Loans (Tables)

9 Months Ended

Sep. 30, 2021

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%

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 September 2021

$ in millions		Investment- Grade	Non-Investment- Grade	Other Metrics/ Unrated	Total
2021		$ 2,910	$ 8,217	$ –	$ 11,127
2020		2,241	5,263	19	7,523
2019		458	4,377	–	4,835
2018		1,853	2,965	–	4,818
2017		755	2,029	–	2,784
2016 or earlier		258	2,157	–	2,415
Revolving		4,127	11,249	65	15,441
Corporate		12,602	36,257	84	48,943
2021		967	618	875	2,460
2020		537	248	–	785
2019		636	400	–	1,036
2018		320	106	–	426
2017		369	31	–	400
2016 or earlier		578	247	–	825
Revolving		24,796	2,273	2,158	29,227
Wealth management		28,203	3,923	3,033	35,159
2021		329	2,715	33	3,077
2020		322	2,194	–	2,516
2019		72	1,460	–	1,532
2018		212	1,055	–	1,267
2017		453	740	–	1,193
2016 or earlier		419	741	17	1,177
Revolving		1,096	6,034	–	7,130
Commercial real estate		2,903	14,939	50	17,892
2021		381	43	191	615
2020		287	274	110	671
2019		–	3	205	208
2018		–	93	177	270
2017		8	53	127	188
2016 or earlier		–	1	58	59
Revolving		435	9,910	–	10,345
Residential real estate		1,111	10,377	868	12,356
2021		104	428	246	778
2020		–	75	400	475
2019		–	31	21	52
2018		–	33	–	33
2017		–	6	9	15
Revolving		2,506	1,365	84	3,955
Other		2,610	1,938	760	5,308
Total		$ 47,429	$ 67,434	$ 4,795	$ 119,658
Percentage of total		40%	56%	4%	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 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 September 2021
Accounting Method
Amortized cost	$47,429	$67,434	$14,495	$129,358
Fair value	2,502	5,279	4,323	12,104
Held for sale	1,151	4,163	180	5,494
Total	$51,082	$76,876	$18,998	$146,956
Loan Type
Corporate	$14,048	$39,809	$ 250	$ 54,107
Wealth management	29,631	5,595	6,549	41,775
Real estate:
Commercial	3,463	17,903	341	21,707
Residential	1,247	11,051	1,061	13,359
Consumer:
Installment	–	–	3,449	3,449
Credit cards	–	–	6,251	6,251
Other	2,693	2,518	1,097	6,308
Total	$51,082	$76,876	$18,998	$146,956
Secured	87%	92%	42%	84%
Unsecured	13%	8%	58%	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%

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 September 2021
2021	$1,380	$ 19	$1,399
2020	816	40	856
2019	658	74	732
2018	347	56	403
2017	47	10	57
2016	2	–	2
Installment	3,250	199	3,449
Credit cards	4,665	1,586	6,251
Total	$7,915	$1,785	$9,700
Percentage of total:
Installment	94%	6%	100%
Credit cards	75%	25%	100%
Total	82%	18%	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 September 2021
Corporate	$ 54,107	56%	36%	8%	100%
Wealth management	41,775	86%	11%	3%	100%
Commercial real estate	21,707	75%	19%	6%	100%
Residential real estate	13,359	92%	5%	3%	100%
Consumer:
Installment	3,449	100%	–	–	100%
Credit cards	6,251	100%	–	–	100%
Other	6,308	88%	10%	2%	100%
Total	$146,956	75%	20%	5%	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 September 2021
Corporate	$ –	$121	$121
Wealth management	4	46	50
Commercial real estate	33	101	134
Residential real estate	1	5	6
Consumer:
Installment	20	8	28
Credit cards	66	52	118
Other	17	9	26
Total	$141	$342	$483
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		September 2021	December 2020
Corporate		$1,739	$2,651
Wealth management		39	61
Commercial real estate		874	649
Residential real estate		12	25
Installment		45	44
Other		–	122
Total		$2,709	$3,552
Total divided by gross loans at amortized cost		2.1%	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

