Delaware | 1585 Broadway | 36-3145972 | (212) | 761-4000 | |||||||||||||||||||
(State or other jurisdiction of incorporation or organization) | New York, | NY | 10036 | (I.R.S. Employer Identification No.) | (Registrant’s telephone number, including area code) | ||||||||||||||||||
(Address of principal executive offices, including zip code) |
Securities registered pursuant to Section 12(b) of the Act: | ||||||||
Title of each class | Trading Symbol(s) | Name of exchange on which registered | ||||||
Common Stock, $0.01 par value | MS | New York Stock Exchange | ||||||
Depositary Shares, each representing 1/1,000th interest in a share of Floating Rate | MS/PA | New York Stock Exchange | ||||||
Non-Cumulative Preferred Stock, Series A, $0.01 par value | ||||||||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | MS/PE | New York Stock Exchange | ||||||
Non-Cumulative Preferred Stock, Series E, $0.01 par value | ||||||||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | MS/PF | New York Stock Exchange | ||||||
Non-Cumulative Preferred Stock, Series F, $0.01 par value | ||||||||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | MS/PI | New York Stock Exchange | ||||||
Non-Cumulative Preferred Stock, Series I, $0.01 par value | ||||||||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | MS/PK | New York Stock Exchange | ||||||
Non-Cumulative Preferred Stock, Series K, $0.01 par value | ||||||||
MS/PL | New York Stock Exchange | |||||||
Non-Cumulative Preferred Stock, Series L, $0.01 par value | ||||||||
Depositary Shares, each representing 1/1000th interest in a share of 4.250% | MS/PO | New York Stock Exchange | ||||||
Non-Cumulative Preferred Stock, Series O, $0.01 par value | ||||||||
Global Medium-Term Notes, Series A, Fixed Rate Step-Up Senior Notes Due 2026 | MS/26C | New York Stock Exchange | ||||||
of Morgan Stanley Finance LLC (and Registrant’s guarantee with respect thereto) | ||||||||
Large accelerated filer | ☒ | Accelerated filer | ☐ | Non-accelerated filer | ☐ | Smaller reporting company | ☐ | Emerging growth company | ☐ |
Table of Contents | Part | Item | Page | |||||||||||
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I | 2 | |||||||||||||
I | 3 | |||||||||||||
I | 1 | |||||||||||||
I | 4 | |||||||||||||
II | ||||||||||||||
II | 1 | |||||||||||||
II | 1A | |||||||||||||
II | 2 | |||||||||||||
II | 5 | |||||||||||||
II | 6 | |||||||||||||
Table of Contents | Part | Item | Page | ||
II | 1A | ||||
I | |||||
I | 2 | ||||
I | 3 | ||||
I | 1 | ||||
II | |||||
II | 1 | ||||
II | 2 | ||||
I | 4 | ||||
II | 6 | ||||
S-1 |
i |
September |
Management’s Discussion and Analysis |
•Wealth Management delivered a pre-tax margin of 25.8% or 27.7% excluding integration-related expenses (see “Selected Non-GAAP Financial Information” herein). Results reflect record asset management revenues, continued growth in bank lending. The business added record net new assets of $135 billion representing a year-to-date 10% annualized growth rate from beginning period assets. •Investment Management results reflect an increase in fee-based asset management revenues on AUM of $1.5 trillion. |
September |
Management’s Discussion and Analysis |
For further information on the Provision for credit losses, see “Credit Risk” herein. |
September |
Management’s Discussion and Analysis |
1.The percentages on the bars in the charts represent the contribution of each business segment to the total of the applicable financial category and may not sum to 100% due to intersegment eliminations. See Note 20 to the financial statements for details of intersegment eliminations. 2.Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information. • |
Institutional Securities |
4 | September 2021 Form 10-Q |
Management’s Discussion and Analysis |
1.The percentages on the bars in the charts represent the contribution of each region to the total. 2.For a discussion of how the geographic breakdown of net revenues is determined, see Note 20 to the financial statements in the 2020 Form 10-K. 3.Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information. Americas net |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Consolidated results | ||||||||||||||
Net revenues1 | $ | 14,753 | $ | 11,721 | $ | 45,231 | $ | 35,160 | ||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 3,584 | $ | 2,597 | $ | 10,974 | $ | 7,234 | ||||||
Earnings per diluted common share | $ | 1.98 | $ | 1.66 | $ | 6.02 | $ | 4.62 | ||||||
Consolidated financial measures | ||||||||||||||
Expense efficiency ratio1, 2 | 67 | % | 69 | % | 67 | % | 69 | % | ||||||
Adjusted expense efficiency ratio1, 2 ,4 | 66 | % | 69 | % | 67 | % | 69 | % | ||||||
ROE3 | 14.5 | % | 13.2 | % | 15.1 | % | 12.6 | % | ||||||
Adjusted ROE3, 4 | 15.0 | % | 13.2 | % | 15.4 | % | 12.6 | % | ||||||
ROTCE3, 4 | 19.6 | % | 15.0 | % | 19.7 | % | 14.3 | % | ||||||
Adjusted ROTCE3, 4 | 20.2 | % | 15.0 | % | 20.2 | % | 14.3 | % | ||||||
Pre-tax margin1, 5 | 33 | % | 30 | % | 33 | % | 28 | % | ||||||
Effective tax rate | 23.6 | % | 21.1 | % | 22.9 | % | 22.2 | % | ||||||
Pre-tax margin by segment5 | ||||||||||||||
Institutional Securities1 | 40 | % | 33 | % | 38 | % | 31 | % | ||||||
Wealth Management1 | 26 | % | 24 | % | 26 | % | 25 | % | ||||||
Wealth Management, adjusted1, 4 | 28 | % | 24 | % | 28 | % | 25 | % | ||||||
Investment Management | 25 | % | 30 | % | 26 | % | 26 | % | ||||||
Investment Management, adjusted4 | 28 | % | 30 | % | 28 | % | 26 | % |
September 2021 Form 10-Q | 5 |
Management’s Discussion and Analysis |
in millions, except per share and employee data | At September 30, 2021 | At December 31, 2020 | ||||||
Liquidity resources6 | $ | 346,289 | $ | 338,623 | ||||
Loans7 | $ | 188,274 | $ | 161,745 | ||||
Total assets | $ | 1,190,476 | $ | 1,115,862 | ||||
Deposits | $ | 329,041 | $ | 310,782 | ||||
Borrowings | $ | 229,762 | $ | 217,079 | ||||
Common shareholders' equity | $ | 98,153 | $ | 92,531 | ||||
Tangible common shareholders’ equity4 | $ | 72,808 | $ | 75,916 | ||||
Common shares outstanding | 1,799 | 1,810 | ||||||
Book value per common share8 | $ | 54.56 | $ | 51.13 | ||||
Tangible book value per common share4, 8 | $ | 40.47 | $ | 41.95 | ||||
Worldwide employees9 (in thousands) | 74 | 68 | ||||||
Capital Ratios10 | ||||||||
Common Equity Tier 1 capital—Standardized | 16.0 | % | 17.4 | % | ||||
Tier 1 capital—Standardized | 17.6 | % | 19.4 | % | ||||
Common Equity Tier 1 capital—Advanced | 17.2 | % | 17.7 | % | ||||
Tier 1 capital—Advanced | 18.9 | % | 19.8 | % | ||||
Tier 1 leverage | 7.3 | % | 8.4 | % | ||||
SLR11 | 5.7 | % | 7.4 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Net income applicable to Morgan Stanley | $ | 2,717 | $ | 2,173 | $ | 7,611 | $ | 6,803 | ||||
Preferred stock dividends | 120 | 113 | 377 | 376 | ||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 2,597 | $ | 2,060 | $ | 7,234 | $ | 6,427 | ||||
Expense efficiency ratio1 | 70.1 | % | 73.0 | % | 71.1 | % | 72.0 | % | ||||
ROE2 | 13.2 | % | 11.2 | % | 12.6 | % | 11.8 | % | ||||
Adjusted ROE3 | 12.6 | % | 10.7 | % | 12.5 | % | 11.5 | % | ||||
ROTCE2,3 | 15.0 | % | 12.9 | % | 14.3 | % | 13.5 | % | ||||
Adjusted ROTCE3 | 14.3 | % | 12.3 | % | 14.2 | % | 13.1 | % | ||||
Pre-tax profit margin4 | 29.9 | % | 27.0 | % | 28.9 | % | 28.0 | % | ||||
Pre-tax profit margin by segment4 | ||||||||||||
Institutional Securities | 34 | % | 26 | % | 32 | % | 28 | % | ||||
Wealth Management | 24 | % | 28 | % | 25 | % | 28 | % | ||||
Investment Management | 30 | % | 22 | % | 26 | % | 22 | % |
in millions, except per share and employee data | At September 30, 2020 | At December 31, 2019 | ||||
Liquidity resources5 | $ | 267,292 | $ | 215,868 | ||
Loans6 | $ | 146,237 | $ | 130,637 | ||
Total assets | $ | 955,940 | $ | 895,429 | ||
Deposits | $ | 239,253 | $ | 190,356 | ||
Borrowings | $ | 203,444 | $ | 192,627 | ||
Common shares outstanding | 1,576 | 1,594 | ||||
Common shareholders' equity | $ | 79,874 | $ | 73,029 | ||
Tangible common shareholders’ equity3 | $ | 70,646 | $ | 63,780 | ||
Book value per common share7 | $ | 50.67 | $ | 45.82 | ||
Tangible book value per common share3,7 | $ | 44.81 | $ | 40.01 | ||
Worldwide employees | 63,051 | 60,431 | ||||
Capital ratios8 | ||||||
Common Equity Tier 1 capital—Advanced | 16.9 | % | 16.9 | % | ||
Common Equity Tier 1 capital—Standardized | 17.4 | % | 16.4 | % | ||
Tier 1 capital—Advanced | 19.0 | % | 19.2 | % | ||
Tier 1 capital—Standardized | 19.5 | % | 18.6 | % | ||
Tier 1 leverage | 8.3 | % | 8.3 | % | ||
SLR9 | 7.4 | % | 6.4 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions, except per share data | 2021 | 2020 | 2021 | 2020 | ||||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 3,584 | $ | 2,597 | $ | 10,974 | $ | 7,234 | ||||||
Impact of adjustments: | ||||||||||||||
Integration-related expenses | 145 | — | 310 | — | ||||||||||
Related tax benefit | (34) | — | (72) | — | ||||||||||
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1 | $ | 3,695 | $ | 2,597 | $ | 11,212 | $ | 7,234 | ||||||
Earnings per diluted common share | $ | 1.98 | $ | 1.66 | $ | 6.02 | $ | 4.62 | ||||||
Impact of adjustments | 0.06 | — | 0.13 | — | ||||||||||
Adjusted earnings per diluted common share—non-GAAP1 | $ | 2.04 | $ | 1.66 | $ | 6.15 | $ | 4.62 | ||||||
Expense efficiency ratio2 | 67 | % | 69 | % | 67 | % | 69 | % | ||||||
Impact of adjustments | (1) | % | — | % | — | % | — | % | ||||||
Adjusted expense efficiency ratio—non-GAAP1, 2 | 66 | % | 69 | % | 67 | % | 69 | % | ||||||
Wealth Management Pre-tax margin2 | 26 | % | 24 | % | 26 | % | 25 | % | ||||||
Impact of adjustments | 2 | % | — | % | 2 | % | — | % | ||||||
Adjusted Wealth Management pre-tax margin—non-GAAP1, 2 | 28 | % | 24 | % | 28 | % | 25 | % | ||||||
Investment Management Pre-tax margin | 25 | % | 30 | % | 26 | % | 26 | % | ||||||
Impact of adjustments | 3 | % | — | % | 2 | % | — | % | ||||||
Adjusted Investment Management pre-tax margin—non-GAAP1 | 28 | % | 30 | % | 28 | % | 26 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions, except per share data | 2020 | 2019 | 2020 | 2019 | ||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 2,597 | $ | 2,060 | $ | 7,234 | $ | 6,427 | ||||
Impact of adjustments | (113 | ) | (89 | ) | (10 | ) | (190 | ) | ||||
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1 | $ | 2,484 | $ | 1,971 | $ | 7,224 | $ | 6,237 | ||||
Earnings per diluted common share | $ | 1.66 | $ | 1.27 | $ | 4.62 | $ | 3.89 | ||||
Impact of adjustments | (0.07 | ) | (0.06 | ) | — | (0.12 | ) | |||||
Adjusted earnings per diluted common share—non-GAAP1 | $ | 1.59 | $ | 1.21 | $ | 4.62 | $ | 3.77 | ||||
Effective income tax rate | 21.1 | % | 18.2 | % | 22.2 | % | 19.1 | % | ||||
Impact of adjustments | 3.2 | % | 3.2 | % | 0.1 | % | 2.2 | % | ||||
Adjusted effective income tax rate—non-GAAP1 | 24.3 | % | 21.4 | % | 22.3 | % | 21.3 | % |
6 | September 2021 Form 10-Q |
Average Monthly Balance | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Tangible equity | ||||||||||||
Morgan Stanley shareholders' equity | $ | 87,210 | $ | 81,912 | $ | 85,378 | $ | 81,028 | ||||
Less: Goodwill and net intangible assets | (9,260 | ) | (9,389 | ) | (9,248 | ) | (9,097 | ) | ||||
Tangible Morgan Stanley shareholders' equity—Non-GAAP | $ | 77,950 | $ | 72,523 | $ | 76,130 | $ | 71,931 | ||||
Common shareholders' equity | $ | 78,690 | $ | 73,392 | $ | 76,858 | $ | 72,508 | ||||
Less: Goodwill and net intangible assets | (9,260 | ) | (9,389 | ) | (9,248 | ) | (9,097 | ) | ||||
Tangible common shareholders' equity—Non-GAAP | $ | 69,430 | $ | 64,003 | $ | 67,610 | $ | 63,411 |
Management’s Discussion and Analysis |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Average common equity | ||||||||||||
Unadjusted—GAAP | $ | 78.7 | $ | 73.4 | $ | 76.9 | $ | 72.5 | ||||
Adjusted1—Non-GAAP | 78.7 | 73.4 | 76.9 | 72.4 | ||||||||
ROE2 | ||||||||||||
Unadjusted—GAAP | 13.2 | % | 11.2 | % | 12.6 | % | 11.8 | % | ||||
Adjusted—Non-GAAP1, 3 | 12.6 | % | 10.7 | % | 12.5 | % | 11.5 | % | ||||
Average tangible common equity—Non-GAAP | ||||||||||||
Unadjusted | $ | 69.4 | $ | 64.0 | $ | 67.6 | $ | 63.4 | ||||
Adjusted1 | 69.4 | 64.0 | 67.6 | 63.3 | ||||||||
ROTCE2—Non-GAAP | ||||||||||||
Unadjusted | 15.0 | % | 12.9 | % | 14.3 | % | 13.5 | % | ||||
Adjusted1, 3 | 14.3 | % | 12.3 | % | 14.2 | % | 13.1 | % |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Tangible equity | ||||||||
Common shareholders' equity | $ | 98,153 | $ | 92,531 | ||||
Less: Goodwill and net intangible assets | (25,345) | (16,615) | ||||||
Tangible common shareholders' equity—non-GAAP | $ | 72,808 | $ | 75,916 |
Average Monthly Balance | ||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Tangible equity | ||||||||||||||
Common shareholders' equity | $ | 98,563 | $ | 78,690 | $ | 96,929 | $ | 76,858 | ||||||
Less: Goodwill and net intangible assets | (25,433) | (9,260) | (22,836) | (9,248) | ||||||||||
Tangible common shareholders' equity—non-GAAP | $ | 73,130 | $ | 69,430 | $ | 74,093 | $ | 67,610 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in billions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Average common equity | ||||||||||||||
Unadjusted—GAAP | $ | 98.6 | $ | 78.7 | $ | 96.9 | $ | 76.9 | ||||||
Adjusted1—Non-GAAP | 98.6 | 78.7 | 97.0 | 76.9 | ||||||||||
ROE3 | ||||||||||||||
Unadjusted—GAAP | 14.5 | % | 13.2 | % | 15.1 | % | 12.6 | % | ||||||
Adjusted1—Non-GAAP | 15.0 | % | 13.2 | % | 15.4 | % | 12.6 | % | ||||||
Average tangible common equity—Non-GAAP | ||||||||||||||
Unadjusted | $ | 73.1 | $ | 69.4 | $ | 74.1 | $ | 67.6 | ||||||
Adjusted1 | 73.2 | 69.4 | 74.2 | 67.6 | ||||||||||
ROTCE3—Non-GAAP | ||||||||||||||
Unadjusted | 19.6 | % | 15.0 | % | 19.7 | % | 14.3 | % | ||||||
Adjusted1 | 20.2 | % | 15.0 | % | 20.2 | % | 14.3 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in billions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Average common equity4 | ||||||||||||||
Institutional Securities | $ | 43.5 | $ | 42.8 | $ | 43.5 | $ | 42.8 | ||||||
Wealth Management | 28.6 | 18.2 | 28.6 | 18.2 | ||||||||||
Investment Management | 10.7 | 2.6 | 8.2 | 2.6 | ||||||||||
ROE5 | ||||||||||||||
Institutional Securities | 20 | % | 15 | % | 20 | % | 13 | % | ||||||
Wealth Management | 16 | % | 18 | % | 17 | % | 18 | % | ||||||
Investment Management | 12 | % | 34 | % | 15 | % | 23 | % | ||||||
Average tangible common equity4 | ||||||||||||||
Institutional Securities | $ | 42.9 | $ | 42.3 | $ | 42.9 | $ | 42.3 | ||||||
Wealth Management | 13.4 | 10.4 | 13.4 | 10.4 | ||||||||||
Investment Management | 1.0 | 1.7 | 1.0 | 1.7 | ||||||||||
ROTCE5 | ||||||||||||||
Institutional Securities | 20 | % | 15 | % | 20 | % | 14 | % | ||||||
Wealth Management | 34 | % | 31 | % | 35 | % | 32 | % | ||||||
Investment Management | 161 | % | 53 | % | 128 | % | 36 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Average common equity4, 5 | ||||||||||||
Institutional Securities | $ | 42.8 | $ | 40.4 | $ | 42.8 | $ | 40.4 | ||||
Wealth Management | 18.2 | 18.2 | 18.2 | 18.2 | ||||||||
Investment Management | 2.6 | 2.5 | 2.6 | 2.5 | ||||||||
Average tangible common equity4, 5 | ||||||||||||
Institutional Securities | $ | 42.3 | $ | 39.9 | $ | 42.3 | $ | 39.9 | ||||
Wealth Management | 10.4 | 10.2 | 10.4 | 10.2 | ||||||||
Investment Management | 1.7 | 1.5 | 1.7 | 1.5 | ||||||||
ROE6 | ||||||||||||
Institutional Securities | 14.5 | % | 9.8 | % | 13.4 | % | 10.8 | % | ||||
Wealth Management | 17.9 | % | 20.6 | % | 18.2 | % | 20.2 | % | ||||
Investment Management | 34.0 | % | 22.1 | % | 23.0 | % | 21.5 | % | ||||
ROTCE6 | ||||||||||||
Institutional Securities | 14.7 | % | 9.9 | % | 13.5 | % | 10.9 | % | ||||
Wealth Management | 31.4 | % | 36.9 | % | 31.7 | % | 36.2 | % | ||||
Investment Management | 52.6 | % | 35.6 | % | 35.6 | % | 34.7 | % |
2. |
3.ROE and ROTCE represent earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. When excluding integration-related costs, both the numerator and average denominator are adjusted. 4.Average common equity and average tangible common equity for each business segment is determined using our Required Capital framework (see "Liquidity and Capital Resources—Regulatory Requirements—Attribution of Average Common Equity According to the Required Capital Framework” herein). The sums of the segments' Average common equity and Average tangible common equity do not equal the Consolidated measures due to Parent equity. 5.The calculation of ROE and ROTCE by segment uses net income applicable to Morgan Stanley by segment less preferred dividends allocated to each segment as a percentage of average common equity and average tangible common equity, respectively, allocated to each segment. |
September 2021 Form 10-Q | 7 |
Management’s Discussion and Analysis |
September |
Management’s Discussion and Analysis |
Three Months Ended September 30, | |||||||||||
$ in millions | 2021 | 2020 | % Change | ||||||||
Revenues | |||||||||||
Advisory | $ | 1,272 | $ | 357 | N/M | ||||||
Equity | 1,010 | 874 | 16 | % | |||||||
Fixed income | 567 | 476 | 19 | % | |||||||
Total Underwriting | 1,577 | 1,350 | 17 | % | |||||||
Total Investment banking | 2,849 | 1,707 | 67 | % | |||||||
Equity1 | 2,876 | 2,311 | 24 | % | |||||||
Fixed income1 | 1,640 | 1,954 | (16) | % | |||||||
Other1 | 130 | 157 | (17) | % | |||||||
Net revenues | $ | 7,495 | $ | 6,129 | 22 | % | |||||
Provision for credit losses1 | 24 | 113 | (79) | % | |||||||
Compensation and benefits | 2,248 | 2,001 | 12 | % | |||||||
Non-compensation expenses1 | 2,250 | 1,967 | 14 | % | |||||||
Total non-interest expenses1 | 4,498 | 3,968 | 13 | % | |||||||
Income before provision for income taxes | 2,973 | 2,048 | 45 | % | |||||||
Provision for income taxes | 713 | 385 | 85 | % | |||||||
Net income | 2,260 | 1,663 | 36 | % | |||||||
Net income applicable to noncontrolling interests | 31 | 16 | 94 | % | |||||||
Net income applicable to Morgan Stanley | $ | 2,229 | $ | 1,647 | 35 | % |
Nine Months Ended September 30, | |||||||||||
$ in millions | 2021 | 2020 | % Change | ||||||||
Revenues | |||||||||||
Advisory | $ | 2,416 | $ | 1,181 | 105 | % | |||||
Equity | 3,584 | 2,092 | 71 | % | |||||||
Fixed income | 1,838 | 1,629 | 13 | % | |||||||
Total Underwriting | 5,422 | 3,721 | 46 | % | |||||||
Total Investment banking | 7,838 | 4,902 | 60 | % | |||||||
Equity1 | 8,578 | 7,387 | 16 | % | |||||||
Fixed income1 | 6,288 | 7,057 | (11) | % | |||||||
Other1 | 460 | 160 | 188 | % | |||||||
Net revenues1 | $ | 23,164 | $ | 19,506 | 19 | % | |||||
Provision for credit losses1 | 1 | 718 | (100) | % | |||||||
Compensation and benefits | 7,795 | 6,767 | 15 | % | |||||||
Non-compensation expenses1 | 6,526 | 6,030 | 8 | % | |||||||
Total non-interest expenses1 | 14,321 | 12,797 | 12 | % | |||||||
Income before provision for income taxes | 8,842 | 5,991 | 48 | % | |||||||
Provision for income taxes | 2,023 | 1,326 | 53 | % | |||||||
Net income | 6,819 | 4,665 | 46 | % | |||||||
Net income applicable to noncontrolling interests | 85 | 75 | 13 | % | |||||||
Net income applicable to Morgan Stanley | $ | 6,734 | $ | 4,590 | 47 | % |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 1,707 | $ | 1,535 | 11 | % | ||
Trading | 2,807 | 2,533 | 11 | % | ||||
Investments | 87 | (18 | ) | N/M | ||||
Commissions and fees | 639 | 643 | (1 | )% | ||||
Asset management | 114 | 100 | 14 | % | ||||
Other | 114 | 51 | 124 | % | ||||
Total non-interest revenues | 5,468 | 4,844 | 13 | % | ||||
Interest income | 1,086 | 3,112 | (65 | )% | ||||
Interest expense | 492 | 2,933 | (83 | )% | ||||
Net interest | 594 | 179 | N/M | |||||
Net revenues | 6,062 | 5,023 | 21 | % | ||||
Compensation and benefits | 2,001 | 1,768 | 13 | % | ||||
Non-compensation expenses | 2,013 | 1,948 | 3 | % | ||||
Total non-interest expenses | 4,014 | 3,716 | 8 | % | ||||
Income before provision for income taxes | 2,048 | 1,307 | 57 | % | ||||
Provision for income taxes | 385 | 189 | 104 | % | ||||
Net income | 1,663 | 1,118 | 49 | % | ||||
Net income applicable to noncontrolling interests | 16 | 45 | (64 | )% | ||||
Net income applicable to Morgan Stanley | $ | 1,647 | $ | 1,073 | 53 | % |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 4,902 | $ | 4,158 | 18 | % | ||
Trading | 10,375 | 8,221 | 26 | % | ||||
Investments | 98 | 257 | (62 | )% | ||||
Commissions and fees | 2,230 | 1,889 | 18 | % | ||||
Asset management | 342 | 310 | 10 | % | ||||
Other | (628 | ) | 416 | N/M | ||||
Total non-interest revenues | 17,319 | 15,251 | 14 | % | ||||
Interest income | 4,809 | 9,457 | (49 | )% | ||||
Interest expense | 3,184 | 9,376 | (66 | )% | ||||
Net interest | 1,625 | 81 | N/M | |||||
Net revenues | 18,944 | 15,332 | 24 | % | ||||
Compensation and benefits | 6,767 | 5,376 | 26 | % | ||||
Non-compensation expenses | 6,186 | 5,591 | 11 | % | ||||
Total non-interest expenses | 12,953 | 10,967 | 18 | % | ||||
Income before provision for income taxes | 5,991 | 4,365 | 37 | % | ||||
Provision for income taxes | 1,326 | 703 | 89 | % | ||||
Net income | 4,665 | 3,662 | 27 | % | ||||
Net income applicable to noncontrolling interests | 75 | 97 | (23 | )% | ||||
Net income applicable to Morgan Stanley | $ | 4,590 | $ | 3,565 | 29 | % |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Advisory | $ | 357 | $ | 550 | (35 | )% | ||
Underwriting: | ||||||||
Equity | 874 | 401 | 118 | % | ||||
Fixed income | 476 | 584 | (18 | )% | ||||
Total Underwriting | 1,350 | 985 | 37 | % | ||||
Total Investment banking | $ | 1,707 | $ | 1,535 | 11 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in billions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Completed mergers and acquisitions1 | $ | 352 | $ | 110 | $ | 732 | $ | 662 | ||||||
Equity and equity-related offerings2, 3 | 22 | 26 | 92 | 75 | ||||||||||
Fixed income offerings2, 4 | 73 | 93 | 284 | 308 |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Advisory | $ | 1,181 | $ | 1,462 | (19 | )% | ||
Underwriting: | ||||||||
Equity | 2,092 | 1,286 | 63 | % | ||||
Fixed income | 1,629 | 1,410 | 16 | % | ||||
Total Underwriting | 3,721 | 2,696 | 38 | % | ||||
Total Investment banking | $ | 4,902 | $ | 4,158 | 18 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Completed mergers and acquisitions1 | $ | 88 | $ | 215 | $ | 633 | $ | 582 | ||||
Equity and equity-related offerings2, 3 | 25 | 17 | 74 | 47 | ||||||||
Fixed income offerings2, 4 | 91 | 90 | 304 | 211 |
2.Based on full credit for single book managers and equal credit for joint book managers. 3.Includes Rule 144A issuances and registered public offerings of common stock, convertible securities and rights offerings. 4.Includes Rule 144A and publicly registered issuances, non-convertible preferred stock, mortgage-backed and asset-backed securities, and taxable municipal debt. Excludes leveraged loans and self-led issuances. |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Trading | $ | 2,807 | $ | 2,533 | 11 | % | ||
Commissions and fees | 639 | 643 | (1 | )% | ||||
Asset management | 114 | 100 | 14 | % | ||||
Net interest | 594 | 179 | N/M | |||||
Total | $ | 4,154 | $ | 3,455 | 20 | % |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Trading | $ | 10,375 | $ | 8,221 | 26 | % | ||
Commissions and fees | 2,230 | 1,889 | 18 | % | ||||
Asset management | 342 | 310 | 10 | % | ||||
Net interest | 1,625 | 81 | N/M | |||||
Total | $ | 14,572 | $ | 10,501 | 39 | % |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Equity | $ | 2,262 | $ | 1,991 | 14 | % | ||
Fixed Income | 1,924 | 1,430 | 35 | % | ||||
Other | (32 | ) | 34 | (194 | )% | |||
Total | $ | 4,154 | $ | 3,455 | 20 | % |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Equity | $ | 7,303 | $ | 6,136 | 19 | % | ||
Fixed Income | 7,160 | 4,273 | 68 | % | ||||
Other | 109 | 92 | 18 | % | ||||
Total | $ | 14,572 | $ | 10,501 | 39 | % |
September | 9 |
Management’s Discussion and Analysis |
Three Months Ended September 30, 2020 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 929 | $ | 108 | $ | 116 | $ | 1,153 | ||||
Execution services | 606 | 580 | (77 | ) | 1,109 | |||||||
Total Equity | $ | 1,535 | $ | 688 | $ | 39 | $ | 2,262 | ||||
Total Fixed Income | $ | 1,420 | $ | 65 | $ | 439 | $ | 1,924 |
Three Months Ended September 30, 2019 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 1,049 | $ | 88 | $ | (90 | ) | $ | 1,047 | |||
Execution services | 446 | 564 | (66 | ) | 944 | |||||||
Total Equity | $ | 1,495 | $ | 652 | $ | (156 | ) | $ | 1,991 | |||
Total Fixed Income | $ | 1,329 | $ | 90 | $ | 11 | $ | 1,430 |
Nine Months Ended September 30, 2020 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 2,847 | $ | 325 | $ | 172 | $ | 3,344 | ||||
Execution services | 2,134 | 2,014 | (189 | ) | 3,959 | |||||||
Total Equity | $ | 4,981 | $ | 2,339 | $ | (17 | ) | $ | 7,303 | |||
Total Fixed Income | $ | 5,661 | $ | 234 | $ | 1,265 | $ | 7,160 |
Nine Months Ended September 30, 2019 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 3,249 | $ | 280 | $ | (500 | ) | $ | 3,029 | |||
Execution services | 1,597 | 1,671 | (161 | ) | 3,107 | |||||||
Total Equity | $ | 4,846 | $ | 1,951 | $ | (661 | ) | $ | 6,136 | |||
Total Fixed Income | $ | 4,200 | $ | 249 | $ | (176 | ) | $ | 4,273 |
Three Months Ended September 30, 2021 | |||||||||||||||||
Net Interest2 | All Other3 | ||||||||||||||||
$ in millions | Trading | Fees1 | Total | ||||||||||||||
Financing | $ | 1,204 | $ | 123 | $ | 130 | $ | 1 | $ | 1,458 | |||||||
Execution services | 832 | 612 | (62) | 36 | 1,418 | ||||||||||||
Total Equity | $ | 2,036 | $ | 735 | $ | 68 | $ | 37 | $ | 2,876 | |||||||
Total Fixed Income | $ | 1,029 | $ | 75 | $ | 479 | $ | 57 | $ | 1,640 |
Three Months Ended September 30, 20204 | |||||||||||||||||
Net Interest2 | All Other3 | ||||||||||||||||
$ in millions | Trading | Fees1 | Total | ||||||||||||||
Financing | $ | 929 | $ | 108 | $ | 116 | $ | — | $ | 1,153 | |||||||
Execution services | 606 | 580 | (77) | 49 | 1,158 | ||||||||||||
Total Equity | $ | 1,535 | $ | 688 | $ | 39 | $ | 49 | $ | 2,311 | |||||||
Total Fixed Income | $ | 1,420 | $ | 65 | $ | 442 | $ | 27 | $ | 1,954 |
Nine Months Ended September 30, 2021 | |||||||||||||||||
Net Interest2 | All Other3 | ||||||||||||||||
$ in millions | Trading | Fees1 | Total | ||||||||||||||
Financing | $ | 2,987 | $ | 374 | $ | 429 | $ | 7 | $ | 3,797 | |||||||
Execution services | 2,764 | 2,048 | (169) | 138 | 4,781 | ||||||||||||
Total Equity | $ | 5,751 | $ | 2,422 | $ | 260 | $ | 145 | $ | 8,578 | |||||||
Total Fixed Income | $ | 4,490 | $ | 228 | $ | 1,335 | $ | 235 | $ | 6,288 |
Nine Months Ended September 30, 20204 | |||||||||||||||||
Net Interest2 | All Other3 | ||||||||||||||||
$ in millions | Trading | Fees1 | Total | ||||||||||||||
Financing | $ | 2,847 | $ | 325 | $ | 172 | $ | 4 | $ | 3,348 | |||||||
Execution services | 2,134 | 2,014 | (189) | 80 | 4,039 | ||||||||||||
Total Equity | $ | 4,981 | $ | 2,339 | $ | (17) | $ | 84 | $ | 7,387 | |||||||
Total Fixed Income | $ | 5,661 | $ | 234 | $ | 1,274 | $ | (112) | $ | 7,057 |
10 | September 2021 Form 10-Q |
Management’s Discussion and Analysis |
September | 11 |
Management’s Discussion and Analysis |
Three Months Ended September 30, | |||||||||||
$ in millions | 2021 | 2020 | % Change | ||||||||
Revenues | |||||||||||
Asset management | $ | 3,628 | $ | 2,793 | 30 | % | |||||
Transactional1 | 832 | 880 | (5) | % | |||||||
Net interest | 1,348 | 889 | 52 | % | |||||||
Other1,2 | 127 | 92 | 38 | % | |||||||
Net revenues | 5,935 | 4,654 | 28 | % | |||||||
Provision for credit losses2 | — | (2) | 100 | % | |||||||
Compensation and benefits | 3,159 | 2,684 | 18 | % | |||||||
Non-compensation expenses | 1,246 | 852 | 46 | % | |||||||
Total non-interest expenses | 4,405 | 3,536 | 25 | % | |||||||
Income before provision for income taxes | $ | 1,530 | $ | 1,120 | 37 | % | |||||
Provision for income taxes | 373 | 278 | 34 | % | |||||||
Net income applicable to Morgan Stanley | $ | 1,157 | $ | 842 | 37 | % |
Nine Months Ended September 30, | |||||||||||
$ in millions | 2021 | 2020 | % Change | ||||||||
Revenues | |||||||||||
Asset management | $ | 10,266 | $ | 7,980 | 29 | % | |||||
Transactional1 | 3,232 | 2,354 | 37 | % | |||||||
Net interest | 3,988 | 2,815 | 42 | % | |||||||
Other1,2 | 503 | 265 | 90 | % | |||||||
Net revenues | 17,989 | 13,414 | 34 | % | |||||||
Provision for credit losses2 | (2) | 39 | (105) | % | |||||||
Compensation and benefits | 9,604 | 7,625 | 26 | % | |||||||
Non-compensation expenses | 3,621 | 2,433 | 49 | % | |||||||
Total non-interest expenses | 13,225 | 10,058 | 31 | % | |||||||
Income before provision for income taxes | $ | 4,766 | $ | 3,317 | 44 | % | |||||
Provision for income taxes | 1,103 | 758 | 46 | % | |||||||
Net income applicable to Morgan Stanley | $ | 3,663 | $ | 2,559 | 43 | % |
$ in billions | At September 30, 2021 | At December 31, 2020 | ||||||
Total client assets | $ | 4,629 | $ | 3,999 | ||||
U.S. Bank Subsidiary loans | $ | 121 | $ | 98 | ||||
Margin and other lending1 | $ | 29 | $ | 23 | ||||
Deposits2 | $ | 327 | $ | 306 | ||||
Annualized weighted average cost of deposits | 0.13% | 0.24% |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||
Net new assets3 | $ | 134.5 | $ | 51.8 | $ | 310.6 | $ | 109.3 |
$ in billions | At September 30, 2021 | At December 31, 2020 | |||||||||
Advisor-led client assets1 | $ | 3,647 | $ | 3,167 | |||||||
Fee-based client assets2 | $ | 1,752 | $ | 1,472 | |||||||
Fee-based client assets as a percentage of advisor-led client assets | 48% | 46% |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||
Fee-based asset flows3 | $ | 70.6 | $ | 23.8 | $ | 141.5 | $ | 53.3 |
$ in billions | At September 30, 2021 | At December 31, 2020 | |||||||||
Self-directed assets1 | $ | 982 | $ | 832 | |||||||
Self-directed households (in millions)2 | 7.4 | 6.7 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||
Daily average revenue trades (“DARTs”) (in thousands)3 | 959 | 6 | 1,200 | 6 |
12 | September 2021 Form 10-Q |
Management’s Discussion and Analysis |
$ in billions | At September 30, 2021 | At December 31, 2020 | |||||||||
Workplace unvested assets2 | $ | 495 | $ | 435 | |||||||
Number of participants (in millions)3 | 5.3 | 4.9 |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 135 | $ | 118 | 14 | % | ||
Trading | 268 | 61 | N/M | |||||
Investments | 1 | — | N/M | |||||
Commissions and fees | 477 | 416 | 15 | % | ||||
Asset management | 2,793 | 2,639 | 6 | % | ||||
Other | 94 | 81 | 16 | % | ||||
Total non-interest revenues | 3,768 | 3,315 | 14 | % | ||||
Interest income | 1,065 | 1,378 | (23 | )% | ||||
Interest expense | 176 | 335 | (47 | )% | ||||
Net interest | 889 | 1,043 | (15 | )% | ||||
Net revenues | 4,657 | 4,358 | 7 | % | ||||
Compensation and benefits | 2,684 | 2,340 | 15 | % | ||||
Non-compensation expenses | 853 | 780 | 9 | % | ||||
Total non-interest expenses | 3,537 | 3,120 | 13 | % | ||||
Income before provision for income taxes | $ | 1,120 | $ | 1,238 | (10 | )% | ||
Provision for income taxes | 278 | 276 | 1 | % | ||||
Net income applicable to Morgan Stanley | $ | 842 | $ | 962 | (12 | )% |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 403 | $ | 365 | 10 | % | ||
Trading | 413 | 525 | (21 | )% | ||||
Investments | 9 | 1 | N/M | |||||
Commissions and fees | 1,538 | 1,250 | 23 | % | ||||
Asset management | 7,980 | 7,544 | 6 | % | ||||
Other | 216 | 281 | (23 | )% | ||||
Total non-interest revenues | 10,559 | 9,966 | 6 | % | ||||
Interest income | 3,468 | 4,139 | (16 | )% | ||||
Interest expense | 653 | 950 | (31 | )% | ||||
Net interest | 2,815 | 3,189 | (12 | )% | ||||
Net revenues | 13,374 | 13,155 | 2 | % | ||||
Compensation and benefits | 7,625 | 7,184 | 6 | % | ||||
Non-compensation expenses | 2,432 | 2,302 | 6 | % | ||||
Total non-interest expenses | 10,057 | 9,486 | 6 | % | ||||
Income before provision for income taxes | $ | 3,317 | $ | 3,669 | (10 | )% | ||
Provision for income taxes | 758 | 830 | (9 | )% | ||||
Net income applicable to Morgan Stanley | $ | 2,559 | $ | 2,839 | (10 | )% |
At September 30, 2020 | At December 31, 2019 | |||||
$ in billions, except employee data | ||||||
Client assets | $ | 2,852 | $ | 2,700 | ||
Fee-based client assets1 | $ | 1,333 | $ | 1,267 | ||
Fee-based client assets as a percentage of total client assets | 47 | % | 47 | % | ||
Client liabilities2 | $ | 100 | $ | 90 | ||
Investment securities | $ | 88.6 | $ | 67.2 | ||
Loans and lending commitments | $ | 105.9 | $ | 93.2 | ||
Wealth Management representatives | 15,469 | 15,468 |
Three Months Ended September 30, | ||||||
2020 | 2019 | |||||
Per representative: | ||||||
Annualized revenues ($ in thousands)3 | $ | 1,207 | $ | 1,118 | ||
Client assets ($ in millions)4 | $ | 184 | $ | 165 | ||
Fee-based asset flows ($ in billions)5 | $ | 23.8 | $ | 15.5 |
Nine Months Ended September 30, | ||||||
2020 | 2019 | |||||
Per representative: | ||||||
Annualized revenues ($ in thousands)3 | $ | 1,155 | $ | 1,121 | ||
Client assets ($ in millions)4 | $ | 184 | $ | 165 | ||
Fee-based asset flows ($ in billions)5 | $ | 53.3 | $ | 40.1 |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Investment banking | $ | 135 | $ | 118 | 14 | % | ||
Trading | 268 | 61 | N/M | |||||
Commissions and fees | 477 | 416 | 15 | % | ||||
Total | $ | 880 | $ | 595 | 48 | % | ||
Transactional revenues as a % of Net revenues | 19 | % | 14 | % |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Investment banking | $ | 403 | $ | 365 | 10 | % | ||
Trading | 413 | 525 | (21 | )% | ||||
Commissions and fees | 1,538 | 1,250 | 23 | % | ||||
Total | $ | 2,354 | $ | 2,140 | 10 | % | ||
Transactional revenues as a % of Net revenues | 18 | % | 16 | % |
$ in billions | At June 30, 2020 | Inflows | Outflows | Market Impact | At September 30, 2020 | ||||||||||
Separately managed1 | $ | 313 | $ | 19 | $ | (4 | ) | $ | 14 | $ | 342 | ||||
Unified managed | 305 | 16 | (12 | ) | 18 | 327 | |||||||||
Advisor | 149 | 8 | (8 | ) | 9 | 158 | |||||||||
Portfolio manager | 431 | 21 | (16 | ) | 23 | 459 | |||||||||
Subtotal | $ | 1,198 | $ | 64 | $ | (40 | ) | $ | 64 | $ | 1,286 | ||||
Cash management | 38 | 12 | (3 | ) | — | 47 | |||||||||
Total fee-based client assets | $ | 1,236 | $ | 76 | $ | (43 | ) | $ | 64 | $ | 1,333 |
$ in billions | At June 30, 2019 | Inflows | Outflows | Market Impact | At September 30, 2019 | ||||||||||
Separately managed1 | $ | 296 | $ | 15 | $ | (5 | ) | $ | 6 | $ | 312 | ||||
Unified managed | 292 | 12 | (10 | ) | 1 | 295 | |||||||||
Advisor | 149 | 7 | (8 | ) | — | 148 | |||||||||
Portfolio manager | 400 | 19 | (14 | ) | 2 | 407 | |||||||||
Subtotal | $ | 1,137 | $ | 53 | $ | (37 | ) | $ | 9 | $ | 1,162 | ||||
Cash management | 22 | 4 | (3 | ) | 1 | 24 | |||||||||
Total fee-based client assets | $ | 1,159 | $ | 57 | $ | (40 | ) | $ | 10 | $ | 1,186 |
$ in billions | At December 31, 2019 | Inflows | Outflows | Market Impact | At September 30, 2020 | ||||||||||
Separately managed1 | $ | 322 | $ | 37 | $ | (14 | ) | $ | (3 | ) | $ | 342 | |||
Unified managed | 313 | 43 | (33 | ) | 4 | 327 | |||||||||
Advisor | 155 | 22 | (21 | ) | 2 | 158 | |||||||||
Portfolio manager | 435 | 62 | (43 | ) | 5 | 459 | |||||||||
Subtotal | $ | 1,225 | $ | 164 | $ | (111 | ) | $ | 8 | $ | 1,286 | ||||
Cash management | 42 | 21 | (16 | ) | — | 47 | |||||||||
Total fee-based client assets | $ | 1,267 | $ | 185 | $ | (127 | ) | $ | 8 | $ | 1,333 |
$ in billions | At December 31, 2018 | Inflows | Outflows | Market Impact | At September 30, 2019 | ||||||||||
Separately managed1 | $ | 279 | $ | 38 | $ | (15 | ) | $ | 10 | $ | 312 | ||||
Unified managed | 257 | 35 | (30 | ) | 33 | 295 | |||||||||
Advisor | 137 | 20 | (24 | ) | 15 | 148 | |||||||||
Portfolio manager | 353 | 54 | (38 | ) | 38 | 407 | |||||||||
Subtotal | $ | 1,026 | $ | 147 | $ | (107 | ) | $ | 96 | $ | 1,162 | ||||
Cash management | 20 | 12 | (12 | ) | 4 | 24 | |||||||||
Total fee-based client assets | $ | 1,046 | $ | 159 | $ | (119 | ) | $ | 100 | $ | 1,186 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||
Fee rate in bps | 2020 | 2019 | 2020 | 2019 | ||||
Separately managed | 15 | 15 | 14 | 15 | ||||
Unified managed | 99 | 99 | 99 | 100 | ||||
Advisor | 85 | 86 | 85 | 87 | ||||
Portfolio manager | 94 | 96 | 94 | 95 | ||||
Subtotal | 73 | 74 | 72 | 74 | ||||
Cash management | 5 | 6 | 5 | 6 | ||||
Total fee-based client assets | 71 | 73 | 70 | 73 |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Trading | $ | 2 | $ | 2 | — | % | ||
Investments | 258 | 105 | 146 | % | ||||
Commissions and fees | 1 | 1 | — | % | ||||
Asset management | 795 | 664 | 20 | % | ||||
Other | 1 | — | N/M | |||||
Total non-interest revenues | 1,057 | 772 | 37 | % | ||||
Interest income | 7 | 4 | 75 | % | ||||
Interest expense | 8 | 12 | (33 | )% | ||||
Net interest | (1 | ) | (8 | ) | 88 | % | ||
Net revenues | 1,056 | 764 | 38 | % | ||||
Compensation and benefits | 401 | 319 | 26 | % | ||||
Non-compensation expenses | 340 | 280 | 21 | % | ||||
Total non-interest expenses | 741 | 599 | 24 | % | ||||
Income before provision for income taxes | 315 | 165 | 91 | % | ||||
Provision for income taxes | 72 | 27 | 167 | % | ||||
Net income | 243 | 138 | 76 | % | ||||
Net income applicable to noncontrolling interests | 18 | — | N/M | |||||
Net income applicable to Morgan Stanley | $ | 225 | $ | 138 | 63 | % |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | — | $ | (1 | ) | 100 | % | |
Trading | (13 | ) | (2 | ) | N/M | |||
Investments | 552 | 543 | 2 | % | ||||
Commissions and fees | 1 | 1 | — | % | ||||
Asset management | 2,144 | 1,893 | 13 | % | ||||
Other | (39 | ) | (6 | ) | N/M | |||
Total non-interest revenues | 2,645 | 2,428 | 9 | % | ||||
Interest income | 22 | 14 | 57 | % | ||||
Interest expense | 33 | 35 | (6 | )% | ||||
Net interest | (11 | ) | (21 | ) | 48 | % | ||
Net revenues | 2,634 | 2,407 | 9 | % | ||||
Compensation and benefits | 1,012 | 1,049 | (4 | )% | ||||
Non-compensation expenses | 948 | 820 | 16 | % | ||||
Total non-interest expenses | 1,960 | 1,869 | 5 | % | ||||
Income before provision for income taxes | 674 | 538 | 25 | % | ||||
Provision for income taxes | 136 | 104 | 31 | % | ||||
Net income | 538 | 434 | 24 | % | ||||
Net income applicable to noncontrolling interests | 81 | 32 | 153 | % | ||||
Net income applicable to Morgan Stanley | $ | 457 | $ | 402 | 14 | % |
$ in billions | At June 30, 2021 | Inflows1 | Outflows | Market Impact | At September 30, 2021 | |||||||||||||||
Separately managed2 | $ | 407 | $ | 51 | $ | (4) | $ | 14 | $ | 468 | ||||||||||
Unified managed | 436 | 27 | (18) | (6) | 439 | |||||||||||||||
Advisor | 201 | 11 | (9) | (2) | 201 | |||||||||||||||
Portfolio manager | 590 | 29 | (16) | (7) | 596 | |||||||||||||||
Subtotal | $ | 1,634 | $ | 118 | $ | (47) | $ | (1) | $ | 1,704 | ||||||||||
Cash management | 46 | 9 | (7) | — | 48 | |||||||||||||||
Total fee-based client assets | $ | 1,680 | $ | 127 | $ | (54) | $ | (1) | $ | 1,752 |
$ in billions | At June 30, 2020 | Inflows | Outflows | Market Impact | At September 30, 2020 | ||||||||||||
Separately managed2 | $ | 313 | $ | 19 | $ | (4) | $ | 14 | $ | 342 | |||||||
Unified managed | 305 | 16 | (12) | 18 | 327 | ||||||||||||
Advisor | 149 | 8 | (8) | 9 | 158 | ||||||||||||
Portfolio manager | 431 | 21 | (16) | 23 | 459 | ||||||||||||
Subtotal | $ | 1,198 | $ | 64 | $ | (40) | $ | 64 | $ | 1,286 | |||||||
Cash management | 38 | 12 | (3) | — | 47 | ||||||||||||
Total fee-based client assets | $ | 1,236 | $ | 76 | $ | (43) | $ | 64 | $ | 1,333 |
September 2021 Form 10-Q | 13 |
Management’s Discussion and Analysis |
$ in billions | At December 31, 2020 | Inflows1 | Outflows | Market Impact | At September 30, 2021 | |||||||||||||||
Separately managed2 | $ | 359 | $ | 77 | $ | (15) | $ | 47 | $ | 468 | ||||||||||
Unified managed | 379 | 75 | (42) | 27 | 439 | |||||||||||||||
Advisor | 177 | 30 | (23) | 17 | 201 | |||||||||||||||
Portfolio manager | 509 | 84 | (44) | 47 | 596 | |||||||||||||||
Subtotal | $ | 1,424 | $ | 266 | $ | (124) | $ | 138 | $ | 1,704 | ||||||||||
Cash management | 48 | 22 | (22) | — | 48 | |||||||||||||||
Total fee-based client assets | $ | 1,472 | $ | 288 | $ | (146) | $ | 138 | $ | 1,752 |
$ in billions | At December 31, 2019 | Inflows | Outflows | Market Impact | At September 30, 2020 | ||||||||||||
Separately managed2 | $ | 322 | $ | 37 | $ | (14) | $ | (3) | $ | 342 | |||||||
Unified managed | 313 | 43 | (33) | 4 | 327 | ||||||||||||
Advisor | 155 | 22 | (21) | 2 | 158 | ||||||||||||
Portfolio manager | 435 | 62 | (43) | 5 | 459 | ||||||||||||
Subtotal | $ | 1,225 | $ | 164 | $ | (111) | $ | 8 | $ | 1,286 | |||||||
Cash management | 42 | 21 | (16) | — | 47 | ||||||||||||
Total fee-based client assets | $ | 1,267 | $ | 185 | $ | (127) | $ | 8 | $ | 1,333 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
Fee rate in bps | 2021 | 2020 | 2021 | 2020 | ||||||||||
Separately managed | 14 | 15 | 14 | 14 | ||||||||||
Unified managed | 95 | 99 | 96 | 99 | ||||||||||
Advisor | 82 | 85 | 82 | 85 | ||||||||||
Portfolio manager | 93 | 94 | 93 | 94 | ||||||||||
Subtotal | 71 | 73 | 72 | 72 | ||||||||||
Cash management | 5 | 5 | 5 | 5 | ||||||||||
Total fee-based client assets | 70 | 71 | 70 | 70 |
14 | September 2021 Form 10-Q |
Management’s Discussion and Analysis |
Three Months Ended September 30, | |||||||||||
$ in millions | 2021 | 2020 | % Change | ||||||||
Revenues | |||||||||||
Asset management and related fees | $ | 1,470 | $ | 795 | 85 | % | |||||
Performance-based income and other1 | (17) | 261 | (107) | % | |||||||
Net revenues | 1,453 | 1,056 | 38 | % | |||||||
Compensation and benefits | 513 | 401 | 28 | % | |||||||
Non-compensation expenses | 570 | 340 | 68 | % | |||||||
Total non-interest expenses | 1,083 | 741 | 46 | % | |||||||
Income before provision for income taxes | 370 | 315 | 17 | % | |||||||
Provision for income taxes | 64 | 72 | (11) | % | |||||||
Net income | 306 | 243 | 26 | % | |||||||
Net income (loss) applicable to noncontrolling interests | (14) | 18 | (178) | % | |||||||
Net income applicable to Morgan Stanley | $ | 320 | $ | 225 | 42 | % |
Nine Months Ended September 30, | |||||||||||
$ in millions | 2021 | 2020 | % Change | ||||||||
Revenues | |||||||||||
Asset management and related fees | $ | 3,991 | $ | 2,144 | 86 | % | |||||
Performance-based income and other1 | 478 | 490 | (2) | % | |||||||
Net revenues | 4,469 | 2,634 | 70 | % | |||||||
