The following is a description of the loan types in the table above:

•

Corporate.

Corporate loans includes term loans, revolving lines of credit, letter of credit facilities and bridge loans, and are principally used for operating and general corporate purposes, or in connection with acquisitions. Corporate loans may be secured or unsecured, depending on the loan purpose, the risk profile of the borrower and other factors.

•

Wealth Management.

Wealth management loans includes loans extended to private bank clients, including wealth management and other clients. These loans are used to finance investments in both financial and nonfinancial assets, bridge cash flow timing gaps or provide liquidity for other needs. Substantially all of such loans are secured by securities, residential real estate, commercial real estate or other assets.

•

Commercial Real Estate.

Commercial real estate loans includes loans extended by the firm (other than to private bank clients) that are directly or indirectly secured by hotels, retail stores, multifamily housing complexes and commercial and industrial properties. Commercial real estate loans also includes loans extended to clients who warehouse assets that are directly or indirectly backed by commercial real estate. In addition, commercial real estate includes loans purchased by the firm.

•	Residential Real Estate. Residential real estate loans primarily includes loans extended by the firm to clients (other than private bank clients) who warehouse assets that are directly or indirectly secured by residential real estate and loans purchased by the firm.

•	Installment. Installment loans are unsecured and are originated by the firm.

•	Credit Cards. Credit card loans are loans made pursuant to revolving lines of credit issued to consumers by the firm.

•	Other. Other loans primarily includes loans extended to clients who warehouse assets that are directly or indirectly secured by consumer loans, including auto loans and private student loans. Other loans also includes unsecured consumer and credit card loans purchased by the firm.

Loans accounted for at amortized cost included PCI loans with a carrying value of $1.62 billion (outstanding principal balance of $3.23 billion and accretable yield of $220 million) as of December 2019, which were secured by commercial and residential real estate. In January 2020, the firm elected the fair value option for these PCI loans in accordance with ASU No.

2016-13.

These loans were primarily transferred to trading assets. See Note 3 for further information about adoption of this ASU.

Credit Quality

Risk Assessment.

The firm’s risk assessment process includes evaluating the credit quality of its loans. For corporate loans and a majority of wealth management, real estate and other loans, the firm performs credit reviews which include initial and ongoing analyses of its borrowers, resulting in an internal credit rating. A credit review is an independent analysis of the capacity and willingness of a borrower to meet its financial obligations and is performed on an annual basis or more frequently if circumstances change that indicate that a review may be necessary. The determination of internal credit ratings also incorporates assumptions with respect to the nature of and outlook for the borrower’s industry and the economic environment.

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/ Unrated	Total
As of March 2020
Accounting Method
Amortized cost	$40,637	$64,397	$ 9,301	$114,335
Fair value	2,386	4,640	6,803	13,829
Held for sale	257	2,044	856	3,157
Total	$43,280	$71,081	$16,960	$131,321
Loan Type
Corporate	$18,972	$49,050	$ 508	$ 68,530
Wealth management	20,393	4,275	4,349	29,017
Real estate:
Commercial	478	14,179	2,173	16,830
Residential	259	2,875	1,279	4,413
Consumer:
Installment	–	–	4,826	4,826
Credit cards	–	–	2,081	2,081
Other	3,178	702	1,744	5,624
Total	$43,280	$71,081	$16,960	$131,321
Secured	67%	90%	54%	78%
Unsecured	33%	10%	46%	22%
Total	100%	100%	100%	100%
As of December 2019
Accounting Method
Amortized cost	$30,266	$51,222	$ 9,148	$ 90,636
Fair value	2,844	5,174	6,368	14,386
Held for sale	323	4,368	632	5,323
Total	$33,433	$60,764	$16,148	$110,345
Loan Type
Corporate	$10,507	$35,509	$ 291	$ 46,307
Wealth management	20,001	3,576	4,363	27,940
Real estate:
Commercial	306	15,997	1,440	17,743
Residential	244	4,600	2,114	6,958
Consumer:
Installment	–	–	4,747	4,747
Credit cards	–	–	1,858	1,858
Other	2,375	1,082	1,335	4,792
Total	$33,433	$60,764	$16,148	$110,345
Secured	83%	91%	54%	83%
Unsecured	17%	9%	46%	17%
Total	100%	100%	100%	100%

In the table above:

•

Substantially all of the other/unrated wealth management loans consists of loans backed by residential real estate, and real estate and other loans primarily consists of purchased real estate

backed, consumer and credit card 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 and other risk factors.

