Loans (Tables)

12 Months Ended

Dec. 31, 2021

The table below presents information about loans.



$ in millions	Amortized Cost		Fair Value	Held For Sale	Total
As of December 2021
Loan Type
Corporate	$ 50,960		$ 2,492	$2,475	$ 55,927
Wealth management	38,062		5,936	–	43,998
Commercial real estate	21,150		1,588	3,145	25,883
Residential real estate	15,493		320	100	15,913
Consumer:
Installment	3,672		–	–	3,672
Credit cards	8,212		–	–	8,212
Other	5,958		433	2,139	8,530
Total loans, gross	143,507		10,769	7,859	162,135
Allowance for loan losses	(3,573	)	–	–	(3,573	)
Total loans	$139,934		$10,769	$7,859	$158,562
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 December 2021
Accounting Method
Amortized cost	$50,923	$75,179	$17,405	$143,507
Fair value	2,301	4,634	3,834	10,769
Held for sale	1,650	4,747	1,462	7,859
Total	$54,874	$84,560	$22,701	$162,135
Loan Type
Corporate	$15,370	$40,389	$ 168	$ 55,927
Wealth management	31,476	5,730	6,792	43,998
Real estate:
Commercial	3,986	21,523	374	25,883
Residential	1,112	13,779	1,022	15,913
Consumer:
Installment	–	–	3,672	3,672
Credit cards	–	–	8,212	8,212
Other	2,930	3,139	2,461	8,530
Total	$54,874	$84,560	$22,701	$162,135
Secured	85%	92%	36%	82%
Unsecured	15%	8%	64%	18%
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 December 2021

$ in millions		Investment- Grade	Non-Investment- Grade	Other Metrics/ Unrated	Total
2021		$ 4,687	$10,424	$ 52	$ 15,163
2020		1,911	4,561	7	6,479
2019		451	3,949	–	4,400
2018		1,842	2,901	–	4,743
2017		733	1,857	–	2,590
2016 or earlier		274	1,693	–	1,967
Revolving		3,800	11,744	74	15,618
Corporate		13,698	37,129	133	50,960
2021		1,405	1,186	1,265	3,856
2020		558	287	–	845
2019		537	352	–	889
2018		334	38	–	372
2017		380	31	–	411
2016 or earlier		565	243	–	808
Revolving		26,349	2,127	2,405	30,881
Wealth management		30,128	4,264	3,670	38,062
2021		334	4,084	94	4,512
2020		127	1,890	–	2,017
2019		52	1,336	–	1,388
2018		207	829	–	1,036
2017		398	624	–	1,022
2016 or earlier		405	583	7	995
Revolving		1,768	8,412	–	10,180
Commercial real estate		3,291	17,758	101	21,150
2021		113	1,944	253	2,310
2020		260	557	103	920
2019		–	–	173	173
2018		–	84	165	249
2017		8	65	119	192
2016 or earlier		–	1	56	57
Revolving		673	10,919	–	11,592
Residential real estate		1,054	13,570	869	15,493
2021		–	694	261	955
2020		–	59	378	437
2019		–	25	19	44
2018		–	30	–	30
2017		–	5	8	13
Revolving		2,752	1,645	82	4,479
Other		2,752	2,458	748	5,958
Total		$50,923	$75,179	$5,521	$131,623
Percentage of total		39%	57%	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%

In the tables above, revolving loans which converted to term loans were not material as of both December 2021 and December 2020.

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 December 2021
2021	$2,017	$ 42	$ 2,059
2020	665	40	705
2019	508	61	569
2018	257	42	299
2017	32	7	39
2016	1	–	1
Installment	3,480	192	3,672
Credit cards	6,100	2,112	8,212
Total	$9,580	$2,304	$11,884
Percentage of total:
Installment	95%	5%	100%
Credit cards	74%	26%	100%
Total	81%	19%	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 December 2021
Corporate	$ 55,927	54%	38%	8%	100%
Wealth management	43,998	87%	10%	3%	100%
Commercial real estate	25,883	80%	15%	5%	100%
Residential real estate	15,913	95%	2%	3%	100%
Consumer:
Installment	3,672	100%	–	–	100%
Credit cards	8,212	100%	–	–	100%
Other	8,530	84%	15%	1%	100%
Total	$162,135	76%	19%	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 December 2021
Corporate	$ 5	$ 90	$ 95
Wealth management	–	20	20
Commercial real estate	7	143	150
Residential real estate	3	4	7
Consumer:
Installment	20	7	27
Credit cards	86	71	157
Other	15	3	18
Total	$136	$338	$474
Total divided by gross loans at amortized cost			0.3%
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 December

