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Collateralized Agreements and Financings
 6 Months Ended
Jun. 30, 2021
Text Block [Abstract]  
Collateralized Agreements and Financings
Note 11.
Collateralized Agreements and Financings
Collateralized agreements are resale agreements and securities borrowed. Collateralized financings are repurchase agreements, securities loaned and other secured financings. The firm enters into these transactions in order to, among other things, facilitate client activities, invest excess cash, acquire securities to cover short positions and finance certain firm activities.
Collateralized agreements and financings are presented on a
net-by-counterparty
basis when a legal right of setoff exists. Interest on collateralized agreements, which is included in interest income, and collateralized financings, which is included in interest expense, is recognized over the life of the transaction. See Note 23 for further information about interest income and interest expense.
Resale and Repurchase Agreements
A resale agreement is a transaction in which the firm purchases financial instruments from a seller, typically in exchange for cash, and simultaneously enters into an agreement to resell the same or substantially the same financial instruments to the seller at a stated price plus accrued interest at a future date.
A repurchase agreement is a transaction in which the firm sells financial instruments to a buyer, typically in exchange for cash, and simultaneously enters into an agreement to repurchase the same or substantially the same financial instruments from the buyer at a stated price plus accrued interest at a future date.
Even though repurchase and resale agreements (including “repos- and
reverses-to-maturity”)
involve the legal transfer of ownership of financial instruments, they are accounted for as financing arrangements because they require the financial instruments to be repurchased or resold before or at the maturity of the agreement. The financial instruments purchased or sold in resale and repurchase agreements typically include U.S. government and agency, and investment-grade sovereign obligations.
The firm receives financial instruments purchased under resale agreements and makes delivery of financial instruments sold under repurchase agreements. To mitigate credit exposure, the firm monitors the market value of these financial instruments on a daily basis, and delivers or obtains additional collateral due to changes in the market value of the financial instruments, as appropriate. For resale agreements, the firm typically requires collateral with a fair value approximately equal to the carrying value of the relevant assets in the consolidated balance sheets.
Securities Borrowed and Loaned Transactions
In a securities borrowed transaction, the firm borrows securities from a counterparty in exchange for cash or securities. When the firm returns the securities, the counterparty returns the cash or securities. Interest is generally paid periodically over the life of the transaction.
In a securities loaned transaction, the firm lends securities to a counterparty in exchange for cash or securities. When the counterparty returns the securities, the firm returns the cash or securities posted as collateral. Interest is generally paid periodically over the life of the transaction.
The firm receives securities borrowed and makes delivery of securities loaned. To mitigate credit exposure, the firm monitors the market value of these securities on a daily basis, and delivers or obtains additional collateral due to changes in the market value of the securities, as appropriate. For securities borrowed transactions, the firm typically requires collateral with a fair value approximately equal to the carrying value of the securities borrowed transaction.
Securities borrowed and loaned within Fixed Income, Currency and Commodities (FICC) financing are recorded at fair value under the fair value option. See Note 10 for further information about securities borrowed and loaned accounted for at fair value.
Substantially all of securities borrowed and loaned within Equities financing are recorded based on the amount of cash collateral advanced or received plus accrued interest. The firm also reviews such securities borrowed to determine if an allowance for credit losses should be recorded by taking into consideration the fair value of collateral received. As these agreements generally can be terminated on demand, they exhibit little, if any, sensitivity to changes in interest rates. Therefore, the carrying value of such agreements approximates fair value. As these agreements are not accounted for at fair value, they are not included in the firm’s fair value hierarchy in Notes 4 through 10. Had these agreements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of both June 2021 and December 2020.
Offsetting Arrangements
The table below presents resale and repurchase agreements and securities borrowed and loaned transactions included in the consolidated balance sheets, as well as the amounts not offset in the consolidated balance sheets.
 
