Guarantees, Pledged Assets and Collateral and Other Commitments (Tables)

9 Months Ended

Sep. 30, 2020

Guarantees - Carrying Value and Maximum Exposure to Loss

Table 13.1 shows carrying value, maximum exposure to loss on our guarantees and the related non-investment grade amounts.

Table 13.1: 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, 2020
Standby letters of credit	$	195	12,381	4,287	1,844	446	18,958	7,484
Direct pay letters of credit	42		2,227	2,853	704	48	5,832	1,175
Written options (1)	(245)		13,356	10,851	2,379	152	26,738	16,205
Loans and MLHFS sold with recourse (2)	34		231	752	1,596	10,016	12,595	10,254
Exchange and clearing house guarantees	—		—	—	—	5,516	5,516	—
Other guarantees and indemnifications (3)	1		567	1	1	1,667	2,236	528
Total guarantees	$	27	28,762	18,744	6,524	17,845	71,875	35,646
December 31, 2019
Standby letters of credit	$	36	11,569	4,460	2,812	467	19,308	7,104
Direct pay letters of credit	—		1,861	3,815	824	105	6,605	1,184
Written options (1)	(345)		17,088	10,869	2,341	273	30,571	18,113
Loans and MLHFS sold with recourse (2)	52		114	576	1,356	10,050	12,096	9,835
Exchange and clearing house guarantees	—		—	—	—	4,817	4,817	—
Other guarantees and indemnifications (3)	1		785	1	3	809	1,598	698
Total guarantees	$	(256)	31,417	19,721	7,336	16,521	74,995	36,934

(1)Written options, which are in the form of derivatives, are also included in the derivative disclosures in Note 15 (Derivatives). Carrying value net asset position is a result of certain deferred premium option trades.

(2)Represent recourse provided, predominantly to the GSEs, on loans sold under various programs and arrangements.

(3)Includes indemnifications provided to certain third-party clearing agents. Outstanding customer obligations under these arrangements were $176 million and $80 million with related collateral of $1.5 billion and $696 million at September 30, 2020, and December 31, 2019, respectively.

Pledged Assets

Table 13.2 provides the carrying amount of on-balance sheet pledged assets and the fair value of other pledged collateral. Other pledged collateral is collateral we have received from third parties, have the right to repledge and is not recognized on our balance sheet.

TRADING RELATED ACTIVITY Our trading businesses may pledge debt and equity securities in connection with securities sold under agreements to repurchase (repurchase agreements) and securities lending arrangements. The collateral that we pledge related to our trading activities may include our own collateral as well as collateral that we have received from third parties and have the right to repledge. All of the trading activity pledged collateral is eligible to be repledged or sold by the secured party.

NON-TRADING RELATED ACTIVITY As part of our liquidity management strategy, we may pledge loans, debt securities, and

other assets to secure trust and public deposits, borrowings and letters of credit from the Federal Home Loan Bank (FHLB) and FRB and for other purposes as required or permitted by law or insurance statutory requirements. Substantially all of the non-trading activity pledged collateral is not eligible to be repledged or sold by the secured party.

VIE RELATED We pledge assets in connection with various types of transactions entered into with VIEs. These pledged assets can only be used to settle the liabilities of those entities. We also have loans recorded on our balance sheet which represent certain delinquent loans that are eligible for repurchase from GNMA loan securitizations. See Note 10 (Securitizations and Variable Interest Entities) for additional information on consolidated VIE assets and VIEs accounted for as secured borrowings.

Table 13.2: Pledged Assets


(in millions)	Sep 30, 2020		Dec 31, 2019
Related to trading activities:
Repledged third-party owned debt and equity securities	$	37,121	60,083
Trading debt securities and other	20,483		51,083
Equity securities	835		1,379
Total pledged assets related to trading activities	58,439		112,545
Related to non-trading activities:
Loans	364,865		406,106
Debt securities:

Available-for-sale	55,479		61,126
Held-to-maturity	2,786		3,685
Mortgage loans held for sale	—		2,266
Total pledged assets related to non-trading activities	423,130		473,183
Related to VIEs:
Consolidated VIE assets	11,599		14,368
VIEs accounted for as secured borrowings	69		80
Loans eligible for repurchase from GNMA securitizations	76		568
Total pledged assets related to VIEs	11,744		15,016
Total pledged assets	$	493,313	600,744

Offsetting - Securities Financing Activities

Table 13.3 presents resale and repurchase agreements subject to master

repurchase agreements (MRA) and securities borrowing and lending agreements subject to master securities lending agreements (MSLA). Collateralized financings 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 13.3, we also have balance sheet netting related to derivatives that is disclosed in Note 15 (Derivatives).

