Annual report pursuant to Section 13 and 15(d)

Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash

v3.24.0.1
Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash
 12 Months Ended
Dec. 31, 2023
Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash [Abstract]  
Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash
The Corporation enters into securities financing agreements which include securities borrowed or purchased under agreements to resell and securities loaned or sold under agreements to repurchase. These financing agreements (also referred to as “matched-book transactions”) are to accommodate customers, obtain securities to cover short positions and finance inventory positions. The Corporation elects to account for certain securities financing agreements under the fair value option. For more information on the fair value option, see Note 21 – Fair Value Option.
Offsetting of Securities Financing Agreements
Substantially all of the Corporation’s securities financing activities are transacted under legally enforceable master repurchase agreements or legally enforceable master securities lending agreements that give the Corporation, in the event of
default by the counterparty, the right to liquidate securities held and to offset receivables and payables with the same counterparty. The Corporation offsets securities financing transactions with the same counterparty on the Consolidated Balance Sheet where it has such a legally enforceable master netting agreement and the transactions have the same maturity date.
The Securities Financing Agreements table presents securities financing agreements included on the Consolidated Balance Sheet in federal funds sold and securities borrowed or purchased under agreements to resell, and in federal funds purchased and securities loaned or sold under agreements to repurchase at December 31, 2023 and 2022. Balances are presented on a gross basis, prior to the application of counterparty netting. Gross assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements. For more information on the offsetting of derivatives, see Note 3 – Derivatives.
Securities Financing Agreements
Gross Assets/Liabilities (1)
Amounts Offset Net Balance Sheet Amount
Financial Instruments (2)
Net Assets/Liabilities
(Dollars in millions) December 31, 2023
Securities borrowed or purchased under agreements to resell (3)
$ 703,641  $ (423,017) $ 280,624  $ (257,541) $ 23,083 
Securities loaned or sold under agreements to repurchase $ 706,904  $ (423,017) $ 283,887  $ (272,285) $ 11,602 
Other (4)
10,066  —  10,066  (10,066) — 
Total $ 716,970  $ (423,017) $ 293,953  $ (282,351) $ 11,602 
December 31, 2022
Securities borrowed or purchased under agreements to resell (3)
$ 597,847  $ (330,273) $ 267,574  $ (240,120) $ 27,454 
Securities loaned or sold under agreements to repurchase $ 525,908  $ (330,273) $ 195,635  $ (183,265) $ 12,370 
Other (4)
8,427  —  8,427  (8,427) — 
Total $ 534,335  $ (330,273) $ 204,062  $ (191,692) $ 12,370 
(1)Includes activity where uncertainty exists as to the enforceability of certain master netting agreements under bankruptcy laws in some countries or industries.
(2)Includes securities collateral received or pledged under repurchase or securities lending agreements where there is a legally enforceable master netting agreement. These amounts are not offset on the Consolidated Balance Sheet, but are shown as a reduction to derive a net asset or liability. Securities collateral received or pledged where the legal enforceability of the master netting agreements is uncertain is excluded from the table.
(3)Excludes repurchase activity of $8.7 billion reported in loans and leases on the Consolidated Balance Sheet for both December 31, 2023 and 2022.
(4)Balance is reported in accrued expenses and other liabilities on the Consolidated Balance Sheet and relates to transactions where the Corporation acts as the lender in a securities lending agreement and receives securities that can be pledged as collateral or sold. In these transactions, the Corporation recognizes an asset at fair value, representing the securities received, and a liability, representing the obligation to return those securities.
Repurchase Agreements and Securities Loaned Transactions Accounted for as Secured Borrowings
The following tables present securities sold under agreements to repurchase and securities loaned by remaining contractual term to maturity and class of collateral pledged. Included in “Other” are transactions where the Corporation acts as the
lender in a securities lending agreement and receives securities that can be pledged as collateral or sold. Certain agreements contain a right to substitute collateral and/or terminate the agreement prior to maturity at the option of the Corporation or the counterparty. Such agreements are included in the table below based on the remaining contractual term to maturity.
