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Trading Cash Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Text Block [Abstract]  
Cash Instruments by Level
The table below presents trading cash instruments by level within the fair value hierarchy.
 
                                 
$ in millions
   
Level 1
     
Level 2
     
Level 3
     
Total
 
As of December 2019
  
 
 
    
     
     
 
Assets
 
 
 
    
     
     
 
Government and agency obligations:
 
 
 
    
     
     
 
U.S.
  
 
$108,200
 
  
 
$ 34,714
 
  
 
$     21
 
  
 
$142,935
 
Non-U.S.
 
 
33,709
 
  
 
11,108
 
  
 
22
 
  
 
44,839
 
Loans and securities backed by:
 
 
 
  
 
 
  
 
 
  
 
 
Commercial real estate
 
 
–
 
  
 
2,031
 
  
 
191
 
  
 
2,222
 
Residential real estate
 
 
–
 
  
 
5,794
 
  
 
231
 
  
 
6,025
 
Corporate debt instruments
 
 
1,313
 
  
 
26,768
 
  
 
692
 
  
 
28,773
 
State and municipal obligations
 
 
–
 
  
 
680
 
  
 
–
 
  
 
680
 
Other debt obligations
 
 
409
 
  
 
1,074
 
  
 
10
 
  
 
1,493
 
Equity securities
 
 
78,782
 
  
 
489
 
  
 
75
 
  
 
79,346
 
Commodities
 
 
–
 
  
 
3,767
 
  
 
–
 
  
 
3,767
 
Total
  
 
$222,413
 
  
 
$ 86,425
 
  
 
$1,242
 
  
 
$310,080
 
 
Liabilities
 
 
 
    
     
     
 
Government and agency obligations:
 
 
 
    
     
     
 
U.S.
  
 
$  
 
(9,914
)
  
 
$
 
      (47
)
  
 
$      
  
–
 
  
 
$ 
  
(9,961
)
Non-U.S.
 
 
(21,213
)
 
 
(2,205
)
 
 
(6
)
 
 
(23,424
)
Loans and securities backed by:
 
 
 
  
 
 
  
 
 
  
 
 
Commercial real estate
 
 
–
 
  
 
(31
)
 
 
(1
)
 
 
(32
)
Residential real estate
 
 
–
 
  
 
(2
)
 
 
–
 
  
 
(2
)
Corporate debt instruments
 
 
(115
)
 
 
(7,494
)
 
 
(253
)
 
 
(7,862
)
State and municipal obligations
 
 
–
 
  
 
(2
)
 
 
–
 
  
 
(2
)
Equity securities
 
 
(23,519
)
 
 
(212
)
 
 
(13
)
 
 
(23,744
)
Commodities
 
 
–
 
  
 
(6
)
 
 
–
 
  
 
(6
)
Total
 
 
$
 
(54,761
)
 
 
$
  
(9,999
)
 
 
$
  
(273
)
 
 
$
 
(65,033
)
 
As of December 2018
  
 
 
    
     
     
 
Assets
 
 
 
    
     
     
 
Government and agency obligations:
 
 
 
    
     
     
 
U.S.
    
$  70,220
      
$ 28,327
      
$     25
      
$  98,572
  
Non-U.S.
   
33,231
     
10,322
     
10
     
43,563
 
Loans and securities backed by:
   
     
     
     
 
Commercial real estate
   
–
     
1,260
     
332
     
1,592
 
Residential real estate
   
–
     
4,545
     
348
     
4,893
 
Corporate debt instruments
   
445
     
22,431
     
912
     
23,788
 
State and municipal obligations
   
–
     
1,210
     
–
     
1,210
 
Other debt obligations
   
770
     
1,180
     
39
     
1,989
 
Equity securities
   
52,531
     
3,459
     
23
     
56,013
 
Commodities
   
–
     
3,729
     
–
     
3,729
 
Total
    
$157,197
      
$ 76,463
      
$1,689
      
$235,349
  
Liabilities
   
     
     
     
 
Government and agency obligations:
   
     
     
     
 
U.S.
    