•

Installment and credit card loans represent loans originated by the firm. An important credit-quality indicator for such loans is the FICO credit score, which measures a borrower’s creditworthiness by considering factors such as payment and credit history. FICO credit scores are refreshed by the firm to assess the updated creditworthiness of the borrower.

The table below presents gross installment and credit card loans and the concentration by refreshed FICO credit score.



	As of

$ in millions		March 2020	December 2019
Installment, gross		$4,826	$4,747
Credit cards, gross		2,081	1,858
Total		$6,907	$6,605
Refreshed FICO credit score
Greater than or equal to 660		82%	85%
Less than 660		18%	15%
Total		100%	100%

In March 2020, in response to the global outbreak of the coronavirus (COVID-19) pandemic, the firm announced a customer assistance program providing borrowers of installment and credit card loans the flexibility to defer a payment for up to two months at no cost. The impact of this program was not material to the firm’s results for the three months ended March 2020.

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 91% of loans as of both March 2020 and December 2019 that were rated pass/non-criticized.

Vintage.

The table below presents gross loans accounted for at amortized cost (excluding originated installment and credit card loans) by an internally determined public rating agency equivalent or other credit metrics and by origination year for term loans.



	As of March 2020

$ in millions		Investment- Grade	Non-Investment- Grade	Other/ Unrated	Total

2020		$ 1,151	$ 2,522	$ –	$ 3,673
2019		1,648	8,081	18	9,747
2018		2,383	4,277	–	6,660
2017		883	3,977	–	4,860
2016		165	1,626	–	1,791
2015 or earlier		435	2,648	–	3,083
Revolving		11,617	22,240	26	33,883
Corporate		$18,282	$45,371	$ 44	$ 63,697
2020		$ 172	$ 45	$ –	$ 217
2019		532	398	–	930
2018		393	90	–	483
2017		400	75	–	475
2016		30	65	–	95
2015 or earlier		540	208	–	748
Revolving		16,663	1,557	15	18,235
Wealth management		$18,730	$ 2,438	$ 15	$ 21,183
2020		$ –	$ 632	$ 64	$ 696
2019		57	1,870	27	1,954
2018		195	2,484	19	2,698
2017		18	1,718	25	1,761
2016		–	180	12	192
2015 or earlier		–	589	691	1,280
Revolving		–	5,584	–	5,584
Commercial real estate		$ 270	$13,057	$ 838	$ 14,165
2020		$ –	$ 92	$ 18	$ 110
2019		–	707	251	958
2018		–	169	316	485
2017		179	95	169	443
2016		–	524	–	524
2015 or earlier		–	–	70	70
Revolving		79	1,242	–	1,321
Residential real estate		$ 258	$ 2,829	$ 824	$ 3,911
2020		$ –	$ 22	$ 480	$ 502
2019		–	45	57	102
2018		–	53	13	66
2017		–	19	5	24
2016		–	1	–	1
Revolving		3,097	562	118	3,777
Other		$ 3,097	$ 702	$ 673	$ 4,472
Total		$40,637	$64,397	$2,394	$107,428

In the table above, revolving loans which converted to term loans were not material as of March 2020.

The table below presents gross originated installment loans by origination year and credit card revolving loans.



$ in millions							As of March 2020
2020							$ 723
2019							2,043
2018							1,686
2017							355
2016							19
Revolving							2,081
Total							$6,907

Credit Concentrations.