Remaining Contractual Maturity
Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days
Greater than
90 Days (1)
Total
(Dollars in millions) December 31, 2023
Securities sold under agreements to repurchase $ 234,974  $ 228,627  $ 85,176  $ 75,020  $ 623,797 
Securities loaned 76,580  139  618  5,770  83,107 
Other 10,066  —  —  —  10,066 
Total $ 321,620  $ 228,766  $ 85,794  $ 80,790  $ 716,970 
December 31, 2022
Securities sold under agreements to repurchase $ 200,087  $ 181,632  $ 41,666  $ 30,107  $ 453,492 
Securities loaned 66,909  288  1,139  4,080  72,416 
Other 8,427  —  —  —  8,427 
Total $ 275,423  $ 181,920  $ 42,805  $ 34,187  $ 534,335 
(1)No agreements have maturities greater than four years.
Class of Collateral Pledged
Securities Sold Under Agreements to Repurchase Securities
Loaned		 Other Total
(Dollars in millions) December 31, 2023
U.S. government and agency securities $ 352,950  $ 34  $ 38  $ 353,022 
Corporate securities, trading loans and other 23,242  1,805  661  25,708 
Equity securities 11,517  81,266  9,367  102,150 
Non-U.S. sovereign debt 231,140  2  —  231,142 
Mortgage trading loans and ABS 4,948  —  —  4,948 
Total $ 623,797  $ 83,107  $ 10,066  $ 716,970 
December 31, 2022
U.S. government and agency securities $ 193,005  $ 18  $ —  $ 193,023 
Corporate securities, trading loans and other 14,345  2,896  317  17,558 
Equity securities 10,249  69,432  8,110  87,791 
Non-U.S. sovereign debt 232,171  70  —  232,241 
Mortgage trading loans and ABS 3,722  —  —  3,722 
Total $ 453,492  $ 72,416  $ 8,427  $ 534,335 
Under repurchase agreements, the Corporation is required to post collateral with a market value equal to or in excess of the principal amount borrowed. For securities loaned transactions, the Corporation receives collateral in the form of cash, letters of credit or other securities. To determine whether the market value of the underlying collateral remains sufficient, collateral is generally valued daily, and the Corporation may be required to deposit additional collateral or may receive or return collateral pledged when appropriate. Repurchase agreements and securities loaned transactions are generally either overnight, continuous (i.e., no stated term) or short-term. The Corporation manages liquidity risks related to these agreements by sourcing funding from a diverse group of counterparties, providing a range of securities collateral and pursuing longer durations, when appropriate.
Short-term Borrowings
The Corporation classifies borrowings with an original maturity of less than one year as short-term borrowings on the Consolidated Balance Sheet. At December 31, 2023 and 2022, the majority of short-term borrowings consisted of Federal Home Loan Bank advances, which totaled $13.2 billion and $9.2 billion, and commercial paper, which totaled $13.1 billion and $9.9 billion.
Collateral
The Corporation accepts securities and loans as collateral that it is permitted by contract or practice to sell or repledge. At December 31, 2023 and 2022, the fair value of this collateral was $911.3 billion and $827.6 billion, of which $870.9 billion and $764.1 billion were sold or repledged. The primary source of this collateral is securities borrowed or purchased under agreements to resell.
The Corporation also pledges company-owned securities and loans as collateral in transactions that include repurchase agreements, securities loaned, public and trust deposits, U.S. Treasury tax and loan notes, and short-term borrowings. This collateral, which in some cases can be sold or repledged by the counterparties to the transactions, is parenthetically disclosed on the Consolidated Balance Sheet.
In certain cases, the Corporation has transferred assets to consolidated VIEs where those restricted assets serve as collateral for the interests issued by the VIEs. These assets are included on the Consolidated Balance Sheet in Assets of Consolidated VIEs.
In addition, the Corporation obtains collateral in connection with its derivative contracts. Required collateral levels vary depending on the credit risk rating and the type of counterparty. Generally, the Corporation accepts collateral in the form of cash, U.S. Treasury securities and other marketable securities. Based on provisions contained in master netting agreements, the Corporation nets cash collateral received against derivative assets. The Corporation also pledges collateral on its own derivative positions which can be applied against derivative liabilities. For more information on the collateral of derivatives, see Note 3 – Derivatives.
Restricted Cash
At December 31, 2023 and 2022, the Corporation held restricted cash included within cash and cash equivalents on the Consolidated Balance Sheet of $5.6 billion and $7.6 billion, predominantly related to cash segregated in compliance with securities regulations and cash held on deposit with central banks to meet reserve requirements.