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Investments (Tables)
 9 Months Ended
Sep. 30, 2020
Fair Value of Investments by Accounting Type
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  
Disclosure Of Equity Securities At Fair Value
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%  
Disclosure Of Debt Securities At Fair Value
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  
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 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  
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 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.
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 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%  
Fair Value, Investments, Measurement Inputs, Disclosure
The table below presents a summary of level 3 financial assets.
 
    As of  
$ in millions
  
 
September
2020
 
 
    
June
2020
  
 
     December
2019		  
 
Trading assets:
  
 
 
Trading cash instruments
  
 
$  
 
    1,265
 
     $       1,804       $    1,242  
Derivatives
  
 
6,311
 
     7,047       4,654  
Investments
  
 
17,274
 
     17,916       15,282  
Loans
  
 
2,827
 
     2,659       1,890  
Total
  
 
$  
 
  27,677
 
     $     29,426       $  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 September		                Nine Months
Ended September		  
$ in millions
  
 
2020
 
      2019    
 
  
 
2020
 
      2019  
Beginning balance
  
 
$2,659
 
      $2,107      
 
$1,890
 
      $1,990  
Net realized gains/(losses)
  
 
23
 
      19      
 
60
 
      55  
Net unrealized gains/(losses)
  
 
76
 
      (10 )     
 
34
 
      34  
Purchases
  
 
181
 
      55      
 
557
 
      134  
Sales
  
 
(17
) 
      (71 )     
 
(31
) 
      (24 ) 
Settlements
  
 
(221
) 
      (242 )     
 
(567
) 
      (600 ) 
Transfers into level 3
  
 
166
 
      126      
 
928
 
      477  
Transfers out of level 3
  
 
(40
) 
      (46 )   
 
  
 
(44
) 
      (128 ) 
Ending balance
  
 
$2,827
 
      $1,938    
 
  
 
$2,827
 
      $1,938  
The table below presents information, by loan type, for loans included in the summary table above.
 
    Three Months
Ended September		            Nine Months
Ended September		  
$ in millions
  
 
2020
 
      2019    
 
  
 
2020
 
      2019  
Corporate
            
Beginning balance
  
 
$  
 
939
 
      $ 873      
 
$  
 
752
 
      $ 659  
Net realized gains/(losses)
  
 
7
 
      6      
 
14
 
      7  
Net unrealized gains/(losses)
  
 
1
 
      (23 )     
 
(5
) 
      (29 ) 
Purchases
  
 
132
 
      48      
 
184
 
      111  
Sales
  
 
(9
) 
      (67 )     
 
(18
) 
      (14 ) 
Settlements
  
 
(58
) 
      (124 )     
 
(110
) 
      (220 ) 
Transfers into level 3
  
 
23
 
      51      
 
230
 
      248  
Transfers out of level 3
  
 
(32
) 
      (42 )   
 
  
 
(44
) 
      (40 ) 
Ending balance
  
 
$1,003
 
      $ 722    
 
  
 
$1,003
 
      $ 722  
 
Commercial real estate
            
Beginning balance
  
 
$1,084
 
      $ 642      
 
$  
 
591
 
      $ 677  
Net realized gains/(losses)
  
 
11
 
      7      
 
38
 
      18  
Net unrealized gains/(losses)
  
 
43
 
      (15 )     
 
4
 
      (2 ) 
Purchases
  
 
40
 
      2      
 
323
 
      12  
Sales
  
 
(5
) 
      (3 )     
 
(10
) 
      (6 ) 
Settlements
  
 
(120
) 
      (68 )     
 
(278
) 
      (200 ) 
Transfers into level 3
  
 
121
 
      34      
 
498
 
      100  
Transfers out of level 3
  
 
(8
) 
      (1 )   
 
  
 
–
 
      (1 ) 
Ending balance
  
 
$1,166
 
      $ 598    
 
  
 
$1,166
 
      $ 598  
 
Residential real estate
            
Beginning balance
  
 
$  
 
268
 
      $ 174      
 
$  
 
221
 
      $ 290  
Net realized gains/(losses)
  
 
3
 
      2      
 
7
 
      11  
Net unrealized gains/(losses)
  
 
11
 
      8      
 
8
 
      21  
Purchases
  
 
1
 
      5      
 
43
 
      11  
Sales
  
 
(2
) 
      (1 )     
 
(2
) 
      (4 ) 
Settlements
  
 
(22
) 
      (19 )     
 
(57
) 
      (76 ) 
Transfers into level 3
  
 
10
 
      41      
 
49
 
      41  
Transfers out of level 3
  
 
–
 
      (3 )   
 
  
 
–
 
      (87 ) 
Ending balance
  
 
$  
 
269
 
      $ 207    
 
  
 
$  
 
269
 
      $ 207  
 
Wealth management and other
            
Beginning balance
  
 
$  
 
368
 
      $ 418      
 
$  
 
326
 
      $ 364  
Net realized gains/(losses)
  
 
2
 
      4      
 
1
 
      19  
Net unrealized gains/(losses)
  
 
21
 
      20      
 
27
 
      44  
Purchases
  
 
8
 
      –      
 
7
 
      –  
Sales
  
 
(1
) 
      –      
 
(1
) 
      –  
Settlements
  
 
(21
) 
      (31 )     
 
(122
) 
      (104 ) 
Transfers into level 3
  
 
12
 
      –    
 
  
 
151
 
      88  
Ending balance
  
 
$  
 
389
 
      $ 411    
 
  
 
$  
 
389
 
      $ 411  
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 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  
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
  
 
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
.
Investments, 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