v3.20.4
Collateralized Agreements and Financings
 12 Months Ended
Dec. 31, 2020
Text Block [Abstract]  
Collateralized Agreements and Financings
Note 11.
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 are presented on a
net-by-counterparty
basis when a legal right of setoff exists. 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, 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.
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 10 for further information about securities borrowed and loaned accounted for at fair value.
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 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 through 10. Had these agreements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of both December 2020 and December 2019.
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 December 2020
 
                            
Included in the consolidated balance sheets
 
Gross carrying value
  
 
$205,817
 
  
 
$ 147,593
 
      
 
$ 224,328
 
  
 
$
 
27,054
 
Counterparty netting
  
 
(97,757
) 
  
 
(5,433
) 
  
 
  
 
(97,757
) 
  
 
(5,433
) 
Total
  
 
108,060
 
  
 
142,160
 
  
 
  
 
126,571
 
  
 
21,621
 
Amounts not offset
                                    
Counterparty netting
  
 
(8,920
) 
  
 
(3,525
) 
      
 
(8,920
) 
  
 
(3,525
) 
Collateral
  
 
(96,140
) 
  
 
(132,893
) 
  
 
  
 
(116,819
) 
  
 
(17,693
) 
Total
  
 
$    3,000
 
  
 
$     5,742
 
  
 
  
 
$
  
      832
 
  
 
$
      
403
 
 
As of December 2019
 
                            
Included in the consolidated balance sheets
 
Gross carrying value
     $152,982       $
 
140,677		           $
  
185,047		       $ 19,591  
Counterparty netting
     (67,291 )      (4,606 )   
 
     (67,291 )      (4,606 ) 
Total
     85,691       136,071    
 
     117,756       14,985  
Amounts not offset
 
                            
Counterparty netting
     (3,058 )      (2,211 )          (3,058 )      (2,211 ) 
Collateral
     (78,528 )      (127,901 )   
 
     (114,065 )      (12,614 ) 
Total
     $    4,105       $
     
5,959		    
 
     $
  
       633		       $      160  
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 and repurchase agreements 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 $28.90 billion as of December 2020 and $26.28 billion as of December 2019, and securities loaned of $1.05 billion as of December 2020 and $714 million as of December 2019 were at fair value under the fair value option. See Note 10 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 December 2020
                
Money market instruments
  
 
$        
 
88
 
  
 
$         
 
–
 
U.S. government and agency obligations
  
 
121,751
 
  
 
–
 
Non-U.S.
government and agency obligations
  
 
79,159
 
  
 
1,634
 
Securities backed by commercial real estate
  
 
65
 
  
 
–
 
Securities backed by residential real estate
  
 
121
 
  
 
–
 
Corporate debt securities
  
 
6,364
 
  
 
46
 
State and municipal obligations
  
 
92
 
  
 
–
 
Other debt obligations
  
 
20
 
  
 
–
 
Equity securities
  
 
16,668
 
  
 
25,374
 
Total
  
 
$224,328
 
  
 
$27,054
 
 
As of December 2019
                
Money market instruments
     $       158       $         
 
–		  
U.S. government and agency obligations
     112,903       –  
Non-U.S.
government and agency obligations
     55,575       1,051  
Securities backed by commercial real estate
     210       –  
Securities backed by residential real estate
     1,079       –  
Corporate debt securities
     6,857       122  
State and municipal obligations
     242       –  
Other debt obligations
     196       –  
Equity securities
     7,827       18,418  
Total
     $185,047       $19,591  
The table below presents the gross carrying value of repurchase agreements and securities loaned by maturity.
 
   
As of December 2020
  
     
$ in millions
  
 
Repurchase
agreements
 
 
  
 
Securities
loaned
 
 
No stated maturity and overnight
  
 
$117,623
 
  
 
$18,533
 
2 - 30 days
  
 
66,570
 
  
 
3,781
 
31 - 90 days
  
 
17,479
 
  
 
21
 
91 days - 1 year
  
 
20,339
 
  
 
4,719
 
Greater than 1 year
  
 
2,317
 
  
 
–
 
Total
  
 
$224,328
 
  
 
$27,054
 
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 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 $12.31 billion as of December 2020 and $10.91 billion as of December 2019.
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 through 10. Had these financings been included in the firm’s fair value hierarchy, they would have been primarily classified in level 3 as of December 2020 and primarily classified in level 2 as of December 2019.
The table below presents information about other secured financings.
 
