Guarantees, Pledged Assets and Collateral (Tables)

9 Months Ended

Sep. 30, 2017

Guarantees - Carrying Value and Maximum Exposure to Loss

Table 10.1 shows carrying value, maximum exposure to loss on our guarantees and the related non-investment grade amounts.

Table 10.1: Guarantees – Carrying Value and Maximum Exposure to Loss



				Maximum exposure to loss
(in millions)	Carrying value of obligation (asset)			Expires in one year or less	Expires after one year through three years	Expires after three years through five years	Expires after five years	Total	Non- investment grade
September 30, 2017
Standby letters of credit (1)	$	37		14,045	8,621	3,251	689	26,606	8,325
Securities lending and other indemnifications (2)	—			—	—	2	929	931	2
Written put options (3)	(407		)	15,576	11,921	4,392	1,260	33,149	19,817
Loans and MHFS sold with recourse (4)	51			203	508	914	9,160	10,785	7,964
Factoring guarantees (5)	—			775	—	—	—	775	711
Other guarantees	1			4	4	2	4,093	4,103	7
Total guarantees	$	(318	)	30,603	21,054	8,561	16,131	76,349	36,826
December 31, 2016
Standby letters of credit (1)	$	38		16,050	8,727	3,194	658	28,629	9,898
Securities lending and other indemnifications (2)	—			—	—	1	1,166	1,167	2
Written put options (3)	37			10,427	10,805	4,573	1,216	27,021	15,915
Loans and MHFS sold with recourse (4)	55			84	637	947	8,592	10,260	7,228
Factoring guarantees (5)	—			1,109	—	—	—	1,109	1,109
Other guarantees	6			19	21	17	3,580	3,637	15
Total guarantees	$	136		27,689	20,190	8,732	15,212	71,823	34,167

(1)

Total maximum exposure to loss includes direct pay letters of credit (DPLCs) of $8.6 billion and $9.2 billion at September 30, 2017, and December 31, 2016, respectively. We issue DPLCs to provide credit enhancements for certain bond issuances. Beneficiaries (bond trustees) may draw upon these instruments to make scheduled principal and interest payments, redeem all outstanding bonds because a default event has occurred, or for other reasons as permitted by the agreement. We also originate multipurpose lending commitments under which borrowers have the option to draw on the facility in one of several forms, including as a standby letter of credit. Total maximum exposure to loss includes the portion of these facilities for which we have issued standby letters of credit under the commitments.


(2)	Includes indemnifications provided to certain third-party clearing agents. Outstanding customer obligations under these arrangements were $92 million and $175 million with related collateral of $837 million and $991 million at September 30, 2017, and December 31, 2016, respectively. Estimated maximum exposure to loss was $929 million at September 30, 2017 and $1.2 billion at December 31, 2016.


(3)	Written put options, which are in the form of derivatives, are also included in the derivative disclosures in Note 12 (Derivatives).


(4)	Represent recourse provided, predominantly to the GSEs, on loans sold under various programs and arrangements. Under these arrangements, we repurchased $1 million and $3 million respectively, of loans associated with these agreements in the third quarter and first nine months of 2017, and $2 million and $4 million in the same periods of 2016, respectively.


(5)	Consists of guarantees made under certain factoring arrangements to purchase trade receivables from third parties, generally upon their request, if receivable debtors default on their payment obligations.

Pledged Assets

Table 10.2 provides the total carrying amount of pledged assets by asset type and pledged off-balance sheet securities for securities financings. The table excludes pledged consolidated VIE assets of $12.9 billion and $13.4 billion at September 30, 2017, and December 31, 2016, respectively, which can only be used to settle the liabilities of those entities. The table also excludes $1.1 billion in assets pledged in transactions with VIE's accounted for as secured borrowings at both September 30, 2017, and December 31, 2016, respectively. See Note 7 (Securitizations and Variable Interest Entities) for additional information on consolidated VIE assets and secured borrowings.

