Variable Interest Entities and Securitization Activities (Tables)

12 Months Ended

Dec. 31, 2018

Variable Interest Entities and Securitization Activities [Abstract]

Assets and Liabilities by Type of Activity

		At December 31, 2018				At December 31, 2017
$ in millions	VIE Assets		VIE Liabilities		VIE Assets		VIE Liabilities
OSF	$	267	$	—	$	378	$	3
MABS¹		59		38		249		210
Other²		809		48		1,174		250
Total	$	1,135	$	86	$	1,801	$	463

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 investment funds, certain operating entities and structured transactions. During 2018, Other included a fund managed by Mesa West Capital, LLC (which was acquired by the Firm in the first quarter of 2018), until the fund was deconsolidated in the fourth quarter of 2018 due to the termination of a credit facility provided by the Firm to this fund.

Assets and Liabilities by Balance Sheet Caption

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Assets
Cash and cash equivalents:
Cash and due from banks	$	77	$	69
Restricted cash		171		222
Trading assets at fair value		314		833
Customer and other receivables		25		19
Goodwill		18		18
Intangible assets		128		155
Other assets		402		485
Total	$	1,135	$	1,801
Liabilities
Other secured financings	$	64	$	438
Other liabilities and accrued expenses		22		25
Total	$	86	$	463
Noncontrolling interests	$	106	$	189

Non-Consolidated VIEs

Non-consolidated VIEs

	At December 31, 2018
$ in millions	MABS		CDO		MTOB		OSF		Other
VIE assets (UPB)	$	71,287	$	10,848	$	7,014	$	3,314	$	19,682
Maximum exposure to loss¹
Debt and equity
interests	$	8,234	$	1,169	$	—	$	1,622	$	4,645
Derivative and
other contracts		—		—		4,449		—		1,768
Commitments,
guarantees
and other		397		3		—		235		327
Total	$	8,631	$	1,172	$	4,449	$	1,857	$	6,740

Carrying value of exposure to loss—Assets
Debt and equity
interests	$	8,234	$	1,169	$	—	$	1,205	$	4,645
Derivative and
other contracts		—		—		6		—		87
Total	$	8,234	$	1,169	$	6	$	1,205	$	4,732
Additional VIE assets owned²									$	11,969

Carrying value of exposure to loss—Liabilities
Derivative and
other contracts	$	—	$	—	$	—	$	—	$	185
Total	$	—	$	—	$	—	$	—	$	185

	At December 31, 2017
$ in millions		MABS		CDO		MTOB		OSF		Other
VIE assets (UPB)	$	89,288	$	9,807	$	5,306	$	3,322	$	31,934
Maximum exposure to loss¹
Debt and equity
interests	$	10,657	$	1,384	$	80	$	1,628	$	4,730
Derivative and
other contracts		—		—		3,333		—		1,686
Commitments,
guarantees
and other		1,214		668		—		164		433
Total	$	11,871	$	2,052	$	3,413	$	1,792	$	6,849

Carrying value of exposure to loss—Assets
Debt and equity
interests	$	10,657	$	1,384	$	43	$	1,202	$	4,730
Derivative and
other contracts		—		—		5		—		184
Total	$	10,657	$	1,384	$	48	$	1,202	$	4,914
Additional VIE assets owned²									$	11,318

MTOB—Municipal tender option bonds

1. 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.

2. 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.

Mortgage- and Asset-Backed Securitization Assets

		At December 31, 2018				At December 31, 2017
	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests

$ in millions
Residential mortgages	$	6,954	$	745	$	15,636	$	1,272
Commercial mortgages		42,974		1,237		46,464		2,331
U.S. agency collateralized
mortgage obligations		14,969		3,443		16,223		3,439
Other consumer or
commercial loans		6,390		2,809		10,965		3,615
Total	$	71,287	$	8,234	$	89,288	$	10,657

Transfers of Assets with Continuing Involvement

Transfers of Assets with Continuing Involvement

		At December 31, 2018
	RML		CML		U.S. Agency CMO		CLN and Other¹
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other¹
SPE assets (UPB)²	$	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

		At December 31, 2017
	RML		CML		U.S. Agency CMO		CLN and Other¹
$ in millions	RML		CML		U.S. Agency CMO		CLN and Other¹
SPE assets (UPB)²	$	15,555	$	62,744	$	11,612	$	17,060
Retained interests
Investment grade	$	—	$	293	$	407	$	4
Non-investment grade
(fair value)		1		98		—		478
Total	$	1	$	391	$	407	$	482
Interests purchased in the secondary market (fair value)
Investment grade	$	—	$	94	$	439	$	—
Non-investment grade		16		66		—		4
Total	$	16	$	160	$	439	$	4
Derivative assets (fair value)	$	1	$	—	$	—	$	226
Derivative liabilities (fair value)		—		—		—		85

RML—Residential mortgage loans

CML—Commercial mortgage loans

1. Amounts include CLO transactions managed by unrelated third parties.

2. Amounts include assets transferred by unrelated transferors.

	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

	Fair Value at December 31, 2017
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	407	$	4	$	411
Non-investment grade		22		555		577
Total	$	429	$	559	$	988
Interests purchased in the secondary market
Investment grade	$	531	$	2	$	533
Non-investment grade		57		29		86
Total	$	588	$	31	$	619
Derivative assets	$	78	$	149	$	227
Derivative liabilities		81		4		85

Proceeds from New Securitization Transactions and Sales of Loans

Proceeds from New Securitization Transactions and Sales of Loans

$ in millions		2018		2017		2016
New transactions¹	$	23,821	$	23,939	$	18,975
Retained interests		2,904		2,337		2,701
Sales of corporate loans to
CLO SPEs^{1, 2}		317		191		475

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.

2. Sponsored by non-affiliates.

Assets Sold with Retained Exposure

Assets Sold with Retained Exposure

	At		At
	December 31,		December 31,
$ in millions	2018		2017
Gross cash proceeds from sale of assets¹	$	27,121	$	19,115
Fair value
Assets sold	$	26,524	$	19,138
Derivative assets recognized
in the balance sheets		164		176
Derivative liabilities recognized
in the balance sheets		763		153

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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