You can see it under his greatcoat, at the center of his chest. Looks like a skinny leather belt. or whenever he’s not wearing body armor.

Here’s a picture with him not in the jacket, with the baldric between the red arrows, going from his epaulet loops to the opposite side, towards his belt.

Originally baldrics were worn to support the weight of swords or big ass daggers (the Roman legionaries had them for the gladius for example.)

Then as we switched to firearms, they were used for their weight- until we found better ways for more casual carry.