Pledged Assets and Collateral (Tables)

12 Months Ended

Dec. 31, 2020

Table 14.1 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 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 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 14.1: Pledged Assets


(in millions)	Dec 31, 2020		Dec 31, 2019
Related to trading activities:
Repledged third-party owned debt and equity securities	$	44,765	60,083
Trading debt securities and other	19,572		51,083
Equity securities	470		1,379
Total pledged assets related to trading activities	64,807		112,545
Related to non-trading activities:
Loans	344,220		406,106
Debt securities:

Available-for-sale	57,289		61,126
Held-to-maturity	17,290		3,685
Other financial assets	230		2,266
Total pledged assets related to non-trading activities	419,029		473,183
Related to VIEs:
Consolidated VIE assets	12,146		14,368
Loans eligible for repurchase from GNMA securitizations	179		568
Total pledged assets related to VIEs	12,325		14,936
Total pledged assets	$	496,161	600,664

Offsetting - Securities Financing Activities

In addition to the amounts included in Table 14.2, we also have balance sheet netting related to derivatives that is disclosed in Note 16 (Derivatives).

Table 14.2: Offsetting – Securities Financing Activities


(in millions)	Dec 31, 2020		Dec 31, 2019
Assets:
Resale and securities borrowing agreements
Gross amounts recognized	$	92,446	140,773
Gross amounts offset in consolidated balance sheet (1)	(11,513)		(19,180)
Net amounts in consolidated balance sheet (2)	80,933		121,593
Collateral not recognized in consolidated balance sheet (3)	(80,158)		(120,786)
Net amount (4)	$	775	807
Liabilities:
Repurchase and securities lending agreements
Gross amounts recognized	$	57,622	111,038
Gross amounts offset in consolidated balance sheet (1)	(11,513)		(19,180)
Net amounts in consolidated balance sheet (5)	46,109		91,858
Collateral pledged but not netted in consolidated balance sheet (6)	(45,819)		(91,709)
Net amount (4)	$	290	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 $65.6 billion and $102.1 billion classified on our consolidated balance sheet in federal funds sold and securities purchased under resale agreements at December 31, 2020 and 2019, respectively. Also includes securities purchased under long-term resale agreements (generally one year or more) classified in loans, which totaled $15.3 billion and $19.5 billion, at December 31, 2020 and 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 December 31, 2020 and 2019, we have received total collateral with a fair value of $108.5 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 $36.1 billion and $59.1 billion at December 31, 2020 and 2019, 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 December 31, 2020 and 2019, we have pledged total collateral with a fair value of $59.2 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 14.3 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 14.3: Gross Obligations by Underlying Collateral Type


(in millions)	Dec 31, 2020		Dec 31, 2019
Repurchase agreements:
Securities of U.S. Treasury and federal agencies	$	22,922	48,161
Securities of U.S. States and political subdivisions	4		104
Federal agency mortgage-backed securities	15,353		44,737
Non-agency mortgage-backed securities	1,069		1,818
Corporate debt securities	9,944		7,126
Asset-backed securities	1,054		1,844
Equity securities	1,500		1,674
Other	336		705
Total repurchases	52,182		106,169
Securities lending arrangements:
Securities of U.S. Treasury and federal agencies	64		163

Federal agency mortgage-backed securities	23		—

Corporate debt securities	79		223

Equity securities (1)	5,189		4,481
Other	85		2
Total securities lending	5,440		4,869
Total repurchases and securities lending	$	57,622	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 14.4 provides the contractual maturities of our gross obligations under repurchase and securities lending agreements.

Table 14.4: Contractual Maturities of Gross Obligations


(in millions)	Overnight/continuous		Up to 30 days	30-90 days	>90 days	Total gross obligation
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
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.