Investments (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value of Investments by Accounting Type

The table below presents information about investments.



	As of

$ in millions		September 2021	December 2020
Equity securities, at fair value		$19,339	$19,781
Debt instruments, at fair value		17,045	16,981
Available-for-sale securities, at fair value		44,585	46,016
Investments, at fair value		80,969	82,778
Held-to-maturity securities		5,205	5,301
Equity method investments		534	366
Total investments		$86,708	$88,445

Disclosure Of Equity Securities At Fair Value

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



	As of

$ in millions		September 2021	December 2020
Equity securities, at fair value		$19,339	$19,781
Equity Type
Public equity		21%	15%
Private equity		79%	85%
Total		100%	100%
Asset Class
Corporate		80%	83%
Real estate		20%	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		September 2021	December 2020
Corporate debt securities		$10,725	$10,991
Securities backed by real estate		2,182	1,940
Money market instruments		2,109	2,185
Other		2,029	1,865
Total		$17,045	$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 September 2021
Private equity funds	$2,001	$ 626
Credit funds	1,547	743
Hedge funds	84	–
Real estate funds	285	204
Total	$3,917	$1,573
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 September 2021
Less than 1 year	$ 25	$ 25	0.03%
1 year to 5 years	37,056	36,946	0.47%
5 years to 10 years	5,339	5,270	0.92%
Total U.S. government obligations	42,420	42,241	0.53%
5 years to 10 years	2,431	2,344	0.25%
Total non-U.S. government obligations	2,431	2,344	0.25%
Total available-for-sale securities	$44,851	$44,585	0.51%
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 September 2021 and December 2020.

•

The firm sold

available-for-sale

securities of $11.47 billion (realized gains of $54 million) during the three months ended September 2021 and $24.89 billion (realized gains of $187 million) during the nine months ended September 2021. There were no sales of available-for-sale securities during the three months ended September 2020 and the firm sold $3.49 billion (realized gains of $319 million) during the nine months ended September 2020. Such gains were included in the consolidated statements of earnings.

•

he gross unrealized gains included in accumulated other comprehensive income/(loss) were $166 million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were $432 million as of September 2021 and primarily related to U.S. government obligations in a continuous unrealized loss position for less than a year. 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 nine months ended September 2021 or September 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 September 2021
Less than 1 year	$ 504	$ 507	2.55%
1 year to 5 years	4,038	4,242	2.30%
Total U.S. government obligations	4,542	4,749	2.33%
5 years to 10 years	3	3	2.64%
Greater than 10 years	660	686	1.00%
Total securities backed by real estate	663	689	1.02%
Total held-to-maturity securities	$5,205	$5,438	2.16%
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%

In the table above:

•

Substantially all of the securities backed by real estate consist of securities backed by residential real estate.

•

As these securities are not accounted for at fair value, they are not included in the firm’s fair value hierarchy in Notes 4 through 10. Had these securities been included in the firm’s fair value hierarchy, U.S. government obligations would have been classified in level 1 and securities backed by real estate would have been primarily classified in level 2 of the fair value hierarchy as of both September 2021 and December 2020.

•

The gross unrealized gains were $233 million as of September 2021 and $340 million as of December 2020. The gross unrealized losses were not material as of both September 2021 and December 2020.

•

Held-to-maturity

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, historical credit losses and sovereign guarantees. Provision for credit losses on such securities was not material during either the three or nine months ended September 2021 or September 2020.

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 September 2021
Government and agency obligations:
U.S.	$42,241	$ –	$ –	$42,241
Non-U.S.	2,346	48	–	2,394
Corporate debt securities	65	6,383	4,277	10,725
Securities backed by real estate	–	1,094	1,088	2,182
Money market instruments	787	1,322	–	2,109
Other debt obligations	–	45	387	432
Equity securities	941	8,101	7,927	16,969
Subtotal	$46,380	$16,993	$13,679	$77,052
Investments in funds at NAV				3,917
Total investments				$80,969
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 a summary of level 3 financial assets.



