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Variable Interest Entities and Securitization Activities (Tables)

12 Months Ended

Dec. 31, 2021

Variable Interest Entities and Securitization Activities [Abstract]

Consolidated VIE Assets and Liabilities by Type of Activity1


	At December 31, 2021				At December 31, 2020
$ in millions	VIE Assets		VIE Liabilities		VIE Assets		VIE Liabilities
MABS2	$	1,177	$	409	$	590	$	17
Investment vehicles3	717		294		776		355
Operating entities	508		39		504		39
Other	510		286		248		3
Total	$	2,912	$	1,028	$	2,118	$	414

1.Certain prior period amounts have been reclassified to conform to the current presentation.

2.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. The value of assets is determined based on the fair value of the liabilities and the interests owned by the Firm in such VIEs as the fair values for the liabilities and interests owned are more observable.

3.Amounts include investment funds and CLOs.

Consolidated VIE Assets and Liabilities by Balance Sheet Caption


$ in millions	At December 31, 2021		At December 31, 2020
Assets
Cash and cash equivalents	$	341	$	269


Trading assets at fair value	1,965		1,445
Investment securities	37		—
Securities purchased under agreements to resell	200		—
Customer and other receivables	31		23
Intangible assets	85		98
Other assets	253		283
Total	$	2,912	$	2,118
Liabilities
Other secured financings	$	767	$	366
Other liabilities and accrued expenses	261		48
Total	$	1,028	$	414
Noncontrolling interests	$	115	$	196

Schedule of Non-Consolidated VIEs

Non-consolidated VIEs


	At December 31, 2021
$ in millions	MABS1		CDO		MTOB		OSF		Other2
VIE assets (UPB)	$	146,071	$	667	$	6,089	$	2,086	$	52,111
Maximum exposure to loss3
Debt and equity interests	$	18,062	$	129	$	—	$	1,459	$	10,339
Derivative and other contracts	—		—		4,100		—		5,599
Commitments, guarantees and other	771		—		—		—		1,005
Total	$	18,833	$	129	$	4,100	$	1,459	$	16,943
Carrying value of variable interests—Assets
Debt and equity interests	$	18,062	$	129	$	—	$	1,459	$	10,339
Derivative and other contracts	—		—		5		—		2,006
Total	$	18,062	$	129	$	5	$	1,459	$	12,345
Additional VIE assets owned4									$	15,392
Carrying value of variable interests—Liabilities
Derivative and other contracts	$	—	$	—	$	—	$	—	$	362


	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.

Schedule of Mortgage- and Asset-Backed Securitization Assets

Detail of Mortgage- and Asset-Backed Securitization Assets


	At December 31, 2021				At December 31, 2020
$ in millions	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests
Residential mortgages	$	15,216	$	2,182	$	17,775	$	3,175
Commercial mortgages	68,503		4,092		62,093		4,131
U.S. agency collateralized mortgage obligations	57,972		9,835		99,182		17,224
Other consumer or commercial loans	4,380		1,953		5,103		1,717
Total	$	146,071	$	18,062	$	184,153	$	26,247

Schedule of Transfers of Assets with Continuing Involvement

Transferred Assets with Continuing Involvement


	At December 31, 2021
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1
SPE assets (UPB)2	$	6,802	$	94,276	$	28,697	$	13,121
Retained interests
Investment grade	$	72	$	638	$	465	$	—
Non-investment grade	19		586		—		69
Total	$	91	$	1,224	$	465	$	69
Interests purchased in the secondary market
Investment grade	$	18	$	118	$	33	$	—
Non-investment grade	38		53		—		4
Total	$	56	$	171	$	33	$	4
Derivative assets	$	—	$	—	$	—	$	891
Derivative liabilities	—		—		—		284


	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 December 31, 2021
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	536	$	2	$	538
Non-investment grade	40		40		80
Total	$	576	$	42	$	618
Interests purchased in the secondary market
Investment grade	$	168	$	1	$	169
Non-investment grade	70		25		95
Total	$	238	$	26	$	264
Derivative assets	$	891	$	—	$	891
Derivative liabilities	194		90		284


	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.

Schedule of Proceeds from New Securitization Transactions and Sales of Loans

Proceeds from New Securitization Transactions and Sales of Loans


$ in millions	2021		2020		2019
New transactions1	$	57,528	$	51,814	$	34,464
Retained interests	8,822		9,346		7,403
Sales of corporate loans to CLO SPEs1, 2	169		763		2

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.

Schedule of Assets Sold with Retained Exposure

Assets Sold with Retained Exposure


$ in millions	At December 31, 2021		At December 31, 2020
Gross cash proceeds from sale of assets1	$	67,930	$	45,051
Fair value
Assets sold	$	68,992	$	46,609
Derivative assets recognized in the balance sheet	1,195		1,592
Derivative liabilities recognized in the balance sheet	132		64

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

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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