In the table above:

•Wealth management loans included in the other metrics/unrated category primarily consists of loans backed by residential real estate and securities, and real estate loans included in the other metrics/unrated category primarily consists of purchased loans. The firm’s risk assessment process for these loans includes reviewing certain key metrics, such as loan-to-value ratio, delinquency status, collateral values, expected cash flows, the Fair Isaac Corporation (FICO) credit score (which measures a borrower’s creditworthiness by considering factors such as payment and credit history) and other risk factors.

•For installment and credit card loans included in the other metrics/unrated category, the evaluation of credit quality incorporates the borrower’s FICO credit score. FICO credit scores are periodically refreshed by the firm to assess the updated creditworthiness of the borrower. See “Vintage” below for information about installment and credit card loans by FICO credit scores.

The firm also assigns a regulatory risk rating to its loans based on the definitions provided by the U.S. federal bank regulatory agencies. Total loans included 93% of loans as of September 2022 and 92% of loans as of December 2021 that were rated pass/non-criticized.

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 2022
$ in millions	Investment- Grade			Non-Investment- Grade			Other Metrics/ Unrated			Total
2022	$	4,364		$	3,512		$	—		$	7,876
2021	3,847			7,031			—			10,878
2020	1,246			4,334			—			5,580
2019	325			3,333			—			3,658
2018	1,833			2,064			—			3,897
2017 or earlier	1,063			3,026			—			4,089
Revolving	7,259			14,193			1			21,453
Corporate	19,937			37,493			1			57,431
2022	1,886			766			907			3,559
2021	1,391			1,069			1,175			3,635
2020	522			377			—			899
2019	411			225			—			636
2018	356			36			—			392
2017 or earlier	686			468			—			1,154
Revolving	30,018			2,083			3,188			35,289
Wealth management	35,270			5,024			5,270			45,564
2022	39			3,053			157			3,249
2021	219			3,437			—			3,656
2020	85			1,420			—			1,505
2019	47			1,203			—			1,250
2018	184			488			—			672
2017 or earlier	655			674			6			1,335
Revolving	863			9,684			—			10,547
Commercial real estate	2,092			19,959			163			22,214
2022	97			734			218			1,049
2021	141			1,208			229			1,578
2020	—			11			91			102
2019	—			—			101			101
2018	—			103			142			245
2017 or earlier	6			2			144			152
Revolving	669			10,188			—			10,857
Residential real estate	913			12,246			925			14,084
2022	—			84			114			198
2021	—			556			160			716
2020	—			30			320			350
2019	—			11			13			24
2018	—			13			10			23
2017 or earlier	—			4			5			9
Revolving	4,124			2,792			88			7,004
Other	4,124			3,490			710			8,324
Total	$	62,336		$	78,212		$	7,069		$	147,617
Percentage of total	42		%	53		%	5		%	100		%


	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		%

In the tables above, revolving loans which converted to term loans were $1.25 billion as of September 2022 and were not material as of December 2021.

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 2022
2022	$	2,951		$	118		$	3,069
2021	1,271			102			1,373
2020	324			27			351
2019	210			29			239
2018	98			17			115
2017 or earlier	8			2			10
Installment	4,862			295			5,157
Credit cards	9,495			4,196			13,691
Total	$	14,357		$	4,491		$	18,848

Percentage of total:
Installment	94		%	6		%	100		%
Credit cards	69		%	31		%	100		%
Total	76		%	24		%	100		%

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		%

In the table above, credit card loans consist of revolving lines of credit.

Credit Concentrations. The table below presents the concentration of gross loans by region.


$ in millions	Carrying Value		Americas		EMEA		Asia		Total
As of September 2022
Corporate	$	63,181	64	%	29	%	7	%	100	%
Wealth management	50,101		89	%	10	%	1	%	100	%
Commercial real estate	26,082		79	%	16	%	5	%	100	%
Residential real estate	14,342		95	%	3	%	2	%	100	%
Consumer:
Installment	5,157		100	%	—		—		100	%
Credit cards	13,691		100	%	—		—		100	%
Other	8,961		89	%	10	%	1	%	100	%
Total	$	181,515	80	%	16	%	4	%	100	%
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	%

In the table above:

•EMEA represents Europe, Middle East and Africa.

•The top five industry concentrations for corporate loans as of September 2022 were 23% for funds, 17% for technology, media & telecommunications, 12% for diversified industrials, 8% for financial institutions, and 8% for real estate.