    Assets         Liabilities  
           
$ in millions
     Resale
agreements		  
 		     Securities
borrowed		  
 		            Repurchase
agreements		  
 		     Securities
loaned		  
 
As of June 2021
 
                            
Included in the consolidated balance sheets
 
Gross carrying value
  
 
$
 
267,924
 
  
 
$
 
200,633
 
      
 
$ 265,493
 
  
 
$ 42,536
 
Counterparty netting
  
 
(113,801
) 
  
 
(4,379
) 
  
 
  
 
(113,801
) 
  
 
(4,379
) 
Total
  
 
154,123
 
  
 
196,254
 
  
 
  
 
151,692
 
  
 
38,157
 
Amounts not offset
 
                            
Counterparty netting
  
 
(28,495
) 
  
 
(11,866
) 
      
 
(28,495
) 
  
 
(11,866
) 
Collateral
  
 
(120,865
) 
  
 
(176,921
) 
  
 
  
 
(119,180
) 
  
 
(23,138
) 
Total
  
 
$
 
    4,763
 
  
 
$
 
    7,467
 
  
 
  
 
$     4,017
 
  
 
$   3,153
 
 
As of December 2020
 
                            
Included in the consolidated balance sheets
 
Gross carrying value
     $ 205,817       $ 147,593           $
 
224,328		       $
 
27,054		  
Counterparty netting
     (97,757 )      (5,433 )   
 
     (97,757 )      (5,433 ) 
Total
     108,060       142,160    
 
     126,571       21,621  
Amounts not offset
 
                            
Counterparty netting
     (8,920 )      (3,525 )          (8,920 )      (3,525 ) 
Collateral
     (96,140 )      (132,893 )   
 
     (116,819 )      (17,693 ) 
Total
     $     3,000       $     5,742    
 
     $
 
       832		       $     
 
403		  
In the table above:
 
•  
Substantially all of the gross carrying values of these arrangements are subject to enforceable netting agreements.
 
•  
Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted.
 
•  
Amounts not offset includes counterparty netting that does not meet the criteria for netting under U.S. GAAP and the fair value of collateral received or posted subject to enforceable credit support agreements.
 
•  
Resale agreements and repurchase agreements are carried at fair value under the fair value option. See Note 4 for further information about the valuation techniques and significant inputs used to determine fair value.
 
•  
Securities borrowed included in the consolidated balance sheets of $41.08 billion as of June 2021 and $28.90 billion as of December 2020, and securities loaned of $6.30 billion as of June 2021 and $1.05 billion as of December 2020 were at fair value under the fair value option. See Note 10 for further information about securities borrowed and securities loaned accounted for at fair value.
Gross Carrying Value of Repurchase Agreements and Securities Loaned
The table below presents the gross carrying value of repurchase agreements and securities loaned by class of collateral pledged.
 
$ in millions
     Repurchase
agreements		  
 		   
 
 
 
 
 
 
   Securities
loaned		  
 
As of June 2021
                 
Money market instruments
  
 
$      
 
928
 
   
 
$    
 
    9
 
U.S. government and agency obligations
  
 
113,578
 
   
 
64
 
Non-U.S.
government and agency obligations
  
 
119,760
 
   
 
1,572
 
Securities backed by commercial real estate
  
 
26
 
   
 
–
 
Securities backed by residential real estate
  
 
218
 
   
 
–
 
Corporate debt securities
  
 
11,007
 
   
 
297
 
State and municipal obligations
  
 
92
 
   
 
–
 
Other debt obligations
  
 
55
 
   
 
–
 
Equity securities
  
 
19,829
 
   
 
40,594
 
Total
  
 
$265,493
 
   
 
$42,536
 
 
As of December 2020
                 
Money market instruments
     $         88        $    
 
    –		  
U.S. government and agency obligations
     121,751        –  
Non-U.S.
government and agency obligations
     79,159        1,634  
Securities backed by commercial real estate
     65        –  
Securities backed by residential real estate
     121        –  
Corporate debt securities
     6,364        46  
State and municipal obligations
     92        –  
Other debt obligations
     20        –  
Equity securities
     16,668        25,374  
Total
     $224,328        $27,054  
The table below presents the gross carrying value of repurchase agreements and securities loaned by maturity.
 
