Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2019

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Nonconsolidated Variable Interest Entities

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

	As of December
$ in millions		2019	2018
Total nonconsolidated VIEs
Assets in VIEs		$128,069	$118,186
Carrying value of variable interests — assets		$    9,526	$    9,543
Carrying value of variable interests — liabilities		$        619	$       478
Maximum exposure to loss:
Retained interests		$    3,372	$    3,280
Purchased interests		901	983
Commitments and guarantees		2,697	2,745
Derivatives		9,010	8,975
Debt and equity		4,806	4,728
Total maximum exposure to loss		$  20,786	$  20,711

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

	As of December
$ in millions		2019	2018
Mortgage-backed
Assets in VIEs		$75,354	$73,262
Carrying value of variable interests — assets		$  3,830	$  4,090
Maximum exposure to loss:
Retained interests		$  3,223	$  3,147
Purchased interests		607	941
Commitments and guarantees		50	35
Derivatives		66	77
Total maximum exposure to loss		$  3,946	$  4,200
Real estate, credit- and power-related and other investing
Assets in VIEs		$19,602	$18,851
Carrying value of variable interests — assets		$  3,243	$  3,601
Carrying value of variable interests — liabilities		$         7	$       20
Maximum exposure to loss:
Commitments and guarantees		$  1,213	$  1,543
Derivatives		92	113
Debt and equity		3,238	3,572
Total maximum exposure to loss		$  4,543	$  5,228
Corporate debt and other asset-backed
Assets in VIEs		$16,248	$15,842
Carrying value of variable interests — assets		$  2,040	$  1,563
Carrying value of variable interests — liabilities		$     612	$     458
Maximum exposure to loss:
Retained interests		$     149	$     133
Purchased interests		294	42
Commitments and guarantees		1,374	1,113
Derivatives		8,849	8,782
Debt and equity		1,155	867
Total maximum exposure to loss		$11,821	$10,937
Investments in funds
Assets in VIEs		$16,865	$10,231
Carrying value of variable interests — assets		$     413	$     289
Maximum exposure to loss:
Commitments and guarantees		$       60	$       54
Derivatives		3	3
Debt and equity		413	289
Total maximum exposure to loss		$     476	$     346

Consolidated Variable Interest Entities

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

	As of December
$ in millions		2019	2018
Total consolidated VIEs
Assets
Cash and cash equivalents		$   112	$     84
Trading assets		27	264
Investments		835	943
Loans		2,392	1,148
Other assets		1,084	1,261
Total		$4,450	$3,700
Liabilities
Other secured financings		$1,163	$1,204
Customer and other payables		9	–
Trading liabilities		10	20
Unsecured short-term borrowings		48	45
Unsecured long-term borrowings		214	207
Other liabilities		959	1,100
Total		$2,403	$2,576

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

	As of December
$ in millions		2019	2018
Real estate, credit-related and other investing
Assets
Cash and cash equivalents		$   112	$     84
Trading assets		26	45
Investments		835	943
Loans		2,392	1,096
Other assets		1,084	1,258
Total		$4,449	$3,426
Liabilities
Other secured financings		$   684	$   596
Customer and other payables		9	–
Trading liabilities		10	20
Other liabilities		959	1,100
Total		$1,662	$1,716
Mortgage-backed and other asset-backed
Assets
Trading assets		$       –	$   210
Loans		–	52
Other assets		–	3
Total		$       –	$   265
Liabilities
Other secured financings		$       –	$   140
Total		$       –	$   140
Principal-protected notes
Assets
Trading assets		$       1	$       9
Total		$       1	$       9
Liabilities
Other secured financings		$   479	$   468
Unsecured short-term borrowings		48	45
Unsecured long-term borrowings		214	207
Total		$   741	$   720