	As of

$ in millions		September 2021	June 2021	December 2020
Trading assets:
Trading cash instruments		$ 1,516	$ 1,304	$ 1,237
Derivatives		6,043	5,758	5,967
Investments		13,679	16,332	16,423
Loans		2,199	2,229	2,678
Total		$ 23,437	$ 25,623	$ 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 September					Nine Months Ended September

$ in millions		2021		2020			2021		2020
Beginning balance		$2,229		$2,659			$2,678		$1,890
Net realized gains/(losses)		23		23			72		60
Net unrealized gains/(losses)		(16	)	76			(31	)	34
Purchases		74		181			140		557
Sales		(13	)	(17	)		(17	)	(31	)
Settlements		(181	)	(221	)		(555	)	(567	)
Transfers into level 3		93		166			181		928
Transfers out of level 3		(10	)	(40	)		(269	)	(44	)
Ending balance		$2,199		$2,827			$2,199		$2,827

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



	Three Months Ended September					Nine Months Ended September

$ in millions		2021		2020			2021		2020
Corporate
Beginning balance		$852		$ 939			$ 929		$ 752
Net realized gains/(losses)		11		7			21		14
Net unrealized gains/(losses)		(16	)	1			(24	)	(5	)
Purchases		17		132			63		184
Sales		(13	)	(9	)		(13	)	(18	)
Settlements		(81	)	(58	)		(208	)	(110	)
Transfers into level 3		15		23			103		230
Transfers out of level 3		(10	)	(32	)		(96	)	(44	)
Ending balance		$775		$1,003			$ 775		$1,003
Commercial real estate
Beginning balance		$920		$1,084			$1,104		$ 591
Net realized gains/(losses)		9		11			33		38
Net unrealized gains/(losses)		11		43			(15	)	4
Purchases		–		40			19		323
Sales		–		(5	)		(3	)	(10	)
Settlements		(82	)	(120	)		(227	)	(278	)
Transfers into level 3		78		121			78		498
Transfers out of level 3		–		(8	)		(53	)	–
Ending balance		$936		$1,166			$ 936		$1,166
Residential real estate
Beginning balance		$118		$ 268			$ 260		$ 221
Net realized gains/(losses)		3		3			6		7
Net unrealized gains/(losses)		1		11			(36	)	8
Purchases		57		1			58		43
Sales		–		(2	)		(1	)	(2	)
Settlements		(13	)	(22	)		(45	)	(57	)
Transfers into level 3		–		10			–		49
Transfers out of level 3		–		–			(76	)	–
Ending balance		$166		$ 269			$ 166		$ 269
Wealth management and other
Beginning balance		$339		$ 368			$ 385		$ 326
Net realized gains/(losses)		–		2			12		1
Net unrealized gains/(losses)		(12	)	21			44		27
Purchases		–		8			–		7
Sales		–		(1	)		–		(1	)
Settlements		(5	)	(21	)		(75	)	(122	)
Transfers into level 3		–		12			–		151
Transfers out of level 3		–		–			(44	)	–
Ending balance		$322		$ 389			$ 322		$ 389

Investments [Member]

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 September 2021

As of December 2020

$ in millions

Amount or

Range

Weighted
Average

Amount or

Range

Weighted
Average

Corporate debt securities

Level 3 assets

$4,277

$5,286

Yield

6.9% to 14.6%

9.8%

4.5% to 19.5%

10.2%

Recovery rate

9.1% to 76.0%

56.8%

10.0% to 70.0%

50.7%

Duration (years)

3.0 to 9.4

4.6

3.0 to 7.7

4.2

Multiples

0.5x to 36.1x

8.2x

0.6x

to 29.3x

6.9x

Securities backed by real estate

Level 3 assets

$1,088

$998

Yield

8.3% to 20.3%

13.5%

8.2% to 52.4%

17.5%

Recovery rate

56.8% to 69.0%

59.9%

21.6% to 57.8%

33.7%

Duration (years)