$  
 
(5,067
 )    
$       (13
 )    
$      
  
–
      
$  
 
(5,080
 )
Non-U.S.
   
(23,872
 )    
(1,475
 )    
–
     
(25,347
 )
Loans and securities backed by:
   
     
     
     
 
Residential real estate
 
 
–
 
    
(1
 )    
–
     
(1
 )
Corporate debt instruments
   
(4
 )    
(10,454
 )    
(31
 )    
(10,489
 )
Other debt obligations
   
–
     
(1
 )    
–
     
(1
 )
Equity securities
   
(25,147
 )    
(220
 )    
(18
 )    
(25,385
 )
Total
    
$
 
(54,090
 )    
$(12,164
 )    
$    (49
 )    
$
 
(66,303
 )
In the table above:
 
•
 Trading cash instrument assets are shown as positive amounts and trading cash instrument liabilities are shown as negative amounts.
 
•
 Corporate debt instruments includes corporate loans, debt securities, convertible debentures, prepaid commodity transactions and transfers of assets accounted for as secured loans rather than purchases.
 
•
 Equity securities includes public equities and exchange-traded funds.
 
•
 Other debt obligations includes other asset-backed securities and money market instruments.
Fair Value, Cash Instruments, Measurement Inputs, Disclosure
The table below presents the amount of level 3 assets, and ranges and weighted averages of significant unobservable inputs used to value level 3 trading cash instruments.
 
       
  
Level 3 Assets and Range of Significant Unobservable
Inputs (Weighted Average) as of December
  
                 
$ in millions
 
 
2019
 
    
2018
 
Loans and securities backed by commercial real estate
 
Level 3 assets
 
 
$191
 
    
$332
 
Yield
 
 
2.7% to 21.7% (13.5%
)
   
6.9% to 22.5% (14.2%
 )
Recovery rate
 
 
11.4% to 81.1% (55.6%
)
 
    
17.0% to 78.4% (53.0%
 )
Duration (years)
 
 
0.3 to 6.6 (2.8
)
   
0.4 to 7.1 (3.3
 )
Loans and securities backed by residential real estate
 
Level 3 assets
 
 
$231
 
    
$348
 
Yield
 
 
1.2% to 12.0% (5.8%
)
 
    
2.8% to 11.8% (5.9%
 )
Cumulative loss rate
 
 
5.4% to 30.4% (16.3%
)
 
    
8.3% to 37.7% (15.3%
 )
Duration (years)
 
 
2.3 to 12.4 (5.7
)
   
1.5 to 14.0 (8.6
 )
Corporate debt instruments
 
Level 3 assets
 
 
$692
 
    
$912
 
Yield
 
 
0.1% to 20.4% (7.2%
)
 
    
0.7% to 17.3% (8.4%
 )
Recovery rate
 
 
0.0% to 69.7% (54.9%
)
 
    
0.0% to 75.0% (61.2%
 )
Duration (years)
 
 
1.7 to 16.6 (5.1
)
 
    
0.4 to 13.5 (3.6
 )
In the table above:
 
•
 Ranges represent the significant unobservable inputs that were used in the valuation of each type of trading cash instrument.
 
•
 Weighted averages are calculated by weighting each input by the relative fair value of the trading cash instruments.
•
 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 trading cash instrument. For example, the highest recovery rate for corporate debt instruments is appropriate for valuing a specific corporate debt instrument, but may not be appropriate for valuing any other corporate debt instrument. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 trading cash instruments.
 
•
 Increases in yield, duration or cumulative loss rate used in the valuation of level 3 trading cash instruments 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 December 2019 and December 2018. Due to the distinctive nature of each level 3 trading cash instrument, the interrelationship of inputs is not necessarily uniform within each product type.
 
•
 Trading cash instruments are valued using discounted cash flows.
Cash Instruments, Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 trading cash instruments.
 
