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Variable Interest Entities and Securitization Activities

6 Months Ended

Jun. 30, 2019

Variable Interest Entities and Securitization Activities [Abstract]

Variable Interest Entities and Securitization Activities

Consolidated VIEs

Assets and Liabilities by Type of Activity



	At June 30, 2019				At December 31, 2018
$ in millions	VIE Assets		VIE Liabilities		VIE Assets		VIE Liabilities
OSF	$	248	$	—	$	267	$	—
MABS¹	343		15		59		38
Other²	870		61		809		48
Total	$	1,461	$	76	$	1,135	$	86

OSF—Other structured financings


1.	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.


2.	Other primarily includes certain operating entities, investment funds and structured transactions.

Assets and Liabilities by Balance Sheet Caption



$ in millions	At June 30, 2019		At December 31, 2018
Assets
Cash and cash equivalents:
Cash and due from banks	$	103	$	77
Restricted cash	172		171
Trading assets at fair value	643		314
Customer and other receivables	11		25
Goodwill	18		18
Intangible assets	99		128
Other assets	415		402
Total	$	1,461	$	1,135
Liabilities
Other secured financings	$	44	$	64
Other liabilities and accrued expenses	32		22
Total	$	76	$	86
Noncontrolling interests	$	131	$	106

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



	At June 30, 2019
$ in millions	MABS		CDO		MTOB		OSF		Other
VIE assets (UPB)	$	77,872	$	3,384	$	6,862	$	2,332	$	22,065
Maximum exposure to loss¹
Debt and equity interests	$	8,221	$	241	$	—	$	982	$	6,281
Derivative and other contracts	—		—		4,501		—		2,569
Commitments, guarantees and other	364		—		—		—		430
Total	$	8,585	$	241	$	4,501	$	982	$	9,280
Carrying value of exposure to loss—Assets
Debt and equity interests	$	8,221	$	241	$	—	$	981	$	6,281
Derivative and other contracts	—		—		6		—		153
Total	$	8,221	$	241	$	6	$	981	$	6,434
Additional VIE assets owned²									$	10,921
Carrying value of exposure to loss—Liabilities
Derivative and other contracts	$	—	$	—	$	—	$	—	$	161



	At December 31, 2018
$ in millions	MABS		CDO		MTOB		OSF		Other
VIE assets (UPB)	$	71,287	$	10,848	$	7,014	$	3,314	$	19,682
Maximum exposure to loss¹
Debt and equity interests	$	8,234	$	1,169	$	—	$	1,622	$	4,645
Derivative and other contracts	—		—		4,449		—		1,768
Commitments, guarantees and other	397		3		—		235		327
Total	$	8,631	$	1,172	$	4,449	$	1,857	$	6,740
Carrying value of exposure to loss—Assets
Debt and equity interests	$	8,234	$	1,169	$	—	$	1,205	$	4,645
Derivative and other contracts	—		—		6		—		87
Total	$	8,234	$	1,169	$	6	$	1,205	$	4,732
Additional VIE assets owned²									$	11,969
Carrying value of exposure to loss—Liabilities
Derivative and other contracts	$	—	$	—	$	—	$	—	$	185

MTOB—Municipal tender option bonds


1.	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.

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 primary risk exposure is to the most subordinate class of beneficial interest and 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 3). 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 5).

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:


•	notional amounts of certain liquidity facilities;


•	other credit support;


•	total return swaps;


•	written put options; and


•	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.

Mortgage- and Asset-Backed Securitization Assets



	At June 30, 2019				At December 31, 2018
$ in millions	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests
Residential mortgages	$	12,843	$	503	$	6,954	$	745
Commercial mortgages	37,960		1,346		42,974		1,237
U.S. agency collateralized mortgage obligations	20,232		3,924		14,969		3,443
Other consumer or commercial loans	6,837		2,448		6,390		2,809
Total	$	77,872	$	8,221	$	71,287	$	8,234

Transfers of Assets with Continuing Involvement¹



	At June 30, 2019
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other²
SPE assets (UPB)³	$	14,334	$	74,243	$	18,449	$	4,157
Retained interests
Investment grade	$	32	$	557	$	455	$	2
Non-investment grade	5		186		—		87
Total	$	37	$	743	$	455	$	89
Interests purchased in the secondary market (fair value)
Investment grade	$	22	$	218	$	862	$	—
Non-investment grade	37		34		—		—
Total	$	59	$	252	$	862	$	—
Derivative assets (fair value)	$	—	$	—	$	—	$	85
Derivative liabilities (fair value)	—		—		—		63



	At December 31, 2018
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other²
SPE assets (UPB)³	$	14,376	$	68,593	$	16,594	$	14,608
Retained interests
Investment grade	$	17	$	483	$	1,573	$	3
Non-investment grade (fair value)	4		212		—		210
Total	$	21	$	695	$	1,573	$	213
Interests purchased in the secondary market (fair value)
Investment grade	$	7	$	91	$	102	$	—
Non-investment grade	28		71		—		—
Total	$	35	$	162	$	102	$	—
Derivative assets (fair value)	$	—	$	—	$	—	$	216
Derivative liabilities (fair value)	—		—		—		178



	Fair Value At June 30, 2019
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	469	$	11	$	480
Non-investment grade	21		99		120
Total	$	490	$	110	$	600
Interests purchased in the secondary market
Investment grade	$	1,095	$	7	$	1,102
Non-investment grade	53		18		71
Total	$	1,148	$	25	$	1,173
Derivative assets	$	11	$	74	$	85
Derivative liabilities	61		2		63



	Fair Value At December 31, 2018
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	1,580	$	13	$	1,593
Non-investment grade	174		252		426
Total	$	1,754	$	265	$	2,019
Interests purchased in the secondary market
Investment grade	$	193	$	7	$	200
Non-investment grade	83		16		99
Total	$	276	$	23	$	299
Derivative assets	$	121	$	95	$	216
Derivative liabilities	175		3		178

RML—Residential mortgage loans

CML—Commercial mortgage loans

Beginning June 30, 2019, as permitted by applicable guidance, certain transfers of assets where the Firm’s only continuing involvement is a derivative are only reported in the Assets Sold with Retained Exposure table, and are no longer also included in this table. At December 31, 2018 these transactions were included in CLN and Other and comprised approximately $8 billion in UPB, $20 million in Derivative assets and $119 million in Derivative liabilities.


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


3.	Amounts include assets transferred by unrelated transferors.

The transfers of assets with continuing involvement tables include transactions with SPEs in which the Firm, acting as principal, transferred financial assets with continuing involvement and received sales treatment.

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.

Proceeds from New Securitization Transactions and Sales of Loans



	Three Months Ended June 30,				Six Months Ended June 30,
$ in millions	2019		2018		2019		2018
New transactions¹	$	7,513	$	5,624	$	12,246	$	11,758
Retained interests	635		1,156		3,522		1,637
Sales of corporate loans to CLO SPEs^{1, 2}	—		142		—		236


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 11).

Assets Sold with Retained Exposure



$ in millions	At June 30, 2019		At December 31, 2018
Gross cash proceeds from sale of assets¹	$	34,628	$	27,121
Fair value
Assets sold	$	35,084	$	26,524
Derivative assets recognized in the balance sheets	587		164
Derivative liabilities recognized in the balance sheets	67		763


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 13 to the financial statements in the 2018 Form 10-K.