Note 10.

Collateralized Agreements and Financings

Collateralized agreements are securities purchased under agreements to resell (resale agreements) and securities borrowed. Collateralized financings are securities sold under agreements to repurchase (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 and collateralized financings is recognized over the life of the transaction and included in “Interest income” and “Interest expense,” respectively. See Note 23 for further information about interest income and interest expense.

The table below presents the carrying value of resale and repurchase agreements and securities borrowed and loaned transactions.


	As of
$ in millions		September 2016	December 2015
Securities purchased under agreements to resell		$ 94,220	$120,905

Securities borrowed		185,468	172,099

Securities sold under agreements to repurchase		73,905	86,069

Securities loaned		5,256	3,614

In the table above:

•

Substantially all resale agreements and all repurchase agreements are carried at fair value under the fair value option. See Note 8 for further information about the valuation techniques and significant inputs used to determine fair value.

•

As of September 2016 and December 2015, $78.79 billion and $69.80 billion of securities borrowed, and $1.97 billion and $466 million of securities loaned were at fair value, respectively.

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 federal 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 condensed consolidated statements of financial condition.

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 Client Execution are recorded at fair value under the fair value option. See Note 8 for further information about securities borrowed and loaned accounted for at fair value.

Securities borrowed and loaned within Securities Services are recorded based on the amount of cash collateral advanced or received plus accrued interest. As these arrangements generally can be terminated on demand, they exhibit little, if any, sensitivity to changes in interest rates. Therefore, the carrying value of such arrangements approximates fair value. While these arrangements are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6 through 8. Had these arrangements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of September 2016 and December 2015.

Offsetting Arrangements

The table below presents the gross and net resale and repurchase agreements and securities borrowed and loaned transactions, and the related amount of counterparty netting included in the condensed consolidated statements of financial condition. The table below also presents the amounts not offset in the condensed consolidated statements of financial condition, including counterparty netting that does not meet the criteria for netting under U.S. GAAP and the fair value of cash or securities collateral received or posted subject to enforceable credit support agreements.


	Assets					Liabilities
$ in millions		Resale agreements		Securities borrowed			Repurchase agreements		Securities loaned
As of September 2016
Included in the condensed consolidated statements of financial condition
Gross carrying value		$ 149,386		$ 190,897			$114,013		$ 8,871

Counterparty netting		(40,108	)	(3,615	)		(40,108	)	(3,615	)
Total		109,278		187,282			73,905		5,256
Amounts not offset
Counterparty netting		(8,440	)	(2,908	)		(8,440	)	(2,908	)

Collateral		(98,884	)	(173,473	)		(63,714	)	(2,089	)
Total		$ 1,954		$ 10,901			$ 1,751		$ 259
As of December 2015
Included in the condensed consolidated statements of financial condition
Gross carrying value		$ 163,199		$ 180,203			$114,960		$ 6,179

Counterparty netting		(28,891	)	(2,565	)		(28,891	)	(2,565	)
Total		134,308		177,638			86,069		3,614
Amounts not offset
Counterparty netting		(4,979	)	(1,732	)		(4,979	)	(1,732	)

Collateral		(125,561	)	(167,061	)		(78,958	)	(1,721	)
Total		$ 3,768		$ 8,845			$ 2,132		$ 161

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.

•

As of September 2016 and December 2015, the firm had $15.06 billion and $13.40 billion, respectively, of securities received under resale agreements, and $1.81 billion and $5.54 billion, respectively, of securities borrowed transactions that were segregated to satisfy certain regulatory requirements. These securities are included in “Cash and securities segregated for regulatory and other purposes.”

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 2016
Commercial paper, certificates of deposit, time deposits and other money market instruments	$ 671	$ —

U.S. government and federal agency obligations	45,401	—

Non-U.S. government and agency obligations	39,929	1,070

Securities backed by commercial real estate	9	—

Securities backed by residential real estate	116	—

Corporate debt securities	9,859	14

State and municipal obligations	111	—

Other debt obligations	14	—

Equities and convertible debentures	17,903	7,787
Total	$ 114,013	$8,871
As of December 2015
Commercial paper, certificates of deposit, time deposits and other money market instruments	$ 806	$ —

U.S. government and federal agency obligations	54,856	101

Non-U.S. government and agency obligations	31,547	2,465

Securities backed by commercial real estate	269	—

Securities backed by residential real estate	2,059	—

Corporate debt securities	6,877	30

State and municipal obligations	609	—

Other debt obligations	101	—

Equities and convertible debentures	17,836	3,583
Total	$ 114,960	$6,179

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


	As of September 2016
$ in millions		Repurchase agreements	Securities loaned
No stated maturity and overnight		$ 33,885	$4,350

