Overview

For a discussion of the Firm’s VIEs, the determination and structure of VIEs and securitization activities, see Note 13 to the financial statements in the 2017 Form 10-K.

Consolidated VIE

OSF—Other structured financings

Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets. 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.
Other primarily includes investment funds, certain operating entities, CLOs and structured transactions. At March 31, 2018, Other includes the consolidation of a fund managed by Mesa West Capital, LLC, which was acquired in the current quarter.

Assets and Liabilities by Balance Sheet Caption

	At March 31,		At December 31,
$ in millions	2018		2017
Assets
Cash and cash equivalents:
Cash and due from banks	$	103	$	69
Restricted cash		223		222
Trading assets at fair value		2,345		833
Customer and other receivables		21		19
Goodwill		18		18
Intangible assets		149		155
Other assets		454		485
Total	$	3,313	$	1,801
Liabilities
Other secured financings	$	1,305	$	438
Other liabilities and accrued
expenses		24		25
Total	$	1,329	$	463

Consolidated VIE assets and liabilities are presented in the previous tables after intercompany eliminations. Most assets owned by consolidated VIEs cannot be removed unilaterally by the Firm and are not generally available to the Firm. Most related liabilities issued by consolidated VIEs are non-recourse to the Firm. In certain other 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

The following tables include non-consolidated VIEs in which the Firm has determined that its maximum exposure to loss is greater than specific thresholds or meets certain other criteria and exclude exposure to loss from liabilities due to immateriality. Most of the VIEs included in the following tables are sponsored by unrelated parties; the Firm’s involvement generally is the result of its secondary market-making activities, securities held in its Investment securities portfolio (see Note 5) and certain investments in funds.

Non-consolidated VIEs
	At March 31, 2018
$ in millions	MABS		CDO		MTOB		OSF		Other
VIE assets (unpaid
principal balance)	$	76,854	$	14,445	$	5,439	$	3,307	$	19,959
Maximum exposure to loss
Debt and equity
interests	$	9,075	$	2,163	$	81	$	1,589	$	4,654
Derivative and
other contracts		—		—		3,367		—		2,317
Commitments,
guarantees
and other		882		902		—		161		327
Total	$	9,957	$	3,065	$	3,448	$	1,750	$	7,298

Carrying value of exposure to loss—Assets
Debt and equity
interests	$	9,075	$	2,163	$	51	$	1,185	$	4,654
Derivative and
other contracts		—		—		5		—		111
Total	$	9,075	$	2,163	$	56	$	1,185	$	4,765

	At December 31, 2017
$ in millions		MABS		CDO		MTOB		OSF		Other
VIE assets (unpaid
principal balance)	$	89,288	$	9,807	$	5,306	$	3,322	$	31,934
Maximum exposure to loss
Debt and equity
interests	$	10,657	$	1,384	$	80	$	1,628	$	4,730
Derivative and
other contracts		—		—		3,333		—		1,686
Commitments,
guarantees
and other		1,214		668		—		164		433
Total	$	11,871	$	2,052	$	3,413	$	1,792	$	6,849

Carrying value of exposure to loss—Assets
Debt and equity
interests	$	10,657	$	1,384	$	43	$	1,202	$	4,730
Derivative and
other contracts		—		—		5		—		184
Total	$	10,657	$	1,384	$	48	$	1,202	$	4,914

The Firm’s maximum exposure to loss presented in the previous table often differs from the carrying value of the variable interests held by the Firm. The maximum exposure to loss presented in the previous table 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, other credit support, total return swaps, written put options, and the fair value of certain other derivatives and investments the Firm has made in the VIE. Liabilities issued by VIEs generally are non-recourse to the Firm. Where notional amounts are utilized in quantifying the maximum exposure related to derivatives, such amounts do not reflect fair value write-downs already recorded by the Firm.

The Firm’s maximum exposure to loss presented in the previous table does not include the offsetting benefit of any financial instruments that the Firm may utilize to hedge these risks associated with its variable interests. In addition, the Firm’s maximum exposure to loss presented in the previous table is not reduced by 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.

Non-consolidated VIEs Mortgage- and Asset-Backed Securitization Assets

		At March 31, 2018				At December 31, 2017
	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests

$ in millions
Residential mortgages	$	13,564	$	782	$	15,636	$	1,272
Commercial mortgages		35,886		1,934		46,464		2,331
U.S. agency collateralized
mortgage obligations		14,405		3,150		16,223		3,439
Other consumer or
commercial loans		12,999		3,209		10,965		3,615
Total	$	76,854	$	9,075	$	89,288	$	10,657

These assets were either retained in connection with transfers of assets by the Firm, acquired in connection with secondary market-making activities, held as AFS securities in its Investment securities portfolio (see Note 5), or held as investments in funds. At March 31, 2018 and December 31, 2017, these assets consisted of securities backed by residential mortgage loans, commercial mortgage loans or other consumer loans, such as credit card receivables, automobile loans and student loans, CDOs or CLOs, and investment funds.