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



$ in millions	Carrying Value	Americas	EMEA	Asia	Total
As of March 2020
Corporate	$ 68,530	67%	26%	7%	100%
Wealth management	29,017	88%	9%	3%	100%
Commercial real estate	16,830	69%	21%	10%	100%
Residential real estate	4,413	87%	11%	2%	100%
Consumer:
Installment	4,826	100%	–	–	100%
Credit cards	2,081	100%	–	–	100%
Other	5,624	87%	12%	1%	100%
Total	$131,321	75%	19%	6%	100%
As of December 2019
Corporate	$ 46,307	60%	31%	9%	100%
Wealth management	27,940	88%	9%	3%	100%
Commercial real estate	17,743	69%	21%	10%	100%
Residential real estate	6,958	90%	9%	1%	100%
Consumer:
Installment	4,747	100%	–	–	100%
Credit cards	1,858	100%	–	–	100%
Other	4,792	87%	12%	1%	100%
Total	$110,345	73%	21%	6%	100%

The table below presents the concentration of gross corporate loans by industry.



	As of

$ in millions		March 2020	December 2019
Corporate, gross		$68,530	$46,307
Industry
Consumer, Retail & Healthcare		17%	15%
Diversified Industrials		22%	17%
Financial Institutions		9%	10%
Funds		6%	9%
Natural Resources & Utilities		11%	12%
Real Estate		8%	7%
Technology, Media & Telecommunications		18%	17%
Other (including Special Purpose Vehicles)		9%	13%
Total		100%	100%

The table below presents the firm’s credit exposure from originated installment and credit card loans and the concentration by the five most concentrated U.S. states.



	As of

$ in millions		March 2020	December 2019
Installment		$4,826	$4,747
California		12%	12%
Texas		9%	9%
New York		7%	7%
Florida		7%	7%
Illinois		4%	4%
Other		61%	61%
Total		100%	100%
Credit Cards		$2,081	$1,858
California		20%	21%
Texas		9%	9%
New York		8%	8%
Florida		8%	8%
Illinois		4%	4%
Other		51%	50%
Total		100%	100%

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 also modify the original terms of a loan agreement by granting a concession to a borrower experiencing financial difficulty. Such modifications are considered troubled debt restructurings and typically include interest rate reductions, payment extensions and modification of loan covenants.

The table below presents information about past due loans.



$ in millions	30-89 days	90 days or more	Total
As of March 2020
Corporate	$ 66	$172	$ 238
Wealth management	20	16	36
Commercial real estate	127	91	218
Residential real estate	11	23	34
Consumer:
Installment	65	23	88
Credit cards	35	39	74
Other	11	1	12
Total	$ 335	$ 365	$ 700
Past due loans divided by gross loans at amortized cost			0.6%
As of December 2019
Corporate	$197	$ 42	$239
Wealth management	13	15	28
Commercial real estate	54	123	177
Residential real estate	19	18	37
Consumer:
Installment	71	29	100
Credit cards	35	4	39
Other	6	1	7
Total	$395	$232	$627
Past due loans divided by gross loans at amortized cost			0.7%

The table below presents information about nonaccrual loans.



	As of

$ in millions		March 2020	December 2019
Corporate		$1,622	$1,122
Wealth management		53	52
Commercial real estate		155	175
Residential real estate		156	143
Installment		35	38
Total		$2,021	$1,530
Nonaccrual loans divided by gross loans at amortized cost		1.8%	1.7%

In the table above:

•	Nonaccrual loans included $502 million as of March 2020 and $429 million as of December 2019 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 March 2020 and December 2019.

•

Nonaccrual loans included $302 million as of March 2020 and $251 million as of December 2019 of corporate loans that were modified in a troubled debt restructuring. The firm’s lending commitments related to these loans were not material as of both March 2020 and December 2019. Installment loans that were modified in a troubled debt restructuring were not material as of both March 2020 and December 2019.

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.