   
As of June 2021
  
$ in millions
  
 
Repurchase
agreements
 
 
   
 
Securities
loaned
 
 
No stated maturity and overnight
  
 
$102,727
 
   
 
$25,544
 
2 - 30 days
  
 
66,897
 
   
 
90
 
31 - 90 days
  
 
28,944
 
   
 
109
 
91 days - 1 year
  
 
57,363
 
   
 
15,490
 
Greater than 1 year
  
 
9,562
 
   
 
1,303
 
Total
  
 
$265,493
 
   
 
$42,536
 
In the table above:
 
•  
Repurchase agreements and securities loaned that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates.
 
•  
Repurchase agreements and securities loaned that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable.
Other Secured Financings
In addition to repurchase agreements and securities loaned transactions, the firm funds certain assets through the use of other secured financings and pledges financial instruments and other assets as collateral in these transactions. These other secured financings include:
 
•  
Liabilities of consolidated VIEs;
 
•  
Transfers of assets accounted for as financings rather than sales (e.g., pledged commodities, bank loans and mortgage whole loans); and
 
•  
Other structured financing arrangements.
Other secured financings included nonrecourse arrangements. Nonrecourse other secured financings were $10.79 billion as of June 2021 and $12.31 billion as of December 2020.
The firm has elected to apply the fair value option to substantially all other secured financings because the use of fair value eliminates
non-economic
volatility in earnings that would arise from using different measurement attributes. See Note 10 for further information about other secured financings that are accounted for at fair value.
Other secured financings that are not recorded at fair value are recorded based on the amount of cash received plus accrued interest, which generally approximates fair value. As these financings are not accounted for at fair value, they are not included in the firm’s fair value hierarchy in Notes 4 through 10. Had these financings been included in the firm’s fair value hierarchy, they would have been primarily classified in level 3 as of both June 2021 and December 2020.
The table below presents information about other secured financings.
 
$ in millions
     U.S.
Dollar		  
 		    
Non-U.S.

Dollar		  
 		     Total  
As of June 2021
                        
Other secured financings (short-term):
                        
At fair value
  
 
$  7,523
 
  
 
$  7,786
 
  
 
$15,309
 
At amortized cost
  
 
139
 
  
 
–
 
  
 
139
 
Other secured financings (long-term):
                        
At fair value
  
 
5,563
 
  
 
5,298
 
  
 
10,861
 
At amortized cost
  
 
659
 
  
 
665
 
  
 
1,324
 
Total other secured financings
  
 
$13,884
 
  
 
$13,749
 
  
 
$27,633
 
 
Other secured financings collateralized by:
 
    
Financial instruments
  
 
$  7,756
 
  
 
$12,052
 
  
 
$19,808
 
Other assets
  
 
$  6,128
 
  
 
$  1,697
 
  
 
$  7,825
 
 
As of December 2020
                        
Other secured financings (short-term):
                        
At fair value
     $  6,371       $  6,847       $13,218  
At amortized cost
     –       –       –  
Other secured financings (long-term):
                        
At fair value
     6,632       4,276       10,908  
At amortized cost
     914       715       1,629  
Total other secured financings
     $13,917       $11,838       $25,755  
 
Other secured financings collateralized by:
 
    
Financial instruments
     $  6,841       $10,068       $16,909  
Other assets
     $  7,076       $  1,770       $  8,846  
In the table above:
 
•  
Short-term other secured financings includes financings maturing within one year of the financial statement date and financings that are redeemable within one year of the financial statement date at the option of the holder.
 
•  
U.S. dollar-denominated short-term other secured financings at amortized cost had a weighted average interest rate of 2.54% as of June 2021. These rates include the effect of hedging activities.
 