Compensation and benefits | 1,742 | 1,012 | 72 | % | |||||||
Non-compensation expenses | 1,557 | 948 | 64 | % | |||||||
Total non-interest expenses | 3,299 | 1,960 | 68 | % | |||||||
Income before provision for income taxes | 1,170 | 674 | 74 | % | |||||||
Provision for income taxes | 253 | 136 | 86 | % | |||||||
Net income | 917 | 538 | 70 | % | |||||||
Net income (loss) applicable to noncontrolling interests | (19) | 81 | (123) | % | |||||||
Net income applicable to Morgan Stanley | $ | 936 | $ | 457 | 105 | % |
September 2021 Form 10-Q | 15 |
Management’s Discussion and Analysis |
$ in billions | Equity | Fixed income | Alternatives and Solutions | Long-term AUM Subtotal | Liquidity and Overlay Services | Total | ||||||||||||||
June 30, 2021 | $ | 404 | $ | 207 | $ | 445 | $ | 1,056 | $ | 468 | $ | 1,524 | ||||||||
Inflows | 18 | 17 | 24 | 59 | 462 | 521 | ||||||||||||||
Outflows | (19) | (16) | (23) | (58) | (448) | (506) | ||||||||||||||
Market Impact | (12) | — | — | (12) | — | (12) | ||||||||||||||
Other | — | (2) | (3) | (5) | — | (5) | ||||||||||||||
September 30, 2021 | $ | 391 | $ | 206 | $ | 443 | $ | 1,040 | $ | 482 | $ | 1,522 |
$ in billions | At June 30, 2020 | Inflows | Outflows | Market Impact | Other | At September 30, 2020 | ||||||||||||
Equity | $ | 168 | $ | 24 | $ | (14 | ) | $ | 23 | $ | 1 | $ | 202 | |||||
Fixed income | 84 | 8 | (5 | ) | 1 | 4 | 92 | |||||||||||
Alternative/Other | 145 | 6 | (7 | ) | 4 | 2 | 150 | |||||||||||
Long-term AUM subtotal | 397 | 38 | (26 | ) | 28 | 7 | 444 | |||||||||||
Liquidity | 268 | 319 | (317 | ) | — | 1 | 271 | |||||||||||
Total AUM | $ | 665 | $ | 357 | $ | (343 | ) | $ | 28 | $ | 8 | $ | 715 |
$ in billions | Equity | Fixed income | Alternatives and Solutions | Long-term AUM Subtotal | Liquidity and Overlay Services | Total | ||||||||||||||
June 30, 2020 | $ | 168 | $ | 84 | $ | 145 | $ | 397 | $ | 268 | $ | 665 | ||||||||
Inflows | 24 | 8 | 6 | 38 | 319 | 357 | ||||||||||||||
Outflows | (14) | (5) | (7) | (26) | (317) | (343) | ||||||||||||||
Market Impact | 23 | 1 | 4 | 28 | — | 28 | ||||||||||||||
Other | 1 | 4 | 2 | 7 | 1 | 8 | ||||||||||||||
September 30, 2020 | $ | 202 | $ | 92 | $ | 150 | $ | 444 | $ | 271 | $ | 715 |
$ in billions | Equity | Fixed income | Alternatives and Solutions | Long-term AUM Subtotal | Liquidity and Overlay Services | Total | ||||||||||||||
December 31, 2020 | $ | 242 | $ | 98 | $ | 153 | $ | 493 | $ | 288 | $ | 781 | ||||||||
Inflows | 73 | 49 | 68 | 190 | 1,375 | 1,565 | ||||||||||||||
Outflows | (63) | (40) | (53) | (156) | (1,300) | (1,456) | ||||||||||||||
Market Impact | 23 | 1 | 29 | 53 | 4 | 57 | ||||||||||||||
Acquired1 | 119 | 103 | 251 | 473 | 116 | 589 | ||||||||||||||
Other | (3) | (5) | (5) | (13) | (1) | (14) | ||||||||||||||
September 30, 2021 | $ | 391 | $ | 206 | $ | 443 | $ | 1,040 | $ | 482 | $ | 1,522 |
$ in billions | At June 30, 2019 | Inflows | Outflows | Market Impact | Other | At September 30, 2019 | ||||||||||||
Equity | $ | 128 | $ | 10 | $ | (8 | ) | $ | (4 | ) | $ | — | $ | 126 | ||||
Fixed income | 71 | 6 | (4 | ) | 2 | (1 | ) | 74 | ||||||||||
Alternative/Other | 135 | 5 | (4 | ) | 2 | (3 | ) | 135 | ||||||||||
Long-term AUM subtotal | 334 | 21 | (16 | ) | — | (4 | ) | 335 | ||||||||||
Liquidity | 163 | 311 | (301 | ) | (1 | ) | — | 172 | ||||||||||
Total AUM | $ | 497 | $ | 332 | $ | (317 | ) | $ | (1 | ) | $ | (4 | ) | $ | 507 |
$ in billions | Equity | Fixed income | Alternatives and Solutions | Long-term AUM Subtotal | Liquidity and Overlay Services | Total | ||||||||||||||
December 31, 2019 | $ | 138 | $ | 79 | $ | 139 | $ | 356 | $ | 196 | $ | 552 | ||||||||
Inflows | 56 | 29 | 21 | 106 | 1,174 | 1,280 | ||||||||||||||
Outflows | (35) | (20) | (15) | (70) | (1,100) | (1,170) | ||||||||||||||
Market Impact | 42 | 1 | (1) | 42 | 1 | 43 | ||||||||||||||
Other | 1 | 3 | 6 | 10 | — | 10 | ||||||||||||||
September 30, 2020 | $ | 202 | $ | 92 | $ | 150 | $ | 444 | $ | 271 | $ | 715 |
$ in billions | At December 31, 2019 | Inflows | Outflows | Market Impact | Other | At September 30, 2020 | ||||||||||||
Equity | $ | 138 | $ | 56 | $ | (35 | ) | $ | 42 | $ | 1 | $ | 202 | |||||
Fixed income | 79 | 29 | (20 | ) | 1 | 3 | 92 | |||||||||||
Alternative/Other | 139 | 21 | (15 | ) | (1 | ) | 6 | 150 | ||||||||||
Long-term AUM subtotal | 356 | 106 | (70 | ) | 42 | 10 | 444 | |||||||||||
Liquidity | 196 | 1,174 | (1,100 | ) | 1 | — | 271 | |||||||||||
Total AUM | $ | 552 | $ | 1,280 | $ | (1,170 | ) | $ | 43 | $ | 10 | $ | 715 |
$ in billions | At December 31, 2018 | Inflows | Outflows | Market Impact | Other | At September 30, 2019 | ||||||||||||
Equity | $ | 103 | $ | 28 | $ | (23 | ) | $ | 18 | $ | — | $ | 126 | |||||
Fixed income | 68 | 17 | (15 | ) | 5 | (1 | ) | 74 | ||||||||||
Alternative/Other | 128 | 17 | (14 | ) | 8 | (4 | ) | 135 | ||||||||||
Long-term AUM subtotal | 299 | 62 | (52 | ) | 31 | (5 | ) | 335 | ||||||||||
Liquidity | 164 | 965 | (956 | ) | 1 | (2 | ) | 172 | ||||||||||
Total AUM | $ | 463 | $ | 1,027 | $ | (1,008 | ) | $ | 32 | $ | (7 | ) | $ | 507 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in billions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Equity | $ | 402 | $ | 190 | $ | 350 | $ | 159 | ||||||
Fixed income | 207 | 90 | 173 | 84 | ||||||||||
Alternatives and Solutions | 451 | 148 | 356 | 143 | ||||||||||
Long-term AUM subtotal | 1,060 | 428 | 879 | 386 | ||||||||||
Liquidity and Overlay Services | 476 | 267 | 413 | 244 | ||||||||||
Total AUM | $ | 1,536 | $ | 695 | $ | 1,292 | $ | 630 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Equity | $ | 190 | $ | 127 | $ | 159 | $ | 120 | ||||
Fixed income | 90 | 73 | 84 | 70 | ||||||||
Alternative/Other | 148 | 135 | 143 | 133 | ||||||||
Long-term AUM subtotal | 428 | 335 | 386 | 323 | ||||||||
Liquidity | 267 | 169 | 244 | 166 | ||||||||
Total AUM | $ | 695 | 504 | $ | 630 | $ | 489 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
Fee rate in bps | 2021 | 2020 | 2021 | 2020 | ||||||||||
Equity | 72 | 76 | 76 | 75 | ||||||||||
Fixed income | 37 | 29 | 38 | 29 | ||||||||||
Alternatives and Solutions | 32 | 58 | 37 | 59 | ||||||||||
Long-term AUM | 48 | 60 | 53 | 59 | ||||||||||
Liquidity and Overlay Services | 5 | 15 | 6 | 16 | ||||||||||
Total AUM | 35 | 43 | 38 | 42 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||
Fee rate in bps | 2020 | 2019 | 2020 | 2019 | ||
Equity | 76 | 76 | 75 | 76 | ||
Fixed income | 29 | 32 | 29 | 32 | ||
Alternative/Other | 58 | 62 | 59 | 65 | ||
Long-term AUM | 60 | 61 | 59 | 62 | ||
Liquidity | 15 | 17 | 16 | 17 | ||
Total AUM | 43 | 46 | 42 | 47 |
16 | September |
Management’s Discussion and Analysis |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
U.S. GAAP | 21.1 | % | 18.2 | % | 22.2 | % | 19.1 | % | ||||
Adjusted effective income tax rate—non-GAAP1 | 24.3 | % | 21.4 | % | 22.3 | % | 21.3 | % | ||||
Net discrete tax provisions (benefits) | ||||||||||||
Recurring2 | $ | — | $ | — | $ | (94 | ) | $ | (127 | ) | ||
Intermittent3 | (113 | ) | (89 | ) | (10 | ) | (190 | ) |
$ in billions | At September 30, 2021 | At December 31, 2020 | ||||||
Investment securities portfolio: | ||||||||
Investment securities—AFS | $ | 81.1 | $ | 90.3 | ||||
Investment securities—HTM | 63.0 | 52.6 | ||||||
Total investment securities | $ | 144.1 | $ | 142.9 | ||||
Wealth Management Loans2 | ||||||||
Residential real estate | $ | 41.4 | $ | 35.2 | ||||
Securities-based lending and Other3 | 79.8 | 62.9 | ||||||
Total, net of ACL | $ | 121.2 | $ | 98.1 | ||||
Institutional Securities Loans2 | ||||||||
Corporate | $ | 8.1 | $ | 7.9 | ||||
Secured lending facilities | 29.0 | 27.4 | ||||||
Commercial and Residential real estate | 10.1 | 10.1 | ||||||
Securities-based lending and Other | 6.2 | 5.4 | ||||||
Total, net of ACL | $ | 53.4 | $ | 50.8 | ||||
Total Assets | $ | 367.1 | $ | 346.5 | ||||
Deposits4 | $ | 326.9 | $ | 309.7 |
$ in billions | At September 30, 2020 | At December 31, 2019 | ||||
Assets | $ | 266.2 | $ | 219.6 | ||
Investment securities portfolio: | ||||||
Investment securities—AFS | 62.9 | 42.4 | ||||
Investment securities—HTM | 28.2 | 26.1 | ||||
Total investment securities | $ | 91.1 | $ | 68.5 | ||
Deposits2 | $ | 238.0 | $ | 189.3 | ||
Wealth Management Loans3 | ||||||
Residential real estate | $ | 33.6 | $ | 30.2 | ||
Securities-based lending and Other4 | 57.7 | 49.9 | ||||
Total | $ | 91.3 | $ | 80.1 | ||
Institutional Securities Loans3 | ||||||
Corporate | $ | 7.8 | $ | 5.6 | ||
Secured lending facilities | 28.2 | 26.8 | ||||
Commercial and Residential real estate | 8.6 | 12.0 | ||||
Securities-based lending and Other | 4.7 | 5.4 | ||||
Total | $ | 49.3 | $ | 49.8 |
3.Other loans primarily include tailored lending. 4.For further information on deposits, see “Liquidity and Capital Resources—Funding Management—Unsecured Financing” herein. |
September 2021 Form 10-Q | 17 |
Management’s Discussion and Analysis |
At September 30, 2021 | ||||||||||||||
$ in millions | IS | WM | IM | Total | ||||||||||
Assets | ||||||||||||||
Cash and cash equivalents | $ | 98,346 | $ | 24,880 | $ | 637 | $ | 123,863 | ||||||
Trading assets at fair value | 309,467 | 1,339 | 4,355 | 315,161 | ||||||||||
Investment securities | 40,631 | 142,800 | — | 183,431 | ||||||||||
Securities purchased under agreements to resell | 104,040 | 15,681 | — | 119,721 | ||||||||||
Securities borrowed | 124,329 | 1,593 | — | 125,922 | ||||||||||
Customer and other receivables | 62,270 | 34,872 | 1,211 | 98,353 | ||||||||||
Loans1 | 52,117 | 121,237 | 5 | 173,359 | ||||||||||
Other assets2 | 17,052 | 22,232 | 11,382 | 50,666 | ||||||||||
Total assets | $ | 808,252 | $ | 364,634 | $ | 17,590 | $ | 1,190,476 |
At September 30, 2020 | ||||||||||||
$ in millions | IS | WM | IM | Total | ||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | 72,592 | $ | 22,018 | $ | 162 | $ | 94,772 | ||||
Trading assets at fair value | 289,528 | 298 | 4,142 | 293,968 | ||||||||
Investment securities | 42,149 | 88,556 | — | 130,705 | ||||||||
Securities purchased under agreements to resell | 73,637 | 14,646 | — | 88,283 | ||||||||
Securities borrowed | 100,175 | 628 | — | 100,803 | ||||||||
Customer and other receivables | 57,593 | 14,067 | 877 | 72,537 | ||||||||
Loans1 | 54,918 | 91,302 | 17 | 146,237 | ||||||||
Other assets2 | 13,731 | 12,910 | 1,994 | 28,635 | ||||||||
Total assets | $ | 704,323 | $ | 244,425 | $ | 7,192 | $ | 955,940 |
At December 31, 2019 | At December 31, 2020 | |||||||||||||||||||||||||
$ in millions | IS | WM | IM | Total | $ in millions | IS | WM | IM | Total | |||||||||||||||||
Assets | Assets | |||||||||||||||||||||||||
Cash and cash equivalents | $ | 67,657 | $ | 14,247 | $ | 267 | $ | 82,171 | Cash and cash equivalents | $ | 74,281 | $ | 31,275 | $ | 98 | $ | 105,654 | |||||||||
Trading assets at fair value | 293,477 | 47 | 3,586 | 297,110 | Trading assets at fair value | 308,413 | 280 | 4,045 | 312,738 | |||||||||||||||||
Investment securities | 38,524 | 67,201 | — | 105,725 | Investment securities | 41,630 | 140,524 | — | 182,154 | |||||||||||||||||
Securities purchased under agreements to resell | 80,744 | 7,480 | — | 88,224 | Securities purchased under agreements to resell | 84,998 | 31,236 | — | 116,234 | |||||||||||||||||
Securities borrowed | 106,199 | 350 | — | 106,549 | Securities borrowed | 110,480 | 1,911 | — | 112,391 | |||||||||||||||||
Customer and other receivables | 39,743 | 15,190 | 713 | 55,646 | Customer and other receivables | 67,085 | 29,781 | 871 | 97,737 | |||||||||||||||||
Loans1 | 50,557 | 80,075 | 5 | 130,637 | Loans1 | 52,449 | 98,130 | 18 | 150,597 | |||||||||||||||||
Other assets2 | 14,300 | 13,092 | 1,975 | 29,367 | Other assets2 | 13,986 | 22,458 | 1,913 | 38,357 | |||||||||||||||||
Total assets | $ | 691,201 | $ | 197,682 | $ | 6,546 | $ | 895,429 | Total assets | $ | 753,322 | $ | 355,595 | $ | 6,945 | $ | 1,115,862 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Cash deposits with central banks | $ | 62,808 | $ | 49,669 | ||||
Unencumbered HQLA Securities1: | ||||||||
U.S. government obligations | 138,588 | 136,555 | ||||||
U.S. agency and agency mortgage-backed securities | 107,714 | 99,659 | ||||||
Non-U.S. sovereign obligations2 | 28,315 | 39,745 | ||||||
Other investment grade securities | 632 | 2,053 | ||||||
Total HQLA1 | $ | 338,057 | $ | 327,681 | ||||
Cash deposits with banks (non-HQLA) | 8,232 | 10,942 | ||||||
Total Liquidity Resources | $ | 346,289 | $ | 338,623 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Cash deposits with central banks | $ | 41,639 | $ | 35,025 | ||
Unencumbered HQLA Securities2: | ||||||
U.S. government obligations | 113,058 | 88,754 | ||||
U.S. agency and agency mortgage-backed securities | 63,961 | 50,732 | ||||
Non-U.S. sovereign obligations3 | 37,470 | 29,909 | ||||
Other investment grade securities | 1,398 | 1,591 | ||||
Total HQLA2 | $ | 257,526 | $ | 206,011 | ||
Cash deposits with banks (non-HQLA) | 9,766 | 9,857 | ||||
Total Liquidity Resources | $ | 267,292 | $ | 215,868 |
At September 30, 2021 | At December 31, 2020 | Average Daily Balance Three Months Ended | |||||||||
$ in millions | September 30, 2021 | ||||||||||
Bank legal entities | |||||||||||
U.S. | $ | 168,880 | $ | 178,033 | $ | 173,306 | |||||
Non-U.S. | 12,172 | 7,670 | 11,451 | ||||||||
Total Bank legal entities | 181,052 | 185,703 | 184,757 | ||||||||
Non-Bank legal entities | |||||||||||
U.S.: | |||||||||||
Parent Company | 55,918 | 59,468 | 71,622 | ||||||||
Non-Parent Company | 53,565 | 33,368 | 45,116 | ||||||||
Total U.S. | 109,483 | 92,836 | 116,738 | ||||||||
Non-U.S. | 55,754 | 60,084 | 56,815 | ||||||||
Total Non-Bank legal entities | 165,237 | 152,920 | 173,553 | ||||||||
Total Liquidity Resources | $ | 346,289 | $ | 338,623 | $ | 358,310 |
$ in millions | At September 30, 2020 | At December 31, 2019 | Average Daily Balance Three Months Ended September 30, 2020 | ||||||
Bank legal entities | |||||||||
Domestic | $ | 115,821 | $ | 75,894 | $ | 113,991 | |||
Foreign | 5,384 | 4,049 | 5,624 | ||||||
Total Bank legal entities | 121,205 | 79,943 | 119,615 | ||||||
Non-Bank legal entities | |||||||||
Domestic: | |||||||||
Parent Company | 62,561 | 53,128 | 74,587 | ||||||
Non-Parent Company | 30,215 | 28,905 | 34,341 | ||||||
Total Domestic | 92,776 | 82,033 | 108,928 | ||||||
Foreign | 53,311 | 53,892 | 55,933 | ||||||
Total Non-Bank legal entities | 146,087 | 135,925 | 164,861 | ||||||
Total Liquidity Resources | $ | 267,292 | $ | 215,868 | $ | 284,476 |
September 2021 Form 10-Q |
Management’s Discussion and Analysis |
Average Daily Balance Three Months Ended | ||||||||
$ in millions | September 30, 2021 | June 30, 2021 | ||||||
Eligible HQLA1 | ||||||||
Cash deposits with central banks | $ | 66,288 | $ | 56,430 | ||||
Securities2 | 174,068 | 171,729 | ||||||
Total Eligible HQLA1 | $ | 240,356 | $ | 228,159 | ||||
LCR | 134 | % | 126 | % |
Average Daily Balance Three Months Ended | ||||||
$ in millions | September 30, 2020 | June 30, 2020 | ||||
Eligible HQLA1 | ||||||
Cash deposits with central banks | $ | 36,481 | $ | 52,369 | ||
Securities2 | 170,817 | 155,251 | ||||
Total Eligible HQLA1 | $ | 207,298 | $ | 207,620 | ||
LCR | 136 | % | 147 | % |
1.Under |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Securities purchased under agreements to resell and Securities borrowed | $ | 245,643 | $ | 228,625 | ||||
Securities sold under agreements to repurchase and Securities loaned | $ | 73,120 | $ | 58,318 | ||||
Securities received as collateral1 | $ | 7,746 | $ | 4,277 |
Average Daily Balance Three Months Ended | ||||||||||||||
$ in millions | At September 30, 2020 | At December 31, 2019 | $ in millions | September 30, 2021 | December 31, 2020 | |||||||||
Securities purchased under agreements to resell and Securities borrowed | $ | 189,086 | $ | 194,773 | Securities purchased under agreements to resell and Securities borrowed | $ | 225,388 | $ | 195,376 | |||||
Securities sold under agreements to repurchase and Securities loaned | $ | 49,300 | $ | 62,706 | Securities sold under agreements to repurchase and Securities loaned | $ | 69,974 | $ | 54,528 | |||||
Securities received as collateral1 | $ | 8,799 | $ | 13,022 |
Average Daily Balance Three Months Ended | ||||||
$ in millions | September 30, 2020 | December 31, 2019 | ||||
Securities purchased under agreements to resell and Securities borrowed | $ | 182,181 | $ | 210,257 | ||
Securities sold under agreements to repurchase and Securities loaned | $ | 58,474 | $ | 64,870 |
1.Included within Trading assets |
September | 19 |
Management’s Discussion and Analysis |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Savings and demand deposits: | ||||||||
Brokerage sweep deposits1 | $ | 273,137 | $ | 232,071 | ||||
Savings and other | 37,708 | 47,150 | ||||||
Total Savings and demand deposits | 310,845 | 279,221 | ||||||
Time deposits | 18,196 | 31,561 | ||||||
Total2 | $ | 329,041 | $ | 310,782 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Savings and demand deposits: | ||||||
Brokerage sweep deposits1 | $ | 164,146 | $ | 121,077 | ||
Savings and other | 38,431 | 28,388 | ||||
Total Savings and demand deposits | 202,577 | 149,465 | ||||
Time deposits | 36,676 | 40,891 | ||||
Total | $ | 239,253 | $ | 190,356 |
$ in millions | Parent Company | Subsidiaries | Total | ||||||||
Original maturities of one year or less | $ | — | $ | 4,825 | $ | 4,825 | |||||
Original maturities greater than one year | |||||||||||
2021 | $ | 3,398 | $ | 1,444 | $ | 4,842 | |||||
2022 | 9,097 | 7,053 | 16,150 | ||||||||
2023 | 17,272 | 5,623 | 22,895 | ||||||||
2024 | 20,688 | 8,224 | 28,912 | ||||||||
2025 | 16,754 | 6,579 | 23,333 | ||||||||
Thereafter | 100,910 | 27,895 | 128,805 | ||||||||
Total | $ | 168,119 | $ | 56,818 | $ | 224,937 | |||||
Total Borrowings | $ | 168,119 | $ | 61,643 | $ | 229,762 | |||||
Maturities over next 12 months2 | $ | 13,899 |
$ in millions | Parent Company | Subsidiaries | Total | ||||||
Original maturities of one year or less | $ | — | $ | 4,553 | $ | 4,553 | |||
Original maturities greater than one year | |||||||||
2020 | $ | 641 | $ | 828 | $ | 1,469 | |||
2021 | 19,964 | 6,186 | 26,150 | ||||||
2022 | 16,418 | 4,011 | 20,429 | ||||||
2023 | 15,316 | 4,657 | 19,973 | ||||||
2024 | 15,938 | 5,436 | 21,374 | ||||||
Thereafter | 83,172 | 26,324 | 109,496 | ||||||
Total | $ | 151,449 | $ | 47,442 | $ | 198,891 | |||
Total Borrowings | $ | 151,449 | $ | 51,995 | $ | 203,444 | |||
Maturities over next 12 months2 | $ | 20,247 |
Parent Company | |||||||||||
Short-Term Debt | Long-Term Debt | Rating Outlook | |||||||||
DBRS, Inc. | R-1 (middle) | A (high) | Stable | ||||||||
Fitch Ratings, Inc. | F1 | A | |||||||||
Moody’s Investors Service, Inc. | P-1 | ||||||||||
Rating and Investment Information, Inc. | a-1 | A | Stable | ||||||||
S&P Global Ratings | A-2 | BBB+ |
MSBNA | |||||||||||
Short-Term Debt | Long-Term Debt | Rating Outlook | |||||||||
Fitch Ratings, Inc. | F1 | A+ | |||||||||
Moody’s Investors Service, Inc. | P-1 | Aa3 | Stable | ||||||||
S&P Global Ratings | A-1 | A+ | Stable |
MSPBNA | |||||||||||
Short-Term Debt | Long-Term Debt | Rating Outlook | |||||||||
Moody’s Investors Service, Inc. | P-1 | Aa3 | Stable | ||||||||
S&P Global Ratings | A-1 | A+ | Stable |
20 | September 2021 Form 10-Q |
Management’s Discussion and Analysis |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
in millions, except for per share data | 2021 | 2020 | 2021 | 2020 | ||||||||||
Number of shares | 36 | — | 98 | 29 | ||||||||||
Average price per share | $ | 99.44 | $ | — | $ | 88.60 | $ | 46.01 | ||||||
Total | $ | 3,557 | $ | — | $ | 8,631 | $ | 1,347 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
in millions, except for per share data | 2020 | 2019 | 2020 | 2019 | ||||||||
Number of shares | — | 36 | 29 | 90 | ||||||||
Average price per share | $ | — | $ | 41.92 | $ | 46.01 | $ | 42.77 | ||||
Total | $ | — | $ | 1,500 | $ | 1,347 | $ | 3,860 |
Announcement date | October | |||||
Amount per share | ||||||
Date to be paid | November | |||||
Shareholders of record as of | October |
September 2021 Form 10-Q | 21 |
Management’s Discussion and Analysis |
At September 30, 2021 and December 31, 2020 | |||||||||||||||||
Standardized | Advanced | ||||||||||||||||
Capital buffers | |||||||||||||||||
Capital conservation buffer | — | 2.5% | |||||||||||||||
SCB1 | 5.7% | N/A | |||||||||||||||
G-SIB capital surcharge2 | 3.0% | 3.0% | |||||||||||||||
CCyB3 | 0% | 0% | |||||||||||||||
Capital buffer requirement4 | 8.7% | 5.5% | |||||||||||||||
At September 30, 2021 and December 31, 2020 | |||||||||||||||||
Regulatory Minimum | Standardized | Advanced | |||||||||||||||
Required ratios5 | |||||||||||||||||
Common Equity Tier 1 capital ratio | 4.5 | % | 13.2% | 10.0% | |||||||||||||
Tier 1 capital ratio | 6.0 | % | 14.7% | 11.5% | |||||||||||||
Total capital ratio | 8.0 | % | 16.7% | 13.5% |
At September 30, 2020 | Beginning October 1, 2020 | |||||||
Standardized and Advanced | Standardized | Advanced | ||||||
Capital buffers | ||||||||
Capital conservation buffer | 2.5 | % | — | 2.5 | % | |||
Stress capital buffer (“SCB”)1 | N/A | 5.7 | % | N/A | ||||
G-SIB capital surcharge2 | 3 | % | 3 | % | 3 | % | ||
CCyB3 | 0 | % | 0 | % | 0 | % | ||
Capital buffer requirement4 | 5.5 | % | 8.7 | % | 5.5 | % | ||
At September 30, 2020 | Beginning October 1, 2020 | |||||||
Regulatory Minimum | Standardized and Advanced | Standardized | Advanced | |||||
Required ratios5 | ||||||||
Common Equity Tier 1 capital ratio | 4.5 | % | 10.0 | % | 13.2 | % | 10.0 | % |
Tier 1 capital ratio | 6.0 | % | 11.5 | % | 14.7 | % | 11.5 | % |
Total capital ratio | 8.0 | % | 13.5 | % | 16.7 | % | 13.5 | % |
$ in millions | Required Ratio1 | At September 30, 2021 | At December 31, 2020 | ||||||||||||||||||||
Risk-based capital— Standardized | |||||||||||||||||||||||
Common Equity Tier 1 capital | $ | 75,785 | $ | 78,650 | |||||||||||||||||||
Tier 1 capital | 83,435 | 88,079 | |||||||||||||||||||||
Total capital | 94,062 | 97,213 | |||||||||||||||||||||
Total RWA | 473,020 | 453,106 | |||||||||||||||||||||
Common Equity Tier 1 capital ratio | 13.2 | % | 16.0 | % | 17.4 | % | |||||||||||||||||
Tier 1 capital ratio | 14.7 | % | 17.6 | % | 19.4 | % | |||||||||||||||||
Total capital ratio | 16.7 | % | 19.9 | % | 21.5 | % | |||||||||||||||||
$ in millions | Required Ratio1 | At September 30, 2021 | At December 31, 2020 | |||||||||||
Risk-based capital— Advanced | ||||||||||||||
Common Equity Tier 1 capital | $ | 75,785 | $ | 78,650 | ||||||||||
Tier 1 capital | 83,435 | 88,079 | ||||||||||||
Total capital | 93,813 | 96,994 | ||||||||||||
Total RWA | 441,214 | 445,151 | ||||||||||||
Common Equity Tier 1 capital ratio | 10.0 | % | 17.2 | % | 17.7 | % | ||||||||
Tier 1 capital ratio | 11.5 | % | 18.9 | % | 19.8 | % | ||||||||
Total capital ratio | 13.5 | % | 21.3 | % | 21.8 | % | ||||||||
$ in millions | Required Ratio1 | At September 30, 2021 | At December 31, 2020 | |||||||||||
Leverage-based capital | ||||||||||||||
Adjusted average assets2 | $ | 1,145,682 | $ | 1,053,510 | ||||||||||
Tier 1 leverage ratio | 4.0 | % | 7.3 | % | 8.4 | % | ||||||||
Supplementary leverage exposure3,4 | $ | 1,459,466 | $ | 1,192,506 | ||||||||||
SLR4 | 5.0 | % | 5.7 | % | 7.4 | % |
At September 30, 2020 | ||||||||
$ in millions | Required Ratio1 | Standardized | Advanced | |||||
Risk-based capital | ||||||||
Common Equity Tier 1 capital | $ | 71,157 | $ | 71,157 | ||||
Tier 1 capital | 79,905 | 79,905 | ||||||
Total capital | 90,018 | 89,763 | ||||||
Total RWA | 408,850 | 420,081 | ||||||
Common Equity Tier 1 capital ratio | 10.0 | % | 17.4 | % | 16.9 | % | ||
Tier 1 capital ratio | 11.5 | % | 19.5 | % | 19.0 | % | ||
Total capital ratio | 13.5 | % | 22.0 | % | 21.4 | % | ||
$ in millions | Required Ratio1 | At September 30, 2020 | ||||||
Leverage-based capital | ||||||||
Adjusted average assets2 | $ | 962,435 | ||||||
Tier 1 leverage ratio | 4.0 | % | 8.3 | % | ||||
Supplementary leverage exposure3,4 | $ | 1,084,348 | ||||||
SLR4 | 5.0 | % | 7.4 | % |
At December 31, 2019 | ||||||||
$ in millions | Required Ratio1 | Standardized | Advanced | |||||
Risk-based capital | ||||||||
Common Equity Tier 1 capital | $ | 64,751 | $ | 64,751 | ||||
Tier 1 capital | 73,443 | 73,443 | ||||||
Total capital | 82,708 | 82,423 | ||||||
Total RWA | 394,177 | 382,496 | ||||||
Common Equity Tier 1 capital ratio | 10.0 | % | 16.4 | % | 16.9 | % | ||
Tier 1 capital ratio | 11.5 | % | 18.6 | % | 19.2 | % | ||
Total capital ratio | 13.5 | % | 21.0 | % | 21.5 | % | ||
$ in millions | Required Ratio1 | At December 31, 2019 | ||||||
Leverage-based capital | ||||||||
Adjusted average assets2 | $ | 889,195 | ||||||
Tier 1 leverage ratio | 4.0 | % | 8.3 | % | ||||
Supplementary leverage exposure3 | $ | 1,155,177 | ||||||
SLR | 5.0 | % | 6.4 | % |
September |
Management’s Discussion and Analysis |
$ in millions | At September 30, 2021 | At December 31, 2020 | Change | |||||||||||
Common Equity Tier 1 capital | ||||||||||||||
Common stock and surplus | $ | 13,755 | $ | 15,799 | $ | (2,044) | ||||||||
Retained earnings | 87,356 | 78,978 | 8,378 | |||||||||||
AOCI | (2,701) | (1,962) | (739) | |||||||||||
Regulatory adjustments and deductions: | ||||||||||||||
Net goodwill | (16,678) | (11,527) | (5,151) | |||||||||||
Net intangible assets | (6,878) | (4,165) | (2,713) | |||||||||||
Other adjustments and deductions1 | 931 | 1,527 | (596) | |||||||||||
Total Common Equity Tier 1 capital | $ | 75,785 | $ | 78,650 | $ | (2,865) | ||||||||
Additional Tier 1 capital | ||||||||||||||
Preferred stock | $ | 7,750 | $ | 9,250 | $ | (1,500) | ||||||||
Noncontrolling interests | 534 | 619 | (85) | |||||||||||
Additional Tier 1 capital | $ | 8,284 | $ | 9,869 | $ | (1,585) | ||||||||
Deduction for investments in covered funds | (634) | (440) | (194) | |||||||||||
Total Tier 1 capital | $ | 83,435 | $ | 88,079 | $ | (4,644) | ||||||||
Standardized Tier 2 capital | ||||||||||||||
Subordinated debt | $ | 9,522 | $ | 7,737 | $ | 1,785 | ||||||||
Eligible ACL | 1,182 | 1,265 | (83) | |||||||||||
Other adjustments and deductions | (77) | 132 | (209) | |||||||||||
Total Standardized Tier 2 capital | $ | 10,627 | $ | 9,134 | $ | 1,493 | ||||||||
Total Standardized capital | $ | 94,062 | $ | 97,213 | $ | (3,151) | ||||||||
Advanced Tier 2 capital | ||||||||||||||
Subordinated debt | $ | 9,522 | $ | 7,737 | $ | 1,785 | ||||||||
Eligible credit reserves | 933 | 1,046 | (113) | |||||||||||
Other adjustments and deductions | (77) | 132 | (209) | |||||||||||
Total Advanced Tier 2 capital | $ | 10,378 | $ | 8,915 | $ | 1,463 | ||||||||
Total Advanced capital | $ | 93,813 | $ | 96,994 | $ | (3,181) |
$ in millions | At September 30, 2020 | At December 31, 2019 | Change | ||||||
Common Equity Tier 1 capital | |||||||||
Common stock and surplus | $ | 4,350 | $ | 5,228 | $ | (878 | ) | ||
Retained earnings | 76,353 | 70,589 | 5,764 | ||||||
AOCI | (537 | ) | (2,788 | ) | 2,251 | ||||
Regulatory adjustments and deductions: | |||||||||
Net goodwill | (7,242 | ) | (7,081 | ) | (161 | ) | |||
Net intangible assets | (1,776 | ) | (2,012 | ) | 236 | ||||
Other adjustments and deductions1 | 9 | 815 | (806 | ) | |||||
Total Common Equity Tier 1 capital | $ | 71,157 | $ | 64,751 | $ | 6,406 | |||
Additional Tier 1 capital | |||||||||
Preferred stock | $ | 8,520 | $ | 8,520 | $ | — | |||
Noncontrolling interests | 625 | 607 | 18 | ||||||
Additional Tier 1 capital | $ | 9,145 | $ | 9,127 | $ | 18 | |||
Deduction for investments in covered funds | (397 | ) | (435 | ) | 38 | ||||
Total Tier 1 capital | $ | 79,905 | $ | 73,443 | $ | 6,462 | |||
Standardized Tier 2 capital | |||||||||
Subordinated debt | $ | 8,681 | $ | 8,538 | $ | 143 | |||
Noncontrolling interests | 147 | 143 | 4 | ||||||
Eligible ACL | 1,287 | 590 | 697 | ||||||
Other adjustments and deductions | (2 | ) | (6 | ) | 4 | ||||
Total Standardized Tier 2 capital | $ | 10,113 | $ | 9,265 | $ | 848 | |||
Total Standardized capital | $ | 90,018 | $ | 82,708 | $ | 7,310 | |||
Advanced Tier 2 capital | |||||||||
Subordinated debt | $ | 8,681 | $ | 8,538 | $ | 143 | |||
Noncontrolling interests | 147 | 143 | 4 | ||||||
Eligible credit reserves | 1,032 | 305 | 727 | ||||||
Other adjustments and deductions | (2 | ) | (6 | ) | 4 | ||||
Total Advanced Tier 2 capital | $ | 9,858 | $ | 8,980 | $ | 878 | |||
Total Advanced capital | $ | 89,763 | $ | 82,423 | $ | 7,340 |
Nine Months Ended September 30, 2020 | ||||||
$ in millions | Standardized | Advanced | ||||
Credit risk RWA | ||||||
Balance at December 31, 2019 | $ | 342,684 | $ | 228,927 | ||
Change related to the following items: | ||||||
Derivatives | 4,622 | 24,322 | ||||
Securities financing transactions | (9,314 | ) | 514 | |||
Securitizations | (1,595 | ) | (3,016 | ) | ||
Investment securities | 2,468 | 3,904 | ||||
Commitments, guarantees and loans | 5,017 | 1,776 | ||||
Cash | 718 | 1,838 | ||||
Equity investments | 3,027 | 3,207 | ||||
Other credit risk1 | (601 | ) | (762 | ) | ||
Total change in credit risk RWA | $ | 4,342 | $ | 31,783 | ||
Balance at September 30, 2020 | $ | 347,026 | $ | 260,710 | ||
Market risk RWA | ||||||
Balance at December 31, 2019 | $ | 51,493 | $ | 51,597 | ||
Change related to the following items: | ||||||
Regulatory VaR | 9,673 | 9,673 | ||||
Regulatory stressed VaR | 1,987 | 1,987 | ||||
Incremental risk charge | 180 | 180 | ||||
Comprehensive risk measure | 210 | 106 | ||||
Specific risk: | ||||||
Non-securitization | (99 | ) | (99 | ) | ||
Securitization | (1,620 | ) | (1,620 | ) | ||
Total change in market risk RWA | $ | 10,331 | $ | 10,227 | ||
Balance at September 30, 2020 | $ | 61,824 | $ | 61,824 | ||
Operational risk RWA | ||||||
Balance at December 31, 2019 | N/A | $ | 101,972 | |||
Change in operational risk RWA | N/A | (4,425 | ) | |||
Balance at September 30, 2020 | N/A | $ | 97,547 | |||
Total RWA | $ | 408,850 | $ | 420,081 |
Nine Months Ended September 30, 2021 | ||||||||
$ in millions | Standardized | Advanced | ||||||
Credit risk RWA | ||||||||
Balance at December 31, 2020 | $ | 387,066 | $ | 284,930 | ||||
Change related to the following items: | ||||||||
Derivatives | 10,529 | (14,533) | ||||||
Securities financing transactions | 5,914 | 947 | ||||||
Investment securities | (2,563) | 357 | ||||||
Commitments, guarantees and loans | 639 | 4,260 | ||||||
Equity investments | 2,117 | 2,196 | ||||||
Other credit risk1 | 6,884 | 6,395 | ||||||
Total change in credit risk RWA | $ | 23,520 | $ | (378) | ||||
Balance at September 30, 2021 | $ | 410,586 | $ | 284,552 | ||||
Market risk RWA | ||||||||
Balance at December 31, 2020 | $ | 66,040 | $ | 66,040 | ||||
Change related to the following items: | ||||||||
Regulatory VaR | (6,747) | (6,747) | ||||||
Regulatory stressed VaR | (1,908) | (1,908) | ||||||
Incremental risk charge | 3,032 | 3,032 | ||||||
Comprehensive risk measure | (125) | (125) | ||||||
Specific risk | 2,142 | 2,142 | ||||||
Total change in market risk RWA | $ | (3,606) | $ | (3,606) | ||||
Balance at September 30, 2021 | $ | 62,434 | $ | 62,434 | ||||
Operational risk RWA | ||||||||
Balance at December 31, 2020 | N/A | $ | 94,181 | |||||
Change in operational risk RWA | N/A | 47 | ||||||
Balance at September 30, 2021 | N/A | $ | 94,228 | |||||
Total RWA | $ | 473,020 | $ | 441,214 |
September 2021 Form 10-Q | 23 |
Management’s Discussion and Analysis |
Actual Amount/Ratio | |||||||||||||||||
$ in millions | Regulatory Minimum | Required Ratio1 | At September 30, 2021 | At December 31, 2020 | |||||||||||||
External TLAC2 | $ | 234,639 | $ | 216,129 | |||||||||||||
External TLAC as a % of RWA | 18.0 | % | 21.5 | % | 49.6 | % | 47.7 | % | |||||||||
External TLAC as a % of leverage exposure | 7.5 | % | 9.5 | % | 16.1 | % | 18.1 | % | |||||||||
Eligible LTD3 | $ | 142,978 | $ | 120,561 | |||||||||||||
Eligible LTD as a % of RWA | 9.0 | % | 9.0 | % | 30.2 | % | 26.6 | % | |||||||||
Eligible LTD as a % of leverage exposure | 4.5 | % | 4.5 | % | 9.8 | % | 10.1 | % |
Actual Amount/Ratio | ||||||||||
$ in millions | Regulatory Minimum | Required Ratio1 | At September 30, 2020 | At December 31, 2019 | ||||||
External TLAC2 | $ | 202,472 | $ | 196,888 | ||||||
External TLAC as a % of RWA | 18.0 | % | 21.5 | % | 48.2 | % | 49.9 | % | ||
External TLAC as a % of leverage exposure | 7.5 | % | 9.5 | % | 18.7 | % | 17.0 | % | ||
Eligible LTD3 | $ | 114,952 | $ | 113,624 | ||||||
Eligible LTD as a % of RWA | 9.0 | % | 9.0 | % | 27.4 | % | 28.8 | % | ||
Eligible LTD as a % of leverage exposure | 4.5 | % | 4.5 | % | 10.6 | % | 9.8 | % |
3.Consists of TLAC-eligible LTD reduced by 50% for amounts of unpaid principal due to be paid in more than one year but less than two years from each respective balance sheet date. |
24 | September 2021 Form 10-Q |
Management’s Discussion and Analysis |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in billions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Institutional Securities | $ | 43.5 | $ | 42.8 | $ | 43.5 | $ | 42.8 | ||||||
Wealth Management2 | 28.6 | 18.2 | 28.6 | 18.2 | ||||||||||
Investment Management3 | 10.7 | 2.6 | 8.2 | 2.6 | ||||||||||
Parent | 15.8 | 15.1 | 16.6 | 13.3 | ||||||||||
Total | $ | 98.6 | $ | 78.7 | $ | 96.9 | $ | 76.9 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Institutional Securities | $ | 42.8 | $ | 40.4 | $ | 42.8 | $ | 40.4 | ||||
Wealth Management | 18.2 | 18.2 | 18.2 | 18.2 | ||||||||
Investment Management | 2.6 | 2.5 | 2.6 | 2.5 | ||||||||
Parent | 15.1 | 12.3 | 13.3 | 11.4 | ||||||||
Total | $ | 78.7 | $ | 73.4 | $ | 76.9 | $ | 72.5 |
3. The total average common equity and the allocation to the Investment Management business segment in 2021 reflect the Eaton Vance acquisition on March 1, 2021. The Firm has made updates to its Required Capital framework for 2021 and continues to evaluate the impact of evolving regulatory requirements, as appropriate. |
September |
Management’s Discussion and Analysis |
September |
Three Months Ended | ||||||||||||||
September 30, 2021 | ||||||||||||||
$ in millions | Period End | Average | High2 | Low2 | ||||||||||
Interest rate and credit spread | $ | 27 | $ | 28 | $ | 33 | $ | 23 | ||||||
Equity price | 28 | 24 | 32 | 20 | ||||||||||
Foreign exchange rate | 7 | 8 | 11 | 6 | ||||||||||
Commodity price | 19 | 12 | 19 | 9 | ||||||||||
Less: Diversification benefit1 | (34) | (29) | N/A | N/A | ||||||||||
Primary Risk Categories | $ | 47 | $ | 43 | $ | 53 | $ | 38 | ||||||
Credit Portfolio | 12 | 12 | 13 | 11 | ||||||||||
Less: Diversification benefit1 | (11) | (10) | N/A | N/A | ||||||||||
Total Management VaR | $ | 48 | $ | 45 | $ | 56 | $ | 41 |
Three Months Ended | Three Months Ended | |||||||||||||||||||||||||
September 30, 2020 | June 30, 2021 | |||||||||||||||||||||||||
$ in millions | Period End | Average | High2 | Low2 | $ in millions | Period End | Average | High2 | Low2 | |||||||||||||||||
Interest rate and credit spread | $ | 32 | $ | 38 | $ | 49 | $ | 29 | Interest rate and credit spread | $ | 29 | $ | 31 | $ | 39 | $ | 28 | |||||||||
Equity price | 27 | 30 | 39 | 19 | Equity price | 21 | 24 | 32 | 19 | |||||||||||||||||
Foreign exchange rate | 11 | 9 | 12 | 7 | Foreign exchange rate | 8 | 8 | 15 | 5 | |||||||||||||||||
Commodity price | 17 | 22 | 29 | 16 | Commodity price | 10 | 11 | 16 | 8 | |||||||||||||||||
Less: Diversification benefit1 | (38 | ) | (53 | ) | N/A | N/A | Less: Diversification benefit1 | (28) | (29) | N/A | ||||||||||||||||
Primary Risk Categories | $ | 49 | $ | 46 | $ | 57 | $ | 37 | Primary Risk Categories | $ | 40 | $ | 45 | $ | 58 | $ | 37 | |||||||||
Credit Portfolio | 21 | 25 | 31 | 20 | Credit Portfolio | 12 | 13 | 17 | 11 | |||||||||||||||||
Less: Diversification benefit1 | (8 | ) | (13 | ) | N/A | N/A | Less: Diversification benefit1 | (9) | (10) | N/A | ||||||||||||||||
Total Management VaR | $ | 62 | $ | 58 | $ | 78 | $ | 45 | Total Management VaR | $ | 43 | $ | 48 | $ | 60 | $ | 41 |
Three Months Ended | ||||||||||||
June 30, 2020 | ||||||||||||
$ in millions | Period End | Average | High2 | Low2 | ||||||||
Interest rate and credit spread | $ | 42 | $ | 47 | $ | 59 | $ | 36 | ||||
Equity price | 38 | 25 | 38 | 20 | ||||||||
Foreign exchange rate | 10 | 11 | 15 | 8 | ||||||||
Commodity price | 25 | 16 | 25 | 11 | ||||||||
Less: Diversification benefit1 | (68 | ) | (49 | ) | N/A | N/A | ||||||
Primary Risk Categories | $ | 47 | $ | 50 | $ | 62 | $ | 44 | ||||
Credit Portfolio | 26 | 25 | 30 | 23 | ||||||||
Less: Diversification benefit1 | (1 | ) | (15 | ) | N/A | N/A | ||||||
Total Management VaR | $ | 72 | $ | 60 | $ | 78 | $ | 47 |
September 2021 Form 10-Q | 27 |
Risk Disclosures |
$ in millions | At September 30, 2021 | At June 30, 2021 | ||||||
Derivatives | $ | 7 | $ | 7 | ||||
Borrowings carried at fair value | 48 | 48 |
$ in millions | At September 30, 2020 | At June 30, 2020 | ||||
Derivatives | $ | 7 | $ | 7 | ||
Funding liabilities2 | 46 | 45 |
1.Amounts represent the potential gain for each 1 bps widening of our credit spread. |
$ in millions | At September 30, 2021 | At June 30, 2021 | ||||||
Basis point change | ||||||||
+100 | $ | 1,540 | $ | 1,463 | ||||
-100 | (494) | (498) |
$ in millions | At September 30, 2020 | At June 30, 2020 | ||||
Basis point change | ||||||
+100 | $ | 1,014 | $ | 599 | ||
-100 | (338 | ) | (351 | ) |
Loss from 10% Decline | ||||||
$ in millions | At September 30, 2020 | At June 30, 2020 | ||||
Investments related to Investment Management activities | $ | 349 | $ | 329 | ||
Other investments: | ||||||
MUMSS | 176 | 170 | ||||
Other Firm investments | 203 | 188 |
Loss from 10% Decline | ||||||||
$ in millions | At September 30, 2021 | At June 30, 2021 | ||||||
Investments related to Investment Management activities | $ | 422 | $ | 477 | ||||
Other investments: | ||||||||
MUMSS | 174 | 172 | ||||||
Other Firm investments | 261 | 232 |
28 | September 2021 Form 10-Q |
Risk Disclosures |
At September 30, 2021 | ||||||||||||||
$ in millions | HFI | HFS | FVO | Total | ||||||||||
Institutional Securities: | ||||||||||||||
Corporate | $ | 4,774 | $ | 8,998 | $ | 13 | $ | 13,785 | ||||||
Secured lending facilities | 27,345 | 3,650 | 350 | 31,345 | ||||||||||
Commercial and Residential real estate | 6,915 | 434 | 5,536 | 12,885 | ||||||||||
Securities-based lending and Other | 520 | 56 | 8,889 | 9,465 | ||||||||||
Total Institutional Securities | 39,554 | 13,138 | 14,788 | 67,480 | ||||||||||
Wealth Management: | ||||||||||||||
Residential real estate | 41,428 | 8 | — | 41,436 | ||||||||||
Securities-based lending and Other | 79,888 | 22 | — | 79,910 | ||||||||||
Total Wealth Management | 121,316 | 30 | — | 121,346 | ||||||||||
Total Investment Management1 | 5 | — | 127 | 132 | ||||||||||
Total loans2 | 160,875 | 13,168 | 14,915 | 188,958 | ||||||||||
ACL | (684) | (684) | ||||||||||||
Total loans, net of ACL | $ | 160,191 | $ | 13,168 | $ | 14,915 | $ | 188,274 | ||||||
Lending commitments3 | $ | 137,116 | ||||||||||||
Total exposure | $ | 325,390 |
At September 30, 2020 | ||||||||||||
$ in millions | HFI | HFS | FVO | Total | ||||||||
Institutional Securities: | ||||||||||||
Corporate | $ | 7,628 | $ | 8,552 | $ | 14 | $ | 16,194 | ||||
Secured lending facilities | 26,496 | 3,521 | 445 | 30,462 | ||||||||
Commercial and Residential real estate | 7,265 | 928 | 1,593 | 9,786 | ||||||||
Securities-based lending and Other | 1,277 | 57 | 5,729 | 7,063 | ||||||||
Total Institutional Securities | 42,666 | 13,058 | 7,781 | 63,505 | ||||||||
Wealth Management: | ||||||||||||
Residential real estate | 33,674 | 12 | — | 33,686 | ||||||||
Securities-based lending and Other | 57,723 | — | — | 57,723 | ||||||||
Total Wealth Management | 91,397 | 12 | — | 91,409 | ||||||||
Total Investment Management1 | 6 | 11 | 552 | 569 | ||||||||
Total loans | 134,069 | 13,081 | 8,333 | 155,483 | ||||||||
ACL | (913 | ) | (913 | ) | ||||||||
Total loans, net of ACL | $ | 133,156 | $ | 13,081 | $ | 8,333 | $ | 154,570 | ||||
Lending commitments2 | $ | 120,098 | ||||||||||
Total exposure | $ | 274,668 |
At December 31, 2019 | At December 31, 2020 | |||||||||||||||||||||||||
$ in millions | HFI | HFS | FVO | Total | $ in millions | HFI | HFS | FVO | Total | |||||||||||||||||
Institutional Securities: | Institutional Securities: | |||||||||||||||||||||||||
Corporate | $ | 5,426 | $ | 6,192 | $ | 20 | $ | 11,638 | Corporate | $ | 6,046 | $ | 8,580 | $ | 13 | $ | 14,639 | |||||||||
Secured lending facilities | 24,502 | 4,200 | 951 | 29,653 | Secured lending facilities | 25,727 | 3,296 | 648 | 29,671 | |||||||||||||||||
Commercial and Residential real estate | 7,859 | 2,049 | 3,290 | 13,198 | Commercial and Residential real estate | 7,346 | 859 | 3,061 | 11,266 | |||||||||||||||||
Securities-based lending and Other | 503 | 123 | 6,814 | 7,440 | Securities-based lending and Other | 1,279 | 55 | 7,001 | 8,335 | |||||||||||||||||
Total Institutional Securities | 38,290 | 12,564 | 11,075 | 61,929 | Total Institutional Securities | 40,398 | 12,790 | 10,723 | 63,911 | |||||||||||||||||
Wealth Management: | Wealth Management: | |||||||||||||||||||||||||
Residential real estate | 30,184 | 13 | — | 30,197 | Residential real estate | 35,268 | 11 | — | 35,279 | |||||||||||||||||
Securities-based lending and Other | 49,930 | — | — | 49,930 | Securities-based lending and Other | 62,947 | — | — | 62,947 | |||||||||||||||||
Total Wealth Management | 80,114 | 13 | — | 80,127 | Total Wealth Management | 98,215 | 11 | — | 98,226 | |||||||||||||||||
Total Investment Management1 | 5 | — | 251 | 256 | Total Investment Management1 | 6 | 12 | 425 | 443 | |||||||||||||||||
Total loans | 118,409 | 12,577 | 11,326 | 142,312 | ||||||||||||||||||||||
Total loans2 | Total loans2 | 138,619 | 12,813 | 11,148 | 162,580 | |||||||||||||||||||||
ACL | (349 | ) | (349 | ) | ACL | (835) | (835) | |||||||||||||||||||
Total loans, net of ACL | $ | 118,060 | $ | 12,577 | $ | 11,326 | $ | 141,963 | Total loans, net of ACL | $ | 137,784 | $ | 12,813 | $ | 11,148 | $ | 161,745 | |||||||||
Lending commitments2 | $ | 120,068 | ||||||||||||||||||||||||
Lending commitments3 | Lending commitments3 | $ | 127,855 | |||||||||||||||||||||||
Total exposure | $ | 262,031 | Total exposure | $ | 289,600 |
