Loans (Tables)

6 Months Ended

Jun. 30, 2021

The table below presents information about loans.



$ in millions	Amortized Cost		Fair Value	Held For Sale	Total
As of June 2021
Loan Type
Corporate	$ 44,153		$ 2,786	$ 875	$ 47,814
Wealth management	32,833		7,122	–	39,955
Commercial real estate	17,321		1,677	470	19,468
Residential real estate	11,696		417	105	12,218
Consumer:
Installment	3,257		–	–	3,257
Credit cards	5,210		–	–	5,210
Other	4,841		514	531	5,886
Total loans, gross	119,311		12,516	1,981	133,808
Allowance for loan losses	(3,271	)	–	–	(3,271	)
Total loans	$116,040		$12,516	$1,981	$130,537
As of December 2020
Loan Type
Corporate	$ 44,778		$ 2,751	$1,130	$ 48,659
Wealth management	25,151		7,872	–	33,023
Commercial real estate	17,096		1,961	1,233	20,290
Residential real estate	5,236		494	20	5,750
Consumer:
Installment	3,823		–	–	3,823
Credit cards	4,270		–	–	4,270
Other	3,211		547	416	4,174
Total loans, gross	103,565		13,625	2,799	119,989
Allowance for loan losses	(3,874	)	–	–	(3,874	)
Total loans	$ 99,691		$13,625	$2,799	$116,115

Summary of Other Loans Receivable

The table below presents gross loans by an internally determined public rating agency equivalent or other credit metrics and the concentration of secured and unsecured loans.



$ in millions	Investment- Grade	Non-Investment- Grade	Other Metrics/ Unrated	Total
As of June 2021
Accounting Method
Amortized cost	$41,387	$64,523	$13,401	$119,311
Fair value	2,323	5,306	4,887	12,516
Held for sale	110	1,263	608	1,981
Total	$43,820	$71,092	$18,896	$133,808
Loan Type
Corporate	$11,370	$35,980	$ 464	$ 47,814
Wealth management	28,195	5,477	6,283	39,955
Real estate:
Commercial	1,668	16,970	830	19,468
Residential	687	10,234	1,297	12,218
Consumer:
Installment	–	–	3,257	3,257
Credit cards	–	–	5,210	5,210
Other	1,900	2,431	1,555	5,886
Total	$43,820	$71,092	$18,896	$133,808
Secured	86%	93%	47%	84%
Unsecured	14%	7%	53%	16%
Total	100%	100%	100%	100%
As of December 2020
Accounting Method
Amortized cost	$33,532	$58,250	$11,783	$103,565
Fair value	2,084	5,925	5,616	13,625
Held for sale	224	2,152	423	2,799
Total	$35,840	$66,327	$17,822	$119,989
Loan Type
Corporate	$ 9,478	$38,704	$ 477	$ 48,659
Wealth management	22,098	5,331	5,594	33,023
Real estate:
Commercial	1,792	17,480	1,018	20,290
Residential	636	3,852	1,262	5,750
Consumer:
Installment	–	–	3,823	3,823
Credit cards	–	–	4,270	4,270
Other	1,836	960	1,378	4,174
Total	$35,840	$66,327	$17,822	$119,989
Secured	83%	90%	46%	82%
Unsecured	17%	10%	54%	18%
Total	100%	100%	100%	100%

Schedule of Credit Quality Indicators for Term Loans by Origination Year

Vintage.

The tables below present gross loans accounted for at amortized cost (excluding installment and credit card loans) by an internally determined public rating agency equivalent or other credit metrics and origination year for term loans.



