Consolidated VIE Assets and Liabilities by Balance Sheet Caption


$ in millions	At March 31, 2021		At December 31, 2020
Assets
Cash and cash equivalents	$	425	$	269


Trading assets at fair value	2,582		1,445
Customer and other receivables	18		23

Intangible assets	95		98
Other assets	276		283
Total	$	3,396	$	2,118
Liabilities
Other secured financings	$	1,716	$	366
Other liabilities and accrued expenses	157		48
Total	$	1,873	$	414
Noncontrolling interests	$	178	$	196

Consolidated VIE assets and liabilities are presented in the previous tables after intercompany eliminations. Generally, most assets owned by consolidated VIEs cannot be removed unilaterally by the Firm and are not available to the Firm while the related liabilities issued by consolidated VIEs are non-recourse to the Firm. However, in certain consolidated VIEs, the Firm either has the unilateral right to remove assets or provides additional recourse through derivatives such as total return swaps, guarantees or other forms of involvement.

In general, the Firm’s exposure to loss in consolidated VIEs is limited to losses that would be absorbed on the VIE net assets recognized in its financial statements, net of amounts absorbed by third-party variable interest holders.

Non-consolidated VIEs


	At March 31, 2021
$ in millions	MABS1		CDO		MTOB		OSF		Other2
VIE assets (UPB)	$	169,015	$	2,068	$	6,163	$	1,994	$	48,464
Maximum exposure to loss3
Debt and equity interests	$	24,265	$	205	$	8	$	1,172	$	10,963
Derivative and other contracts	—		—		4,116		—		5,480
Commitments, guarantees and other	868		—		—		—		1,599
Total	$	25,133	$	205	$	4,124	$	1,172	$	18,042
Carrying value of variable interests—Assets
Debt and equity interests	$	24,265	$	205	$	8	$	1,172	$	10,963
Derivative and other contracts	—		—		6		—		1,152
Total	$	24,265	$	205	$	14	$	1,172	$	12,115
Additional VIE assets owned4									$	19,743
Carrying value of variable interests—Liabilities

Derivative and other contracts	$	—	$	—	$	—	$	—	$	314


	At December 31, 2020
$ in millions	MABS1		CDO		MTOB		OSF		Other2
VIE assets (UPB)	$	184,153	$	3,527	$	6,524	$	2,161	$	48,241
Maximum exposure to loss3
Debt and equity interests	$	26,247	$	257	$	—	$	1,187	$	11,008
Derivative and other contracts	—		—		4,425		—		5,639
Commitments, guarantees and other	929		—		—		—		749
Total	$	27,176	$	257	$	4,425	$	1,187	$	17,396
Carrying value of variable interests–Assets
Debt and equity interests	$	26,247	$	257	$	—	$	1,187	$	11,008
Derivative and other contracts	—		—		5		—		851
Total	$	26,247	$	257	$	5	$	1,187	$	11,859
Additional VIE assets owned4									$	20,019
Carrying value of variable interests—Liabilities
Derivative and other contracts	$	—	$	—	$	—	$	—	$	222

MTOB—Municipal tender option bonds

1.Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets, and may be in loan or security form.

2.Other primarily includes exposures to commercial real estate property and investment funds.

3.Where notional amounts are utilized in quantifying the maximum exposure related to derivatives, such amounts do not reflect changes in fair value recorded by the Firm.

4.Additional VIE assets owned represents the carrying value of total exposure to non-consolidated VIEs for which the maximum exposure to loss is less than specific thresholds, primarily interests issued by securitization SPEs. The Firm’s maximum exposure to loss generally equals the fair value of the assets owned. These assets are primarily included in Trading assets and Investment securities and are measured at fair value (see Note 5). The Firm does not provide additional support in these transactions through contractual facilities, guarantees or similar derivatives.

The majority of the VIEs included in the previous tables are sponsored by unrelated parties; examples of the Firm’s involvement with these VIEs include its secondary market-making activities and the securities held in its Investment securities portfolio (see Note 8).

The Firm’s maximum exposure to loss is dependent on the nature of the Firm’s variable interest in the VIE and is limited to the notional amounts of certain liquidity facilities and other credit support, total return swaps and written put options, as well as the fair value of certain other derivatives and investments the Firm has made in the VIE.

The Firm’s maximum exposure to loss in the previous tables does not include the offsetting benefit of hedges or any reductions associated with the amount of collateral held as part of a transaction with the VIE or any party to the VIE directly against a specific exposure to loss.

Liabilities issued by VIEs generally are non-recourse to the Firm.