1.Investment Management business segment loans are related to certain of our activities as an investment advisor and manager. Loans held at fair value are the result of the consolidation of investment vehicles (including CLOs) managed by Investment Management, composed primarily of senior secured loans to corporations. 2.FVO also includes the fair value of certain unfunded lending commitments. 3.Lending commitments represent the notional amount of legally binding obligations to provide funding to clients for lending transactions. Since commitments associated with these business activities may expire unused or may not be utilized to full capacity, they do not necessarily reflect the actual future cash funding requirements. |
September 2021 Form 10-Q | 29 |
Risk Disclosures |
$ in millions | |||
December 31, 20191 | $ | 590 | |
Effect of CECL adoption | (41 | ) | |
Gross charge-offs | (59 | ) | |
Recoveries | 5 | ||
Net (charge-offs) recoveries | (54 | ) | |
Provision2 | 757 | ||
Other | 8 | ||
September 30, 2020 | $ | 1,260 | |
ACL—Loans | $ | 913 | |
ACL—Lending commitments | 347 |
$ in millions | |||||
ACL—Loans | $ | 835 | |||
ACL—Lending Commitments | 396 | ||||
Total at December 31, 2020 | 1,231 | ||||
Gross charge-offs | (107) | ||||
Other | (10) | ||||
Total at September 30, 2021 | $ | 1,113 | |||
ACL—Loans | $ | 684 | |||
ACL—Lending commitments | 429 |
Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 | |||||||||||||||||||
$ in millions | IS | WM | Total | IS | WM | Total | ||||||||||||||
Loans | $ | 3 | $ | 2 | $ | 5 | $ | (38) | $ | 1 | $ | (37) | ||||||||
Lending commitments | 21 | (2) | 19 | 39 | (3) | 36 | ||||||||||||||
Total | $ | 24 | $ | — | $ | 24 | $ | 1 | $ | (2) | $ | (1) |
At September 30, 2021 | At December 31, 2020 | |||||||||||||
IS | WM | IS | WM | |||||||||||
Accrual | 98.6 | % | 99.8 | % | 99.2 | % | 99.7 | % | ||||||
Nonaccrual1 | 1.4 | % | 0.2 | % | 0.8 | % | 0.3 | % |
At September 30, 2020 | At December 31, 2019 | |||||||
IS | WM | IS | WM | |||||
Accrual | 99.1 | % | 99.8 | % | 99.0 | % | 99.9 | % |
Nonaccrual1 | 0.9 | % | 0.2 | % | 1.0 | % | 0.1 | % |
1.These loans are on nonaccrual status because the loans were past due for a period of 90 days or more or payment of principal or interest was in doubt. |
At September 30, 2021 | |||||||||||||||||
Contractual Years to Maturity | |||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Loans | |||||||||||||||||
AA | $ | — | $ | 36 | $ | — | $ | — | $ | 36 | |||||||
A | 1,138 | 814 | 371 | 377 | 2,700 | ||||||||||||
BBB | 5,459 | 5,273 | 2,444 | 1,178 | 14,354 | ||||||||||||
BB | 10,886 | 10,260 | 4,290 | 954 | 26,390 | ||||||||||||
Other NIG | 4,328 | 7,286 | 3,937 | 3,305 | 18,856 | ||||||||||||
Unrated2 | 178 | 334 | 511 | 3,546 | 4,569 | ||||||||||||
Total loans, net of ACL | 21,989 | 24,003 | 11,553 | 9,360 | 66,905 | ||||||||||||
Lending commitments | |||||||||||||||||
AAA | — | 50 | — | — | 50 | ||||||||||||
AA | 2,938 | 1,120 | 2,449 | — | 6,507 | ||||||||||||
A | 4,327 | 7,482 | 10,456 | 446 | 22,711 | ||||||||||||
BBB | 10,509 | 16,834 | 19,487 | 1,050 | 47,880 | ||||||||||||
BB | 3,202 | 11,489 | 7,932 | 1,790 | 24,413 | ||||||||||||
Other NIG | 1,142 | 6,742 | 7,574 | 5,104 | 20,562 | ||||||||||||
Unrated2 | 1 | — | 17 | 15 | 33 | ||||||||||||
Total lending commitments | 22,119 | 43,717 | 47,915 | 8,405 | 122,156 | ||||||||||||
Total exposure | $ | 44,108 | $ | 67,720 | $ | 59,468 | $ | 17,765 | $ | 189,061 |
30 | September 2021 Form 10-Q |
At September 30, 2020 | |||||||||||||||
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans | |||||||||||||||
AA | $ | 274 | $ | — | $ | — | $ | — | $ | 274 | |||||
A | 874 | 1,062 | 39 | 229 | 2,204 | ||||||||||
BBB | 3,958 | 5,726 | 3,314 | 295 | 13,293 | ||||||||||
BB | 12,683 | 7,920 | 6,273 | 491 | 27,367 | ||||||||||
Other NIG | 5,403 | 6,519 | 3,791 | 2,423 | 18,136 | ||||||||||
Unrated2 | 63 | 151 | 155 | 1,056 | 1,425 | ||||||||||
Total loans, net of ACL | 23,255 | 21,378 | 13,572 | 4,494 | 62,699 | ||||||||||
Lending commitments | |||||||||||||||
AAA | — | 50 | — | — | 50 | ||||||||||
AA | 4,157 | 1,267 | 1,878 | — | 7,302 | ||||||||||
A | 6,310 | 8,290 | 7,901 | 564 | 23,065 | ||||||||||
BBB | 5,422 | 15,408 | 15,761 | 310 | 36,901 | ||||||||||
BB | 4,150 | 7,154 | 7,291 | 1,311 | 19,906 | ||||||||||
Other NIG | 979 | 8,491 | 5,533 | 3,193 | 18,196 | ||||||||||
Unrated2 | 4 | 1 | 21 | 20 | 46 | ||||||||||
Total lending commitments | 21,022 | 40,661 | 38,385 | 5,398 | 105,466 | ||||||||||
Total exposure | $ | 44,277 | $ | 62,039 | $ | 51,957 | $ | 9,892 | $ | 168,165 |
Risk Disclosures |
At December 31, 2019 | |||||||||||||||
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans | |||||||||||||||
AA | $ | 7 | $ | 50 | $ | — | $ | 5 | $ | 62 | |||||
A | 955 | 923 | 516 | 277 | 2,671 | ||||||||||
BBB | 2,297 | 5,589 | 3,592 | 949 | 12,427 | ||||||||||
BB | 9,031 | 11,189 | 9,452 | 1,449 | 31,121 | ||||||||||
Other NIG | 4,020 | 5,635 | 2,595 | 1,143 | 13,393 | ||||||||||
Unrated2 | 117 | 82 | 131 | 1,628 | 1,958 | ||||||||||
Total loans, net of ACL | 16,427 | 23,468 | 16,286 | 5,451 | 61,632 | ||||||||||
Lending commitments | |||||||||||||||
AAA | — | 50 | — | — | 50 | ||||||||||
AA | 2,838 | 908 | 2,509 | — | 6,255 | ||||||||||
A | 6,461 | 7,287 | 9,371 | 298 | 23,417 | ||||||||||
BBB | 7,548 | 13,780 | 20,560 | 753 | 42,641 | ||||||||||
BB | 2,464 | 5,610 | 8,333 | 1,526 | 17,933 | ||||||||||
Other NIG | 2,193 | 4,741 | 7,062 | 2,471 | 16,467 | ||||||||||
Unrated2 | — | 9 | 107 | 7 | 123 | ||||||||||
Total lending commitments | 21,504 | 32,385 | 47,942 | 5,055 | 106,886 | ||||||||||
Total exposure | $ | 37,931 | $ | 55,853 | $ | 64,228 | $ | 10,506 | $ | 168,518 |
At December 31, 2020 | |||||||||||||||||
Contractual Years to Maturity | |||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Loans | |||||||||||||||||
AA | $ | 279 | $ | 10 | $ | — | $ | — | $ | 289 | |||||||
A | 759 | 798 | 36 | 391 | 1,984 | ||||||||||||
BBB | 5,043 | 5,726 | 2,746 | 469 | 13,984 | ||||||||||||
BB | 10,963 | 7,749 | 5,324 | 503 | 24,539 | ||||||||||||
Other NIG | 5,214 | 6,956 | 4,002 | 3,269 | 19,441 | ||||||||||||
Unrated2 | 141 | 142 | 330 | 2,322 | 2,935 | ||||||||||||
Total loans, net of ACL | 22,399 | 21,381 | 12,438 | 6,954 | 63,172 | ||||||||||||
Lending commitments | |||||||||||||||||
AAA | — | 50 | — | — | 50 | ||||||||||||
AA | 4,047 | 1,038 | 2,135 | — | 7,220 | ||||||||||||
A | 6,025 | 8,359 | 9,808 | 425 | 24,617 | ||||||||||||
BBB | 6,783 | 17,782 | 15,500 | 460 | 40,525 | ||||||||||||
BB | 4,357 | 8,958 | 7,958 | 3,103 | 24,376 | ||||||||||||
Other NIG | 664 | 7,275 | 6,077 | 2,652 | 16,668 | ||||||||||||
Unrated2 | 4 | — | — | — | 4 | ||||||||||||
Total lending commitments | 21,880 | 43,462 | 41,478 | 6,640 | 113,460 | ||||||||||||
Total exposure | $ | 44,279 | $ | 64,843 | $ | 53,916 | $ | 13,594 | $ | 176,632 |
1. | 2.Unrated loans and lending commitments are primarily trading positions that are measured at fair value and risk-managed as a component of market risk. For a further discussion of our market risk, see “Market Risk” herein. |
$ in millions | At September 30, 2020 | At December 31, 2019 | $ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||
Industry | Industry | |||||||||||||
Financials | $ | 41,916 | $ | 40,992 | Financials | $ | 50,404 | $ | 44,358 | |||||
Real estate | 24,827 | 28,348 | Real estate | 30,411 | 25,484 | |||||||||
Industrials | 15,650 | 13,136 | Industrials | 17,409 | 15,861 | |||||||||
Communications services | 12,529 | 12,165 | Communications services | 14,382 | 12,600 | |||||||||
Healthcare | Healthcare | 14,021 | 12,650 | |||||||||||
Consumer discretionary | 11,253 | 9,589 | Consumer discretionary | 11,763 | 11,177 | |||||||||
Healthcare | 10,788 | 14,113 | ||||||||||||
Information technology | Information technology | 10,601 | 11,358 | |||||||||||
Utilities | Utilities | 10,150 | 9,504 | |||||||||||
Energy | 10,088 | 9,461 | Energy | 8,456 | 10,064 | |||||||||
Utilities | 9,994 | 9,905 | ||||||||||||
Information technology | 9,808 | 9,201 | ||||||||||||
Consumer staples | 8,476 | 9,724 | Consumer staples | 8,170 | 9,088 | |||||||||
Materials | 5,626 | 5,577 | Materials | 6,434 | 6,084 | |||||||||
Insurance | 3,975 | 3,755 | Insurance | 4,249 | 3,889 | |||||||||
Other | 3,235 | 2,552 | Other | 2,611 | 4,515 | |||||||||
Total exposure | $ | 168,165 | $ | 168,518 | Total exposure | $ | 189,061 | $ | 176,632 |
At September 30, 2020 | |||||||||||||||
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans, net of ACL | $ | 1,891 | $ | 1,185 | $ | 710 | $ | 1,216 | $ | 5,002 | |||||
Lending commitments | 2,346 | 5,088 | 2,257 | 3,697 | 13,388 | ||||||||||
Total exposure | $ | 4,237 | $ | 6,273 | $ | 2,967 | $ | 4,913 | $ | 18,390 |
At December 31, 2019 | |||||||||||||||
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans, net of ACL | $ | 1,194 | $ | 1,024 | $ | 839 | $ | 390 | $ | 3,447 | |||||
Lending commitments | 7,921 | 5,012 | 2,285 | 3,090 | 18,308 | ||||||||||
Total exposure | $ | 9,115 | $ | 6,036 | $ | 3,124 | $ | 3,480 | $ | 21,755 |
At September 30, 2021 | |||||||||||||||||
Contractual Years to Maturity | |||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Loans, net of ACL | $ | 1,331 | $ | 609 | $ | 479 | $ | 3,148 | $ | 5,567 | |||||||
Lending commitments | 5,861 | 5,078 | 2,877 | 6,442 | 20,258 | ||||||||||||
Total exposure | $ | 7,192 | $ | 5,687 | $ | 3,356 | $ | 9,590 | $ | 25,825 |
At December 31, 2020 | |||||||||||||||||
Contractual Years to Maturity | |||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Loans, net of ACL | $ | 1,241 | $ | 907 | $ | 873 | $ | 2,090 | $ | 5,111 | |||||||
Lending commitments | 2,810 | 4,649 | 2,678 | 4,650 | 14,787 | ||||||||||||
Total exposure | $ | 4,051 | $ | 5,556 | $ | 3,551 | $ | 6,740 | $ | 19,898 |
At September 30, 2021 | |||||||||||||||||
$ in millions | Loans | Lending Commitments | Total | ||||||||||||||
Corporate | $ | 4,774 | $ | 73,264 | $ | 78,038 | |||||||||||
Secured lending facilities | 27,345 | 9,434 | 36,779 | ||||||||||||||
Commercial real estate | 6,915 | 341 | 7,256 | ||||||||||||||
Other | 520 | 645 | 1,165 | ||||||||||||||
Total, before ACL | $ | 39,554 | $ | 83,684 | $ | 123,238 | |||||||||||
ACL | $ | (575) | $ | (416) | $ | (991) |
At December 31, 2020 | |||||||||||||||||
$ in millions | Loans | Lending Commitments | Total | ||||||||||||||
Corporate | $ | 6,046 | $ | 69,488 | $ | 75,534 | |||||||||||
Secured lending facilities | 25,727 | 8,312 | 34,039 | ||||||||||||||
Commercial real estate | 7,346 | 334 | 7,680 | ||||||||||||||
Other | 1,279 | 1,135 | 2,414 | ||||||||||||||
Total, before ACL | $ | 40,398 | $ | 79,269 | $ | 119,667 | |||||||||||
ACL | $ | (739) | $ | (391) | $ | (1,130) |
At September 30, 2020 | |||||||||
$ in millions | Loans | Lending Commitments | Total | ||||||
Corporate | $ | 7,628 | $ | 65,358 | $ | 72,986 | |||
Secured lending facilities | 26,496 | 8,122 | 34,618 | ||||||
Commercial real estate | 7,265 | 286 | 7,551 | ||||||
Other | 1,277 | 1,178 | 2,455 | ||||||
Total, before ACL | $ | 42,666 | $ | 74,944 | $ | 117,610 | |||
ACL | $ | (806 | ) | $ | (342 | ) | $ | (1,148 | ) |
At December 31, 2019 | |||||||||
$ in millions | Loans | Lending Commitments | Total | ||||||
Corporate | $ | 5,426 | $ | 61,716 | $ | 67,142 | |||
Secured lending facilities | 24,502 | 6,105 | 30,607 | ||||||
Commercial real estate | 7,859 | 425 | 8,284 | ||||||
Other | 503 | 832 | 1,335 | ||||||
Total, before ACL | $ | 38,290 | $ | 69,078 | $ | 107,368 | |||
ACL | $ | (297 | ) | $ | (236 | ) | $ | (533 | ) |
September | 31 |
Risk Disclosures |
$ in millions | Corporate | Secured lending facilities | Commercial real estate | Other | Total | ||||||||||
At December 31, 2019 | |||||||||||||||
ACL—Loans | $ | 115 | $ | 101 | $ | 75 | $ | 6 | $ | 297 | |||||
ACL—Lending commitments | $ | 201 | $ | 27 | $ | 7 | $ | 1 | $ | 236 | |||||
Total | $ | 316 | $ | 128 | $ | 82 | $ | 7 | $ | 533 | |||||
Effect of CECL adoption | (43 | ) | (53 | ) | 35 | 3 | (58 | ) | |||||||
Gross charge-offs | (33 | ) | — | (26 | ) | — | (59 | ) | |||||||
Recoveries | 3 | — | — | 2 | 5 | ||||||||||
Net (charge-offs) recoveries | (30 | ) | — | (26 | ) | 2 | (54 | ) | |||||||
Provision (release)1 | 400 | 155 | 180 | (16 | ) | 719 | |||||||||
Other | 3 | 1 | (38 | ) | 42 | 8 | |||||||||
Total at September 30, 2020 | $ | 646 | $ | 231 | $ | 233 | $ | 38 | $ | 1,148 | |||||
ACL—Loans | $ | 367 | $ | 191 | $ | 222 | $ | 26 | $ | 806 | |||||
ACL—Lending commitments | 279 | 40 | 11 | 12 | 342 |
$ in millions | Corporate | Secured lending facilities | Commercial real estate | Other | Total | ||||||||||||
ACL—Loans | $ | 309 | $ | 198 | $ | 211 | $ | 21 | $ | 739 | |||||||
ACL—Lending commitments | 323 | 38 | 11 | 19 | 391 | ||||||||||||
Total at December 31, 2020 | $ | 632 | $ | 236 | $ | 222 | $ | 40 | $ | 1,130 | |||||||
Gross charge-offs | (19) | (67) | (21) | — | (107) | ||||||||||||
Provision for credit losses | (52) | 49 | 4 | — | 1 | ||||||||||||
Other1 | (5) | (2) | (2) | (24) | (33) | ||||||||||||
Total at September 30, 2021 | $ | 556 | $ | 216 | $ | 203 | $ | 16 | $ | 991 | |||||||
ACL—Loans | $ | 197 | $ | 175 | $ | 193 | $ | 10 | $ | 575 | |||||||
ACL—Lending commitments | 359 | 41 | 10 | 6 | 416 |
At September 30, 2020 | At December 31, 2019 | At September 30, 2021 | At December 31, 2020 | |||||||||
Corporate | 4.8 | % | 2.1 | % | Corporate | 4.1 | % | 5.1 | % | |||
Secured lending facilities | 0.7 | % | 0.4 | % | Secured lending facilities | 0.6 | % | 0.8 | % | |||
Commercial real estate | 3.1 | % | 1.0 | % | Commercial real estate | 2.8 | % | 2.9 | % | |||
Other | 2.0 | % | 1.2 | % | Other | 1.9 | % | 1.7 | % | |||
Total Institutional Securities loans | 1.9 | % | 0.8 | % | Total Institutional Securities loans | 1.5 | % | 1.8 | % |
At September 30, 2021 | |||||||||||||||||
Contractual Years to Maturity | |||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Securities-based lending and Other | $ | 70,226 | $ | 5,411 | $ | 2,503 | $ | 1,717 | $ | 79,857 | |||||||
Residential real estate | 6 | — | 7 | 41,367 | 41,380 | ||||||||||||
Total loans, net of ACL | $ | 70,232 | $ | 5,411 | $ | 2,510 | $ | 43,084 | $ | 121,237 | |||||||
Lending commitments | 12,005 | 2,513 | 116 | 326 | 14,960 | ||||||||||||
Total exposure | $ | 82,237 | $ | 7,924 | $ | 2,626 | $ | 43,410 | $ | 136,197 |
At September 30, 2020 | At December 31, 2020 | |||||||||||||||||||||||||||||||
Contractual Years to Maturity | Contractual Years to Maturity | |||||||||||||||||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | $ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | |||||||||||||||||||||
Securities-based lending and Other | $ | 49,714 | $ | 4,411 | $ | 1,869 | $ | 1,680 | $ | 57,674 | Securities-based lending and Other | $ | 54,483 | $ | 4,587 | $ | 2,167 | $ | 1,672 | $ | 62,909 | |||||||||||
Residential real estate | 11 | 4 | 1 | 33,612 | 33,628 | Residential real estate | 9 | 1 | 1 | 35,210 | 35,221 | |||||||||||||||||||||
Total loans, net of ACL | $ | 49,725 | $ | 4,415 | $ | 1,870 | $ | 35,292 | $ | 91,302 | Total loans, net of ACL | $ | 54,492 | $ | 4,588 | $ | 2,168 | $ | 36,882 | $ | 98,130 | |||||||||||
Lending commitments | 11,797 | 2,240 | 326 | 269 | 14,632 | Lending commitments | 11,666 | 2,356 | 120 | 253 | 14,395 | |||||||||||||||||||||
Total exposure | $ | 61,522 | $ | 6,655 | $ | 2,196 | $ | 35,561 | $ | 105,934 | Total exposure | $ | 66,158 | $ | 6,944 | $ | 2,288 | $ | 37,135 | $ | 112,525 |
At December 31, 2019 | |||||||||||||||
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Securities-based lending and Other | $ | 41,863 | $ | 3,972 | $ | 2,783 | $ | 1,284 | $ | 49,902 | |||||
Residential real estate | 13 | 11 | — | 30,149 | 30,173 | ||||||||||
Total loans, net of ACL | $ | 41,876 | $ | 3,983 | $ | 2,783 | $ | 31,433 | $ | 80,075 | |||||
Lending commitments | 10,219 | 2,564 | 71 | 307 | 13,161 | ||||||||||
Total exposure | $ | 52,095 | $ | 6,547 | $ | 2,854 | $ | 31,740 | $ | 93,236 |
$ in millions | |||
December 31, 20191 | $ | 57 | |
Effect of CECL adoption | 17 | ||
Provision2 | 38 | ||
September 30, 2020 | $ | 112 | |
ACL—Loans | $ | 107 | |
ACL—Lending commitments | 5 |
$ in millions | |||||
ACL—Loans | $ | 96 | |||
ACL—Lending commitments | 5 | ||||
Total at December 31, 2020 | 101 | ||||
(2) | |||||
Other1 | |||||
Total at September 30, 2021 | $ | 122 | |||
ACL—Loans | $ | 109 | |||
ACL—Lending commitments | 13 |
At September 30, 2020 | |||||||||
$ in millions | IS | WM | Total | ||||||
Customer receivables representing margin loans | $ | 35,604 | $ | 9,054 | $ | 44,658 |
At December 31, 2019 | |||||||||||||||||
$ in millions | IS | WM | Total | $ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||||
Customer receivables representing margin loans | $ | 22,216 | $ | 9,700 | $ | 31,916 | |||||||||||
Institutional Securities | Institutional Securities | $ | 41,060 | $ | 51,570 | ||||||||||||
Wealth Management | Wealth Management | 28,548 | 23,144 | ||||||||||||||
Total | Total | $ | 69,608 | $ | 74,714 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Currently employed by the Firm | $ | 2,940 | N/A | |||
No longer employed by the Firm | 142 | N/A | ||||
Employee loans | $ | 3,082 | $ | 2,980 | ||
ACL1 | (165 | ) | (61 | ) | ||
Employee loans, net of ACL | $ | 2,917 | $ | 2,919 | ||
Remaining repayment term, weighted average in years | 5.1 | 4.8 |
32 | September 2021 Form 10-Q |
Risk Disclosures |
Counterparty Credit Rating1 | ||||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | ||||||||||||||
At September 30, 2021 | ||||||||||||||||||||
Less than 1 year | $ | 1,503 | $ | 13,004 | $ | 36,932 | $ | 23,620 | $ | 14,141 | $ | 89,200 | ||||||||
1-3 years | 790 | 4,478 | 15,274 | 15,286 | 7,802 | 43,630 | ||||||||||||||
3-5 years | 457 | 4,766 | 7,382 | 8,247 | 3,790 | 24,642 | ||||||||||||||
Over 5 years | 4,260 | 26,468 | 64,816 | 44,303 | 6,184 | 146,031 | ||||||||||||||
Total, gross | $ | 7,010 | $ | 48,716 | $ | 124,404 | $ | 91,456 | $ | 31,917 | $ | 303,503 | ||||||||
Counterparty netting | (2,867) | (37,546) | (96,338) | (65,345) | (14,619) | (216,715) | ||||||||||||||
Cash and securities collateral | (3,244) | (8,123) | (22,438) | (18,083) | (7,453) | (59,341) | ||||||||||||||
Total, net | $ | 899 | $ | 3,047 | $ | 5,628 | $ | 8,028 | $ | 9,845 | $ | 27,447 |
Counterparty Credit Rating1 | Counterparty Credit Rating1 | |||||||||||||||||||||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | $ in millions | AAA | AA | A | BBB | NIG | Total | |||||||||||||||||||||||||
At September 30, 2020 | ||||||||||||||||||||||||||||||||||||||
At December 31, 2020 | At December 31, 2020 | |||||||||||||||||||||||||||||||||||||
Less than 1 year | $ | 667 | $ | 10,653 | $ | 36,327 | $ | 23,017 | $ | 10,481 | $ | 81,145 | Less than 1 year | $ | 1,179 | $ | 16,166 | $ | 52,164 | $ | 26,088 | $ | 12,175 | $ | 107,772 | |||||||||||||
1-3 years | 641 | 5,332 | 17,817 | 13,616 | 7,196 | 44,602 | 1-3 years | 572 | 5,225 | 17,560 | 13,750 | 8,134 | 45,241 | |||||||||||||||||||||||||
3-5 years | 389 | 5,091 | 11,562 | 8,447 | 3,648 | 29,137 | 3-5 years | 359 | 4,326 | 11,328 | 8,363 | 4,488 | 28,864 | |||||||||||||||||||||||||
Over 5 years | 4,496 | 34,274 | 87,181 | 64,958 | 16,119 | 207,028 | Over 5 years | 4,545 | 32,049 | 84,845 | 63,084 | 13,680 | 198,203 | |||||||||||||||||||||||||
Total, gross | $ | 6,193 | $ | 55,350 | $ | 152,887 | $ | 110,038 | $ | 37,444 | $ | 361,912 | Total, gross | $ | 6,655 | $ | 57,766 | $ | 165,897 | $ | 111,285 | $ | 38,477 | $ | 380,080 | |||||||||||||
Counterparty netting | (3,107 | ) | (42,447 | ) | (122,838 | ) | (83,836 | ) | (22,686 | ) | (274,914 | ) | Counterparty netting | (3,269) | (44,306) | (134,310) | (84,171) | (22,227) | (288,283) | |||||||||||||||||||
Cash and securities collateral | (2,897 | ) | (10,830 | ) | (25,423 | ) | (20,621 | ) | (8,865 | ) | (68,636 | ) | Cash and securities collateral | (3,124) | (10,973) | (26,712) | (20,708) | (8,979) | (70,496) | |||||||||||||||||||
Total, net | $ | 189 | $ | 2,073 | $ | 4,626 | $ | 5,581 | $ | 5,893 | $ | 18,362 | Total, net | $ | 262 | $ | 2,487 | $ | 4,875 | $ | 6,406 | $ | 7,271 | $ | 21,301 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Industry | ||||||||
Financials | $ | 7,421 | $ | 6,195 | ||||
Utilities | 6,218 | 3,954 | ||||||
Energy | 4,097 | 965 | ||||||
Consumer Discretionary | 2,230 | 1,866 | ||||||
Industrials | 1,029 | 1,291 | ||||||
Information technology | 1,000 | 1,104 | ||||||
Regional governments | 980 | 806 | ||||||
Healthcare | 798 | 1,494 | ||||||
Sovereign governments | 684 | 650 | ||||||
Insurance | 682 | 518 | ||||||
Not-for-profit organizations | 571 | 701 | ||||||
Communications services | 328 | 529 | ||||||
Materials | 299 | 430 | ||||||
Consumer staples | 288 | 339 | ||||||
Real estate | 198 | 378 | ||||||
Other | 624 | 81 | ||||||
Total | $ | 27,447 | $ | 21,301 |
Counterparty Credit Rating1 | ||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | ||||||||||||
At December 31, 2019 | ||||||||||||||||||
Less than 1 year | $ | 371 | $ | 9,195 | $ | 31,789 | $ | 22,757 | $ | 6,328 | $ | 70,440 | ||||||
1-3 years | 378 | 5,150 | 17,707 | 11,495 | 9,016 | 43,746 | ||||||||||||
3-5 years | 502 | 4,448 | 9,903 | 6,881 | 3,421 | 25,155 | ||||||||||||
Over 5 years | 3,689 | 24,675 | 70,765 | 40,542 | 14,587 | 154,258 | ||||||||||||
Total, gross | $ | 4,940 | $ | 43,468 | $ | 130,164 | $ | 81,675 | $ | 33,352 | $ | 293,599 | ||||||
Counterparty netting | (2,172 | ) | (33,521 | ) | (103,452 | ) | (62,345 | ) | (19,514 | ) | (221,004 | ) | ||||||
Cash and securities collateral | (2,641 | ) | (8,134 | ) | (22,319 | ) | (14,570 | ) | (10,475 | ) | (58,139 | ) | ||||||
Total, net | $ | 127 | $ | 1,813 | $ | 4,393 | $ | 4,760 | $ | 3,363 | $ | 14,456 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Industry | ||||||
Utilities | $ | 4,407 | $ | 4,275 | ||
Financials | 4,394 | 3,448 | ||||
Industrials | 1,796 | 914 | ||||
Healthcare | 1,442 | 991 | ||||
Regional governments | 966 | 791 | ||||
Information technology | 901 | 659 | ||||
Not-for-profit organizations | 796 | 657 | ||||
Energy | 775 | 524 | ||||
Materials | 590 | 325 | ||||
Sovereign governments | 549 | 403 | ||||
Consumer staples | 385 | 129 | ||||
Consumer discretionary | 371 | 370 | ||||
Communications services | 325 | 381 | ||||
Insurance | 302 | 214 | ||||
Real estate | 287 | 315 | ||||
Other | 76 | 60 | ||||
Total | $ | 18,362 | $ | 14,456 |
1.Counterparty credit ratings are determined internally by the CRM. |
$ in millions | $ in millions | United Kingdom | Japan | France | Germany | Spain | ||||||||||||||||||||
Sovereign | Sovereign | |||||||||||||||||||||||||
Net inventory1 | Net inventory1 | $ | (794) | $ | 7,006 | $ | 1,361 | $ | (3,085) | $ | 355 | |||||||||||||||
Net counterparty exposure2 | Net counterparty exposure2 | 9 | 32 | 6 | 69 | 38 | ||||||||||||||||||||
United Kingdom | ||||||||||||||||||||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | |||||||||||||||||||||||
Lending commitments | Lending commitments | — | — | — | 637 | — | ||||||||||||||||||||
Exposure before hedges | Exposure before hedges | (785) | 7,038 | 1,367 | (2,379) | 393 | ||||||||||||||||||||
Hedges3 | Hedges3 | (307) | (79) | (6) | (287) | — | ||||||||||||||||||||
Net exposure | Net exposure | $ | (1,092) | $ | 6,959 | $ | 1,361 | $ | (2,666) | $ | 393 | |||||||||||||||
Non-sovereign | Non-sovereign | |||||||||||||||||||||||||
Net inventory1 | $ | 1,145 | $ | 928 | $ | 2,073 | Net inventory1 | $ | 729 | $ | 873 | $ | (877) | $ | (455) | $ | 10 | |||||||||
Net counterparty exposure2 | 69 | 11,183 | 11,252 | Net counterparty exposure2 | 13,517 | 4,297 | 2,757 | 2,519 | 794 | |||||||||||||||||
Loans | — | 2,831 | 2,831 | Loans | 3,461 | 380 | 579 | 1,694 | 3,168 | |||||||||||||||||
Lending commitments | — | 6,607 | 6,607 | Lending commitments | 6,791 | 180 | 4,344 | 5,768 | 874 | |||||||||||||||||
Exposure before hedges | 1,214 | 21,549 | 22,763 | Exposure before hedges | 24,498 | 5,730 | 6,803 | 9,526 | 4,846 | |||||||||||||||||
Hedges3 | (311 | ) | (1,470 | ) | (1,781 | ) | Hedges3 | (1,401) | (155) | (1,167) | (1,033) | (540) | ||||||||||||||
Net exposure | $ | 903 | $ | 20,079 | $ | 20,982 | Net exposure | $ | 23,097 | $ | 5,575 | $ | 5,636 | $ | 8,493 | $ | 4,306 | |||||||||
Total net exposure | Total net exposure | $ | 22,005 | $ | 12,534 | $ | 6,997 | $ | 5,827 | $ | 4,699 |
Germany | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (1,168 | ) | $ | (14 | ) | $ | (1,182 | ) |
Net counterparty exposure2 | 214 | 3,280 | 3,494 | ||||||
Loans | — | 2,092 | 2,092 | ||||||
Lending commitments | (1 | ) | 4,428 | 4,427 | |||||
Exposure before hedges | (955 | ) | 9,786 | 8,831 | |||||
Hedges3 | (286 | ) | (867 | ) | (1,153 | ) | |||
Net exposure | $ | (1,241 | ) | $ | 8,919 | $ | 7,678 |
Japan | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 2,182 | $ | 512 | $ | 2,694 | |||
Net counterparty exposure2 | 57 | 4,505 | 4,562 | ||||||
Loans | — | 562 | 562 | ||||||
Exposure before hedges | 2,239 | 5,579 | 7,818 | ||||||
Hedges3 | (96 | ) | (228 | ) | (324 | ) | |||
Net exposure | $ | 2,143 | $ | 5,351 | $ | 7,494 |
France | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,214 | $ | (334 | ) | $ | 880 | ||
Net counterparty exposure2 | 18 | 3,444 | 3,462 | ||||||
Loans | — | 525 | 525 | ||||||
Lending commitments | — | 3,047 | 3,047 | ||||||
Exposure before hedges | 1,232 | 6,682 | 7,914 | ||||||
Hedges3 | (6 | ) | (815 | ) | (821 | ) | |||
Net exposure | $ | 1,226 | $ | 5,867 | $ | 7,093 |
Spain | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (809 | ) | $ | 28 | $ | (781 | ) | |
Net counterparty exposure2 | 7 | 284 | 291 | ||||||
Loans | — | 4,061 | 4,061 | ||||||
Lending commitments | — | 620 | 620 | ||||||
Exposure before hedges | (802 | ) | 4,993 | 4,191 | |||||
Hedges3 | — | (123 | ) | (123 | ) | ||||
Net exposure | $ | (802 | ) | $ | 4,870 | $ | 4,068 |
Australia | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,893 | $ | 261 | $ | 2,154 | |||
Net counterparty exposure2 | 6 | 637 | 643 | ||||||
Loans | — | 392 | 392 | ||||||
Lending commitments | — | 798 | 798 | ||||||
Exposure before hedges | 1,899 | 2,088 | 3,987 | ||||||
Hedges3 | — | (174 | ) | (174 | ) | ||||
Net exposure | $ | 1,899 | $ | 1,914 | $ | 3,813 |
India | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,795 | $ | 595 | $ | 2,390 | |||
Net counterparty exposure2 | — | 821 | 821 | ||||||
Loans | — | 205 | 205 | ||||||
Exposure before hedges | 1,795 | 1,621 | 3,416 | ||||||
Net exposure | $ | 1,795 | $ | 1,621 | $ | 3,416 |
September |
Risk Disclosures |
China | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (184 | ) | $ | 1,506 | $ | 1,322 | ||
Net counterparty exposure2 | 103 | 481 | 584 | ||||||
Loans | — | 772 | 772 | ||||||
Lending commitments | — | 765 | 765 | ||||||
Exposure before hedges | (81 | ) | 3,524 | 3,443 | |||||
Hedges3 | (82 | ) | (122 | ) | (204 | ) | |||
Net exposure | $ | (163 | ) | $ | 3,402 | $ | 3,239 |
Canada | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (66 | ) | $ | 330 | $ | 264 | ||
Net counterparty exposure2 | 60 | 1,477 | 1,537 | ||||||
Loans | — | 155 | 155 | ||||||
Lending commitments | — | 1,380 | 1,380 | ||||||
Exposure before hedges | (6 | ) | 3,342 | 3,336 | |||||
Hedges3 | — | (108 | ) | (108 | ) | ||||
Net exposure | $ | (6 | ) | $ | 3,234 | $ | 3,228 |
Netherlands | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (5 | ) | $ | 280 | $ | 275 | ||
Net counterparty exposure2 | — | 760 | 760 | ||||||
Loans | — | 420 | 420 | ||||||
Lending commitments | — | 1,768 | 1,768 | ||||||
Exposure before hedges | (5 | ) | 3,228 | 3,223 | |||||
Hedges3 | (32 | ) | (210 | ) | (242 | ) | |||
Net exposure | $ | (37 | ) | $ | 3,018 | $ | 2,981 |
$ in millions | China | Netherlands | India | Canada | Italy | ||||||||||||
Sovereign | |||||||||||||||||
Net inventory1 | $ | (17) | $ | 256 | $ | 972 | $ | (523) | $ | 845 | |||||||
Net counterparty exposure2 | 73 | — | — | 67 | 53 | ||||||||||||
Exposure before hedges | 56 | 256 | 972 | (456) | 898 | ||||||||||||
Hedges3 | (81) | (32) | — | — | (25) | ||||||||||||
Net exposure | $ | (25) | $ | 224 | $ | 972 | $ | (456) | $ | 873 | |||||||
Non-sovereign | |||||||||||||||||
Net inventory1 | $ | 1,142 | $ | (359) | $ | 752 | $ | 263 | $ | 123 | |||||||
Net counterparty exposure2 | 908 | 1,064 | 978 | 1,473 | 1,042 | ||||||||||||
Loans | 800 | 373 | 235 | 58 | 193 | ||||||||||||
Lending commitments | 1,786 | 2,847 | — | 1,547 | 367 | ||||||||||||
Exposure before hedges | 4,636 | 3,925 | 1,965 | 3,341 | 1,725 | ||||||||||||
Hedges3 | (200) | (271) | — | (86) | (94) | ||||||||||||
Net exposure | $ | 4,436 | $ | 3,654 | $ | 1,965 | $ | 3,255 | $ | 1,631 | |||||||
Total net exposure | $ | 4,411 | $ | 3,878 | $ | 2,937 | $ | 2,799 | $ | 2,504 |
$ in millions | At September 30, 2020 | |||
Country of Risk | Collateral2 | |||
Germany | Japan and France | $ | 13,464 | |
United Kingdom | U.K., U.S. and Spain | 12,093 | ||
Other | Japan, U.S. and Canada | 23,884 |
At September 30, 2021 | ||||||||
Country of Risk | Collateral2 | |||||||
Germany | Croatia and France | $ | 11,815 | |||||
United Kingdom | U.K., U.S. and Spain | 8,703 | ||||||
Other | Japan, Italy and France | 21,322 |
34 | September |
/s/ Deloitte & Touche LLP | ||
New York, New York | ||
November 3, |
September | 35 |
Consolidated Income Statements (Unaudited) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
in millions, except per share data | 2021 | 2020 | 2021 | 2020 | ||||||||||
Revenues | ||||||||||||||
Investment banking | $ | 3,013 | $ | 1,826 | $ | 8,413 | $ | 5,239 | ||||||
Trading | 2,861 | 3,150 | 10,416 | 10,754 | ||||||||||
Investments | 45 | 346 | 744 | 659 | ||||||||||
Commissions and fees | 1,280 | 1,037 | 4,214 | 3,499 | ||||||||||
Asset management | 5,201 | 3,664 | 14,572 | 10,346 | ||||||||||
Other | 290 | 212 | 916 | 221 | ||||||||||
Total non-interest revenues | 12,690 | 10,235 | 39,275 | 30,718 | ||||||||||
Interest income | 2,351 | 2,056 | 7,000 | 7,917 | ||||||||||
Interest expense | 288 | 570 | 1,044 | 3,475 | ||||||||||
Net interest | 2,063 | 1,486 | 5,956 | 4,442 | ||||||||||
Net revenues | 14,753 | 11,721 | 45,231 | 35,160 | ||||||||||
Provision for credit losses | 24 | 111 | (1) | 757 | ||||||||||
Non-interest expenses | ||||||||||||||
Compensation and benefits | 5,920 | 5,086 | 19,141 | 15,404 | ||||||||||
Brokerage, clearing and exchange fees | 825 | 697 | 2,530 | 2,153 | ||||||||||
Information processing and communications | 788 | 616 | 2,286 | 1,768 | ||||||||||
Professional services | 734 | 542 | 2,104 | 1,526 | ||||||||||
Occupancy and equipment | 427 | 373 | 1,246 | 1,103 | ||||||||||
Marketing and business development | 146 | 78 | 438 | 273 | ||||||||||
Other | 1,015 | 731 | 2,703 | 2,188 | ||||||||||
Total non-interest expenses | 9,855 | 8,123 | 30,448 | 24,415 | ||||||||||
Income before provision for income taxes | 4,874 | 3,487 | 14,784 | 9,988 | ||||||||||
Provision for income taxes | 1,150 | 736 | 3,380 | 2,221 | ||||||||||
Net income | $ | 3,724 | $ | 2,751 | $ | 11,404 | $ | 7,767 | ||||||
Net income applicable to noncontrolling interests | 17 | 34 | 66 | 156 | ||||||||||
Net income applicable to Morgan Stanley | $ | 3,707 | $ | 2,717 | $ | 11,338 | $ | 7,611 | ||||||
Preferred stock dividends | 123 | 120 | 364 | 377 | ||||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 3,584 | $ | 2,597 | $ | 10,974 | $ | 7,234 | ||||||
Earnings per common share | ||||||||||||||
Basic | $ | 2.01 | $ | 1.68 | $ | 6.11 | $ | 4.68 | ||||||
Diluted | $ | 1.98 | $ | 1.66 | $ | 6.02 | $ | 4.62 | ||||||
Average common shares outstanding | ||||||||||||||
Basic | 1,781 | 1,542 | 1,797 | 1,546 | ||||||||||
Diluted | 1,812 | 1,566 | 1,824 | 1,565 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Net income | $ | 3,724 | $ | 2,751 | $ | 11,404 | $ | 7,767 | ||||||
Other comprehensive income (loss), net of tax: | ||||||||||||||
Foreign currency translation adjustments | (78) | 110 | (256) | (1) | ||||||||||
Change in net unrealized gains (losses) on available-for-sale securities | (256) | (62) | (1,039) | 1,558 | ||||||||||
Pension and other | 5 | 5 | 22 | 29 | ||||||||||
Change in net debt valuation adjustment | 147 | (563) | 470 | 744 | ||||||||||
Total other comprehensive income (loss) | $ | (182) | $ | (510) | $ | (803) | $ | 2,330 | ||||||
Comprehensive income | $ | 3,542 | $ | 2,241 | $ | 10,601 | $ | 10,097 | ||||||
Net income applicable to noncontrolling interests | 17 | 34 | 66 | 156 | ||||||||||
Other comprehensive income (loss) applicable to noncontrolling interests | (4) | 28 | (64) | 79 | ||||||||||
Comprehensive income applicable to Morgan Stanley | $ | 3,529 | $ | 2,179 | $ | 10,599 | $ | 9,862 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
in millions, except per share data | 2020 | 2019 | 2020 | 2019 | ||||||||
Revenues | ||||||||||||
Investment banking | $ | 1,826 | $ | 1,635 | $ | 5,239 | $ | 4,467 | ||||
Trading | 3,092 | 2,608 | 10,831 | 8,781 | ||||||||
Investments | 346 | 87 | 659 | 801 | ||||||||
Commissions and fees | 1,037 | 990 | 3,499 | 2,935 | ||||||||
Asset management | 3,664 | 3,363 | 10,346 | 9,632 | ||||||||
Other | 206 | 131 | (458 | ) | 685 | |||||||
Total non-interest revenues | 10,171 | 8,814 | 30,116 | 27,301 | ||||||||
Interest income | 2,056 | 4,350 | 7,917 | 13,146 | ||||||||
Interest expense | 570 | 3,132 | 3,475 | 9,885 | ||||||||
Net interest | 1,486 | 1,218 | 4,442 | 3,261 | ||||||||
Net revenues | 11,657 | 10,032 | 34,558 | 30,562 | ||||||||
Non-interest expenses | ||||||||||||
Compensation and benefits | 5,086 | 4,427 | 15,404 | 13,609 | ||||||||
Brokerage, clearing and exchange fees | 697 | 637 | 2,153 | 1,860 | ||||||||
Information processing and communications | 616 | 557 | 1,768 | 1,627 | ||||||||
Professional services | 542 | 531 | 1,526 | 1,582 | ||||||||
Occupancy and equipment | 373 | 353 | 1,103 | 1,053 | ||||||||
Marketing and business development | 78 | 157 | 273 | 460 | ||||||||
Other | 778 | 660 | 2,343 | 1,803 | ||||||||
Total non-interest expenses | 8,170 | 7,322 | 24,570 | 21,994 | ||||||||
Income before provision for income taxes | 3,487 | 2,710 | 9,988 | 8,568 | ||||||||
Provision for income taxes | 736 | 492 | 2,221 | 1,636 | ||||||||
Net income | $ | 2,751 | $ | 2,218 | $ | 7,767 | $ | 6,932 | ||||
Net income applicable to noncontrolling interests | 34 | 45 | 156 | 129 | ||||||||
Net income applicable to Morgan Stanley | $ | 2,717 | $ | 2,173 | $ | 7,611 | $ | 6,803 | ||||
Preferred stock dividends | 120 | 113 | 377 | 376 | ||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 2,597 | $ | 2,060 | $ | 7,234 | $ | 6,427 | ||||
Earnings per common share | ||||||||||||
Basic | $ | 1.68 | $ | 1.28 | $ | 4.68 | $ | 3.94 | ||||
Diluted | $ | 1.66 | $ | 1.27 | $ | 4.62 | $ | 3.89 | ||||
Average common shares outstanding | ||||||||||||
Basic | 1,542 | 1,604 | 1,546 | 1,632 | ||||||||
Diluted | 1,566 | 1,627 | 1,565 | 1,653 |
September | See Notes to Consolidated Financial Statements |
Consolidated |
$ in millions, except share data | (Unaudited) At September 30, 2021 | At December 31, 2020 | ||||||
Assets | ||||||||
Cash and cash equivalents | $ | 123,863 | $ | 105,654 | ||||
Trading assets at fair value ($109,494 and $132,578 were pledged to various parties) | 315,161 | 312,738 | ||||||
Investment securities (includes $101,594 and $110,383 at fair value) | 183,431 | 182,154 | ||||||
Securities purchased under agreements to resell (includes $7 and $15 at fair value) | 119,721 | 116,234 | ||||||
Securities borrowed | 125,922 | 112,391 | ||||||
Customer and other receivables | 98,353 | 97,737 | ||||||
Loans: | ||||||||
Held for investment (net of allowance for credit losses of $684 and $835) | 160,191 | 137,784 | ||||||
Held for sale | 13,168 | 12,813 | ||||||
Goodwill | 16,832 | 11,635 | ||||||
Intangible assets (net of accumulated amortization of $3,671 and $3,265) | 8,514 | 4,980 | ||||||
Other assets | 25,320 | 21,742 | ||||||
Total assets | $ | 1,190,476 | $ | 1,115,862 | ||||
Liabilities | ||||||||
Deposits (includes $2,010 and $3,521 at fair value) | $ | 329,041 | $ | 310,782 | ||||
Trading liabilities at fair value | 169,959 | 157,631 | ||||||
Securities sold under agreements to repurchase (includes $928 and $1,115 at fair value) | 61,987 | 50,587 | ||||||
Securities loaned | 11,133 | 7,731 | ||||||
Other secured financings (includes $5,614 and $11,701 at fair value) | 10,272 | 15,863 | ||||||
Customer and other payables | 240,319 | 227,437 | ||||||
Other liabilities and accrued expenses | 30,884 | 25,603 | ||||||
Borrowings (includes $75,752 and $73,701 at fair value) | 229,762 | 217,079 | ||||||
Total liabilities | 1,083,357 | 1,012,713 | ||||||
Commitments and contingent liabilities (see Note 14) | ||||||||
0Equity | ||||||||
Morgan Stanley shareholders’ equity: | ||||||||
Preferred stock | 7,750 | 9,250 | ||||||
Common stock, $0.01 par value: | ||||||||
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,798,908,848 and 1,809,624,144 | 20 | 20 | ||||||
Additional paid-in capital | 28,504 | 25,546 | ||||||
Retained earnings | 87,099 | 78,694 | ||||||
Employee stock trusts | 3,770 | 3,043 | ||||||
Accumulated other comprehensive income (loss) | (2,701) | (1,962) | ||||||
Common stock held in treasury at cost, $0.01 par value (239,985,131 and 229,269,835 shares) | (14,769) | (9,767) | ||||||
Common stock issued to employee stock trusts | (3,770) | (3,043) | ||||||
Total Morgan Stanley shareholders’ equity | 105,903 | 101,781 | ||||||
Noncontrolling interests | 1,216 | 1,368 | ||||||
Total equity | 107,119 | 103,149 | ||||||
Total liabilities and equity | $ | 1,190,476 | $ | 1,115,862 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Net income | $ | 2,751 | $ | 2,218 | $ | 7,767 | $ | 6,932 | ||||
Other comprehensive income (loss), net of tax: | ||||||||||||
Foreign currency translation adjustments | 110 | (99 | ) | (1 | ) | (56 | ) | |||||
Change in net unrealized gains (losses) on available-for-sale securities | (62 | ) | 214 | 1,558 | 1,252 | |||||||
Pension, postretirement and other | 5 | 3 | 29 | 7 | ||||||||
Change in net debt valuation adjustment | (563 | ) | 337 | 744 | (529 | ) | ||||||
Total other comprehensive income (loss) | $ | (510 | ) | $ | 455 | $ | 2,330 | $ | 674 | |||
Comprehensive income | $ | 2,241 | $ | 2,673 | $ | 10,097 | $ | 7,606 | ||||
Net income applicable to noncontrolling interests | 34 | 45 | 156 | 129 | ||||||||
Other comprehensive income (loss) applicable to noncontrolling interests | 28 | 2 | 79 | (20 | ) | |||||||
Comprehensive income applicable to Morgan Stanley | $ | 2,179 | $ | 2,626 | $ | 9,862 | $ | 7,497 |
See Notes to Consolidated Financial Statements | September |
$ in millions, except share data | (Unaudited) At September 30, 2020 | At December 31, 2019 | ||||
Assets | ||||||
Cash and cash equivalents | $ | 94,772 | $ | 82,171 | ||
Trading assets at fair value ($122,933 and $128,386 were pledged to various parties) | 293,968 | 297,110 | ||||
Investment securities (includes $84,536 and $62,223 at fair value) | 130,705 | 105,725 | ||||
Securities purchased under agreements to resell (includes $15 and $4 at fair value) | 88,283 | 88,224 | ||||
Securities borrowed | 100,803 | 106,549 | ||||
Customer and other receivables | 72,537 | 55,646 | ||||
Loans: | ||||||
Held for investment (net of allowance of $913 and $349) | 133,156 | 118,060 | ||||
Held for sale | 13,081 | 12,577 | ||||
Goodwill | 7,348 | 7,143 | ||||
Intangible assets (net of accumulated amortization of $3,442 and $3,204) | 1,880 | 2,107 | ||||
Other assets | 19,407 | 20,117 | ||||
Total assets | $ | 955,940 | $ | 895,429 | ||
Liabilities | ||||||
Deposits (includes $3,679 and $2,099 at fair value) | $ | 239,253 | $ | 190,356 | ||
Trading liabilities at fair value | 145,016 | 133,356 | ||||
Securities sold under agreements to repurchase (includes $1,166 and $733 at fair value) | 41,376 | 54,200 | ||||
Securities loaned | 7,924 | 8,506 | ||||
Other secured financings (includes $10,185 and $7,809 at fair value) | 13,857 | 14,698 | ||||
Customer and other payables | 192,300 | 197,834 | ||||
Other liabilities and accrued expenses | 22,952 | 21,155 | ||||
Borrowings (includes $69,144 and $64,461 at fair value) | 203,444 | 192,627 | ||||
Total liabilities | 866,122 | 812,732 | ||||
Commitments and contingent liabilities (see Note 14) | ||||||
Equity | ||||||
Morgan Stanley shareholders’ equity: | ||||||
Preferred stock | 8,520 | 8,520 | ||||
Common stock, $0.01 par value: | ||||||
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,576,447,988 and 1,593,973,680 | 20 | 20 | ||||
Additional paid-in capital | 24,015 | 23,935 | ||||
Retained earnings | 76,061 | 70,589 | ||||
Employee stock trusts | 2,992 | 2,918 | ||||
Accumulated other comprehensive income (loss) | (537 | ) | (2,788 | ) | ||
Common stock held in treasury at cost, $0.01 par value (462,445,991 and 444,920,299 shares) | (19,685 | ) | (18,727 | ) | ||
Common stock issued to employee stock trusts | (2,992 | ) | (2,918 | ) | ||
Total Morgan Stanley shareholders’ equity | 88,394 | 81,549 | ||||
Noncontrolling interests | 1,424 | 1,148 | ||||
Total equity | 89,818 | 82,697 | ||||
Total liabilities and equity | $ | 955,940 | $ | 895,429 |
Consolidated Statements of Changes in Total Equity (Unaudited) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Preferred Stock | ||||||||||||||
Beginning balance | $ | 7,750 | $ | 8,520 | $ | 9,250 | $ | 8,520 | ||||||
Redemption of Series J preferred stock | — | — | (1,500) | — | ||||||||||
Ending balance | 7,750 | 8,520 | 7,750 | 8,520 | ||||||||||
Common Stock | ||||||||||||||
Beginning and ending balance | 20 | 20 | 20 | 20 | ||||||||||
Additional Paid-in Capital | ||||||||||||||
Beginning balance | 28,030 | 23,782 | 25,546 | 23,935 | ||||||||||
Share-based award activity | 473 | 232 | 765 | 79 | ||||||||||
Issuance of common stock for the acquisition of Eaton Vance | — | — | 2,185 | — | ||||||||||
Other net increases (decreases) | 1 | 1 | 8 | 1 | ||||||||||
Ending balance | 28,504 | 24,015 | 28,504 | 24,015 | ||||||||||
Retained Earnings | ||||||||||||||
Beginning balance | 84,791 | 74,015 | 78,694 | 70,589 | ||||||||||
Cumulative adjustment related to the adoption of financial instruments-credit losses accounting update1 | — | — | — | (100) | ||||||||||
Net income applicable to Morgan Stanley | 3,707 | 2,717 | 11,338 | 7,611 | ||||||||||
