Pledged Assets and Collateral (Tables)

9 Months Ended

Sep. 30, 2022

Table 12.1 provides the carrying amount of on-balance sheet pledged assets, as well as the fair value of other pledged collateral not recognized on our consolidated balance sheet, which we have received from third parties, have the right to repledge, and have repledged.

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 Federal Home Loan Banks (FHLBs) 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, 2022		Dec 31, 2021
Related to trading activities:
Off-balance sheet repledged third-party owned debt and equity securities	$	36,282	31,087
Trading debt securities and other	28,687		14,216
Equity securities	2,502		984
Total pledged assets related to trading activities	67,471		46,287
Related to non-trading activities:
Loans	322,237		288,698
Debt securities:

Available-for-sale	52,961		65,198
Held-to-maturity	10,973		13,843
Equity securities	236		1,600
Total pledged assets related to non-trading activities	386,407		369,339
Related to VIEs:
Consolidated VIE assets	4,828		4,781
Loans eligible for repurchase from GNMA securitizations	348		109
Total pledged assets related to VIEs	5,176		4,890
Total pledged assets	$	459,054	420,516

Offsetting - 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, 2022		Dec 31, 2021
Assets:
Resale and securities borrowing agreements
Gross amounts recognized	$	107,586	103,140
Gross amounts offset in consolidated balance sheet (1)	(28,674)		(14,074)
Net amounts in consolidated balance sheet (2)	78,912		89,066
Collateral not recognized in consolidated balance sheet (3)	(78,303)		(88,330)
Net amount (4)	$	609	736
Liabilities:
Repurchase and securities lending agreements
Gross amounts recognized	$	53,805	35,043
Gross amounts offset in consolidated balance sheet (1)	(28,674)		(14,074)
Net amounts in consolidated balance sheet (5)	25,131		20,969
Collateral pledged but not netted in consolidated balance sheet (6)	(24,837)		(20,820)
Net amount (4)	$	294	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 $55.8 billion and $66.2 billion classified on our consolidated balance sheet in federal funds sold and securities purchased under resale agreements at September 30, 2022, and December 31, 2021, respectively. Also includes securities purchased under long-term resale agreements (generally one year or more) classified in loans, which totaled $23.1 billion and $22.9 billion, at September 30, 2022, and December 31, 2021, 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, 2022, and December 31, 2021, we have received total collateral with a fair value of $128.0 billion and $124.4 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 $35.3 billion and $28.8 billion at September 30, 2022, and December 31, 2021, 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, 2022, and December 31, 2021, we have pledged total collateral with a fair value of $54.9 billion and $35.9 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 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, 2022		Dec 31, 2021
Repurchase agreements:
Securities of U.S. Treasury and federal agencies	$	29,519	14,956
Securities of U.S. States and political subdivisions	62		1
Federal agency mortgage-backed securities	6,259		3,432
Non-agency mortgage-backed securities	1,127		809
Corporate debt securities	6,935		8,899
Asset-backed securities	991		358
Equity securities	653		919
Other	489		409
Total repurchases	46,035		29,783
Securities lending arrangements:
Securities of U.S. Treasury and federal agencies	238		33

Federal agency mortgage-backed securities	38		17

Corporate debt securities	144		80

Equity securities (1)	7,262		5,050
Other	88		80
Total securities lending	7,770		5,260
Total repurchases and securities lending	$	53,805	35,043

(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, 2022
Repurchase agreements	$	34,045	2,322	3,383	6,285	46,035
Securities lending arrangements	7,320		—	450	—	7,770
Total repurchases and securities lending (1)	$	41,365	2,322	3,833	6,285	53,805
December 31, 2021
Repurchase agreements	$	16,452	3,570	4,276	5,485	29,783
Securities lending arrangements	4,810		—	—	450	5,260
Total repurchases and securities lending (1)	$	21,262	3,570	4,276	5,935	35,043

(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.