	As of June 2021

$ in millions		Investment- Grade	Non-Investment- Grade	Other Metrics/ Unrated	Total
2021		$ 2,357	$ 3,683	$ 126	$ 6,166
2020		1,466	5,887	–	7,353
2019		601	5,022	–	5,623
2018		1,864	3,006	–	4,870
2017		803	2,324	–	3,127
2016 or earlier		369	2,646	45	3,060
Revolving		3,316	10,562	76	13,954
Corporate		10,776	33,130	247	44,153
2021		454	326	534	1,314
2020		551	247	–	798
2019		725	380	–	1,105
2018		270	130	–	400
2017		373	30	–	403
2016 or earlier		585	251	–	836
Revolving		23,828	2,214	1,935	27,977
Wealth management		26,786	3,578	2,469	32,833
2021		191	2,129	82	2,402
2020		580	2,965	14	3,559
2019		70	1,818	–	1,888
2018		134	1,675	7	1,816
2017		26	1,458	10	1,494
2016 or earlier		–	782	465	1,247
Revolving		404	4,499	12	4,915
Commercial real estate		1,405	15,326	590	17,321
2021		413	309	116	838
2020		–	986	116	1,102
2019		–	34	223	257
2018		–	104	190	294
2017		8	55	136	199
2016 or earlier		–	1	62	63
Revolving		175	8,656	112	8,943
Residential real estate		596	10,145	955	11,696
2021		243	377	101	721
2020		–	64	421	485
2019		–	29	24	53
2018		–	183	32	215
2017		–	6	8	14
Revolving		1,581	1,685	87	3,353
Other		1,824	2,344	673	4,841
Total		$41,387	$64,523	$4,934	$110,844
Percentage of total		37%	58%	5%	100%



	As of December 2020

$ in millions		Investment- Grade	Non-Investment- Grade	Other Metrics/ Unrated	Total
2020		$ 1,978	$ 7,545	$ 140	$ 9,663
2019		889	6,106	–	6,995
2018		2,076	3,555	–	5,631
2017		851	3,083	–	3,934
2016		268	1,262	–	1,530
2015 or earlier		351	2,073	–	2,424
Revolving		2,662	11,891	48	14,601
Corporate		9,075	35,515	188	44,778
2020		497	313	–	810
2019		723	403	–	1,126
2018		298	87	–	385
2017		377	30	–	407
2016		22	20	–	42
2015 or earlier		531	264	–	795
Revolving		18,077	2,085	1,424	21,586
Wealth management		20,525	3,202	1,424	25,151
2020		848	3,071	55	3,974
2019		76	1,965	–	2,041
2018		137	2,164	25	2,326
2017		26	1,734	12	1,772
2016		–	165	9	174
2015 or earlier		–	775	526	1,301
Revolving		461	5,047	–	5,508
Commercial real estate		1,548	14,921	627	17,096
2020		402	976	115	1,493
2019		–	90	271	361
2018		–	123	249	372
2017		9	83	152	244
2016		–	1	–	1
2015 or earlier		–	–	70	70
Revolving		225	2,470	–	2,695
Residential real estate		636	3,743	857	5,236
2020		242	84	466	792
2019		–	67	29	96
2018		–	46	–	46
2017		–	8	–	8
Revolving		1,506	664	99	2,269
Other		1,748	869	594	3,211
Total		$33,532	$58,250	$3,690	$95,472
Percentage of total		35%	61%	4%	100%

Summary of Consumer Loans by Refreshed FICO Credit Score

The table below presents gross installment loans by refreshed FICO credit scores and origination year and gross credit card loans by refreshed FICO credit scores.



$ in millions	Greater than or equal to 660	Less than 660	Total
As of June 2021
2021	$ 674	$ 5	$ 679
2020	988	38	1,026
2019	837	84	921
2018	471	74	545
2017	69	13	82
2016	3	1	4
Installment	3,042	215	3,257
Credit cards	4,077	1,133	5,210
Total	$7,119	$1,348	$8,467
Percentage of total:
Installment	93%	7%	100%
Credit cards	78%	22%	100%
Total	84%	16%	100%
As of December 2020
2020	$1,321	$ 38	$1,359
2019	1,225	132	1,357
2018	792	150	942
2017	128	30	158
2016	6	1	7
Installment	3,472	351	3,823
Credit cards	3,398	872	4,270
Total	$6,870	$1,223	$8,093
Percentage of total:
Installment	91%	9%	100%
Credit cards	80%	20%	100%
Total	85%	15%	100%

Summary of detailed information about concentration of our loans by region of borrowers

Credit Concentrations.

The table below presents the concentration of gross loans by region.