$ in millions
    
U.S.
Dollar
  
 
     
Non-U.S.
Dollar
  
 
   
 
Total
 
As of December 2020
                          
Other secured financings (short-term):
 
                  
At fair value
  
 
$  6,371
 
   
 
$  6,847
 
   
 
$13,218
 
At amortized cost
  
 
–
 
   
 
–
 
   
 
–
 
Other secured financings (long-term):
 
                  
At fair value
  
 
6,632
 
   
 
4,276
 
   
 
10,908
 
At amortized cost
  
 
914
 
   
 
715
 
   
 
1,629
 
Total other secured financings
  
 
$13,917
 
   
 
$11,838
 
   
 
$25,755
 
 
Other secured financings collateralized by:
 
         
Financial instruments
  
 
$  6,841
 
   
 
$10,068
 
   
 
$16,909
 
Other assets
  
 
$  7,076
 
   
 
$  1,770
 
   
 
$  8,846
 
 
As of December 2019
                          
Other secured financings (short-term):
 
                  
At fair value
     $  2,754        $  4,441        $  7,195  
At amortized cost
     129        –        129  
Other secured financings (long-term):
 
                  
At fair value
     7,402        3,474        10,876  
At amortized cost
     397        680        1,077  
Total other secured financings
     $10,682        $  8,595        $19,277  
 
Other secured financings collateralized by:
 
                  
Financial instruments
     $  4,826        $  7,189        $12,015  
Other assets
     $  5,856        $  1,406        $  7,262  
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 4.32% as of December 2019. These rates include the effect of hedging activities.
 
•  
U.S. dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of 1.27% as of December 2020 and 2.79% as of December 2019. 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 0.40% as of December 2020 and 0.39% as of December 2019. These rates include the effect of hedging activities.
 
•  
Total other secured financings included $2.05 billion as of December 2020 and $2.16 billion as of December 2019 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 $2.26 billion as of December 2020 and $2.21 billion as of December 2019.
•  
Other secured financings collateralized by financial instruments included $11.28 billion as of December 2020 and $9.09 billion as of December 2019 of other secured financings collateralized by trading assets, investments and loans, and included $5.63 billion as of December 2020 and $2.93 billion as of December 2019 of other secured financings collateralized by financial instruments received as collateral and repledged.
The table below presents other secured financings by maturity.
 
$ in millions
  
 
As of
December 2020
 
 
Other secured financings (short-term)
  
 
$13,218
 
Other secured financings (long-term):
        
2022
  
 
4,292
 
2023
  
 
2,102
 
2024
  
 
1,384
 
2025
  
 
1,286
 
2026 - thereafter
  
 
3,473
 
Total other secured financings (long-term)
 
  
 
12,537
 
Total other secured financings
  
 
$25,755
 
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 December  
     
$ in millions
  
 
2020
 
     2019  
Collateral available to be delivered or repledged
  
 
$864,494
 
     $661,490  
Collateral that was delivered or repledged
  
 
$723,409
 
     $558,634  
The table below presents information about assets pledged.
 
    As of December  
     
$ in millions
  
 
2020
 
     2019  
Pledged to counterparties that had the right to deliver or repledge
 
Trading assets
  
 
$  
 
69,031
 
     $
 
  66,605		  
Investments
  
 
$  
 
13,375
 
     $
 
  10,968		  
 
Pledged to counterparties that did not have the right to deliver or repledge
 
Trading assets
  
 
$  
 
99,142
 
     $
 
101,578		  
Investments
  
 
$    
 
2,331
 
     $       
 
849		  
Loans
  
 
$    
 
8,320
 
     $
 
    6,628		  
Other assets
  
 
$  
 
14,144
 
     $
 
  12,337		  
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 $32.97 billion as of December 2020 and $26.76 billion as of December 2019.