Table 10.2: Pledged Assets



(in millions)	Sep 30, 2017		Dec 31, 2016
Trading assets and other (1)	$	100,160	84,603
Investment securities (2)	67,142		90,946
Mortgages held for sale and loans (3)	480,422		516,112
Total pledged assets	$	647,724	691,661

(1)

Consists of trading assets of $40.1 billion and $33.2 billion at September 30, 2017, and December 31, 2016, respectively and off-balance sheet securities of $60.1 billion and $51.4 billion as of the same dates, respectively, that are pledged as collateral for repurchase agreements and other securities financings. Total trading assets and other includes $100.1 billion and $84.2 billion at September 30, 2017, and December 31, 2016, respectively that permit the secured parties to sell or repledge the collateral.

(2)

Includes carrying value of $5.0 billion and $6.2 billion (fair value of $5.0 billion and $6.2 billion) in collateral for repurchase agreements at September 30, 2017, and December 31, 2016, respectively, which are pledged under agreements that do not permit the secured parties to sell or repledge the collateral. Also includes $84 million and $617 million in collateral pledged under repurchase agreements at September 30, 2017, and December 31, 2016, respectively, that permit the secured parties to sell or repledge the collateral. All other pledged securities are pursuant to agreements that do not permit the secured party to sell or repledge the collateral.

(3)

Includes mortgages held for sale of $1.3 billion and $15.8 billion at September 30, 2017, and December 31, 2016, respectively. Substantially all of the total mortgages held for sale and loans are pledged under agreements that do not permit the secured parties to sell or repledge the collateral. Amounts exclude $1.3 billion and $1.2 billion at September 30, 2017, and December 31, 2016, respectively, of pledged loans recorded on our balance sheet representing certain delinquent loans that are eligible for repurchase from GNMA loan securitizations.

Offsetting - Resale and Repurchase Agreements

Table 10.3 presents resale and repurchase agreements subject to master repurchase agreements (MRA) and securities borrowing and lending agreements subject to master securities lending agreements (MSLA). We account for transactions subject to these agreements as collateralized financings, and those with a single counterparty are presented net on our balance sheet, provided certain criteria are met that permit balance sheet netting. Most transactions subject to these agreements do not meet those criteria and thus are not eligible for balance sheet netting.

Collateral we pledged consists of non-cash instruments, such as securities or loans, and is not netted on the balance sheet against the related liability. Collateral we received includes securities or loans and is not recognized on our balance sheet. Collateral pledged or received may be increased or decreased over time to maintain certain contractual thresholds as the assets underlying each arrangement fluctuate in value. Generally, these agreements require collateral to exceed the asset or liability recognized on the balance sheet. The following table includes the amount of collateral pledged or received related to exposures subject to enforceable MRAs or MSLAs. While these agreements are typically over-collateralized, U.S. GAAP requires disclosure in this table to limit the reported amount of such collateral to the amount of the related recognized asset or liability for each counterparty.

In addition to the amounts included in Table 10.3, we also have balance sheet netting related to derivatives that is disclosed in Note 12 (Derivatives).

Table 10.3: Offsetting – Resale and Repurchase Agreements



(in millions)	Sep 30, 2017			Dec 31, 2016
Assets:
Resale and securities borrowing agreements
Gross amounts recognized	$	109,529		91,123
Gross amounts offset in consolidated balance sheet (1)	(22,954		)	(11,680	)
Net amounts in consolidated balance sheet (2)	86,575			79,443
Collateral not recognized in consolidated balance sheet (3)	(85,777		)	(78,837	)
Net amount (4)	$	798		606
Liabilities:
Repurchase and securities lending agreements
Gross amounts recognized (5)	$	102,281		89,111
Gross amounts offset in consolidated balance sheet (1)	(22,954		)	(11,680	)
Net amounts in consolidated balance sheet (6)	79,327			77,431
Collateral pledged but not netted in consolidated balance sheet (7)	(79,060		)	(77,184	)
Net amount (8)	$	267		247


(1)	Represents recognized amount of resale and repurchase agreements with counterparties subject to enforceable MRAs that have been offset in the consolidated balance sheet.


