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Variable Interest Entities and Securitization Activities
 3 Months Ended
Mar. 31, 2022
Variable Interest Entities and Securitization Activities [Abstract]  
Variable Interest Entities and Securitization Activities Variable Interest Entities and Securitization Activities
Consolidated VIE Assets and Liabilities by Type of Activity
 At March 31, 2022At December 31, 2021
$ in millionsVIE AssetsVIE LiabilitiesVIE AssetsVIE Liabilities
MABS1
$1,272 $383 $1,177 $409 
Investment vehicles2
813 429 717 294 
Operating entities509 37 508 39 
Other579 288 510 286 
Total$3,173 $1,137 $2,912 $1,028 
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. 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.
2.Amounts include investment funds and CLOs.
Consolidated VIE Assets and Liabilities by Balance Sheet Caption
$ in millions
At
March 31,
2022 		At
December 31,
2021
Assets
Cash and cash equivalents$334 $341 
Trading assets at fair value2,252 1,965 
Investment securities34 37 
Securities purchased under agreements to resell200 200 
Customer and other receivables26 31 
Intangible assets82 85 
Other assets245 253 
Total$3,173 $2,912 
Liabilities
Other secured financings$963 $767 
Other liabilities and accrued expenses174 261 
Total$1,137 $1,028 
Noncontrolling interests$119 $115 
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, 2022
$ in millions
MABS1
CDO
MTOB
OSF
Other2
VIE assets (UPB)$116,627 $1,379 $6,465 $2,043 $54,186 
Maximum exposure to loss3
Debt and equity interests$13,005 $157 $— $1,449 $11,055 
Derivative and other contracts— — 4,382 — 4,374 
Commitments, guarantees and other1,007 — — — 1,454 
Total$14,012 $157 $4,382 $1,449 $16,883 
Carrying value of variable interests—Assets
Debt and equity interests$13,005 $157 $— $1,449 $11,055 
Derivative and other contracts— — 6 — 1,642 
Total$13,005 $157 $6 $1,449 $12,697 
Additional VIE assets owned4
$13,339 
Carrying value of variable interests—Liabilities
Derivative and other contracts$— $— $1 $— $280 
 
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 other771 — — — 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 
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 4). 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 7).
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, 2022At December 31, 2021
$ in millions
UPB
Debt and
Equity
Interests
UPB
Debt and
Equity
Interests
Residential mortgages$12,741 $2,164 $15,216 $2,182 
Commercial mortgages67,450 4,058 68,503 4,092 
U.S. agency collateralized mortgage obligations31,914 4,818 57,972 9,835 
Other consumer or commercial loans4,522 1,965 4,380 1,953 
Total$116,627 $13,005 $146,071 $18,062 
Transferred Assets with Continuing Involvement
 
At March 31, 2022
$ in millions
RML
CML
U.S. Agency
CMO
CLN and
Other1
SPE assets (UPB)2
$8,677 $101,928 $33,602 $12,574 
Retained interests
Investment grade$96 $754 $363 $— 
Non-investment grade26 576 — 57 
Total$122 $1,330 $363 $57 
Interests purchased in the secondary market
Investment grade$55 $65 $134 $4 
Non-investment grade44 49 — 2 
Total$99 $114 $134 $6 
Derivative assets$— $— $— $1,050 
Derivative liabilities — — — 185 
 
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 grade19 586 — 69 
Total$91 $1,224 $465 $69 
Interests purchased in the secondary market
Investment grade$18 $118 $33 $— 
Non-investment grade38 53 — 4 
Total$56 $171 $33 $4 
Derivative assets
$— $— $— $891 
Derivative liabilities— — — 284 
 
Fair Value At March 31, 2022
$ in millions
Level 2
Level 3
Total
Retained interests
Investment grade$461 $— $461 
Non-investment grade11 45 56 
Total$472 $45 $517 
Interests purchased in the secondary market
Investment grade$250 $8 $258 
Non-investment grade60 35 95 
Total$310 $43 $353 
Derivative assets$1,050 $— $1,050 
Derivative liabilities140 45 185 
 
Fair Value at December 31, 2021
$ in millions
Level 2
Level 3
Total
Retained interests
Investment grade$536 $2 $538 
Non-investment grade40 40 80 
Total$576 $42 $618 
Interests purchased in the secondary market
Investment grade$168 $1 $169 
Non-investment grade70 25 95 
Total$238 $26 $264 
Derivative assets$891 $— $891 
Derivative liabilities194 90 284 
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 statement. 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 sheet with changes in fair value recognized in the income statement. 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 2021 Form 10-K and Note 4 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
20222021
New transactions1
$8,260 $14,790 
Retained interests1,622 2,579 
Sales of corporate loans to CLO SPEs1, 2
4 — 
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 13).
Assets Sold with Retained Exposure
$ in millions
At
March 31,
2022 		At
December 31,
2021
Gross cash proceeds from sale of assets1
$60,826 $67,930 
Fair value
Assets sold$62,015 $68,992 
Derivative assets recognized in the balance sheet1,474 1,195 
Derivative liabilities recognized in the balance sheet284 132 
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 2021 Form 10-K.