•The top five industry concentrations for corporate loans as of December 2021 were 21% for funds, 18% for technology, media & telecommunications, 13% for diversified industrials, 9% for natural resources & utilities, and 8% for financial institutions.

Nonaccrual and Past Due Loans. Loans accounted for at amortized cost (other than credit card loans) are placed on nonaccrual status when it is probable that the firm will not collect all principal and interest due under the contractual terms, regardless of the delinquency status or if a loan is past due for 90 days or more, unless the loan is both well collateralized and in the process of collection. At that time, all accrued but uncollected interest is reversed against interest income and interest subsequently collected is recognized on a cash basis to the extent the loan balance is deemed collectible. Otherwise, all cash received is used to reduce the outstanding loan balance. A loan is considered past due when a principal or interest payment has not been made according to its contractual terms. Credit card loans are not placed on nonaccrual status and accrue interest until the loan is paid in full or is charged off.

In certain circumstances, the firm may modify the original terms of a loan agreement by granting a concession to a borrower experiencing financial difficulty, typically in the form of a modification of loan covenants, but may also include forbearance of interest or principal, payment extensions or interest rate reductions. These modifications, to the extent significant, are considered TDRs. Loan modifications that extend payment terms for a period of less than 90 days are generally considered insignificant and therefore not reported as TDRs.

The table below presents information about past due loans.


$ in millions	30-89 days		90 days or more		Total
As of September 2022
Corporate	$	12	$	129	$	141
Wealth management	253		37		290
Commercial real estate	24		316		340
Residential real estate	2		7		9
Consumer:
Installment	34		12		46
Credit cards	226		196		422
Other	20		8		28
Total	$	571	$	705	$	1,276
Total divided by gross loans at amortized cost					0.8		%

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		%

The table below presents information about nonaccrual loans.


	As of
	September			December
$ in millions	2022			2021
Corporate	$	1,422		$	1,559
Wealth management	213			21
Commercial real estate	574			841
Residential real estate	4			5
Installment	38			43
Total	$	2,251		$	2,469
Total divided by gross loans at amortized cost	1.4		%	1.7		%

In the table above:

•Nonaccrual loans included $598 million as of September 2022 and $254 million as of December 2021 of loans that were 30 days or more past due.

•Loans that were 90 days or more past due and still accruing were not material as of both September 2022 and December 2021.

•Nonaccrual loans included $212 million as of September 2022 and $267 million as of December 2021 of corporate and commercial real estate loans that were modified in a TDR. The firm’s lending commitments related to these loans were not material as of both September 2022 and December 2021. Installment loans that were modified in a TDR were not material as of both September 2022 and December 2021.

•Allowance for loan losses as a percentage of total nonaccrual loans was 215.3% as of September 2022 and 144.7% as of December 2021.

Allowance for Credit Losses

The firm’s allowance for credit losses consists of the allowance for losses on loans and lending commitments accounted for at amortized cost. Loans and lending commitments accounted for at fair value or accounted for at the lower of cost or fair value are not subject to an allowance for credit losses.

To determine the allowance for credit losses, the firm classifies its loans and lending commitments accounted for at amortized cost into wholesale and consumer portfolios. These portfolios represent the level at which the firm has developed and documented its methodology to determine the allowance for credit losses. The allowance for credit losses is measured on a collective basis for loans that exhibit similar risk characteristics using a modeled approach and on an asset-specific basis for loans that do not share similar risk characteristics.

The allowance for credit losses takes into account the weighted average of a range of forecasts of future economic conditions over the expected life of the loan and lending commitments. The expected life of each loan or lending commitment is determined based on the contractual term adjusted for extension options or demand features, or is modeled in the case of revolving credit card loans. The forecasts include baseline, favorable and adverse economic scenarios over a three-year period. For loans with expected lives beyond three years, the model reverts to historical loss information based on a non-linear modeled approach. The forecasted economic scenarios consider a number of risk factors relevant to the wholesale and consumer portfolios described below. The firm applies judgment in weighing individual scenarios each quarter based on a variety of factors, including the firm’s internally derived economic outlook, market consensus, recent macroeconomic conditions and industry trends.

The allowance for credit losses also includes qualitative components which allow management to reflect the uncertain nature of economic forecasting, capture uncertainty regarding model inputs, and account for model imprecision and concentration risk.

