The firm also invests in hedge funds, primarily multi-disciplinary hedge funds that employ a fundamental bottom-up investment approach across various asset classes and strategies. The firm’s investments in hedge funds primarily include interests where the underlying assets are illiquid in nature, and proceeds from redemptions will not be received until the underlying assets are liquidated or distributed, the timing of which is uncertain.

Private equity and hedge funds, in which the firm is invested, include “covered funds” as defined in the Volcker Rule of the U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). Substantially all of the credit and real estate funds, in which the firm is invested, are not covered funds. As of September 2022, the firm’s total investments in funds at NAV included investments of approximately $400 million (net of the firm’s share of cash in the funds) in certain legacy “illiquid funds” (as defined in the Volcker Rule) for which the firm conformed by restructuring these funds to be non-covered funds as liquidating trusts by July 2022. However, based on recent interpretations of the covered fund provisions of the Volcker Rule, the firm may be required to seek an additional extension from the Board of Governors of the Federal Reserve System (FRB) to bring these funds into conformance. If the firm does not receive any required extensions or conform by the end of any extensions received, the firm may be required to sell such interests. If that occurs, the firm may receive a value for its interests that is less than the then carrying value as there could be a limited secondary market for these investments and the firm may be unable to sell them in orderly transactions.

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 2022
Private equity funds	$	955	$	589
Credit funds	1,649		417
Hedge funds	70		—
Real estate funds	297		129
Total	$	2,971	$	1,135

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

Available-for-Sale Securities

Available-for-sale securities are accounted for at fair value, and the related unrealized fair value gains and losses are included in accumulated other comprehensive income/(loss) unless designated in a fair value hedging relationship. See Note 7 for information about available-for-sale securities that are designated in a hedging relationship.

The table below presents information about available-for-sale securities by tenor.


$ in millions	Amortized Cost		Fair Value		Weighted Average Yield
As of September 2022
Less than 1 year	$	2,353	$	2,295	0.24	%
1 year to 5 years	46,366		43,125		0.65	%
5 years to 10 years	830		776		2.14	%
Total U.S. government obligations	49,549		46,196		0.65	%

1 year to 5 years	9		9		0.28	%
5 years to 10 years	2,461		1,920		0.40	%
Total non-U.S. government obligations	2,470		1,929		0.40	%
Total available-for-sale securities	$	52,019	$	48,125	0.64	%
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	%

In the table above:

•Available-for-sale securities were classified in level 1 of the fair value hierarchy as of both September 2022 and December 2021.

•The weighted average yield for available-for-sale securities is presented on a pre-tax basis and 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 not material and the gross unrealized losses included in accumulated other comprehensive income/(loss) were $3.89 billion as of September 2022 and primarily related to U.S. government obligations in a continuous unrealized loss position for more than a year. 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. Net unrealized losses included in other comprehensive income/(loss) were $836 million ($615 million, net of tax) for the three months ended September 2022, $152 million ($114 million, net of tax) for the three months ended September 2021, $3.23 billion ($2.41 billion, net of tax) for the nine months ended September 2022 and $880 million ($658 million, net of tax) for the nine months ended September 2021.

•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 the three or nine months ended September 2022 or September 2021. 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 the three or nine months ended September 2022 or September 2021.

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


	Three Months Ended September				Nine Months Ended September
$ in millions	2022		2021		2022		2021
Gross realized gains	$	—	$	54	$	—	$	187
Proceeds from sales	$	—	$	11,467	$	2	$	24,882

In the table above, the realized gains were reclassified from accumulated other comprehensive income/(loss) to other principal transactions in the consolidated statements of earnings.

Fair Value of Investments by Level

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 2022
Government and agency obligations:
U.S.	$	46,196	$	—	$	—	$	46,196
Non-U.S.	1,921		20		—		1,941
Corporate debt securities	160		2,930		6,738		9,828
Securities backed by real estate	—		404		912		1,316
Money market instruments	24		978		—		1,002
Other debt obligations	—		8		284		292
Equity securities	1,974		3,040		9,020		14,034
Subtotal	$	50,275	$	7,380	$	16,954	$	74,609
Investments in funds at NAV							2,971
Total investments							$	77,580
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

See Note 4 for an overview of the firm’s fair value measurement policies and the valuation techniques and significant inputs used to determine the fair value of investments.