Preferred stock dividends2 | (123) | (120) | (364) | (377) | ||||||||||
Common stock dividends2 | (1,276) | (551) | (2,562) | (1,662) | ||||||||||
Other net increases (decreases) | — | — | (7) | — | ||||||||||
Ending balance | 87,099 | 76,061 | 87,099 | 76,061 | ||||||||||
Employee Stock Trusts | ||||||||||||||
Beginning balance | 3,768 | 3,018 | 3,043 | 2,918 | ||||||||||
Share-based award activity | 2 | (26) | 727 | 74 | ||||||||||
Ending balance | 3,770 | 2,992 | 3,770 | 2,992 | ||||||||||
Accumulated Other Comprehensive Income (Loss) | ||||||||||||||
Beginning balance | (2,523) | 1 | (1,962) | (2,788) | ||||||||||
Net change in Accumulated other comprehensive income (loss) | (178) | (538) | (739) | 2,251 | ||||||||||
Ending balance | (2,701) | (537) | (2,701) | (537) | ||||||||||
Common Stock Held in Treasury at Cost | ||||||||||||||
Beginning balance | (11,198) | (19,693) | (9,767) | (18,727) | ||||||||||
Share-based award activity | 57 | 38 | 1,094 | 882 | ||||||||||
Repurchases of common stock and employee tax withholdings | (3,628) | (30) | (9,228) | (1,840) | ||||||||||
Issuance of common stock for the acquisition of Eaton Vance | — | — | 3,132 | — | ||||||||||
Ending balance | (14,769) | (19,685) | (14,769) | (19,685) | ||||||||||
Common Stock Issued to Employee Stock Trusts | ||||||||||||||
Beginning balance | (3,768) | (3,018) | (3,043) | (2,918) | ||||||||||
Share-based award activity | (2) | 26 | (727) | (74) | ||||||||||
Ending balance | (3,770) | (2,992) | (3,770) | (2,992) | ||||||||||
Noncontrolling Interests | ||||||||||||||
Beginning balance | 1,292 | 1,364 | 1,368 | 1,148 | ||||||||||
Net income applicable to noncontrolling interests | 17 | 34 | 66 | 156 | ||||||||||
Net change in Accumulated other comprehensive income (loss) applicable to noncontrolling interests | (4) | 28 | (64) | 79 | ||||||||||
Other net increases (decreases) | (89) | (2) | (154) | 41 | ||||||||||
Ending balance | 1,216 | 1,424 | 1,216 | 1,424 | ||||||||||
Total Equity | $ | 107,119 | $ | 89,818 | $ | 107,119 | $ | 89,818 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Preferred Stock | ||||||||||||
Beginning and ending balance | $ | 8,520 | $ | 8,520 | $ | 8,520 | $ | 8,520 | ||||
Common Stock | ||||||||||||
Beginning and ending balance | 20 | 20 | 20 | 20 | ||||||||
Additional Paid-in Capital | ||||||||||||
Beginning balance | 23,782 | 23,446 | 23,935 | 23,794 | ||||||||
Share-based award activity | 232 | 196 | 79 | (154 | ) | |||||||
Other net increases | 1 | 7 | 1 | 9 | ||||||||
Ending balance | 24,015 | 23,649 | 24,015 | 23,649 | ||||||||
Retained Earnings | ||||||||||||
Beginning balance | 74,015 | 67,588 | 70,589 | 64,175 | ||||||||
Cumulative adjustments for accounting changes1 | 0 | 0 | (100 | ) | 63 | |||||||
Net income applicable to Morgan Stanley | 2,717 | 2,173 | 7,611 | 6,803 | ||||||||
Preferred stock dividends2 | (120 | ) | (113 | ) | (377 | ) | (376 | ) | ||||
Common stock dividends2 | (551 | ) | (577 | ) | (1,662 | ) | (1,594 | ) | ||||
Ending balance | 76,061 | 69,071 | 76,061 | 69,071 | ||||||||
Employee Stock Trusts | ||||||||||||
Beginning balance | 3,018 | 2,889 | 2,918 | 2,836 | ||||||||
Share-based award activity | (26 | ) | (24 | ) | 74 | 29 | ||||||
Ending balance | 2,992 | 2,865 | 2,992 | 2,865 | ||||||||
Accumulated Other Comprehensive Income (Loss) | ||||||||||||
Beginning balance | 1 | (2,051 | ) | (2,788 | ) | (2,292 | ) | |||||
Net change in Accumulated other comprehensive income (loss) | (538 | ) | 453 | 2,251 | 694 | |||||||
Ending balance | (537 | ) | (1,598 | ) | (537 | ) | (1,598 | ) | ||||
Common Stock Held In Treasury at Cost | ||||||||||||
Beginning balance | (19,693 | ) | (15,799 | ) | (18,727 | ) | (13,971 | ) | ||||
Share-based award activity | 38 | 57 | 882 | 1,138 | ||||||||
Repurchases of common stock and employee tax withholdings | (30 | ) | (1,538 | ) | (1,840 | ) | (4,447 | ) | ||||
Ending balance | (19,685 | ) | (17,280 | ) | (19,685 | ) | (17,280 | ) | ||||
Common Stock Issued to Employee Stock Trusts | ||||||||||||
Beginning balance | (3,018 | ) | (2,889 | ) | (2,918 | ) | (2,836 | ) | ||||
Share-based award activity | 26 | 24 | (74 | ) | (29 | ) | ||||||
Ending balance | (2,992 | ) | (2,865 | ) | (2,992 | ) | (2,865 | ) | ||||
Non-Controlling Interests | ||||||||||||
Beginning balance | 1,364 | 1,121 | 1,148 | 1,160 | ||||||||
Net income applicable to non-controlling interests | 34 | 45 | 156 | 129 | ||||||||
Net change in Accumulated other comprehensive income (loss) applicable to non-controlling interests | 28 | 2 | 79 | (20 | ) | |||||||
Other net increases (decreases) | (2 | ) | 0 | 41 | (101 | ) | ||||||
Ending balance | 1,424 | 1,168 | 1,424 | 1,168 | ||||||||
Total Equity | $ | 89,818 | $ | 83,550 | $ | 89,818 | $ | 83,550 |
See Note 17 for information regarding dividends per share for each class of stock. |
Nine Months Ended September 30, | ||||||
$ in millions | 2020 | 2019 | ||||
Cash flows from operating activities | ||||||
Net income | $ | 7,767 | $ | 6,932 | ||
Adjustments to reconcile net income to net cash provided by (used for) operating activities: | ||||||
Stock-based compensation expense | 802 | 825 | ||||
Depreciation and amortization | 2,363 | 1,987 | ||||
Provision for (Release of) credit losses on lending activities | 757 | 104 | ||||
Other operating adjustments | 663 | (114 | ) | |||
Changes in assets and liabilities: | ||||||
Trading assets, net of Trading liabilities | 18,442 | 17,036 | ||||
Securities borrowed | 5,746 | (16,088 | ) | |||
Securities loaned | (582 | ) | (2,217 | ) | ||
Customer and other receivables and other assets | (17,098 | ) | (5,135 | ) | ||
Customer and other payables and other liabilities | (5,818 | ) | 22,721 | |||
Securities purchased under agreements to resell | (59 | ) | 5,155 | |||
Securities sold under agreements to repurchase | (12,824 | ) | 9,703 | |||
Net cash provided by (used for) operating activities | 159 | 40,909 | ||||
Cash flows from investing activities | ||||||
Proceeds from (payments for): | ||||||
Other assets—Premises, equipment and software, net | (905 | ) | (1,460 | ) | ||
Changes in loans, net | (13,592 | ) | (10,079 | ) | ||
Investment securities: | ||||||
Purchases | (41,147 | ) | (35,078 | ) | ||
Proceeds from sales | 7,220 | 13,561 | ||||
Proceeds from paydowns and maturities | 11,240 | 8,183 | ||||
Other investing activities | (254 | ) | (848 | ) | ||
Net cash provided by (used for) investing activities | (37,438 | ) | (25,721 | ) | ||
Cash flows from financing activities | ||||||
Net proceeds from (payments for): | ||||||
Other secured financings | 229 | (587 | ) | |||
Deposits | 48,734 | (7,084 | ) | |||
Proceeds from issuance of Borrowings | 42,169 | 23,697 | ||||
Payments for: | ||||||
Borrowings | (38,151 | ) | (30,391 | ) | ||
Repurchases of common stock and employee tax withholdings | (1,840 | ) | (4,447 | ) | ||
Cash dividends | (2,008 | ) | (2,082 | ) | ||
Other financing activities | (208 | ) | (286 | ) | ||
Net cash provided by (used for) financing activities | 48,925 | (21,180 | ) | |||
Effect of exchange rate changes on cash and cash equivalents | 955 | (1,548 | ) | |||
Net increase (decrease) in cash and cash equivalents | 12,601 | (7,540 | ) | |||
Cash and cash equivalents, at beginning of period | 82,171 | 87,196 | ||||
Cash and cash equivalents, at end of period | $ | 94,772 | $ | 79,656 | ||
Supplemental Disclosure of Cash Flow Information | ||||||
Cash payments for: | ||||||
Interest | $ | 3,747 | $ | 9,760 | ||
Income taxes, net of refunds | 1,675 | 1,603 |
38 | |||||||
See Notes to Consolidated Financial Statements |
Consolidated Cash Flow Statements (Unaudited) |
Nine Months Ended September 30, | ||||||||
$ in millions | 2021 | 2020 | ||||||
Cash flows from operating activities | ||||||||
Net income | $ | 11,404 | $ | 7,767 | ||||
Adjustments to reconcile net income to net cash provided by (used for) operating activities: | ||||||||
Stock-based compensation expense | 1,636 | 802 | ||||||
Depreciation and amortization | 2,979 | 2,363 | ||||||
Provision for credit losses | (1) | 757 | ||||||
Other operating adjustments | (149) | 663 | ||||||
Changes in assets and liabilities: | ||||||||
Trading assets, net of Trading liabilities | 2,832 | 18,442 | ||||||
Securities borrowed | (13,531) | 5,746 | ||||||
Securities loaned | 3,402 | (582) | ||||||
Customer and other receivables and other assets | (2,692) | (17,098) | ||||||
Customer and other payables and other liabilities | 19,829 | (5,818) | ||||||
Securities purchased under agreements to resell | (3,487) | (59) | ||||||
Securities sold under agreements to repurchase | 11,400 | (12,824) | ||||||
Net cash provided by (used for) operating activities | 33,622 | 159 | ||||||
Cash flows from investing activities | ||||||||
Proceeds from (payments for): | ||||||||
Other assets—Premises, equipment and software, net | (1,658) | (905) | ||||||
Changes in loans, net | (23,197) | (13,592) | ||||||
Investment securities: | ||||||||
Purchases | (57,334) | (41,147) | ||||||
Proceeds from sales | 18,325 | 7,220 | ||||||
Proceeds from paydowns and maturities | 32,368 | 11,240 | ||||||
Cash paid as part of the Eaton Vance acquisition, net of cash acquired | (2,648) | — | ||||||
Other investing activities | (447) | (254) | ||||||
Net cash provided by (used for) investing activities | (34,591) | (37,438) | ||||||
Cash flows from financing activities | ||||||||
Net proceeds from (payments for): | ||||||||
Other secured financings | (1,125) | 229 | ||||||
Deposits | 18,347 | 48,734 | ||||||
Proceeds from issuance of Borrowings | 73,591 | 42,169 | ||||||
Payments for: | ||||||||
Borrowings | (56,699) | (38,151) | ||||||
Repurchases of common stock and employee tax withholdings | (9,228) | (1,840) | ||||||
Cash dividends | (2,857) | (2,008) | ||||||
Other financing activities | (197) | (208) | ||||||
Net cash provided by (used for) financing activities | 21,832 | 48,925 | ||||||
Effect of exchange rate changes on cash and cash equivalents | (2,654) | 955 | ||||||
Net increase (decrease) in cash and cash equivalents | 18,209 | 12,601 | ||||||
Cash and cash equivalents, at beginning of period | 105,654 | 82,171 | ||||||
Cash and cash equivalents, at end of period | $ | 123,863 | $ | 94,772 | ||||
Supplemental Disclosure of Cash Flow Information | ||||||||
Cash payments for: | ||||||||
Interest | $ | 1,236 | $ | 3,747 | ||||
Income taxes, net of refunds | 3,303 | 1,675 |
Notes to Consolidated Financial Statements (Unaudited) |
September 2021 Form 10-Q | 40 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | At March 1, 2021 | ||||
Assets | |||||
Cash and cash equivalents | $ | 691 | |||
Trading assets at fair value: | |||||
Loans and lending commitments | 445 | ||||
Investments | 299 | ||||
Corporate and other debt | 52 | ||||
Customer and other receivables | 331 | ||||
Goodwill | 5,270 | ||||
Intangible assets | 3,956 | ||||
Other assets | 836 | ||||
Total assets | $ | 11,880 | |||
Liabilities | |||||
Other secured financings | $ | 399 | |||
Other liabilities and accrued expenses | 2,147 | ||||
Borrowings | 678 | ||||
Total liabilities | $ | 3,224 |
$ in millions | Weighted average life (years) | At March 1, 2021 | ||||||
Non-amortizable | ||||||||
Management contracts | indefinite | $ | 2,120 | |||||
Amortizable | ||||||||
Customer relationships | 16 | 1,455 | ||||||
Tradenames | 23 | 221 | ||||||
Management contracts | 16 | 160 | ||||||
Total acquired Intangible assets | $ | 3,956 |
$ in millions | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 20211 | ||||||
Net revenues | $ | 549 | $ | 1,258 | ||||
Net income | 137 | 287 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 20211 | 2020 | 2021 | 2020 | ||||||||||
Net revenues | $ | 14,753 | $ | 12,072 | $ | 45,527 | $ | 36,313 | ||||||
Net income | 3,724 | 2,729 | 11,504 | 7,420 |
41 | September |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Cash and due from banks | $ | 13,840 | $ | 6,763 | ||
Interest bearing deposits with banks | 80,932 | 75,408 | ||||
Total Cash and cash equivalents | $ | 94,772 | $ | 82,171 | ||
Restricted cash | $ | 37,186 | $ | 32,512 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Cash and due from banks | $ | 10,216 | $ | 9,792 | ||||
Interest bearing deposits with banks | 113,647 | 95,862 | ||||||
Total Cash and cash equivalents | $ | 123,863 | $ | 105,654 | ||||
Restricted cash | $ | 43,829 | $ | 38,202 |
At September 30, 2021 | |||||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||||
Assets at fair value | |||||||||||||||||
Trading assets: | |||||||||||||||||
U.S. Treasury and agency securities | $ | 44,238 | $ | 26,312 | $ | 4 | $ | — | $ | 70,554 | |||||||
Other sovereign government obligations | 32,668 | 5,246 | 127 | — | 38,041 | ||||||||||||
State and municipal securities | — | 1,960 | — | — | 1,960 | ||||||||||||
MABS | — | 1,249 | 366 | — | 1,615 | ||||||||||||
Loans and lending commitments2 | — | 10,611 | 4,304 | — | 14,915 | ||||||||||||
Corporate and other debt | — | 31,242 | 1,563 | — | 32,805 | ||||||||||||
Corporate equities3 | 100,903 | 1,126 | 214 | — | 102,243 | ||||||||||||
Derivative and other contracts: | |||||||||||||||||
Interest rate | 3,382 | 158,164 | 1,311 | — | 162,857 | ||||||||||||
Credit | — | 9,063 | 510 | — | 9,573 | ||||||||||||
Foreign exchange | 32 | 73,464 | 147 | — | 73,643 | ||||||||||||
Equity | 1,211 | 69,495 | 464 | — | 71,170 | ||||||||||||
Commodity and other | 12,547 | 27,294 | 2,882 | — | 42,723 | ||||||||||||
Netting1 | (15,382) | (248,815) | (869) | (51,501) | (316,567) | ||||||||||||
Total derivative and other contracts | 1,790 | 88,665 | 4,445 | (51,501) | 43,399 | ||||||||||||
Investments4 | 795 | 648 | 781 | — | 2,224 | ||||||||||||
Physical commodities | — | 3,049 | — | — | 3,049 | ||||||||||||
Total trading assets4 | 180,394 | 170,108 | 11,804 | (51,501) | 310,805 | ||||||||||||
Investment securities—AFS | 55,839 | 45,755 | — | — | 101,594 | ||||||||||||
Securities purchased under agreements to resell | — | 7 | — | — | 7 | ||||||||||||
Total assets at fair value | $ | 236,233 | $ | 215,870 | $ | 11,804 | $ | (51,501) | $ | 412,406 |
At September 30, 2021 | |||||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||||
Liabilities at fair value | |||||||||||||||||
Deposits | $ | — | $ | 1,948 | $ | 62 | $ | — | $ | 2,010 | |||||||
Trading liabilities: | |||||||||||||||||
U.S. Treasury and agency securities | 19,623 | 1,142 | — | — | 20,765 | ||||||||||||
Other sovereign government obligations | 23,194 | 1,814 | 3 | — | 25,011 | ||||||||||||
Corporate and other debt | — | 10,565 | 5 | — | 10,570 | ||||||||||||
Corporate equities3 | 74,549 | 314 | 34 | — | 74,897 | ||||||||||||
Derivative and other contracts: | |||||||||||||||||
Interest rate | 3,251 | 148,188 | 515 | — | 151,954 | ||||||||||||
Credit | — | 9,671 | 544 | — | 10,215 | ||||||||||||
Foreign exchange | 35 | 69,491 | 50 | — | 69,576 | ||||||||||||
Equity | 1,477 | 80,045 | 1,464 | — | 82,986 | ||||||||||||
Commodity and other | 12,445 | 23,170 | 1,573 | — | 37,188 | ||||||||||||
Netting1 | (15,382) | (248,815) | (869) | (48,137) | (313,203) | ||||||||||||
Total derivative and other contracts | 1,826 | 81,750 | 3,277 | (48,137) | 38,716 | ||||||||||||
Total trading liabilities | 119,192 | 95,585 | 3,319 | (48,137) | 169,959 | ||||||||||||
Securities sold under agreements to repurchase | — | 480 | 448 | — | 928 | ||||||||||||
Other secured financings | — | 5,219 | 395 | — | 5,614 | ||||||||||||
Borrowings | — | 73,696 | 2,056 | — | 75,752 | ||||||||||||
Total liabilities at fair value | $ | 119,192 | $ | 176,928 | $ | 6,280 | $ | (48,137) | $ | 254,263 |
At September 30, 2020 | |||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Assets at fair value | |||||||||||||||
Trading assets: | |||||||||||||||
U.S. Treasury and agency securities | $ | 41,488 | $ | 27,033 | $ | 122 | $ | — | $ | 68,643 | |||||
Other sovereign government obligations | 31,171 | 5,909 | 10 | — | 37,090 | ||||||||||
State and municipal securities | 0 | 1,479 | 0 | — | 1,479 | ||||||||||
MABS | 0 | 999 | 443 | — | 1,442 | ||||||||||
Loans and lending commitments2 | 0 | 3,982 | 4,351 | — | 8,333 | ||||||||||
Corporate and other debt | 0 | 27,158 | 2,727 | — | 29,885 | ||||||||||
Corporate equities3 | 102,975 | 655 | 135 | — | 103,765 | ||||||||||
Derivative and other contracts: | |||||||||||||||
Interest rate | 2,784 | 239,900 | 1,114 | — | 243,798 | ||||||||||
Credit | 0 | 9,138 | 768 | — | 9,906 | ||||||||||
Foreign exchange | 16 | 67,016 | 152 | — | 67,184 | ||||||||||
Equity | 1,244 | 65,115 | 1,127 | — | 67,486 | ||||||||||
Commodity and other | 3,022 | 12,031 | 3,480 | — | 18,533 | ||||||||||
Netting1 | (5,913 | ) | (304,977 | ) | (1,060 | ) | (59,715 | ) | (371,665 | ) | |||||
Total derivative and other contracts | 1,153 | 88,223 | 5,581 | (59,715 | ) | 35,242 | |||||||||
Investments4 | 664 | 144 | 821 | — | 1,629 | ||||||||||
Physical commodities | 0 | 2,615 | 0 | — | 2,615 | ||||||||||
Total trading assets4 | 177,451 | 158,197 | 14,190 | (59,715 | ) | 290,123 | |||||||||
Investment securities—AFS | 46,946 | 37,590 | 0 | — | 84,536 | ||||||||||
Securities purchased under agreements to resell | 0 | 15 | 0 | — | 15 | ||||||||||
Total assets at fair value | $ | 224,397 | $ | 195,802 | $ | 14,190 | $ | (59,715 | ) | $ | 374,674 |
At September 30, 2020 | |||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Liabilities at fair value | |||||||||||||||
Deposits | $ | 0 | $ | 3,574 | $ | 105 | $ | — | $ | 3,679 | |||||
Trading liabilities: | |||||||||||||||
U.S. Treasury and agency securities | 11,311 | 462 | 1 | — | 11,774 | ||||||||||
Other sovereign government obligations | 25,589 | 1,513 | 0 | — | 27,102 | ||||||||||
Corporate and other debt | 0 | 8,623 | 2 | — | 8,625 | ||||||||||
Corporate equities3 | 59,950 | 344 | 57 | — | 60,351 | ||||||||||
Derivative and other contracts: | |||||||||||||||
Interest rate | 2,942 | 226,788 | 478 | — | 230,208 | ||||||||||
Credit | 0 | 9,602 | 652 | — | 10,254 | ||||||||||
Foreign exchange | 17 | 65,390 | 53 | — | 65,460 | ||||||||||
Equity | 1,219 | 75,900 | 3,272 | — | 80,391 | ||||||||||
Commodity and other | 3,025 | 10,304 | 1,676 | — | 15,005 | ||||||||||
Netting1 | (5,913 | ) | (304,977 | ) | (1,060 | ) | (52,204 | ) | (364,154 | ) | |||||
Total derivative and other contracts | 1,290 | 83,007 | 5,071 | (52,204 | ) | 37,164 | |||||||||
Total trading liabilities | 98,140 | 93,949 | 5,131 | (52,204 | ) | 145,016 | |||||||||
Securities sold under agreements to repurchase | 0 | 718 | 448 | — | 1,166 | ||||||||||
Other secured financings | 0 | 9,876 | 309 | — | 10,185 | ||||||||||
Borrowings | 0 | 65,063 | 4,081 | — | 69,144 | ||||||||||
Total liabilities at fair value | $ | 98,140 | $ | 173,180 | $ | 10,074 | $ | (52,204 | ) | $ | 229,190 |
At December 31, 2019 | |||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Assets at fair value | |||||||||||||||
Trading assets: | |||||||||||||||
U.S. Treasury and agency securities | $ | 36,866 | $ | 28,992 | $ | 22 | $ | — | $ | 65,880 | |||||
Other sovereign government obligations | 23,402 | 4,347 | 5 | — | 27,754 | ||||||||||
State and municipal securities | 0 | 2,790 | 1 | — | 2,791 | ||||||||||
MABS | 0 | 1,690 | 438 | — | 2,128 | ||||||||||
Loans and lending commitments2 | 0 | 6,253 | 5,073 | — | 11,326 | ||||||||||
Corporate and other debt | 0 | 22,124 | 1,396 | — | 23,520 | ||||||||||
Corporate equities3 | 123,942 | 652 | 97 | — | 124,691 | ||||||||||
Derivative and other contracts: | |||||||||||||||
Interest rate | 1,265 | 182,977 | 1,239 | — | 185,481 | ||||||||||
Credit | 0 | 6,658 | 654 | — | 7,312 | ||||||||||
Foreign exchange | 15 | 64,260 | 145 | — | 64,420 | ||||||||||
Equity | 1,219 | 48,927 | 922 | — | 51,068 | ||||||||||
Commodity and other | 1,079 | 7,255 | 2,924 | — | 11,258 | ||||||||||
Netting1 | (2,794 | ) | (235,947 | ) | (993 | ) | (47,804 | ) | (287,538 | ) | |||||
Total derivative and other contracts | 784 | 74,130 | 4,891 | (47,804 | ) | 32,001 | |||||||||
Investments4 | 481 | 252 | 858 | — | 1,591 | ||||||||||
Physical commodities | 0 | 1,907 | 0 | — | 1,907 | ||||||||||
Total trading assets4 | 185,475 | 143,137 | 12,781 | (47,804 | ) | 293,589 | |||||||||
Investment securities—AFS | 32,902 | 29,321 | 0 | — | 62,223 | ||||||||||
Securities purchased under agreements to resell | 0 | 4 | 0 | — | 4 | ||||||||||
Total assets at fair value | $ | 218,377 | $ | 172,462 | $ | 12,781 | $ | (47,804 | ) | $ | 355,816 |
September |
Notes to Consolidated Financial Statements (Unaudited) |
At December 31, 2020 | |||||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||||
Assets at fair value | |||||||||||||||||
Trading assets: | |||||||||||||||||
U.S. Treasury and agency securities | $ | 43,084 | $ | 31,524 | $ | 9 | $ | — | $ | 74,617 | |||||||
Other sovereign government obligations | 26,174 | 5,048 | 268 | — | 31,490 | ||||||||||||
State and municipal securities | — | 1,135 | — | — | 1,135 | ||||||||||||
MABS | — | 1,070 | 322 | — | 1,392 | ||||||||||||
Loans and lending commitments2 | — | 5,389 | 5,759 | — | 11,148 | ||||||||||||
Corporate and other debt | — | 30,093 | 3,435 | — | 33,528 | ||||||||||||
Corporate equities3 | 111,575 | 1,142 | 86 | — | 112,803 | ||||||||||||
Derivative and other contracts: | |||||||||||||||||
Interest rate | 4,458 | 227,818 | 1,210 | — | 233,486 | ||||||||||||
Credit | — | 6,840 | 701 | — | 7,541 | ||||||||||||
Foreign exchange | 29 | 93,770 | 260 | — | 94,059 | ||||||||||||
Equity | 1,132 | 65,943 | 1,369 | — | 68,444 | ||||||||||||
Commodity and other | 1,818 | 10,108 | 2,723 | — | 14,649 | ||||||||||||
Netting1 | (5,488) | (310,534) | (1,351) | (62,956) | (380,329) | ||||||||||||
Total derivative and other contracts | 1,949 | 93,945 | 4,912 | (62,956) | 37,850 | ||||||||||||
Investments4 | 624 | 234 | 828 | — | 1,686 | ||||||||||||
Physical commodities | — | 3,260 | — | — | 3,260 | ||||||||||||
Total trading assets4 | 183,406 | 172,840 | 15,619 | (62,956) | 308,909 | ||||||||||||
Investment securities—AFS | 46,354 | 61,225 | 2,804 | — | 110,383 | ||||||||||||
Securities purchased under agreements to resell | — | 12 | 3 | — | 15 | ||||||||||||
Total assets at fair value | $ | 229,760 | $ | 234,077 | $ | 18,426 | $ | (62,956) | $ | 419,307 |
At December 31, 2019 | At December 31, 2020 | |||||||||||||||||||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | $ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | |||||||||||||||||||||
Liabilities at fair value | Liabilities at fair value | |||||||||||||||||||||||||||||||
Deposits | $ | 0 | $ | 1,920 | $ | 179 | $ | — | $ | 2,099 | Deposits | $ | — | $ | 3,395 | $ | 126 | $ | — | $ | 3,521 | |||||||||||
Trading liabilities: | Trading liabilities: | |||||||||||||||||||||||||||||||
U.S. Treasury and agency securities | 11,191 | 34 | 0 | — | 11,225 | U.S. Treasury and agency securities | 10,204 | 1 | — | — | 10,205 | |||||||||||||||||||||
Other sovereign government obligations | 21,837 | 1,332 | 1 | — | 23,170 | Other sovereign government obligations | 24,209 | 1,738 | 16 | — | 25,963 | |||||||||||||||||||||
Corporate and other debt | 0 | 7,410 | 0 | — | 7,410 | Corporate and other debt | — | 8,468 | — | — | 8,468 | |||||||||||||||||||||
Corporate equities3 | 63,002 | 79 | 36 | — | 63,117 | Corporate equities3 | 67,822 | 172 | 63 | — | 68,057 | |||||||||||||||||||||
Derivative and other contracts: | Derivative and other contracts: | Derivative and other contracts: | ||||||||||||||||||||||||||||||
Interest rate | 1,144 | 171,025 | 462 | — | 172,631 | Interest rate | 4,789 | 213,321 | 528 | — | 218,638 | |||||||||||||||||||||
Credit | 0 | 7,391 | 530 | — | 7,921 | Credit | — | 7,500 | 652 | — | 8,152 | |||||||||||||||||||||
Foreign exchange | 6 | 67,473 | 176 | — | 67,655 | Foreign exchange | 11 | 94,698 | 199 | — | 94,908 | |||||||||||||||||||||
Equity | 1,200 | 49,062 | 2,606 | — | 52,868 | Equity | 1,245 | 81,683 | 3,600 | — | 86,528 | |||||||||||||||||||||
Commodity and other | 1,194 | 7,118 | 1,312 | — | 9,624 | Commodity and other | 1,758 | 9,418 | 1,014 | — | 12,190 | |||||||||||||||||||||
Netting1 | (2,794 | ) | (235,947 | ) | (993 | ) | (42,531 | ) | (282,265 | ) | Netting1 | (5,488) | (310,534) | (1,351) | (58,105) | (375,478) | ||||||||||||||||
Total derivative and other contracts | 750 | 66,122 | 4,093 | (42,531 | ) | 28,434 | Total derivative and other contracts | 2,315 | 96,086 | 4,642 | (58,105) | 44,938 | ||||||||||||||||||||
Total trading liabilities | 96,780 | 74,977 | 4,130 | (42,531 | ) | 133,356 | Total trading liabilities | 104,550 | 106,465 | 4,721 | (58,105) | 157,631 | ||||||||||||||||||||
Securities sold under agreements to repurchase | 0 | 733 | 0 | — | 733 | Securities sold under agreements to repurchase | — | 671 | 444 | — | 1,115 | |||||||||||||||||||||
Other secured financings | 0 | 7,700 | 109 | — | 7,809 | Other secured financings | — | 11,185 | 516 | — | 11,701 | |||||||||||||||||||||
Borrowings | 0 | 60,373 | 4,088 | — | 64,461 | Borrowings | — | 69,327 | 4,374 | — | 73,701 | |||||||||||||||||||||
Total liabilities at fair value | $ | 96,780 | $ | 145,703 | $ | 8,506 | $ | (42,531 | ) | $ | 208,458 | Total liabilities at fair value | $ | 104,550 | $ | 191,043 | $ | 10,181 | $ | (58,105) | $ | 247,669 |
2.For a further breakdown by type, see the following |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Corporate | $ | 14 | $ | 20 | ||
Secured lending facilities | 445 | 951 | ||||
Commercial Real Estate | 769 | 2,098 | ||||
Residential Real Estate | 824 | 1,192 | ||||
Securities-based lending and Other loans | 6,281 | 7,065 | ||||
Total | $ | 8,333 | $ | 11,326 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Corporate | $ | 13 | $ | 13 | ||||
Secured lending facilities | 350 | 648 | ||||||
Commercial Real Estate | 2,418 | 916 | ||||||
Residential Real Estate | 3,118 | 2,145 | ||||||
Securities-based lending and Other loans | 9,016 | 7,426 | ||||||
Total | $ | 14,915 | $ | 11,148 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Customer and other receivables (payables), net | $ | (26) | $ | 434 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Customer and other receivables, net | $ | 589 | $ | 365 |
43 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
U.S. Treasury and agency securities | ||||||||||||||
Beginning balance | $ | 25 | $ | 97 | $ | 9 | $ | 22 | ||||||
Realized and unrealized gains (losses) | (1) | (1) | — | — | ||||||||||
Purchases | 4 | 109 | 28 | 133 | ||||||||||
Sales | (24) | (36) | (33) | (42) | ||||||||||
Net transfers | — | (47) | — | 9 | ||||||||||
Ending balance | $ | 4 | $ | 122 | $ | 4 | $ | 122 | ||||||
Unrealized gains (losses) | $ | (1) | $ | (1) | $ | — | $ | — | ||||||
Other sovereign government obligations | ||||||||||||||
Beginning balance | $ | 78 | $ | 11 | $ | 268 | $ | 5 | ||||||
Realized and unrealized gains (losses) | (3) | (1) | (1) | — | ||||||||||
Purchases | 59 | 1 | 129 | 8 | ||||||||||
Sales | (4) | (1) | (269) | (3) | ||||||||||
Net transfers | (3) | — | — | — | ||||||||||
Ending balance | $ | 127 | $ | 10 | $ | 127 | $ | 10 | ||||||
Unrealized gains (losses) | $ | (3) | $ | — | $ | — | $ | — | ||||||
State and municipal securities | ||||||||||||||
Beginning balance | $ | 4 | $ | — | $ | — | $ | 1 | ||||||
Purchases | — | — | 4 | — | ||||||||||
Sales | (4) | — | (4) | — | ||||||||||
Net transfers | — | — | — | (1) | ||||||||||
Ending balance | $ | — | $ | — | $ | — | $ | — | ||||||
Unrealized gains (losses) | $ | — | $ | — | $ | — | $ | — | ||||||
MABS | ||||||||||||||
Beginning balance | $ | 357 | $ | 379 | $ | 322 | $ | 438 | ||||||
Realized and unrealized gains (losses) | 11 | 13 | 67 | (60) | ||||||||||
Purchases | 96 | 13 | 263 | 172 | ||||||||||
Sales | (23) | (54) | (216) | (162) | ||||||||||
Net transfers | (75) | 92 | (70) | 55 | ||||||||||
Ending balance | $ | 366 | $ | 443 | $ | 366 | $ | 443 | ||||||
Unrealized gains (losses) | $ | 11 | $ | 8 | $ | 8 | $ | (35) | ||||||
Loans and lending commitments | ||||||||||||||
Beginning balance | $ | 4,896 | $ | 4,068 | $ | 5,759 | $ | 5,073 | ||||||
Realized and unrealized gains (losses) | 47 | 20 | 33 | (161) | ||||||||||
Purchases and originations | 1,373 | 846 | 2,467 | 1,926 | ||||||||||
Sales | (768) | (725) | (2,314) | (1,139) | ||||||||||
Settlements | (414) | (285) | (1,082) | (1,907) | ||||||||||
Net transfers1 | (830) | 427 | (559) | 559 | ||||||||||
Ending balance | $ | 4,304 | $ | 4,351 | $ | 4,304 | $ | 4,351 | ||||||
Unrealized gains (losses) | $ | 21 | $ | 27 | $ | (5) | $ | (137) | ||||||
Corporate and other debt | ||||||||||||||
Beginning balance | $ | 1,801 | $ | 2,686 | $ | 3,435 | $ | 1,396 | ||||||
Realized and unrealized gains (losses) | 173 | (107) | (151) | (184) | ||||||||||
Purchases and originations | 639 | 451 | 1,505 | 2,217 | ||||||||||
Sales | (594) | (325) | (1,698) | (425) | ||||||||||
Settlements | — | — | — | (311) | ||||||||||
Net transfers2 | (456) | 22 | (1,528) | 34 | ||||||||||
Ending balance | $ | 1,563 | $ | 2,727 | $ | 1,563 | $ | 2,727 | ||||||
Unrealized gains (losses) | $ | 173 | $ | (96) | $ | 10 | $ | (186) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
U.S. Treasury and agency securities | ||||||||||||
Beginning balance | $ | 97 | $ | 5 | $ | 22 | $ | 54 | ||||
Realized and unrealized gains (losses) | (1 | ) | 0 | 0 | 0 | |||||||
Purchases | 109 | 11 | 133 | 18 | ||||||||
Sales | (36 | ) | 0 | (42 | ) | (54 | ) | |||||
Net transfers | (47 | ) | 2 | 9 | 0 | |||||||
Ending balance | $ | 122 | $ | 18 | $ | 122 | $ | 18 | ||||
Unrealized gains (losses) | $ | (1 | ) | $ | 0 | $ | 0 | $ | 0 | |||
Other sovereign government obligations | ||||||||||||
Beginning balance | $ | 11 | $ | 10 | $ | 5 | $ | 17 | ||||
Realized and unrealized gains (losses) | (1 | ) | (3 | ) | 0 | (2 | ) | |||||
Purchases | 1 | 2 | 8 | 13 | ||||||||
Sales | (1 | ) | (2 | ) | (3 | ) | (6 | ) | ||||
Net transfers | 0 | 5 | 0 | (10 | ) | |||||||
Ending balance | $ | 10 | $ | 12 | $ | 10 | $ | 12 | ||||
Unrealized gains (losses) | $ | 0 | $ | (3 | ) | $ | 0 | $ | (2 | ) | ||
State and municipal securities | ||||||||||||
Beginning balance | $ | 0 | $ | 16 | $ | 1 | $ | 148 | ||||
Sales | 0 | (2 | ) | 0 | (43 | ) | ||||||
Net transfers | 0 | (13 | ) | (1 | ) | (104 | ) | |||||
Ending balance | $ | 0 | $ | 1 | $ | 0 | $ | 1 | ||||
Unrealized gains (losses) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
MABS | ||||||||||||
Beginning balance | $ | 379 | $ | 480 | $ | 438 | $ | 354 | ||||
Realized and unrealized gains (losses) | 13 | (10 | ) | (60 | ) | (9 | ) | |||||
Purchases | 13 | 5 | 172 | 66 | ||||||||
Sales | (54 | ) | (58 | ) | (162 | ) | (157 | ) | ||||
Settlements | 0 | 0 | 0 | (39 | ) | |||||||
Net transfers | 92 | (16 | ) | 55 | 186 | |||||||
Ending balance | $ | 443 | $ | 401 | $ | 443 | $ | 401 | ||||
Unrealized gains (losses) | $ | 8 | $ | (8 | ) | $ | (35 | ) | $ | (38 | ) | |
Loans and lending commitments | ||||||||||||
Beginning balance | $ | 4,068 | $ | 5,604 | $ | 5,073 | $ | 6,870 | ||||
Realized and unrealized gains (losses) | 20 | (51 | ) | (161 | ) | 3 | ||||||
Purchases and originations | 846 | 852 | 1,926 | 1,934 | ||||||||
Sales | (725 | ) | (464 | ) | (1,139 | ) | (1,541 | ) | ||||
Settlements | (285 | ) | (811 | ) | (1,907 | ) | (2,130 | ) | ||||
Net transfers1 | 427 | (261 | ) | 559 | (267 | ) | ||||||
Ending balance | $ | 4,351 | $ | 4,869 | $ | 4,351 | $ | 4,869 | ||||
Unrealized gains (losses) | $ | 27 | $ | (55 | ) | $ | (137 | ) | $ | 283 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Corporate equities | ||||||||||||||
Beginning balance | $ | 150 | $ | 83 | $ | 86 | $ | 97 | ||||||
Realized and unrealized gains (losses) | 4 | 32 | (15) | — | ||||||||||
Purchases | 83 | 32 | 367 | 42 | ||||||||||
Sales | (7) | (27) | (193) | (27) | ||||||||||
Net transfers | (16) | 15 | (31) | 23 | ||||||||||
Ending balance | $ | 214 | $ | 135 | $ | 214 | $ | 135 | ||||||
Unrealized gains (losses) | $ | 4 | $ | 39 | $ | (5) | $ | 14 | ||||||
Investments | ||||||||||||||
Beginning balance | $ | 978 | $ | 759 | $ | 828 | $ | 858 | ||||||
Realized and unrealized gains (losses) | 18 | 55 | 58 | (6) | ||||||||||
Purchases | 59 | 7 | 150 | 37 | ||||||||||
Sales | (23) | (16) | (46) | (37) | ||||||||||
Net transfers | (251) | 16 | (209) | (31) | ||||||||||
Ending balance | $ | 781 | $ | 821 | $ | 781 | $ | 821 | ||||||
Unrealized gains (losses) | $ | 13 | $ | 44 | $ | 39 | $ | (19) | ||||||
Investment securities —AFS | ||||||||||||||
Beginning balance | $ | — | $ | — | $ | 2,804 | $ | — | ||||||
Realized and unrealized gains (losses) | — | — | (4) | — | ||||||||||
Sales | — | — | (203) | — | ||||||||||
Net transfers3 | — | — | (2,597) | — | ||||||||||
Ending balance | $ | — | $ | — | $ | — | $ | — | ||||||
Unrealized gains (losses) | $ | — | $ | — | $ | — | $ | — | ||||||
Securities purchased under agreements to resell | ||||||||||||||
Beginning balance | $ | — | $ | — | $ | 3 | $ | — | ||||||
Net transfers | — | — | (3) | — | ||||||||||
Ending balance | $ | — | $ | — | $ | — | $ | — | ||||||
Unrealized gains (losses) | $ | — | $ | — | $ | — | $ | — | ||||||
Net derivatives: Interest rate | ||||||||||||||
Beginning balance | $ | 668 | $ | 760 | $ | 682 | $ | 777 | ||||||
Realized and unrealized gains (losses) | 70 | (147) | (223) | (95) | ||||||||||
Purchases | 22 | 36 | 48 | 153 | ||||||||||
Issuances | (9) | (15) | (41) | (41) | ||||||||||
Settlements | 18 | (31) | 101 | 36 | ||||||||||
Net transfers | 27 | 33 | 229 | (194) | ||||||||||
Ending balance | $ | 796 | $ | 636 | $ | 796 | $ | 636 | ||||||
Unrealized gains (losses) | $ | 165 | $ | (139) | $ | (168) | $ | (37) | ||||||
Net derivatives: Credit | ||||||||||||||
Beginning balance | $ | (203) | $ | 131 | $ | 49 | $ | 124 | ||||||
Realized and unrealized gains (losses) | 59 | (16) | (2) | 11 | ||||||||||
Purchases | 12 | 17 | 23 | 66 | ||||||||||
Issuances | (19) | (51) | (44) | (101) | ||||||||||
Settlements | 102 | 10 | 16 | 61 | ||||||||||
Net transfers | 15 | 25 | (76) | (45) | ||||||||||
Ending balance | $ | (34) | $ | 116 | $ | (34) | $ | 116 | ||||||
Unrealized gains (losses) | $ | (26) | $ | (16) | $ | — | $ | 2 |
September |
Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Net derivatives: Foreign exchange | ||||||||||||||
Beginning balance | $ | 33 | $ | 17 | $ | 61 | $ | (31) | ||||||
Realized and unrealized gains (losses) | 32 | 86 | 41 | 202 | ||||||||||
Purchases | 12 | — | 19 | 3 | ||||||||||
Issuances | (15) | (4) | (21) | (5) | ||||||||||
Settlements | 46 | (9) | (45) | (27) | ||||||||||
Net transfers | (11) | 9 | 42 | (43) | ||||||||||
Ending balance | $ | 97 | $ | 99 | $ | 97 | $ | 99 | ||||||
Unrealized gains (losses) | $ | 29 | $ | 75 | $ | 73 | $ | 136 | ||||||
Net derivatives: Equity | ||||||||||||||
Beginning balance | $ | (837) | $ | (1,884) | $ | (2,231) | $ | (1,684) | ||||||
Realized and unrealized gains (losses) | (45) | 3 | 366 | 75 | ||||||||||
Purchases | 24 | 19 | 69 | 192 | ||||||||||
Issuances | (122) | (181) | (362) | (706) | ||||||||||
Settlements | (3) | (151) | (196) | (167) | ||||||||||
Net transfers2 | (17) | 49 | 1,354 | 145 | ||||||||||
Ending balance | $ | (1,000) | $ | (2,145) | $ | (1,000) | $ | (2,145) | ||||||
Unrealized gains (losses) | $ | (96) | $ | 32 | $ | (57) | $ | (143) | ||||||
Net derivatives: Commodity and other | ||||||||||||||
Beginning balance | $ | 1,430 | $ | 2,087 | $ | 1,709 | $ | 1,612 | ||||||
Realized and unrealized gains (losses) | (167) | (29) | 43 | 373 | ||||||||||
Purchases | 44 | 1 | 324 | 26 | ||||||||||
Issuances | (31) | (40) | (137) | (65) | ||||||||||
Settlements | (97) | (181) | (371) | (101) | ||||||||||
Net transfers | 130 | (34) | (259) | (41) | ||||||||||
Ending balance | $ | 1,309 | $ | 1,804 | $ | 1,309 | $ | 1,804 | ||||||
Unrealized gains (losses) | $ | (96) | $ | (251) | $ | (243) | $ | (6) | ||||||
Deposits | ||||||||||||||
Beginning balance | $ | 86 | $ | 90 | $ | 126 | $ | 179 | ||||||
Realized and unrealized losses (gains) | (1) | 4 | 1 | 8 | ||||||||||
Settlements | (4) | (2) | (12) | (13) | ||||||||||
Net transfers | (19) | 13 | (53) | (69) | ||||||||||
Ending balance | $ | 62 | $ | 105 | $ | 62 | $ | 105 | ||||||
Unrealized losses (gains) | $ | (1) | $ | 4 | $ | 1 | $ | 8 | ||||||
Nonderivative trading liabilities | ||||||||||||||
Beginning balance | $ | 59 | $ | 74 | $ | 79 | $ | 37 | ||||||
Realized and unrealized losses (gains) | (11) | (6) | (20) | (21) | ||||||||||
Purchases | (16) | (7) | (88) | (23) | ||||||||||
Sales | 11 | 5 | 83 | 23 | ||||||||||
Settlements | — | — | — | 3 | ||||||||||
Net transfers | (1) | (6) | (12) | 41 | ||||||||||
Ending balance | $ | 42 | $ | 60 | $ | 42 | $ | 60 | ||||||
Unrealized losses (gains) | $ | (11) | $ | (4) | $ | 1 | $ | (21) | ||||||
Securities sold under agreements to repurchase | ||||||||||||||
Beginning balance | $ | 449 | $ | 440 | $ | 444 | $ | — | ||||||
Realized and unrealized losses (gains) | (1) | 8 | 5 | (22) | ||||||||||
Issuances | — | — | — | 470 | ||||||||||
Net transfers | — | — | (1) | — | ||||||||||
Ending balance | $ | 448 | $ | 448 | $ | 448 | $ | 448 | ||||||
Unrealized losses (gains) | $ | (1) | $ | 8 | $ | 5 | $ | (22) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Other secured financings | ||||||||||||||
Beginning balance | $ | 401 | $ | 300 | $ | 516 | $ | 109 | ||||||
Realized and unrealized losses (gains) | (17) | 11 | (14) | (1) | ||||||||||
Issuances | 14 | 3 | 421 | 10 | ||||||||||
Settlements | (3) | (5) | (500) | (208) | ||||||||||
Net transfers | — | — | (28) | 399 | ||||||||||
Ending balance | $ | 395 | $ | 309 | $ | 395 | $ | 309 | ||||||
Unrealized losses (gains) | $ | (17) | $ | 11 | $ | (13) | $ | (1) | ||||||
Borrowings | ||||||||||||||
Beginning balance | $ | 1,975 | $ | 4,135 | $ | 4,374 | $ | 4,088 | ||||||
Realized and unrealized losses (gains) | (87) | (32) | (37) | (284) | ||||||||||
Issuances | 197 | 194 | 411 | 992 | ||||||||||
Settlements | (67) | (70) | (347) | (346) | ||||||||||
Net transfers2 | 38 | (146) | (2,345) | (369) | ||||||||||
Ending balance | $ | 2,056 | $ | 4,081 | $ | 2,056 | $ | 4,081 | ||||||
Unrealized losses (gains) | $ | (86) | $ | (33) | $ | (8) | $ | (282) | ||||||
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA | (4) | 22 | (18) | (124) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Corporate and other debt | ||||||||||||
Beginning balance | $ | 2,686 | $ | 1,364 | $ | 1,396 | $ | 1,076 | ||||
Realized and unrealized gains (losses) | (107 | ) | 157 | (184 | ) | 269 | ||||||
Purchases | 451 | 341 | 2,217 | 632 | ||||||||
Sales | (325 | ) | (474 | ) | (425 | ) | (587 | ) | ||||
Settlements | 0 | 0 | (311 | ) | (7 | ) | ||||||
Net transfers | 22 | 2 | 34 | 7 | ||||||||
Ending balance | $ | 2,727 | $ | 1,390 | $ | 2,727 | $ | 1,390 | ||||
Unrealized gains (losses) | $ | (96 | ) | $ | 114 | $ | (186 | ) | $ | 217 | ||
Corporate equities | ||||||||||||
Beginning balance | $ | 83 | $ | 98 | $ | 97 | $ | 95 | ||||
Realized and unrealized gains (losses) | 32 | 1 | 0 | (41 | ) | |||||||
Purchases | 32 | 5 | 42 | 44 | ||||||||
Sales | (27 | ) | (16 | ) | (27 | ) | (268 | ) | ||||
Net transfers | 15 | 15 | 23 | 273 | ||||||||
Ending balance | $ | 135 | $ | 103 | $ | 135 | $ | 103 | ||||
Unrealized gains (losses) | $ | 39 | $ | 7 | $ | 14 | $ | (38 | ) | |||
Investments | ||||||||||||
Beginning balance | $ | 759 | $ | 785 | $ | 858 | $ | 757 | ||||
Realized and unrealized gains (losses) | 55 | (15 | ) | (6 | ) | 19 | ||||||
Purchases | 7 | 7 | 37 | 28 | ||||||||
Sales | (16 | ) | (7 | ) | (37 | ) | (43 | ) | ||||
Net transfers | 16 | 15 | (31 | ) | 24 | |||||||
Ending balance | $ | 821 | $ | 785 | $ | 821 | $ | 785 | ||||
Unrealized gains (losses) | $ | 44 | $ | (12 | ) | $ | (19 | ) | $ | 22 | ||
Net derivatives: Interest rate | ||||||||||||
Beginning balance | $ | 760 | $ | 816 | $ | 777 | $ | 618 | ||||
Realized and unrealized gains (losses) | (147 | ) | (40 | ) | (95 | ) | 143 | |||||
Purchases | 36 | 69 | 153 | 132 | ||||||||
Issuances | (15 | ) | (11 | ) | (41 | ) | (22 | ) | ||||
Settlements | (31 | ) | 2 | 36 | 16 | |||||||
Net transfers | 33 | (48 | ) | (194 | ) | (99 | ) | |||||
Ending balance | $ | 636 | $ | 788 | $ | 636 | $ | 788 | ||||
Unrealized gains (losses) | $ | (139 | ) | $ | 120 | $ | (37 | ) | $ | 214 | ||
Net derivatives: Credit | ||||||||||||
Beginning balance | $ | 131 | $ | (138 | ) | $ | 124 | $ | 40 | |||
Realized and unrealized gains (losses) | (16 | ) | (183 | ) | 11 | 36 | ||||||
Purchases | 17 | 44 | 66 | 103 | ||||||||
Issuances | (51 | ) | (19 | ) | (101 | ) | (162 | ) | ||||
Settlements | 10 | 389 | 61 | 90 | ||||||||
Net transfers | 25 | 12 | (45 | ) | (2 | ) | ||||||
Ending balance | $ | 116 | $ | 105 | $ | 116 | $ | 105 | ||||
Unrealized gains (losses) | $ | (16 | ) | $ | 20 | $ | 2 | $ | 41 | |||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Net derivatives: Foreign exchange | ||||||||||||
Beginning balance | $ | 17 | $ | (29 | ) | $ | (31 | ) | $ | 75 | ||
Realized and unrealized gains (losses) | 86 | 67 | 202 | (83 | ) | |||||||
Purchases | 0 | 0 | 3 | 0 | ||||||||
Issuances | (4 | ) | 0 | (5 | ) | 0 | ||||||
Settlements | (9 | ) | 5 | (27 | ) | 0 | ||||||
Net transfers | 9 | 9 | (43 | ) | 60 | |||||||
Ending balance | $ | 99 | $ | 52 | $ | 99 | $ | 52 | ||||
Unrealized gains (losses) | $ | 75 | $ | 79 | $ | 136 | $ | 26 | ||||
Net derivatives: Equity | ||||||||||||
Beginning balance | $ | (1,884 | ) | $ | (1,715 | ) | $ | (1,684 | ) | $ | (1,485 | ) |
Realized and unrealized gains (losses) | 3 | (61 | ) | 75 | 59 | |||||||
Purchases | 19 | 36 | 192 | 75 | ||||||||
Issuances | (181 | ) | (207 | ) | (706 | ) | (227 | ) | ||||
Settlements | (151 | ) | (56 | ) | (167 | ) | (173 | ) | ||||
Net transfers | 49 | 622 | 145 | 370 | ||||||||
Ending balance | $ | (2,145 | ) | $ | (1,381 | ) | $ | (2,145 | ) | $ | (1,381 | ) |
Unrealized gains (losses) | $ | 32 | $ | (86 | ) | $ | (143 | ) | $ | 81 | ||
Net derivatives: Commodity and other | ||||||||||||
Beginning balance | $ | 2,087 | $ | 1,861 | $ | 1,612 | $ | 2,052 | ||||
Realized and unrealized gains (losses) | (29 | ) | 120 | 373 | 35 | |||||||
Purchases | 1 | 126 | 26 | 145 | ||||||||
Issuances | (40 | ) | (36 | ) | (65 | ) | (71 | ) | ||||
Settlements | (181 | ) | (107 | ) | (101 | ) | (307 | ) | ||||
Net transfers | (34 | ) | 10 | (41 | ) | 120 | ||||||
Ending balance | $ | 1,804 | $ | 1,974 | $ | 1,804 | $ | 1,974 | ||||
