Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2019

The table below presents a summary of the nonconsolidated VIEs in which the firm holds variable interests.



	As of

$ in millions		September 2019	December 2018
Total nonconsolidated VIEs
Assets in VIEs		$120,329	$118,186
Carrying value of variable interests — assets		$ 9,320	$ 9,543
Carrying value of variable interests — liabilities		$ 677	$ 478
Maximum exposure to loss:
Retained interests		$ 2,962	$ 3,280
Purchased interests		653	983
Commitments and guarantees		3,364	2,745
Derivatives		9,290	8,975
Loans and investments		5,282	4,728
Total maximum exposure to loss		$ 21,551	$ 20,711

The table below presents information, by principal business activity, for nonconsolidated VIEs included in the summary table above.



	As of

$ in millions		September 2019	December 2018
Mortgage-backed
Assets in VIEs		$67,093	$73,262
Carrying value of variable interests — assets		$ 3,451	$ 4,090
Maximum exposure to loss:
Retained interests		$ 2,859	$ 3,147
Purchased interests		590	941
Commitments and guarantees		47	35
Derivatives		66	77
Total maximum exposure to loss		$ 3,562	$ 4,200
Real estate, credit- and power-related and other investing
Assets in VIEs		$20,517	$18,851
Carrying value of variable interests — assets		$ 3,372	$ 3,601
Carrying value of variable interests — liabilities		$ 5	$ 20
Maximum exposure to loss:
Commitments and guarantees		$ 1,209	$ 1,543
Derivatives		166	113
Loans and investments		3,369	3,572
Total maximum exposure to loss		$ 4,744	$ 5,228
Corporate debt and other asset-backed
Assets in VIEs		$16,215	$15,842
Carrying value of variable interests — assets		$ 2,099	$ 1,563
Carrying value of variable interests — liabilities		$ 672	$ 458
Maximum exposure to loss:
Retained interests		$ 103	$ 133
Purchased interests		63	42
Commitments and guarantees		2,029	1,113
Derivatives		9,055	8,782
Loans and investments		1,515	867
Total maximum exposure to loss		$12,765	$10,937
Investments in funds
Assets in VIEs		$16,504	$10,231
Carrying value of variable interests — assets		$ 398	$ 289
Maximum exposure to loss:
Commitments and guarantees		$ 79	$ 54
Derivatives		3	3
Loans and investments		398	289
Total maximum exposure to loss		$ 480	$ 346

The table below presents a summary of the carrying value and classification of assets and liabilities in consolidated VIEs.



	As of

$ in millions		September 2019	December 2018
Total consolidated VIEs
Assets
Cash and cash equivalents		$ 153	$ 84
Loans receivable		1,383	319
Customer and other receivables		3	2
Financial instruments owned		2,019	2,034
Other assets		1,064	1,261
Total		$4,622	$3,700
Liabilities
Other secured financings		$1,154	$1,204
Customer and other payables		60	–
Financial instruments sold, but not yet purchased		6	20
Unsecured short-term borrowings		40	45
Unsecured long-term borrowings		221	207
Other liabilities		964	1,100
Total		$2,445	$2,576

The table below presents information, by principal business activity, for consolidated VIEs included in the summary table above.



	As of

$ in millions		September 2019	December 2018
Real estate, credit-related and other investing
Assets
Cash and cash equivalents		$ 153	$ 84
Loans receivable		1,383	269
Customer and other receivables		3	–
Financial instruments owned		1,983	1,815
Other assets		1,064	1,258
Total		$4,586	$3,426
Liabilities
Other secured financings		$ 662	$ 596
Customer and other payables		60	–
Financial instruments sold, but not yet purchased		6	20
Other liabilities		964	1,100
Total		$1,692	$1,716
Mortgage-backed and other asset-backed
Assets
Loans receivable		$ –	$ 50
Customer and other receivables		–	2
Financial instruments owned		35	210
Other assets		–	3
Total		$ 35	$ 265
Liabilities
Other secured financings		$ 20	$ 140
Total		$ 20	$ 140
Principal-protected notes
Assets
Financial instruments owned		$ 1	$ 9
Total		$ 1	$ 9
Liabilities
Other secured financings		$ 472	$ 468
Unsecured short-term borrowings		40	45
Unsecured long-term borrowings		221	207
Total		$ 733	$ 720