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Investments
 9 Months Ended
Sep. 30, 2020
Investments, Fair Value Disclosure [Abstract]  
Investments
Note 8.
Investments
Investments includes debt instruments and equity securities that are accounted for at fair value and are generally held by the firm in connection with its long-term investing activities. In addition, investments includes debt securities classified as
available-for-sale
and
held-to-maturity
that are generally held in connection with the firm’s asset-liability management activities. Investments also consists of equity securities that are accounted for under the equity method.
The table below presents information about investments.
 
    As of  
$ in millions
  
 
September
2020
 
 
      December
2019		  
 
Equity securities, at fair value
  
 
$19,102
 
      $22,163  
Debt instruments, at fair value
  
 
16,533
 
      16,570  
Available-for-sale
securities, at fair value
  
 
39,079
 
      19,094  
Investments, at fair value
  
 
74,714
 
      57,827  
Held-to-maturity
securities
  
 
5,771
 
      5,825  
Equity method investments
 
  
 
307
 
      285  
Total investments
  
 
$80,792
 
      $63,937  
Equity Securities and Debt Instruments, at Fair Value
Equity securities and debt instruments, at fair value are accounted for at fair value either under the fair value option or in accordance with other U.S. GAAP, and the related fair value gains and losses are recognized in earnings.
Equity Securities, at Fair Value.
Equity securities, at fair value consists of the firm’s public and private equity-related investments in corporate and real estate entities.
The table below presents information about equity securities, at fair value.
 
    As of  
$ in millions
  
 
September
2020
 
 
      December
2019		  
 
Equity securities, at fair value
  
 
$19,102
 
      $22,163  
 
Equity Type
     
Public equity
  
 
15%
 
      11%  
Private equity
  
 
85%
 
      89%  
Total
  
 
100%
 
      100%  
 
Asset Class
     
Corporate
  
 
82%
 
      79%  
Real estate
  
 
18%
 
      21%  
Total
  
 
100%
 
      100%  
In the table above:
 
•  
Equity securities, at fair value included investments accounted for at fair value under the fair value option where the firm would otherwise apply the equity method of accounting of $6.72 billion as of September 2020 and $8.23 billion as of December 2019. Gains recognized as a result of changes in the fair value of equity securities for which the fair value option was elected were $101 million for the three months ended September 2020, $256 million for the three months ended September 2019, $277 million for the nine months ended September 2020 and $711 million for the nine months ended September 2019. These gains are included in other principal transactions in the consolidated statements of earnings.
 
•  
Equity securities, at fair value included $2.30 billion as of September 2020 and $3.22 billion as of December 2019 of investments in funds that are measured at NAV.
Debt Instruments, at Fair Value.
Debt instruments, at fair value primarily includes mezzanine, senior and distressed debt.
The table below presents information about debt instruments, at fair value.
 
    As of  
$ in millions
  
 
September
2020
 
 
      December
2019		  
 
Corporate debt securities
  
 
$10,720
 
      $10,838  
Securities backed by real estate
  
 
1,870
 
      2,619  
Money market instruments
  
 
2,197
 
      1,681  
Other
  
 
1,746
 
      1,432  
Total
  
 
$16,533
 
      $16,570  
In the table above:
 
•  
Money market instruments includes time deposits, investments in money market funds, commercial paper and certificates of deposit.
 
