ 326
Net realized gains/(losses)		3		3			12		10
Net unrealized gains/(losses)		38		9			39		–
Purchases		–		–			–		6
Settlements		(28	)	(51	)		(68	)	(90	)
Transfers into level 3		–		21			–		116
Transfers out of level 3		(25	)	–			(29	)	–
Ending balance		$ 339		$ 368			$ 339		$ 368

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 June 2021
Government and agency obligations:
U.S.	$44,531	$ –	$ –	$44,531
Non-U.S.	2,041	55	–	2,096
Corporate debt securities	83	6,176	4,958	11,217
Securities backed by real estate	–	1,096	1,117	2,213
Money market instruments	766	1,161	–	1,927
Other debt obligations	–	–	502	502
Equity securities	406	8,386	9,755	18,547
Subtotal	$47,827	$16,874	$16,332	$81,033
Investments in funds at NAV				3,988
Total investments				$85,021
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

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 June 2021

As of December 2020

$ in millions

Amount or

Range

Weighted
Average

Amount or

Range

Weighted
Average

Corporate debt securities

Level 3 assets

$4,958

$5,286

Yield

7.0% to 14.6%

9.4%

4.5% to 19.5%

10.2%

Recovery rate

9.1% to 76.0%

59.9%

10.0% to 70.0%

50.7%

Duration (years)

2.6 to 7.3

4.4

3.0 to 7.7

4.2

Multiples

0.5x to 20.9x

7.6x

0.6x to 29.3x

6.9x

Securities backed by real estate

Level 3 assets

$1,117

$998

Yield

8.3% to 28.2%

16.8%

8.2% to 52.4%

17.5%

Recovery rate

20.9% to 57.8%

32.9%

21.6% to 57.8%

33.7%

Duration (years)

0.5 to 3.2

3.1

0.4 to 3.6

2.7

Other debt obligations

Level 3 assets

$502

$497

Yield

2.4% to 9.6%

4.3%

1.7% to 6.2%

3.5%

Duration (years)

1.3 to 9.5

5.6

0.2 to 10.3

6.4

Equity securities

Level 3 assets

$9,755

$9,642

Multiples

0.5x to 33.8x

12.1x

0.6x to 27.9x

9.0x

Discount rate/yield

4.8% to 50.1%

15.4%

4.0% to 38.5%

13.5%

Capitalization rate

3.8% to 13.1%

6.2%

3.7% to 14.1%

6.3%

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 June 2021 and December 2020. 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

The table below presents a summary of the changes in fair value for level 3 investments.



	Three Months Ended June					Six Months Ended June

$ in millions		2021		2020			2021		2020
Beginning balance		$17,049		$19,408			$16,423		$15,282
Net realized gains/(losses)		85		40			245		121
Net unrealized gains/(losses)		1,106		(135	)		1,894		(1,395	)
Purchases		558		344			971		811
Sales		(422	)	(110	)		(778	)	(1,186	)
Settlements		(1,174	)	(192	)		(1,734	)	(504	)
Transfers into level 3		873		428			1,522		5,937
Transfers out of level 3		(1,743	)	(1,867	)		(2,211	)	(1,150	)
Ending balance		$16,332		$17,916			$16,332		$17,916

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.



	Three Months Ended June					Six Months Ended June

$ in millions		2021		2020			2021		2020
Corporate debt securities
Beginning balance		$ 5,314		$ 7,149			$ 5,286		$ 3,465
Net realized gains/(losses)		25		27			127		78
Net unrealized gains/(losses)		179		35			295		(406	)
Purchases		27		181			215		244
Sales		(155	)	(33	)		(281	)	(209	)
Settlements		(437	)	(72	)		(678	)	(226	)
Transfers into level 3		506		87			844		3,800
Transfers out of level 3		(501	)	(802	)		(850	)	(174	)
Ending balance		$ 4,958		$ 6,572			$ 4,958		$ 6,572
Securities backed by real estate
Beginning balance		$ 1,039		$ 775			$ 998		$ 595
Net realized gains/(losses)		13		7			27		17
Net unrealized gains/(losses)		36		(28	)		36		(104	)
Purchases		168		7			208		94
Settlements		(111	)	(26	)		(211	)	(43	)
Transfers into level 3		–		159			87		321
Transfers out of level 3		(28	)	(14	)		(28	)	–
Ending balance		$ 1,117		$ 880			$ 1,117		$ 880
Other debt obligations
Beginning balance		$ 523		$ 428			$ 497		$ 319
Net realized gains/(losses)		4		4			8		7
Net unrealized gains/(losses)		3		1			2		17
Purchases		11		14			39		4
Sales		(11	)	(15	)		(12	)	–
Settlements		(28	)	(3	)		(32	)	(9	)
Transfers into level 3		–		–			–		91
Ending balance		$ 502		$ 429			$ 502		$ 429
Equity securities
Beginning balance		$10,173		$11,056			$ 9,642		$10,903
Net realized gains/(losses)		43		2			83		19
Net unrealized gains/(losses)		888		(143	)		1,561		(902	)
Purchases		352		142			509		469
Sales		(256	)	(62	)		(485	)	(977	)
Settlements		(598	)	(91	)		(813	)	(226	)
Transfers into level 3		367		182			591		1,725
Transfers out of level 3		(1,214	)	(1,051	)		(1,333	)	(976	)
Ending balance		$ 9,755		$10,035			$ 9,755		$10,035