Investments (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value of Investments by Accounting Type

The table below presents information about investments.



	As of December

$ in millions		2021	2020
Equity securities, at fair value		$18,937	$19,781
Debt instruments, at fair value		15,558	16,981
Available-for-sale securities, at fair value		48,932	46,016
Investments, at fair value		83,427	82,778
Held-to-maturity securities		4,699	5,301
Equity method investments		593	366
Total investments		$88,719	$88,445

Disclosure Of Equity Securities At Fair Value

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



	As of December

$ in millions		2021	2020
Equity securities, at fair value		$18,937	$19,781
Equity Type
Public equity		24%	15%
Private equity		76%	85%
Total		100%	100%
Asset Class
Corporate		78%	83%
Real estate		22%	17%
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		2021	2020
Corporate debt securities		$ 9,793	$10,991
Securities backed by real estate		2,280	1,940
Money market instruments		1,396	2,185
Other		2,089	1,865
Total		$15,558	$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 December 2021
Private equity funds	$1.411	$ 619
Credit funds	1,686	556
Hedge funds	84	–
Real estate funds	288	147
Total	$3,469	$1,322
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 December 2021
Less than 1 year	$ 25	$ 25	0.12%
1 year to 5 years	41,536	41,066	0.47%
5 years to 10 years	5,337	5,229	0.92%
Greater than 10 years	2	2	2.00%
Total U.S. government obligations	46,900	46,322	0.53%
5 years to 10 years	2,693	2,610	0.33%
Total non-U.S. government obligations	2,693	2,610	0.33%
Total available-for-sale securities	$49,593	$48,932	0.52%
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 December 2021 and December 2020.

•

The weighted average yield for

available-for-sale

securities is computed using the effective interest rate of each security at the end of the period, weighted based on the fair value of each security.

•

The gross unrealized gains included in accumulated other comprehensive income/(loss) were $118 million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were $779 million as of December 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. Net unrealized gains/(losses) included in other comprehensive income/(loss) were $(1.28) billion ($(955) million, net of tax) for 2021 and $557 million ($417 million, net of tax) for 2020.

•

If the fair value of available-for-sale securities is less than amortized cost, such securities are considered impaired. If the firm has the intent to sell the debt security, or if it is more likely than not that the firm will be required to sell the debt security before recovery of its amortized cost, the difference between the amortized cost (net of allowance, if any) and the fair value of the securities is recognized as an impairment loss in earnings. The firm did not record any such impairment losses during either 2021 or 2020. Impaired available-for-sale debt securities that the firm has the intent and ability to hold are reviewed to determine if an allowance for credit losses should be recorded. The firm considers various factors in such determination, including market conditions, changes in issuer credit ratings and severity of the unrealized losses. The firm did not record any provision for credit losses on such securities during either 2021 or 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 December 2021
1 year to 5 years	$4,054	$4,200	2.30%
Total U.S. government obligations	4,054	4,200	2.30%
5 years to 10 years	3	3	2.78%
Greater than 10 years	642	670	1.03%
Total securities backed by real estate	645	673	1.04%
Total held-to-maturity securities	$4,699	$4,873	2.13%
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 December 2021 and December 2020.

•

The weighted average yield for held-to-maturity securities is computed using the effective interest rate of each security at the end of the period, weighted based on the amortized cost of each security.

•

The gross unrealized gains were $175 million as of December 2021 and $340 million as of December 2020. The gross unrealized losses were not material as of both December 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 2021 or 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 December 2021
Government and agency obligations:
U.S.	$46,322	$ –	$ –	$46,322
Non-U.S.	2,612	–	–	2,612
Corporate debt securities	65	5,201	4,527	9,793
Securities backed by real estate	–	1,202	1,078	2,280
Money market instruments	41	1,355	–	1,396
Other debt obligations	–	35	382	417
Equity securities	2,135	7,088	7,915	17,138
Subtotal	$51,175	$14,881	$13,902	$79,958
Investments in funds at NAV				3,469
Total investments				$83,427
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 December

$ in millions		2021	2020
Trading assets:
Trading cash instruments		$ 1,889	$ 1,237
Derivatives		5,938	5,967
Investments		13,902	16,423
Loans		2,354	2,678
Total		$24,083	$26,305

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		2021		2020
Beginning balance		$2,678		$1,890
Net realized gains/(losses)		99		72
Net unrealized gains/(losses)		(33	)	87
Purchases		272		670
Sales		(54	)	(50	)
Settlements		(668	)	(727	)
Transfers into level 3		369		836
Transfers out of level 3		(309	)	(100	)
Ending balance		$2,354		$2,678

