Pledged Assets and Collateral

9 Months Ended

Sep. 30, 2021

Transfers and Servicing [Abstract]

Pledged Assets and Collateral

Note 12:  Pledged Assets and Collateral

Pledged Assets

Table 12.1 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 consolidated 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 collateral we pledge related to trading activity 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 financial assets to secure trust and public deposits, borrowings and letters of credit from the Federal Home Loan Bank (FHLB) and the Board of Governors of the Federal Reserve System (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 consolidated balance sheet which represent certain delinquent loans that are eligible for repurchase from GNMA loan securitizations. See Note 8 (Securitizations and Variable Interest Entities) for additional information on consolidated VIE assets.

Table 12.1: Pledged Assets

(in millions)	Sep 30, 2021		Dec 31, 2020
Related to trading activities:
Repledged third-party owned debt and equity securities	$	34,470	44,765
Trading debt securities and other	21,246		19,572
Equity securities	884		470
Total pledged assets related to trading activities	56,600		64,807
Related to non-trading activities:
Loans	285,792		344,220
Debt securities:
Available-for-sale	52,392		57,289
Held-to-maturity	13,001		17,290
Other financial assets	576		230
Total pledged assets related to non-trading activities	351,761		419,029
Related to VIEs:
Consolidated VIE assets	4,864		12,146
Loans eligible for repurchase from GNMA securitizations	126		179
Total pledged assets related to VIEs	4,990		12,325
Total pledged assets	$	413,351	496,161

Securities Financing Activities

We enter into resale and repurchase agreements and securities borrowing and lending agreements (collectively, “securities financing activities”) typically to finance trading positions (including securities and derivatives), acquire securities to cover short trading positions, accommodate customers’ financing needs, and settle other securities obligations. These activities are conducted through our broker-dealer subsidiaries and, to a lesser extent, through other bank entities. Our securities financing activities primarily involve high-quality, liquid securities such as U.S. Treasury securities and government agency securities and, to a lesser extent, less liquid securities, including equity securities, corporate bonds and asset-backed securities. We account for these transactions as collateralized financings in which we typically receive or pledge securities as collateral. We believe these financing transactions generally do not have material credit risk given the collateral provided and the related monitoring processes.

OFFSETTING OF SECURITIES FINANCING ACTIVITIES Table 12.2 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, and those with a single counterparty, are presented net on our consolidated balance sheet, provided certain criteria are met that permit balance sheet netting. The majority of 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 consolidated balance sheet against the related liability. Collateral we received includes securities or loans and is not recognized on our consolidated 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 12.2, we also have balance sheet netting related to derivatives that is disclosed in Note 14 (Derivatives).

Table 12.2: Offsetting – Securities Financing Activities

(in millions)	Sep 30, 2021		Dec 31, 2020
Assets:
Resale and securities borrowing agreements
Gross amounts recognized	$	105,084	92,446
Gross amounts offset in consolidated balance sheet (1)	(18,142)		(11,513)
Net amounts in consolidated balance sheet (2)	86,942		80,933
Collateral not recognized in consolidated balance sheet (3)	(86,140)		(80,158)
Net amount (4)	$	802	775
Liabilities:
Repurchase and securities lending agreements
Gross amounts recognized	$	47,319	57,622
Gross amounts offset in consolidated balance sheet (1)	(18,142)		(11,513)
Net amounts in consolidated balance sheet (5)	29,177		46,109
Collateral pledged but not netted in consolidated balance sheet (6)	(28,971)		(45,819)
Net amount (4)	$	206	290

(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 $67.8 billion and $65.6 billion classified on our consolidated balance sheet in federal funds sold and securities purchased under resale agreements at September 30, 2021, and December 31, 2020, respectively. Also includes securities purchased under long-term resale agreements (generally one year or more) classified in loans, which totaled $19.2 billion and $15.3 billion, at September 30, 2021, and December 31, 2020, 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, 2021, and December 31, 2020, we have received total collateral with a fair value of $122.0 billion and $108.5 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 $32.1 billion and $36.1 billion at September 30, 2021, and December 31, 2020, respectively.

(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, 2021, and December 31, 2020, we have pledged total collateral with a fair value of $48.3 billion and $59.2 billion, respectively, substantially all of which may be sold or repledged by the counterparty.

REPURCHASE AND SECURITIES LENDING AGREEMENTS Securities sold under repurchase agreements and securities lending arrangements are effectively short-term collateralized borrowings. In these transactions, we receive cash in exchange for transferring securities as collateral and recognize an obligation to reacquire the securities for cash at the transaction’s maturity. These types of transactions create risks, including (1) the counterparty may fail to return the securities at maturity, (2) the fair value of the securities transferred may decline below the amount of our obligation to reacquire the securities, and therefore create an obligation for us to pledge additional amounts, and (3) the counterparty may accelerate the maturity on demand, requiring us to reacquire the security prior to contractual maturity. We attempt to mitigate these risks in various ways. Our collateral primarily consists of highly liquid securities. In addition, we underwrite and monitor the financial strength of our counterparties, monitor the fair value of collateral pledged relative to contractually required repurchase amounts, and monitor that our collateral is properly returned through the clearing and settlement process in advance of our cash repayment. Table 12.3 provides the gross amounts recognized on the consolidated balance sheet (before the effects of offsetting) of our liabilities for repurchase and securities lending agreements disaggregated by underlying collateral type.

Table 12.3: Gross Obligations by Underlying Collateral Type

(in millions)	Sep 30, 2021		Dec 31, 2020
Repurchase agreements:
Securities of U.S. Treasury and federal agencies	$	22,779	22,922
Securities of U.S. States and political subdivisions	1		4
Federal agency mortgage-backed securities	5,465		15,353
Non-agency mortgage-backed securities	877		1,069
Corporate debt securities	9,517		9,944
Asset-backed securities	972		1,054
Equity securities	725		1,500
Other	778		336
Total repurchases	41,114		52,182
Securities lending arrangements:
Securities of U.S. Treasury and federal agencies	47		64
Federal agency mortgage-backed securities	35		23
Corporate debt securities	98		79
Equity securities (1)	5,992		5,189
Other	33		85
Total securities lending	6,205		5,440
Total repurchases and securities lending	$	47,319	57,622

(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 12.4 provides the contractual maturities of our gross obligations under repurchase and securities lending agreements.

Table 12.4: Contractual Maturities of Gross Obligations

(in millions)	Overnight/continuous		Up to 30 days	30-90 days	>90 days	Total gross obligation
September 30, 2021
Repurchase agreements	$	28,665	1,913	5,651	4,885	41,114
Securities lending arrangements	5,405		200	600	—	6,205
Total repurchases and securities lending (1)	$	34,070	2,113	6,251	4,885	47,319
December 31, 2020
Repurchase agreements	$	36,946	5,251	5,100	4,885	52,182
Securities lending arrangements	4,690		400	350	—	5,440
Total repurchases and securities lending (1)	$	41,636	5,651	5,450	4,885	57,622

(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.