       
  
Year Ended December
 
                 
$ in millions
 
 
2019
 
    
2018
 
Total trading cash instrument assets
 
 
 
    
 
Beginning balance
 
 
$1,689
 
    
$1,213
 
Net realized gains/(losses)
 
 
89
 
    
188
 
Net unrealized gains/(losses)
 
 
(35
)
   
(89
 )
Purchases
 
 
522
 
    
831
 
Sales
 
 
(885
)
   
(607
 )
Settlements
 
 
(252
)
   
(423
 )
Transfers into level 3
 
 
256
 
    
698
 
Transfers out of level 3
 
 
(142
)
   
(122
 )
Ending balance
 
 
$1,242
 
    
$1,689
 
Total trading cash instrument liabilities
 
 
 
    
 
Beginning balance
 
 
$  
  
(49
)
   
$    (68
 )
Net realized gains/(losses)
 
 
10
 
    
6
 
Net unrealized gains/(losses)
 
 
(236
)
   
(7
 )
Purchases
 
 
56
 
    
41
 
Sales
 
 
(35
)
   
(26
 )
Settlements
 
 
–
 
    
8
 
Transfers into level 3
 
 
(24
)
   
(7
 )
Transfers out of level 3
 
 
5
 
    
4
 
Ending balance
 
 
$
  
(273
)
   
$    (49
 )
In the table above:
 
•
 Changes in fair value are presented for all trading cash instruments that are classified in level 3 as of the end of the period.
 
•
 Net unrealized gains/(losses) relates to trading cash instruments 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 a trading cash instrument 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 trading cash instrument assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 trading cash instrument liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts.
 
•
 Level 3 trading cash instruments are frequently economically hedged with level 1 and level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.
The table below presents information, by product type, for assets included in the summary table above.
 
                 
       
 
Year Ended December
 
                 
$ in millions
 
 
2019
 
    
2018
 
Loans and securities backed by commercial real estate
 
Beginning balance
 
 
$ 332
 
    
$ 260
 
Net realized gains/(losses)
 
 
5
 
    
28
 
Net unrealized gains/(losses)
 
 
(17
)
   
(28
 )
Purchases
 
 
49
 
    
119
 
Sales
 
 
(153
)
   
(122
 )
Settlements
 
 
(48
)
   
(76
 )
Transfers into level 3
 
 
37
 
    
156
 
Transfers out of level 3
 
 
(14
)
   
(5
 )
Ending balance
 
 
$ 191
 
    
$ 332
 
Loans and securities backed by residential real estate
 
Beginning balance
 
 
$ 348
 
    
$ 436
 
Net realized gains/(losses)
 
 
14
 
    
28
 
Net unrealized gains/(losses)
 
 
28
 
    
29
 
Purchases
 
 
111
 
    
109
 
Sales
 
 
(223
)
   
(205
 )
Settlements
 
 
(37
)
   
(85
 )
Transfers into level 3
 
 
19
 
    
99
 
Transfers out of level 3
 
 
(29
)
   
(63
 )
Ending balance
 
 
$ 231
 
    
$ 348
 
Corporate debt instruments
 
 
 
    
 
Beginning balance
 
 
$ 912
 
    
$ 450
 
Net realized gains/(losses)
 
 
58
 
    
126
 
Net unrealized gains/(losses)
 
 
(27
)
   
(96
 )
Purchases
 
 
291
 
    
559
 
Sales
 
 
(458
)
   
(246
 )
Settlements
 
 
(134
)
   
(231
 )
Transfers into level 3
 
 
142
 
    
395
 
Transfers out of level 3
 
 
(92
)
   
(45
 )
Ending balance
 
 
$ 692
 
    
$ 912
 
Other
 
 
 
    
 
Beginning balance
 
 
$   97
 
    
$   67
 
Net realized gains/(losses)
 
 
12
 
    
6
 
Net unrealized gains/(losses)
 
 
(19
)
   
6
 
Purchases
 
 
71
 
    
44
 
Sales
 
 
(51
)
   
(34
 )
Settlements
 
 
(33
)
   
(31
 )
Transfers into level 3
 
 
58
 
    
48
 
Transfers out of level 3
 
 
(7
)
   
(9
 )
Ending balance
 
 
$ 128
 
    
$   97