Unrealized gains (losses) | $ | (251 | ) | $ | 33 | $ | (6 | ) | $ | (89 | ) | |
Deposits | ||||||||||||
Beginning balance | $ | 90 | $ | 138 | $ | 179 | $ | 27 | ||||
Realized and unrealized losses (gains) | 4 | 5 | 8 | 16 | ||||||||
Issuances | 0 | 23 | 0 | 70 | ||||||||
Settlements | (2 | ) | (8 | ) | (13 | ) | (12 | ) | ||||
Net transfers | 13 | (13 | ) | (69 | ) | 44 | ||||||
Ending balance | $ | 105 | $ | 145 | $ | 105 | $ | 145 | ||||
Unrealized losses (gains) | $ | 4 | $ | 5 | $ | 8 | $ | 16 | ||||
Nonderivative trading liabilities | ||||||||||||
Beginning balance | $ | 74 | $ | 36 | $ | 37 | $ | 16 | ||||
Realized and unrealized losses (gains) | (6 | ) | (7 | ) | (21 | ) | (37 | ) | ||||
Purchases | (7 | ) | (13 | ) | (23 | ) | (31 | ) | ||||
Sales | 5 | 6 | 23 | 36 | ||||||||
Settlements | 0 | 0 | 3 | 0 | ||||||||
Net transfers | (6 | ) | 18 | 41 | 56 | |||||||
Ending balance | $ | 60 | $ | 40 | $ | 60 | $ | 40 | ||||
Unrealized losses (gains) | $ | (4 | ) | $ | (7 | ) | $ | (21 | ) | $ | (37 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Securities sold under agreements to repurchase | ||||||||||||
Beginning balance | $ | 440 | $ | 0 | $ | 0 | $ | 0 | ||||
Realized and unrealized losses (gains) | 8 | 0 | (22 | ) | 0 | |||||||
Issuances | 0 | 0 | 470 | 0 | ||||||||
Ending balance | $ | 448 | $ | 0 | $ | 448 | $ | 0 | ||||
Unrealized losses (gains) | $ | 8 | $ | 0 | $ | (22 | ) | $ | 0 | |||
Other secured financings | ||||||||||||
Beginning balance | $ | 300 | $ | 154 | $ | 109 | $ | 208 | ||||
Realized and unrealized losses (gains) | 11 | (1 | ) | (1 | ) | 5 | ||||||
Issuances | 3 | 0 | 10 | 0 | ||||||||
Settlements | (5 | ) | 0 | (208 | ) | (8 | ) | |||||
Net transfers | 0 | (43 | ) | 399 | (95 | ) | ||||||
Ending balance | $ | 309 | $ | 110 | $ | 309 | $ | 110 | ||||
Unrealized losses (gains) | $ | 11 | $ | (1 | ) | $ | (1 | ) | $ | 5 | ||
Borrowings | ||||||||||||
Beginning balance | $ | 4,135 | $ | 3,939 | $ | 4,088 | $ | 3,806 | ||||
Realized and unrealized losses (gains) | (32 | ) | 88 | (284 | ) | 498 | ||||||
Issuances | 194 | 201 | 992 | 610 | ||||||||
Settlements | (70 | ) | (260 | ) | (346 | ) | (438 | ) | ||||
Net transfers | (146 | ) | (430 | ) | (369 | ) | (938 | ) | ||||
Ending balance | $ | 4,081 | $ | 3,538 | $ | 4,081 | $ | 3,538 | ||||
Unrealized losses (gains) | $ | (33 | ) | $ | 91 | $ | (282 | ) | $ | 459 | ||
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA | 22 | (23 | ) | (124 | ) | 68 |
45 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Balance / Range (Average)1 | ||||||
$ in millions, except inputs | At September 30, 2020 | At December 31, 2019 | ||||
Assets Measured at Fair Value on a Recurring Basis | ||||||
U.S. Treasury and agency securities | $ | 122 | $ | 22 | ||
Comparable pricing: | ||||||
Bond price | 102 to 108 points (104 points) | N/M | ||||
MABS | $ | 443 | $ | 438 | ||
Comparable pricing: | ||||||
Bond price | 0 to 80 points (47 points) | 0 to 96 points (47 points) | ||||
Loans and lending commitments | $ | 4,351 | $ | 5,073 | ||
Margin loan model: | ||||||
Discount rate | N/A | 1% to 9% (2%) | ||||
Volatility skew | N/A | 15% to 80% (28%) | ||||
Credit Spread | N/A | 9 to 39 bps (19 bps) | ||||
Margin loan rate | 1% to 5% (3%) | N/A | ||||
Comparable pricing: | ||||||
Loan price | 70 to 103 points (96 points) | 69 to 100 points (93 points) | ||||
Corporate and other debt | $ | 2,727 | $ | 1,396 | ||
Comparable pricing: | ||||||
Bond price | 10 to 103 points (94 points) | 11 to 108 points (84 points) | ||||
Discounted cash flow: | ||||||
Recovery rate | 51% to 62% (53% / 51%) | 35 | % | |||
Option model: | ||||||
At the money volatility | 21 | % | 21 | % | ||
Corporate equities | $ | 135 | $ | 97 | ||
Comparable pricing: | ||||||
Equity price | 100 | % | 100 | % | ||
Investments | $ | 821 | $ | 858 | ||
Discounted cash flow: | ||||||
WACC | 10% to 21% (15%) | 8% to 17% (15%) | ||||
Exit multiple | 7 to 17 times (11 times) | 7 to 16 times (11 times) | ||||
Market approach: | ||||||
EBITDA multiple | 8 to 29 times (11 times) | 7 to 24 times (11 times) | ||||
Comparable pricing: | ||||||
Equity price | 50% to 100% (98%) | 75% to 100% (99%) | ||||
Net derivative and other contracts: | ||||||
Interest rate | $ | 636 | $ | 777 | ||
Option model: | ||||||
IR volatility skew | 0% to 162% (62% / 75%) | 24% to 156% (63% / 59%) | ||||
IR curve correlation | 59% to 97% (87% / 92%) | 47% to 90% (72% / 72%) | ||||
Bond volatility | 4% to 32% (13% / 8%) | 4% to 15% (13% / 14%) | ||||
Inflation volatility | 25% to 64% (44% / 42%) | 24% to 63% (44% / 41%) | ||||
IR curve | 1 | % | 1 | % | ||
Balance / Range (Average1) | ||||||||
$ in millions, except inputs | At September 30, 2021 | At December 31, 2020 | ||||||
Assets at Fair Value on a Recurring Basis | ||||||||
Other sovereign government obligations | $ | 127 | $ | 268 | ||||
Comparable pricing: | ||||||||
Bond price | 96 to 152 points (125 points) | 106 points | ||||||
MABS | $ | 366 | $ | 322 | ||||
Comparable pricing: | ||||||||
Bond price | 0 to 86 points (53 points) | 0 to 80 points (50 points) | ||||||
Loans and lending commitments | $ | 4,304 | $ | 5,759 | ||||
Margin loan model: | ||||||||
Margin loan rate | 1% to 4% (3%) | 1% to 5% (3%) | ||||||
Comparable pricing: | ||||||||
Loan price | 91 to 102 points (99 points) | 75 to 102 points (93 points) | ||||||
Corporate and other debt | $ | 1,563 | $ | 3,435 | ||||
Comparable pricing: | ||||||||
Bond price | 90 to 110 points (99 points) | 10 to 133 points (101 points) | ||||||
Discounted cash flow: | ||||||||
Recovery rate | 40% to 62% (46% / 40%) | 40% to 62% (46% / 40%) | ||||||
Option model: | ||||||||
Equity volatility | 22% to 134% (70%) | 18% to 21% (19%) | ||||||
Corporate equities | $ | 214 | $ | 86 | ||||
Comparable pricing: | ||||||||
Equity price | 100% | 100% | ||||||
Investments | $ | 781 | $ | 828 | ||||
Discounted cash flow: | ||||||||
WACC | 10% to 16% (15%) | 8% to 18% (15%) | ||||||
Exit multiple | 8 to 17 times (12 times) | 7 to 17 times (12 times) | ||||||
Market approach: | ||||||||
EBITDA multiple | 8 to 29 times (10 times) | 8 to 32 times (11 times) | ||||||
Comparable pricing: | ||||||||
Equity price | 43% to 100% (99%) | 45% to 100% (99%) | ||||||
Investment securities —AFS | $ | — | $ | 2,804 | ||||
Comparable pricing: | ||||||||
Bond price | N/A | 97 to 107 points (101 points) | ||||||
Net derivative and other contracts: | ||||||||
Interest rate | $ | 796 | $ | 682 | ||||
Option model: | ||||||||
IR volatility skew | 33% to 99% (60% / 59%) | 0% to 349% (62% / 59%) | ||||||
IR curve correlation | 65% to 98% (83% / 83%) | 54% to 99% (87% / 89%) | ||||||
Bond volatility | 5% to 14% (7% / 6%) | 6% to 24% (13% / 13%) | ||||||
Inflation volatility | 25% to 65% (45% / 43%) | 25% to 66% (45% / 43%) | ||||||
IR curve | 2% | 1% |
Balance / Range (Average1) | ||||||||
$ in millions, except inputs | At September 30, 2021 | At December 31, 2020 | ||||||
Credit | $ | (34) | $ | 49 | ||||
Credit default swap model: | ||||||||
Cash-synthetic basis | 7 points | 7 points | ||||||
Bond price | 0 to 83 points (46 points) | 0 to 85 points (47 points) | ||||||
Credit spread | 14 to 463 bps (74 bps) | 20 to 435 bps (74 bps) | ||||||
Funding spread | 18 to 95 bps (60 bps) | 65 to 118 bps (86 bps) | ||||||
Correlation model: | ||||||||
Credit correlation | 23% to 39% (26%) | 27% to 44% (32%) | ||||||
Foreign exchange2 | $ | 97 | $ | 61 | ||||
Option model: | ||||||||
IR - FX correlation | 53% to 57% (55% 55%) | 55% to 59% (56% / 56%) | ||||||
IR volatility skew | 33% to 99% (60% / 59%) | 0% to 349% (62% / 59%) | ||||||
IR curve | 7% | 6% to 8% (7% / 8%) | ||||||
Foreign exchange volatility skew | -4% to -2% (-3% / -3%) | -22% to 28% (3% / 1%) | ||||||
Contingency probability | 95% | 50% to 95% (83% / 93%) | ||||||
Equity2 | $ | (1,000) | $ | (2,231) | ||||
Option model: | ||||||||
Equity volatility | 5% to 92% (23%) | 16% to 97% (43%) | ||||||
Equity volatility skew | -4% to 0% (-1%) | -3% to 0% (-1%) | ||||||
Equity correlation | 5% to 99% (74%) | 24% to 96% (74%) | ||||||
FX correlation | -85% to 50% (-33%) | -79% to 60% (-16%) | ||||||
IR correlation | -13% to 35% (15%) | -13% to 47% (21% / 20%) | ||||||
Commodity and other | $ | 1,309 | $ | 1,709 | ||||
Option model: | ||||||||
Forward power price | $1 to $248 ($39) per MWh | $-1 to $157 ($28) per MWh | ||||||
Commodity volatility | 8% to 212% (24%) | 8% to 183% (19%) | ||||||
Cross-commodity correlation | 43% to 100% (94%) | 43% to 99% (92%) | ||||||
Liabilities Measured at Fair Value on a Recurring Basis | ||||||||
Deposits | $ | 62 | $ | 126 | ||||
Option model: | ||||||||
Equity volatility | 7% | 7% to 22% (8%) | ||||||
Nonderivative trading liabilities —Corporate equities | $ | 34 | $ | 63 | ||||
Comparable pricing: | ||||||||
Equity price | 100% | 100% | ||||||
Securities sold under agreements to repurchase | $ | 448 | $ | 444 | ||||
Discounted cash flow: | ||||||||
Funding spread | 116 to 122 bps (119 bps) | 107 to 127 bps (115 bps) | ||||||
Other secured financings | $ | 395 | $ | 516 | ||||
Discounted cash flow: | ||||||||
Funding spread | N/A | 111 bps (111 bps) | ||||||
Comparable pricing: | ||||||||
Loan price | 30 to 100 points (83 points) | 30 to 101 points (56 points) | ||||||
September |
Notes to Consolidated Financial Statements (Unaudited) |
Balance / Range (Average1) | ||||||||
$ in millions, except inputs | At September 30, 2021 | At December 31, 2020 | ||||||
Borrowings | $ | 2,056 | $ | 4,374 | ||||
Option model: | ||||||||
Equity volatility | 7% to 51% (19%) | 6% to 66% (23%) | ||||||
Equity volatility skew | -1% to 0% (0%) | -2% to 0% (0%) | ||||||
Equity correlation | 39% to 98% (91%) | 37% to 95% (78%) | ||||||
Equity - FX correlation | -60% to 10% (-16%) | -72% to 13% (-24%) | ||||||
IR FX Correlation | -27% to 7% (-5% / -5%) | -28% to 6% (-6% / -6%) | ||||||
Discounted cash flow: | ||||||||
Recovery rate | 40% to 62% (46% / 40%) | N/M | ||||||
Nonrecurring Fair Value Measurement | ||||||||
Loans | $ | 1,603 | $ | 3,134 | ||||
Corporate loan model: | ||||||||
Credit spread | 95 to 562 bps (298 bps) | 36 to 636 bps (336 bps) | ||||||
Comparable pricing: | ||||||||
Loan price | 48 to 80 points (63 points) | N/M | ||||||
Warehouse model: | ||||||||
Credit spread | 197 to 450 bps (374 bps) | 200 to 413 bps (368 bps) | ||||||
Comparable pricing: | ||||||||
Bond Price | N/A | 88 to 99 bps (94 bps) |
Balance / Range (Average)1 | ||||||
$ in millions, except inputs | At September 30, 2020 | At December 31, 2019 | ||||
Credit | $ | 116 | $ | 124 | ||
Credit default swap model: | ||||||
Cash-synthetic basis | 6 points | 6 points | ||||
Bond price | 0 to 95 points (52 points) | 0 to 104 points (45 points) | ||||
Credit spread | 20 to 435 bps (79 bps) | 9 to 469 bps (81 bps) | ||||
Funding spread | 71 to 138 bps (116 bps) | 47 to 117 bps (84 bps) | ||||
Correlation model: | ||||||
Credit correlation | 29% to 56% (35%) | 29% to 62% (36%) | ||||
Foreign exchange2 | $ | 99 | $ | (31 | ) | |
Option model: | ||||||
IR - FX correlation | 13% to 59% (37% / 37%) | 32% to 56% (46% / 46%) | ||||
IR volatility skew | 0% to 162% (62% / 75%) | 24% to 156% (63% / 59%) | ||||
IR curve | 8% to 9% (8% / 8%) | 10% to 11% (10% / 10%) | ||||
Foreign exchange volatility skew | -7% to -5% (-6% / -6%) | N/A | ||||
Contingency probability | 95% (95%) | 85% to 95% (94% / 95%) | ||||
Equity2 | $ | (2,145 | ) | $ | (1,684 | ) |
Option model: | ||||||
At the money volatility | 16% to 92% (42%) | 9% to 90% (36%) | ||||
Volatility skew | -2% to 0% (-1%) | -2% to 0% (-1%) | ||||
Equity correlation | 5% to 96% (70%) | 5% to 98% (70%) | ||||
FX correlation | -60% to 60% (-17%) | -79% to 60% (-37%) | ||||
IR correlation | -7% to 44% (20% / 18%) | -11% to 44% (18% / 16%) | ||||
Commodity and other | $ | 1,804 | $ | 1,612 | ||
Option model: | ||||||
Forward power price | $-1 to $116 ($28) per MWh | $3 to $182 ($28) per MWh | ||||
Commodity volatility | 8% to 95% (19%) | 7% to 183% (18%) | ||||
Cross-commodity correlation | 43% to 99% (92%) | 43% to 99% (93%) | ||||
Liabilities Measured at Fair Value on a Recurring Basis | ||||||
Deposits | $ | 105 | $ | 179 | ||
Option Model: | ||||||
Equity at the money volatility | 7% to 23% (7%) | 16% to 37% (20%) | ||||
Corporate equities | $ | 57 | $ | 36 | ||
Comparable pricing: | ||||||
Equity price | 100% (100%) | N/M | ||||
Securities sold under agreements to repurchase | $ | 448 | $ | 0 | ||
Discounted cash flow: | ||||||
Funding spread | 105 to 130 bps (114 bps) | N/A | ||||
Other secured financings | $ | 309 | $ | 109 | ||
Discounted cash flow: | ||||||
Funding spread | 110 bps (110 bps) | 111 to 124 bps (117 bps) | ||||
Comparable pricing: | ||||||
Loan price | 25 to 101 points (68 points) | N/A | ||||
Balance / Range (Average)1 | ||||||
$ in millions, except inputs | At September 30, 2020 | At December 31, 2019 | ||||
Borrowings | $ | 4,081 | $ | 4,088 | ||
Option model: | ||||||
At the money volatility | 6% to 70% (23%) | 5% to 44% (21%) | ||||
Volatility skew | -2% to 0% (0%) | -2% to 0% (0%) | ||||
Equity correlation | 37% to 98% (81%) | 38% to 94% (78%) | ||||
Equity - FX correlation | -72% to 13% (-28%) | -75% to 26% (-25%) | ||||
IR - FX Correlation | -28% to 6% (-6% / -6%) | -26% to 10% (-7% / -7%) | ||||
Nonrecurring Fair Value Measurement | ||||||
Loans | $ | 2,088 | $ | 1,500 | ||
Corporate loan model: | ||||||
Credit spread | 52 bps to 668 bps (380 bps) | 69 to 446 bps (225 bps) | ||||
Warehouse model: | ||||||
Credit spread | 191 bps to 580 bps (379 bps) | 287 to 318 bps (297 bps) |
At September 30, 2021 | At December 31, 2020 | |||||||||||||
$ in millions | Carrying Value | Commitment | Carrying Value | Commitment | ||||||||||
Private equity | $ | 2,430 | $ | 640 | $ | 2,367 | $ | 644 | ||||||
Real estate | 1,747 | 255 | 1,403 | 136 | ||||||||||
Hedge1 | 179 | 3 | 59 | — | ||||||||||
Total | $ | 4,356 | $ | 898 | $ | 3,829 | $ | 780 |
At September 30, 2020 | At December 31, 2019 | |||||||||||
$ in millions | Carrying Value | Commitment | Carrying Value | Commitment | ||||||||
Private equity | $ | 2,400 | $ | 614 | $ | 2,078 | $ | 450 | ||||
Real estate | 1,383 | 140 | 1,349 | 150 | ||||||||
Hedge1 | 62 | 0 | 94 | 4 | ||||||||
Total | $ | 3,845 | $ | 754 | $ | 3,521 | $ | 604 |
Carrying Value at September 30, 2020 | ||||||
$ in millions | Private Equity | Real Estate | ||||
Less than 5 years | $ | 1,551 | $ | 415 | ||
5-10 years | 765 | 374 | ||||
Over 10 years | 84 | 594 | ||||
Total | $ | 2,400 | $ | 1,383 |
Carrying Value at September 30, 2021 | ||||||||
$ in millions | Private Equity | Real Estate | ||||||
Less than 5 years | $ | 1,094 | $ | 408 | ||||
5-10 years | 1,094 | 678 | ||||||
Over 10 years | 242 | 661 | ||||||
Total | $ | 2,430 | $ | 1,747 |
At September 30, 2020 | |||||||||
Fair Value | |||||||||
$ in millions | Level 2 | Level 31 | Total | ||||||
Assets | |||||||||
Loans | $ | 4,827 | $ | 2,088 | $ | 6,915 | |||
Other assets—Other investments | 0 | 18 | 18 | ||||||
Total | $ | 4,827 | $ | 2,106 | $ | 6,933 | |||
Liabilities | |||||||||
Other liabilities and accrued expenses—Lending commitments | $ | 221 | $ | 69 | $ | 290 | |||
Total | $ | 221 | $ | 69 | $ | 290 |
At December 31, 2019 | |||||||||
Fair Value | |||||||||
$ in millions | Level 2 | Level 31 | Total | ||||||
Assets | |||||||||
Loans | $ | 1,543 | $ | 1,500 | $ | 3,043 | |||
Other assets—Other investments | 0 | 113 | 113 | ||||||
Total | $ | 1,543 | $ | 1,613 | $ | 3,156 | |||
Liabilities | |||||||||
Other liabilities and accrued expenses—Lending commitments | $ | 132 | $ | 69 | $ | 201 | |||
Total | $ | 132 | $ | 69 | $ | 201 |
At September 30, 2021 | |||||||||||
Fair Value | |||||||||||
$ in millions | Level 2 | Level 31 | Total | ||||||||
Assets | |||||||||||
Loans | $ | 3,310 | $ | 1,603 | $ | 4,913 | |||||
Other assets—Other investments | — | 76 | 76 | ||||||||
Total | $ | 3,310 | $ | 1,679 | $ | 4,989 | |||||
Liabilities | |||||||||||
Other liabilities and accrued expenses—Lending commitments | $ | 156 | $ | 67 | $ | 223 | |||||
Total | $ | 156 | $ | 67 | $ | 223 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Assets | ||||||||||||
Loans2 | $ | (43 | ) | $ | (27 | ) | $ | (467 | ) | $ | (12 | ) |
Intangibles | (1 | ) | 0 | (1 | ) | 0 | ||||||
Other assets—Other investments3 | (2 | ) | (3 | ) | (54 | ) | (8 | ) | ||||
Other assets—Premises, equipment and software4 | (29 | ) | (4 | ) | (35 | ) | (8 | ) | ||||
Total | $ | (75 | ) | $ | (34 | ) | $ | (557 | ) | $ | (28 | ) |
Liabilities | ||||||||||||
Other liabilities and accrued expenses—Lending commitments2 | $ | 25 | $ | (19 | ) | $ | (54 | ) | $ | 82 | ||
Total | $ | 25 | $ | (19 | ) | $ | (54 | ) | $ | 82 |
47 | September |
Notes to Consolidated Financial Statements (Unaudited) |
At December 31, 2020 | |||||||||||
Fair Value | |||||||||||
$ in millions | Level 2 | Level 31 | Total | ||||||||
Assets | |||||||||||
Loans | $ | 2,566 | $ | 3,134 | $ | 5,700 | |||||
Other assets—Other investments | — | 16 | 16 | ||||||||
Other assets—ROU assets | 21 | — | 21 | ||||||||
Total | $ | 2,587 | $ | 3,150 | $ | 5,737 | |||||
Liabilities | |||||||||||
Other liabilities and accrued expenses—Lending commitments | $ | 193 | $ | 72 | $ | 265 | |||||
Total | $ | 193 | $ | 72 | $ | 265 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Assets | ||||||||||||||
Loans2 | $ | (22) | $ | (43) | $ | (75) | $ | (467) | ||||||
Goodwill | — | — | (8) | — | ||||||||||
Intangibles | — | (1) | (3) | (1) | ||||||||||
Other assets— Other investments3 | (2) | (2) | (55) | (54) | ||||||||||
Other assets—Premises, equipment and software4 | (10) | (29) | (14) | (35) | ||||||||||
Total | $ | (34) | $ | (75) | $ | (155) | $ | (557) | ||||||
Liabilities | ||||||||||||||
Other liabilities and accrued expenses—Lending commitments2 | $ | (2) | $ | 25 | $ | 34 | $ | (54) | ||||||
Total | $ | (2) | $ | 25 | $ | 34 | $ | (54) |
At September 30, 2021 | |||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Financial assets | |||||||||||||||||
Cash and cash equivalents | $ | 123,863 | $ | 123,863 | $ | — | $ | — | $ | 123,863 | |||||||
Investment securities—HTM | 81,837 | 30,726 | 50,380 | 982 | 82,088 | ||||||||||||
Securities purchased under agreements to resell | 119,714 | — | 117,863 | 1,868 | 119,731 | ||||||||||||
Securities borrowed | 125,922 | — | 125,923 | — | 125,923 | ||||||||||||
Customer and other receivables | 95,022 | — | 91,571 | 3,349 | 94,920 | ||||||||||||
Loans1 | 173,359 | — | 23,242 | 151,341 | 174,583 | ||||||||||||
Other assets | 528 | — | 528 | — | 528 | ||||||||||||
Financial liabilities | |||||||||||||||||
Deposits | $ | 327,031 | $ | — | $ | 327,384 | $ | — | $ | 327,384 | |||||||
Securities sold under agreements to repurchase | 61,059 | — | 61,100 | — | 61,100 | ||||||||||||
Securities loaned | 11,133 | — | 11,131 | — | 11,131 | ||||||||||||
Other secured financings | 4,658 | — | 4,659 | — | 4,659 | ||||||||||||
Customer and other payables | 240,293 | — | 240,293 | — | 240,293 | ||||||||||||
Borrowings | 154,010 | — | 160,131 | 4 | 160,135 | ||||||||||||
Commitment Amount | |||||||||||||||||
Lending commitments2 | $ | 136,040 | $ | — | $ | 682 | $ | 423 | $ | 1,105 |
At December 31, 2020 | |||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Financial assets | |||||||||||||||||
Cash and cash equivalents | $ | 105,654 | $ | 105,654 | $ | — | $ | — | $ | 105,654 | |||||||
Investment securities—HTM | 71,771 | 31,239 | 42,281 | 900 | 74,420 | ||||||||||||
Securities purchased under agreements to resell | 116,219 | — | 114,046 | 2,173 | 116,219 | ||||||||||||
Securities borrowed | 112,391 | — | 112,392 | — | 112,392 | ||||||||||||
Customer and other receivables | 92,907 | — | 89,832 | 3,041 | 92,873 | ||||||||||||
Loans1 | 150,597 | — | 16,635 | 135,277 | 151,912 | ||||||||||||
Other assets | 485 | — | 485 | — | 485 | ||||||||||||
Financial liabilities | |||||||||||||||||
Deposits | $ | 307,261 | $ | — | $ | 307,807 | $ | — | $ | 307,807 | |||||||
Securities sold under agreements to repurchase | 49,472 | — | 49,315 | 195 | 49,510 | ||||||||||||
Securities loaned | 7,731 | — | 7,731 | — | 7,731 | ||||||||||||
Other secured financings | 4,162 | — | 4,162 | — | 4,162 | ||||||||||||
Customer and other payables | 224,951 | — | 224,951 | — | 224,951 | ||||||||||||
Borrowings | 143,378 | — | 150,824 | 5 | 150,829 | ||||||||||||
Commitment Amount | |||||||||||||||||
Lending commitments2 | $ | 125,498 | $ | — | $ | 709 | $ | 395 | $ | 1,104 |
At September 30, 2020 | |||||||||||||||
Carrying Value | Fair Value | ||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Financial assets | |||||||||||||||
Cash and cash equivalents | $ | 94,772 | $ | 94,772 | $ | 0 | $ | 0 | $ | 94,772 | |||||
Investment securities—HTM | 46,169 | 30,893 | 17,200 | 861 | 48,954 | ||||||||||
Securities purchased under agreements to resell | 88,268 | 0 | 86,756 | 1,538 | 88,294 | ||||||||||
Securities borrowed | 100,803 | 0 | 100,804 | 0 | 100,804 | ||||||||||
Customer and other receivables1 | 68,541 | 0 | 65,624 | 2,903 | 68,527 | ||||||||||
Loans2 | 146,237 | 0 | 25,942 | 121,217 | 147,159 | ||||||||||
Other assets | 466 | 0 | 466 | 0 | 466 | ||||||||||
Financial liabilities | |||||||||||||||
Deposits | $ | 235,574 | $ | 0 | $ | 235,924 | $ | 0 | $ | 235,924 | |||||
Securities sold under agreements to repurchase | 40,210 | 0 | 39,876 | 375 | 40,251 | ||||||||||
Securities loaned | 7,924 | 0 | 7,921 | 0 | 7,921 | ||||||||||
Other secured financings | 3,672 | 0 | 3,672 | 0 | 3,672 | ||||||||||
Customer and other payables1 | 189,754 | 0 | 189,754 | 0 | 189,754 | ||||||||||
Borrowings | 134,300 | 0 | 138,925 | 5 | 138,930 | ||||||||||
Commitment Amount | |||||||||||||||
Lending commitments3 | $ | 118,966 | $ | 0 | $ | 965 | $ | 406 | $ | 1,371 |
At December 31, 2019 | |||||||||||||||
Carrying Value | Fair Value | ||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Financial assets | |||||||||||||||
Cash and cash equivalents | $ | 82,171 | $ | 82,171 | $ | 0 | $ | 0 | $ | 82,171 | |||||
Investment securities—HTM | 43,502 | 30,661 | 12,683 | 789 | 44,133 | ||||||||||
Securities purchased under agreements to resell | 88,220 | 0 | 86,794 | 1,442 | 88,236 | ||||||||||
Securities borrowed | 106,549 | 0 | 106,551 | 0 | 106,551 | ||||||||||
Customer and other receivables1 | 51,134 | 0 | 48,215 | 2,872 | 51,087 | ||||||||||
Loans2 | 130,637 | 0 | 22,293 | 108,059 | 130,352 | ||||||||||
Other assets | 495 | 0 | 495 | 0 | 495 | ||||||||||
Financial liabilities | |||||||||||||||
Deposits | $ | 188,257 | $ | 0 | $ | 188,639 | $ | 0 | $ | 188,639 | |||||
Securities sold under agreements to repurchase | 53,467 | 0 | 53,486 | 0 | 53,486 | ||||||||||
Securities loaned | 8,506 | 0 | 8,506 | 0 | 8,506 | ||||||||||
Other secured financings | 6,889 | 0 | 6,800 | 92 | 6,892 | ||||||||||
Customer and other payables1 | 195,035 | 0 | 195,035 | 0 | 195,035 | ||||||||||
Borrowings | 128,166 | 0 | 133,563 | 10 | 133,573 | ||||||||||
Commitment Amount | |||||||||||||||
Lending commitments3 | $ | 119,004 | $ | 0 | $ | 748 | $ | 338 | $ | 1,086 |
(Unaudited) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Business Unit Responsible for Risk Management | ||||||
Equity | $ | 31,673 | $ | 30,214 | ||
Interest rates | 28,986 | 27,298 | ||||
Commodities | 5,097 | 4,501 | ||||
Credit | 1,257 | 1,246 | ||||
Foreign exchange | 2,131 | 1,202 | ||||
Total | $ | 69,144 | $ | 64,461 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Business Unit Responsible for Risk Management | ||||||||
Equity | $ | 35,708 | $ | 33,952 | ||||
Interest rates | 29,213 | 31,222 | ||||||
Commodities | 7,968 | 5,078 | ||||||
Credit | 1,274 | 1,344 | ||||||
Foreign exchange | 1,589 | 2,105 | ||||||
Total | $ | 75,752 | $ | 73,701 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Trading revenues | $ | 1,383 | $ | (1,455) | $ | 937 | $ | (1,447) | ||||||
Interest expense | 77 | 77 | 234 | 241 | ||||||||||
Net revenues1 | $ | 1,306 | $ | (1,532) | $ | 703 | $ | (1,688) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Trading revenues | $ | (1,455 | ) | $ | (795 | ) | $ | (1,447 | ) | $ | (5,888 | ) |
Interest expense | 77 | 93 | 241 | 280 | ||||||||
Net revenues1 | $ | (1,532 | ) | $ | (888 | ) | $ | (1,688 | ) | $ | (6,168 | ) |
Three Months Ended September 30, | ||||||||||||||
2021 | 2020 | |||||||||||||
$ in millions | Trading Revenues | OCI | Trading Revenues | OCI | ||||||||||
Loans and other debt1 | $ | 58 | $ | — | $ | 56 | $ | — | ||||||
Lending commitments | (3) | — | (3) | — | ||||||||||
Deposits | — | 6 | — | (19) | ||||||||||
Borrowings | (9) | 190 | (8) | (720) | ||||||||||
Three Months Ended September 30, | ||||||||||||
2020 | 2019 | |||||||||||
$ in millions | Trading Revenues | OCI | Trading Revenues | OCI | ||||||||
Loans and other debt1 | $ | 56 | $ | 0 | $ | (3 | ) | $ | 0 | |||
Lending commitments | (3 | ) | 0 | 0 | 0 | |||||||
Deposits | 0 | (19 | ) | 0 | 1 | |||||||
Borrowings | (8 | ) | (720 | ) | (2 | ) | 442 |
Nine Months Ended September 30, | ||||||||||||||
2021 | 2020 | |||||||||||||
$ in millions | Trading Revenues | OCI | Trading Revenues | OCI | ||||||||||
Loans and other debt1 | $ | 311 | $ | — | $ | (183) | $ | — | ||||||
Lending commitments | (2) | — | (2) | — | ||||||||||
Deposits | — | 15 | — | (10) | ||||||||||
Borrowings | (36) | 612 | (14) | 991 | ||||||||||
Nine Months Ended September 30, | ||||||||||||
2020 | 2019 | |||||||||||
$ in millions | Trading Revenues | OCI | Trading Revenues | OCI | ||||||||
Loans and other debt1 | $ | (183 | ) | $ | 0 | $ | 148 | $ | 0 | |||
Lending commitments | (2 | ) | 0 | (2 | ) | 0 | ||||||
Deposits | 0 | (10 | ) | 0 | (2 | ) | ||||||
Borrowings | (14 | ) | 991 | (9 | ) | (702 | ) |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Cumulative pre-tax DVA gain (loss) recognized in AOCI | $ | (2,730) | $ | (3,357) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Cumulative pre-tax DVA gain (loss) recognized in AOCI | $ | (1,017 | ) | $ | (1,998 | ) |
1.Loans and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses. |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Loans and other debt2 | $ | 13,053 | $ | 14,042 | ||||
Nonaccrual loans2 | 10,732 | 11,551 | ||||||
Borrowings3 | (2,382) | (3,773) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Loans and other debt2 | $ | 13,552 | $ | 13,037 | ||
Nonaccrual loans2 | 11,411 | 10,849 | ||||
Borrowings3 | (2,103 | ) | (1,665 | ) |
1. | 2.The majority of the difference between principal and fair value amounts for loans and other debt relates to distressed debt positions purchased at amounts well below par. 3.Excludes borrowings where the repayment of the initial principal amount fluctuates based on changes in a reference price or index. |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Nonaccrual loans | $ | 1,119 | $ | 1,100 | ||
Nonaccrual loans 90 or more days past due | $ | 238 | $ | 330 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Nonaccrual loans | $ | 943 | $ | 1,407 | ||||
Nonaccrual loans 90 or more days past due | 321 | 239 |
49 | September |
Notes to Consolidated Financial Statements (Unaudited) |
Assets at September 30, 2021 | ||||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | 578 | $ | 9 | $ | — | $ | 587 | ||||||
Foreign exchange | 145 | 15 | — | 160 | ||||||||||
Total | 723 | 24 | — | 747 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit | 1 | 16 | — | 17 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 154,421 | 7,628 | 221 | 162,270 | ||||||||||
Credit | 5,624 | 3,932 | — | 9,556 | ||||||||||
Foreign exchange | 72,129 | 1,301 | 53 | 73,483 | ||||||||||
Equity | 29,159 | — | 42,011 | 71,170 | ||||||||||
Commodity and other | 28,545 | — | 14,178 | 42,723 | ||||||||||
Total | 289,879 | 12,877 | 56,463 | 359,219 | ||||||||||
Total gross derivatives | $ | 290,602 | $ | 12,901 | $ | 56,463 | $ | 359,966 | ||||||
Amounts offset | ||||||||||||||
Counterparty netting | (205,701) | (11,014) | (52,930) | (269,645) | ||||||||||
Cash collateral netting | (45,163) | (1,759) | — | (46,922) | ||||||||||
Total in Trading assets | $ | 39,738 | $ | 128 | $ | 3,533 | $ | 43,399 | ||||||
Amounts not offset1 | ||||||||||||||
Financial instruments collateral | (12,419) | — | — | (12,419) | ||||||||||
Net amounts | $ | 27,319 | $ | 128 | $ | 3,533 | $ | 30,980 | ||||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | 4,385 |
Liabilities at September 30, 2021 | ||||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | — | $ | — | $ | — | $ | — | ||||||
Foreign exchange | 7 | 20 | — | 27 | ||||||||||
Total | 7 | 20 | — | 27 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit | 15 | 229 | — | 244 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 144,921 | 6,683 | 350 | 151,954 | ||||||||||
Credit | 5,508 | 4,463 | — | 9,971 | ||||||||||
Foreign exchange | 68,163 | 1,334 | 52 | 69,549 | ||||||||||
Equity | 39,690 | — | 43,296 | 82,986 | ||||||||||
Commodity and other | 22,708 | — | 14,480 | 37,188 | ||||||||||
Total | 281,005 | 12,709 | 58,178 | 351,892 | ||||||||||
Total gross derivatives | $ | 281,012 | $ | 12,729 | $ | 58,178 | $ | 351,919 | ||||||
Amounts offset | ||||||||||||||
Counterparty netting | (205,701) | (11,014) | (52,930) | (269,645) | ||||||||||
Cash collateral netting | (42,471) | (1,087) | — | (43,558) | ||||||||||
Total in Trading liabilities | $ | 32,840 | $ | 628 | $ | 5,248 | $ | 38,716 | ||||||
Amounts not offset1 | ||||||||||||||
Financial instruments collateral | (6,226) | — | (1,007) | (7,233) | ||||||||||
Net amounts | $ | 26,614 | $ | 628 | $ | 4,241 | $ | 31,483 | ||||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | 7,103 |
Assets at December 31, 2020 | ||||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | 946 | $ | 2 | $ | — | $ | 948 | ||||||
Foreign exchange | 5 | 2 | — | 7 | ||||||||||
Total | 951 | 4 | — | 955 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit2 | 2 | 51 | — | 53 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 221,895 | 10,343 | 300 | 232,538 | ||||||||||
Credit2 | 5,341 | 2,147 | — | 7,488 | ||||||||||
Foreign exchange | 92,334 | 1,639 | 79 | 94,052 | ||||||||||
Equity | 34,278 | — | 34,166 | 68,444 | ||||||||||
Commodity and other | 11,095 | — | 3,554 | 14,649 | ||||||||||
Total | 364,945 | 14,180 | 38,099 | 417,224 | ||||||||||
Total gross derivatives | $ | 365,896 | $ | 14,184 | $ | 38,099 | $ | 418,179 | ||||||
Amounts offset | ||||||||||||||
Counterparty netting | (276,682) | (11,601) | (35,260) | (323,543) | ||||||||||
Cash collateral netting | (54,921) | (1,865) | — | (56,786) | ||||||||||
Total in Trading assets | $ | 34,293 | $ | 718 | $ | 2,839 | $ | 37,850 | ||||||
Amounts not offset1 | ||||||||||||||
Financial instruments collateral | (13,319) | — | — | (13,319) | ||||||||||
Other cash collateral | (391) | — | — | (391) | ||||||||||
Net amounts | $ | 20,583 | $ | 718 | $ | 2,839 | $ | 24,140 | ||||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | 3,743 | ||||||||||||
Liabilities at December 31, 2020 | ||||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | — | $ | 19 | $ | — | $ | 19 | ||||||
Foreign exchange | 291 | 99 | — | 390 | ||||||||||
Total | 291 | 118 | — | 409 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit2 | 18 | 177 | — | 195 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 210,015 | 7,965 | 639 | 218,619 | ||||||||||
Credit2 | 5,275 | 2,682 | — | 7,957 | ||||||||||
Foreign exchange | 92,975 | 1,500 | 43 | 94,518 | ||||||||||
Equity | 49,943 | — | 36,585 | 86,528 | ||||||||||
Commodity and other | 8,831 | — | 3,359 | 12,190 | ||||||||||
Total | 367,057 | 12,324 | 40,626 | 420,007 | ||||||||||
Total gross derivatives | $ | 367,348 | $ | 12,442 | $ | 40,626 | $ | 420,416 | ||||||
Amounts offset | ||||||||||||||
Counterparty netting | (276,682) | (11,601) | (35,260) | (323,543) | ||||||||||
Cash collateral netting | (51,112) | (823) | — | (51,935) | ||||||||||
Total in Trading liabilities | $ | 39,554 | $ | 18 | $ | 5,366 | $ | 44,938 | ||||||
Amounts not offset1 | ||||||||||||||
Financial instruments collateral | (10,598) | — | (1,520) | (12,118) | ||||||||||
Other cash collateral | (62) | (3) | — | (65) | ||||||||||
Net amounts | $ | 28,894 | $ | 15 | $ | 3,846 | $ | 32,755 | ||||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | 6,746 | ||||||||||||
Assets | ||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 1,109 | $ | 4 | $ | 0 | $ | 1,113 | ||||
Foreign exchange | 63 | 9 | 0 | 72 | ||||||||
Total | 1,172 | 13 | 0 | 1,185 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 232,894 | 9,261 | 530 | 242,685 | ||||||||
Credit | 6,889 | 3,017 | 0 | 9,906 | ||||||||
Foreign exchange | 65,734 | 1,299 | 79 | 67,112 | ||||||||
Equity | 28,255 | 0 | 39,231 | 67,486 | ||||||||
Commodity and other | 13,378 | 0 | 5,155 | 18,533 | ||||||||
Total | 347,150 | 13,577 | 44,995 | 405,722 | ||||||||
Total gross derivatives | $ | 348,322 | $ | 13,590 | $ | 44,995 | $ | 406,907 | ||||
Amounts offset | ||||||||||||
Counterparty netting | (263,488 | ) | (11,426 | ) | (42,320 | ) | (317,234 | ) | ||||
Cash collateral netting | (52,608 | ) | (1,823 | ) | 0 | (54,431 | ) | |||||
Total in Trading assets | $ | 32,226 | $ | 341 | $ | 2,675 | $ | 35,242 | ||||
Amounts not offset1 | ||||||||||||
Financial instruments collateral | (14,117 | ) | 0 | 0 | (14,117 | ) | ||||||
Other cash collateral | (88 | ) | 0 | 0 | (88 | ) | ||||||
Net amounts | $ | 18,021 | $ | 341 | $ | 2,675 | $ | 21,037 | ||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | 2,848 |
Liabilities | ||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Foreign exchange | 92 | 40 | 0 | 132 | ||||||||
Total | 92 | 40 | 0 | 132 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 222,102 | 7,258 | 848 | 230,208 | ||||||||
Credit | 6,638 | 3,616 | 0 | 10,254 | ||||||||
Foreign exchange | 63,885 | 1,405 | 38 | 65,328 | ||||||||
Equity | 38,518 | 0 | 41,873 | 80,391 | ||||||||
Commodity and other | 9,910 | 0 | 5,095 | 15,005 | ||||||||
Total | 341,053 | 12,279 | 47,854 | 401,186 | ||||||||
Total gross derivatives | $ | 341,145 | $ | 12,319 | $ | 47,854 | $ | 401,318 | ||||
Amounts offset | ||||||||||||
Counterparty netting | (263,488 | ) | (11,426 | ) | (42,320 | ) | (317,234 | ) | ||||
Cash collateral netting | (46,148 | ) | (772 | ) | 0 | (46,920 | ) | |||||
Total in Trading liabilities | $ | 31,509 | $ | 121 | $ | 5,534 | $ | 37,164 | ||||
Amounts not offset1 | ||||||||||||
Financial instruments collateral | (9,085 | ) | 0 | (2,240 | ) | (11,325 | ) | |||||
Other cash collateral | (62 | ) | (3 | ) | 0 | (65 | ) | |||||
Net amounts | $ | 22,362 | $ | 118 | $ | 3,294 | $ | 25,774 | ||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | 5,282 |
Assets | ||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 673 | $ | 0 | $ | 0 | $ | 673 | ||||
Foreign exchange | 41 | 1 | 0 | 42 | ||||||||
Total | 714 | 1 | 0 | 715 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 179,450 | 4,839 | 519 | 184,808 | ||||||||
Credit | 4,895 | 2,417 | 0 | 7,312 | ||||||||
Foreign exchange | 62,957 | 1,399 | 22 | 64,378 | ||||||||
Equity | 27,621 | 0 | 23,447 | 51,068 | ||||||||
Commodity and other | 9,306 | 0 | 1,952 | 11,258 | ||||||||
Total | 284,229 | 8,655 | 25,940 | 318,824 | ||||||||
Total gross derivatives | $ | 284,943 | $ | 8,656 | $ | 25,940 | $ | 319,539 | ||||
Amounts offset | ||||||||||||
Counterparty netting | (213,710 | ) | (7,294 | ) | (24,037 | ) | (245,041 | ) | ||||
Cash collateral netting | (41,222 | ) | (1,275 | ) | 0 | (42,497 | ) | |||||
Total in Trading assets | $ | 30,011 | $ | 87 | $ | 1,903 | $ | 32,001 | ||||
Amounts not offset1 | ||||||||||||
Financial instruments collateral | (15,596 | ) | 0 | 0 | (15,596 | ) | ||||||
Other cash collateral | (46 | ) | 0 | 0 | (46 | ) | ||||||
Net amounts | $ | 14,369 | $ | 87 | $ | 1,903 | $ | 16,359 | ||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | 1,900 |
Liabilities | ||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 1 | $ | 0 | $ | 0 | $ | 1 | ||||
Foreign exchange | 121 | 38 | 0 | 159 | ||||||||
Total | 122 | 38 | 0 | 160 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 168,597 | 3,597 | 436 | 172,630 | ||||||||
Credit | 4,798 | 3,123 | 0 | 7,921 | ||||||||
Foreign exchange | 65,965 | 1,492 | 39 | 67,496 | ||||||||
Equity | 30,135 | 0 | 22,733 | 52,868 | ||||||||
Commodity and other | 7,713 | 0 | 1,911 | 9,624 | ||||||||
Total | 277,208 | 8,212 | 25,119 | 310,539 | ||||||||
Total gross derivatives | $ | 277,330 | $ | 8,250 | $ | 25,119 | $ | 310,699 | ||||
Amounts offset | ||||||||||||
Counterparty netting | (213,710 | ) | (7,294 | ) | (24,037 | ) | (245,041 | ) | ||||
Cash collateral netting | (36,392 | ) | (832 | ) | 0 | (37,224 | ) | |||||
Total in Trading liabilities | $ | 27,228 | $ | 124 | $ | 1,082 | $ | 28,434 | ||||
Amounts not offset1 | ||||||||||||
Financial instruments collateral | (7,747 | ) | 0 | (287 | ) | (8,034 | ) | |||||
Other cash collateral | (14 | ) | 0 | 0 | (14 | ) | ||||||
Net amounts | $ | 19,467 | $ | 124 | $ | 795 | $ | 20,386 | ||||
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | 3,680 |
September | 50 |
Notes to Consolidated Financial Statements (Unaudited) |
Assets at September 30, 2021 | ||||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | 4 | $ | 103 | $ | — | $ | 107 | ||||||
Foreign exchange | 12 | 1 | — | 13 | ||||||||||
Total | 16 | 104 | — | 120 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit | — | — | — | — | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 3,836 | 7,950 | 558 | 12,344 | ||||||||||
Credit | 213 | 130 | — | 343 | ||||||||||
Foreign exchange | 3,363 | 89 | 9 | 3,461 | ||||||||||
Equity | 522 | — | 459 | 981 | ||||||||||
Commodity and other | 142 | — | 83 | 225 | ||||||||||
Total | 8,076 | 8,169 | 1,109 | 17,354 | ||||||||||
Total gross derivatives | $ | 8,092 | $ | 8,273 | $ | 1,109 | $ | 17,474 |
Liabilities at September 30, 2021 | ||||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | — | $ | 99 | $ | — | $ | 99 | ||||||
Foreign exchange | 3 | 2 | — | 5 | ||||||||||
Total | 3 | 101 | — | 104 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit | — | 7 | — | 7 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 3,924 | 7,979 | 505 | 12,408 | ||||||||||
Credit | 204 | 140 | — | 344 | ||||||||||
Foreign exchange | 3,230 | 87 | 20 | 3,337 | ||||||||||
Equity | 538 | — | 766 | 1,304 | ||||||||||
Commodity and other | 119 | — | 87 | 206 | ||||||||||
Total | 8,015 | 8,213 | 1,378 | 17,606 | ||||||||||
Total gross derivatives | $ | 8,018 | $ | 8,314 | $ | 1,378 | $ | 17,710 |
Assets at December 31, 2020 | ||||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | 6 | $ | 123 | $ | — | $ | 129 | ||||||
Foreign exchange | 2 | — | — | 2 | ||||||||||
Total | 8 | 123 | — | 131 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit1 | — | 1 | — | 1 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 3,847 | 6,946 | 409 | 11,202 | ||||||||||
Credit1 | 140 | 87 | — | 227 | ||||||||||
Foreign exchange | 3,046 | 103 | 10 | 3,159 | ||||||||||
Equity | 444 | — | 367 | 811 | ||||||||||
Commodity and other | 107 | — | 68 | 175 | ||||||||||
Total | 7,584 | 7,137 | 854 | 15,575 | ||||||||||
Total gross derivatives | $ | 7,592 | $ | 7,260 | $ | 854 | $ | 15,706 | ||||||
Liabilities at December 31, 2020 | ||||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||||
Designated as accounting hedges | ||||||||||||||
Interest rate | $ | — | $ | 80 | $ | — | $ | 80 | ||||||
Foreign exchange | 11 | 3 | — | 14 | ||||||||||
Total | 11 | 83 | — | 94 | ||||||||||
Not designated as accounting hedges | ||||||||||||||
Economic loan hedges | ||||||||||||||
Credit1 | 1 | 5 | — | 6 | ||||||||||
Other derivatives | ||||||||||||||
Interest rate | 4,000 | 6,915 | 511 | 11,426 | ||||||||||
Credit1 | 142 | 93 | — | 235 | ||||||||||
Foreign exchange | 3,180 | 102 | 11 | 3,293 | ||||||||||
Equity | 474 | — | 591 | 1,065 | ||||||||||
Commodity and other | 93 | — | 68 | 161 | ||||||||||
Total | 7,890 | 7,115 | 1,181 | 16,186 | ||||||||||
Total gross derivatives | $ | 7,901 | $ | 7,198 | $ | 1,181 | $ | 16,280 | ||||||
Assets | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 6 | $ | 120 | $ | 0 | $ | 126 | ||||
Foreign exchange | 6 | 1 | 0 | 7 | ||||||||
Total | 12 | 121 | 0 | 133 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 4,234 | 6,726 | 409 | 11,369 | ||||||||
Credit | 136 | 124 | 0 | 260 | ||||||||
Foreign exchange | 2,941 | 102 | 10 | 3,053 | ||||||||
Equity | 466 | 0 | 416 | 882 | ||||||||
Commodity and other | 118 | 0 | 79 | 197 | ||||||||
Total | 7,895 | 6,952 | 914 | 15,761 | ||||||||
Total gross derivatives | $ | 7,907 | $ | 7,073 | $ | 914 | $ | 15,894 |
Liabilities | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 0 | $ | 64 | $ | 0 | $ | 64 | ||||
Foreign exchange | 6 | 2 | 0 | 8 | ||||||||
Total | 6 | 66 | 0 | 72 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 4,108 | 6,596 | 668 | 11,372 | ||||||||
Credit | 143 | 128 | 0 | 271 | ||||||||
Foreign exchange | 2,943 | 100 | 8 | 3,051 | ||||||||
Equity | 473 | 0 | 579 | 1,052 | ||||||||
Commodity and other | 91 | 0 | 76 | 167 | ||||||||
Total | 7,758 | 6,824 | 1,331 | 15,913 | ||||||||
Total gross derivatives | $ | 7,764 | $ | 6,890 | $ | 1,331 | $ | 15,985 |
Assets | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 14 | $ | 94 | $ | 0 | $ | 108 | ||||
Foreign exchange | 2 | 0 | 0 | 2 | ||||||||
Total | 16 | 94 | 0 | 110 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 4,230 | 7,398 | 732 | 12,360 | ||||||||
Credit | 136 | 79 | 0 | 215 | ||||||||
Foreign exchange | 2,667 | 91 | 10 | 2,768 | ||||||||
Equity | 429 | 0 | 419 | 848 | ||||||||
Commodity and other | 99 | 0 | 61 | 160 | ||||||||
Total | 7,561 | 7,568 | 1,222 | 16,351 | ||||||||
Total gross derivatives | $ | 7,577 | $ | 7,662 | $ | 1,222 | $ | 16,461 |
Liabilities | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | 0 | $ | 71 | $ | 0 | $ | 71 | ||||
Foreign exchange | 9 | 2 | 0 | 11 | ||||||||
Total | 9 | 73 | 0 | 82 | ||||||||
Not designated as accounting hedges | ||||||||||||
Interest rate | 4,185 | 6,866 | 666 | 11,717 | ||||||||
Credit | 153 | 84 | 0 | 237 | ||||||||
Foreign exchange | 2,841 | 91 | 14 | 2,946 | ||||||||
Equity | 455 | 0 | 515 | 970 | ||||||||
Commodity and other | 85 | 0 | 61 | 146 | ||||||||
Total | 7,719 | 7,041 | 1,256 | 16,016 | ||||||||
Total gross derivatives | $ | 7,728 | $ | 7,114 | $ | 1,256 | $ | 16,098 |