The firm adopted ASU No. 2016-13 in January 2020, which replaced the incurred credit loss model for recognizing credit losses with the CECL model. As a result, the firm’s allowance for credit losses effective January 2020 reflects management’s estimate of credit losses over the remaining expected life of such loans and also considers forecasts of future economic conditions. Prior to January 2020, the allowance for credit losses reflected probable incurred credit losses. See Note 3 for further information about the adoption of CECL.

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. Prior to January 2020, the firm also had PCI loans which were classified as a separate portfolio. 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 asset-specific basis for loans that do not share similar risk characteristics.

Under CECL, the allowance for loan losses takes into account the weighted average of a range of forecasts of future economic conditions over the expected life of the loan. These forecasts include baseline, favorable and adverse economic scenarios. The allowance for loan losses also includes qualitative components which allow management to reflect the uncertain nature of economic forecasting and account for model imprecision.

Management’s estimate of loan losses entails judgment about loan collectability at the reporting dates, and there are uncertainties inherent in those judgments. 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

	March 2020			December 2019

$ in millions		Loans	Lending Commitments		Loans	Lending Commitments
Wholesale
Corporate		$ 63,697	$107,403		$41,129	$127,226
Wealth management		21,183	2,441		20,116	2,198
Commercial real estate		14,165	2,886		12,803	3,207
Residential real estate		3,911	1,293		4,965	759
Other		4,472	3,021		3,396	3,029
Consumer
Installment		4,826	10		4,747	12
Credit cards		2,081	16,447		1,858	13,669
PCI		–	–		1,622	–
Total		$114,335	$133,501		$90,636	$150,100

In the table above, wholesale loans included $1.99 billion as of March 2020 and $1.49 billion as of December 2019 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 $327 million as of March 2020 and $207 million as of December 2019. These loans included $543 million as of March 2020 and $754 million as of December 2019 of loans which did not require a reserve as the loan was deemed to be recoverable.

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 on a collective basis and is calculated 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, contractual maturity, current 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. Under CECL, the allowance for loan losses for wholesale loans also takes into account the weighted average of a range of forecasts of future macroeconomic indicators over the expected life of the loan for a period of three years before reverting to historical average probability of default using a non-linear modeled approach. Key macroeconomic inputs to the forecast model include regional GDP, unemployment rates, credit spreads, commercial and industrial delinquency rates and commodities prices. In addition, the allowance for loan losses includes a qualitative component.

The allowance for loan losses for wholesale loans that do not share similar risk characteristics, such as nonaccrual loans or loans in a troubled debt restructuring, is measured on an asset-specific basis and 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 measured on a collective basis and is calculated using a modeled approach. These models classify 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. Under CECL, the allowance for loan losses for consumer loans also takes into account the weighted average of a range of forecasts of future macroeconomic conditions, such as GDP and unemployment rates, to predict FICO scores and delinquency status migration over the expected life of a loan for a period of three years. For loans with maturities extending beyond three years, the model reverts to historical average loss rates using a non-linear modeled approach. In addition, the allowance for loan losses includes a qualitative component.

The allowance for credit losses for consumer loans in a troubled debt restructuring 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.

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.

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



$ in millions	Wholesale		Consumer		PCI		Total
Three Months Ended March 2020
Allowance for loan losses
Beginning balance, reported	$ 879		$ 393		$ 169		$1,441
Impact of CECL adoption	452		444		(169	)	727
Beginning balance, adjusted	1,331		837		–		2,168
Net charge-offs	(50	)	(81	)	–		(131	)
Provision	746		169		–		915
Other	(84	)	–		–		(84	)
Ending balance	$1,943		$ 925		$ –		$2,868
Allowance for losses on lending commitments
Beginning balance, reported	$ 361		$ –		$ –		$ 361
Impact of CECL adoption	(48	)	–		–		(48	)
Beginning balance, adjusted	313		–		–		313
Provision	22		–		–		22
Ending balance	$ 335		$ –		$ –		$ 335
Year Ended December 2019
Allowance for loan losses
Beginning balance	$ 658		$ 292		$ 116		$1,066
Net charge-offs	(121	)	(317	)	(52	)	(490	)
Provision	469		418		103		990
Other	(127	)	–		2		(125	)
Ending balance	$ 879		$ 393		$ 169		$1,441
Allowance for losses on lending commitments
Beginning balance	$ 286		$ –		$ –		$ 286
Provision	75		–		–		75
Ending balance	$ 361		$ –		$ –		$ 361

