Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2020

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
$ in millions		September 2020	December 2019
Total nonconsolidated VIEs
Assets in VIEs		$145,175	$128,069
Carrying value of variable interests — assets		$    9,746	$    9,526
Carrying value of variable interests — liabilities		$       978	$       619
Maximum exposure to loss:
Retained interests		$    3,848	$    3,372
Purchased interests		1,630	901
Commitments and guarantees		2,806	2,697
Derivatives		8,653	9,010
Debt and equity		3,878	4,806
Total		$  20,815	$  20,786

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

	As of
$ in millions		September 2020	December 2019
Mortgage-backed
Assets in VIEs		$93,867	$75,354
Carrying value of variable interests — assets		$  4,467	$  3,830
Maximum exposure to loss:
Retained interests		$  3,689	$  3,223
Purchased interests		778	607
Commitments and guarantees		45	50
Derivatives		376	66
Total		$  4,888	$  3,946
Real estate, credit- and power-related and other investing
Assets in VIEs		$20,696	$19,602
Carrying value of variable interests — assets		$  3,204	$  3,243
Carrying value of variable interests — liabilities		$       10	$         7
Maximum exposure to loss:
Commitments and guarantees		$  1,304	$  1,213
Derivatives		85	92
Debt and equity		3,204	3,238
Total		$  4,593	$  4,543
Corporate debt and other asset-backed
Assets in VIEs		$14,990	$16,248
Carrying value of variable interests — assets		$  1,666	$  2,040
Carrying value of variable interests — liabilities		$     968	$     612
Maximum exposure to loss:
Retained interests		$     159	$     149
Purchased interests		852	294
Commitments and guarantees		1,378	1,374
Derivatives		8,189	8,849
Debt and equity		265	1,155
Total		$10,843	$11,821
Investments in funds
Assets in VIEs		$15,622	$16,865
Carrying value of variable interests — assets		$     409	$     413
Maximum exposure to loss:
Commitments and guarantees		$       79	$       60
Derivatives		3	3
Debt and equity		409	413
Total		$     491	$     476

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
$ in millions		September 2020	December 2019
Total consolidated VIEs
Assets
Cash and cash equivalents		$   255	$   112
Trading assets		57	27
Investments		846	835
Loans		2,077	2,392
Other assets		1,066	1,084
Total		$4,301	$4,450
Liabilities
Other secured financings		$1,945	$1,163
Customer and other payables		25	9
Trading liabilities		257	10
Unsecured short-term borrowings		44	48
Unsecured long-term borrowings		219	214
Other liabilities		945	959
Total		$3,435	$2,403

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

	As of
$ in millions		September 2020	December 2019
Real estate, credit-related and other investing
Assets
Cash and cash equivalents		$   208	$   112
Trading assets		3	26
Investments		846	835
Loans		2,077	2,392
Other assets		1,066	1,084
Total		$4,200	$4,449
Liabilities
Other secured financings		$   691	$   684
Customer and other payables		25	9
Trading liabilities		36	10
Other liabilities		945	959
Total		$1,697	$1,662
Corporate debt and other asset-backed
Assets
Cash and cash equivalents		$     47	$        –
Total		$     47	$        –
Liabilities
Other secured financings		$   715	$        –
Total		$   715	$        –
Principal-protected notes
Assets
Trading assets		$     54	$       1
Total		$     54	$       1
Liabilities
Other secured financings		$   539	$   479
Trading liabilities		221	–
Unsecured short-term borrowings		44	48
Unsecured long-term borrowings		219	214
Total		$1,023	$   741