Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2016

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Nonconsolidated Variable Interest Entities

The table below presents information about nonconsolidated VIEs in which the firm holds variable interests.

	As of
$ in millions		September 2016	December 2015
Mortgage-backed
Assets in VIEs		$40,021	$62,672
Carrying value of variable interests — assets		2,340	2,439
Maximum exposure to loss:
Retained interests		1,817	1,115
Purchased interests		523	1,324
Commitments and guarantees		10	40
Derivatives		168	222
Total maximum exposure to loss		2,518	2,701
Corporate CDOs and CLOs
Assets in VIEs		5,071	6,493
Carrying value of variable interests — assets		335	624
Carrying value of variable interests — liabilities		26	29
Maximum exposure to loss:
Retained interests		2	3
Purchased interests		68	106
Commitments and guarantees		1,077	647
Derivatives		1,823	2,633
Loans and investments		38	265
Total maximum exposure to loss		3,008	3,654
Real estate, credit-related and other investing
Assets in VIEs		8,922	9,793
Carrying value of variable interests — assets		2,689	3,557
Carrying value of variable interests — liabilities		3	3
Maximum exposure to loss:
Commitments and guarantees		476	570
Loans and investments		2,689	3,557
Total maximum exposure to loss		3,165	4,127
Other asset-backed
Assets in VIEs		6,522	7,026
Carrying value of variable interests — assets		301	265
Carrying value of variable interests — liabilities		222	145
Maximum exposure to loss:
Retained interests		61	41
Purchased interests		43	98
Commitments and guarantees		500	500
Derivatives		4,056	4,075
Loans and investments		97	—
Total maximum exposure to loss		4,757	4,714
Investments in funds and other
Assets in VIEs		15,474	4,161
Carrying value of variable interests — assets		897	286
Carrying value of variable interests — liabilities		1	—
Maximum exposure to loss:
Commitments and guarantees		553	263
Derivatives		6	6
Loans and investments		898	286
Total maximum exposure to loss		1,457	555
Total nonconsolidated VIEs
Assets in VIEs		76,010	90,145
Carrying value of variable interests — assets		6,562	7,171
Carrying value of variable interests — liabilities		252	177
Maximum exposure to loss:
Retained interests		1,880	1,159
Purchased interests		634	1,528
Commitments and guarantees		2,616	2,020
Derivatives		6,053	6,936
Loans and investments		3,722	4,108
Total maximum exposure to loss		$14,905	$15,751

Consolidated Variable Interest Entities

The table below presents the carrying amount and classification of assets and liabilities in consolidated VIEs.

	As of
$ in millions		September 2016	December 2015
Real estate, credit-related and other investing
Assets
Cash and cash equivalents		$   386	$   374
Cash and securities segregated for regulatory and other
purposes		34	49
Receivables from brokers, dealers and clearing organizations		1	1
Loans receivable		740	1,534
Financial instruments owned, at fair value		1,893	1,585
Other assets		692	456
Total		3,746	3,999
Liabilities
Other secured financings		318	332
Payables to customers and counterparties		1	2
Financial instruments sold, but not yet purchased, at fair value		10	16
Other liabilities and accrued expenses		796	556
Total		1,125	906
CDOs, mortgage-backed and other asset-backed
Assets
Financial instruments owned, at fair value		251	572
Other assets		6	15
Total		257	587
Liabilities
Other secured financings		141	113
Payables to customers and counterparties		—	432
Total		141	545
Principal-protected notes
Assets
Financial instruments owned, at fair value		112	126
Total		112	126
Liabilities
Other secured financings		474	413
Unsecured short-term borrowings		381	416
Unsecured long-term borrowings		353	312
Total		1,208	1,141
Total consolidated VIEs
Assets
Cash and cash equivalents		386	374
Cash and securities segregated for regulatory and other
purposes		34	49
Receivables from brokers, dealers and clearing organizations		1	1
Loans receivable		740	1,534
Financial instruments owned, at fair value		2,256	2,283
Other assets		698	471
Total		4,115	4,712
Liabilities
Other secured financings		933	858
Payables to customers and counterparties		1	434
Financial instruments sold, but not yet purchased, at fair value		10	16
Unsecured short-term borrowings		381	416
Unsecured long-term borrowings		353	312
Other liabilities and accrued expenses		796	556
Total		$2,474	$2,592