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Variable Interest Entities and Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2019

Variable Interest Entities and Securitization Activities [Abstract]

Assets and Liabilities by Type of Activity



	At September 30, 2019				At December 31, 2018
$ in millions	VIE Assets		VIE Liabilities		VIE Assets		VIE Liabilities
OSF	$	281	$	—	$	267	$	—
MABS¹	13		4		59		38
Other²	879		69		809		48
Total	$	1,173	$	73	$	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 September 30, 2019		At December 31, 2018
Assets
Cash and cash equivalents:
Cash and due from banks	$	104	$	77
Restricted cash	173		171
Trading assets at fair value	374		314
Customer and other receivables	10		25
Goodwill	—		18
Intangible assets	114		128
Other assets	398		402
Total	$	1,173	$	1,135
Liabilities
Other secured financings	$	32	$	64
Other liabilities and accrued expenses	41		22
Total	$	73	$	86
Noncontrolling interests	$	160	$	106

Schedule of Non-Consolidated VIEs

Non-consolidated VIEs



	At September 30, 2019
$ in millions	MABS¹		CDO		MTOB		OSF		Other²
VIE assets (UPB)	$	115,498	$	1,475	$	7,011	$	2,298	$	42,383
Maximum exposure to loss³
Debt and equity interests	$	15,538	$	157	$	62	$	965	$	10,393
Derivative and other contracts	—		—		4,545		—		2,979
Commitments, guarantees and other	660		—		—		—		783
Total	$	16,198	$	157	$	4,607	$	965	$	14,155
Carrying value of variable interests—Assets
Debt and equity interests	$	15,538	$	157	$	62	$	964	$	10,393
Derivative and other contracts	—		—		6		—		208
Total	$	15,538	$	157	$	68	$	964	$	10,601
Additional VIE assets owned⁴									$	11,192
Carrying value of variable interests—Liabilities
Derivative and other contracts	$	—	$	—	$	—	$	—	$	211



	At December 31, 2018⁵
$ in millions	MABS¹		CDO		MTOB		OSF		Other²
VIE assets (UPB)	$	106,197	$	10,848	$	7,014	$	3,314	$	38,603
Maximum exposure to loss³
Debt and equity interests	$	15,671	$	1,169	$	—	$	1,622	$	7,967
Derivative and other contracts	—		—		4,449		—		1,768
Commitments, guarantees and other	1,073		3		—		235		509
Total	$	16,744	$	1,172	$	4,449	$	1,857	$	10,244
Carrying value of variable interests–Assets
Debt and equity interests	$	15,671	$	1,169	$	—	$	1,205	$	7,967
Derivative and other contracts	—		—		6		—		87
Total	$	15,671	$	1,169	$	6	$	1,205	$	8,054
Additional VIE assets owned⁴									$	12,059
Carrying value of variable interests—Liabilities
Derivative and other contracts	$	—	$	—	$	—	$	—	$	185

MTOB—Municipal tender option bonds


1.	MABS includes loan– and security–form interests collateralized by pools of residential and commercial mortgages.


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.

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.


5.	The carrying value and maximum exposure to loss of variable interests related to MABS and Other have been revised to reflect the addition of approximately $11 billion in loans to VIEs that were previously excluded. The VIE asset (UPB) amounts have also been revised by approximately $54 billion. This disclosure-only revision did not impact the Firm’s balance sheets.

Schedule of Mortgage- and Asset-Backed Securitization Assets

Mortgage- and Asset-Backed Securitization Assets



	At September 30, 2019				At December 31, 2018¹
$ in millions	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests
Residential mortgages	$	28,005	$	4,144	$	27,594	$	4,581
Commercial mortgages	49,354		3,969		55,501		4,327
U.S. agency collateralized mortgage obligations	31,997		5,341		14,969		3,443
Other consumer or commercial loans	6,142		2,084		8,133		3,320
Total	$	115,498	$	15,538	$	106,197	$	15,671

The balances as of December 31, 2018 were revised as noted in the Non-consolidated VIEs table herein.

Schedule of Transfers of Assets with Continuing Involvement

Transfers of Assets with Continuing Involvement



	At September 30, 2019¹
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other²
SPE assets (UPB)³	$	12,726	$	77,431	$	14,841	$	6,637
Retained interests
Investment grade	$	27	$	620	$	1,463	$	1
Non-investment grade	18		199		—		89
Total	$	45	$	819	$	1,463	$	90
Interests purchased in the secondary market (fair value)
Investment grade	$	7	$	244	$	15	$	5
Non-investment grade	35		22		—		—
Total	$	42	$	266	$	15	$	5
Derivative assets (fair value)	$	—	$	—	$	—	$	201
Derivative liabilities (fair value)	—		—		—		69



	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 September 30, 2019
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	1,475	$	17	$	1,492
Non-investment grade	11		107		118
Total	$	1,486	$	124	$	1,610
Interests purchased in the secondary market
Investment grade	$	268	$	3	$	271
Non-investment grade	37		20		57
Total	$	305	$	23	$	328
Derivative assets	$	163	$	38	$	201
Derivative liabilities	65		4		69



	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

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, 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.

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



	Three Months Ended September 30,				Nine Months Ended September 30,
$ in millions	2019		2018		2019		2018
New transactions¹	$	8,651	$	7,299	$	20,897	$	19,056
Retained interests	902		584		4,424		2,222
Sales of corporate loans to CLO SPEs^{1, 2}	—		17		—		253


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.

Sponsored by non-affiliates.

Schedule of Assets Sold with Retained Exposure

Assets Sold with Retained Exposure



$ in millions	At September 30, 2019		At December 31, 2018
Gross cash proceeds from sale of assets¹	$	35,328	$	27,121
Fair value
Assets sold	$	35,600	$	26,524
Derivative assets recognized in the balance sheets	534		164
Derivative liabilities recognized in the balance sheets	250		763


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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