Three Months Ended | Nine Months Ended | |||||||||||||
September 30, | September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Fair value hedges—Recognized in Interest income | ||||||||||||||
Interest rate contracts | $ | 107 | $ | 12 | $ | 607 | $ | (68) | ||||||
Investment Securities—AFS | (82) | (11) | (509) | 78 | ||||||||||
Fair value hedges—Recognized in Interest expense | ||||||||||||||
Interest rate contracts | $ | (763) | $ | (1,004) | $ | (3,633) | $ | 5,908 | ||||||
Deposits | 15 | 62 | 73 | (153) | ||||||||||
Borrowings | 796 | 915 | 3,547 | (5,844) | ||||||||||
Net investment hedges—Foreign exchange contracts | ||||||||||||||
Recognized in OCI | $ | 225 | $ | (260) | $ | 524 | $ | 54 | ||||||
Forward points excluded from hedge effectiveness testing—Recognized in Interest income | (19) | (6) | (32) | 19 |
51 | September |
Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Fair value hedges—Recognized in Interest income | ||||||||||||
Interest rate contracts | $ | 12 | $ | (7 | ) | $ | (68 | ) | $ | (26 | ) | |
Investment Securities—AFS | (11 | ) | 8 | 78 | 27 | |||||||
Fair value hedges—Recognized in Interest expense | ||||||||||||
Interest rate contracts | $ | (1,004 | ) | $ | 1,999 | $ | 5,908 | $ | 6,046 | |||
Deposits1 | 62 | 0 | (153 | ) | 0 | |||||||
Borrowings | 915 | (1,996 | ) | (5,844 | ) | (6,111 | ) | |||||
Net investment hedges—Foreign exchange contracts | ||||||||||||
Recognized in OCI | $ | (260 | ) | $ | 251 | $ | 54 | $ | 201 | |||
Forward points excluded from hedge effectiveness testing—Recognized in Interest income | (6 | ) | 30 | 19 | 107 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Investment Securities—AFS | ||||||||
Amortized cost basis currently or previously hedged | $ | 17,823 | $ | 16,288 | ||||
Basis adjustments included in amortized cost1 | $ | (459) | $ | (39) | ||||
Deposits | ||||||||
Carrying amount currently or previously hedged | $ | 4,672 | $ | 15,059 | ||||
Basis adjustments included in carrying amount1 | $ | 20 | $ | 93 | ||||
Borrowings | ||||||||
Carrying amount currently or previously hedged | $ | 120,111 | $ | 114,349 | ||||
Basis adjustments included in carrying amount—Outstanding hedges | $ | 2,996 | $ | 6,575 | ||||
Basis adjustments included in carrying amount—Terminated hedges | $ | (750) | $ | (756) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Investment Securities—AFS | ||||||
Amortized cost basis currently or previously hedged | $ | 2,146 | $ | 917 | ||
Basis adjustments included in amortized cost2 | $ | 74 | $ | 14 | ||
Deposits1 | ||||||
Carrying amount currently or previously hedged | $ | 18,241 | $ | 5,435 | ||
Basis adjustments included in carrying amount2 | $ | 146 | $ | (7 | ) | |
Borrowings | ||||||
Carrying amount currently or previously hedged | $ | 107,653 | $ | 102,456 | ||
Basis adjustments included in carrying amount—Outstanding hedges | $ | 7,697 | $ | 2,593 | ||
Basis adjustments included in carrying amount—Terminated hedges | $ | (762 | ) | $ | 0 |
|
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Net derivative liabilities with credit risk-related contingent features | $ | 27,659 | $ | 21,620 | ||
Collateral posted | 23,426 | 17,392 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Net derivative liabilities with credit risk-related contingent features | $ | 22,199 | $ | 30,421 | ||||
Collateral posted | 15,433 | 23,842 |
$ in millions | At September 30, 2020 | ||
One-notch downgrade | $ | 246 | |
Two-notch downgrade | 315 | ||
Bilateral downgrade agreements included in the amounts above1 | $ | 487 |
At September 30, 2021 | |||||
One-notch downgrade | $ | 264 | |||
Two-notch downgrade | 434 | ||||
$ | 587 |
Years to Maturity at September 30, 2021 | |||||||||||||||||
$ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Single-name CDS | |||||||||||||||||
Investment grade | $ | 9 | $ | 22 | $ | 30 | $ | 14 | $ | 75 | |||||||
Non-investment grade | 5 | 12 | 16 | 5 | 38 | ||||||||||||
Total | $ | 14 | $ | 34 | $ | 46 | $ | 19 | $ | 113 | |||||||
Index and basket CDS | |||||||||||||||||
Investment grade | $ | 2 | $ | 8 | $ | 84 | $ | 37 | $ | 131 | |||||||
Non-investment grade | 7 | 14 | 37 | 25 | 83 | ||||||||||||
Total | $ | 9 | $ | 22 | $ | 121 | $ | 62 | $ | 214 | |||||||
Total CDS sold | $ | 23 | $ | 56 | $ | 167 | $ | 81 | $ | 327 | |||||||
Other credit contracts | — | — | — | — | — | ||||||||||||
Total credit protection sold | $ | 23 | $ | 56 | $ | 167 | $ | 81 | $ | 327 | |||||||
CDS protection sold with identical protection purchased | $ | 283 |
Years to Maturity at September 30, 2020 | Years to Maturity at December 31, 2020 | |||||||||||||||||||||||||||||||
$ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | $ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | |||||||||||||||||||||
Single-name CDS | Single-name CDS | |||||||||||||||||||||||||||||||
Investment grade | $ | 10 | $ | 16 | $ | 31 | $ | 13 | $ | 70 | Investment grade | $ | 9 | $ | 19 | $ | 32 | $ | 9 | $ | 69 | |||||||||||
Non-investment grade | 6 | 10 | 15 | 4 | 35 | Non-investment grade | 7 | 10 | 17 | 2 | 36 | |||||||||||||||||||||
Total | $ | 16 | $ | 26 | $ | 46 | $ | 17 | $ | 105 | Total | $ | 16 | $ | 29 | $ | 49 | $ | 11 | $ | 105 | |||||||||||
Index and basket CDS | Index and basket CDS | Index and basket CDS | ||||||||||||||||||||||||||||||
Investment grade | $ | 3 | $ | 11 | $ | 44 | $ | 35 | $ | 93 | Investment grade | $ | 2 | $ | 5 | $ | 39 | $ | 14 | $ | 60 | |||||||||||
Non-investment grade | 6 | 6 | 25 | 20 | 57 | Non-investment grade | 6 | 9 | 29 | 14 | 58 | |||||||||||||||||||||
Total | $ | 9 | $ | 17 | $ | 69 | $ | 55 | $ | 150 | Total | $ | 8 | $ | 14 | $ | 68 | $ | 28 | $ | 118 | |||||||||||
Total CDS sold | $ | 25 | $ | 43 | $ | 115 | $ | 72 | $ | 255 | Total CDS sold | $ | 24 | $ | 43 | $ | 117 | $ | 39 | $ | 223 | |||||||||||
Other credit contracts | 0 | 0 | 0 | 0 | 0 | Other credit contracts | — | — | — | — | — | |||||||||||||||||||||
Total credit protection sold | $ | 25 | $ | 43 | $ | 115 | $ | 72 | $ | 255 | Total credit protection sold | $ | 24 | $ | 43 | $ | 117 | $ | 39 | $ | 223 | |||||||||||
CDS protection sold with identical protection purchased | CDS protection sold with identical protection purchased | $ | 222 | CDS protection sold with identical protection purchased | $ | 196 |
Years to Maturity at December 31, 2019 | |||||||||||||||
$ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Single-name CDS | |||||||||||||||
Investment grade | $ | 16 | $ | 17 | $ | 33 | $ | 9 | $ | 75 | |||||
Non-investment grade | 9 | 9 | 16 | 1 | 35 | ||||||||||
Total | $ | 25 | $ | 26 | $ | 49 | $ | 10 | $ | 110 | |||||
Index and basket CDS | |||||||||||||||
Investment grade | $ | 4 | $ | 7 | $ | 46 | $ | 11 | $ | 68 | |||||
Non-investment grade | 7 | 4 | 17 | 10 | 38 | ||||||||||
Total | $ | 11 | $ | 11 | $ | 63 | $ | 21 | $ | 106 | |||||
Total CDS sold | $ | 36 | $ | 37 | $ | 112 | $ | 31 | $ | 216 | |||||
Other credit contracts | 0 | 0 | 0 | 0 | 0 | ||||||||||
Total credit protection sold | $ | 36 | $ | 37 | $ | 112 | $ | 31 | $ | 216 | |||||
CDS protection sold with identical protection purchased | $ | 187 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Single-name CDS | ||||||||
Investment grade | $ | 1,532 | $ | 1,230 | ||||
Non-investment grade | (18) | (22) | ||||||
Total | $ | 1,514 | $ | 1,208 | ||||
Index and basket CDS | ||||||||
Investment grade | $ | 1,590 | $ | 843 | ||||
Non-investment grade | (82) | (824) | ||||||
Total | $ | 1,508 | $ | 19 | ||||
Total CDS sold | $ | 3,022 | $ | 1,227 | ||||
Other credit contracts | (3) | (4) | ||||||
Total credit protection sold | $ | 3,019 | $ | 1,223 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Single-name CDS | ||||||
Investment grade | $ | 764 | $ | 1,057 | ||
Non-investment grade | (969 | ) | (540 | ) | ||
Total | $ | (205 | ) | $ | 517 | |
Index and basket CDS | ||||||
Investment grade | $ | 994 | $ | 1,052 | ||
Non-investment grade | (2,546 | ) | 134 | |||
Total | $ | (1,552 | ) | $ | 1,186 | |
Total CDS sold | $ | (1,757 | ) | $ | 1,703 | |
Other credit contracts | (4 | ) | (17 | ) | ||
Total credit protection sold | $ | (1,761 | ) | $ | 1,686 |
52 |
Notes to Consolidated Financial Statements (Unaudited) |
Notional | ||||||||
$ in billions | At September 30, 2021 | At December 31, 2020 | ||||||
Single name | $ | 123 | $ | 116 | ||||
Index and basket | 228 | 116 | ||||||
Tranched index and basket | 16 | 14 | ||||||
Total | $ | 367 | $ | 246 |
Fair Value Asset (Liability) | ||||||||||||||
Notional | ||||||||||||||
$ in billions | At September 30, 2020 | At December 31, 2019 | ||||||||||||
$ in millions | $ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||||
Single name | $ | 115 | $ | 118 | Single name | $ | (1,811) | $ | (1,452) | |||||
Index and basket | 143 | 103 | Index and basket | (1,535) | (57) | |||||||||
Tranched index and basket | 18 | 15 | Tranched index and basket | (318) | (329) | |||||||||
Total | $ | 276 | $ | 236 | Total | $ | (3,664) | $ | (1,838) |
Fair Value Asset (Liability) | ||||||
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Single name | $ | 72 | $ | (723 | ) | |
Index and basket | 1,276 | (1,139 | ) | |||
Tranched index and basket | 61 | (450 | ) | |||
Total | $ | 1,409 | $ | (2,312 | ) |
At September 30, 2021 | ||||||||||||||
$ in millions | Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||
AFS securities | ||||||||||||||
U.S. Treasury securities | $ | 55,344 | $ | 555 | $ | 83 | $ | 55,816 | ||||||
U.S. agency securities2 | 28,383 | 386 | 188 | 28,581 | ||||||||||
Agency CMBS | 14,881 | 342 | 65 | 15,158 | ||||||||||
State and municipal securities | 285 | 26 | 6 | 305 | ||||||||||
FFELP student loan ABS3 | 1,728 | 15 | 9 | 1,734 | ||||||||||
Total AFS securities | 100,621 | 1,324 | 351 | 101,594 | ||||||||||
HTM securities | ||||||||||||||
U.S. Treasury securities | 29,684 | 1,103 | 61 | 30,726 | ||||||||||
U.S. agency securities2 | 48,871 | 267 | 1,055 | 48,083 | ||||||||||
Agency CMBS | 2,331 | — | 34 | 2,297 | ||||||||||
Non-agency CMBS | 951 | 34 | 3 | 982 | ||||||||||
Total HTM securities | 81,837 | 1,404 | 1,153 | 82,088 | ||||||||||
Total investment securities | $ | 182,458 | $ | 2,728 | $ | 1,504 | $ | 183,682 |
At September 30, 2020 | ||||||||||||
$ in millions | Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||
AFS securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | $ | 45,796 | $ | 1,150 | $ | 0 | $ | 46,946 | ||||
U.S. agency securities2 | 26,887 | 769 | 6 | 27,650 | ||||||||
Total U.S. government and agency securities | 72,683 | 1,919 | 6 | 74,596 | ||||||||
Corporate and other debt: | ||||||||||||
Agency CMBS | 4,653 | 355 | 1 | 5,007 | ||||||||
Corporate bonds | 1,756 | 43 | 1 | 1,798 | ||||||||
State and municipal securities | 1,682 | 60 | 18 | 1,724 | ||||||||
FFELP student loan ABS3 | 1,455 | 0 | 44 | 1,411 | ||||||||
Total corporate and other debt | 9,546 | 458 | 64 | 9,940 | ||||||||
Total AFS securities | 82,229 | 2,377 | 70 | 84,536 | ||||||||
HTM securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | 28,754 | 2,138 | 0 | 30,892 | ||||||||
U.S. agency securities2 | 16,598 | 610 | 7 | 17,201 | ||||||||
Total U.S. government and agency securities | 45,352 | 2,748 | 7 | 48,093 | ||||||||
Corporate and other debt: | ||||||||||||
Non-agency CMBS | 817 | 45 | 1 | 861 | ||||||||
Total HTM securities | 46,169 | 2,793 | 8 | 48,954 | ||||||||
Total investment securities | $ | 128,398 | $ | 5,170 | $ | 78 | $ | 133,490 |
At December 31, 2020 | ||||||||||||||
$ in millions | Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||
AFS securities | ||||||||||||||
U.S. Treasury securities | $ | 45,345 | $ | 1,010 | $ | — | $ | 46,355 | ||||||
U.S. agency securities2 | 37,389 | 762 | 25 | 38,126 | ||||||||||
Agency CMBS | 19,982 | 465 | 9 | 20,438 | ||||||||||
Corporate bonds | 1,694 | 42 | — | 1,736 | ||||||||||
State and municipal securities | 1,461 | 103 | 1 | 1,563 | ||||||||||
FFELP student loan ABS3 | 1,735 | 7 | 26 | 1,716 | ||||||||||
Other ABS | 449 | — | — | 449 | ||||||||||
Total AFS securities | 108,055 | 2,389 | 61 | 110,383 | ||||||||||
HTM securities | ||||||||||||||
U.S. Treasury securities | 29,346 | 1,893 | — | 31,239 | ||||||||||
U.S. agency securities2 | 38,951 | 704 | 8 | 39,647 | ||||||||||
Agency CMBS | 2,632 | 4 | 2 | 2,634 | ||||||||||
Non-agency CMBS | 842 | 58 | — | 900 | ||||||||||
Total HTM securities | 71,771 | 2,659 | 10 | 74,420 | ||||||||||
Total investment securities | $ | 179,826 | $ | 5,048 | $ | 71 | $ | 184,803 |
At December 31, 2019 | ||||||||||||
$ in millions | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||
AFS securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | $ | 32,465 | $ | 224 | $ | 111 | $ | 32,578 | ||||
U.S. agency securities2 | 20,725 | 249 | 100 | 20,874 | ||||||||
Total U.S. government and agency securities | 53,190 | 473 | 211 | 53,452 | ||||||||
Corporate and other debt: | ||||||||||||
Agency CMBS | 4,810 | 55 | 57 | 4,808 | ||||||||
Corporate bonds | 1,891 | 17 | 1 | 1,907 | ||||||||
State and municipal securities | 481 | 22 | 0 | 503 | ||||||||
FFELP student loan ABS3 | 1,580 | 1 | 28 | 1,553 | ||||||||
Total corporate and other debt | 8,762 | 95 | 86 | 8,771 | ||||||||
Total AFS securities | 61,952 | 568 | 297 | 62,223 | ||||||||
HTM securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | 30,145 | 568 | 52 | 30,661 | ||||||||
U.S. agency securities2 | 12,589 | 151 | 57 | 12,683 | ||||||||
Total U.S. government and agency securities | 42,734 | 719 | 109 | 43,344 | ||||||||
Corporate and other debt: | ||||||||||||
Non-agency CMBS | 768 | 22 | 1 | 789 | ||||||||
Total HTM securities | 43,502 | 741 | 110 | 44,133 | ||||||||
Total investment securities | $ | 105,454 | $ | 1,309 | $ | 407 | $ | 106,356 |
3.Underlying loans are backed by a guarantee, ultimately from the U.S. Department of Education, of at least 95% |
At September 30, 2020 | At December 31, 2019 | |||||||||||
$ in millions | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | ||||||||||||
Less than12 months | $ | 0 | $ | 0 | $ | 4,793 | $ | 28 | ||||
12 months or longer | 0 | 0 | 7,904 | 83 | ||||||||
Total | 0 | 0 | 12,697 | 111 | ||||||||
U.S. agency securities | ||||||||||||
Less than12 months | 1,198 | 3 | 2,641 | 20 | ||||||||
12 months or longer | 1,294 | 3 | 7,697 | 80 | ||||||||
Total | 2,492 | 6 | 10,338 | 100 | ||||||||
Total U.S. government and agency securities: | ||||||||||||
Less than12 months | 1,198 | 3 | 7,434 | 48 | ||||||||
12 months or longer | 1,294 | 3 | 15,601 | 163 | ||||||||
Total | 2,492 | 6 | 23,035 | 211 | ||||||||
Corporate and other debt: | ||||||||||||
Agency CMBS | ||||||||||||
Less than12 months | 17 | 0 | 2,294 | 26 | ||||||||
12 months or longer | 189 | 1 | 681 | 31 | ||||||||
Total | 206 | 1 | 2,975 | 57 | ||||||||
Corporate bonds | ||||||||||||
Less than12 months | 127 | 0 | 194 | 1 | ||||||||
12 months or longer | 21 | 1 | 44 | 0 | ||||||||
Total | 148 | 1 | 238 | 1 | ||||||||
State and municipal securities | ||||||||||||
Less than12 months | 606 | 18 | 0 | 0 | ||||||||
Total | 606 | 18 | 0 | 0 | ||||||||
FFELP student loan ABS | ||||||||||||
Less than12 months | 322 | 1 | 91 | 0 | ||||||||
12 months or longer | 1,089 | 43 | 1,165 | 28 | ||||||||
Total | 1,411 | 44 | 1,256 | 28 | ||||||||
Total Corporate and other debt: | ||||||||||||
Less than12 months | 1,072 | 19 | 2,579 | 27 | ||||||||
12 months or longer | 1,299 | 45 | 1,890 | 59 | ||||||||
Total | 2,371 | 64 | 4,469 | 86 | ||||||||
Total AFS securities in an unrealized loss position | ||||||||||||
Less than12 months | 2,270 | 22 | 10,013 | 75 | ||||||||
12 months or longer | 2,593 | 48 | 17,491 | 222 | ||||||||
Total | $ | 4,863 | $ | 70 | $ | 27,504 | $ | 297 |
At September 30, 2021 | At December 31, 2020 | |||||||||||||
$ in millions | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||
U.S. Treasury securities | ||||||||||||||
Less than 12 months | $ | 23,587 | $ | 83 | $ | 151 | $ | — | ||||||
Total | 23,587 | 83 | 151 | — | ||||||||||
U.S. agency securities | ||||||||||||||
Less than 12 months | 11,116 | 170 | 5,808 | 22 | ||||||||||
12 months or longer | 839 | 18 | 1,168 | 3 | ||||||||||
Total | 11,955 | 188 | 6,976 | 25 | ||||||||||
Agency CMBS | ||||||||||||||
Less than 12 months | 2,738 | 65 | 2,779 | 9 | ||||||||||
12 months or longer | 22 | — | 46 | — | ||||||||||
Total | 2,760 | 65 | 2,825 | 9 | ||||||||||
Corporate bonds | ||||||||||||||
12 months or longer | — | — | 31 | — | ||||||||||
Total | — | — | 31 | — | ||||||||||
State and municipal securities | ||||||||||||||
Less than 12 months | 102 | 6 | 86 | — | ||||||||||
12 months or longer | — | — | 36 | 1 | ||||||||||
Total | 102 | 6 | 122 | 1 | ||||||||||
FFELP student loan ABS | ||||||||||||||
Less than 12 months | 39 | — | — | — | ||||||||||
12 months or longer | 759 | 9 | 1,077 | 26 | ||||||||||
Total | 798 | 9 | 1,077 | 26 | ||||||||||
Total AFS securities in an unrealized loss position | ||||||||||||||
Less than 12 months | 37,582 | 324 | 8,824 | 31 | ||||||||||
12 months or longer | 1,620 | 27 | 2,358 | 30 | ||||||||||
Total | $ | 39,202 | $ | 351 | $ | 11,182 | $ | 61 |
53 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
At September 30, 2020 | At September 30, 2021 | ||||||||||||||||||
$ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield | $ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield | ||||||||||||
AFS securities | AFS securities | ||||||||||||||||||
U.S. government and agency securities: | |||||||||||||||||||
U.S. Treasury securities: | U.S. Treasury securities: | ||||||||||||||||||
Due within 1 year | $ | 15,671 | $ | 15,741 | 0.9 | % | Due within 1 year | $ | 11,941 | $ | 12,031 | 1.4 | % | ||||||
After 1 year through 5 years | 27,523 | 28,399 | 1.5 | % | After 1 year through 5 years | 34,704 | 35,070 | 1.1 | % | ||||||||||
After 5 years through 10 years | 2,602 | 2,806 | 1.7 | % | After 5 years through 10 years | 8,699 | 8,715 | 1.2 | % | ||||||||||
Total | 45,796 | 46,946 | Total | 55,344 | 55,816 | ||||||||||||||
U.S. agency securities: | U.S. agency securities: | ||||||||||||||||||
Due within 1 year | 215 | 215 | 0.8 | % | Due within 1 year | 3 | 3 | 1.2 | % | ||||||||||
After 1 year through 5 years | 70 | 71 | 1.6 | % | After 1 year through 5 years | 132 | 134 | 1.3 | % | ||||||||||
After 5 years through 10 years | 1,235 | 1,274 | 1.8 | % | After 5 years through 10 years | 1,402 | 1,438 | 1.8 | % | ||||||||||
After 10 years | 25,367 | 26,090 | 1.9 | % | After 10 years | 26,846 | 27,006 | 1.5 | % | ||||||||||
Total | 26,887 | 27,650 | Total | 28,383 | 28,581 | ||||||||||||||
Total U.S. government and agency securities | 72,683 | 74,596 | 1.5 | % | |||||||||||||||
Corporate and other debt: | |||||||||||||||||||
Agency CMBS: | Agency CMBS: | ||||||||||||||||||
Due within 1 year | 44 | 45 | 2.5 | % | Due within 1 year | 193 | 194 | 1.7 | % | ||||||||||
After 1 year through 5 years | 535 | 547 | 1.8 | % | After 1 year through 5 years | 1,926 | 1,964 | 1.7 | % | ||||||||||
After 5 years through 10 years | 3,399 | 3,728 | 2.5 | % | After 5 years through 10 years | 9,974 | 10,257 | 1.6 | % | ||||||||||
After 10 years | 675 | 687 | 1.8 | % | After 10 years | 2,788 | 2,743 | 1.4 | % | ||||||||||
Total | 4,653 | 5,007 | Total | 14,881 | 15,158 | ||||||||||||||
Corporate bonds: | |||||||||||||||||||
Due within 1 year | 210 | 213 | 2.5 | % | |||||||||||||||
After 1 year through 5 years | 1,269 | 1,301 | 2.6 | % | |||||||||||||||
After 5 years through 10 years | 266 | 273 | 2.7 | % | |||||||||||||||
After 10 years | 11 | 11 | 1.7 | % | |||||||||||||||
Total | 1,756 | 1,798 | |||||||||||||||||
State and municipal securities: | State and municipal securities: | ||||||||||||||||||
Due within 1 year | 3 | 3 | 1.8 | % | Due within 1 year | 4 | 4 | 1.9 | % | ||||||||||
After 1 year through 5 years | 16 | 16 | 2.2 | % | After 1 year through 5 years | 22 | 22 | 1.8 | % | ||||||||||
After 5 years through 10 years | 103 | 109 | 2.6 | % | After 5 years through 10 years | 49 | 58 | 2.1 | % | ||||||||||
After 10 Years | 1,560 | 1,596 | 2.7 | % | After 10 Years | 210 | 221 | 2.0 | % | ||||||||||
Total | 1,682 | 1,724 | Total | 285 | 305 | ||||||||||||||
FFELP student loan ABS: | FFELP student loan ABS: | ||||||||||||||||||
Due within 1 year | Due within 1 year | 31 | 31 | 0.8 | % | ||||||||||||||
After 1 year through 5 years | After 1 year through 5 years | 183 | 180 | 0.9 | % | ||||||||||||||
After 5 years through 10 years | After 5 years through 10 years | 148 | 144 | 0.7 | % | ||||||||||||||
After 10 years | After 10 years | 1,366 | 1,379 | 1.2 | % | ||||||||||||||
Total | Total | 1,728 | 1,734 | ||||||||||||||||
Total AFS securities | Total AFS securities | 100,621 | 101,594 | 1.3 | % |
At September 30, 2021 | |||||||||||
$ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield | ||||||||
HTM securities | |||||||||||
U.S. Treasury securities: | |||||||||||
Due within 1 year | 4,022 | 4,058 | 1.9 | % | |||||||
After 1 year through 5 years | 18,673 | 19,217 | 1.7 | % | |||||||
After 5 years through 10 years | 5,426 | 5,811 | 2.4 | % | |||||||
After 10 years | 1,563 | 1,640 | 2.3 | % | |||||||
Total | 29,684 | 30,726 | |||||||||
U.S. agency securities: | |||||||||||
After 5 years through 10 years | 497 | 512 | 2.0 | % | |||||||
After 10 years | 48,374 | 47,571 | 1.6 | % | |||||||
Total | 48,871 | 48,083 | |||||||||
Agency CMBS: | |||||||||||
Due within 1 year | 46 | 46 | 1.1 | % | |||||||
After 1 year through 5 years | 1,193 | 1,181 | 1.3 | % | |||||||
After 5 years through 10 years | 939 | 922 | 1.4 | % | |||||||
After 10 years | 153 | 148 | 1.5 | % | |||||||
Total | 2,331 | 2,297 | |||||||||
Non-agency CMBS: | |||||||||||
Due within 1 year | 151 | 151 | 4.5 | % | |||||||
After 1 year through 5 years | 61 | 62 | 2.6 | % | |||||||
After 5 years through 10 years | 703 | 730 | 3.6 | % | |||||||
After 10 years | 36 | 39 | 4.4 | % | |||||||
Total | 951 | 982 | |||||||||
Total HTM securities | 81,837 | 82,088 | 1.7 | % | |||||||
Total investment securities | $ | 182,458 | $ | 183,682 | 1.5 | % |
At September 30, 2020 | ||||||||
$ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield | |||||
FFELP student loan ABS: | ||||||||
After 1 year through 5 years | 93 | 88 | 0.8 | % | ||||
After 5 years through 10 years | 257 | 241 | 0.8 | % | ||||
After 10 years | 1,105 | 1,082 | 1.2 | % | ||||
Total | 1,455 | 1,411 | ||||||
Total corporate and other debt | 9,546 | 9,940 | 2.3 | % | ||||
Total AFS securities | 82,229 | 84,536 | 1.6 | % | ||||
HTM securities | ||||||||
U.S. government and agency securities: | ||||||||
U.S. Treasury securities: | ||||||||
Due within 1 year | $ | 3,065 | $ | 3,095 | 2.6 | % | ||
After 1 year through 5 years | 16,991 | 17,880 | 2.0 | % | ||||
After 5 years through 10 years | 7,616 | 8,572 | 2.2 | % | ||||
After 10 years | 1,082 | 1,345 | 2.5 | % | ||||
Total | 28,754 | 30,892 | ||||||
U.S. agency securities: | ||||||||
After 5 years through 10 years | 279 | 288 | 1.9 | % | ||||
After 10 years | 16,319 | 16,913 | 2.0 | % | ||||
Total | 16,598 | 17,201 | ||||||
Total U.S. government and agency securities | 45,352 | 48,093 | 2.2 | % | ||||
Corporate and other debt: | ||||||||
Non-agency CMBS: | ||||||||
Due within 1 year | 110 | 109 | 4.6 | % | ||||
After 1 year through 5 years | 77 | 78 | 3.7 | % | ||||
After 5 years through 10 years | 576 | 616 | 3.8 | % | ||||
After 10 years | 54 | 58 | 3.8 | % | ||||
Total corporate and other debt | 817 | 861 | 3.9 | % | ||||
Total HTM securities | 46,169 | 48,954 | 2.2 | % | ||||
Total investment securities | $ | 128,398 | $ | 133,490 | 1.8 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Gross realized gains | $ | 17 | $ | 55 | $ | 236 | $ | 120 | ||||||
Gross realized (losses) | — | — | (27) | (14) | ||||||||||
Total1 | $ | 17 | $ | 55 | $ | 209 | $ | 106 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Gross realized gains | $ | 55 | $ | 27 | $ | 120 | $ | 99 | ||||
Gross realized (losses) | 0 | (1 | ) | (14 | ) | (10 | ) | |||||
Total1 | $ | 55 | $ | 26 | $ | 106 | $ | 89 |
September |
Notes to Consolidated Financial Statements (Unaudited) |
At September 30, 2021 | |||||||||||||||||
$ in millions | Gross Amounts | Amounts Offset | Balance Sheet Net Amounts | Amounts Not Offset1 | Net Amounts | ||||||||||||
Assets | |||||||||||||||||
Securities purchased under agreements to resell | $ | 215,672 | $ | (95,951) | $ | 119,721 | $ | (116,787) | $ | 2,934 | |||||||
Securities borrowed | 136,731 | (10,809) | 125,922 | (119,047) | 6,875 | ||||||||||||
Liabilities | |||||||||||||||||
Securities sold under agreements to repurchase | $ | 157,938 | $ | (95,951) | $ | 61,987 | $ | (54,226) | $ | 7,761 | |||||||
Securities loaned | 21,942 | (10,809) | 11,133 | (10,822) | 311 | ||||||||||||
Net amounts for which master netting agreements are not in place or may not be legally enforceable | |||||||||||||||||
Securities purchased under agreements to resell | $ | 2,417 | |||||||||||||||
Securities borrowed | 2,006 | ||||||||||||||||
Securities sold under agreements to repurchase | 7,167 | ||||||||||||||||
Securities loaned | 173 |
At September 30, 2020 | At December 31, 2020 | |||||||||||||||||||||||||||||||
$ in millions | Gross Amounts | Amounts Offset | Net Amounts Presented | Amounts Not Offset1 | Net Amounts | $ in millions | Gross Amounts | Amounts Offset | Balance Sheet Net Amounts | Amounts Not Offset1 | Net Amounts | |||||||||||||||||||||
Assets | Assets | |||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | $ | 199,725 | $ | (111,442 | ) | $ | 88,283 | $ | (86,057 | ) | $ | 2,226 | Securities purchased under agreements to resell | $ | 264,140 | $ | (147,906) | $ | 116,234 | $ | (114,108) | $ | 2,126 | |||||||||
Securities borrowed | 104,642 | (3,839 | ) | 100,803 | (97,169 | ) | 3,634 | Securities borrowed | 124,921 | (12,530) | 112,391 | (107,434) | 4,957 | |||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||||||||
Securities sold under agreements to repurchase | $ | 152,760 | $ | (111,384 | ) | $ | 41,376 | $ | (35,742 | ) | $ | 5,634 | Securities sold under agreements to repurchase | $ | 198,493 | $ | (147,906) | $ | 50,587 | $ | (43,960) | $ | 6,627 | |||||||||
Securities loaned | 11,821 | (3,897 | ) | 7,924 | (7,725 | ) | 199 | Securities loaned | 20,261 | (12,530) | 7,731 | (7,430) | 301 | |||||||||||||||||||
Net amounts for which master netting agreements are not in place or may not be legally enforceable | Net amounts for which master netting agreements are not in place or may not be legally enforceable | Net amounts for which master netting agreements are not in place or may not be legally enforceable | ||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | $ | 2,117 | Securities purchased under agreements to resell | $ | 1,870 | ||||||||||||||||||||||||||
Securities borrowed | Securities borrowed | 601 | Securities borrowed | 596 | ||||||||||||||||||||||||||||
Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | 4,698 | Securities sold under agreements to repurchase | 6,282 | ||||||||||||||||||||||||||||
Securities loaned | 149 | Securities loaned | 128 |
At December 31, 2019 | |||||||||||||||
$ in millions | Gross Amounts | Amounts Offset | Net Amounts Presented | Amounts Not Offset1 | Net Amounts | ||||||||||
Assets | |||||||||||||||
Securities purchased under agreements to resell | $ | 247,545 | $ | (159,321 | ) | $ | 88,224 | $ | (85,200 | ) | $ | 3,024 | |||
Securities borrowed | 109,528 | (2,979 | ) | 106,549 | (101,850 | ) | 4,699 | ||||||||
Liabilities | |||||||||||||||
Securities sold under agreements to repurchase | $ | 213,519 | $ | (159,319 | ) | $ | 54,200 | $ | (44,549 | ) | $ | 9,651 | |||
Securities loaned | 11,487 | (2,981 | ) | 8,506 | (8,324 | ) | 182 | ||||||||
Net amounts for which master netting agreements are not in place or may not be legally enforceable | |||||||||||||||
Securities purchased under agreements to resell | $ | 2,255 | |||||||||||||
Securities borrowed | 1,181 | ||||||||||||||
Securities sold under agreements to repurchase | 8,033 | ||||||||||||||
Securities loaned | 101 |
At September 30, 2021 | |||||||||||||||||
$ in millions | Overnight and Open | Less than 30 Days | 30-90 Days | Over 90 Days | Total | ||||||||||||
Securities sold under agreements to repurchase | $ | 48,461 | $ | 53,458 | $ | 12,529 | $ | 43,490 | $ | 157,938 | |||||||
Securities loaned | 12,675 | — | 150 | 9,117 | 21,942 | ||||||||||||
Total included in the offsetting disclosure | $ | 61,136 | $ | 53,458 | $ | 12,679 | $ | 52,607 | $ | 179,880 | |||||||
Trading liabilities— Obligation to return securities received as collateral | 22,528 | — | — | — | 22,528 | ||||||||||||
Total | $ | 83,664 | $ | 53,458 | $ | 12,679 | $ | 52,607 | $ | 202,408 |
At September 30, 2020 | |||||||||||||||
$ in millions | Overnight and Open | Less than 30 Days | 30-90 Days | Over 90 Days | Total | ||||||||||
Securities sold under agreements to repurchase | $ | 69,210 | $ | 37,965 | $ | 13,144 | $ | 32,441 | $ | 152,760 | |||||
Securities loaned | 5,752 | 278 | 1,169 | 4,622 | 11,821 | ||||||||||
Total included in the offsetting disclosure | $ | 74,962 | $ | 38,243 | $ | 14,313 | $ | 37,063 | $ | 164,581 | |||||
Trading liabilities— Obligation to return securities received as collateral | 21,753 | 0 | 0 | 0 | 21,753 | ||||||||||
Total | $ | 96,715 | $ | 38,243 | $ | 14,313 | $ | 37,063 | $ | 186,334 |
At December 31, 2019 | At December 31, 2020 | |||||||||||||||||||||||||||||||
$ in millions | Overnight and Open | Less than 30 Days | 30-90 Days | Over 90 Days | Total | $ in millions | Overnight and Open | Less than 30 Days | 30-90 Days | Over 90 Days | Total | |||||||||||||||||||||
Securities sold under agreements to repurchase | $ | 67,158 | $ | 81,300 | $ | 26,904 | $ | 38,157 | $ | 213,519 | Securities sold under agreements to repurchase | $ | 84,349 | $ | 60,853 | $ | 26,221 | $ | 27,070 | $ | 198,493 | |||||||||||
Securities loaned | 2,378 | 3,286 | 516 | 5,307 | 11,487 | Securities loaned | 15,267 | 247 | — | 4,747 | 20,261 | |||||||||||||||||||||
Total included in the offsetting disclosure | $ | 69,536 | $ | 84,586 | $ | 27,420 | $ | 43,464 | $ | 225,006 | Total included in the offsetting disclosure | $ | 99,616 | $ | 61,100 | $ | 26,221 | $ | 31,817 | $ | 218,754 | |||||||||||
Trading liabilities— Obligation to return securities received as collateral | 23,877 | 0 | 0 | 0 | 23,877 | Trading liabilities— Obligation to return securities received as collateral | 16,389 | — | — | — | 16,389 | |||||||||||||||||||||
Total | $ | 93,413 | $ | 84,586 | $ | 27,420 | $ | 43,464 | $ | 248,883 | Total | $ | 116,005 | $ | 61,100 | $ | 26,221 | $ | 31,817 | $ | 235,143 |
$ in millions | At September 30, 2020 | At December 31, 2019 | $ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||
Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | ||||||||||||
U.S. Treasury and agency securities | $ | 55,759 | $ | 68,895 | U.S. Treasury and agency securities | $ | 40,104 | $ | 94,662 | |||||
State and municipal securities | 864 | 905 | ||||||||||||
Other sovereign government obligations | 70,281 | 109,414 | Other sovereign government obligations | 83,996 | 71,140 | |||||||||
ABS | 1,945 | 2,218 | ||||||||||||
Corporate and other debt | 4,923 | 6,066 | ||||||||||||
Corporate equities | 18,256 | 25,563 | Corporate equities | 24,508 | 24,692 | |||||||||
Other | 732 | 458 | Other | 9,330 | 7,999 | |||||||||
Total | $ | 152,760 | $ | 213,519 | Total | $ | 157,938 | $ | 198,493 | |||||
Securities loaned | Securities loaned | |||||||||||||
Other sovereign government obligations | $ | 4,254 | $ | 3,026 | Other sovereign government obligations | $ | 1,359 | $ | 3,430 | |||||
Corporate equities | 7,034 | 8,422 | Corporate equities | 20,195 | 16,536 | |||||||||
Other | 533 | 39 | Other | 388 | 295 | |||||||||
Total | $ | 11,821 | $ | 11,487 | Total | $ | 21,942 | $ | 20,261 | |||||
Total included in the offsetting disclosure | $ | 164,581 | $ | 225,006 | Total included in the offsetting disclosure | $ | 179,880 | $ | 218,754 | |||||
Trading liabilities—Obligation to return securities received as collateral | Trading liabilities—Obligation to return securities received as collateral | Trading liabilities—Obligation to return securities received as collateral | ||||||||||||
Corporate equities | $ | 21,724 | $ | 23,873 | Corporate equities | $ | 22,487 | $ | 16,365 | |||||
Other | 29 | 4 | Other | 41 | 24 | |||||||||
Total | $ | 21,753 | $ | 23,877 | Total | $ | 22,528 | $ | 16,389 | |||||
Total | $ | 186,334 | $ | 248,883 | Total | $ | 202,408 | $ | 235,143 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Trading assets | $ | 34,952 | $ | 41,201 | ||
Loans, before ACL | 0 | 750 | ||||
Total | $ | 34,952 | $ | 41,951 |
$ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||
Trading assets | $ | 33,926 | $ | 30,954 | |||||||
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Collateral received with right to sell or repledge | $ | 706,446 | $ | 724,818 | ||||
Collateral that was sold or repledged1 | 535,697 | 523,648 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Collateral received with right to sell or repledge | $ | 609,445 | $ | 679,280 | ||
Collateral that was sold or repledged1 | 455,883 | 539,412 |
55 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Segregated securities1 | $ | 27,679 | $ | 25,061 |
Notes to (Unaudited) |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Segregated securities1 | $ | 20,552 | $ | 34,106 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Customer receivables representing margin loans | $ | 44,658 | $ | 31,916 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Margin and other lending | $ | 69,608 | $ | 74,714 |
At September 30, 2021 | |||||||||||
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||||
Corporate | $ | 4,774 | $ | 8,998 | $ | 13,772 | |||||
Secured lending facilities | 27,345 | 3,650 | 30,995 | ||||||||
Commercial real estate | 6,915 | 434 | 7,349 | ||||||||
Residential real estate | 41,428 | 8 | 41,436 | ||||||||
Securities-based lending and Other loans | 80,413 | 78 | 80,491 | ||||||||
Total loans | 160,875 | 13,168 | 174,043 | ||||||||
ACL | (684) | (684) | |||||||||
Total loans, net | $ | 160,191 | $ | 13,168 | $ | 173,359 | |||||
Fixed rate loans, net | $ | 40,590 | |||||||||
Floating or adjustable rate loans, net | 132,769 | ||||||||||
Loans to non-U.S. borrowers, net | 21,260 |
At December 31, 2020 | |||||||||||
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||||
Corporate | $ | 6,046 | $ | 8,580 | $ | 14,626 | |||||
Secured lending facilities | 25,727 | 3,296 | 29,023 | ||||||||
Commercial real estate | 7,346 | 822 | 8,168 | ||||||||
Residential real estate | 35,268 | 48 | 35,316 | ||||||||
Securities-based lending and Other loans | 64,232 | 67 | 64,299 | ||||||||
Total loans | 138,619 | 12,813 | 151,432 | ||||||||
ACL | (835) | (835) | |||||||||
Total loans, net | $ | 137,784 | $ | 12,813 | $ | 150,597 | |||||
Fixed rate loans, net | $ | 32,796 | |||||||||
Floating or adjustable rate loans, net | 117,801 | ||||||||||
Loans to non-U.S. borrowers, net | 21,081 |
At September 30, 2020 | |||||||||
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||
Corporate | $ | 7,628 | $ | 8,552 | $ | 16,180 | |||
Secured lending facilities | 26,496 | 3,521 | 30,017 | ||||||
Commercial real estate | 7,265 | 891 | 8,156 | ||||||
Residential real estate | 33,674 | 49 | 33,723 | ||||||
Securities-based lending and Other loans | 59,006 | 68 | 59,074 | ||||||
Total loans | 134,069 | 13,081 | 147,150 | ||||||
ACL | (913 | ) | (913 | ) | |||||
Total loans, net | $ | 133,156 | $ | 13,081 | $ | 146,237 | |||
Fixed rate loans, net | $ | 31,342 | |||||||
Floating or adjustable rate loans, net | 114,895 | ||||||||
Loans to non-U.S. borrowers, net | 23,591 |
At December 31, 2019 | |||||||||
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||
Corporate | $ | 5,426 | $ | 6,192 | $ | 11,618 | |||
Secured lending facilities | 24,502 | 4,200 | 28,702 | ||||||
Commercial real estate | 7,859 | 2,049 | 9,908 | ||||||
Residential real estate | 30,184 | 13 | 30,197 | ||||||
Securities-based lending and Other loans | 50,438 | 123 | 50,561 | ||||||
Total loans | 118,409 | 12,577 | 130,986 | ||||||
ACL | (349 | ) | (349 | ) | |||||
Total loans, net | $ | 118,060 | $ | 12,577 | $ | 130,637 | |||
Fixed rate loans, net | $ | 22,716 | |||||||
Floating or adjustable rate loans, net | 107,921 | ||||||||
Loans to non-U.S. borrowers, net | 21,617 |
At September 30, 2021 | At December 31, 2020 | |||||||||||||||||||
Corporate | ||||||||||||||||||||
$ in millions | IG | NIG | Total | IG | NIG | Total | ||||||||||||||
Revolving | $ | 1,529 | $ | 2,302 | $ | 3,831 | $ | 1,138 | $ | 3,231 | $ | 4,369 | ||||||||
2021 | — | 71 | 71 | |||||||||||||||||
2020 | 179 | 26 | 205 | 585 | 80 | 665 | ||||||||||||||
2019 | — | 181 | 181 | 204 | 202 | 406 | ||||||||||||||
2018 | 195 | — | 195 | 195 | — | 195 | ||||||||||||||
2017 | — | 60 | 60 | — | 64 | 64 | ||||||||||||||
Prior | 231 | — | 231 | 247 | 100 | 347 | ||||||||||||||
Total | $ | 2,134 | $ | 2,640 | $ | 4,774 | $ | 2,369 | $ | 3,677 | $ | 6,046 |
At September 30, 2020 | |||||||||
Corporate | |||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | ||||||
Revolving Loans | $ | 1,556 | $ | 4,264 | $ | 5,820 | |||
2020 | 582 | 176 | 758 | ||||||
2019 | 279 | 159 | 438 | ||||||
2018 | 195 | 0 | 195 | ||||||
2017 | 0 | 64 | 64 | ||||||
2016 | 114 | 0 | 114 | ||||||
Prior | 127 | 112 | 239 | ||||||
Total | $ | 2,853 | $ | 4,775 | $ | 7,628 |
At September 30, 2020 | |||||||||
Secured lending facilities | |||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | ||||||
Revolving Loans | $ | 4,457 | $ | 14,832 | $ | 19,289 | |||
2020 | 206 | 378 | 584 | ||||||
2019 | 297 | 2,000 | 2,297 | ||||||
2018 | 1,063 | 1,449 | 2,512 | ||||||
2017 | 245 | 570 | 815 | ||||||
2016 | 0 | 620 | 620 | ||||||
Prior | 0 | 379 | 379 | ||||||
Total | $ | 6,268 | $ | 20,228 | $ | 26,496 |
September 2021 Form 10-Q | 56 |
At September 30, 2020 | |||||||||
Commercial real estate | |||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | ||||||
2020 | $ | 17 | $ | 744 | 761 | ||||
2019 | 637 | 2,318 | 2,955 | ||||||
2018 | 601 | 1,053 | 1,654 | ||||||
2017 | 188 | 629 | 817 | ||||||
2016 | 235 | 451 | 686 | ||||||
Prior | 0 | 392 | 392 | ||||||
Total | $ | 1,678 | $ | 5,587 | $ | 7,265 |
Notes to Consolidated Financial Statements (Unaudited) |
At September 30, 2021 | At December 31, 2020 | |||||||||||||||||||
Secured lending facilities | ||||||||||||||||||||
$ in millions | IG | NIG | Total | IG | NIG | Total | ||||||||||||||
Revolving | $ | 7,000 | $ | 16,034 | $ | 23,034 | $ | 4,711 | $ | 14,510 | $ | 19,221 | ||||||||
2021 | 33 | 354 | 387 | |||||||||||||||||
2020 | 84 | 175 | 259 | 162 | 253 | 415 | ||||||||||||||
2019 | 173 | 1,065 | 1,238 | 260 | 1,904 | 2,164 | ||||||||||||||
2018 | 310 | 786 | 1,096 | 614 | 1,432 | 2,046 | ||||||||||||||
2017 | 144 | 306 | 450 | 245 | 581 | 826 | ||||||||||||||
Prior | — | 881 | 881 | — | 1,055 | 1,055 | ||||||||||||||
Total | $ | 7,744 | $ | 19,601 | $ | 27,345 | $ | 5,992 | $ | 19,735 | $ | 25,727 |
At September 30, 2021 | At December 31, 2020 | |||||||||||||||||||
Commercial real estate | ||||||||||||||||||||
$ in millions | IG | NIG | Total | IG | NIG | Total | ||||||||||||||
2021 | 260 | 537 | 797 | |||||||||||||||||
2020 | 160 | 813 | 973 | 95 | 943 | 1,038 | ||||||||||||||
2019 | 1,148 | 1,400 | 2,548 | 1,074 | 1,848 | 2,922 | ||||||||||||||
2018 | 533 | 415 | 948 | 746 | 774 | 1,520 | ||||||||||||||
2017 | 334 | 339 | 673 | 412 | 387 | 799 | ||||||||||||||
Prior | 100 | 876 | 976 | 100 | 967 | 1,067 | ||||||||||||||
Total | $ | 2,535 | $ | 4,380 | $ | 6,915 | $ | 2,427 | $ | 4,919 | $ | 7,346 |
At September 30, 2021 | ||||||||||||||||||||||||||
Residential real estate | ||||||||||||||||||||||||||
by FICO Scores | by LTV Ratio | Total | ||||||||||||||||||||||||
$ in millions | ≥ 740 | 680-739 | ≤ 679 | ≤ 80% | > 80% | |||||||||||||||||||||
Revolving | $ | 66 | $ | 26 | $ | 4 | $ | 96 | $ | — | $ | 96 | ||||||||||||||
2021 | 8,749 | 1,863 | 164 | 10,099 | 677 | 10,776 | ||||||||||||||||||||
2020 | 8,245 | 1,711 | 133 | 9,557 | 532 | 10,089 | ||||||||||||||||||||
2019 | 4,941 | 1,130 | 149 | 5,836 | 384 | 6,220 | ||||||||||||||||||||
2018 | 1,977 | 519 | 65 | 2,369 | 192 | 2,561 | ||||||||||||||||||||
2017 | 2,282 | 584 | 76 | 2,736 | 206 | 2,942 | ||||||||||||||||||||
Prior | 6,350 | 2,060 | 334 | 7,967 | 777 | 8,744 | ||||||||||||||||||||
Total | $ | 32,610 | $ | 7,893 | $ | 925 | $ | 38,660 | $ | 2,768 | $ | 41,428 |
At December 31, 2020 | ||||||||||||||||||||||||||
Residential real estate | ||||||||||||||||||||||||||
by FICO Scores | by LTV Ratio | Total | ||||||||||||||||||||||||
$ in millions | ≥ 740 | 680-739 | ≤ 679 | ≤ 80% | > 80% | |||||||||||||||||||||
Revolving | $ | 85 | $ | 32 | $ | 5 | $ | 122 | $ | — | $ | 122 | ||||||||||||||
2020 | 8,948 | 1,824 | 149 | 10,338 | 583 | 10,921 | ||||||||||||||||||||
2019 | 5,592 | 1,265 | 168 | 6,584 | 441 | 7,025 | ||||||||||||||||||||
2018 | 2,320 | 604 | 75 | 2,756 | 243 | 2,999 | ||||||||||||||||||||
2017 | 2,721 | 690 | 89 | 3,251 | 249 | 3,500 | ||||||||||||||||||||
2016 | 3,324 | 884 | 118 | 4,035 | 291 | 4,326 | ||||||||||||||||||||
Prior | 4,465 | 1,626 | 284 | 5,684 | 691 | 6,375 | ||||||||||||||||||||
Total | $ | 27,455 | $ | 6,925 | $ | 888 | $ | 32,770 | $ | 2,498 | $ | 35,268 |
At September 30, 2021 | ||||||||||||||
Securities-based lending1 | Other2 | |||||||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | |||||||||||
Revolving | $ | 67,009 | $ | 5,783 | $ | 670 | $ | 73,462 | ||||||
2021 | 31 | 346 | 64 | 441 | ||||||||||
2020 | — | 729 | 590 | 1,319 | ||||||||||
2019 | 19 | 1,105 | 627 | 1,751 | ||||||||||
2018 | 232 | 288 | 384 | 904 | ||||||||||
2017 | — | 521 | 262 | 783 | ||||||||||
Prior | 16 | 1,395 | 342 | 1,753 | ||||||||||
Total | $ | 67,307 | $ | 10,167 | $ | 2,939 | $ | 80,413 |
At September 30, 2020 | ||||||||||||||||||||
Residential real estate | ||||||||||||||||||||
by FICO Scores | by LTV Ratio | Total | ||||||||||||||||||
$ in millions | ≥ 740 | 680-739 | ≤ 679 | ≤ 80% | > 80% | |||||||||||||||
Revolving Loans | $ | 89 | $ | 34 | $ | 5 | $ | 128 | $ | 0 | $ | 128 | ||||||||
2020 | 6,438 | 1,337 | 138 | 7,487 | 426 | 7,913 | ||||||||||||||
