v3.21.2
Securitization Activities (Tables)
 9 Months Ended
Sep. 30, 2021
Transfers and Servicing [Abstract]  
Amount of Financial Assets Securitized and Cash Flows Received on Retained Interests
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 September		           Nine Months
Ended September		  
           
$ in millions
  
 
2021
 
     2020               
 
2021
 
     2020  
Residential mortgages
  
 
$  9,888
 
     $  7,717            
 
$19,894
 
     $15,725  
Commercial mortgages
  
 
3,066
 
     6,279            
 
13,832
 
     14,062  
Other financial assets
  
 
2,353
 
     66    
 
 
 
  
 
4,017
 
     1,189  
Total financial assets securitized
  
 
$15,307
 
     $14,062    
 
 
 
  
 
$37,743
 
     $30,976  
 
Retained interests cash flows
  
 
$    
    
204
 
     $     130    
 
 
 
  
 
$    
    
452
 
     $     274  
Firms Continuing Involvement in Securitization Entities to Which Firm Sold Assets
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 millions
    
 		 Outstanding
Principal
Amount		  
 
 		     Retained
Interests		  
 		     Purchased
Interests		  
 
As of September 2021
                        
U.S. government agency-issued CMOs
  
 
$
  30,081
 
  
 
$
1,149
 
  
 
$    1
 
Other residential mortgage-backed
  
 
23,252
 
  
 
1,039
 
  
 
36
 
Other commercial mortgage-backed
  
 
47,283
 
  
 
1,083
 
  
 
88
 
Corporate debt and other asset-backed
  
 
7,650
 
  
 
352
 
  
 
42
 
Total
  
 
$
108,266
 
  
 
$
3,623
 
  
 
$167
 
 
As of December 2020
                        
U.S. government agency-issued CMOs
     $  20,841       $   906       $    4  
Other residential mortgage-backed
     24,262       1,170       23  
Other commercial mortgage-backed
     38,340       914       39  
Corporate debt and other asset-backed
     4,299       192       –  
Total
 
     $  87,742       $3,182       $  66  
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 2015 and thereafter.
 
•  
The fair value of retained interests was $3.64 billion as of September 2021 and $3.19 billion as of December 2020.
Weighted Average Key Economic Assumptions Used in Measuring Fair Value of Firm's Retained Interests and Sensitivity of This Fair Value to Immediate Adverse Changes
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  
     
$ in millions
  
 
 
September
2021
 
 
     
 
 December
2020
  
 
Fair value of retained interests
  
 
$3,286
 
      $2,993  
Weighted average life (years)
  
 
5.8
 
      4.7  
Constant prepayment rate
  
 
11.9%
 
      15.0%  
Impact of 10% adverse change
  
 
$  
 
  
  
(7
) 
      $    (25 ) 
Impact of 20% adverse change
  
 
$
 
  
  
(34
) 
      $    (50 ) 
Discount rate
  
 
5.6%
 
      6.1%  
Impact of 10% adverse change
  
 
$  
    
(32
) 
      $    (42 ) 
Impact of 20% adverse change
  
 
$  
   
(84
) 
      $    (82 ) 
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.