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Investments (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value of Investments by Accounting Type
The table below presents information about investments.
 
                 
       
 
As of
 
             
$ in millions
 
March
2020
 
  
December
2019
 
Equity securities, at fair value
 
 
$21,221
 
    
$22,163
 
Debt instruments, at fair value
 
 
23,145
 
    
16,570
 
Available-for-sale
securities, at fair value
  
 
18,289
 
    
19,094
 
Investments, at fair value
 
 
62,655
 
    
57,827
 
Held-to-maturity
securities
  
 
5,756
 
    
5,825
 
Equity method investments
 
 
283
 
    
285
 
Total investments
 
 
$68,694
 
    
$63,937
 
 
 
Disclosure Of Equity Securities At Fair Value
The table below presents information about equity securities, at fair value.
 
                 
       
 
As of
 
             
$ in millions
 
March
2020
 
  
December
2019
 
Equity securities, at fair value
 
 
$21,221
 
    
$22,163
 
 
Equity Type
 
 
 
    
 
Public equity
 
 
10%
 
    
11%
 
Private equity
 
 
90%
 
    
89%
 
Total
 
 
100%
 
    
100%
 
Asset Class
 
 
 
    
 
Corporate
 
 
77%
 
    
79%
 
Real estate
 
 
23%
 
    
21%
 
Total
 
 
100%
 
    
100%
 
Region
 
 
 
    
 
Americas
 
 
46%
 
    
50%
 
EMEA
 
 
19%
 
    
17%
 
Asia
 
 
35%
 
    
33%
 
Total
 
 
100%
 
    
100%
 
 
 
Disclosure Of Debt Securities At Fair Value
The table below presents information about debt instruments, at fair value.
 
                 
       
 
As of
 
             
$ in millions
 
March
2020
 
  
December
2019
 
Corporate debt securities
 
 
$  9,923
 
    
$10,838
 
Securities backed by real estate
 
 
2,560
 
    
2,619
 
Money market instruments
 
 
9,332
 
    
1,681
 
Other
 
 
1,330
 
    
1,432
 
Total
 
 
$23,145
 
    
$16,570
 
 
 
Investments in Funds that are Calculated Using Net Asset Value Per Share
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 March 2020
  
 
 
    
 
Private equity funds
 
 
$2,285
 
  
 
$  
 
753
 
Credit funds
 
 
840
 
  
 
730
 
Hedge funds
 
 
106
 
  
 
–
 
Real estate funds
 
 
314
 
  
 
194
 
Total
 
 
$3,545
 
  
 
$1,677
 
 
As of December 2019
  
 
 
    
 
Private equity funds
   
$2,767
     
$   765
 
Credit funds
   
983
     
820
 
Hedge funds
   
125
     
–
 
Real estate funds
   
331
     
196
 
Total
   
$4,206
     
$1,781
 
Summary of Securities Accounted for Available-for-Sale
The table below presents information about
available-for-sale
securities by tenor.
 
                         
$ in millions
   
Amortized
Cost
     
Fair
Value
     
Weighted
Average
Yield
 
As of March 2020
  
 
 
    
     
 
Less than 5 years
 
 
$14,038
 
  
 
$14,472
 
  
 
1.53%
 
Greater than 5 years
 
 
3,505
 
  
 
3,817
 
  
 
1.85%
 
Total
 
 
$17,543
 
  
 
$18,289
 
  
 
1.59%
 
 
As of December 2019
  
 
 
    
     
 
Less than 5 years
   
$14,063
     
$14,041
     
1.53%
 
Greater than 5 years
   
4,974
     
5,053
     
2.10%
 
Total
   
$19,037
     
$19,094
     
1.68%
 
In the table above:
 
•
Available-for-sale
securities consists of U.S. government obligations that were classified in level 1 of the fair value hierarchy as of both March 2020 and December 2019.
 
•
 The firm sold
available-for-sale
securities of $1.45 billion during the three months ended March 2020 and $4.96 billion during the three months ended March 2019. The realized gains on sales of such securities were $265 million for the three months ended March 2020 and $36 million for the three months ended March 2019, and were included in the consolidated statements of earnings.
 