0.4 to 2.8

1.4

0.4 to 3.6

2.7

Other debt obligations

Level 3 assets

$387

$497

Yield

2.2% to 10.1%

2.9%

1.7% to 6.2%

3.5%

Duration (years)

1.2 to 6.3

4.3

0.2 to 10.3

6.4

Equity securities

Level 3 assets

$7,927

$9,642

Multiples

0.4x to 23.2x

10.8x

0.6x to 27.9x

9.0x

Discount rate/yield

4.8% to 54.2%

15.9%

4.0% to 38.5%

13.5%

Capitalization rate

4.2% to 14.0%

6.3%

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 September 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.

•

orporate 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 September					Nine Months Ended September

$ in millions		2021		2020			2021		2020
Beginning balance		$16,332		$17,916			$16,423		$15,282
Net realized gains/(losses)		78		128			184		238
Net unrealized gains/(losses)		155		534			1,244		(808	)
Purchases		496		405			1,467		1,250
Sales		(478	)	(269	)		(1,070	)	(1,379	)
Settlements		(831	)	(686	)		(2,421	)	(1,180	)
Transfers into level 3		806		230			1,843		5,373
Transfers out of level 3		(2,879	)	(984	)		(3,991	)	(1,502	)
Ending balance		$13,679		$17,274			$13,679		$17,274

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.

he table below presents information, by product type, for investments included in the summary table above.



	Three Months Ended September					Nine Months Ended September

$ in millions		2021		2020			2021		2020
Corporate debt securities
Beginning balance		$ 4,958		$ 6,572			$ 5,286		$ 3,465
Net realized gains/(losses)		33		48			150		115
Net unrealized gains/(losses)		47		142			302		(263	)
Purchases		101		137			374		401
Sales		(204	)	(22	)		(383	)	(215	)
Settlements		(601	)	(386	)		(1,254	)	(553	)
Transfers into level 3		529		121			1,120		3,234
Transfers out of level 3		(586	)	(761	)		(1,318	)	(333	)
Ending balance		$ 4,277		$ 5,851			$ 4,277		$ 5,851
Securities backed by real estate
Beginning balance		$ 1,117		$ 880			$ 998		$ 595
Net realized gains/(losses)		12		12			29		32
Net unrealized gains/(losses)		(11	)	16			25		(97	)
Purchases		14		35			212		124
Sales		(19	)	–			(43	)	–
Settlements		(51	)	(11	)		(247	)	(43	)
Transfers into level 3		26		–			114		323
Transfers out of level 3		–		(2	)		–		(4	)
Ending balance		$ 1,088		$ 930			$ 1,088		$ 930
Other debt obligations
Beginning balance		$ 502		$ 429			$ 497		$ 319
Net realized gains/(losses)		4		4			9		10
Net unrealized gains/(losses)		1		3			1		–
Purchases		10		27			32		45
Sales		(1	)	(2	)		(3	)	(4	)
Settlements		(33	)	(6	)		(54	)	(9	)
Transfers into level 3		–		–			–		94
Transfers out of level 3		(96	)	–			(95	)	–
Ending balance		$ 387		$ 455			$ 387		$ 455
Equity securities
Beginning balance		$ 9,755		$10,035			$ 9,642		$10,903
Net realized gains/(losses)		29		64			(4	)	81
Net unrealized gains/(losses)		118		373			916		(448	)
Purchases		371		206			849		680
Sales		(254	)	(245	)		(641	)	(1,160	)
Settlements		(146	)	(283	)		(866	)	(575	)
Transfers into level 3		251		109			609		1,722
Transfers out of level 3		(2,197	)	(221	)		(2,578	)	(1,165	)
Ending balance		$ 7,927		$10,038			$ 7,927		$10,038