	September 2021			December 2020

$ in millions		Loans	Lending Commitments		Loans	Lending Commitments
Wholesale
Corporate		$ 48,943	$150,464		$ 44,778	$127,756
Wealth management		35,159	4,014		25,151	2,314
Commercial real estate		17,892	4,183		17,096	4,154
Residential real estate		12,356	2,785		5,236	1,804
Other		5,308	5,183		3,211	4,841
Consumer
Installment		3,449	11		3,823	4
Credit cards		6,251	31,718		4,270	21,640
Total		$129,358	$198,358		$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 September 2021
Allowance for loan losses
Beginning balance	$2,173		$1,098		$3,271
Net (charge-offs)/recoveries	(40	)	(36	)	(76	)
Provision	25		139		164
Other	(27	)	–		(27	)
Ending balance	$2,131		$1,201		$3,332
Allowance ratio	1.8%		12.4%		2.6%
Net charge-off ratio	0.1%		1.6%		0.2%
Allowance for losses on lending commitments
Beginning balance	$ 636		$ 186		$ 822
Provision	13		(2	)	11
Ending balance	$ 649		$ 184		$ 833
Three Months Ended September 2020
Allowance for loan losses
Beginning balance	$2,757		$1,144		$3,901
Net (charge-offs)/recoveries	(277	)	(63	)	(340	)
Provision	102		51		153
Ending balance	$2,582		$1,132		$3,714
Allowance ratio	2.8%		16.1%		3.7%
Net charge-off ratio	1.2%		3.7%		1.3%
Allowance for losses on lending commitments
Beginning balance	$ 490		$ –		$ 490
Provision	125		–		125
Ending balance	$ 615		$ –		$ 615
Nine Months Ended September 2021
Allowance for loan losses
Beginning balance	$2,584		$1,290		$3,874
Net (charge-offs)/recoveries	(49	)	(153	)	(202	)
Provision	(345	)	64		(281	)
Other	(59	)	–		(59	)
Ending balance	$2,131		$1,201		$3,332
Allowance ratio	1.8%		12.4%		2.6%
Net charge-off ratio	0.1%		2.4%		0.2%
Allowance for losses on lending commitments
Beginning balance	$ 557		$ –		$ 557
Provision	110		184		294
Other	(18	)	–		(18	)
Ending balance	$ 649		$ 184		$ 833
Nine Months Ended September 2020
Allowance for loan losses
Beginning balance	$1,331		$ 837		$2,168
Net (charge-offs)/recoveries	(501	)	(230	)	(731	)
Provision	1,977		525		2,502
Other	(225	)	–		(225	)
Ending balance	$2,582		$1,132		$3,714
Allowance ratio	2.8%		16.1%		3.7%
Net charge-off ratio	0.7%		4.5%		1.0%
Allowance for losses on lending commitments
Beginning balance	$ 313		$ –		$ 313
Provision	302		–		302
Ending balance	$ 615		$ –		$ 615

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 September 2021.



	U.S. Unemployment Rate	Growth/(Decline) in U.S. GDP
Forecast for the quarter ended:
December 2021	4.1% to 6.2%	3.8% to 1.5%
June 2022	3.6% to 9.5%	5.8% to (1.0)%
December 2022	3.4% to 9.7%	7.4% to (0.9)%

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 September 2021
Loan Type
Corporate	$ –	$ 2,245	$ 775	$ 3,020
Wealth management	–	6,553	63	6,616
Commercial real estate	–	719	936	1,655
Residential real estate	–	185	166	351
Other	–	203	259	462
Total	$ –	$ 9,905	$2,199	$12,104
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 September 2021

As of December 2020

$ in millions

Amount or

Range

Weighted
Average

Amount or

Range

Weighted
Average

Corporate

Level 3 assets

$775

$929

Yield

2.3% to 40.3%

8.9%

1.1% to 45.2%

12.4%

Recovery rate

20.0% to 94.4%

56.0%

15.0% to 58.0%

31.0%

Duration (years)

1.7 to 4.5

3.2

1.5 to 5.3

3.4

Commercial real estate

Level 3 assets

$936

$1,104

Yield

7.0% to 25.4%

14.4%

4.5% to 19.3%

11.0%

Recovery rate

2.5% to 99.5%

39.6%

3.0% to 99.8%

66.5%

Duration (years)

0.2 to 4.1

1.4

0.3 to 4.8

2.6

Residential real estate

Level 3 assets

$166

$260

Yield

2.0% to 13.5%

11.0%

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

$322

$385

Yield

3.5% to 18.7%

7.9%

2.8% to 18.7%

8.0%

Duration (years)

3.1 to 5.7

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 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

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 September 2021
Amortized cost		$126,026		$71,984	$55,179	$127,163
Held for sale		$ 5,494		$ 2,898	$ 2,618	$ 5,516
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