Management’s estimate of credit losses entails judgment about the expected life of the loan and loan collectability at the reporting dates, and there are uncertainties inherent in those judgments. The allowance for credit losses is subject to a governance process that involves review and approval by senior management within the firm’s independent risk oversight and control functions. Personnel within the firm’s independent risk oversight and control functions are responsible for forecasting the economic variables that underlie the economic scenarios that are used in the modeling of expected credit losses. While management uses the best information available to determine this estimate, future adjustments to the allowance may be necessary based on, among other things, changes in the economic environment or variances between actual results and the original assumptions used.

The table below presents gross loans and lending commitments accounted for at amortized cost by portfolio.


	As of
	September 2022			December 2021
$ in millions	Loans		Lending Commitments	Loans		Lending Commitments
Wholesale
Corporate	$	57,431	$139,946	$	50,960	$143,296
Wealth management	45,564		4,638	38,062		4,091
Commercial real estate	22,214		2,715	21,150		4,306
Residential real estate	14,084		2,793	15,493		3,317
Other	8,324		4,940	5,958		6,169
Consumer
Installment	5,157		957	3,672		9
Credit cards	13,691		60,655	8,212		35,932
Total	$	166,465	$216,644	$	143,507	$197,120

In the table above:

•Wholesale loans included $2.21 billion as of September 2022 and $2.43 billion as of December 2021 of nonaccrual loans for which the allowance for credit losses was measured on an asset-specific basis. The allowance for credit losses on these loans was $449 million as of September 2022 and $543 million as of December 2021. These loans included $313 million as of September 2022 and $140 million as of December 2021 of loans which did not require a reserve as the loan was deemed to be recoverable.

•Credit card lending commitments included $60.66 billion as of September 2022 and $33.97 billion as of December 2021 related to credit card lines issued by the firm to consumers. These credit card lines are cancellable by the firm. The increase in credit card lending commitments from December 2021 to September 2022 reflected approximately $15.0 billion relating to the firm’s acquisition of the General Motors co-branded credit card portfolio. In addition, credit card lending commitments as of December 2021 included a commitment of approximately $2.0 billion to acquire the outstanding credit card loans related to the General Motors co-branded credit card portfolio. See Note 18 for further information about lending commitments.

•The increase in installment lending commitments from December 2021 to September 2022 primarily relates to commitments extended in connection with point-of-sale financing. See Note 18 for further information about lending commitments.

The following is a description of the methodology used to calculate the allowance for credit losses:

Wholesale. The allowance for credit losses for wholesale loans and lending commitments that exhibit similar risk characteristics is measured using a modeled approach. These models determine the probability of default and loss given default based on various risk factors, including internal credit ratings, industry default and loss data, expected life, macroeconomic indicators, the borrower’s capacity to meet its financial obligations, the borrower’s country of risk and industry, loan seniority and collateral type. For lending commitments, the methodology also considers probability of drawdowns or funding. In addition, for loans backed by real estate, risk factors include the loan-to-value ratio, debt service ratio and home price index. The most significant inputs to the forecast model for wholesale loans and lending commitments include unemployment rates, GDP, credit spreads, commercial and industrial delinquency rates, short- and long-term interest rates, and oil prices.

The allowance for loan losses for wholesale loans that do not share similar risk characteristics, such as nonaccrual loans or loans in a TDR, is calculated using the present value of expected future cash flows discounted at the loan’s original effective rate, the observable market price of the loan or the fair value of the collateral.

Wholesale loans are charged off against the allowance for loan losses when deemed to be uncollectible.

Consumer. The allowance for credit losses for consumer loans that exhibit similar risk characteristics is calculated using a modeled approach which classifies consumer loans into pools based on borrower-related and exposure-related characteristics that differentiate a pool’s risk characteristics from other pools. The factors considered in determining a pool are generally consistent with the risk characteristics used for internal credit risk measurement and management and include key metrics, such as FICO credit scores, delinquency status, loan vintage and macroeconomic indicators. The most significant inputs to the forecast model for consumer loans include unemployment rates and delinquency rates. The expected life of revolving credit card loans is determined by modeling expected future draws and the timing and amount of repayments allocated to the funded balance. The firm also recognizes an allowance for credit losses on commitments to acquire loans. However, no allowance for credit losses is recognized on credit card lending commitments as they are cancellable by the firm.

The allowance for credit losses for consumer loans that do not share similar risk characteristics, such as loans in a TDR, is calculated using the present value of expected future cash flows discounted at the loan’s original effective rate.