(2)	At September 30, 2017, and December 31, 2016, includes $66.0 billion and $58.1 billion, respectively, classified on our consolidated balance sheet in federal funds sold, securities purchased under resale agreements and other short-term investments and $20.6 billion and $21.3 billion, respectively, in loans.

(3)

Represents the fair value of collateral we have received under enforceable MRAs or MSLAs, limited for table presentation purposes to the amount of the recognized asset due from each counterparty. At September 30, 2017, and December 31, 2016, we have received total collateral with a fair value of $120.5 billion and $102.3 billion, respectively, all of which, we have the right to sell or repledge. These amounts include securities we have sold or repledged to others with a fair value of $58.4 billion at September 30, 2017, and $50.0 billion at December 31, 2016.


(4)	Represents the amount of our exposure that is not collateralized and/or is not subject to an enforceable MRA or MSLA.


(5)	For additional information on underlying collateral and contractual maturities, see the “Repurchase and Securities Lending Agreements” section in this Note.


(6)	Amount is classified in short-term borrowings on our consolidated balance sheet.

(7)

Represents the fair value of collateral we have pledged, related to enforceable MRAs or MSLAs, limited for table presentation purposes to the amount of the recognized liability owed to each counterparty. At September 30, 2017, and December 31, 2016, we have pledged total collateral with a fair value of $104.2 billion and $91.4 billion, respectively, of which, the counterparty does not have the right to sell or repledge $5.0 billion as of September 30, 2017 and $6.6 billion as of December 31, 2016.


(8)	Represents the amount of our obligation that is not covered by pledged collateral and/or is not subject to an enforceable MRA or MSLA.

Underlying Collateral Types of Gross Obligations and Contractual Maturities of Gross Obligations

Table 10.4 provides the underlying collateral types of our gross obligations under repurchase and securities lending agreements.

Table 10.4: Underlying Collateral Types of Gross Obligations



(in millions)	Sep 30, 2017		Dec 31, 2016
Repurchase agreements:
Securities of U.S. Treasury and federal agencies	$	44,312	34,335
Securities of U.S. States and political subdivisions	120		81
Federal agency mortgage-backed securities	33,456		32,669
Non-agency mortgage-backed securities	1,548		2,167
Corporate debt securities	7,381		6,829
Asset-backed securities	1,873		3,010
Equity securities	368		1,309
Other	1,300		1,704
Total repurchases	90,358		82,104
Securities lending:
Securities of U.S. Treasury and federal agencies	134		152
Federal agency mortgage-backed securities	80		104
Non-agency mortgage-backed securities	—		1
Corporate debt securities	592		653
Equity securities (1)	11,117		6,097
Total securities lending	11,923		7,007
Total repurchases and securities lending	$	102,281	89,111


(1)	Equity securities are generally exchange traded and either re-hypothecated under margin lending agreements or obtained through contemporaneous securities borrowing transactions with other counterparties.

Table 10.5 provides the contractual maturities of our gross obligations under repurchase and securities lending agreements.

Table 10.5: Contractual Maturities of Gross Obligations



(in millions)	Overnight/continuous		Up to 30 days	30-90 days	>90 days	Total gross obligation
September 30, 2017
Repurchase agreements	$	73,953	8,212	3,898	4,295	90,358
Securities lending	9,765		405	1,753	—	11,923
Total repurchases and securities lending (1)	$	83,718	8,617	5,651	4,295	102,281
December 31, 2016
Repurchase agreements	$	60,516	9,598	6,762	5,228	82,104
Securities lending	5,565		167	1,275	—	7,007
Total repurchases and securities lending (1)	$	66,081	9,765	8,037	5,228	89,111


(1)	Securities lending is executed under agreements that allow either party to terminate the transaction without notice, while repurchase agreements have a term structure to them that technically matures at a point in time. The overnight/continuous repurchase agreements require election of both parties to roll the trade rather than the election to terminate the arrangement as in securities lending.