•
 The gross unrealized gains included in accumulated other comprehensive income/(loss) were $746 million as of March 2020 and $137 million as of December 2019. The gross unrealized losses included in accumulated other comprehensive income/(loss) were not material as of December 2019.
•
 Beginning in January 2020,
available-for-sale
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, severity of the unrealized losses, and the intent and ability to hold the security until recovery. See Note 3 for further information
about
 the adoption of CECL. Prior to January 2020, such securities were reviewed for other-than-temporary impairment. The firm did not record any provision for credit losses on such securities during the three months ended March 2020 and there was no other-than-temporary impairment during the year ended December 2019.
Debt Securities, Held-to-maturity
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 March 2020
  
 
 
    
     
 
Less than 5 years
 
 
$3,531
 
  
 
$3,751
 
  
 
2.40%
 
Greater than 5 years
 
 
1,524
 
  
 
1,680
 
  
 
2.25%
 
Total U.S. government obligations
 
 
5,055
 
  
 
5,431
 
  
 
2.35%
 
Less than 5 years
 
 
5
 
  
 
5
 
  
 
3.91%
 
Greater than 5 years
 
 
696
 
  
 
688
 
  
 
1.62%
 
Total securities backed by real estate
 
 
701
 
  
 
693
 
  
 
1.64%
 
Total
held-to-maturity
securities
 
 
$5,756
 
  
 
$6,124
 
  
 
2.27%
 
 
As of December 2019
  
 
 
    
     
 
Less than 5 years
   
$3,534
     
$3,613
     
2.40%
 
Greater than 5 years
   
1,534
     
1,576
     
2.25%
 
Total U.S. government obligations
   
5,068
     
5,189
     
2.35%
 
Less than 5 years
   
6
     
6
     
4.16%
 
Greater than 5 years
   
751
     
769
     
1.67%
 
Total securities backed by real estate
   
757
     
775
     
1.69%
 
Total
held-to-maturity
securities
    
$5,825
     
$5,964
     
2.27%
 
Fair Value, Investments, Measurement Inputs, Disclosure
The table below presents a summary of level 3 financial assets.
 
                 
       
 
As of
 
                 
$ in millions
 
 
March
2020
 
    
December 2019
 
Trading assets:
 
 
 
    
 
Trading cash instruments
 
 
$    
 
  1,234
 
    
$    1,242
 
Derivatives
 
 
7,381
 
    
4,654
 
Investments
 
 
19,408
 
    
15,282
 
Loans
 
 
2,753
 
    
1,890
 
Total
 
 
$  
 
  30,776
 
    
$  23,068
 
 
 
 
Investments, 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
 
 
 
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
 
 
 
Investments [Member]  
Investments accounted for at fair value
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 March 2020
    
     
     
 
Government and agency obligations:
   
     
     
 
U.S.
 
 
$18,289
 
  
 
$         –
 
  
 
$         –
 
  
 
$18,289
 
Non-U.S.
 
 
–
 
  
 
23
 
  
 
–
 
  
 
23
 
Corporate debt securities
 
 
54
 
  
 
2,720
 
  
 
7,149
 
  
 
9,923
 
Securities backed by real estate
 
 
–
 
  
 
1,785
 
  
 
775
 
  
 
2,560
 
Money market instruments
 
 
29
 
  
 
9,303
 
  
 
–
 
  
 
9,332
 
Other debt obligations
 
 
–
 
  
 
39
 
  
 
428
 
  
 
467
 
Equity securities
 
 
236
 
  
 
7,224
 
  
 
11,056
 
  
 
18,516
 
Subtotal
 
 
$18,608
 
  
 
$21,094
 
  
 
$19,408
 
  
 
$59,110
 
Investments in funds at NAV
 
 
 
  
 
 
  
 
 
  
 
3,545
 
Total investments
 
 
 
  
 
 
  
 
 
  
 
$62,655
 
 
As of December 2019
  
 
 
    
     
     
 
Government and agency obligations:
   
     
     
 
U.S.
   
$19,094
     
$
 
        –
      
$
 
         –
      
$19,094
 
Non-U.S.
   
–
     
36
     
–
     
36
 
Corporate debt securities
   
48
     
7,325
     
3,465
     
10,838
 
Securities backed by real estate
   
–
     
2,024
     
595
     
2,619
 
Money market instruments
   
732
     
949
     
–
     
1,681
 
Other debt obligations
   
–
     
94
     
319
     
413
 
Equity securities
   
251
     
7,786
     
10,903
     
18,940
 
Subtotal
   
$20,125
     
$18,214
     
$15,282
     
$53,621
 
Investments in funds at NAV
 
 
 
    
     
     
4,206
 
Total investments
 
 
 
    
     
     
$57,827
 
Fair Value, Investments, Measurement Inputs, Disclosure
The table below presents the amount of level 3 investments, and ranges and weighted averages of significant unobservable inputs used to value such investments.
 