•  
Other included $1.22 billion as of September 2020 and $983 million as of December 2019 of investments in credit funds that are measured at NAV.
Investments in Funds at Net Asset Value Per Share.
Equity securities and debt instruments, at fair value include investments in funds that are measured at NAV of the investment fund. The firm uses NAV to measure the fair value of fund investments when (i) the fund investment does not have a readily determinable fair value and (ii) the NAV of the investment fund is calculated in a manner consistent with the measurement principles of investment company accounting, including measurement of the investments at fair value.
Substantially all of the firm’s investments in funds at NAV consist of investments in firm-sponsored private equity, credit, real estate and hedge funds where the firm
co-invests
with third-party investors.
Private equity funds primarily invest in a broad range of industries worldwide, including leveraged buyouts, recapitalizations, growth investments and distressed investments. Credit funds generally invest in loans and other fixed income instruments and are focused on providing private high-yield capital for leveraged and management buyout transactions, recapitalizations, financings, refinancings, acquisitions and restructurings for private equity firms, private family companies and corporate issuers. Real estate funds invest globally, primarily in real estate companies, loan portfolios, debt recapitalizations and property. Private equity, credit and real estate funds are
closed-end
funds in which the firm’s investments are generally not eligible for redemption. Distributions will be received from these funds as the underlying assets are liquidated or distributed, the timing of which is uncertain.
The firm also invests in hedge funds, primarily multi-disciplinary hedge funds that employ a fundamental
bottom-up
investment approach across various asset classes and strategies. The firm’s investments in hedge funds primarily include interests where the underlying assets are illiquid in nature, and proceeds from redemptions will not be received until the underlying assets are liquidated or distributed, the timing of which is uncertain.
Private equity, hedge and real estate funds described above are primarily “covered funds” as defined in the Volcker Rule of the U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). The Board of Governors of the Federal Reserve System (FRB) extended the conformance period to July 2022 for the firm’s investments in, and relationships with, certain legacy “illiquid funds” (as defined in the Volcker Rule) that were in place prior to December 2013. This extension is applicable to substantially all of the firm’s remaining investments in, and relationships with, such covered funds. Substantially all of the credit funds described above are not covered funds.
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 September 2020
     
Private equity funds
  
 
$1,906
 
   
 
$
 
  553
 
Credit funds
  
 
1,220
 
   
 
756
 
Hedge funds
  
 
101
 
   
 
–
 
Real estate funds
  
 
290
 
   
 
217
 
Total
  
 
$3,517
 
   
 
$1,526
 
 
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  
Available-for-Sale
Securities
Available-for-sale
securities are accounted for at fair value, and the related unrealized fair value gains and losses are included in accumulated other comprehensive income/(loss) unless designated in a fair value hedging relationship. See Note 7 for information about available-for-sale securities that are designated in a hedging relationship.
The table below presents information about
available-for-sale
securities by tenor.
 
$ in millions
     Amortized
Cost		  
 		     Fair
Value		  
 		    
 		 Weighted
Average
Yield		  
 
 
As of September 2020
      
Less than 5 years
  
 
$29,352
 
  
 
$29,723
 
  
 
0.79%
 
Greater than 5 years
  
 
8,370
 
  
 
8,721
 
  
 
1.09%
 
Total U.S. government obligations
  
 
37,722
 
  
 
38,444
 
  
 
0.84%
 
 
Greater than 5 years
  
 
635
 
  
 
635
 
  
 
0.18%
 
Total Non-U.S. government obligations
  
 
635
 
  
 
635
 
  
 
0.18%
 
Total available-for-sale securities
  
 
$38,357
 
  
 
$39,079
 
  
 
0.84%
 
 
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 U.S. government obligations
     19,037       19,094       1.68%  
Total available-for-sale securities
     $19,037       $19,094       1.68%  
In the table above:
 
•  
Available-for-sale
securities were classified in level 1 of the fair value hierarchy as of both September 2020 and December 2019.
 
•  
Substantially all available-for-sale securities
with a tenor of
less than 5 years mature within 1-5 years and substantially all available-for-sale securities
with a tenor of
greater than 5 years mature within 5-10 years as of September 2020.
 
•  
The firm sold
available-for-sale
securities of $3.49 billion (realized gains of $319 million) during the nine months ended September 2020 and $8.08 billion (realized gains of $131 million) during the nine months ended September 2019. Such gains were included in the consolidated statements of earnings.
•  
The gross unrealized gains included in accumulated other comprehensive income/(loss) were $724 million as of September 2020 and $137 million as of December 2019. The gross unrealized losses included in accumulated other comprehensive income/(loss) were not material as of both September 2020 and 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 nine months ended September 2020 and there was no other-than-temporary impairment during the year ended December 2019.
Fair Value of Investments by Level
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 September 2020
           
Government and agency obligations:
 
         
U.S.
  
 
$38,444
 
   
 
$
  
        –
 
   
 
$ 
  
      –
 
   
 
$38,444
 
Non-U.S.
  