2019 | 5,791 | 1,306 | 175 | 6,812 | 460 | 7,272 | ||||||||||||||
2018 | 2,442 | 685 | 83 | 2,952 | 258 | 3,210 | ||||||||||||||
2017 | 2,875 | 732 | 93 | 3,436 | 264 | 3,700 | ||||||||||||||
2016 | 3,524 | 953 | 134 | 4,305 | 306 | 4,611 | ||||||||||||||
Prior | 4,814 | 1,716 | 310 | 6,094 | 746 | 6,840 | ||||||||||||||
Total | $ | 25,973 | $ | 6,763 | $ | 938 | $ | 31,214 | $ | 2,460 | $ | 33,674 |
At September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||
Securities-based lending1 | Other2 | Securities-based lending1 | Other2 | |||||||||||||||||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | $ in millions | Investment Grade | Non-Investment Grade | Total | |||||||||||||||||||
Revolving Loans | $ | 47,251 | $ | 4,238 | $ | 684 | $ | 52,173 | ||||||||||||||||||
Revolving | Revolving | $ | 51,667 | $ | 4,816 | $ | 555 | $ | 57,038 | |||||||||||||||||
2020 | 0 | 860 | 431 | 1,291 | 2020 | — | 1,073 | 590 | 1,663 | |||||||||||||||||
2019 | 18 | 1,106 | 674 | 1,798 | 2019 | 18 | 1,156 | 623 | 1,797 | |||||||||||||||||
2018 | 232 | 334 | 456 | 1,022 | 2018 | 232 | 407 | 403 | 1,042 | |||||||||||||||||
2017 | 0 | 663 | 116 | 779 | 2017 | — | 654 | 122 | 776 | |||||||||||||||||
2016 | 0 | 579 | 113 | 692 | 2016 | — | 566 | 111 | 677 | |||||||||||||||||
Prior | 16 | 1,068 | 167 | 1,251 | Prior | 16 | 1,066 | 157 | 1,239 | |||||||||||||||||
Total | $ | 47,517 | $ | 8,848 | $ | 2,641 | $ | 59,006 | Total | $ | 51,933 | $ | 9,738 | $ | 2,561 | $ | 64,232 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Corporate | $ | 4 | $ | — | ||||
Residential real estate | 235 | 332 | ||||||
Securities-based lending and Other loans | — | 31 | ||||||
Total | $ | 239 | $ | 363 |
At September 30, 2020 | |||||||||
$ in millions | Current | Past Due1 | Total | ||||||
Corporate | $ | 7,628 | $ | 0 | $ | 7,628 | |||
Secured lending facilities | 26,496 | 0 | 26,496 | ||||||
Commercial real estate | 7,264 | 1 | 7,265 | ||||||
Residential real estate | 33,476 | 198 | 33,674 | ||||||
Securities-based lending and Other loans | 58,881 | 125 | 59,006 | ||||||
Total | $ | 133,745 | $ | 324 | $ | 134,069 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Corporate | $ | 82 | $ | 164 | ||||
Secured lending facilities | 388 | — | ||||||
Commercial real estate | 68 | 152 | ||||||
Residential real estate | 127 | 97 | ||||||
Securities-based lending and Other loans | 161 | 178 | ||||||
Total1 | $ | 826 | $ | 591 | ||||
Nonaccrual loans without an ACL | $ | 125 | $ | 90 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Corporate | $ | 184 | $ | 299 | ||
Commercial real estate | 185 | 85 | ||||
Residential real estate | 92 | 94 | ||||
Securities-based lending and Other loans | 133 | 5 | ||||
Total1 | $ | 594 | $ | 483 | ||
Nonaccrual loans without an ACL | $ | 91 | $ | 120 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Loans, before ACL | $ | 166 | $ | 92 | ||
Lending commitments | 32 | 32 | ||||
ACL on Loans and Lending commitments | 32 | 16 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Loans, before ACL | $ | 65 | $ | 167 | ||||
Lending commitments | — | 27 | ||||||
ACL on Loans and Lending commitments | 9 | 36 |
57 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||
December 31, 2019 | $ | 115 | $ | 101 | $ | 75 | $ | 25 | $ | 33 | $ | 349 | ||||||
Effect of CECL adoption | (2 | ) | (42 | ) | 34 | 21 | (2 | ) | 9 | |||||||||
Gross charge-offs | (33 | ) | 0 | (26 | ) | 0 | 0 | (59 | ) | |||||||||
Recoveries | 3 | 0 | 0 | 0 | 2 | 5 | ||||||||||||
Net (charge-offs) recoveries | (30 | ) | 0 | (26 | ) | 0 | 2 | (54 | ) | |||||||||
Provision (release)1 | 281 | 131 | 173 | 12 | 4 | 601 | ||||||||||||
Other | 3 | 1 | (34 | ) | 0 | 38 | 8 | |||||||||||
September 30, 2020 | $ | 367 | $ | 191 | $ | 222 | $ | 58 | $ | 75 | $ | 913 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||||
December 31, 2020 | $ | 309 | $ | 198 | $ | 211 | $ | 59 | $ | 58 | $ | 835 | ||||||||
Gross charge-offs | (19) | (67) | (21) | — | — | (107) | ||||||||||||||
Provision for credit losses | (91) | 47 | 4 | (2) | 5 | (37) | ||||||||||||||
Other | (2) | (3) | (1) | 1 | (2) | (7) | ||||||||||||||
September 30, 2021 | $ | 197 | $ | 175 | $ | 193 | $ | 58 | $ | 61 | $ | 684 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | $ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | |||||||||||||||||||||||||
December 31, 2018 | $ | 62 | $ | 60 | $ | 67 | $ | 20 | $ | 29 | $ | 238 | ||||||||||||||||||||||||||
December 31, 2019 | December 31, 2019 | $ | 115 | $ | 101 | $ | 75 | $ | 25 | $ | 33 | $ | 349 | |||||||||||||||||||||||||
Effect of CECL adoption | Effect of CECL adoption | (2) | (42) | 34 | 21 | (2) | 9 | |||||||||||||||||||||||||||||||
Gross charge-offs | 0 | 0 | 0 | (1 | ) | 0 | (1 | ) | Gross charge-offs | (33) | — | (26) | — | — | (59) | |||||||||||||||||||||||
Provision (release)1 | 40 | 28 | (6 | ) | 5 | 1 | 68 | |||||||||||||||||||||||||||||||
Recoveries | Recoveries | 3 | — | — | — | 2 | 5 | |||||||||||||||||||||||||||||||
Net recoveries (charge-offs) | Net recoveries (charge-offs) | (30) | — | (26) | — | 2 | (54) | |||||||||||||||||||||||||||||||
Provision for credit losses | Provision for credit losses | 281 | 131 | 173 | 12 | 4 | 601 | |||||||||||||||||||||||||||||||
Other | (6 | ) | (1 | ) | (1 | ) | 0 | 0 | (8 | ) | Other | 3 | 1 | (34) | — | 38 | 8 | |||||||||||||||||||||
September 30, 2019 | $ | 96 | $ | 87 | $ | 60 | $ | 24 | $ | 30 | $ | 297 | ||||||||||||||||||||||||||
September 30, 2020 | September 30, 2020 | $ | 367 | $ | 191 | $ | 222 | $ | 58 | $ | 75 | $ | 913 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||||
December 31, 2020 | $ | 323 | $ | 38 | $ | 11 | $ | 1 | $ | 23 | $ | 396 | ||||||||
Provision for credit losses | 39 | 2 | — | — | (5) | 36 | ||||||||||||||
Other | (3) | 1 | (1) | — | — | (3) | ||||||||||||||
September 30, 2021 | $ | 359 | $ | 41 | $ | 10 | $ | 1 | $ | 18 | $ | 429 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||
December 31, 2019 | $ | 201 | $ | 27 | $ | 7 | $ | 0 | $ | 6 | $ | 241 | ||||||
Effect of CECL adoption | (41 | ) | (11 | ) | 1 | 2 | (1 | ) | (50 | ) | ||||||||
Provision (release)1 | 119 | 24 | 7 | (1 | ) | 7 | 156 | |||||||||||
Other | 0 | 0 | (4 | ) | 0 | 4 | 0 | |||||||||||
September 30, 2020 | $ | 279 | $ | 40 | $ | 11 | $ | 1 | $ | 16 | $ | 347 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||
December 31, 2018 | $ | 178 | $ | 16 | $ | 3 | $ | 0 | $ | 6 | $ | 203 | ||||||
Provision (release)1 | 27 | 7 | 2 | 0 | 0 | 36 | ||||||||||||
Other | (4 | ) | 0 | 0 | 0 | (1 | ) | (5 | ) | |||||||||
September 30, 2019 | $ | 201 | $ | 23 | $ | 5 | $ | 0 | $ | 5 | $ | 234 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||||
December 31, 2019 | $ | 201 | $ | 27 | $ | 7 | $ | — | $ | 6 | $ | 241 | ||||||||
Effect of CECL adoption | (41) | (11) | 1 | 2 | (1) | (50) | ||||||||||||||
Provision for credit losses | 119 | 24 | 7 | (1) | 7 | 156 | ||||||||||||||
Other | — | — | (4) | — | 4 | — | ||||||||||||||
September 30, 2020 | $ | 279 | $ | 40 | $ | 11 | $ | 1 | $ | 16 | $ | 347 |
Three Months Ended September 30, | ||||||||
$ in millions | 2021 | 2020 | ||||||
Loans | $ | 5 | $ | 63 | ||||
Lending commitments | 19 | 48 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Currently employed by the Firm1 | $ | 3,486 | $ | 3,100 | ||||
No longer employed by the Firm2 | 128 | $ | 140 | |||||
Employee loans | $ | 3,614 | $ | 3,240 | ||||
ACL | (163) | (165) | ||||||
Employee loans, net of ACL | $ | 3,451 | $ | 3,075 | ||||
Remaining repayment term, weighted average in years | 5.6 | 5.3 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Currently employed by the Firm1 | $ | 2,940 | N/A | |||
No longer employed by the Firm2 | 142 | N/A | ||||
Employee loans | $ | 3,082 | $ | 2,980 | ||
ACL3 | (165 | ) | (61 | ) | ||
Employee loans, net of ACL | $ | 2,917 | $ | 2,919 | ||
Remaining repayment term, weighted average in years | 5.1 | 4.8 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Investments | $ | 2,298 | $ | 2,410 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||
$ in millions | At September 30, 2020 | At December 31, 2019 | $ in millions | 2021 | 2020 | 2021 | 2020 | |||||||||||||
Investments | $ | 2,338 | $ | 2,363 | ||||||||||||||||
Income (loss) | Income (loss) | $ | 24 | $ | 10 | $ | 51 | $ | (24) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Income (loss)1 | $ | 10 | $ | (13 | ) | $ | (24 | ) | $ | (39 | ) |
September 2021 Form 10-Q | 58 |
Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Income (loss) from investment in MUMSS | $ | 15 | $ | (4 | ) | $ | 46 | $ | 5 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Income (loss) from investment in MUMSS | $ | 29 | $ | 15 | $ | 113 | $ | 46 |
$ in millions | At September 30, 2020 | At December 31, 2019 | $ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||
Savings and demand deposits | $ | 202,577 | $ | 149,465 | Savings and demand deposits | $ | 310,845 | $ | 279,221 | |||||
Time deposits | 36,676 | 40,891 | Time deposits | 18,196 | 31,561 | |||||||||
Total | $ | 239,253 | $ | 190,356 | Total | $ | 329,041 | $ | 310,782 | |||||
Deposits subject to FDIC insurance | $ | 173,173 | $ | 149,966 | Deposits subject to FDIC insurance | $ | 226,605 | $ | 234,211 | |||||
Time deposits that equal or exceed the FDIC insurance limit | $ | 20 | $ | 12 | Time deposits that equal or exceed the FDIC insurance limit | $ | — | $ | 16 |
$ in millions | At September 30, 2020 | ||
2020 | $ | 5,457 | |
2021 | 17,986 | ||
2022 | 4,984 | ||
2023 | 4,086 | ||
2024 | 2,784 | ||
Thereafter | 1,379 | ||
Total | $ | 36,676 |
$ in millions | At September 30, 2021 | ||||
2021 | $ | 3,544 | |||
2022 | 6,124 | ||||
2023 | 4,243 | ||||
2024 | 2,813 | ||||
2025 | 793 | ||||
Thereafter | 679 | ||||
Total | $ | 18,196 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Original maturities of one year or less | $ | 4,825 | $ | 3,691 | ||||
Original maturities greater than one year | ||||||||
Senior | $ | 211,226 | $ | 202,305 | ||||
Subordinated | 13,711 | 11,083 | ||||||
Total | $ | 224,937 | $ | 213,388 | ||||
Total borrowings | $ | 229,762 | $ | 217,079 | ||||
Weighted average stated maturity, in years1 | 7.7 | 7.3 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Original maturities of one year or less | $ | 4,553 | $ | 2,567 | ||
Original maturities greater than one year | ||||||
Senior | $ | 187,717 | $ | 179,519 | ||
Subordinated | 11,174 | 10,541 | ||||
Total | $ | 198,891 | $ | 190,060 | ||
Total borrowings | $ | 203,444 | $ | 192,627 | ||
Weighted average stated maturity, in years1 | 7.4 | 6.9 |
$ in millions | At September 30, 2020 | At December 31, 20191 | ||||
Original maturities: | ||||||
One year or less | $ | 9,141 | $ | 7,103 | ||
Greater than one year | 4,716 | 7,595 | ||||
Total | $ | 13,857 | $ | 14,698 | ||
Transfers of assets accounted for as secured financings | $ | 1,108 | $ | 1,115 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Original maturities: | ||||||||
One year or less | $ | 4,947 | $ | 10,453 | ||||
Greater than one year | 5,325 | 5,410 | ||||||
Total | $ | 10,272 | $ | 15,863 | ||||
Transfers of assets accounted for as secured financings | $ | 1,255 | $ | 1,529 |
Years to Maturity at September 30, 2021 | |||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||||
Lending: | |||||||||||||||||
Corporate | $ | 16,994 | $ | 36,794 | $ | 45,711 | $ | 7,396 | $ | 106,895 | |||||||
Secured lending facilities | 4,799 | 6,061 | 1,717 | 630 | 13,207 | ||||||||||||
Commercial and Residential real estate | 303 | 242 | 133 | 270 | 948 | ||||||||||||
Securities-based lending and Other | 12,028 | 3,132 | 470 | 436 | 16,066 | ||||||||||||
Forward-starting secured financing receivables | 64,603 | — | — | — | 64,603 | ||||||||||||
Central counterparty | 300 | — | — | 11,807 | 12,107 | ||||||||||||
Underwriting | 428 | 14 | — | — | 442 | ||||||||||||
Investment activities | 1,119 | 240 | 60 | 409 | 1,828 | ||||||||||||
Letters of credit and other financial guarantees | 26 | — | — | 3 | 29 | ||||||||||||
Total | $ | 100,600 | $ | 46,483 | $ | 48,091 | $ | 20,951 | $ | 216,125 | |||||||
Lending commitments participated to third parties | $ | 8,380 | |||||||||||||||
Forward-starting secured financing receivables settled within three business days | $ | 55,387 |
Years to Maturity at September 30, 2020 | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Lending: | |||||||||||||||
Corporate | $ | 14,707 | $ | 36,048 | $ | 37,002 | $ | 4,888 | $ | 92,645 | |||||
Secured lending facilities | 5,554 | 3,693 | 1,302 | 133 | 10,682 | ||||||||||
Commercial and Residential real estate | 137 | 226 | 38 | 260 | 661 | ||||||||||
Securities-based lending and Other | 12,421 | 2,934 | 369 | 386 | 16,110 | ||||||||||
Forward-starting secured financing receivables | 81,340 | 0 | 0 | 0 | 81,340 | ||||||||||
Central counterparty1 | 300 | 0 | 0 | 9,329 | 9,629 | ||||||||||
Underwriting | 675 | 0 | 0 | 0 | 675 | ||||||||||
Investment activities | 947 | 241 | 41 | 286 | 1,515 | ||||||||||
Letters of credit and other financial guarantees | 172 | 1 | 0 | 3 | 176 | ||||||||||
Total | $ | 116,253 | $ | 43,143 | $ | 38,752 | $ | 15,285 | $ | 213,433 | |||||
Lending commitments participated to third parties | $ | 8,647 | |||||||||||||
Forward-starting secured financing receivables settled within three business days | $ | 72,771 |
59 | September |
Notes to Consolidated Financial Statements (Unaudited) |
At September 30, 2021 | |||||||||||||||||||||||
Maximum Potential Payout/Notional of Obligations by Years to Maturity | Carrying Amount Asset (Liability) | ||||||||||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | |||||||||||||||||||
Non-credit derivatives1 | $ | 1,231,656 | $ | 1,036,489 | $ | 396,233 | $ | 933,946 | $ | (48,593) | |||||||||||||
Standby letters of credit and other financial guarantees issued2 | 1,466 | 1,053 | 770 | 3,573 | 88 | ||||||||||||||||||
Market value guarantees | 75 | 20 | — | — | — | ||||||||||||||||||
Liquidity facilities | 4,022 | — | — | — | 5 | ||||||||||||||||||
Whole loan sales guarantees | — | — | 69 | 23,112 | — | ||||||||||||||||||
Securitization representations and warranties3 | — | — | — | 74,446 | (42) | ||||||||||||||||||
General partner guarantees | 327 | 12 | 32 | 114 | (65) | ||||||||||||||||||
Client clearing guarantees | 54 | — | — | — | — |
Years to Maturity at September 30, 2020 | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Credit derivatives | $ | 25,206 | $ | 42,799 | $ | 114,950 | $ | 72,312 | $ | 255,267 | |||||
Other credit contracts | 0 | 190 | 0 | 104 | 294 | ||||||||||
Non-credit derivatives | 1,531,263 | 1,122,139 | 367,428 | 779,686 | 3,800,516 | ||||||||||
Standby letters of credit and other financial guarantees issued1 | 1,082 | 1,475 | 758 | 3,967 | 7,282 | ||||||||||
Market value guarantees | 92 | 28 | 0 | 0 | 120 | ||||||||||
Liquidity facilities | 4,342 | 0 | 0 | 0 | 4,342 | ||||||||||
Whole loan sales guarantees | 1 | 0 | 9 | 23,176 | 23,186 | ||||||||||
Securitization representations and warranties | 0 | 0 | 0 | 67,024 | 67,024 | ||||||||||
General partner guarantees | 59 | 161 | 12 | 115 | 347 | ||||||||||
Client clearing guarantees | 92 | 0 | 0 | 0 | 92 |
$ in millions | Carrying Amount Asset (Liability) | ||
Credit derivatives2 | $ | (1,757 | ) |
Other credit contracts | (4 | ) | |
Non-credit derivatives2 | (88,369 | ) | |
Standby letters of credit and other financial guarantees issued1 | 113 | ||
Market value guarantees | 0 | ||
Liquidity facilities | 6 | ||
Whole loan sales guarantees | 0 | ||
Securitization representations and warranties3 | (42 | ) | |
General partner guarantees | (66 | ) | |
Client clearing guarantees | 0 |
3.Primarily related to residential mortgage securitizations. |
September 2021 Form 10-Q | 60 |
Notes to Consolidated Financial Statements (Unaudited) |
61 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
At September 30, 2020 | At December 31, 2019 | |||||||||||
$ in millions | VIE Assets | VIE Liabilities | VIE Assets | VIE Liabilities | ||||||||
OSF | $ | 672 | $ | 429 | $ | 696 | $ | 391 | ||||
MABS1 | 447 | 108 | 265 | 4 | ||||||||
Other2 | 942 | 42 | 987 | 66 | ||||||||
Total | $ | 2,061 | $ | 579 | $ | 1,948 | $ | 461 |
At September 30, 2021 | At December 31, 2020 | |||||||||||||
$ in millions | VIE Assets | VIE Liabilities | VIE Assets | VIE Liabilities | ||||||||||
MABS2 | $ | 774 | $ | 234 | $ | 590 | $ | 17 | ||||||
Investment vehicles3 | 696 | 216 | 776 | 355 | ||||||||||
Operating entities | 497 | 38 | 504 | 39 | ||||||||||
Other | 452 | 220 | 248 | 3 | ||||||||||
Total | $ | 2,419 | $ | 708 | $ | 2,118 | $ | 414 |
2.Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets and may be in loan or security form. The value of assets is determined based on the fair value of the liabilities and the interests owned by the Firm in such VIEs as the fair values for the liabilities and interests owned are more observable. 3.Amounts include investment funds and CLOs. |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Assets | ||||||
Cash and cash equivalents | $ | 284 | $ | 488 | ||
Trading assets at fair value | 1,376 | 943 | ||||
Customer and other receivables | 8 | 18 | ||||
Intangible assets | 101 | 111 | ||||
Other assets | 292 | 388 | ||||
Total | $ | 2,061 | $ | 1,948 | ||
Liabilities | ||||||
Other secured financings | $ | 536 | $ | 422 | ||
Other liabilities and accrued expenses | 43 | 39 | ||||
Total | $ | 579 | $ | 461 | ||
Noncontrolling interests | $ | 275 | $ | 192 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Assets | ||||||||
Cash and cash equivalents | $ | 270 | $ | 269 | ||||
Trading assets at fair value | 1,550 | 1,445 | ||||||
Investment securities | 33 | — | ||||||
Securities purchased under agreements to resell | 200 | — | ||||||
Customer and other receivables | 18 | 23 | ||||||
Intangible assets | 89 | 98 | ||||||
Other assets | 259 | 283 | ||||||
Total | $ | 2,419 | $ | 2,118 | ||||
Liabilities | ||||||||
Other secured financings | $ | 505 | $ | 366 | ||||
Other liabilities and accrued expenses | 203 | 48 | ||||||
Total | $ | 708 | $ | 414 | ||||
Noncontrolling interests | $ | 130 | $ | 196 |
At September 30, 2021 | |||||||||||||||||
$ in millions | MABS1 | CDO | MTOB | OSF | Other2 | ||||||||||||
VIE assets (UPB) | $ | 157,608 | $ | 1,968 | $ | 6,048 | $ | 2,014 | $ | 53,835 | |||||||
Maximum exposure to loss3 | |||||||||||||||||
Debt and equity interests | $ | 19,539 | $ | 169 | $ | — | $ | 1,239 | $ | 10,497 | |||||||
Derivative and other contracts | — | — | 4,022 | — | 6,345 | ||||||||||||
Commitments, guarantees and other | 530 | — | — | — | 1,119 | ||||||||||||
Total | $ | 20,069 | $ | 169 | $ | 4,022 | $ | 1,239 | $ | 17,961 | |||||||
Carrying value of variable interests—Assets | |||||||||||||||||
Debt and equity interests | $ | 19,539 | $ | 169 | $ | — | $ | 1,239 | $ | 10,497 | |||||||
Derivative and other contracts | — | — | 6 | — | 2,307 | ||||||||||||
Total | $ | 19,539 | $ | 169 | $ | 6 | $ | 1,239 | $ | 12,804 | |||||||
Additional VIE assets owned4 | $ | 15,975 | |||||||||||||||
Carrying value of variable interests—Liabilities | |||||||||||||||||
Derivative and other contracts | $ | — | $ | — | $ | — | $ | — | $ | 224 | |||||||
At September 30, 2020 | At December 31, 2020 | |||||||||||||||||||||||||||||||
$ in millions | MABS1 | CDO | MTOB | OSF | Other2 | $ in millions | MABS1 | CDO | MTOB | OSF | Other2 | |||||||||||||||||||||
VIE assets (UPB) | $ | 136,362 | $ | 3,744 | $ | 6,404 | $ | 2,190 | $ | 50,040 | VIE assets (UPB) | $ | 184,153 | $ | 3,527 | $ | 6,524 | $ | 2,161 | $ | 48,241 | |||||||||||
Maximum exposure to loss3 | Maximum exposure to loss3 | Maximum exposure to loss3 | ||||||||||||||||||||||||||||||
Debt and equity interests | $ | 16,821 | $ | 390 | $ | 0 | $ | 1,059 | $ | 10,581 | Debt and equity interests | $ | 26,247 | $ | 257 | $ | — | $ | 1,187 | $ | 11,008 | |||||||||||
Derivative and other contracts | 0 | 0 | 4,342 | 0 | 3,853 | Derivative and other contracts | — | — | 4,425 | — | 5,639 | |||||||||||||||||||||
Commitments, guarantees and other | 810 | 0 | 0 | 0 | 685 | Commitments, guarantees and other | 929 | — | — | — | 749 | |||||||||||||||||||||
Total | $ | 17,631 | $ | 390 | $ | 4,342 | $ | 1,059 | $ | 15,119 | Total | $ | 27,176 | $ | 257 | $ | 4,425 | $ | 1,187 | $ | 17,396 | |||||||||||
Carrying value of variable interests—Assets | ||||||||||||||||||||||||||||||||
Carrying value of variable interests–Assets | Carrying value of variable interests–Assets | |||||||||||||||||||||||||||||||
Debt and equity interests | $ | 16,821 | $ | 390 | $ | 0 | $ | 1,059 | $ | 10,581 | Debt and equity interests | $ | 26,247 | $ | 257 | $ | — | $ | 1,187 | $ | 11,008 | |||||||||||
Derivative and other contracts | 0 | 0 | 6 | 0 | 621 | Derivative and other contracts | — | — | 5 | — | 851 | |||||||||||||||||||||
Total | $ | 16,821 | $ | 390 | $ | 6 | $ | 1,059 | $ | 11,202 | Total | $ | 26,247 | $ | 257 | $ | 5 | $ | 1,187 | $ | 11,859 | |||||||||||
Additional VIE assets owned4 | Additional VIE assets owned4 | $ | 11,832 | Additional VIE assets owned4 | $ | 20,019 | ||||||||||||||||||||||||||
Carrying value of variable interests—Liabilities | Carrying value of variable interests—Liabilities | Carrying value of variable interests—Liabilities | ||||||||||||||||||||||||||||||
Derivative and other contracts | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 114 | Derivative and other contracts | $ | — | $ | — | $ | — | $ | — | $ | 222 | |||||||||||
Total | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 114 |
At December 31, 2019 | |||||||||||||||
$ in millions | MABS1 | CDO | MTOB | OSF | Other2 | ||||||||||
VIE assets (UPB) | $ | 125,603 | $ | 2,976 | $ | 6,965 | $ | 2,288 | $ | 51,305 | |||||
Maximum exposure to loss3 | |||||||||||||||
Debt and equity interests | $ | 16,314 | $ | 240 | $ | 0 | $ | 1,009 | $ | 11,977 | |||||
Derivative and other contracts | 0 | 0 | 4,599 | 0 | 2,995 | ||||||||||
Commitments, guarantees and other | 631 | 0 | 0 | 0 | 266 | ||||||||||
Total | $ | 16,945 | $ | 240 | $ | 4,599 | $ | 1,009 | $ | 15,238 | |||||
Carrying value of variable interests–Assets | |||||||||||||||
Debt and equity interests | $ | 16,314 | $ | 240 | $ | 0 | $ | 1,008 | $ | 11,977 | |||||
Derivative and other contracts | 0 | 0 | 6 | 0 | 388 | ||||||||||
Total | $ | 16,314 | $ | 240 | $ | 6 | $ | 1,008 | $ | 12,365 | |||||
Additional VIE assets owned4 | $ | 11,453 | |||||||||||||
Carrying value of variable interests—Liabilities | |||||||||||||||
Derivative and other contracts | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 444 |
2.Other primarily includes exposures to commercial real estate property and investment funds. 3.Where notional amounts are utilized in quantifying the maximum exposure related to derivatives, such amounts do not reflect changes in fair value recorded by the Firm. 4.Additional VIE assets owned represents the carrying value of total exposure to non-consolidated VIEs for which the maximum exposure to loss is less than specific thresholds, primarily interests issued by securitization SPEs. The Firm’s maximum exposure to loss generally equals the fair value of the assets owned. These assets are primarily included in Trading assets and Investment securities and are measured at fair value (see Note 5). The Firm does not provide additional support in these transactions through contractual facilities, guarantees or similar derivatives. |
September 2021 Form 10-Q | 62 |
Notes to Consolidated Financial Statements (Unaudited) |
At September 30, 2020 | At December 31, 2019 | |||||||||||
$ in millions | UPB | Debt and Equity Interests | UPB | Debt and Equity Interests | ||||||||
Residential mortgages | $ | 20,056 | $ | 3,264 | $ | 30,353 | $ | 3,993 | ||||
Commercial mortgages | 59,111 | 3,940 | 53,892 | 3,881 | ||||||||
U.S. agency collateralized mortgage obligations | 52,335 | 8,021 | 36,366 | 6,365 | ||||||||
Other consumer or commercial loans | 4,860 | 1,596 | 4,992 | 2,075 | ||||||||
Total | $ | 136,362 | $ | 16,821 | $ | 125,603 | $ | 16,314 |
At September 30, 2021 | At December 31, 2020 | |||||||||||||
$ in millions | UPB | Debt and Equity Interests | UPB | Debt and Equity Interests | ||||||||||
Residential mortgages | $ | 23,049 | $ | 2,536 | $ | 17,775 | $ | 3,175 | ||||||
Commercial mortgages | 67,858 | 3,741 | 62,093 | 4,131 | ||||||||||
U.S. agency collateralized mortgage obligations | 62,470 | 10,881 | 99,182 | 17,224 | ||||||||||
Other consumer or commercial loans | 4,231 | 2,381 | 5,103 | 1,717 | ||||||||||
Total | $ | 157,608 | $ | 19,539 | $ | 184,153 | $ | 26,247 |
At September 30, 2021 | ||||||||||||||
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other1 | ||||||||||
SPE assets (UPB)2 | $ | 7,528 | $ | 92,588 | $ | 38,788 | $ | 13,481 | ||||||
Retained interests | ||||||||||||||
Investment grade | $ | 93 | $ | 938 | $ | 629 | $ | — | ||||||
Non-investment grade | 21 | 287 | — | 74 | ||||||||||
Total | $ | 114 | $ | 1,225 | $ | 629 | $ | 74 | ||||||
Interests purchased in the secondary market | ||||||||||||||
Investment grade | $ | 7 | $ | 83 | $ | 41 | $ | — | ||||||
Non-investment grade | 34 | 77 | — | — | ||||||||||
Total | $ | 41 | $ | 160 | $ | 41 | $ | — | ||||||
Derivative assets | $ | — | $ | — | $ | — | $ | 586 | ||||||
Derivative liabilities | — | — | — | 178 |
At September 30, 2020 | ||||||||||||
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other1 | ||||||||
SPE assets (UPB)2 | $ | 7,225 | $ | 81,900 | $ | 22,951 | $ | 12,223 | ||||
Retained interests | ||||||||||||
Investment grade | $ | 47 | $ | 794 | $ | 745 | $ | 0 | ||||
Non-investment grade | 16 | 221 | 0 | 89 | ||||||||
Total | $ | 63 | $ | 1,015 | $ | 745 | $ | 89 | ||||
Interests purchased in the secondary market | ||||||||||||
Investment grade | $ | 1 | $ | 129 | $ | 26 | $ | 0 | ||||
Non-investment grade | 24 | 60 | 0 | 0 | ||||||||
Total | $ | 25 | $ | 189 | $ | 26 | $ | 0 | ||||
Derivative assets | $ | 0 | $ | 0 | $ | 0 | $ | 500 | ||||
Derivative liabilities | 0 | 0 | 0 | 127 |
At December 31, 2020 | ||||||||||||||
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other1 | ||||||||||
SPE assets (UPB)2 | $ | 7,515 | $ | 84,674 | $ | 21,061 | $ | 12,978 | ||||||
Retained interests | ||||||||||||||
Investment grade | $ | 49 | $ | 822 | $ | 615 | $ | — | ||||||
Non-investment grade | 16 | 195 | — | 114 | ||||||||||
Total | $ | 65 | $ | 1,017 | $ | 615 | $ | 114 | ||||||
Interests purchased in the secondary market | ||||||||||||||
Investment grade | $ | — | $ | 96 | $ | 116 | $ | — | ||||||
Non-investment grade | 43 | 80 | — | 21 | ||||||||||
Total | $ | 43 | $ | 176 | $ | 116 | $ | 21 | ||||||
Derivative assets | $ | — | $ | — | $ | — | $ | 400 | ||||||
Derivative liabilities | — | — | — | 436 |
Fair Value At September 30, 2021 | |||||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||||
Retained interests | |||||||||||
Investment grade | $ | 725 | $ | — | $ | 725 | |||||
Non-investment grade | 38 | 52 | 90 | ||||||||
Total | $ | 763 | $ | 52 | $ | 815 | |||||
Interests purchased in the secondary market | |||||||||||
Investment grade | $ | 124 | $ | 7 | $ | 131 | |||||
Non-investment grade | 74 | 37 | 111 | ||||||||
Total | $ | 198 | $ | 44 | $ | 242 | |||||
Derivative assets | $ | 585 | $ | 1 | $ | 586 | |||||
Derivative liabilities | 149 | 29 | 178 |
Fair Value at December 31, 2020 | |||||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||||
Retained interests | |||||||||||
Investment grade | $ | 663 | $ | — | $ | 663 | |||||
Non-investment grade | 6 | 63 | 69 | ||||||||
Total | $ | 669 | $ | 63 | $ | 732 | |||||
Interests purchased in the secondary market | |||||||||||
Investment grade | $ | 196 | $ | 16 | $ | 212 | |||||
Non-investment grade | 62 | 82 | 144 | ||||||||
Total | $ | 258 | $ | 98 | $ | 356 | |||||
Derivative assets | $ | 388 | $ | 12 | $ | 400 | |||||
Derivative liabilities | 435 | 1 | 436 |
At December 31, 2019 | ||||||||||||
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other1 | ||||||||
SPE assets (UPB)2 | $ | 9,850 | $ | 86,203 | $ | 19,132 | $ | 8,410 | ||||
Retained interests | ||||||||||||
Investment grade | $ | 29 | $ | 720 | $ | 2,376 | $ | 1 | ||||
Non-investment grade | 17 | 254 | 0 | 92 | ||||||||
Total | $ | 46 | $ | 974 | $ | 2,376 | $ | 93 | ||||
Interests purchased in the secondary market | ||||||||||||
Investment grade | $ | 6 | $ | 197 | $ | 77 | $ | 0 | ||||
Non-investment grade | 75 | 51 | 0 | 0 | ||||||||
Total | $ | 81 | $ | 248 | $ | 77 | $ | 0 | ||||
Derivative assets | $ | 0 | $ | 0 | $ | 0 | $ | 339 | ||||
Derivative liabilities | 0 | 0 | 0 | 145 |
Fair Value At September 30, 2020 | |||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||
Retained interests | |||||||||
Investment grade | $ | 771 | $ | 22 | $ | 793 | |||
Non-investment grade | 5 | 72 | 77 | ||||||
Total | $ | 776 | $ | 94 | $ | 870 | |||
Interests purchased in the secondary market | |||||||||
Investment grade | $ | 154 | $ | 2 | $ | 156 | |||
Non-investment grade | 66 | 18 | 84 | ||||||
Total | $ | 220 | $ | 20 | $ | 240 | |||
Derivative assets | $ | 495 | $ | 5 | $ | 500 | |||
Derivative liabilities | 126 | 1 | 127 |
Fair Value at December 31, 2019 | |||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||
Retained interests | |||||||||
Investment grade | $ | 2,401 | $ | 4 | $ | 2,405 | |||
Non-investment grade | 6 | 97 | 103 | ||||||
Total | $ | 2,407 | $ | 101 | $ | 2,508 | |||
Interests purchased in the secondary market | |||||||||
Investment grade | $ | 278 | $ | 2 | $ | 280 | |||
Non-investment grade | 68 | 58 | 126 | ||||||
Total | $ | 346 | $ | 60 | $ | 406 | |||
Derivative assets | $ | 337 | $ | 2 | $ | 339 | |||
Derivative liabilities | 144 | 1 | 145 |
2.Amounts include assets transferred by unrelated transferors. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
New transactions1 | $ | 12,103 | $ | 12,969 | $ | 43,303 | $ | 30,629 | ||||||
Retained interests | 2,396 | 1,991 | 7,960 | 7,215 | ||||||||||
Sales of corporate loans to CLO SPEs1, 2 | 144 | 234 | 217 | 373 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
New transactions1 | $ | 12,969 | $ | 8,651 | $ | 30,629 | $ | 20,897 | ||||
Retained interests | 1,991 | 902 | 7,215 | 4,424 | ||||||||
Sales of corporate loans to CLO SPEs1, 2 | 234 | 0 | 373 | 0 |
63 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Gross cash proceeds from sale of assets1 | $ | 64,054 | $ | 45,051 | ||||
Fair value | ||||||||
Assets sold | $ | 64,185 | $ | 46,609 | ||||
Derivative assets recognized in the balance sheets | 901 | 1,592 | ||||||
Derivative liabilities recognized in the balance sheets | 771 | 64 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Gross cash proceeds from sale of assets1 | $ | 31,800 | $ | 38,661 | ||
Fair value | ||||||
Assets sold | $ | 32,006 | $ | 39,137 | ||
Derivative assets recognized in the balance sheets | 631 | 647 | ||||
Derivative liabilities recognized in the balance sheets | 423 | 152 |
At September 30, 2021 and December 31, 2020 | |||||||||||||||||
Standardized | Advanced | ||||||||||||||||
Capital buffers | |||||||||||||||||
Capital conservation buffer | — | 2.5% | |||||||||||||||
SCB | 5.7% | N/A | |||||||||||||||
G-SIB capital surcharge | 3.0% | 3.0% | |||||||||||||||
CCyB1 | 0% | 0% | |||||||||||||||
Capital buffer requirement2 | 8.7% | 5.5% | |||||||||||||||
At September 30, 2021 and December 31, 2020 | |||||||||||||||||
Regulatory Minimum | Standardized | Advanced | |||||||||||||||
Required ratios3 | |||||||||||||||||
Common Equity Tier 1 capital ratio | 4.5 | % | 13.2% | 10.0% | |||||||||||||
Tier 1 capital ratio | 6.0 | % | 14.7% | 11.5% | |||||||||||||
Total capital ratio | 8.0 | % | 16.7% | 13.5% |
64 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Required Ratio1 | At September 30, 2021 | At December 31, 2020 | |||||||||||||||||
Risk-based capital | ||||||||||||||||||||
Common Equity Tier 1 capital | $ | 75,785 | $ | 78,650 | ||||||||||||||||
Tier 1 capital | 83,435 | 88,079 | ||||||||||||||||||
Total capital | 94,062 | 97,213 | ||||||||||||||||||
Total RWA | 473,020 | 453,106 | ||||||||||||||||||
Common Equity Tier 1 capital ratio | 13.2 | % | 16.0 | % | 17.4 | % | ||||||||||||||
Tier 1 capital ratio | 14.7 | % | 17.6 | % | 19.4 | % | ||||||||||||||
Total capital ratio | 16.7 | % | 19.9 | % | 21.5 | % | ||||||||||||||
$ in millions | Required Ratio1 | At September 30, 2021 | At December 31, 2020 | |||||||||||||||||
Leverage-based capital | ||||||||||||||||||||
Adjusted average assets2 | $ | 1,145,682 | $ | 1,053,510 | ||||||||||||||||
Tier 1 leverage ratio | 4.0 | % | 7.3 | % | 8.4 | % | ||||||||||||||
Supplementary leverage exposure3,4 | $ | 1,459,466 | $ | 1,192,506 | ||||||||||||||||
SLR4 | 5.0 | % | 5.7 | % | 7.4 | % |
At September 30, 2020 | |||||||
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common Equity Tier 1 capital | 10.0 | % | $ | 71,157 | 16.9 | % | |
Tier 1 capital | 11.5 | % | 79,905 | 19.0 | % | ||
Total capital | 13.5 | % | 89,763 | 21.4 | % | ||
Total RWA | 420,081 |
$ in millions | Required Ratio1 | At September 30, 2020 | ||||
Leverage-based capital | ||||||
Adjusted average assets2 | $ | 962,435 | ||||
Tier 1 leverage ratio | 4.0 | % | 8.3 | % | ||
Supplementary leverage exposure3,4 | $ | 1,084,348 | ||||
SLR3 | 5.0 | % | 7.4 | % |
At December 31, 2019 | |||||||
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common Equity Tier 1 capital | 10.0 | % | $ | 64,751 | 16.4 | % | |
Tier 1 capital | 11.5 | % | 73,443 | 18.6 | % | ||
Total capital | 13.5 | % | 82,708 | 21.0 | % | ||
Total RWA | 394,177 |
$ in millions | Required Ratio1 | At December 31, 2019 | ||||
Leverage-based capital | ||||||
Adjusted average assets2 | $ | 889,195 | ||||
Tier 1 leverage ratio | 4.0 | % | 8.3 | % | ||
Supplementary leverage exposure3,4 | $ | 1,155,177 | ||||
SLR3 | 5.0 | % | 6.4 | % |
At September 30, 2020 | |||||||||
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based capital | |||||||||
Common Equity Tier 1 capital | 6.5 | % | 7.0 | % | $ | 17,764 | 19.7 | % | |
Tier 1 capital | 8.0 | % | 8.5 | % | 17,764 | 19.7 | % | ||
Total capital | 10.0 | % | 10.5 | % | 18,442 | 20.4 | % | ||
Leverage-based capital | |||||||||
Tier 1 leverage | 5.0 | % | 4.0 | % | $ | 17,764 | 10.7 | % | |
SLR | 6.0 | % | 3.0 | % | 17,764 | 8.5 | % |
At December 31, 2019 | |||||||||
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based capital | |||||||||
Common Equity Tier 1 capital | 6.5 | % | 7.0 | % | $ | 15,919 | 18.5 | % | |
Tier 1 capital | 8.0 | % | 8.5 | % | 15,919 | 18.5 | % | ||
Total capital | 10.0 | % | 10.5 | % | 16,282 | 18.9 | % | ||
Leverage-based capital | |||||||||
Tier 1 leverage | 5.0 | % | 4.0 | % | $ | 15,919 | 11.3 | % | |
SLR | 6.0 | % | 3.0 | % | 15,919 | 8.7 | % |
At September 30, 2021 | At December 31, 2020 | |||||||||||||||||||
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | Amount | Ratio | ||||||||||||||
Risk-based capital | ||||||||||||||||||||
Common Equity Tier 1 capital | 6.5 | % | 7.0 | % | $ | 18,562 | 20.8 | % | $ | 17,238 | 18.7 | % | ||||||||
Tier 1 capital | 8.0 | % | 8.5 | % | 18,562 | 20.8 | % | 17,238 | 18.7 | % | ||||||||||
Total capital | 10.0 | % | 10.5 | % | 19,149 | 21.4 | % | 17,882 | 19.4 | % | ||||||||||
Leverage-based capital | ||||||||||||||||||||
Tier 1 leverage | 5.0 | % | 4.0 | % | $ | 18,562 | 10.2 | % | $ | 17,238 | 10.1 | % | ||||||||
SLR | 6.0 | % | 3.0 | % | 18,562 | 8.1 | % | 17,238 | 8.0 | % |
At September 30, 2021 | At December 31, 2020 | |||||||||||||||||||
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | Amount | Ratio | ||||||||||||||
Risk-based capital | ||||||||||||||||||||
Common Equity Tier 1 capital | 6.5 | % | 7.0 | % | $ | 9,972 | 24.9 | % | $ | 8,213 | 21.3 | % | ||||||||
Tier 1 capital | 8.0 | % | 8.5 | % | 9,972 | 24.9 | % | 8,213 | 21.3 | % | ||||||||||
Total capital | 10.0 | % | 10.5 | % | 10,045 | 25.1 | % | 8,287 | 21.5 | % | ||||||||||
Leverage-based capital | ||||||||||||||||||||
Tier 1 leverage | 5.0 | % | 4.0 | % | $ | 9,972 | 7.1 | % | $ | 8,213 | 7.2 | % | ||||||||
SLR | 6.0 | % | 3.0 | % | 9,972 | 6.9 | % | 8,213 | 6.9 | % |
At September 30, 2020 | |||||||||
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based capital | |||||||||
Common Equity Tier 1 capital | 6.5 | % | 7.0 | % | $ | 8,528 | 23.4 | % | |
Tier 1 capital | 8.0 | % | 8.5 | % | 8,528 | 23.4 | % | ||
Total capital | 10.0 | % | 10.5 | % | 8,611 | 23.6 | % | ||
Leverage-based capital | |||||||||
Tier 1 leverage | 5.0 | % | 4.0 | % | $ | 8,528 | 8.2 | % | |
SLR | 6.0 | % | 3.0 | % | 8,528 | 7.8 | % |
At December 31, 2019 | |||||||||
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based capital | |||||||||
Common Equity Tier 1 capital | 6.5 | % | 7.0 | % | $ | 7,962 | 24.8 | % | |
Tier 1 capital | 8.0 | % | 8.5 | % | 7,962 | 24.8 | % | ||
Total capital | 10.0 | % | 10.5 | % | 8,016 | 25.0 | % | ||
Leverage-based capital | |||||||||
Tier 1 leverage | 5.0 | % | 4.0 | % | $ | 7,962 | 9.9 | % | |
SLR | 6.0 | % | 3.0 | % | 7,962 | 9.4 | % |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Net capital | $ | 14,183 | $ | 13,708 | ||
Excess net capital | 10,217 | 10,686 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Net capital | $ | 15,922 | $ | 12,869 | ||||
Excess net capital | 12,043 | 9,034 |
65 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Net capital | $ | 2,758 | $ | 3,387 | ||
Excess net capital | 2,581 | 3,238 |
Shares Outstanding | Carrying Value | |||||||||||||
$ in millions, except per share data | At September 30, 2021 | Liquidation Preference per Share | At September 30, 2021 | At December 31, 2020 | ||||||||||
Series | ||||||||||||||
A | 44,000 | $ | 25,000 | $ | 1,100 | $ | 1,100 | |||||||
C1 | 519,882 | 1,000 | 408 | 408 | ||||||||||
E | 34,500 | 25,000 | 862 | 862 | ||||||||||
F | 34,000 | 25,000 | 850 | 850 | ||||||||||
H | 52,000 | 25,000 | 1,300 | 1,300 | ||||||||||
I | 40,000 | 25,000 | 1,000 | 1,000 | ||||||||||
J2 | — | — | — | 1,500 | ||||||||||
K | 40,000 | 25,000 | 1,000 | 1,000 | ||||||||||
L | 20,000 | 25,000 | 500 | 500 | ||||||||||
M | 400,000 | 1,000 | 430 | 430 | ||||||||||
N | 3,000 | 100,000 | 300 | 300 | ||||||||||
Total | $ | 7,750 | $ | 9,250 | ||||||||||
Shares authorized | 30,000,000 |
Shares Outstanding | Carrying Value | ||||||||||
$ in millions, except per share data | At September 30, 2020 | Liquidation Preference per Share | At September 30, 2020 | At December 31, 2019 | |||||||
Series | |||||||||||
A | 44,000 | $ | 25,000 | $ | 1,100 | $ | 1,100 | ||||
C1 | 519,882 | 1,000 | 408 | 408 | |||||||
E | 34,500 | 25,000 | 862 | 862 | |||||||
F | 34,000 | 25,000 | 850 | 850 | |||||||
H | 52,000 | 25,000 | 1,300 | 1,300 | |||||||
I | 40,000 | 25,000 | 1,000 | 1,000 | |||||||
J | 60,000 | 25,000 | 1,500 | 1,500 | |||||||
K | 40,000 | 25,000 | 1,000 | 1,000 | |||||||
L | 20,000 | 25,000 | 500 | 500 | |||||||
Total | $ | 8,520 | $ | 8,520 | |||||||
Shares authorized | 30,000,000 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Repurchases of common stock under the Firm’s Share Repurchase Program | $ | 3,557 | $ | — | $ | 8,631 | $ | 1,347 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||
in millions | 2020 | 2019 | 2020 | 2019 | ||||
Weighted average common shares outstanding, basic | 1,542 | 1,604 | 1,546 | 1,632 | ||||
Effect of dilutive Stock options, RSUs and PSUs | 24 | 23 | 19 | 21 | ||||
Weighted average common shares outstanding and common stock equivalents, diluted | 1,566 | 1,627 | 1,565 | 1,653 | ||||
Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS) | 0 | 0 | 7 | 2 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Weighted average common shares outstanding, basic | 1,781 | 1,542 | 1,797 | 1,546 | ||||||||||
Effect of dilutive Stock options, RSUs and PSUs | 31 | 24 | 27 | 19 | ||||||||||
Weighted average common shares outstanding and common stock equivalents, diluted | 1,812 | 1,566 | 1,824 | 1,565 | ||||||||||
Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS) | — | — | — | 7 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Repurchases of common stock under the Firm's Share Repurchase Program | $ | 0 | $ | 1,500 | $ | 1,347 | $ | 3,860 |
$ in millions, except per share data | Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | ||||||||||
Per Share1 | Total | Per Share1 | Total | |||||||||
Preferred Stock Series | ||||||||||||
A | $ | 256 | $ | 11 | $ | 256 | $ | 11 | ||||
C | 25 | 13 | 25 | 13 | ||||||||
E | 445 | 15 | 445 | 15 | ||||||||
F | 430 | 15 | 430 | 15 | ||||||||
G2 | 0 | 0 | 414 | 8 | ||||||||
H3 | 248 | 13 | 378 | 20 | ||||||||
I | 398 | 16 | 398 | 16 | ||||||||
J4 | 261 | 16 | 0 | 0 | ||||||||
K | 366 | 15 | 366 | 15 | ||||||||
L | 305 | 6 | 0 | 0 | ||||||||
Total Preferred stock | $ | 120 | $ | 113 | ||||||||
Common stock | 0.35 | $ | 551 | $ | 0.35 | $ | 577 |
September |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions, except per share data | Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | $ in millions, except per share data | Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||||||||||||||||
Per Share1 | Total | Per Share1 | Total | Per Share1 | Total | Per Share1 | Total | |||||||||||||||||||
Preferred Stock Series | ||||||||||||||||||||||||||
Preferred stock series | Preferred stock series | |||||||||||||||||||||||||
A | $ | 761 | $ | 33 | $ | 758 | $ | 33 | A | $ | 256 | $ | 11 | $ | 256 | $ | 11 | |||||||||
C | 75 | 39 | 75 | 39 | C | 25 | 13 | 25 | 13 | |||||||||||||||||
E | 1,336 | 45 | 1,336 | 45 | E | 445 | 15 | 445 | 15 | |||||||||||||||||
F | 1,289 | 44 | 1,289 | 45 | F | 430 | 15 | 430 | 15 | |||||||||||||||||
G2 | 0 | 0 | 1,242 | 24 | ||||||||||||||||||||||
H3 | 897 | 47 | 1,059 | 55 | ||||||||||||||||||||||
H | H | 239 | 12 | 248 | 13 | |||||||||||||||||||||
I | 1,195 | 48 | 1,195 | 48 | I | 398 | 16 | 398 | 16 | |||||||||||||||||
J4 | 955 | 58 | 694 | 42 | ||||||||||||||||||||||
J2 | J2 | — | — | 261 | 16 | |||||||||||||||||||||
K | 1,097 | 45 | 1,097 | 45 | K | 366 | 15 | 366 | 15 | |||||||||||||||||
L | 914 | 18 | 0 | 0 | L | 305 | 6 | 305 | 6 | |||||||||||||||||
M3 | M3 | 29 | 12 | — | — | |||||||||||||||||||||
N4 | N4 | 2,650 | 8 | — | — | |||||||||||||||||||||
Total Preferred stock | $ | 377 | $ | 376 | Total Preferred stock | $ | 123 | $ | 120 | |||||||||||||||||
Common stock | 1.05 | $ | 1,662 | $ | 0.95 | $ | 1,594 | Common stock | 0.70 | $ | 1,276 | $ | 0.35 | $ | 551 |