Table 13.3: Offsetting – Securities Financing Activities


(in millions)	Sep 30, 2020		Dec 31, 2019
Assets:
Resale and securities borrowing agreements
Gross amounts recognized	$	94,579	140,773
Gross amounts offset in consolidated balance sheet (1)	(11,066)		(19,180)
Net amounts in consolidated balance sheet (2)	83,513		121,593
Collateral not recognized in consolidated balance sheet (3)	(82,736)		(120,786)
Net amount (4)	$	777	807
Liabilities:
Repurchase and securities lending agreements
Gross amounts recognized	$	54,888	111,038
Gross amounts offset in consolidated balance sheet (1)	(11,066)		(19,180)
Net amounts in consolidated balance sheet (5)	43,822		91,858
Collateral pledged but not netted in consolidated balance sheet (6)	(43,602)		(91,709)
Net amount (4)	$	220	149

(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)Includes $69.2 billion and $102.1 billion classified on our consolidated balance sheet in federal funds sold and securities purchased under resale agreements at September 30, 2020, and December 31, 2019, respectively. Also includes securities purchased under long-term resale agreements (generally one year or more) classified in loans, which totaled $14.3 billion and $19.5 billion, at September 30, 2020, and December 31, 2019, respectively.

(3)Represents the fair value of collateral we have received under enforceable MRAs or MSLAs, limited in the table above to the amount of the recognized asset due from each counterparty. At September 30, 2020, and December 31, 2019, we have received total collateral with a fair value of $106.5 billion and $150.9 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 $35.9 billion at September 30, 2020, and $59.1 billion at December 31, 2019.

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

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

(6)Represents the fair value of collateral we have pledged, related to enforceable MRAs or MSLAs, limited in the table above to the amount of the recognized liability owed to each counterparty. At September 30, 2020, and December 31, 2019, we have pledged total collateral with a fair value of $56.5 billion and $113.3 billion, respectively, substantially all of which may be sold or repledged by the counterparty.

Gross Obligations by Underlying Collateral Type and Contractual Maturities of Gross Obligations

Table 13.4 provides the gross amounts recognized on the balance sheet (before the effects of offsetting) of our liabilities for repurchase and securities lending agreements disaggregated by underlying collateral type.

Table 13.4: Gross Obligations by Underlying Collateral Type


(in millions)	Sep 30, 2020		Dec 31, 2019
Repurchase agreements:
Securities of U.S. Treasury and federal agencies	$	22,342	48,161
Securities of U.S. States and political subdivisions	46		104
Federal agency mortgage-backed securities	13,184		44,737
Non-agency mortgage-backed securities	1,176		1,818
Corporate debt securities	8,780		7,126
Asset-backed securities	1,050		1,844
Equity securities	1,463		1,674
Other	830		705
Total repurchases	48,871		106,169
Securities lending arrangements:
Securities of U.S. Treasury and federal agencies	57		163

Federal agency mortgage-backed securities	42		—

Corporate debt securities	98		223

Equity securities (1)	5,788		4,481
Other	32		2
Total securities lending	6,017		4,869
Total repurchases and securities lending	$	54,888	111,038

(1)Equity securities are generally exchange traded and represent collateral received from third parties that has been repledged. We received the collateral through either margin lending agreements or contemporaneous securities borrowing transactions with other counterparties.

Table 13.5 provides the contractual maturities of our gross obligations under repurchase and securities lending agreements.

Table 13.5: Contractual Maturities of Gross Obligations


(in millions)	Overnight/continuous		Up to 30 days	30-90 days	>90 days	Total gross obligation
September 30, 2020
Repurchase agreements	$	37,173	1,963	6,150	3,585	48,871
Securities lending arrangements	5,467		—	550	—	6,017
Total repurchases and securities lending (1)	$	42,640	1,963	6,700	3,585	54,888
December 31, 2019
Repurchase agreements	$	79,793	17,681	4,825	3,870	106,169
Securities lending arrangements	4,724		—	145	—	4,869
Total repurchases and securities lending (1)	$	84,517	17,681	4,970	3,870	111,038

(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.