Loans (Tables)

3 Months Ended

Mar. 31, 2020

Summary of Loans

The table below presents information about loans.

$ in millions	Amortized Cost		Fair Value	Held For Sale	Total
As of March 2020
Loan Type
Corporate	$  63,697		$  2,915	$1,918	$  68,530
Wealth management	21,183		7,834	–	29,017
Commercial real estate	14,165		2,005	660	16,830
Residential real estate	3,911		474	28	4,413
Consumer:
Installment	4,826		–	–	4,826
Credit cards	2,081		–	–	2,081
Other	4,472		601	551	5,624
Total loans, gross	114,335		13,829	3,157	131,321
Allowance for loan losses	(2,868	)	–	–	(2,868	)
Total loans	$111,467		$13,829	$3,157	$128,453
As of December 2019
Loan Type
Corporate	$  41,129		$  3,224	$1,954	$  46,307
Wealth management	20,116		7,824	–	27,940
Commercial real estate	13,258		1,876	2,609	17,743
Residential real estate	6,132		792	34	6,958
Consumer:
Installment	4,747		–	–	4,747
Credit cards	1,858		–	–	1,858
Other	3,396		670	726	4,792
Total loans, gross	90,636		14,386	5,323	110,345
Allowance for loan losses	(1,441	)	–	–	(1,441	)
Total loans	$  89,195		$14,386	$5,323	$108,904

Summary of Other Loans Receivable

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%

Summary of Consumer Loans by Refreshed FICO Credit Score

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%

Schedule of Credit Quality Indicators for Term Loans by Origination Year

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

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

Summary of Past Due Loans

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%

Summary of Nonaccrual Loans

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%

Summary of Loans and Lending Commitments Accounted for at Amortized Cost by Portfolio

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

Summary of Changes in Allowance for Loan Losses and Allowance for Losses on Lending Commitments

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

Fair value of loans held for investment 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

Fair value, loans receivable, measurement inputs, disclosure

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)

Reconciliation of changes in fair value for level 3 loans.

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

Summary of estimated fair value of loans and lending commitments that are not accounted for at 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
		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

Geographic Concentration Risk [Member]

Summary of detailed information about concentration of our loans by region of borrowers

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 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%

Industry Concentration Risk [Member]

Summary of detailed information about concentration of our loans by region of borrowers

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%