v3.26.1
Securitization Activities
 3 Months Ended
Mar. 31, 2026
Transfers and Servicing [Abstract]  
Securitization Activities
Securitization Activities
The firm securitizes residential and commercial mortgages, corporate bonds, loans and other types of financial assets by selling these assets to securitization vehicles (e.g., trusts, corporate entities and limited liability companies) or through a resecuritization. The firm acts as underwriter of the beneficial interests that are sold to investors. The firm’s residential mortgage securitizations are primarily in connection with government agency securitizations.
The firm accounts for a securitization as a sale when it has relinquished control over the transferred financial assets. Prior to securitization, the firm generally accounts for assets pending transfer at fair value and therefore does not typically recognize significant gains or losses upon the transfer of assets. Net revenues from underwriting activities are recognized in connection with the sales of the underlying beneficial interests to investors.
The firm generally receives cash in exchange for the transferred assets but may also have continuing involvement with the transferred financial assets, including ownership of beneficial interests in securitized financial assets, primarily in the form of debt instruments. The firm may also purchase senior or subordinated securities issued by securitization vehicles (which are typically VIEs) in connection with secondary market-making activities.
The primary risks included in beneficial interests and other interests from the firm’s continuing involvement with securitization vehicles are the performance of the underlying collateral, the position of the firm’s investment in the capital structure of the securitization vehicle and the market yield for the security. Interests accounted for at fair value are primarily classified in level 2 of the fair value hierarchy. Interests not accounted for at fair value are carried at amounts that approximate fair value. See Note 4 for further information about fair value measurements.
The table below presents the amount of financial assets securitized and the cash flows received on retained interests in securitization entities in which the firm had continuing involvement as of the end of the period.
Three Months
Ended March
$ in millions20262025
Residential mortgages$15,222 $13,566 
Commercial mortgages4,828 5,645 
Other financial assets– 418 
Total financial assets securitized$20,050 $19,629 
Retained interests cash flows$278 $211 
The firm securitized assets of $184 million during the three months ended March 2026 and $133 million during the three months ended March 2025, in a non-cash exchange for loans and investments.
The table below presents information about nonconsolidated securitization entities to which the firm sold assets and had continuing involvement as of the end of the period.
$ in millionsOutstanding
 Principal
 Amount		Retained
 Interests		Purchased
 Interests
As of March 2026
U.S. government agency-issued CMOs$68,026 $3,599 $– 
Other residential mortgage-backed40,339 1,715 54 
Other commercial mortgage-backed75,365 1,145 31 
Corporate debt and other asset-backed12,979 473 9 
Total$196,709 $6,932 $94 
As of December 2025
U.S. government agency-issued CMOs$62,433 $3,169 $– 
Other residential mortgage-backed38,605 1,630 37 
Other commercial mortgage-backed77,967 1,148 39 
Corporate debt and other asset-backed13,904 511 14 
Total$192,909 $6,458 $90 

In the table above:
•CMOs represents collateralized mortgage obligations.
•The outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities and is not representative of the firm’s risk of loss.
•The firm’s risk of loss from retained or purchased interests is limited to the carrying value of these interests.
•Purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests.
•Substantially all of the total outstanding principal amount and total retained interests relate to securitizations during 2019 and thereafter.
•The fair value of retained interests was $6.81 billion as of March 2026 and $6.37 billion as of December 2025.
In addition to the interests in the table above, the firm had other continuing involvement in the form of derivative transactions and commitments with certain nonconsolidated VIEs. The carrying value of these derivatives and commitments was a net asset of $1.47 billion as of March 2026 and $1.48 billion as of December 2025, and the notional amount of these derivatives and commitments was $4.07 billion as of March 2026 and $4.13 billion as of December 2025. The notional amounts of these derivatives and commitments are included in maximum exposure to loss in the nonconsolidated VIEs table in Note 17. Additionally, the firm provided seller financing of $62 million (in connection with the sale of $77 million of loans) during the three months ended March 2026 and $340 million (in connection with the sale of $425 million of loans) during the three months ended March 2025. The principal and interest repayments received from the seller financings were $80 million for the three months ended March 2026 and $198 million for the three months ended March 2025. The total outstanding principal amount of seller financings was $1.18 billion as of both March 2026 and December 2025.

The table below presents information about the weighted average key economic assumptions used in measuring the fair value of mortgage-backed retained interests.
As of
MarchDecember
$ in millions20262025
Fair value of retained interests$6,384 $5,865 
Weighted average life (years)5.86.2
Constant prepayment rate13.4%12.4%
Impact of 10% adverse change$(63)$(53)
Impact of 20% adverse change$(119)$(102)
Discount rate7.7%8.6%
Impact of 10% adverse change$(176)$(171)
Impact of 20% adverse change$(339)$(331)
In the table above:
•Amounts do not reflect the benefit of other financial instruments that are held to mitigate risks inherent in these retained interests.
•Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear.
•The impact of a change in a particular assumption is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above.
•The constant prepayment rate is included only for positions for which it is a key assumption in the determination of fair value.
•The discount rate for retained interests that relate to U.S. government agency-issued CMOs does not include any credit loss. Expected credit loss assumptions are reflected in the discount rate for the remainder of retained interests.
The firm had other retained interests not reflected in the table above with a fair value of $428 million and a weighted average life of 4.1 years as of March 2026, and a fair value of $506 million and a weighted average life of 4.1 years as of December 2025. Due to the nature and fair value of certain of these retained interests, the weighted average assumptions for constant prepayment and discount rates and the related sensitivity to adverse changes were not meaningful as of both March 2026 and December 2025. The firm’s maximum exposure to adverse changes in the value of these interests was the carrying value of $473 million as of March 2026 and $511 million as of December 2025.