In the table above:

•

The impact of CECL adoption for wholesale and consumer loans is driven by the fact that the allowance under CECL covers expected credit losses over the full expected life of the loan portfolios and also considers forecasts of expected future economic conditions. The impact of CECL adoption for PCI loans was as a result of the firm electing to apply the fair value option for such loans.

•

Net charge-offs for wholesale loans were primarily related to corporate loans for both the three months ended March 2020 and the year ended December 2019. Net charge-offs for consumer loans were substantially all related to installment loans for both the three months ended March 2020 and the year ended December 2019.

•

The provision for credit losses for the three months ended March 2020 on wholesale loans was primarily related to corporate loans and was driven by growth in the firm’s wholesale loan portfolio, asset-specific provisions relating to borrowers in the oil and gas sector and the impact of the COVID-19 pandemic on the broader economic outlook. The provision for credit losses for wholesale loans was substantially all related to corporate loans for the year ended December 2019.

•	The provision for credit losses for the three months ended March 2020 on consumer loans was primarily related to seasoning of credit card loans. The provision for credit losses related to consumer loans was primarily related to installment loans for the year ended December 2019.

•	Other represents the reduction to the allowance related to loans and lending commitments transferred to held for sale.

•

The allowance

for loan losses for wholesale loans was 1.8% as of March 2020 and 1.1% as of December 2019 of total gross wholesale loans accounted for at amortized cost.

The allowance

for loan losses for consumer loans was 13.4% as of March 2020 and 6.0% as of December 2019 of total gross consumer loans accounted for at amortized cost.

•

The net charge-off

ratio for wholesale loans accounted for at amortized cost was 0.2% on an annualized basis for the three months ended March 2020 and 0.2% for the year ended December 2019.

The net charge-off ratio for consumer loans accounted for at amortized cost was

4.8% on an annualized basis for the three months ended March 2020 and 6.2% for the year ended December 2019.

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 March 2020
Loan Type
Corporate	$ –	$ 1,871	$1,044	$ 2,915
Wealth management	–	7,773	61	7,834
Commercial real estate	–	942	1,063	2,005
Residential real estate	–	214	260	474
Other	–	276	325	601
Total	$ –	$11,076	$2,753	$13,829
As of December 2019
Loan Type
Corporate	$ –	$ 2,472	$ 752	$ 3,224
Wealth management	–	7,764	60	7,824
Commercial real estate	–	1,285	591	1,876
Residential real estate	–	571	221	792
Other	–	404	266	670
Total	$ –	$12,496	$1,890	$14,386

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 $(27) million for the three months ended March 2020 and $102 million for the three months ended March 2019. These gains/(losses) were included in other principal transactions.

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.

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.



	Level 3 Assets and Range of Significant Unobservable Inputs (Weighted Average) as of