2 - 30 days		37,689	2,546

31 - 90 days		10,647	725

91 days - 1 year		23,091	1,250

Greater than 1 year		8,701	—
Total		$114,013	$8,871

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 holders 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 consist of:

•

Liabilities of consolidated VIEs;

•

Transfers of assets accounted for as financings rather than sales (primarily collateralized central bank financings, pledged commodities, bank loans and mortgage whole loans); and

•

Other structured financing arrangements.

Other secured financings include arrangements that are nonrecourse. As of September 2016 and December 2015, nonrecourse other secured financings were $2.62 billion and $2.20 billion, respectively.

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 8 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. While these financings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6 through 8. Had these financings been included in the firm’s fair value hierarchy, they would have been primarily classified in level 2 as of September 2016 and December 2015.

The table below presents information about other secured financings.

$ in millions

U.S.
Dollar

Non-U.S.
Dollar

Total

As of September 2016

Other secured financings (short-term):

At fair value

$10,417

$ 4,768

$15,185

At amortized cost

—

Weighted average interest rates

4.33%

—%

Other secured financings (long-term):

At fair value

5,689

1,132

6,821

At amortized cost

145

324

469

Weighted average interest rates

3.98%

1.96%

Total

$16,254

$ 6,224

$22,478

Other secured financings collateralized by:

Financial instruments

$15,198

$ 5,733

$20,931

Other assets

1,056

491

1,547

As of December 2015

Other secured financings (short-term):

At fair value

$ 7,952

$ 5,448

$13,400

At amortized cost

514

319

833

Weighted average interest rates

2.93%

3.83%

Other secured financings (long-term):

At fair value

6,702

3,105

9,807

At amortized cost

370

343

713

Weighted average interest rates

2.87%

1.54%

Total

$15,538

$ 9,215

$24,753

Other secured financings collateralized by:

Financial instruments

$14,862

$ 8,872

$23,734

Other assets

676

343

1,019

In the table above:

•

Short-term secured financings include 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.

•

Weighted average interest rates exclude secured financings at fair value and include the effect of hedging activities. See Note 7 for further information about hedging activities.

•

Total other secured financings includes $478 million and $334 million related to transfers of financial assets accounted for as financings rather than sales as of September 2016 and December 2015, respectively. Such financings were collateralized by financial assets of $478 million and $336 million as of September 2016 and December 2015, respectively, primarily included in “Financial instruments owned, at fair value.”

•

Other secured financings collateralized by financial instruments includes $14.06 billion and $14.98 billion of other secured financings collateralized by financial instruments owned, at fair value as of September 2016 and December 2015, respectively, and includes $6.87 billion and $8.76 billion of other secured financings collateralized by financial instruments received as collateral and repledged as of September 2016 and December 2015, respectively.

The table below presents other secured financings by maturity date.


$ in millions			As of September 2016
Other secured financings (short-term)			$15,188

Other secured financings (long-term):
2017			1,080

2018			3,394

2019			697

2020			1,185

2021			249

2022 - thereafter			685
Total other secured financings (long-term)			7,290
Total other secured financings			$22,478

In the table above:

•

Long-term secured financings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates.

•

Long-term secured financings that are redeemable prior to maturity at the option of the holders 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 federal agency, other sovereign and corporate obligations, as well as equities and convertible debentures) 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 financial instruments owned, at fair value 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 by the firm.


	As of
$ in millions		September 2016	December 2015
Collateral available to be delivered or repledged		$623,720	$636,684

Collateral that was delivered or repledged		494,028	496,240

In the table above, as of September 2016 and December 2015, collateral available to be delivered or repledged excludes $15.06 billion and $13.40 billion, respectively, of securities received under resale agreements, and $1.81 billion and $5.54 billion, respectively, of securities borrowed transactions that contractually had the right to be delivered or repledged, but were segregated to satisfy certain regulatory requirements.

The table below presents information about assets pledged.


	As of
$ in millions		September 2016	December 2015
Financial instruments owned, at fair value pledged to counterparties that:
Had the right to deliver or repledge		$ 55,800	$ 54,426

Did not have the right to deliver or repledge		66,390	63,880

Other assets pledged to counterparties that did not have the right to deliver or repledge		2,986	1,841