$ in millions	Carrying Value	Americas	EMEA	Asia	Total
As of June 2021
Corporate	$ 47,814	57%	33%	10%	100%
Wealth management	39,955	86%	11%	3%	100%
Commercial real estate	19,468	70%	22%	8%	100%
Residential real estate	12,218	90%	8%	2%	100%
Consumer:
Installment	3,257	100%	–	–	100%
Credit cards	5,210	100%	–	–	100%
Other	5,886	85%	13%	2%	100%
Total	$133,808	75%	19%	6%	100%
As of December 2020
Corporate	$ 48,659	60%	31%	9%	100%
Wealth management	33,023	88%	10%	2%	100%
Commercial real estate	20,290	71%	19%	10%	100%
Residential real estate	5,750	88%	9%	3%	100%
Consumer:
Installment	3,823	100%	–	–	100%
Credit cards	4,270	100%	–	–	100%
Other	4,174	81%	17%	2%	100%
Total	$119,989	75%	19%	6%	100%

Summary of Past Due Loans

The table below presents information about past due loans.



$ in millions	30-89 days	90 days or more	Total
As of June 2021
Corporate	$ –	$ 80	$ 80
Wealth management	–	39	39
Commercial real estate	14	190	204
Residential real estate	1	17	18
Consumer:
Installment	21	7	28
Credit cards	49	36	85
Other	15	5	20
Total	$100	$374	$474
Total divided by gross loans at amortized cost			0.4%
As of December 2020
Corporate	$ –	$294	$294
Wealth management	58	34	92
Commercial real estate	49	183	232
Residential real estate	4	23	27
Consumer:
Installment	42	16	58
Credit cards	46	31	77
Other	20	4	24
Total	$219	$585	$804
Total divided by gross loans at amortized cost			0.8%

Summary of Nonaccrual Loans

The table below presents information about nonaccrual loans.



	As of

$ in millions		June 2021	December 2020
Corporate		$2,074	$2,651
Wealth management		59	61
Commercial real estate		689	649
Residential real estate		18	25
Installment		43	44
Other		–	122
Total		$2,883	$3,552
Total divided by gross loans at amortized cost		2.4%	3.4%

Summary of Loans and Lending Commitments Accounted for at Amortized Cost by Portfolio

The table below presents gross loans and lending commitments accounted for at amortized cost by portfolio.



	As of

	June 2021			December 2020

$ in millions		Loans	Lending Commitments		Loans	Lending Commitments
Wholesale
Corporate		$ 44,153	$148,973		$ 44,778	$127,756
Wealth management		32,833	3,382		25,151	2,314
Commercial real estate		17,321	4,151		17,096	4,154
Residential real estate		11,696	2,410		5,236	1,804
Other		4,841	5,461		3,211	4,841
Consumer
Installment		3,257	8		3,823	4
Credit cards		5,210	28,529		4,270	21,640
Total		$119,311	$192,914		$103,565	$162,513

Summary of Changes in Allowance for Loan Losses and Allowance for Losses on Lending Commitments

The table below presents information about the allowance for credit losses.



$ in millions	Wholesale		Consumer		Total
Three Months Ended June 2021
Allowance for loan losses
Beginning balance	$2,408		$1,107		$3,515
Net (charge-offs)/recoveries	8		(56	)	(48	)
Provision	(240	)	47		(193	)
Other	(3	)	–		(3	)
Ending balance	$2,173		$1,098		$3,271
Allowance ratio	2.0%		13.0%		2.7%
Net charge-off ratio	0.0%		2.8%		0.2%
Allowance for losses on lending commitments
Beginning balance	$ 541		$ 180		$ 721
Provision	95		6		101
Ending balance	$ 636		$ 186		$ 822
Three Months Ended June 2020
Allowance for loan losses
Beginning balance	$1,943		$ 925		$2,868
Net (charge-offs)/recoveries	(174	)	(86	)	(260	)
Provision	1,129		305		1,434
Other	(141	)	–		(141	)
Ending balance	$2,757		$1,144		$3,901
Allowance ratio	2.8%		17.0%		3.7%
Net charge-off ratio	0.7%		5.1%		0.9%
Allowance for losses on lending commitments
Beginning balance	$ 335		$ –		$ 335
Provision	155		–		155
Ending balance	$ 490		$ –		$ 490
Six Months Ended June 2021
Allowance for loan losses
Beginning balance	$2,584		$1,290		$3,874
Net (charge-offs)/recoveries	(9	)	(117	)	(126	)
Provision	(370	)	(75	)	(445	)
Other	(32	)	–		(32	)
Ending balance	$2,173		$1,098		$3,271
Allowance ratio	2.0%		13.0%		2.7%
Net charge-off ratio	0.0%		2.9%		0.2%
Allowance for losses on lending commitments
Beginning balance	$ 557		$ –		$ 557
Provision	97		186		283
Other	(18	)	–		(18	)
Ending balance	$ 636		$ 186		$ 822
Six Months Ended June 2020
Allowance for loan losses
Beginning balance	$1,331		$ 837		$2,168
Net (charge-offs)/recoveries	(224	)	(167	)	(391	)
Provision	1,875		474		2,349
Other	(225	)	–		(225	)
Ending balance	$2,757		$1,144		$3,901
Allowance ratio	2.8%		17.0%		3.7%
Net charge-off ratio	0.5%		5.0%		0.8%
Allowance for losses on lending commitments
Beginning balance	$ 313		$ –		$ 313
Provision	177		–		177
Ending balance	$ 490		$ –		$ 490