$ in millions		March 2020	December 2019
Corporate
Level 3 assets		$1,044	$752
Yield		3.1% to 26.3% (12.5%)	1.9% to 26.3% (9.5%)
Recovery rate		15.1% to 85.4% (40.6%)	13.5% to 78.0% (44.4%)
Duration (years)		1.7 to 4.3 (3.2)	3.7 to 5.8 (3.9)
Commercial real estate
Level 3 assets		$1,063	$591
Yield		7.0% to 26.3% (11.2%)	7.0% to 16.0% (9.3%)
Recovery rate		6.7% to 65.0% (29.5%)	5.9% to 85.2% (48.6%)
Duration (years)		0.3 to 5.9 (3.3)	0.2 to 5.3 (3.5)
Residential real estate
Level 3 assets		$260	$221
Yield		1.6% to 14.0% (11.9%)	1.1% to 14.0% (11.5%)
Duration (years)		1.0 to 5.2 (3.8)	1.1 to 4.8 (4.0)
Wealth management and other
Level 3 assets		$386	$326
Yield		2.7% to 11.5% (9.6%)	3.9% to 16.0% (9.9%)
Duration (years)		1.5 to 5.1 (3.2)	1.6 to 6.7 (3.7)

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 March 2020 and December 2019. 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 March

$ in millions		2020		2019
Beginning balance		$1,890		$1,990
Net realized gains/(losses)		27		26
Net unrealized gains/(losses)		(54	)	1
Purchases		473		44
Sales		(12	)	(3	)
Settlements		(221	)	(124	)
Transfers into level 3		653		170
Transfers out of level 3		(3	)	(35	)
Ending balance		$2,753		$2,069

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 March

$ in millions		2020		2019
Corporate
Beginning balance		$ 752		$659
Net realized gains/(losses)		10		2
Net unrealized gains/(losses)		(11	)	(14	)
Purchases		156		34
Sales		(7	)	–
Settlements		(40	)	(4	)
Transfers into level 3		187		81
Transfers out of level 3		(3	)	(32	)
Ending balance		$1,044		$726
Commercial real estate
Beginning balance		$ 591		$677
Net realized gains/(losses)		17		7
Net unrealized gains/(losses)		7		7
Purchases		236		1
Sales		(5	)	(2	)
Settlements		(115	)	(47	)
Transfers into level 3		332		–
Transfers out of level 3		–		(3	)
Ending balance		$1,063		$640
Residential real estate
Beginning balance		$ 221		$290
Net realized gains/(losses)		–		8
Net unrealized gains/(losses)		(17	)	(2	)
Purchases		42		9
Sales		–		(1	)
Settlements		(27	)	(30	)
Transfers into level 3		41		–
Ending balance		$ 260		$274
Wealth management and other
Beginning balance		$ 326		$364
Net realized gains/(losses)		–		9
Net unrealized gains/(losses)		(33	)	10
Purchases		39		–
Settlements		(39	)	(43	)
Transfers into level 3		93		89
Ending balance		$ 386		$429

Level 3 Rollforward Commentary

Three Months Ended March 2020.

The net realized and unrealized losses on level 3 loans of $27 million (reflecting $27 million of net realized gains and $54 million of net unrealized losses) for the three months ended March 2020 included gains/(losses) of $(44) million reported in other principal transactions and $17 million reported in interest income.

The drivers of the net unrealized losses on level 3 loans for the three months ended March 2020 were not material.

Transfers into level 3 loans during the three months ended March 2020 primarily reflected transfer of certain commercial real estate loans and 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.

The drivers of transfers out of level 3 loans during the three months ended March 2020 were not material.

Three Months Ended March 2019.

The net realized and unrealized gains on level 3 loans of $27 million (reflecting $26 million of net realized gains and $1 million of net unrealized gains) for the three months ended March 2019 included gains of $13 million reported in other principal transactions and $14 million reported in interest income.

The drivers of the net unrealized gains on level 3 loans for the three months ended March 2019 were not material.

The drivers of transfers into and out of

level 3 loans during the three months ended March 2019 were not material.

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.



$ in millions	Carrying Value	Estimated Fair Value
$ in millions	Carrying Value	Level 2		Level 3		Total
As of March 2020
Amortized cost	$111,467		$54,658		$53,979		$108,637
Held for sale	$ 3,157		$ 1,646		$ 1,564		$ 3,210
As of December 2019
Amortized cost	$ 89,195		$52,091		$37,095		$ 89,186
Held for sale	$ 5,323		$ 4,157		$ 1,252		$ 5,409