The Firm’s primary risk exposure is to the securities issued by the SPEs owned by the Firm, with the highest risk on the most subordinate class of beneficial interests. These assets generally are included in Trading assets—Corporate and other debt, Trading assets—Investments or AFS securities within its Investment securities portfolio and are measured at fair value (see Note 3). The Firm does not provide additional support in these transactions through contractual facilities, such as liquidity facilities, guarantees or similar derivatives. The Firm’s maximum exposure to loss generally equals the fair value of the assets owned.

Transfers of Assets with Continuing Involvement

		At March 31, 2018
	RML		CML		U.S. Agency CMO		CLN and Other¹
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other¹
SPE assets (UPB)²	$	14,978	$	59,607	$	14,751	$	16,823
Retained interests
Investment grade	$	—	$	324	$	825	$	5
Non-investment grade
(fair value)		1		107		—		308
Total	$	1	$	431	$	825	$	313
Interests purchased in the secondary market (fair value)
Investment grade	$	—	$	112	$	71	$	—
Non-investment grade		16		57		—		15
Total	$	16	$	169	$	71	$	15
Derivative assets (fair value)	$	—	$	—	$	—	$	191
Derivative liabilities (fair value)		—		—		—		119

		At December 31, 2017
	RML		CML		U.S. Agency CMO		CLN and Other¹
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other¹
SPE assets(UPB)²	$	15,555	$	62,744	$	11,612	$	17,060
Retained interests
Investment grade	$	—	$	293	$	407	$	4
Non-investment grade
(fair value)		1		98		—		478
Total	$	1	$	391	$	407	$	482
Interests purchased in the secondary market (fair value)
Investment grade	$	—	$	94	$	439	$	—
Non-investment grade		16		66		—		4
Total	$	16	$	160	$	439	$	4
Derivative assets (fair value)	$	1	$	—	$	—	$	226
Derivative liabilities (fair value)		—		—		—		85

RML—Residential mortgage loans

CML—Commercial mortgage loans

Amounts include CLO transactions managed by unrelated third parties.
Amounts include assets transferred by unrelated transferors.

	Fair Value at March 31, 2018
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	831	$	5	$	836
Non-investment grade		13		403		416
Total	$	844	$	408	$	1,252
Interests purchased in the secondary market
Investment grade	$	182	$	1	$	183
Non-investment grade		52		36		88
Total	$	234	$	37	$	271
Derivative assets	$	50	$	141	$	191
Derivative liabilities		114		5		119

	Fair Value at December 31, 2017
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	407	$	4	$	411
Non-investment grade		22		555		577
Total	$	429	$	559	$	988
Interests purchased in the secondary market
Investment grade	$	531	$	2	$	533
Non-investment grade		57		29		86
Total	$	588	$	31	$	619
Derivative assets	$	78	$	149	$	227
Derivative liabilities		81		4		85

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. Investment banking underwriting net revenues are recognized in connection with these transactions. 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.

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 11).

The Firm also enters into transactions in which it sells equity securities and contemporaneously enters into bilateral OTC equity derivatives with the purchasers of the securities, through which it retains the exposure to the securities as shown in the following table.

Assets Sold with Retained Exposure
	At March 31,		At December 31,
$ in millions	2018		2017
Carrying value of assets
derecognized at the time of
sale and gross cash proceeds	$	26,800	$	19,115
Fair value
Assets sold	$	26,566	$	19,138
Derivative assets recognized
in the balance sheets		2		176
Derivative liabilities recognized
in the balance sheets		236		153

Failed Sales

For transfers that fail to meet the accounting criteria for a sale, the Firm continues to recognize the assets in Trading assets at fair value, and the Firm recognizes the associated liabilities in Other secured financings at fair value in the balance sheets (see Note 10).

The assets transferred to certain unconsolidated VIEs in transactions accounted for as failed sales cannot be removed unilaterally by the Firm and are not generally available to the Firm. The related liabilities are also non-recourse to the Firm. In certain other failed sale transactions, the Firm has the right to remove assets or provides additional recourse through derivatives such as total return swaps, guarantees or other forms of involvement.