Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2023

Transfers and Servicing [Abstract]

Amount of Financial Assets Securitized and Cash Flows Received on Retained Interests

The table below presents the amount of financial assets securitized and the cash flows received on retained interests in securitization entities in which the firm had continuing involvement as of the end of the period.

	Three Months Ended September				Nine Months Ended September
$ in millions	2023		2022		2023		2022
Residential mortgages	$	6,894	$	6,128	$	18,267	$	25,069
Commercial mortgages	1,798		2,306		3,196		13,820
Other financial assets	–		902		996		3,519
Total financial assets securitized	$	8,692	$	9,336	$	22,459	$	42,408
Retained interests cash flows	$	187	$	125	$	407	$	428

Firms Continuing Involvement in Securitization Entities to Which Firm Sold Assets

The table below presents information about nonconsolidated securitization entities to which the firm sold assets and had continuing involvement as of the end of the period.

$ in millions	Outstanding  Principal  Amount		Retained  Interests		Purchased  Interests
As of September 2023
U.S. government agency-issued CMOs	$	34,962	$	2,508	$	–
Other residential mortgage-backed	29,302		1,186		71
Other commercial mortgage-backed	60,304		1,236		62
Corporate debt and other asset-backed	8,044		508		40
Total	$	132,612	$	5,438	$	173
As of December 2022
U.S. government agency-issued CMOs	$	38,617	$	1,835	$	–
Other residential mortgage-backed	27,075		1,461		117
Other commercial mortgage-backed	59,688		1,349		82
Corporate debt and other asset-backed	8,750		398		46
Total	$	134,130	$	5,043	$	245

In the table above:

•CMOs represents collateralized mortgage obligations.

•The outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities and is not representative of the firm’s risk of loss.

•The firm’s risk of loss from retained or purchased interests is limited to the carrying value of these interests.

•Purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests.

•Substantially all of the total outstanding principal amount and total retained interests relate to securitizations during 2018 and thereafter.

•The fair value of retained interests was $5.36 billion as of September 2023 and $5.03 billion as of December 2022.

Weighted Average Key Economic Assumptions Used in Measuring Fair Value of Firm's Retained Interests and Sensitivity of This Fair Value to Immediate Adverse Changes

The table below presents information about the weighted average key economic assumptions used in measuring the fair value of mortgage-backed retained interests.

	As of
	September		December
$ in millions	2023		2022
Fair value of retained interests	$	4,865	$	4,644
Weighted average life (years)	6.3		6.6
Constant prepayment rate	9.3%		7.7%
Impact of 10% adverse change	$	(47)	$	(27)
Impact of 20% adverse change	$	(91)	$	(48)
Discount rate	8.3%		9.5%
Impact of 10% adverse change	$	(135)	$	(138)
Impact of 20% adverse change	$	(265)	$	(266)

In the table above:

•Amounts do not reflect the benefit of other financial instruments that are held to mitigate risks inherent in these retained interests.

•Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear.

•The impact of a change in a particular assumption is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above.

•The constant prepayment rate is included only for positions for which it is a key assumption in the determination of fair value.

•The discount rate for retained interests that relate to U.S. government agency-issued CMOs does not include any credit loss. Expected credit loss assumptions are reflected in the discount rate for the remainder of retained interests.