Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2021

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



	As of

$ in millions		September 2021	December 2020
Total nonconsolidated VIEs
Assets in VIEs		$169,664	$148,665
Carrying value of variable interests — assets		$ 10,126	$ 8,624
Carrying value of variable interests — liabilities		$ 826	$ 888
Maximum exposure to loss:
Retained interests		$ 3,623	$ 3,182
Purchased interests		1,055	1,041
Commitments and guarantees		3,304	2,455
Derivatives		8,958	8,343
Debt and equity		5,142	4,020
Total		$ 22,082	$ 19,041

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



	As of

$ in millions		September 2021	December 2020
Mortgage-backed
Assets in VIEs		$113,407	$99,353
Carrying value of variable interests — assets		$ 4,254	$ 4,014
Maximum exposure to loss:
Retained interests		$ 3,271	$ 2,990
Purchased interests		983	1,024
Commitments and guarantees		38	47
Derivatives		380	394
Total		$ 4,672	$ 4,455
Real estate, credit- and power-related and other investing
Assets in VIEs		$ 23,734	$20,934
Carrying value of variable interests — assets		$ 3,400	$ 3,288
Carrying value of variable interests — liabilities		$ 8	$ 14
Maximum exposure to loss:
Commitments and guarantees		$ 1,631	$ 1,374
Derivatives		64	84
Debt and equity		3,400	3,288
Total		$ 5,095	$ 4,746
Corporate debt and other asset-backed
Assets in VIEs		$ 19,704	$14,077
Carrying value of variable interests — assets		$ 2,052	$ 913
Carrying value of variable interests — liabilities		$ 818	$ 874
Maximum exposure to loss:
Retained interests		$ 352	$ 192
Purchased interests		72	17
Commitments and guarantees		1,597	989
Derivatives		8,511	7,862
Debt and equity		1,322	323
Total		$ 11,854	$ 9,383
Investments in funds
Assets in VIEs		$ 12,819	$14,301
Carrying value of variable interests — assets		$ 420	$ 409
Maximum exposure to loss:
Commitments and guarantees		$ 38	$ 45
Derivatives		3	3
Debt and equity		420	409
Total		$ 461	$ 457

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



	As of

$ in millions		September 2021	December 2020
Total consolidated VIEs
Assets
Cash and cash equivalents		$ 394	$ 312
Trading assets		128	96
Investments		872	880
Loans		2,133	2,099
Other assets		355	989
Total		$3,882	$4,376
Liabilities
Other secured financings		$1,180	$1,891
Customer and other payables		4	28
Trading liabilities		49	296
Unsecured short-term borrowings		156	43
Unsecured long-term borrowings		84	226
Other liabilities		931	948
Total		$2,404	$3,432

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



	As of

$ in millions		September 2021	December 2020
Real estate, credit-related and other investing
Assets
Cash and cash equivalents		$ 268	$ 229
Trading assets		28	8
Investments		872	880
Loans		2,133	2,099
Other assets		355	989
Total		$3,656	$4,205
Liabilities
Other secured financings		$ 158	$ 649
Customer and other payables		4	28
Trading liabilities		49	46
Other liabilities		931	948
Total		$1,142	$1,671
Corporate debt and other asset-backed
Assets
Cash and cash equivalents		$ 126	$ 83
Trading assets		20	–
Total		$ 146	$ 83
Liabilities
Other secured financings		$ 620	$ 679
Total		$ 620	$ 679
Principal-protected notes
Assets
Trading assets		$ 80	$ 88
Total		$ 80	$ 88
Liabilities
Other secured financings		$ 402	$ 563
Trading liabilities		–	250
Unsecured short-term borrowings		156	43
Unsecured long-term borrowings		84	226
Total		$ 642	$1,082