       
  
Level 3 Assets and Range of Significant Unobservable
Inputs (Weighted Average) as of
 
             
$ in millions
 
March
2020
 
  
December
2019
 
Corporate debt securities
 
Level 3 assets
 
 
$7,149
 
    
$3,465
 
Yield
 
 
4.6% to 25.2% (11.8%
)
   
5.5% to 29.8% (12.0%
 )
Recovery rate
 
 
40.0% to 100.0% (65.8%
)
   
25.0% to 100.0% (68.5%
 )
Duration (years)
 
 
1.5 to 8.0 (4.0
)
   
2.9 to 5.9 (5.0
 )
Multiples
 
 
0.6x to 39.7x (7.4x
)
   
0.6x to 24.4x (7.0x
 )
Securities backed by real estate
 
Level 3 assets
 
 
$775
 
    
$595
 
Yield
 
 
10.0% to 20.3% (15.8%
)
   
9.4% to 20.3% (16.0%
 )
Recovery rate
 
 
25.0% to 35.0% (33.5%
)
   
33.1% to 34.4% (33.5%
 )
Duration (years)
 
 
0.4 to 3.7 (2.3
)
 
    
0.4 to 3.0 (0.9
 )
Other debt obligations
 
Level 3 assets
 
 
$428
 
    
$319
 
Yield
 
 
3.2% to 6.0% (4.2%
)
   
3.4% to 5.2% (4.5%
 )
Duration (years)
 
 
3.7 to 9.8 (6.8
)
   
4.0 to 8.0 (6.7
 )
Equity securities
 
Level 3 assets
 
 
$11,056
 
    
$10,903
 
Multiples
 
 
0.5x to 23.8x (8.0x
)
   
0.8x to 36.0x (8.0x
 )
Discount rate/yield
 
 
4.9% to 20.3% (14.0%
)
   
2.1% to 20.3% (13.4%
 )
Capitalization rate
 
 
3.7% to 16.0% (5.9%
)
   
3.6% to 15.1% (6.1%
 )
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 March 2020 and December 2019. 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.
Investments, Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 investments.
 
       
  
Three Months
Ended March
 
                 
$ in millions
 
 
2020
 
    
2019
 
Beginning balance
 
 
$15,282
 
    
$13,548
 
Net realized gains/(losses)
 
 
75
 
    
35
 
Net unrealized gains/(losses)
 
 
(1,284
)
   
239
 
Purchases
 
 
348
 
    
217
 
Sales
 
 
(197
)
   
(37
 )
Settlements
 
 
(325
)
   
(232
 )
Transfers into level 3
 
 
6,480
 
    
967
 
Transfers out of level 3
 
 
(971
)
   
(461
 )
Ending balance
 
 
$19,408
 
    
$14,276
 
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 March
 
                 
$ in millions
 
 
2020
 
    
2019
 
Corporate debt securities
 
 
 
    
 
Beginning balance
 
 
$  3,465
 
    
$  2,540
 
Net realized gains/(losses)
 
 
50
 
    
11
 
Net unrealized gains/(losses)
 
 
(465
)
   
50
 
Purchases
 
 
69
 
    
86
 
Sales
 
 
(174
)
   
–
 
Settlements
 
 
(166
)
   
(42
 )
Transfers into level 3
 
 
4,394
 
    
260
 
Transfers out of level 3
 
 
(24
)
   
(214
 )
Ending balance
 
 
$  7,149
 
    
$  2,691
 
Securities backed by real estate
 
 
 
    
 
Beginning balance
 
 
$    
 
595
 
    
$     457
 
Net realized gains/(losses)
 
 
6
 
    
2
 
Net unrealized gains/(losses)
 
 
(72
)
   
7
 
Purchases
 
 
52
 
    
–
 
Settlements
 
 
(12
)
   
(33
 )
Transfers into level 3
 
 
206
 
    
–
 
Transfers out of level 3
 
 
–
 
    
(22
 )
Ending balance
 
 
$    
 
775
 
    
$     411
 
Equity securities
 
 
 
    
 
Beginning balance
 
 
$10,903
 
    
$10,335
 
Net realized gains/(losses)
 
 
17
 
    
22
 
Net unrealized gains/(losses)
 
 
(766
)
   
182
 
Purchases
 
 
227
 
    
112
 
Sales
 
 
(23
)
   
(36
 )
Settlements
 
 
(145
)
   
(157
 )
Transfers into level 3
 
 
1,790
 
    
707
 
Transfers out of level 3
 
 
(947
)
   
(225
 )
Ending balance
 
 
$11,056
 
    
$10,940
 
Other debt obligations
 
 
 
    
 
Beginning balance
 
 
$    
 
319
 
    
$     216
 
Net realized gains/(losses)
 
 
2
 
    
–
 
Net unrealized gains/(losses)
 
 
19
 
    
–
 
Purchases
 
 
–
 
    
19
 
Sales
 
 
–
      
(1
 )
Settlements
 
 
(2
)
   
–
 
Transfers into level 3
 
 
90
 
    
–
 
Ending balance
 
 
$    
 
428
 
    
$     234