Significant Unobservable Inputs

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 2022				As of December 2021
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Corporate debt securities
Level 3 assets	$	6,738			$	4,527
Yield	2.0% to 21.8%		11.8	%	2.0% to 29.0%		10.8	%
Recovery rate	9.1% to 78.5%		51.7	%	9.1% to 76.0%		59.1	%
Duration (years)	1.2 to 5.5		3.9		1.4 to 6.4		3.8
Multiples	1.9x to 66.5x		7.8x		0.5x to 28.2x		6.9x
Securities backed by real estate
Level 3 assets	$	912			$	1,078
Yield	8.3% to 23.3%		15.4	%	8.3% to 20.3%		13.1	%
Recovery rate	N/A		N/A		55.1% to 61.0%		56.4	%
Duration (years)	1.0 to 4.2		4.1		0.1 to 2.6		1.2
Other debt obligations
Level 3 assets	$	284			$	382
Yield	5.0% to 20.0%		7.1	%	2.3% to 10.6%		3.2	%
Duration (years)	0.4 to 1.5		1.3		0.9 to 9.3		4.8
Equity securities
Level 3 assets	$	9,020			$	7,915
Multiples	0.4x to 34.4x		9.0x		0.4x to 30.5x		10.1x
Discount rate/yield	6.0% to 38.5%		14.7	%	2.0% to 35.0%		14.1	%
Capitalization rate	4.0% to 10.8%		5.4	%	3.5% to 14.0%		5.7	%

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 2022 and December 2021. Due to the distinctive nature of each level 3 investment, the interrelationship of inputs is not necessarily uniform within each product type.

•Corporate 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.

•The significant unobservable inputs for recovery rate related to securities backed by real estate as of September 2022 did not have a range (and there was no weighted average) as they pertained to a single position. Therefore, such unobservable inputs are not included in the table above.

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	2022		2021		2022		2021
Beginning balance	$	16,109	$	16,332	$	13,902	$	16,423
Net realized gains/(losses)	103		78		428		184
Net unrealized gains/(losses)	(407)		155		(1,828)		1,244
Purchases	445		496		1,385		1,467
Sales	(236)		(478)		(741)		(1,070)
Settlements	(272)		(831)		(1,461)		(2,421)
Transfers into level 3	1,687		806		6,425		1,843
Transfers out of level 3	(475)		(2,879)		(1,156)		(3,991)
Ending balance	$	16,954	$	13,679	$	16,954	$	13,679

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.


	Three Months Ended September				Nine Months Ended September
$ in millions	2022		2021		2022		2021
Corporate debt securities
Beginning balance	$	6,576	$	4,958	$	4,527	$	5,286
Net realized gains/(losses)	69		33		224		150
Net unrealized gains/(losses)	(111)		47		(297)		302
Purchases	137		101		624		374
Sales	(78)		(204)		(151)		(383)
Settlements	(143)		(601)		(810)		(1,254)
Transfers into level 3	659		529		2,944		1,120
Transfers out of level 3	(371)		(586)		(323)		(1,318)
Ending balance	$	6,738	$	4,277	$	6,738	$	4,277

Securities backed by real estate
Beginning balance	$	1,067	$	1,117	$	1,078	$	998
Net realized gains/(losses)	7		12		21		29
Net unrealized gains/(losses)	(88)		(11)		(287)		25
Purchases	17		14		76		212
Sales	(47)		(19)		(96)		(43)
Settlements	(23)		(51)		(140)		(247)
Transfers into level 3	1		26		269		114
Transfers out of level 3	(22)		—		(9)		—
Ending balance	$	912	$	1,088	$	912	$	1,088

Other debt obligations
Beginning balance	$	303	$	502	$	382	$	497
Net realized gains/(losses)	3		4		9		9
Net unrealized gains/(losses)	(3)		1		(8)		1
Purchases	4		10		28		32
Sales	—		(1)		—		(3)
Settlements	(23)		(33)		(127)		(54)
Transfers out of level 3	—		(96)		—		(95)
Ending balance	$	284	$	387	$	284	$	387

Equity securities
Beginning balance	$	8,163	$	9,755	$	7,915	$	9,642
Net realized gains/(losses)	24		29		174		(4)
Net unrealized gains/(losses)	(205)		118		(1,236)		916
Purchases	287		371		657		849
Sales	(111)		(254)		(494)		(641)
Settlements	(83)		(146)		(384)		(866)
Transfers into level 3	1,027		251		3,212		609
Transfers out of level 3	(82)		(2,197)		(824)		(2,578)
Ending balance	$	9,020	$	7,927	$	9,020	$	7,927

Level 3 Rollforward Commentary

Three Months Ended September 2022. The net realized and unrealized losses on level 3 investments of $304 million (reflecting $103 million of net realized gains and $407 million of net unrealized losses) for the three months ended September 2022 included gains/(losses) of $(427) million reported in other principal transactions and $123 million reported in interest income.