 
640
 
   
 
62
 
   
 
–
 
   
 
702
 
Corporate debt securities
  
 
88
 
   
 
4,781
 
   
 
5,851
 
   
 
10,720
 
Securities backed by real estate
  
 
–
 
   
 
940
 
   
 
930
 
   
 
1,870
 
Money market instruments
  
 
771
 
   
 
1,426
 
   
 
–
 
   
 
2,197
 
Other debt obligations
  
 
–
 
   
 
4
 
   
 
455
 
   
 
459
 
Equity securities
  
 
173
 
   
 
6,594
 
   
 
10,038
 
   
 
16,805
 
Subtotal
  
 
$40,116
 
   
 
$13,807
 
   
 
$17,274
 
   
 
$71,197
 
Investments in funds at NAV
  
 
 
 
   
 
 
 
   
 
 
 
   
 
3,517
 
Total investments
  
 
 
 
   
 
 
 
   
 
 
 
   
 
$74,714
 
 
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  
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 investments.
Significant Unobservable Inputs
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
  
 
September
2020
 
 
     
December
2019
  
 
Corporate debt securities
 
   
Level 3 assets
  
 
$5,851 
 
      $3,465   
Yield
  
 
4.7% to 33.4% (11.2%)
 
      5.5% to 29.8% (12.0%)  
Recovery rate
  
 
35.0% to 70.0% (54.3%)
 
      25.0% to 100.0% (68.5%)  
Duration (years)
  
 
1.8 to 8.0 (4.1)
 
      2.9 to 5.9 (5.0)  
Multiples
  
 
0.6x to 31.0x (7.4x)
 
      0.6x to 24.4x (7.0x)  
Securities backed by real estate
 
   
Level 3 assets
  
 
$930 
 
      $595   
Yield
  
 
10.0% to 53.7% (18.7%)
 
      9.4% to 20.3% (16.0%)  
Recovery rate
  
 
N/A 
 
      33.1% to 34.4% (33.5%)  
Duration (years)
  
 
0.6 to 3.7 (2.3)
 
      0.4 to 3.0 (0.9)  
Other debt obligations
 
   
Level 3 assets
  
 
$455 
 
      $319   
Yield
  
 
2.1% to 6.2% (3.4%)
 
      3.4% to 5.2% (4.5%)  
Duration (years)
  
 
0.5 to 10.3 (6.2)
 
      4.0 to 8.0 (6.7)  
Equity securities
 
   
Level 3 assets
  
 
$10,038 
 
      $10,903   
Multiples
  
 
0.8x to 26.9x (9.9x)
 
      0.8x to 36.0x (8.0x)  
Discount rate/yield
  
 
4.0% to 31.0% (13.8%)
 
      2.1% to 20.3% (13.4%)  
Capitalization rate
  
 
3.7% to 15.3% (6.5%)
 
      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 September 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
.
Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 investments.
 
    Three Months
Ended September		         Nine Months
Ended September		  
$ in millions
  
 
2020
 
     2019           
 
2020
 
     2019  
Beginning balance
  
 
$17,916
 
     $14,397      
 
$15,282
 
     $13,548  
Net realized gains/(losses)
  
 
128
 
     46      
 
238
 
     119  
Net unrealized gains/(losses)
  
 
534
 
     137      
 
(808
) 
     684  
Purchases
  
 
405
 
     399      
 
1,250
 
     1,058  
Sales
  
 
(269
) 
     (82 )     
 
(1,379
) 
     (788 ) 
Settlements
  
 
(686
) 
     (389 )     
 
(1,180
) 
     (799 ) 
Transfers into level 3
  
 
230
 
     1,001      
 
5,373
 
     2,477  
Transfers out of level 3
  
 
(984
) 
     (496 )   
 
  
 
(1,502
) 
     (1,286 ) 
Ending balance
  
 
$17,274
 
     $15,013    
 
  
 
$17,274
 
     $15,013  
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 September		         Nine Months
Ended September		  
$ in millions
  
 
2020
 
     2019           
 
2020
 
     2019  
Corporate debt securities
          
Beginning balance
  
 
$  6,572
 
     $  3,048      
 
$  3,465
 
     $  2,540  
Net realized gains/(losses)
  