Detail of Mortgage- and Asset-Backed Securitization Assets


	At March 31, 2021				At December 31, 2020
$ in millions	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests
Residential mortgages	$	16,722	$	2,696	$	17,775	$	3,175
Commercial mortgages	58,889		3,905		62,093		4,131
U.S. agency collateralized mortgage obligations	87,031		15,727		99,182		17,224
Other consumer or commercial loans	6,373		1,937		5,103		1,717
Total	$	169,015	$	24,265	$	184,153	$	26,247

Transferred Assets with Continuing Involvement


	At March 31, 2021
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1
SPE assets (UPB)2	$	8,673	$	72,001	$	26,257	$	12,496
Retained interests
Investment grade	$	68	$	895	$	585	$	—
Non-investment grade	18		216		—		82
Total	$	86	$	1,111	$	585	$	82
Interests purchased in the secondary market
Investment grade	$	—	$	121	$	132	$	—
Non-investment grade	76		46		—		—
Total	$	76	$	167	$	132	$	—
Derivative assets	$	—	$	—	$	—	$	392
Derivative liabilities	—		—		—		283


	At December 31, 2020
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1
SPE assets (UPB)2	$	7,515	$	84,674	$	21,061	$	12,978
Retained interests
Investment grade	$	49	$	822	$	615	$	—
Non-investment grade	16		195		—		114
Total	$	65	$	1,017	$	615	$	114
Interests purchased in the secondary market
Investment grade	$	—	$	96	$	116	$	—
Non-investment grade	43		80		—		21
Total	$	43	$	176	$	116	$	21
Derivative assets	$	—	$	—	$	—	$	400
Derivative liabilities	—		—		—		436


	Fair Value At March 31, 2021
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	654	$	—	$	654
Non-investment grade	9		62		71
Total	$	663	$	62	$	725
Interests purchased in the secondary market
Investment grade	$	243	$	10	$	253
Non-investment grade	101		21		122
Total	$	344	$	31	$	375
Derivative assets	$	391	$	1	$	392
Derivative liabilities	234		49		283


	Fair Value at December 31, 2020
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	663	$	—	$	663
Non-investment grade	6		63		69
Total	$	669	$	63	$	732
Interests purchased in the secondary market
Investment grade	$	196	$	16	$	212
Non-investment grade	62		82		144
Total	$	258	$	98	$	356
Derivative assets	$	388	$	12	$	400
Derivative liabilities	435		1		436

RML—Residential mortgage loans

CML—Commercial mortgage loans

1.Amounts include CLO transactions managed by unrelated third parties.

2.Amounts include assets transferred by unrelated transferors.

The previous tables include transactions with SPEs in which the Firm, acting as principal, transferred financial assets with continuing involvement and received sales treatment. The transferred assets are carried at fair value prior to securitization, and any changes in fair value are recognized in the income statements. The Firm may act as underwriter of the beneficial interests issued by these securitization vehicles, for which Investment banking revenues are recognized. The Firm may retain interests in the securitized financial assets as one or more tranches of the securitization. These retained interests are generally carried at fair value in the balance sheets with changes in fair value recognized in the income statements. Fair value for these interests is measured using techniques that are consistent with the valuation techniques applied to the Firm’s major categories of assets and liabilities as described in Note 2 in the 2020 Form 10-K and Note 5 herein. Further, as permitted by applicable guidance, certain transfers of assets where the Firm’s only continuing involvement is a derivative are only reported in the following Assets Sold with Retained Exposure table.

Proceeds from New Securitization Transactions and Sales of Loans


	Three Months Ended March 31,
$ in millions		2021		2020
New transactions1		$	14,790	$	8,471
Retained interests		2,579		4,088
Sales of corporate loans to CLO SPEs1, 2		—		66

1.Net gains on new transactions and sales of corporate loans to CLO entities at the time of the sale were not material for all periods presented.

2.Sponsored by non-affiliates.

The Firm has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets transferred in securitization transactions sponsored by the Firm (see Note 14).

Assets Sold with Retained Exposure


$ in millions	At March 31, 2021		At December 31, 2020
Gross cash proceeds from sale of assets1	$	57,512	$	45,051
Fair value
Assets sold	$	58,117	$	46,609
Derivative assets recognized in the balance sheets	1,008		1,592
Derivative liabilities recognized in the balance sheets	411		64

1.The carrying value of assets derecognized at the time of sale approximates gross cash proceeds.

The Firm enters into transactions in which it sells securities, primarily equities, and contemporaneously enters into bilateral OTC derivatives with the purchasers of the securities, through which it retains exposure to the sold securities.

For a discussion of the Firm’s VIEs, the determination and structure of VIEs and securitization activities, see Note 16 to the financial statements in the 2020 Form 10-K.