Goldman Sachs Group Inc. owns hundreds of billions of dollars of stocks, bonds and commodities. Add to its portfolio: a 217-foot luxury yacht called Natita.

The story behind the boat begins with a 2014 loan to a prized Goldman client, billionaire Texas oilman William Kallop. It ends with Goldman suing its own client and the U.S. Marshals last month swooping down on a West Palm Beach marina to impound the yacht—which boasts a movie theater, Jacuzzi and helipad.

Goldman’s nautical trophy is a strange but inevitable outcome of Wall Street’s latest gold rush: lending to wealthy clients, the loans backed by everything from Warhols to wine.

These loans, which are growing quickly at firms such as Goldman, Morgan Stanley and UBS Group AG, are an exotic spin on the most basic thing banks do: lending money to people. They have the added benefit of building loyalty among prized, ultrawealthy clientele.

Like any loans, though, they can go bad and leave banks holding assets that aren’t easy to value or sell. Goldman will likely auction Natita, which already has been on the market for almost two years with no takers.