Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2019

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		2019	2018		2019	2018
Residential mortgages		$ 4,955	$4,004		$10,258	$20,508
Commercial mortgages		5,134	2,883		8,169	7,079
Other financial assets		218	267		564	882
Total financial assets securitized		$10,307	$7,154		$18,991	$28,469
Retained interests cash flows		$ 91	$ 81		$ 267	$ 241

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 2019
U.S. government agency-issued collateralized mortgage obligations	$12,889	$1,321	$ 2
Other residential mortgage-backed	22,101	984	18
Other commercial mortgage-backed	21,450	554	5
Corporate debt and other asset-backed	2,862	103	–
Total	$59,302	$2,962	$25
As of December 2018
U.S. government agency-issued collateralized mortgage obligations	$24,506	$1,758	$29
Other residential mortgage-backed	19,560	941	15
Other commercial mortgage-backed	15,088	448	10
Corporate debt and other asset-backed	3,311	133	3
Total	$62,465	$3,280	$57

In the table above:

•	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 2014 and thereafter.

•	The fair value of retained interests was $2.97 billion as of September 2019 and $3.28 billion as of December 2018.

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

$ in millions		September 2019		December 2018
Fair value of retained interests		$ 2,867		$ 3,151
Weighted average life (years)		5.4		7.2
Constant prepayment rate		14.6%		11.9%
Impact of 10% adverse change		$ ( 25	)	$ (27	)
Impact of 20% adverse change		$ ( 47	)	$ (53	)
Discount rate		4.8%		4.7%
Impact of 10% adverse change		$ ( 49	)	$ (75	)
Impact of 20% adverse change		$ ( 97	)	$ (147	)

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 collateralized mortgage obligations does not include any credit loss. Expected credit loss assumptions are reflected in the discount rate for the remainder of retained interests.