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



	Year Ended December

$ in millions		2021		2020
Corporate
Beginning balance		$ 929		$ 752
Net realized gains/(losses)		31		22
Net unrealized gains/(losses)		(34	)	(22	)
Purchases		143		277
Sales		(15	)	(38	)
Settlements		(251	)	(125	)
Transfers into level 3		127		163
Transfers out of level 3		(93	)	(100	)
Ending balance		$ 837		$ 929
Commercial real estate
Beginning balance		$1,104		$ 591
Net realized gains/(losses)		45		24
Net unrealized gains/(losses)		(21	)	60
Purchases		20		334
Sales		(6	)	(5	)
Settlements		(292	)	(366	)
Transfers into level 3		185		466
Transfers out of level 3		(52	)	–
Ending balance		$ 983		$1,104
Residential real estate
Beginning balance		$ 260		$ 221
Net realized gains/(losses)		12		13
Net unrealized gains/(losses)		(41	)	10
Purchases		58		48
Sales		(4	)	(2	)
Settlements		(61	)	(78	)
Transfers into level 3		57		48
Transfers out of level 3		(76	)	–
Ending balance		$ 205		$ 260
Wealth management and other
Beginning balance		$ 385		$ 326
Net realized gains/(losses)		11		13
Net unrealized gains/(losses)		63		39
Purchases		51		11
Sales		(29	)	(5	)
Settlements		(64	)	(158	)
Transfers into level 3		–		159
Transfers out of level 3		(88	)	–
Ending balance		$ 329		$ 385

Summary of Gross Realized Gains/(Losses) and the Proceeds from the Sales of Available-for-Sale Securities

The table below presents gross realized gains/(losses) and the proceeds from the sales of available-for-sale securities.



	Year Ended December

$ in millions		2021		2020	2019
Gross realized gains		$ 206		$ 319	$ 181
Gross realized losses		(19	)	–	–
Gains/(losses)		$ 187		$ 319	$ 181
Proceeds from sales		$ 24,882		$4,489	$9,580

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 December 2021

As of December 2020

$ in millions

Amount or

Range

Weighted
Average

Amount or

Range

Weighted
Average

Corporate debt securities

Level 3 assets

$4,527

$5,286

Yield

2.0% to 29.0%

10.8%

4.5% to 19.5%

10.2%

Recovery rate

9.1% to 76.0%

59.1%

10.0% to 70.0%

50.7%

Duration (years)

1.4 to 6.4

3.8

3.0 to 7.7

4.2

Multiples

0.5x to 28.2x

6.9x

0.6x to

29.3x

6.9x

Securities backed by real estate

Level 3 assets

$1,078

$998

Yield

8.3% to 20.3%

13.1%

8.2% to 52.4%

17.5%

Recovery rate

55.1% to 61.0%

56.4%

21.6% to 57.8%

33.7%

Duration (years)

0.1 to 2.6

1.2

0.4 to 3.6

2.7

Other debt obligations

Level 3 assets

$382

$497

Yield

2.3% to 10.6%

3.2%

1.7% to 6.2%

3.5%

Duration (years)

0.9 to 9.3

4.8

0.2 to 10.3

6.4

Equity securities

Level 3 assets

$7,915

$9,642

Multiples

0.4x to 30.5x

10.1x

0.6x to 27.9x

9.0x

Discount rate/yield

2.0% to 35.0%

14.1%

4.0% to 38.5%

13.5%

Capitalization rate

3.5% to 14.0%

5.7%

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 December 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.

Investments, Level 3 Rollforward

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



	Year Ended December

$ in millions		2021		2020
Beginning balance		$16,423		$15,282
Net realized gains/(losses)		449		215
Net unrealized gains/(losses)		1,263		(443	)
Purchases		1,600		1,815
Sales		(2,135	)	(1,550	)
Settlements		(3,265	)	(1,570	)
Transfers into level 3		3,080		4,708
Transfers out of level 3		(3,513	)	(2,034	)
Ending balance		$13,902		$16,423

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		2021		2020
Corporate debt securities
Beginning balance		$ 5,286		$ 3,465
Net realized gains/(losses)		167		110
Net unrealized gains/(losses)		311		(96	)
Purchases		431		636
Sales		(594	)	(302	)
Settlements		(1,876	)	(678	)
Transfers into level 3		1,871		2,661
Transfers out of level 3		(1,069	)	(510	)
Ending balance		$ 4,527		$ 5,286
Securities backed by real estate
Beginning balance		$ 998		$ 595
Net realized gains/(losses)		45		22
Net unrealized gains/(losses)		6		(96	)
Purchases		182		233
Sales		(44	)	–
Settlements		(234	)	(83	)
Transfers into level 3		142		327
Transfers out of level 3		(17	)	–
Ending balance		$ 1,078		$ 998
Other debt obligations
Beginning balance		$ 497		$ 319
Net realized gains/(losses)		12		15
Net unrealized gains/(losses)		1		1
Purchases		63		113
Settlements		(96	)	(45	)
Transfers into level 3		–		94
Transfers out of level 3		(95	)	–
Ending balance		$ 382		$ 497
Equity securities
Beginning balance		$ 9,642		$10,903
Net realized gains/(losses)		225		68
Net unrealized gains/(losses)		945		(252	)
Purchases		924		833
Sales		(1,497	)	(1,248	)
Settlements		(1,059	)	(764	)
Transfers into level 3		1,067		1,626
Transfers out of level 3		(2,332	)	(1,524	)
Ending balance		$ 7,915		$ 9,642