Installment loans are charged off when they are 120 days past due. Credit card loans are charged off when they are 180 days past due.

Allowance for Credit Losses Rollforward

The table below presents information about the allowance for credit losses.


$ in millions	Wholesale			Consumer			Total
Three Months Ended September 2022
Allowance for loan losses
Beginning balance	$	2,458		$	2,104		$	4,562
Net (charge-offs)/recoveries	(43)			(129)			(172)
Provision	78			403			481
Other	(25)			—			(25)
Ending balance	$	2,468		$	2,378		$	4,846

Allowance ratio	1.7		%	12.6		%	2.9		%
Net charge-off ratio	0.1		%	2.9		%	0.4		%
Allowance for losses on lending commitments
Beginning balance	$	702		$	3		$	705
Provision	(10)			44			34
Ending balance	$	692		$	47		$	739

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

Nine Months Ended September 2022
Allowance for loan losses
Beginning balance	$	2,135		$	1,438		$	3,573
Net (charge-offs)/recoveries	(189)			(286)			(475)
Provision	551			1,226			1,777
Other	(29)			—			(29)
Ending balance	$	2,468		$	2,378		$	4,846

Allowance ratio	1.7		%	12.6		%	2.9		%
Net charge-off ratio	0.2		%	2.5		%	0.4		%
Allowance for losses on lending commitments
Beginning balance	$	589		$	187		$	776
Provision	106			(140)			(34)
Other	(3)			—			(3)
Ending balance	$	692		$	47		$	739

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

In the table above:

•For the nine months ended September 2021, other primarily represented the reduction to the allowance related to loans and lending commitments transferred to held for sale.

•The allowance ratio is calculated by dividing the allowance for loan losses by gross loans accounted for at amortized cost.

•The net charge-off ratio is calculated by dividing annualized net (charge-offs)/recoveries by average gross loans accounted for at amortized cost.

Forecast Model Inputs as of September 2022

When modeling expected credit losses, the firm employs a weighted, multi-scenario forecast, which includes baseline, adverse and favorable economic scenarios. As of September 2022, this multi-scenario forecast was weighted towards the baseline and adverse economic scenarios, consistent with the second quarter of 2022.

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 September 2022
U.S. unemployment rate
Forecast for the quarter ended:
December 2022	3.8	%
June 2023	4.0	%
December 2023	4.1	%

Growth in U.S. GDP
Forecast for the year:
2022	1.5	%
2023	0.8	%
2024	1.5	%

The adverse economic scenario of the forecast model reflects a global recession in the fourth quarter of 2022 through the second half of 2023 resulting in an economic contraction, decline in consumer spending and rising unemployment rates. In this scenario, the U.S. unemployment rate peaks at approximately 7.4% during the fourth quarter of 2023 and the maximum decline in the quarterly U.S. GDP relative to the third quarter of 2022 is approximately 2.1%, which occurs during the third quarter of 2023.

In the table above:

•U.S. unemployment rate represents the rate forecasted as of the respective quarter-end.

•Growth in U.S. GDP represents the year-over-year growth rate forecasted for the respective years.

•While the U.S. unemployment and U.S. GDP growth rates are significant inputs to the forecast model, the model contemplates a variety of other inputs across a range of scenarios to provide a forecast of future economic conditions. Given the complex nature of the forecasting process, no single economic variable can be viewed in isolation and independently of other inputs.

Allowance for Credit Losses Commentary

Three Months Ended September 2022. The allowance for credit losses increased by $318 million during the three months ended September 2022, reflecting growth in the firm's consumer lending portfolio (principally in credit cards) and higher modeled expected losses due to broad macroeconomic concerns.

Net (charge-offs)/recoveries for the three months ended September 2022 for wholesale loans were primarily related to corporate loans and net (charge-offs)/recoveries for consumer loans were primarily related to credit cards.

Nine Months Ended September 2022. The allowance for credit losses increased by $1.24 billion during the nine months ended September 2022, reflecting growth in the firm's consumer lending portfolio (principally in credit cards) and higher modeled expected losses due to broad macroeconomic and geopolitical concerns.

Net (charge-offs)/recoveries for the nine months ended September 2022 for wholesale loans were primarily related to corporate loans and net (charge-offs)/recoveries for consumer loans were primarily related to credit cards.