$ in millions, except per share data | Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | ||||||||||||
Per Share1 | Total | Per Share1 | Total | |||||||||||
Preferred stock series | ||||||||||||||
A | $ | 758 | $ | 33 | $ | 761 | $ | 33 | ||||||
C | 75 | 39 | 75 | 39 | ||||||||||
E | 1,336 | 45 | 1,336 | 45 | ||||||||||
F | 1,289 | 44 | 1,289 | 44 | ||||||||||
H | 719 | 37 | 897 | 47 | ||||||||||
I | 1,195 | 48 | 1,195 | 48 | ||||||||||
J2 | 253 | 15 | 955 | 58 | ||||||||||
K | 1,097 | 45 | 1,097 | 45 | ||||||||||
L | 914 | 18 | 914 | 18 | ||||||||||
M3 | 59 | 24 | — | — | ||||||||||
N4 | 5,300 | 16 | — | — | ||||||||||
Total Preferred stock | $ | 364 | $ | 377 | ||||||||||
Common stock | $ | 1.40 | $ | 2,562 | $ | 1.05 | $ | 1,662 |
1.Common and Preferred Stock dividends are payable quarterly, unless otherwise noted. 2.Series J was payable semiannually until July 15, 2020, after which it was payable quarterly until its redemption. 3.Series M is payable semiannually until September 15, 2026, and thereafter will be payable quarterly. 4.Series N is payable semiannually until March 15, 2023, and thereafter will be payable quarterly. |
Nine Months Ended | |||
$ in millions | September 30, 2020 | ||
Financial Instruments—Credit Losses | $ | (100 | ) |
Nine Months Ended | |||
$ in millions | September 30, 2019 | ||
Leases | $ | 63 |
$ in millions | CTA | AFS Securities | Pension and Other | DVA | Total | ||||||||||||
June 30, 2021 | $ | (895) | $ | 1,004 | $ | (481) | $ | (2,151) | $ | (2,523) | |||||||
OCI during the period | (65) | (256) | 5 | 138 | (178) | ||||||||||||
September 30, 2021 | $ | (960) | $ | 748 | $ | (476) | $ | (2,013) | $ | (2,701) | |||||||
June 30, 2020 | $ | (1,017) | $ | 1,827 | $ | (620) | $ | (189) | $ | 1 | |||||||
OCI during the period | 81 | (62) | 5 | (562) | (538) | ||||||||||||
September 30, 2020 | $ | (936) | $ | 1,765 | $ | (615) | $ | (751) | $ | (537) | |||||||
December 31, 2020 | $ | (795) | $ | 1,787 | $ | (498) | $ | (2,456) | $ | (1,962) | |||||||
OCI during the period | (165) | (1,039) | 22 | 443 | (739) | ||||||||||||
September 30, 2021 | $ | (960) | $ | 748 | $ | (476) | $ | (2,013) | $ | (2,701) | |||||||
December 31, 2019 | $ | (897) | $ | 207 | $ | (644) | $ | (1,454) | $ | (2,788) | |||||||
OCI during the period | (39) | 1,558 | 29 | 703 | 2,251 | ||||||||||||
September 30, 2020 | $ | (936) | $ | 1,765 | $ | (615) | $ | (751) | $ | (537) |
$ in millions | CTA | AFS Securities | Pension, Postretirement and Other | DVA | Total | ||||||||||
June 30, 2020 | $ | (1,017 | ) | $ | 1,827 | $ | (620 | ) | $ | (189 | ) | $ | 1 | ||
OCI during the period | 81 | (62 | ) | 5 | (562 | ) | (538 | ) | |||||||
September 30, 2020 | $ | (936 | ) | $ | 1,765 | $ | (615 | ) | $ | (751 | ) | $ | (537 | ) | |
June 30, 2019 | $ | (865 | ) | $ | 108 | $ | (574 | ) | $ | (720 | ) | $ | (2,051 | ) | |
OCI during the period | (96 | ) | 214 | 3 | 332 | 453 | |||||||||
September 30, 2019 | $ | (961 | ) | $ | 322 | $ | (571 | ) | $ | (388 | ) | $ | (1,598 | ) | |
December 31, 2019 | $ | (897 | ) | $ | 207 | $ | (644 | ) | $ | (1,454 | ) | $ | (2,788 | ) | |
OCI during the period | (39 | ) | 1,558 | 29 | 703 | 2,251 | |||||||||
September 30, 2020 | $ | (936 | ) | $ | 1,765 | $ | (615 | ) | $ | (751 | ) | $ | (537 | ) | |
December 31, 2018 | $ | (889 | ) | $ | (930 | ) | $ | (578 | ) | $ | 105 | $ | (2,292 | ) | |
OCI during the period | (72 | ) | 1,252 | 7 | (493 | ) | 694 | ||||||||
September 30, 2019 | $ | (961 | ) | $ | 322 | $ | (571 | ) | $ | (388 | ) | $ | (1,598 | ) |
Three Months Ended September 30, 2021 | |||||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||||
CTA | |||||||||||||||||
OCI activity | $ | (14) | $ | (64) | $ | (78) | $ | (13) | $ | (65) | |||||||
Reclassified to earnings | — | — | — | — | — | ||||||||||||
Net OCI | $ | (14) | $ | (64) | $ | (78) | $ | (13) | $ | (65) | |||||||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||||
OCI activity | $ | (317) | $ | 74 | $ | (243) | $ | — | $ | (243) | |||||||
Reclassified to earnings | (17) | 4 | (13) | — | (13) | ||||||||||||
Net OCI | $ | (334) | $ | 78 | $ | (256) | $ | — | $ | (256) | |||||||
Pension and other | |||||||||||||||||
OCI activity | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
Reclassified to earnings | 7 | (2) | 5 | — | 5 | ||||||||||||
Net OCI | $ | 7 | $ | (2) | $ | 5 | $ | — | $ | 5 | |||||||
Change in net DVA | |||||||||||||||||
OCI activity | $ | 187 | $ | (46) | $ | 141 | $ | 9 | $ | 132 | |||||||
Reclassified to earnings | 9 | (3) | 6 | — | 6 | ||||||||||||
Net OCI | $ | 196 | $ | (49) | $ | 147 | $ | 9 | $ | 138 |
Three Months Ended September 30, 2020 | |||||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||||
CTA | |||||||||||||||||
OCI activity | $ | 34 | $ | 76 | $ | 110 | $ | 29 | $ | 81 | |||||||
Reclassified to earnings | — | — | — | — | — | ||||||||||||
Net OCI | $ | 34 | $ | 76 | $ | 110 | $ | 29 | $ | 81 | |||||||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||||
OCI activity | $ | (26) | $ | 6 | $ | (20) | $ | — | $ | (20) | |||||||
Reclassified to earnings | (55) | 13 | (42) | — | (42) | ||||||||||||
Net OCI | $ | (81) | $ | 19 | $ | (62) | $ | — | $ | (62) | |||||||
Pension and other | |||||||||||||||||
OCI activity | $ | (1) | $ | 1 | $ | — | $ | — | $ | — | |||||||
Reclassified to earnings | 6 | (1) | 5 | — | 5 | ||||||||||||
Net OCI | $ | 5 | $ | — | $ | 5 | $ | — | $ | 5 | |||||||
Change in net DVA | |||||||||||||||||
OCI activity | $ | (747) | $ | 178 | $ | (569) | $ | (1) | $ | (568) | |||||||
Reclassified to earnings | 8 | (2) | 6 | — | 6 | ||||||||||||
Net OCI | $ | (739) | $ | 176 | $ | (563) | $ | (1) | $ | (562) |
Nine Months Ended September 30, 2021 | |||||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||||
CTA | |||||||||||||||||
OCI activity | $ | (106) | $ | (150) | $ | (256) | $ | (91) | $ | (165) | |||||||
Reclassified to earnings | — | — | — | — | — | ||||||||||||
Net OCI | $ | (106) | $ | (150) | $ | (256) | $ | (91) | $ | (165) | |||||||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||||
OCI activity | $ | (1,146) | $ | 267 | $ | (879) | $ | — | $ | (879) | |||||||
Reclassified to earnings | (209) | 49 | (160) | — | (160) | ||||||||||||
Net OCI | $ | (1,355) | $ | 316 | $ | (1,039) | $ | — | $ | (1,039) | |||||||
Pension and other | |||||||||||||||||
OCI activity | $ | 8 | $ | — | $ | 8 | $ | — | $ | 8 | |||||||
Reclassified to earnings | 21 | (7) | 14 | — | 14 | ||||||||||||
Net OCI | $ | 29 | $ | (7) | $ | 22 | $ | — | $ | 22 | |||||||
Change in net DVA | |||||||||||||||||
OCI activity | $ | 591 | $ | (148) | $ | 443 | $ | 27 | $ | 416 | |||||||
Reclassified to earnings | 36 | (9) | 27 | — | 27 | ||||||||||||
Net OCI | $ | 627 | $ | (157) | $ | 470 | $ | 27 | $ | 443 |
Three Months Ended September 30, 2020 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | 34 | $ | 76 | $ | 110 | $ | 29 | $ | 81 | |||||
Reclassified to earnings | 0 | 0 | 0 | 0 | 0 | ||||||||||
Net OCI | $ | 34 | $ | 76 | $ | 110 | $ | 29 | $ | 81 | |||||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | (26 | ) | $ | 6 | $ | (20 | ) | $ | 0 | $ | (20 | ) | ||
Reclassified to earnings | (55 | ) | 13 | (42 | ) | 0 | (42 | ) | |||||||
Net OCI | $ | (81 | ) | $ | 19 | $ | (62 | ) | $ | 0 | $ | (62 | ) | ||
Pension, postretirement and other | |||||||||||||||
OCI activity | $ | (1 | ) | $ | 1 | $ | 0 | $ | 0 | $ | 0 | ||||
Reclassified to earnings | 6 | (1 | ) | 5 | 0 | 5 | |||||||||
Net OCI | $ | 5 | $ | 0 | $ | 5 | $ | 0 | $ | 5 | |||||
Change in net DVA | |||||||||||||||
OCI activity | $ | (747 | ) | $ | 178 | $ | (569 | ) | $ | (1 | ) | $ | (568 | ) | |
Reclassified to earnings | 8 | (2 | ) | 6 | 0 | 6 | |||||||||
Net OCI | $ | (739 | ) | $ | 176 | $ | (563 | ) | $ | (1 | ) | $ | (562 | ) |
Three Months Ended September 30, 2019 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | (26 | ) | $ | (73 | ) | $ | (99 | ) | $ | (3 | ) | $ | (96 | ) |
Reclassified to earnings | 0 | 0 | 0 | 0 | 0 | ||||||||||
Net OCI | $ | (26 | ) | $ | (73 | ) | $ | (99 | ) | $ | (3 | ) | $ | (96 | ) |
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | 307 | $ | (73 | ) | $ | 234 | $ | 0 | $ | 234 | ||||
Reclassified to earnings | (26 | ) | 6 | (20 | ) | 0 | (20 | ) | |||||||
Net OCI | $ | 281 | $ | (67 | ) | $ | 214 | $ | 0 | $ | 214 | ||||
Pension, postretirement and other | |||||||||||||||
OCI activity | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||
Reclassified to earnings | 4 | (1 | ) | 3 | 0 | 3 | |||||||||
Net OCI | $ | 4 | $ | (1 | ) | $ | 3 | $ | 0 | $ | 3 | ||||
Change in net DVA | |||||||||||||||
OCI activity | $ | 441 | $ | (106 | ) | $ | 335 | $ | 5 | $ | 330 | ||||
Reclassified to earnings | 2 | 0 | 2 | 0 | 2 | ||||||||||
Net OCI | $ | 443 | $ | (106 | ) | $ | 337 | $ | 5 | $ | 332 |
September |
Notes to Consolidated Financial Statements (Unaudited) |
Nine Months Ended September 30, 2020 | |||||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||||
CTA | |||||||||||||||||
OCI activity | $ | 19 | $ | (17) | $ | 2 | $ | 38 | $ | (36) | |||||||
Reclassified to earnings | (3) | — | (3) | — | (3) | ||||||||||||
Net OCI | $ | 16 | $ | (17) | $ | (1) | $ | 38 | $ | (39) | |||||||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||||
OCI activity | $ | 2,142 | $ | (503) | $ | 1,639 | $ | — | $ | 1,639 | |||||||
Reclassified to earnings | (106) | 25 | (81) | — | (81) | ||||||||||||
Net OCI | $ | 2,036 | $ | (478) | $ | 1,558 | $ | — | $ | 1,558 | |||||||
Pension and other | |||||||||||||||||
OCI activity | $ | 20 | $ | (4) | $ | 16 | $ | — | $ | 16 | |||||||
Reclassified to earnings | 16 | (3) | 13 | — | 13 | ||||||||||||
Net OCI | $ | 36 | $ | (7) | $ | 29 | $ | — | $ | 29 | |||||||
Change in net DVA | |||||||||||||||||
OCI activity | $ | 967 | $ | (233) | $ | 734 | $ | 41 | $ | 693 | |||||||
Reclassified to earnings | 14 | (4) | 10 | — | 10 | ||||||||||||
Net OCI | $ | 981 | $ | (237) | $ | 744 | $ | 41 | $ | 703 |
Nine Months Ended September 30, 2020 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | 19 | $ | (17 | ) | $ | 2 | $ | 38 | $ | (36 | ) | |||
Reclassified to earnings | (3 | ) | 0 | (3 | ) | 0 | (3 | ) | |||||||
Net OCI | $ | 16 | $ | (17 | ) | $ | (1 | ) | $ | 38 | $ | (39 | ) | ||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | 2,142 | $ | (503 | ) | $ | 1,639 | $ | 0 | $ | 1,639 | ||||
Reclassified to earnings | (106 | ) | 25 | (81 | ) | 0 | (81 | ) | |||||||
Net OCI | $ | 2,036 | $ | (478 | ) | $ | 1,558 | $ | 0 | $ | 1,558 | ||||
Pension, postretirement and other | |||||||||||||||
OCI activity | $ | 20 | $ | (4 | ) | $ | 16 | $ | 0 | $ | 16 | ||||
Reclassified to earnings | 16 | (3 | ) | 13 | 0 | 13 | |||||||||
Net OCI | $ | 36 | $ | (7 | ) | $ | 29 | $ | 0 | $ | 29 | ||||
Change in net DVA | |||||||||||||||
OCI activity | $ | 967 | $ | (233 | ) | $ | 734 | $ | 41 | $ | 693 | ||||
Reclassified to earnings | 14 | (4 | ) | 10 | 0 | 10 | |||||||||
Net OCI | $ | 981 | $ | (237 | ) | $ | 744 | $ | 41 | $ | 703 |
Nine Months Ended September 30, 2019 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | 2 | $ | (58 | ) | $ | (56 | ) | $ | 16 | $ | (72 | ) | ||
Reclassified to earnings | 0 | 0 | 0 | 0 | 0 | ||||||||||
Net OCI | $ | 2 | $ | (58 | ) | $ | (56 | ) | $ | 16 | $ | (72 | ) | ||
Change in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | 1,726 | $ | (406 | ) | $ | 1,320 | $ | 0 | $ | 1,320 | ||||
Reclassified to earnings | (89 | ) | 21 | (68 | ) | 0 | (68 | ) | |||||||
Net OCI | $ | 1,637 | $ | (385 | ) | $ | 1,252 | $ | 0 | $ | 1,252 | ||||
Pension, postretirement and other | |||||||||||||||
OCI activity | $ | 0 | $ | (1 | ) | $ | (1 | ) | $ | 0 | $ | (1 | ) | ||
Reclassified to earnings | 10 | (2 | ) | 8 | 0 | 8 | |||||||||
Net OCI | $ | 10 | $ | (3 | ) | $ | 7 | $ | 0 | $ | 7 | ||||
Change in net DVA | |||||||||||||||
OCI activity | $ | (713 | ) | $ | 177 | $ | (536 | ) | $ | (36 | ) | $ | (500 | ) | |
Reclassified to earnings | 9 | (2 | ) | 7 | 0 | 7 | |||||||||
Net OCI | $ | (704 | ) | $ | 175 | $ | (529 | ) | $ | (36 | ) | $ | (493 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Interest income | ||||||||||||||
Investment securities | $ | 643 | $ | 529 | $ | 2,100 | $ | 1,603 | ||||||
Loans | 1,063 | 967 | 3,091 | 3,171 | ||||||||||
Securities purchased under agreements to resell and Securities borrowed1 | (282) | (187) | (899) | 70 | ||||||||||
Trading assets, net of Trading liabilities | 525 | 537 | 1,521 | 1,902 | ||||||||||
Customer receivables and Other2 | 402 | 210 | 1,187 | 1,171 | ||||||||||
Total interest income | $ | 2,351 | $ | 2,056 | $ | 7,000 | $ | 7,917 | ||||||
Interest expense | ||||||||||||||
Deposits | $ | 102 | $ | 178 | $ | 330 | $ | 804 | ||||||
Borrowings | 597 | 714 | 2,030 | 2,534 | ||||||||||
Securities sold under agreements to repurchase and Securities loaned3 | 131 | 165 | 361 | 883 | ||||||||||
Customer payables and Other4 | (542) | (487) | (1,677) | (746) | ||||||||||
Total interest expense | $ | 288 | $ | 570 | $ | 1,044 | $ | 3,475 | ||||||
Net interest | $ | 2,063 | $ | 1,486 | $ | 5,956 | $ | 4,442 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Interest income | ||||||||||||
Investment securities | $ | 529 | $ | 579 | $ | 1,603 | $ | 1,563 | ||||
Loans | 967 | 1,208 | 3,171 | 3,599 | ||||||||
Securities purchased under agreements to resell and Securities borrowed1 | (187 | ) | 871 | 70 | 2,865 | |||||||
Trading assets, net of Trading liabilities | 537 | 728 | 1,902 | 2,188 | ||||||||
Customer receivables and Other2 | 210 | 964 | 1,171 | 2,931 | ||||||||
Total interest income | $ | 2,056 | $ | 4,350 | $ | 7,917 | $ | 13,146 | ||||
Interest expense | ||||||||||||
Deposits | $ | 178 | $ | 505 | $ | 804 | $ | 1,460 | ||||
Borrowings | 714 | 1,219 | 2,534 | 3,941 | ||||||||
Securities sold under agreements to repurchase and Securities loaned3 | 165 | 681 | 883 | 2,016 | ||||||||
Customer payables and Other4 | (487 | ) | 727 | (746 | ) | 2,468 | ||||||
Total interest expense | $ | 570 | $ | 3,132 | $ | 3,475 | $ | 9,885 | ||||
Net interest | $ | 1,486 | $ | 1,218 | $ | 4,442 | $ | 3,261 |
$ in millions | At September 30, 2020 | At December 31, 2019 | $ in millions | At September 30, 2021 | At December 31, 2020 | |||||||||
Customer and other receivables | $ | 2,244 | $ | 1,661 | Customer and other receivables | $ | 2,229 | $ | 1,652 | |||||
Customer and other payables | 2,545 | 2,223 | Customer and other payables | 2,374 | 2,119 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Recurring1 | $ | 0 | $ | 0 | $ | (94 | ) | $ | (127 | ) | ||
Intermittent | (113 | ) | (89 | ) | (10 | ) | (190 | ) |
Three Months Ended September 30, 2020 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | 1,707 | $ | 135 | $ | 0 | $ | (16 | ) | $ | 1,826 | ||||
Trading | 2,807 | 268 | 2 | 15 | 3,092 | ||||||||||
Investments | 87 | 1 | 258 | 0 | 346 | ||||||||||
Commissions and fees1 | 639 | 477 | 1 | (80 | ) | 1,037 | |||||||||
Asset management1 | 114 | 2,793 | 795 | (38 | ) | 3,664 | |||||||||
Other | 114 | 94 | 1 | (3 | ) | 206 | |||||||||
Total non-interest revenues | 5,468 | 3,768 | 1,057 | (122 | ) | 10,171 | |||||||||
Interest income | 1,086 | 1,065 | 7 | (102 | ) | 2,056 | |||||||||
Interest expense | 492 | 176 | 8 | (106 | ) | 570 | |||||||||
Net interest | 594 | 889 | (1 | ) | 4 | 1,486 | |||||||||
Net revenues | $ | 6,062 | $ | 4,657 | $ | 1,056 | $ | (118 | ) | $ | 11,657 | ||||
Income before provision for income taxes | $ | 2,048 | $ | 1,120 | $ | 315 | $ | 4 | $ | 3,487 | |||||
Provision for income taxes | 385 | 278 | 72 | 1 | 736 | ||||||||||
Net income | 1,663 | 842 | 243 | 3 | 2,751 | ||||||||||
Net income applicable to noncontrolling interests | 16 | 0 | 18 | 0 | 34 | ||||||||||
Net income applicable to Morgan Stanley | $ | 1,647 | $ | 842 | $ | 225 | $ | 3 | $ | 2,717 |
Three Months Ended September 30, 2019 | Three Months Ended September 30, 2021 | |||||||||||||||||||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | $ in millions | IS | WM | IM | I/E | Total | |||||||||||||||||||||
Investment banking | $ | 1,535 | $ | 118 | $ | 0 | $ | (18 | ) | $ | 1,635 | Investment banking | $ | 2,849 | $ | 186 | $ | — | $ | (22) | $ | 3,013 | ||||||||||
Trading | 2,533 | 61 | 2 | 12 | 2,608 | Trading | 2,897 | (58) | 1 | 21 | 2,861 | |||||||||||||||||||||
Investments | (18 | ) | 0 | 105 | 0 | 87 | Investments | 52 | 8 | (15) | — | 45 | ||||||||||||||||||||
Commissions and fees1 | 643 | 416 | 1 | (70 | ) | 990 | Commissions and fees1 | 664 | 704 | — | (88) | 1,280 | ||||||||||||||||||||
Asset management1 | 100 | 2,639 | 664 | (40 | ) | 3,363 | ||||||||||||||||||||||||||
Asset management1,2 | Asset management1,2 | 145 | 3,628 | 1,470 | (42) | 5,201 | ||||||||||||||||||||||||||
Other | 51 | 81 | 0 | (1 | ) | 131 | Other | 172 | 119 | — | (1) | 290 | ||||||||||||||||||||
Total non-interest revenues | 4,844 | 3,315 | 772 | (117 | ) | 8,814 | Total non-interest revenues | 6,779 | 4,587 | 1,456 | (132) | 12,690 | ||||||||||||||||||||
Interest income | 3,112 | 1,378 | 4 | (144 | ) | 4,350 | Interest income | 948 | 1,464 | 8 | (69) | 2,351 | ||||||||||||||||||||
Interest expense | 2,933 | 335 | 12 | (148 | ) | 3,132 | Interest expense | 232 | 116 | 11 | (71) | 288 | ||||||||||||||||||||
Net interest | 179 | 1,043 | (8 | ) | 4 | 1,218 | Net interest | 716 | 1,348 | (3) | 2 | 2,063 | ||||||||||||||||||||
Net revenues | $ | 5,023 | $ | 4,358 | $ | 764 | $ | (113 | ) | $ | 10,032 | Net revenues | $ | 7,495 | $ | 5,935 | $ | 1,453 | $ | (130) | $ | 14,753 | ||||||||||
Provision for credit losses | Provision for credit losses | $ | 24 | $ | — | $ | — | $ | — | $ | 24 | |||||||||||||||||||||
Compensation and benefits | Compensation and benefits | 2,248 | 3,159 | 513 | — | 5,920 | ||||||||||||||||||||||||||
Non-compensation expenses | Non-compensation expenses | 2,250 | 1,246 | 570 | (131) | 3,935 | ||||||||||||||||||||||||||
Total non-interest expenses | Total non-interest expenses | $ | 4,498 | $ | 4,405 | $ | 1,083 | $ | (131) | $ | 9,855 | |||||||||||||||||||||
Income before provision for income taxes | $ | 1,307 | $ | 1,238 | $ | 165 | $ | 0 | $ | 2,710 | Income before provision for income taxes | $ | 2,973 | $ | 1,530 | $ | 370 | $ | 1 | $ | 4,874 | |||||||||||
Provision for income taxes | 189 | 276 | 27 | 0 | 492 | Provision for income taxes | 713 | 373 | 64 | — | 1,150 | |||||||||||||||||||||
Net income | 1,118 | 962 | 138 | 0 | 2,218 | Net income | 2,260 | 1,157 | 306 | 1 | 3,724 | |||||||||||||||||||||
Net income applicable to noncontrolling interests | 45 | 0 | 0 | 0 | 45 | Net income applicable to noncontrolling interests | 31 | — | (14) | — | 17 | |||||||||||||||||||||
Net income applicable to Morgan Stanley | $ | 1,073 | $ | 962 | $ | 138 | $ | 0 | $ | 2,173 | Net income applicable to Morgan Stanley | $ | 2,229 | $ | 1,157 | $ | 320 | $ | 1 | $ | 3,707 |
September | 68 |
Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended September 30, 2020 | |||||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||||
Investment banking | $ | 1,707 | $ | 135 | $ | — | $ | (16) | $ | 1,826 | |||||||
Trading3 | 2,865 | 268 | 2 | 15 | 3,150 | ||||||||||||
Investments | 87 | 1 | 258 | — | 346 | ||||||||||||
Commissions and fees1 | 639 | 477 | 1 | (80) | 1,037 | ||||||||||||
Asset management1,2 | 114 | 2,793 | 795 | (38) | 3,664 | ||||||||||||
Other3 | 123 | 91 | 1 | (3) | 212 | ||||||||||||
Total non-interest revenues | 5,535 | 3,765 | 1,057 | (122) | 10,235 | ||||||||||||
Interest income | 1,086 | 1,065 | 7 | (102) | 2,056 | ||||||||||||
Interest expense | 492 | 176 | 8 | (106) | 570 | ||||||||||||
Net interest | 594 | 889 | (1) | 4 | 1,486 | ||||||||||||
Net revenues3 | $ | 6,129 | $ | 4,654 | $ | 1,056 | $ | (118) | $ | 11,721 | |||||||
Provision for credit losses3 | $ | 113 | $ | (2) | $ | — | $ | — | $ | 111 | |||||||
Compensation and benefits | 2,001 | 2,684 | 401 | — | 5,086 | ||||||||||||
Non-compensation expenses3 | 1,967 | 852 | 340 | (122) | 3,037 | ||||||||||||
Total non-interest expenses3 | $ | 3,968 | $ | 3,536 | $ | 741 | $ | (122) | $ | 8,123 | |||||||
Income before provision for income taxes | $ | 2,048 | $ | 1,120 | $ | 315 | $ | 4 | $ | 3,487 | |||||||
Provision for income taxes | 385 | 278 | 72 | 1 | 736 | ||||||||||||
Net income | 1,663 | 842 | 243 | 3 | 2,751 | ||||||||||||
Net income applicable to noncontrolling interests | 16 | — | 18 | — | 34 | ||||||||||||
Net income applicable to Morgan Stanley | $ | 1,647 | $ | 842 | $ | 225 | $ | 3 | $ | 2,717 |
Nine Months Ended September 30, 2021 | |||||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||||
Investment banking | $ | 7,838 | $ | 640 | $ | — | $ | (65) | $ | 8,413 | |||||||
Trading | 10,048 | 323 | (18) | 63 | 10,416 | ||||||||||||
Investments | 199 | 24 | 521 | — | 744 | ||||||||||||
Commissions and fees1 | 2,216 | 2,269 | 1 | (272) | 4,214 | ||||||||||||
Asset management1,2 | 432 | 10,266 | 3,991 | (117) | 14,572 | ||||||||||||
Other | 467 | 479 | (23) | (7) | 916 | ||||||||||||
Total non-interest revenues | 21,200 | 14,001 | 4,472 | (398) | 39,275 | ||||||||||||
Interest income | 2,791 | 4,316 | 26 | (133) | 7,000 | ||||||||||||
Interest expense | 827 | 328 | 29 | (140) | 1,044 | ||||||||||||
Net interest | 1,964 | 3,988 | (3) | 7 | 5,956 | ||||||||||||
Net revenues | $ | 23,164 | $ | 17,989 | $ | 4,469 | $ | (391) | $ | 45,231 | |||||||
Provision for credit losses | $ | 1 | $ | (2) | $ | — | $ | — | $ | (1) | |||||||
Compensation and benefits | 7,795 | 9,604 | 1,742 | — | 19,141 | ||||||||||||
Non-compensation expenses | 6,526 | 3,621 | 1,557 | (397) | 11,307 | ||||||||||||
Total non-interest expenses | $ | 14,321 | $ | 13,225 | $ | 3,299 | $ | (397) | $ | 30,448 | |||||||
Income before provision for income taxes | $ | 8,842 | $ | 4,766 | $ | 1,170 | $ | 6 | $ | 14,784 | |||||||
Provision for income taxes | 2,023 | 1,103 | 253 | 1 | 3,380 | ||||||||||||
Net income | 6,819 | 3,663 | 917 | 5 | 11,404 | ||||||||||||
Net income applicable to noncontrolling interests | 85 | — | (19) | — | 66 | ||||||||||||
Net income applicable to Morgan Stanley | $ | 6,734 | $ | 3,663 | $ | 936 | $ | 5 | $ | 11,338 |
Nine Months Ended September 30, 2020 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | 4,902 | $ | 403 | $ | 0 | $ | (66 | ) | $ | 5,239 | ||||
Trading | 10,375 | 413 | (13 | ) | 56 | 10,831 | |||||||||
Investments | 98 | 9 | 552 | 0 | 659 | ||||||||||
Commissions and fees1 | 2,230 | 1,538 | 1 | (270 | ) | 3,499 | |||||||||
Asset management1 | 342 | 7,980 | 2,144 | (120 | ) | 10,346 | |||||||||
Other | (628 | ) | 216 | (39 | ) | (7 | ) | (458 | ) | ||||||
Total non-interest revenues | 17,319 | 10,559 | 2,645 | (407 | ) | 30,116 | |||||||||
Interest income | 4,809 | 3,468 | 22 | (382 | ) | 7,917 | |||||||||
Interest expense | 3,184 | 653 | 33 | (395 | ) | 3,475 | |||||||||
Net interest | 1,625 | 2,815 | (11 | ) | 13 | 4,442 | |||||||||
Net revenues | $ | 18,944 | $ | 13,374 | $ | 2,634 | $ | (394 | ) | $ | 34,558 | ||||
Income before provision for income taxes | $ | 5,991 | $ | 3,317 | $ | 674 | $ | 6 | $ | 9,988 | |||||
Provision for income taxes | 1,326 | 758 | 136 | 1 | 2,221 | ||||||||||
Net income | 4,665 | 2,559 | 538 | 5 | 7,767 | ||||||||||
Net income applicable to noncontrolling interests | 75 | 0 | 81 | 0 | 156 | ||||||||||
Net income applicable to Morgan Stanley | $ | 4,590 | $ | 2,559 | $ | 457 | $ | 5 | $ | 7,611 |
Nine Months Ended September 30, 2019 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | 4,158 | $ | 365 | $ | (1 | ) | $ | (55 | ) | $ | 4,467 | |||
Trading | 8,221 | 525 | (2 | ) | 37 | 8,781 | |||||||||
Investments | 257 | 1 | 543 | 0 | 801 | ||||||||||
Commissions and fees1 | 1,889 | 1,250 | 1 | (205 | ) | 2,935 | |||||||||
Asset management1 | 310 | 7,544 | 1,893 | (115 | ) | 9,632 | |||||||||
Other | 416 | 281 | (6 | ) | (6 | ) | 685 | ||||||||
Total non-interest revenues | 15,251 | 9,966 | 2,428 | (344 | ) | 27,301 | |||||||||
Interest income | 9,457 | 4,139 | 14 | (464 | ) | 13,146 | |||||||||
Interest expense | 9,376 | 950 | 35 | (476 | ) | 9,885 | |||||||||
Net interest | 81 | 3,189 | (21 | ) | 12 | 3,261 | |||||||||
Net revenues | $ | 15,332 | $ | 13,155 | $ | 2,407 | $ | (332 | ) | $ | 30,562 | ||||
Income before provision for income taxes | $ | 4,365 | $ | 3,669 | $ | 538 | $ | (4 | ) | $ | 8,568 | ||||
Provision for income taxes | 703 | 830 | 104 | (1 | ) | 1,636 | |||||||||
Net income | 3,662 | 2,839 | 434 | (3 | ) | 6,932 | |||||||||
Net income applicable to noncontrolling interests | 97 | 0 | 32 | 0 | 129 | ||||||||||
Net income applicable to Morgan Stanley | $ | 3,565 | $ | 2,839 | $ | 402 | $ | (3 | ) | $ | 6,803 |
Nine Months Ended September 30, 2020 | |||||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||||
Investment banking | $ | 4,902 | $ | 403 | $ | — | $ | (66) | $ | 5,239 | |||||||
Trading3 | 10,298 | 413 | (13) | 56 | 10,754 | ||||||||||||
Investments | 98 | 9 | 552 | — | 659 | ||||||||||||
Commissions and fees1 | 2,230 | 1,538 | 1 | (270) | 3,499 | ||||||||||||
Asset management1,2 | 342 | 7,980 | 2,144 | (120) | 10,346 | ||||||||||||
Other3 | 11 | 256 | (39) | (7) | 221 | ||||||||||||
Total non-interest revenues | 17,881 | 10,599 | 2,645 | (407) | 30,718 | ||||||||||||
Interest income | 4,809 | 3,468 | 22 | (382) | 7,917 | ||||||||||||
Interest expense | 3,184 | 653 | 33 | (395) | 3,475 | ||||||||||||
Net interest | 1,625 | 2,815 | (11) | 13 | 4,442 | ||||||||||||
Net revenues3 | $ | 19,506 | $ | 13,414 | $ | 2,634 | $ | (394) | $ | 35,160 | |||||||
Provision for credit losses3 | $ | 718 | $ | 39 | $ | — | $ | — | $ | 757 | |||||||
Compensation and benefits | 6,767 | 7,625 | 1,012 | — | 15,404 | ||||||||||||
Non-compensation expenses3 | 6,030 | 2,433 | 948 | (400) | 9,011 | ||||||||||||
Total non-interest expenses3 | $ | 12,797 | $ | 10,058 | $ | 1,960 | $ | (400) | $ | 24,415 | |||||||
Income before provision for income taxes | $ | 5,991 | $ | 3,317 | $ | 674 | $ | 6 | $ | 9,988 | |||||||
Provision for income taxes | 1,326 | 758 | 136 | 1 | 2,221 | ||||||||||||
Net income | 4,665 | 2,559 | 538 | 5 | 7,767 | ||||||||||||
Net income applicable to noncontrolling interests | 75 | — | 81 | — | 156 | ||||||||||||
Net income applicable to Morgan Stanley | $ | 4,590 | $ | 2,559 | $ | 457 | $ | 5 | $ | 7,611 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Institutional Securities Advisory | $ | 357 | $ | 550 | $ | 1,181 | $ | 1,462 | ||||
Institutional Securities Underwriting | 1,350 | 985 | 3,721 | 2,696 | ||||||||
Firm Investment banking revenues from contracts with customers | 95 | % | 85 | % | 92 | % | 90 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Institutional Securities Advisory | $ | 1,272 | $ | 357 | $ | 2,416 | $ | 1,181 | ||||||
Institutional Securities Underwriting | 1,577 | 1,350 | 5,422 | 3,721 | ||||||||||
Firm Investment banking revenues from contracts with customers | 91 | % | 95 | % | 91 | % | 92 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Interest rate | $ | (32) | $ | 511 | $ | 844 | $ | 2,593 | ||||||
Foreign exchange | 253 | 138 | 841 | 603 | ||||||||||
Equity security and index2 | 1,903 | 1,478 | 5,631 | 4,494 | ||||||||||
Commodity and other | 538 | 553 | 2,079 | 1,286 | ||||||||||
Credit | 199 | 470 | 1,021 | 1,778 | ||||||||||
Total | $ | 2,861 | $ | 3,150 | $ | 10,416 | $ | 10,754 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Interest rate | $ | 511 | $ | 894 | $ | 2,593 | $ | 2,283 | ||||
Foreign exchange | 138 | 69 | 603 | 383 | ||||||||
Equity security and index1 | 1,478 | 1,076 | 4,494 | 4,005 | ||||||||
Commodity and other | 495 | 300 | 1,363 | 986 | ||||||||
Credit | 470 | 269 | 1,778 | 1,124 | ||||||||
Total | $ | 3,092 | $ | 2,608 | $ | 10,831 | $ | 8,781 |
69 | September 2021 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Net cumulative unrealized performance-based fees at risk of reversing | $ | 761 | $ | 774 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Net cumulative unrealized performance-based income at risk of reversing | $ | 774 | $ | 735 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Fee waivers | $ | 37 | $ | 11 | $ | 70 | $ | 32 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Fee waivers | $ | 139 | $ | 37 | $ | 364 | $ | 70 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Transaction taxes | $ | 262 | $ | 194 | $ | 717 | $ | 524 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Americas | $ | 8,387 | $ | 7,489 | $ | 24,798 | $ | 22,336 | ||||
EMEA | 1,473 | 1,409 | 4,670 | 4,687 | ||||||||
Asia | 1,797 | 1,134 | 5,090 | 3,539 | ||||||||
Total | $ | 11,657 | $ | 10,032 | $ | 34,558 | $ | 30,562 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
$ in millions | 2021 | 2020 | 2021 | 2020 | ||||||||||
Americas | $ | 11,255 | $ | 8,455 | $ | 33,331 | $ | 25,293 | ||||||
EMEA | 1,752 | 1,472 | 6,004 | 4,778 | ||||||||||
Asia | 1,746 | 1,794 | 5,896 | 5,089 | ||||||||||
Total | $ | 14,753 | $ | 11,721 | $ | 45,231 | $ | 35,160 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | $ in millions | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||
Non-interest revenues | $ | 556 | $ | 841 | $ | 1,616 | $ | 1,995 | Non-interest revenues | $ | 1,308 | $ | 556 | $ | 1,862 | $ | 1,616 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Customer and other receivables | $ | 2,854 | $ | 2,916 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Customer and other receivables | $ | 3,592 | $ | 3,200 |
$ in millions | At September 30, 2021 | At December 31, 2020 | ||||||
Institutional Securities | $ | 808,252 | $ | 753,322 | ||||
Wealth Management | 364,634 | 355,595 | ||||||
Investment Management | 17,590 | 6,945 | ||||||
Total1 | $ | 1,190,476 | $ | 1,115,862 |
$ in millions | At September 30, 2020 | At December 31, 2019 | ||||
Institutional Securities | $ | 704,323 | $ | 691,201 | ||
Wealth Management | 244,425 | 197,682 | ||||
Investment Management | 7,192 | 6,546 | ||||
Total1 | $ | 955,940 | $ | 895,429 |
September | 70 |
Three Months Ended September 30, | ||||||||||||||||||||
2021 | 2020 | |||||||||||||||||||
$ in millions | Average Daily Balance | Interest | Annualized Average Rate | Average Daily Balance | Interest | Annualized Average Rate | ||||||||||||||
Interest earning assets | ||||||||||||||||||||
Investment securities1 | $ | 179,626 | $ | 643 | 1.4 | % | $ | 133,726 | $ | 529 | 1.6 | % | ||||||||
Loans1 | 170,656 | 1,063 | 2.5 | % | 144,985 | 967 | 2.7 | % | ||||||||||||
Securities purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||||||
U.S. | 154,122 | (177) | (0.5) | % | 123,614 | (99) | (0.3) | % | ||||||||||||
Non-U.S. | 71,266 | (105) | (0.6) | % | 58,567 | (88) | (0.6) | % | ||||||||||||
Trading assets, net of Trading liabilities3: | ||||||||||||||||||||
U.S. | 77,576 | 411 | 2.1 | % | 78,417 | 443 | 2.2 | % | ||||||||||||
Non-U.S. | 22,880 | 114 | 2.0 | % | 21,092 | 94 | 1.8 | % | ||||||||||||
Customer receivables and Other4: | ||||||||||||||||||||
U.S. | 137,525 | 358 | 1.0 | % | 81,908 | 171 | 0.8 | % | ||||||||||||
Non-U.S. | 73,130 | 44 | 0.2 | % | 63,657 | 39 | 0.2 | % | ||||||||||||
Total | $ | 886,781 | $ | 2,351 | 1.1 | % | $ | 705,966 | $ | 2,056 | 1.2 | % | ||||||||
Interest bearing liabilities | ||||||||||||||||||||
Deposits1 | $ | 325,520 | $ | 102 | 0.1 | % | $ | 236,119 | $ | 178 | 0.3 | % | ||||||||
Borrowings1, 5 | 227,880 | 597 | 1.0 | % | 205,166 | 714 | 1.4 | % | ||||||||||||
Securities sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||||||
U.S. | 34,755 | 52 | 0.6 | % | 30,154 | 81 | 1.1 | % | ||||||||||||
Non-U.S. | 35,219 | 79 | 0.9 | % | 28,320 | 84 | 1.2 | % | ||||||||||||
Customer payables and Other7: | ||||||||||||||||||||
U.S. | 129,298 | (431) | (1.3) | % | 119,846 | (399) | (1.3) | % | ||||||||||||
Non-U.S. | 76,248 | (111) | (0.6) | % | 64,524 | (88) | (0.5) | % | ||||||||||||
Total | $ | 828,920 | $ | 288 | 0.1 | % | $ | 684,129 | $ | 570 | 0.3 | % | ||||||||
Net interest income and net interest rate spread | $ | 2,063 | 1.0 | % | $ | 1,486 | 0.9 | % |
Three Months Ended September 30, | ||||||||||||||||
2020 | 2019 | |||||||||||||||
$ in millions | Average Daily Balance | Interest | Annualized Average Rate | Average Daily Balance | Interest | Annualized Average Rate | ||||||||||
Interest earning assets | ||||||||||||||||
Investment securities1 | $ | 133,726 | $ | 529 | 1.6 | % | $ | 104,700 | $ | 579 | 2.2 | % | ||||
Loans1 | 144,985 | 967 | 2.7 | 122,320 | 1,208 | 3.9 | ||||||||||
Securities purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||
U.S. | 123,614 | (99 | ) | (0.3 | ) | 146,578 | 835 | 2.3 | ||||||||
Non-U.S. | 58,567 | (88 | ) | (0.6 | ) | 76,871 | 36 | 0.2 | ||||||||
Trading assets, net of Trading liabilities3: | ||||||||||||||||
U.S. | 78,417 | 443 | 2.2 | 78,169 | 630 | 3.2 | ||||||||||
Non-U.S. | 21,092 | 94 | 1.8 | 17,104 | 98 | 2.3 | ||||||||||
Customer receivables and Other4: | ||||||||||||||||
U.S. | 81,908 | 171 | 0.8 | 62,113 | 703 | 4.5 | ||||||||||
Non-U.S. | 63,657 | 39 | 0.2 | 60,073 | 261 | 1.7 | ||||||||||
Total | $ | 705,966 | $ | 2,056 | 1.2 | % | $ | 667,928 | $ | 4,350 | 2.6 | % | ||||
Interest bearing liabilities | ||||||||||||||||
Deposits1 | $ | 236,119 | $ | 178 | 0.3 | % | $ | 179,715 | $ | 505 | 1.1 | % | ||||
Borrowings1, 5 | 205,166 | 714 | 1.4 | 196,777 | 1,219 | 2.5 | ||||||||||
Securities sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||
U.S. | 30,154 | 81 | 1.1 | 36,335 | 505 | 5.5 | ||||||||||
Non-U.S. | 28,320 | 84 | 1.2 | 30,111 | 176 | 2.3 | ||||||||||
Customer payables and Other7: | ||||||||||||||||
U.S. | 119,846 | (399 | ) | (1.3 | ) | 121,800 | 448 | 1.5 | ||||||||
Non-U.S. | 64,524 | (88 | ) | (0.5 | ) | 65,036 | 279 | 1.7 | ||||||||
Total | $ | 684,129 | $ | 570 | 0.3 | % | $ | 629,774 | $ | 3,132 | 2.0 | % | ||||
Net interest income and net interest rate spread | $ | 1,486 | 0.9 | % | $ | 1,218 | 0.6 | % |
Nine Months Ended September 30, | ||||||||||||||||||||
2021 | 2020 | |||||||||||||||||||
$ in millions | Average Daily Balance | Interest | Annualized Average Rate | Average Daily Balance | Interest | Annualized Average Rate | ||||||||||||||
Interest earning assets | ||||||||||||||||||||
Investment securities1 | $ | 182,804 | $ | 2,100 | 1.5 | % | $ | 122,613 | $ | 1,603 | 1.7 | % | ||||||||
Loans1 | 161,422 | 3,091 | 2.6 | % | 142,261 | 3,171 | 3.0 | % | ||||||||||||
Securities purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||||||
U.S. | 150,985 | (546) | (0.5) | % | 127,868 | 194 | 0.2 | % | ||||||||||||
Non-U.S. | 71,060 | (353) | (0.7) | % | 59,831 | (124) | (0.3) | % | ||||||||||||
Trading assets, net of Trading liabilities3: | ||||||||||||||||||||
U.S. | 76,456 | 1,230 | 2.2 | % | 76,418 | 1,558 | 2.7 | % | ||||||||||||
Non-U.S. | 19,103 | 291 | 2.0 | % | 22,570 | 344 | 2.0 | % | ||||||||||||
Customer receivables and Other4: | ||||||||||||||||||||
U.S. | 135,596 | 1,035 | 1.0 | % | 78,705 | 892 | 1.5 | % | ||||||||||||
Non-U.S. | 74,527 | 152 | 0.3 | % | 61,699 | 279 | 0.6 | % | ||||||||||||
Total | $ | 871,953 | $ | 7,000 | 1.1 | % | $ | 691,965 | $ | 7,917 | 1.5 | % | ||||||||
Interest bearing liabilities | ||||||||||||||||||||
Deposits1 | $ | 322,304 | $ | 330 | 0.1 | % | $ | 223,733 | $ | 804 | 0.5 | % | ||||||||
Borrowings1, 5 | 221,875 | 2,030 | 1.2 | % | 199,855 | 2,534 | 1.7 | % | ||||||||||||
Securities sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||||||
U.S. | 35,335 | 129 | 0.5 | % | 30,315 | 501 | 2.2 | % | ||||||||||||
Non-U.S. | 30,917 | 232 | 1.0 | % | 29,315 | 382 | 1.7 | % | ||||||||||||
Customer payables and Other7: | ||||||||||||||||||||
U.S. | 129,883 | (1,349) | (1.4) | % | 123,662 | (693) | (0.7) | % | ||||||||||||
Non-U.S. | 73,415 | (328) | (0.6) | % | 64,608 | (53) | (0.1) | % | ||||||||||||
Total | $ | 813,729 | $ | 1,044 | 0.2 | % | $ | 671,488 | $ | 3,475 | 0.7 | % | ||||||||
Net interest income and net interest rate spread | $ | 5,956 | 0.9 | % | $ | 4,442 | 0.8 | % |
Nine Months Ended September 30, | ||||||||||||||||
2020 | 2019 | |||||||||||||||
$ in millions | Average Daily Balance | Interest | Annualized Average Rate | Average Daily Balance | Interest | Annualized Average Rate | ||||||||||
Interest earning assets | ||||||||||||||||
Investment securities1 | $ | 122,613 | $ | 1,603 | 1.7 | % | $ | 99,782 | $ | 1,563 | 2.1 | % | ||||
Loans1 | 142,261 | 3,171 | 3.0 | 118,926 | 3,599 | 4.0 | ||||||||||
Securities purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||
U.S. | 127,868 | 194 | 0.2 | 144,686 | 2,774 | 2.6 | ||||||||||
Non-U.S. | 59,831 | (124 | ) | (0.3 | ) | 76,814 | 91 | 0.2 | ||||||||
Trading assets, net of Trading liabilities3: | ||||||||||||||||
U.S. | 76,418 | 1,558 | 2.7 | 77,434 | 1,922 | 3.3 | ||||||||||
Non-U.S. | 22,570 | 344 | 2.0 | 14,362 | 266 | 2.5 | ||||||||||
Customer receivables and Other4: | ||||||||||||||||
U.S. | 78,705 | 892 | 1.5 | 61,479 | 2,110 | 4.6 | ||||||||||
Non-U.S. | 61,699 | 279 | 0.6 | 59,033 | 821 | 1.9 | ||||||||||
Total | $ | 691,965 | $ | 7,917 | 1.5 | % | $ | 652,516 | $ | 13,146 | 2.7 | % | ||||
Interest bearing liabilities | ||||||||||||||||
Deposits1 | $ | 223,733 | $ | 804 | 0.5 | % | $ | 178,894 | $ | 1,460 | 1.1 | % | ||||
Borrowings1, 5 | 199,855 | 2,534 | 1.7 | 192,854 | 3,941 | 2.7 | ||||||||||
Securities sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||
U.S. | 30,315 | 501 | 2.2 | 32,479 | 1,489 | 6.1 | ||||||||||
Non-U.S. | 29,315 | 382 | 1.7 | 31,555 | 527 | 2.2 | ||||||||||
Customer payables and Other7: | ||||||||||||||||
U.S. | 123,662 | (693 | ) | (0.7 | ) | 116,383 | 1,587 | 1.8 | ||||||||
Non-U.S. | 64,608 | (53 | ) | (0.1 | ) | 65,331 | 881 | 1.8 | ||||||||
Total | $ | 671,488 | $ | 3,475 | 0.7 | % | $ | 617,496 | $ | 9,885 | 2.1 | % | ||||
Net interest income and net interest rate spread | $ | 4,442 | 0.8 | % | $ | 3,261 | 0.6 | % |
71 | September |
Annual report on Form 10-K for year ended December 31, | |||||
Allowance for credit losses | |||||
AFS | Available-for-sale | ||||
Accumulated other comprehensive income (loss) | |||||
Assets under management or supervision | |||||
Balance sheets | Consolidated balance sheets | ||||
Bank holding company | |||||
Basis points; one basis point equals 1/100th of 1% | |||||
Cash flow statements | Consolidated cash flow statements | ||||
Comprehensive Capital Analysis and Review | |||||
Countercyclical capital buffer | |||||
Collateralized debt obligation(s), including Collateralized loan obligation(s) | |||||
Credit default swaps | |||||
Current Expected Credit Losses, as calculated under the Financial Instruments—Credit Losses accounting update | |||||
U.S. Commodity Futures Trading Commission | |||||
Collateralized loan obligation(s) | |||||
Commercial mortgage-backed securities | |||||
Collateralized mortgage obligation(s) | |||||
CVA | Credit valuation adjustment | ||||
Debt valuation adjustment | |||||
Earnings before interest, taxes, depreciation and amortization |
ELN | Equity-linked note(s) | ||||
EMEA | Europe, Middle East and Africa | ||||
EPS | Earnings per common share | ||||
Federal Deposit Insurance Corporation | |||||
Federal Family Education Loan Program | |||||
Financial Holding Company | |||||
Fair Isaac Corporation | |||||
Financial statements | Consolidated financial statements | ||||
Global systemically important banks | |||||
High-quality liquid assets | |||||
Intermediate holding company | |||||
Investment Management | |||||
Income statements | Consolidated income statements |
Internal Revenue Service | |||||
Liquidity coverage ratio, as adopted by the U.S. banking agencies | |||||
London Interbank Offered Rate | |||||
Loan-to-value | |||||
Morgan Stanley Bank, N.A. | |||||
Morgan Stanley & Co. LLC | |||||
MSIP | |||||
Morgan Stanley & Co. International plc | |||||
Morgan Stanley Private Bank, National Association | |||||
Morgan Stanley Smith Barney LLC | |||||
Mitsubishi UFJ Financial Group, Inc. | |||||
Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. | |||||
Net asset value | |||||
Non-generally accepted accounting principles | |||||
Net stable funding ratio, as | |||||
Office of the Comptroller of the Currency | |||||
Other comprehensive income (loss) | |||||
Over-the-counter | |||||
PRA | Prudential Regulation Authority | ||||
PSU | Performance-based stock unit | ||||
ROE | Return on average common equity | ||||
Return on average tangible common equity | |||||
Restricted stock unit | |||||
U.S. Securities and Exchange Commission | |||||
Supplementary leverage ratio | |||||
Standard & Poor’s | |||||
Special purpose entity | |||||
Single point of entry | |||||
Troubled debt restructuring | |||||
Total loss-absorbing capacity | |||||
Unpaid principal balance | |||||
United States of America | |||||
U.S. GAAP | Accounting principles generally accepted in the United States of America | ||||
Variable interest entity | |||||
Implied weighted average cost of capital | |||||
Wealth Management |
September |
$ in millions, except per share data | Total Number of Shares Purchased1 | Average Price Paid per Share | Total Shares Purchased as Part of Share Repurchase Program2,3 | Dollar Value of Remaining Authorized Repurchase | ||||||||||
July | 10,456,550 | $ | 93.94 | 10,284,648 | $ | 11,033 | ||||||||
August | 14,721,794 | $ | 100.55 | 14,152,826 | $ | 9,608 | ||||||||
September | 11,343,989 | $ | 102.79 | 11,328,590 | $ | 8,443 | ||||||||
Three Months Ended September 30, 2021 | 36,522,333 | $ | 99.35 | 35,766,064 |
$ in millions, except per share data | Total Number of Shares Purchased1 | Average Price Paid Per Share | Total Shares Purchased as Part of Share Repurchase Program2,3 | Dollar Value of Remaining Authorized Repurchase | ||||||
July | 30,610 | $ | 48.10 | — | $ | — | ||||
August | 560,008 | $ | 48.90 | — | $ | — | ||||
September | 18,360 | $ | 52.08 | — | $ | — | ||||
Total | 608,978 | $ | 48.96 | — |
Exhibit No. | Description | ||||
3.1 | |||||
31.1 | |||||
31.2 | |||||
32.1 | |||||
32.2 | |||||
101 | Interactive Data Files pursuant to Rule 405 of Regulation S-T formatted in Inline eXtensible Business Reporting Language (“Inline XBRL”). | ||||
104 | Cover Page Interactive Data File (formatted in Inline XBRL and contained in Exhibit 101). |
73 | September |
MORGAN STANLEY (Registrant) | |||||
By: | /s/ | ||||
Sharon Yeshaya Executive Vice President and Chief Financial Officer | |||||
By: | /s/ RAJA J. AKRAM | ||||
Raja J. Akram Deputy Chief Financial Officer, Chief Accounting Officer and Controller |
September 2021 Form 10-Q | 74 |