XML 96 R17.htm IDEA: XBRL DOCUMENT

Offsetting Arrangements

9 Months Ended

Sep. 30, 2019

For additional information on our offsetting arrangements, refer to page 59 in Note 11 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in the 2018 Annual Financial Statements.

As of September 30, 2019 and December 31, 2018, the value of securities received as collateral from third parties where we are permitted to transfer or re-

pledge the securities totaled $11.40 billion and $11.69 billion, respectively, and the fair value of the portion that had been transferred or re-pledged as of the same dates was $7.22 billion and $5.31 million, respectively.

The following tables present information about the offsetting of assets related to derivative contracts and secured financing transactions, as of the dates indicated:



Assets:	September 30, 2019
	Gross Amounts of Recognized Assets⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Assets Presented in Statement of Condition			Gross Amounts Not Offset in Statement of Condition
(In millions)	Gross Amounts of Recognized Assets⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Assets Presented in Statement of Condition			Cash and Securities Received⁽⁴⁾			Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts	$	13,912	$	(8,093	)	$	5,819		$	—		$	5,819
Interest rate contracts⁽⁶⁾	22		(8		)	14			—			14
Cash collateral and securities netting	NA		(793		)	(793		)	(477		)	(1,270		)
Total derivatives	13,934		(8,894		)	5,040			(477		)	4,563
Other financial instruments:
Resale agreements and securities borrowing⁽⁷⁾⁽⁸⁾	155,464		(129,754		)	25,710			(24,595		)	1,115
Total derivatives and other financial instruments	$	169,398	$	(138,648	)	$	30,750		$	(25,072	)	$	5,678



Assets:	December 31, 2018
	Gross Amounts of Recognized Assets⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Assets Presented in Statement of Condition			Gross Amounts Not Offset in Statement of Condition
(In millions)	Gross Amounts of Recognized Assets⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Assets Presented in Statement of Condition			Cash and Securities Received⁽⁴⁾			Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts	$	16,386	$	(10,223	)	$	6,163		$	—		$	6,163
Interest rate contracts⁽⁶⁾	13		—			13			—			13
Cash collateral and securities netting	NA		(987		)	(987		)	(220		)	(1,207		)
Total derivatives	16,399		(11,210		)	5,189			(220		)	4,969
Other financial instruments:
Resale agreements and securities borrowing⁽⁷⁾⁽⁸⁾	116,143		(91,889		)	24,254			(22,872		)	1,382
Total derivatives and other financial instruments	$	132,542	$	(103,099	)	$	29,443		$	(23,092	)	$	6,351

⁽¹⁾Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

⁽²⁾Refer to Note 1 and Note 2 for additional information about the measurement basis of derivative instruments.

⁽³⁾Amounts subject to netting arrangements which have been determined to be legally enforceable and eligible for netting in the consolidated statement of condition.

⁽⁴⁾ Includes securities in connection with our securities borrowing transactions.

⁽⁵⁾Includes amounts secured by collateral not determined to be subject to enforceable netting arrangements.

⁽⁶⁾ Variation margin payments presented as settlements rather than collateral.

⁽⁷⁾Included in the $25.71 billion as of September 30, 2019 were $3.04 billion of resale agreements and $22.67 billion of collateral provided related to securities borrowing. Included in the $24.25 billion as of December 31, 2018 were $4.68 billion of resale agreements and $19.58 billion of collateral provided related to securities borrowing. Resale agreements and collateral provided related to securities borrowing were recorded in securities purchased under resale agreements and other assets, respectively, in our consolidated statement of condition. Refer to Note 9 for additional information with respect to principal securities finance transactions.

⁽⁸⁾Offsetting of resale agreements primarily relates to our involvement in FICC, where we settle transactions on a net basis for payment and delivery through the Fedwire system.