Three Months Ended September 2021. The allowance for credit losses increased by $72 million during the three months ended September 2021, reflecting growth in the firm’s lending portfolios, primarily in consumer loans related to credit cards, partially offset by reserve reduction driven by improved broader economic conditions.

Net (charge-offs)/recoveries for the three months ended September 2021 for wholesale loans were primarily related to corporate loans and net (charge-offs)/recoveries for consumer loans were primarily related to credit cards.

Nine Months Ended September 2021. The allowance for credit losses decreased by $266 million during the nine months ended September 2021, reflecting reserve reduction driven by improved broader economic conditions, partially offset by growth in the firm’s wholesale and consumer lending portfolios, including a provision for credit losses of approximately $185 million related to the acquisition of the General Motors co-branded credit card portfolio.

Net (charge-offs)/recoveries for the nine months ended September 2021 for wholesale loans were primarily related to corporate loans and net (charge-offs)/recoveries for consumer loans were primarily related to credit cards.

Fair Value of Loans 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 2022
Loan Type
Corporate	$	—	$	1,101	$	743	$	1,844
Wealth management	—		4,474		63		4,537
Commercial real estate	—		432		845		1,277
Residential real estate	—		162		95		257
Other	—		23		312		335
Total	$	—	$	6,192	$	2,058	$	8,250
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

The gains/(losses) as a result of changes in the fair value of loans held for investment for which the fair value option was elected were $(168) million for the three months ended September 2022, $30 million for the three months ended September 2021, $(363) million for the nine months ended September 2022 and $223 million for the nine months ended September 2021. These gains/(losses) were included in other principal transactions.

Significant Unobservable Inputs

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 2022				As of December 2021
$ in millions	Amount or Range		Weighted Average		Amount or Range		Weighted Average
Corporate
Level 3 assets	$	743			$	837
Yield	2.0% to 25.0%		10.7	%	1.5% to 55.6%		14.9	%
Recovery rate	15.0% to 95.0%		43.6	%	15.0% to 92.0%		40.8	%
Duration (years)	0.3 to 3.5		2.6		0.9 to 6.8		2.7
Commercial real estate
Level 3 assets	$	845			$	983
Yield	1.4% to 27.0%		14.1	%	3.2% to 18.7%		12.6	%
Recovery rate	3.6% to 23.5%		16.8	%	4.1% to 99.5%		41.4	%
Duration (years)	0.3 to 4.8		2.1		0.4 to 4.0		1.7
Residential real estate
Level 3 assets	$	95			$	205
Yield	3.8% to 17.0%		13.8	%	2.1% to 20.0%		16.1	%
Duration (years)	0.3 to 7.3		2.4		0.1 to 2.4		1.0
Wealth management and other
Level 3 assets	$	375			$	329
Yield	5.7% to 13.0%		8.7	%	3.6% to 18.7%		7.1	%
Duration (years)	2.9 to 5.4		3.9		2.9 to 5.5		3.6

In the table above:

•Ranges represent the significant unobservable inputs that were used in the valuation of each type of loan.

•Weighted averages are calculated by weighting each input by the relative fair value of the loan.

•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 loan. For example, the highest yield for residential real estate loans is appropriate for valuing a specific residential real estate loan but may not be appropriate for valuing any other residential real estate loan. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 loans.

•Increases in yield or duration used in the valuation of level 3 loans would have resulted in a lower fair value measurement, while increases in recovery rate 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 loan, the interrelationship of inputs is not necessarily uniform within each product type.

•Loans are valued using discounted cash flows.

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	2022		2021		2022		2021
Beginning balance	$	2,347	$	2,229	$	2,354	$	2,678
Net realized gains/(losses)	17		23		89		72
Net unrealized gains/(losses)	(89)		(16)		(217)		(31)
Purchases	7		74		212		140
Sales	(18)		(13)		(61)		(17)
Settlements	(156)		(181)		(429)		(555)
Transfers into level 3	141		93		272		181
Transfers out of level 3	(191)		(10)		(162)		(269)
Ending balance	$	2,058	$	2,199	$	2,058	$	2,199

In the table above:

•Changes in fair value are presented for loans that are classified in level 3 as of the end of the period.

•Net unrealized gains/(losses) relates to loans that were still held at period-end.

•Purchases includes originations and secondary purchases.

•Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a loan was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3.