Schedule of forecasted economic scenarios

The table below presents the forecasted range (across the baseline, adverse and favorable scenarios) of the U.S. unemployment and U.S. GDP growth rates used in the forecast model as of June 2021.



	U.S. Unemployment Rate	Growth/(Decline) in U.S. GDP
Forecast for the quarter ended:
December 2021	4.6% to 9.5%	5.3% to (2.4)%
June 2022	4.2% to 9.7%	7.2% to (2.4)%
December 2022	3.9% to 8.0%	8.8% to (0.5)%

Fair value of loans held for investment by level

The table below presents loans held for investment accounted for at fair value under the fair value option by level within the fair value hierarchy.



$ in millions	Level 1	Level 2	Level 3	Total
As of June 2021
Loan Type
Corporate	$ –	$ 1,934	$ 852	$ 2,786
Wealth management	–	7,059	63	7,122
Commercial real estate	–	757	920	1,677
Residential real estate	–	299	118	417
Other	–	238	276	514
Total	$ –	$10,287	$2,229	$12,516
As of December 2020
Loan Type
Corporate	$ –	$ 1,822	$ 929	$ 2,751
Wealth management	–	7,809	63	7,872
Commercial real estate	–	857	1,104	1,961
Residential real estate	–	234	260	494
Other	–	225	322	547
Total	$ –	$10,947	$2,678	$13,625

Fair value, loans receivable, measurement inputs, disclosure

The table below presents the amount of level 3 loans, and ranges and weighted averages of significant unobservable inputs used to value such loans.

As of June 2021

As of December 2020

$ in millions

Amount or

Range

Weighted
Average

Amount or

Range

Weighted
Average

Corporate

Level 3 assets

$852

$929

Yield

2.0% to 37.2%

11.5%

1.1% to 45.2%

12.4%

Recovery rate

15.0% to 98.6%

51.1%

15.0% to 58.0%

31.0%

Duration (years)

2.0 to 5.0

3.4

1.5 to 5.3

3.4

Commercial real estate

Level 3 assets

$920

$1,104

Yield

1.0% to 19.7%

13.4%

4.5% to 19.3%

11.0%

Recovery rate

9.1% to 99.5%

54.3%

3.0% to 99.8%

66.5%

Duration (years)

0.3 to 4.3

1.6

0.3 to 4.8

2.6

Residential real estate

Level 3 assets

$118

$260

Yield

1.5% to 13.5%

10.7%

2.0% to 14.0%

12.1%

Duration (years)

0.4 to 2.4

0.9

0.6 to 2.6

1.7

Wealth management and other

Level 3 assets

$339

$385

Yield

3.5% to 18.7%

9.7%

2.8% to 18.7%

8.0%

Duration (years)

3.7 to 5.0

4.0

0.9 to 5.5

4.1

Reconciliation of changes in fair value for level 3 loans.

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

Summary of estimated fair value of loans and lending commitments that are not accounted for at fair value

The table below presents the estimated fair value of loans that are not accounted for at fair value and in what level of the fair value hierarchy they would have been classified if they had been included in the firm’s fair value hierarchy.



	Carrying Value		Estimated Fair Value
$ in millions	Carrying Value			Level 2	Level 3	Total
As of June 2021
Amortized cost		$116,040		$70,217	$46,798	$117,015
Held for sale		$ 1,981		$ 1,475	$ 515	$ 1,990
As of December 2020
Amortized cost		$ 99,691		$52,793	$48,512	$101,305
Held for sale		$ 2,799		$ 1,541	$ 1,271	$ 2,812