Collateralized Agreements and Financings

9 Months Ended

Sep. 30, 2023

Collateralized Agreements And Financings [Abstract]

Collateralized Agreements and Financings

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 with the same settlement date are presented on a net-by-counterparty basis when such transactions meet certain settlement criteria and are subject to netting agreements. 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 obligations, 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.

Repurchase agreements and substantially all resale agreements are recorded at fair value under the fair value option. See Note 5 for further information about repurchase and resale agreements.

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 FICC financing are recorded at fair value under the fair value option. See Note 5 for further information about securities borrowed and loaned accounted for at fair value.

Substantially all of the 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 and 5. Had these agreements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of both September 2023 and December 2022.

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 September 2023
Included in the consolidated balance sheets
Gross carrying value	$	266,438	$	197,625	$	301,422	$	55,626
Counterparty netting	(75,743)		(700)		(75,743)		(700)
Total	190,695		196,925		225,679		54,926
Amounts not offset
Counterparty netting	(33,556)		(6,493)		(33,556)		(6,493)
Collateral	(149,881)		(183,674)		(189,154)		(46,941)
Total	$	7,258	$	6,758	$	2,969	$	1,492
As of December 2022
Included in the consolidated balance sheets
Gross carrying value	$	334,042	$	199,623	$	219,274	$	41,309
Counterparty netting	(108,925)		(10,582)		(108,925)		(10,582)
Total	225,117		189,041		110,349		30,727
Amounts not offset
Counterparty netting	(15,350)		(4,576)		(15,350)		(4,576)
Collateral	(204,843)		(171,997)		(92,997)		(25,578)
Total	$	4,924	$	12,468	$	2,002	$	573

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 included in the consolidated balance sheets of $190.45 billion as of September 2023 and $225.12 billion as of December 2022 and all repurchase agreements included in the consolidated balance sheets 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 $36.79 billion as of September 2023 and $38.58 billion as of December 2022, and securities loaned included in the consolidated balance sheets of $8.18 billion as of September 2023 and $4.37 billion as of December 2022 were at fair value under the fair value option. See Note 5 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 September 2023
Money market instruments	$	390	$	–
U.S. government and agency obligations	193,133		293
Non-U.S. government and agency obligations	81,023		2,691
Securities backed by commercial real estate	93		–
Securities backed by residential real estate	573		–
Corporate debt securities	14,746		338
State and municipal obligations	4		–
Other debt obligations	237		–
Equity securities	11,223		52,304
Total	$	301,422	$	55,626
As of December 2022
Money market instruments	$	10	$	–
U.S. government and agency obligations	112,825		55
Non-U.S. government and agency obligations	87,828		594
Securities backed by commercial real estate	172		–
Securities backed by residential real estate	466		–
Corporate debt securities	11,398		295
State and municipal obligations	143		–
Other debt obligations	108		–
Equity securities	6,324		40,365
Total	$	219,274	$	41,309

The table below presents the gross carrying value of repurchase agreements and securities loaned by maturity.

	As of September 2023
$ in millions	Repurchase agreements		Securities loaned
No stated maturity and overnight	$	114,306	$	36,693
2 - 30 days	98,557		744
31 - 90 days	32,296		119
91 days - 1 year	42,783		8,603
Greater than 1 year	13,480		9,467
Total	$	301,422	$	55,626

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 investment entities and 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 $7.19 billion as of September 2023 and $7.94 billion as of December 2022.

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 and 5. Had these financings been included in the firm’s fair value hierarchy, substantially all would have been classified in level 3 as of both September 2023 and December 2022.

The table below presents information about other secured financings.

$ in millions	U.S. Dollar		Non-U.S. Dollar		Total
As of September 2023
Other secured financings (short-term):
At fair value	$	5,701	$	2,632	$	8,333
At amortized cost	1		348		349
Other secured financings (long-term):
At fair value	2,692		3,089		5,781
At amortized cost	265		–		265
Total other secured financings	$	8,659	$	6,069	$	14,728
Other secured financings collateralized by:
Financial instruments	$	4,666	$	5,059	$	9,725
Other assets	$	3,993	$	1,010	$	5,003
As of December 2022
Other secured financings (short-term):
At fair value	$	3,478	$	2,963	$	6,441
At amortized cost	398		–		398
Other secured financings (long-term):
At fair value	3,793		2,522		6,315
At amortized cost	395		397		792
Total other secured financings	$	8,064	$	5,882	$	13,946
Other secured financings collateralized by:
Financial instruments	$	3,817	$	4,895	$	8,712
Other assets	$	4,247	$	987	$	5,234

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 4.64% as of September 2023 and 5.56% as of December 2022. These rates include the effect of hedging activities.

•Non-U.S. dollar-denominated short-term other secured financings at amortized cost had a weighted average interest rate of 0.47% as of September 2023. This rate includes the effect of hedging activities.

•U.S. dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of 3.76% as of September 2023 and 3.54% as of December 2022. 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 0.45% as of December 2022. This rate includes the effect of hedging activities.

•Total other secured financings included $2.32 billion as of September 2023 and $1.69 billion as of December 2022 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 $2.29 billion as of September 2023 and $1.64 billion as of December 2022.

•Other secured financings collateralized by financial instruments included $7.77 billion as of September 2023 and $7.49 billion as of December 2022 of other secured financings collateralized by trading assets, investments and loans, and included $1.95 billion as of September 2023 and $1.22 billion as of December 2022 of other secured financings collateralized by financial instruments received as collateral and repledged.

The table below presents other secured financings by maturity.

	As of
$ in millions	September 2023
Other secured financings (short-term)	$	8,682
Other secured financings (long-term):
2024	973
2025	1,569
2026	582
2027	215
2028	1,094
2029 - thereafter	1,613
Total other secured financings (long-term)	6,046
Total other secured financings	$	14,728

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
	September		December
$ in millions	2023		2022
Collateral available to be delivered or repledged	$	918,110	$	971,699
Collateral that was delivered or repledged	$	794,719	$	797,919

The table below presents information about assets pledged.

	As of
	September		December
$ in millions	2023		2022
Pledged to counterparties that had the right to deliver or repledge
Trading assets	$	97,406	$	40,143
Investments	$	8,463	$	9,818
Pledged to counterparties that did not have the right to deliver or repledge
Trading assets	$	126,626	$	70,912
Investments	$	19,090	$	1,726
Loans	$	8,099	$	6,600
Other assets	$	6,202	$	7,525

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 $43.51 billion as of September 2023 and $49.60 billion as of December 2022.