 
48
 
     17      
 
115
 
     47  
Net unrealized gains/(losses)
  
 
142
 
     18      
 
(263
) 
     114  
Purchases
  
 
137
 
     156      
 
401
 
     425  
Sales
  
 
(22
) 
     (3 )     
 
(215
) 
     (41 ) 
Settlements
  
 
(386
) 
     (69 )     
 
(553
) 
     (177 ) 
Transfers into level 3
  
 
121
 
     440      
 
3,234
 
     725  
Transfers out of level 3
  
 
(761
) 
     (139 )   
 
  
 
(333
) 
     (165 ) 
Ending balance
  
 
$  5,851
 
     $  3,468    
 
  
 
$  5,851
 
     $  3,468  
 
Securities backed by real estate
 
 
                            
Beginning balance
  
 
$
  
   880
 
     $     395      
 
$
  
   595
 
     $     457  
Net realized gains/(losses)
  
 
12
 
     7      
 
32
 
     19  
Net unrealized gains/(losses)
  
 
16
 
     (2 )     
 
(97
) 
     –  
Purchases
  
 
35
 
     6      
 
124
 
     14  
Sales
  
 
–
 
     (7 )     
 
–
 
     (10 ) 
Settlements
  
 
(11
) 
     (17 )     
 
(43
) 
     (70 ) 
Transfers into level 3
  
 
–
 
     59      
 
323
 
     59  
Transfers out of level 3
  
 
(2
) 
     (71 )   
 
  
 
(4
) 
     (99 ) 
Ending balance
  
 
$
  
   930
 
     $     370    
 
  
 
$
  
   930
 
     $     370  
 
Other debt obligations
                                    
Beginning balance
  
 
$
  
   429
 
     $     251      
 
$
  
   319
 
     $     216  
Net realized gains/(losses)
  
 
4
 
     –      
 
10
 
     –  
Net unrealized gains/(losses)
  
 
3
 
     –      
 
–
 
     1  
Purchases
  
 
27
 
     60      
 
45
 
     97  
Sales
  
 
(2
) 
     (10 )     
 
(4
) 
     (13 ) 
Settlements
  
 
(6
) 
     –      
 
(9
) 
     –  
Transfers into level 3
  
 
–
 
     –    
 
  
 
94
 
     –  
Ending balance
  
 
$
  
   455
 
     $     301    
 
  
 
$
  
   455
 
     $     301  
 
Equity securities
                                    
Beginning balance
  
 
$10,035
 
     $10,703      
 
$10,903
 
     $10,335  
Net realized gains/(losses)
  
 
64
 
     22      
 
81
 
     53  
Net unrealized gains/(losses)
  
 
373
 
     121      
 
(448
) 
     569  
Purchases
  
 
206
 
     177      
 
680
 
     522  
Sales
  
 
(245
) 
     (62 )     
 
(1,160
) 
     (724 ) 
Settlements
  
 
(283
) 
     (303 )     
 
(575
) 
     (552 ) 
Transfers into level 3
  
 
109
 
     502      
 
1,722
 
     1,693  
Transfers out of level 3
  
 
(221
) 
     (286 )   
 
  
 
(1,165
) 
     (1,022 ) 
Ending balance
  
 
$10,038
 
     $10,874    
 
  
 
