Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2020

The table below presents a summary of the nonconsolidated VIEs in which the firm holds variable interests.



	As of December

$ in millions		2020	2019
Total nonconsolidated VIEs
Assets in VIEs		$148,665	$128,069
Carrying value of variable interests — assets		$ 8,624	$ 9,526
Carrying value of variable interests — liabilities		$ 888	$ 619
Maximum exposure to loss:
Retained interests		$ 3,182	$ 3,372
Purchased interests		1,041	901
Commitments and guarantees		2,455	2,697
Derivatives		8,343	9,010
Debt and equity		4,020	4,806
Total		$ 19,041	$ 20,786

The table below presents information, by principal business activity, for nonconsolidated VIEs included in the summary table above.



	As of December

$ in millions		2020	2019
Mortgage-backed
Assets in VIEs		$99,353	$75,354
Carrying value of variable interests — assets		$ 4,014	$ 3,830
Maximum exposure to loss:
Retained interests		$ 2,990	$ 3,223
Purchased interests		1,024	607
Commitments and guarantees		47	50
Derivatives		394	66
Total		$ 4,455	$ 3,946
Real estate, credit- and power-related and other investing
Assets in VIEs		$20,934	$19,602
Carrying value of variable interests — assets		$ 3,288	$ 3,243
Carrying value of variable interests — liabilities		$ 14	$ 7
Maximum exposure to loss:
Commitments and guarantees		$ 1,374	$ 1,213
Derivatives		84	92
Debt and equity		3,288	3,238
Total		$ 4,746	$ 4,543
Corporate debt and other asset-backed
Assets in VIEs		$14,077	$16,248
Carrying value of variable interests — assets		$ 913	$ 2,040
Carrying value of variable interests — liabilities		$ 874	$ 612
Maximum exposure to loss:
Retained interests		$ 192	$ 149
Purchased interests		17	294
Commitments and guarantees		989	1,374
Derivatives		7,862	8,849
Debt and equity		323	1,155
Total		$ 9,383	$11,821
Investments in funds
Assets in VIEs		$14,301	$16,865
Carrying value of variable interests — assets		$ 409	$ 413
Maximum exposure to loss:
Commitments and guarantees		$ 45	$ 60
Derivatives		3	3
Debt and equity		409	413
Total		$ 457	$ 476

The table below presents a summary of the carrying value and balance sheet classification of assets and liabilities in consolidated VIEs.



	As of December

$ in millions		2020	2019
Total consolidated VIEs
Assets
Cash and cash equivalents		$ 312	$ 112
Trading assets		96	27
Investments		880	835
Loans		2,099	2,392
Other assets		989	1,084
Total		$4,376	$4,450
Liabilities
Other secured financings		$1,891	$1,163
Customer and other payables		28	9
Trading liabilities		296	10
Unsecured short-term borrowings		43	48
Unsecured long-term borrowings		226	214
Other liabilities		948	959
Total		$3,432	$2,403

The table below presents information, by principal business activity, for consolidated VIEs included in the summary table above.



	As of December

$ in millions		2020	2019
Real estate, credit-related and other investing
Assets
Cash and cash equivalents		$ 229	$ 112
Trading assets		8	26
Investments		880	835
Loans		2,099	2,392
Other assets		989	1,084
Total		$4,205	$4,449
Liabilities
Other secured financings		$ 649	$ 684
Customer and other payables		28	9
Trading liabilities		46	10
Other liabilities		948	959
Total		$1,671	$1,662
Corporate debt and other asset-backed
Assets
Cash and cash equivalents		$ 83	$ –
Total		$ 83	$ –
Liabilities
Other secured financings		$ 679	$ –
Total		$ 679	$ –
Principal-protected notes
Assets
Trading assets		$ 88	$ 1
Total		$ 88	$ 1
Liabilities
Other secured financings		$ 563	$ 479
Trading liabilities		250	–
Unsecured short-term borrowings		43	48
Unsecured long-term borrowings		226	214
Total		$1,082	$ 741