$ in millions		2021	2020
Corporate		$1,559	$2,651
Wealth management		21	61
Commercial real estate		841	649
Residential real estate		5	25
Installment		43	44
Other		–	122
Total		$2,469	$3,552
Total divided by gross loans at amortized cost		1.7%	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 December

	2021			2020

$ in millions		Loans	Lending Commitments		Loans	Lending Commitments
Wholesale
Corporate		$ 50,960	$143,296		$ 44,778	$127,756
Wealth management		38,062	4,091		25,151	2,314
Commercial real estate		21,150	4,306		17,096	4,154
Residential real estate		15,493	3,317		5,236	1,804
Other		5,958	6,169		3,211	4,841
Consumer
Installment		3,672	9		3,823	4
Credit cards		8,212	35,932		4,270	21,640
Total		$143,507	$197,120		$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
Year Ended December 2021
Allowance for loan losses
Beginning balance	$2,584		$1,290		$3,874
Net charge-offs	(130	)	(203	)	(333	)
Provision	(231	)	351		120
Other	(88	)	–		(88	)
Ending balance	$2,135		$1,438		$3,573
Allowance ratio	1.6%		12.1%		2.5%
Net charge-off ratio	0.1%		2.3%		0.3%
Allowance for losses on lending commitments
Beginning balance	$ 557		$ –		$ 557
Provision	50		187		237
Other	(18	)	–		(18	)
Ending balance	$ 589		$ 187		$ 776
Year Ended December 2020
Allowance for loan losses
Beginning balance	$1,331		$ 837		$2,168
Net charge-offs	(615	)	(292	)	(907	)
Provision	2,108		745		2,853
Other	(240	)	–		(240	)
Ending balance	$2,584		$1,290		$3,874
Allowance ratio	2.7%		15.9%		3.7%
Net charge-off ratio	0.6%		4.2%		0.9%
Allowance for losses on lending commitments
Beginning balance	$ 313		$ –		$ 313
Provision	244		–		244
Ending balance	$ 557		$ –		$ 557

Schedule of forecasted economic scenarios

The table below presents the forecasted U.S. unemployment and U.S. GDP growth rates used in the baseline economic scenario of the forecast model.



			As of December 2021
U.S. unemployment rate
Forecast for the quarter ended:
June 2022			3.7%
December 2022			3.5%
June 2023			3.4%
Growth in U.S. GDP
Forecast for the year:
2022			3.4%
2023			2.1%
2024			1.8%

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 December 2021
Loan Type
Corporate	$ –	$ 1,655	$ 837	$ 2,492
Wealth management	–	5,873	63	5,936
Commercial real estate	–	605	983	1,588
Residential real estate	–	115	205	320
Other	–	167	266	433
Total	$ –	$ 8,415	$2,354	$10,769
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 December 2021

As of December 2020

$ in millions

Amount or

Range

Weighted
Average

Amount or

Range

Weighted
Average

Corporate

Level 3 assets

$837

$929

Yield

1.5% to 55.6%

14.9%

1.1% to 45.2%

12.4%

Recovery rate

15.0% to 92.0%

40.8%

15.0% to 58.0%

31.0%

Duration (years)

0.9 to 6.8

2.7

1.5 to 5.3

3.4

Commercial real estate

Level 3 assets

$983

$1,104

Yield

3.2% to 18.7%

12.6%

4.5% to 19.3%

11.0%

Recovery rate

4.1% to 99.5%

41.4%

3.0% to 99.8%

66.5%

Duration (years)

0.4 to 4.0

1.7

0.3 to 4.8

2.6

Residential real estate

Level 3 assets

$205

$260

Yield

2.1% to 20.0%

16.1%

2.0% to 14.0%

12.1%

Duration (years)

0.1 to 2.4

1.0

0.6 to 2.6

1.7

Wealth management and other

Level 3 assets

$329

$385

Yield

3.6% to 18.7%

7.1%

2.8% to 18.7%

8.0%

Duration (years)

2.9 to 5.5

3.6

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.



	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 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 December 2021
Amortized cost		$139,934		$87,676	$54,127	$141,803
Held for sale		$ 7,859		$ 5,970	$ 1,917	$ 7,887
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