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

6 Months Ended

Jun. 30, 2019

Guarantees [Abstract]

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
June 30, 2019
Standby letters of credit (1)	$	38		14,078	7,185	3,901	464	25,628	7,938
Securities lending and other indemnifications (2)	—			—	1	—	849	850	1
Written put options (3)	(371		)	12,574	11,682	2,803	386	27,445	15,882
Loans and MLHFS sold with recourse (4)	53			111	634	1,205	10,597	12,547	9,318
Factoring guarantees (5)	—			639	—	—	—	639	558
Other guarantees	1			—	—	3	4,146	4,149	1
Total guarantees	$	(279	)	27,402	19,502	7,912	16,442	71,258	33,698
December 31, 2018
Standby letters of credit (1)	$	40		14,636	7,897	3,398	497	26,428	8,027
Securities lending and other indemnifications (2)	—			—	1	—	1,044	1,045	1
Written put options (3)	(185		)	17,243	10,502	3,066	400	31,211	21,732
Loans and MLHFS sold with recourse (4)	54			104	653	1,207	10,163	12,127	9,079
Factoring guarantees (5)	—			889	—	—	—	889	751
Other guarantees	1			—	—	3	2,959	2,962	1
Total guarantees	$	(90	)	32,872	19,053	7,674	15,063	74,662	39,591

(1) Total maximum exposure to loss includes direct pay letters of credit (DPLCs) of $6.4 billion and $7.5 billion at June 30, 2019, and December 31, 2018, respectively.

(2) Includes indemnifications provided to certain third-party clearing agents. Outstanding customer obligations under these arrangements were $90 million and $70 million with related collateral of $759 million and $974 million at June 30, 2019, and December 31, 2018, respectively.

(3) Written put 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.

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

(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 13.2 provides the total carrying amount of pledged assets

by asset type and the fair value of pledged off-balance sheet securities for securities financings. The table excludes pledged consolidated VIE assets of $14.0 billion and $14.1 billion at June 30, 2019, and December 31, 2018, respectively, which can only be used to settle the liabilities of those entities. The table also excludes $357 million and $617 million in assets pledged in transactions with VIE’s accounted for as secured borrowings at June 30, 2019, and December 31, 2018, respectively. See Note 10 (Securitizations and Variable Interest Entities) for additional information on consolidated VIE assets and secured borrowings.

Table 13.2: Pledged Assets

(in millions)	Jun 30, 2019		Dec 31, 2018
Related to trading activities:
Debt securities	$	107,673	96,616
Equity securities	10,594		9,695
Total pledged assets related to trading activities (1)	118,267		106,311
Related to non-trading activities:
Debt securities and other (2)	56,413		62,438
Mortgage loans held for sale and loans (3)	413,882		453,894
Total pledged assets related to non-trading activities	470,295		516,332
Total pledged assets	$	588,562	622,643

(1) Consists of pledged assets related to trading activities of $45.9 billion and $45.5 billion at June 30, 2019, and December 31, 2018, respectively and off-balance sheet securities of $72.3 billion and $60.8 billion as of the same dates, respectively, that are pledged as collateral for repurchase agreements and other securities financings. Total pledged assets related to trading activities includes $118.2 billion and $106.2 billion at June 30, 2019, and December 31, 2018, respectively, under agreements that permit the secured parties to sell or repledge the collateral.

(2) Includes carrying value of $3.5 billion and $4.2 billion (fair value of $3.5 billion and $4.1 billion) in collateral for repurchase agreements at June 30, 2019, and December 31, 2018, respectively, which are pledged under agreements that do not permit the secured parties to sell or repledge the collateral. Also includes $33 million and $68 million in collateral pledged under repurchase agreements at June 30, 2019, and December 31, 2018, respectively, that permit the secured parties to sell or repledge the collateral. Substantially all other pledged securities are pursuant to agreements that do not permit the secured party to sell or repledge the collateral.

(3)

Includes mortgage loans held for sale of $2.0 billion and $7.4 billion at June 30, 2019, and December 31, 2018, respectively. Substantially all of the total mortgage loans held for sale and loans are pledged under agreements that do not permit the secured parties to sell or repledge the collateral. Amounts exclude $551 million and $1.2 billion at June 30, 2019, and December 31, 2018, 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 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). 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 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)	Jun 30, 2019			Dec 31, 2018
Assets:
Resale and securities borrowing agreements
Gross amounts recognized	$	146,096		112,662
Gross amounts offset in consolidated balance sheet (1)	(15,248		)	(15,258	)
Net amounts in consolidated balance sheet (2)	130,848			97,404
Collateral not recognized in consolidated balance sheet (3)	(130,082		)	(96,734	)
Net amount (4)	$	766		670
Liabilities:
Repurchase and securities lending agreements
Gross amounts recognized (5)	$	116,900		106,248
Gross amounts offset in consolidated balance sheet (1)	(15,248		)	(15,258	)
Net amounts in consolidated balance sheet (6)	101,652			90,990
Collateral pledged but not netted in consolidated balance sheet (7)	(101,476		)	(90,798	)
Net amount (8)	$	176		192

(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 $112.1 billion and $80.1 billion classified on our consolidated balance sheet in federal funds sold and securities purchased under resale agreements at June 30, 2019, and December 31, 2018, respectively. Also includes securities purchased under long-term resale agreements (generally one year or more) classified in loans, which totaled $18.8 billion and $17.3 billion, at June 30, 2019, and December 31, 2018, respectively.

(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 June 30, 2019, and December 31, 2018, we have received total collateral with a fair value of $157.4 billion and $123.1 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 $73.4 billion at June 30, 2019, and $60.8 billion at December 31, 2018.

(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 June 30, 2019, and December 31, 2018, we have pledged total collateral with a fair value of $119.6 billion and $108.8 billion, respectively, of which, the counterparty does not have the right to sell or repledge $3.5 billion as of June 30, 2019 and $4.4 billion as of December 31, 2018.

(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 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: Underlying Collateral Types of Gross Obligations

(in millions)	Jun 30, 2019		Dec 31, 2018
Repurchase agreements:
Securities of U.S. Treasury and federal agencies	$	49,622	38,408
Securities of U.S. States and political subdivisions	97		159
Federal agency mortgage-backed securities	43,346		47,241
Non-agency mortgage-backed securities	1,754		1,875
Corporate debt securities	8,132		6,191
Asset-backed securities	2,258		2,074
Equity securities	2,034		992
Other	866		340
Total repurchases	108,109		97,280
Securities lending arrangements:
Securities of U.S. Treasury and federal agencies	198		222
Federal agency mortgage-backed securities	—		2
Corporate debt securities	483		389
Equity securities (1)	8,094		8,349
Other	16		6
Total securities lending	8,791		8,968
Total repurchases and securities lending	$	116,900	106,248

(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 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
June 30, 2019
Repurchase agreements	$	96,487	3,565	3,938	4,119	108,109
Securities lending arrangements	8,643		—	148	—	8,791
Total repurchases and securities lending (1)	$	105,130	3,565	4,086	4,119	116,900
December 31, 2018
Repurchase agreements	$	86,574	3,244	2,153	5,309	97,280
Securities lending arrangements	8,669		—	299	—	8,968
Total repurchases and securities lending (1)	$	95,243	3,244	2,452	5,309	106,248

(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.