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	2022		2021		2022		2021
Corporate
Beginning balance	$	958	$	852	$	837	$	929
Net realized gains/(losses)	9		11		21		21
Net unrealized gains/(losses)	(10)		(16)		(31)		(24)
Purchases	7		17		121		63
Sales	(18)		(13)		(53)		(13)
Settlements	(78)		(81)		(141)		(208)
Transfers into level 3	41		15		78		103
Transfers out of level 3	(166)		(10)		(89)		(96)
Ending balance	$	743	$	775	$	743	$	775

Commercial real estate
Beginning balance	$	891	$	920	$	983	$	1,104
Net realized gains/(losses)	6		9		47		33
Net unrealized gains/(losses)	(70)		11		(149)		(15)
Purchases	—		—		69		19
Sales	—		—		(7)		(3)
Settlements	(57)		(82)		(162)		(227)
Transfers into level 3	100		78		109		78
Transfers out of level 3	(25)		—		(45)		(53)
Ending balance	$	845	$	936	$	845	$	936

Residential real estate
Beginning balance	$	116	$	118	$	205	$	260
Net realized gains/(losses)	1		3		—		6
Net unrealized gains/(losses)	(9)		1		(18)		(36)
Purchases	—		57		4		58
Sales	—		—		(1)		(1)
Settlements	(13)		(13)		(87)		(45)
Transfers into level 3	—		—		19		—
Transfers out of level 3	—		—		(27)		(76)
Ending balance	$	95	$	166	$	95	$	166

Wealth management and other
Beginning balance	$	382	$	339	$	329	$	385
Net realized gains/(losses)	1		—		21		12
Net unrealized gains/(losses)	—		(12)		(19)		44
Purchases	—		—		18		—
Settlements	(8)		(5)		(39)		(75)
Transfers into level 3	—		—		66		—
Transfers out of level 3	—		—		(1)		(44)
Ending balance	$	375	$	322	$	375	$	322

Level 3 Rollforward Commentary

Three Months Ended September 2022. The net realized and unrealized losses on level 3 loans of $72 million (reflecting $17 million of net realized gains and $89 million of net unrealized losses) for the three months ended September 2022 included gains/(losses) of $(83) million reported in other principal transactions and $11 million reported in interest income.

The drivers of net unrealized losses on level 3 loans for the three months ended September 2022 were not material.

Transfers into level 3 loans during the three months ended September 2022 primarily reflected transfers of certain loans backed by commercial real estate 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 loans during the three months ended September 2022 primarily reflected transfers of certain corporate loans to level 2 (principally due to certain unobservable yield 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 loans of $128 million (reflecting $89 million of net realized gains and $217 million of net unrealized losses) for the nine months ended September 2022 included gains/(losses) of $(148) million reported in other principal transactions and $20 million reported in interest income.

The net unrealized losses on level 3 loans for the nine months ended September 2022 primarily reflected losses on certain loans backed by commercial real estate (principally due to the impact of an increase in interest rates).

Transfers into level 3 loans during the nine months ended September 2022 primarily reflected transfers of certain loans backed by commercial real estate and corporate loans 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 loans during the nine months ended September 2022 primarily reflected transfers of certain corporate loans to level 2 (principally due to certain unobservable yield 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 loans of $7 million (reflecting $23 million of net realized gains and $16 million of net unrealized losses) for the three months ended September 2021 included gains/(losses) of $(7) million reported in other principal transactions and $14 million reported in interest income.

The drivers of net unrealized losses on level 3 loans for the three months ended September 2021 were not material.

The drivers of both the transfers into level 3 loans and transfers out of level 3 loans during the three months ended September 2021 were not material.

Nine Months Ended September 2021. The net realized and unrealized gains on level 3 loans of $41 million (reflecting $72 million of net realized gains and $31 million of net unrealized losses) for the nine months ended September 2021 included gains of $15 million reported in other principal transactions and $26 million reported in interest income.

The drivers of net unrealized losses on level 3 loans for the nine months ended September 2021 were not material.

Transfers into level 3 loans during the nine months ended September 2021 primarily reflected transfers of certain corporate loans 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 loans during the nine months ended September 2021 primarily reflected transfers of certain corporate loans and loans backed by residential real estate to level 2 (in each case, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments).

Estimated 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			Level 2		Level 3		Total
As of September 2022
Amortized cost	$	161,619	$	85,846	$	77,386	$	163,232
Held for sale	$	6,800	$	3,589	$	3,221	$	6,810
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

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 loans.