•  
U.S. dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of 0.59% as of June 2021 and 1.27% as of December 2020. These rates include the effect of hedging activities.
 
•  
Non-U.S.
dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of 0.39% as of June 2021 and 0.40% as of December 2020. These rates include the effect of hedging activities.
 
•  
Total other secured financings included $1.73 billion as of June 2021 and $2.05 billion as of December 2020 related to transfers of financial assets accounted for as financings rather than sales. Such financings were collateralized by financial assets, primarily included in trading assets, of $1.81 billion as of June 2021 and $2.26 billion as of December 2020.
 
•  
Other secured financings collateralized by financial instruments included $14.19 billion as of June 2021 and $11.28 billion as of December 2020 of other secured financings collateralized by trading assets, investments and loans, and included $5.62 billion as of June 2021 and $5.63 billion as of December 2020 of other secured financings collateralized by financial instruments received as collateral and repledged.
 
The table below presents other secured financings by maturity.
 
$ in millions
  
 
As of
June 2021
 
 
Other secured financings (short-term)
  
 
$15,448
 
Other secured financings (long-term):
        
2022
  
 
3,389
 
2023
  
 
3,016
 
2024
  
 
1,559
 
2025
  
 
972
 
2026
  
 
1,236
 
2027 - thereafter
  
 
2,013
 
Total other secured financings (long-term)
  
 
12,185
 
Total other secured financings
  
 
$27,633
 
In the table above:
 
•  
Long-term other secured financings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates.
 
•  
Long-term other secured financings that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable.
Collateral Received and Pledged
The firm receives cash and securities (e.g., U.S. government and agency obligations, other sovereign and corporate obligations, as well as equity securities) as collateral, primarily in connection with resale agreements, securities borrowed, derivative transactions and customer margin loans. The firm obtains cash and securities as collateral on an upfront or contingent basis for derivative instruments and collateralized agreements to reduce its credit exposure to individual counterparties.
In many cases, the firm is permitted to deliver or repledge financial instruments received as collateral when entering into repurchase agreements and securities loaned transactions, primarily in connection with secured client financing activities. The firm is also permitted to deliver or repledge these financial instruments in connection with other secured financings, collateralized derivative transactions and firm or customer settlement requirements.
The firm also pledges certain trading assets in connection with repurchase agreements, securities loaned transactions and other secured financings, and other assets (substantially all real estate and cash) in connection with other secured financings to counterparties who may or may not have the right to deliver or repledge them.
The table below presents financial instruments at fair value received as collateral that were available to be delivered or repledged and were delivered or repledged.
 
    As of  
$ in millions
  
 
June
2021
 
 
     
December
2020
  
 
Collateral available to be delivered or repledged
  
 
$1,010,547
 
      $864,494  
Collateral that was delivered or repledged
  
 
$  
 
853,216
 
      $723,409  
The table below presents information about assets pledged.
 
   
    As of  
     
$ in millions
  
 
June
2021
 
 
     December
2020		  
 
Pledged to counterparties that had the right to deliver or repledge
 
Trading assets
  
 
$
     
74,597
 
     $
 
 
69,031		  
Investments
  
 
$
     
13,266
 
     $
 
 
13,375		  
 
Pledged to counterparties that did not have the right to deliver or repledge
 
Trading assets
  
 
$
     
99,640
 
     $
 
 
99,142		  
Investments
  
 
$
       
4,020
 
     $ 
 
 
 2,331		  
Loans
  
 
$       
8,234
 
     $  
 
 
8,320		  
Other assets
  
 
$
     
12,246
 
     $
 
 
14,144		  
The firm also segregates securities for regulatory and other purposes related to client activity. Such securities are segregated from trading assets and investments, as well as from securities received as collateral under resale agreements and securities borrowed transactions. Securities segregated by the firm were $23.87 billion as of June 2021 and $32.97 billion as of December 2020.