$10,038
 
     $10,874  
Level 3 Rollforward Commentary
Three Months Ended September 2020.
The net realized and unrealized gains on level 3 investments of $662 million (reflecting $128 million of net realized gains and $534 million of net unrealized gains) for the three months ended September 2020 included gains of $584 million reported in other principal transactions and $78 million reported in interest income.
The net unrealized gains on level 3 investments for the three months ended September 2020 primarily reflected gains on certain private equity securities and corporate debt securities, principally driven by corporate performance.
Transfers into level 3 investments during the three months ended September 2020 primarily reflected transfers of certain corporate debt securities and private equity securities from level 2, principally due to reduced price transparency as a result of a lack of market evidence, including fewer transactions in these instruments.
Transfers out of level 3 investments during the three months ended September 2020 primarily reflected transfers of certain corporate debt securities to level 2, principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments, and certain private equity securities to level 2, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments.
Nine Months Ended September 2020.
The net realized and unrealized losses on level 3 investments of $570 million (reflecting $238 million of net realized gains and $808 million of net unrealized losses) for the nine months ended September 2020 included gains/(losses) of $(737) million reported in other principal transactions and $167 million reported in interest income.
The net unrealized losses on level 3 investments for the nine months ended September 2020 primarily reflected losses on certain private equity securities and corporate debt securities, principally driven by corporate performance.
Transfers into level 3 investments during the nine months ended September 2020 primarily reflected transfers of certain corporate debt securities and private equity securities from level 2, principally due to reduced price transparency as a result of a lack of market evidence, including fewer transactions in these instruments.
Transfers out of level 3 investments during the nine months ended September 2020 primarily reflected transfers of certain private equity securities to level 2, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments, and certain corporate debt securities to level 2, principally due to certain unobservable yield and duration inputs no longer being significant to the valuation of these instruments.
Three Months Ended September 2019.
The net realized and unrealized gains on level 3 investments of $183 million (reflecting $46 million of net realized gains and $137 million of net unrealized gains) for the three months ended September 2019 included gains of $146 million reported in other principal transactions and $37 million reported in interest income.
The net unrealized gains on level 3 investments for the three months ended September 2019 primarily reflected gains on certain private equity securities, principally driven by corporate performance.
Transfers into level 3 investments during the three months ended September 2019 primarily reflected transfers of certain private equity securities and corporate debt instruments from level 2, principally due to reduced price transparency as a result of a lack of market evidence, including fewer transactions in these instruments.
Transfers out of level 3 investments during the three months ended September 2019 primarily reflected transfers of certain private equity securities and corporate debt instruments to level 2, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments.
Nine Months Ended September 2019.
The net realized and unrealized gains on level 3 investments of $803 million (reflecting $119 million of net realized gains and $684 million of net unrealized gains) for the nine months ended September 2019 included gains of $687 million reported in other principal transactions and $116 million reported in interest income.
The net unrealized gains on level 3 investments for the nine months ended September 2019 primarily reflected gains on certain private equity securities and corporate debt instruments, principally driven by corporate performance and company-specific events.
Transfers into level 3 investments during the nine months ended September 2019 primarily reflected transfers of certain private equity securities and corporate debt instruments from level 2, principally due to reduced price transparency as a result of a lack of market evidence, including fewer transactions in these instruments.
Transfers out of level 3 investments during the nine months ended September 2019 primarily reflected transfers of certain private equity securities and corporate debt instruments to level 2, principally due to increased price transparency as a result of market evidence, including market transactions in these instruments.
Held-to-Maturity
Securities
Held-to-maturity
securities are accounted for at amortized cost.
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 September 2020
      
Less than 5 years
  
 
$3,530
 
  
 
$3,727
 
  
 
2.40%
 
Greater than 5 years
  
 
1,522
 
  
 
1,679
 
  
 
2.25%
 
Total U.S. government obligations
  
 
5,052
 
  
 
5,406
 
  
 
2.35%
 
 
Greater than 5 years
  
 
719
 
  
 
733
 
  
 
1.11%
 
Total securities backed by real estate
  
 
719
 
  
 
733
 
  
 
1.11%
 
Total
held-to-maturity
securities
  
 
$5,771
 
  
 
$6,139
 
  
 
2.20%
 
 
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%  
In the table above:
 
•  
Substantially all of the securities backed by real estate consist of securities backed by residential real estate.
 
•  
As these securities are not accounted for at fair value, they are not included in the firm’s fair value hierarchy in Notes 4 through 10. Had these securities been included in the firm’s fair value hierarchy, U.S. government obligations would have been classified in level 1 and substantially all securities backed by real estate would have been classified in level 2 of the fair value hierarchy as of both September 2020 and December 2019.
 
•  
The gross unrealized gains were $372 million as of September 2020 and $141 million as of December 2019. The gross unrealized losses were not material as of both September 2020 and December 2019.
 
•  
Beginning in January 2020,
held-to-maturity
securities are reviewed to determine if an allowance for credit loss 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, historical credit losses and sovereign guarantees. See Note 3 for further information about the adoption of CECL. Prior to January 2020, such securities were reviewed for other-than-temporary impairment. Provision for credit losses on such securities was not material during the nine months ended September 2020 and there was no other-than-temporary impairment during the year ended December 2019.