The net unrealized losses on level 3 investments for the three months ended September 2022 primarily reflected losses on certain equity securities and corporate debt securities (in each case, principally driven by broad macroeconomic concerns).

Transfers into level 3 investments during the three months ended September 2022 primarily reflected transfers of certain equity securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments) and transfers of certain corporate debt securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments, and certain unobservable yield and duration inputs becoming significant to the valuation of these instruments).

Transfers out of level 3 investments during the three months ended September 2022 primarily reflected transfers of certain corporate debt securities to level 2 (principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments).

Nine Months Ended September 2022. The net realized and unrealized losses on level 3 investments of $1.40 billion (reflecting $428 million of net realized gains and $1.83 billion of net unrealized losses) for the nine months ended September 2022 included gains/(losses) of $(1.71) billion reported in other principal transactions and $314 million reported in interest income.

The net unrealized losses on level 3 investments for the nine months ended September 2022 primarily reflected losses on certain equity securities and corporate debt securities (in each case, principally driven by broad macroeconomic and geopolitical concerns) and securities backed by real estate (principally driven by an increase in interest rates).

Transfers into level 3 investments during the nine months ended September 2022 primarily reflected transfers of certain equity securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments), and transfers of certain corporate debt securities from level 2 (principally due to certain unobservable yield and duration inputs becoming significant to the valuation of these instruments, and reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 investments during the nine months ended September 2022 primarily reflected transfers of certain equity securities to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments) and transfers of certain corporate debt securities to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments, and certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments).

Three Months Ended September 2021. The net realized and unrealized gains on level 3 investments of $233 million (reflecting $78 million of net realized gains and $155 million of net unrealized gains) for the three months ended September 2021 included gains of $183 million reported in other principal transactions and $50 million reported in interest income.

The net unrealized gains on level 3 investments for the three months ended September 2021 primarily reflected gains on certain private equity securities (principally driven by corporate performance and company-specific events).

Transfers into level 3 investments during the three months ended September 2021 primarily reflected transfers of certain corporate debt securities and private equity securities from level 2 (in each case, principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 investments during the three months ended September 2021 primarily reflected transfers of certain private equity securities to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments) and transfers of certain corporate debt securities to level 2 (principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments, and increased price transparency as a result of market evidence, including market transactions in these instruments).

Nine Months Ended September 2021. The net realized and unrealized gains on level 3 investments of $1.43 billion (reflecting $184 million of net realized gains and $1.24 billion of net unrealized gains) for the nine months ended September 2021 included gains of $1.29 billion reported in other principal transactions and $135 million reported in interest income.

The net unrealized gains on level 3 investments for the nine months ended September 2021 primarily reflected gains on certain private equity securities and corporate debt securities (in each case, principally driven by corporate performance and company-specific events).

Transfers into level 3 investments during the nine months ended September 2021 primarily reflected transfers of certain corporate debt securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments, and certain unobservable yield and duration inputs becoming significant to the valuation of these instruments) and transfers of certain private equity securities from level 2 (principally due to reduced price transparency as a result of a lack of market evidence, including fewer market transactions in these instruments).

Transfers out of level 3 investments during the nine months ended September 2021 primarily reflected transfers of certain private equity securities to level 2 (principally due to increased price transparency as a result of market evidence, including market transactions in these instruments) and transfers of certain corporate debt securities to level 2 (principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments, and increased price transparency as a result of market evidence, including market transactions of these instruments).

Held-to-Maturity Securities

Held-to-maturity securities are accounted for at amortized cost.

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 2022
Less than 1 year	$	5,920	$	5,908	2.25	%
1 year to 5 years	40,254		38,816		2.79	%
5 years to 10 years	2,209		2,134		3.41	%
Total U.S. government obligations	48,383		46,858		2.75	%

5 years to 10 years	2		2		4.39	%
Greater than 10 years	164		160		1.79	%
Total securities backed by real estate	166		162		1.84	%
Total held-to-maturity securities	$	48,549	$	47,020	2.75	%
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	%

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 2022 and December 2021.

•The weighted average yield for held-to-maturity securities is presented on a pre-tax basis and 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 not material as of September 2022 and were $175 million as of December 2021. The gross unrealized losses were $1.53 billion as of September 2022 and were not material as of December 2021.•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 2022 or September 2021.