^NA Not applicable

The following tables present information about the offsetting of liabilities related to derivative contracts and secured financing transactions, as of the dates indicated:



Liabilities:	September 30, 2019
	Gross Amounts of Recognized Liabilities⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Liabilities Presented in Statement of Condition			Gross Amounts Not Offset in Statement of Condition
(In millions)	Gross Amounts of Recognized Liabilities⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾						Cash and Securities Received⁽⁴⁾			Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts	$	14,189	$	(8,093	)	$	6,096		$	—		$	6,096
Interest rate contracts⁽⁶⁾	51		(8		)	43			—			43
Other derivative contracts	207		—			207			—			207
Cash collateral and securities netting	NA		(1,432		)	(1,432		)	(796		)	(2,228		)
Total derivatives	14,447		(9,533		)	4,914			(796		)	4,118
Other financial instruments:
Repurchase agreements and securities lending⁽⁷⁾⁽⁸⁾	145,522		(129,754		)	15,768			(14,453		)	1,315
Total derivatives and other financial instruments	$	159,969	$	(139,287	)	$	20,682		$	(15,249	)	$	5,433



Liabilities:	December 31, 2018
	Gross Amounts of Recognized Liabilities⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Liabilities Presented in Statement of Condition			Gross Amounts Not Offset in Statement of Condition
(In millions)	Gross Amounts of Recognized Liabilities⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾						Cash and Securities Received⁽⁴⁾			Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts	$	16,522	$	(10,223	)	$	6,299		$	—		$	6,299
Interest rate contracts⁽⁶⁾	71		—			71			—			71
Other derivative contracts	214		—			214			—			214
Cash collateral and securities netting	NA		(1,341		)	(1,341		)	(215		)	(1,556		)
Total derivatives	16,807		(11,564		)	5,243			(215		)	5,028
Other financial instruments:
Repurchase agreements and securities lending⁽⁷⁾⁽⁸⁾	104,494		(91,889		)	12,605			(11,543		)	1,062
Total derivatives and other financial instruments	$	121,301	$	(103,453	)	$	17,848		$	(11,758	)	$	6,090

⁽¹⁾Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

⁽²⁾Refer to Note 1 and Note 2 for additional information about the measurement basis of derivative instruments.

⁽³⁾Amounts subject to netting arrangements which have been determined to be legally enforceable and eligible for netting in the consolidated statement of condition.

⁽⁴⁾Includes securities provided in connection with our securities lending transactions.

⁽⁵⁾Includes amounts secured by collateral not determined to be subject to enforceable netting arrangements.

⁽⁶⁾Variation margin payments presented as settlements rather than collateral.

⁽⁷⁾Included in the $15.77 billion as of September 30, 2019 were $1.33 billion of repurchase agreements and $14.44 billion of collateral received related to securities lending transactions. Included in the $12.60 billion as of December 31, 2018 were $1.08 billion of repurchase agreements and $11.52 billion of collateral received related to securities lending transactions. Repurchase agreements and collateral received related to securities lending were recorded in securities sold under repurchase agreements and accrued expenses and other liabilities, respectively, in our consolidated statement of condition. Refer to Note 9 for additional information with respect to principal securities finance transactions.

⁽⁸⁾ Offsetting of repurchase agreements primarily relates to our involvement in FICC, where we settle transactions on a net basis for payment and delivery through the Fedwire system.

^NANot applicable

The securities transferred under resale and repurchase agreements typically are U.S. Treasury, agency and agency MBS. In our principal securities borrowing and lending arrangements, the securities transferred are predominantly equity securities and some corporate debt securities. The fair value of the securities transferred may increase in value to an amount greater than the amount received under our

repurchase and securities lending arrangements, which exposes us to counterparty risk. We require the review of the price of the underlying securities in relation to the carrying value of the repurchase agreements and securities lending arrangements on a daily basis and when appropriate, adjust the cash or security to be obtained or returned to counterparties that is reflective of the required collateral levels.

The following table summarizes our repurchase agreements and securities lending transactions by category of collateral pledged and remaining maturity of these agreements as of the periods indicated:



	As of September 30, 2019						As of December 31, 2018
(In millions)	Overnight and Continuous		Up to 30 Days		Total		Overnight and Continuous		Up to 30 Days		Total
Repurchase agreements:
U.S. Treasury and agency securities	$	126,017	$	—	$	126,017	$	88,904	$	—	$	88,904
Total	126,017		—		126,017		88,904		—		88,904
Securities lending transactions:
US Treasury and agency securities	22		—		22		249		—		249
Corporate debt securities	430		—		430		278		—		278
Equity securities	10,463		91		10,554		6,426		137		6,563
Other⁽¹⁾	8,499		—		8,499		8,500		—		8,500
Total	19,414		91		19,505		15,453		137		15,590
Gross amount of recognized liabilities for repurchase agreements and securities lending	$	145,431	$	91	$	145,522	$	104,357	$	137	$	104,494

⁽¹⁾ Represents a security interest in underlying client assets related to our enhanced custody business, which assets clients have allowed us to transfer and re-pledge.