Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2020

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		2020	2019		2020	2019
Residential mortgages		$  7,717	$  4,955		$15,725	$10,258
Commercial mortgages		6,279	5,134		14,062	8,169
Other financial assets		66	218		1,189	564
Total financial assets securitized		$14,062	$10,307		$30,976	$18,991
Retained interests cash flows		$     130	$       91		$     274	$     267

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 2020
U.S. government agency-issued CMOs	$21,836	$1,606	$  4
Other residential mortgage-backed	24,610	1,316	25
Other commercial mortgage-backed	35,442	767	30
Corporate debt and other asset-backed	4,094	159	10
Total	$85,982	$3,848	$69
As of December 2019
U.S. government agency-issued CMOs	$14,328	$1,530	$  3
Other residential mortgage-backed	24,166	1,078	24
Other commercial mortgage-backed	25,588	615	6
Corporate debt and other asset-backed	3,612	149	–
Total	$67,694	$3,372	$33

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 2014 and thereafter.

• The fair value of retained interests was $3.85 billion as of September 2020 and $3.35 billion as of December 2019.

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 2020		December 2019
Fair value of retained interests		$ 3,688		$  3,198
Weighted average life (years)		4.7		6.0
Constant prepayment rate		16.0%		12.9%
Impact of 10% adverse change		$     (28	)	$      (22	)
Impact of 20% adverse change		$     (52	)	$      (42	)
Discount rate		4.7%		4.7%
Impact of 10% adverse change		$     (53	)	$      (59	)
Impact of 20% adverse change		$   (104	)	$    (117	)

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.