Netting Arrangements (Tables)

6 Months Ended

Jun. 30, 2020

The tables below display information related to derivatives, securities purchased under agreements to resell or similar arrangements, and securities sold under agreements to repurchase or similar arrangements, which are subject to an enforceable master netting arrangement or similar agreement that are either offset or not offset in our condensed consolidated balance sheets.


	As of June 30, 2020
			Gross Amount Offset⁽¹⁾		Net Amount Presented in our Condensed Consolidated Balance Sheets						Amounts Not Offset in our Condensed Consolidated Balance Sheets
	Gross Amount											Financial Instruments⁽²⁾					Collateral⁽³⁾	Net Amount
	(Dollars in millions)
Assets:
OTC risk management derivatives	$	2,160	$	(2,156)		$	4		$	—			$	—	$	4
Cleared risk management derivatives	—		48			48			—				—		48
Mortgage commitment derivatives	767		—			767			(268)				(28)		471
Total derivative assets	2,927		(2,108)			819		⁽⁴⁾	(268)				(28)		523
Securities purchased under agreements to resell or similar arrangements⁽⁵⁾	38,725		—			38,725			—				(38,725)		—
Total assets	$	41,652	$	(2,108)		$	39,544		$	(268)			$	(38,753)	$	523
Liabilities:
OTC risk management derivatives	$	(2,508)	$	2,400		$	(108)		$	—			$	—	$	(108)
Cleared risk management derivatives	—		(4)			(4)			—				4		—
Mortgage commitment derivatives	(1,224)		—			(1,224)			268				934		(22)
Total derivative liabilities	(3,732)		2,396			(1,336)		⁽⁴⁾	268				938		(130)

Total liabilities	$	(3,732)	$	2,396		$	(1,336)		$	268			$	938	$	(130)


	As of December 31, 2019
			Gross Amount Offset⁽¹⁾		Net Amount Presented in our Condensed Consolidated Balance Sheets						Amounts Not Offset in our Condensed Consolidated Balance Sheets
	Gross Amount											Financial Instruments⁽²⁾					Collateral⁽³⁾	Net Amount
	(Dollars in millions)
Assets:
OTC risk management derivatives	$	1,354	$	(1,334)		$	20		$	—			$	—	$	20
Cleared risk management derivatives	—		46			46			—				—		46
Mortgage commitment derivatives	165		—			165			(101)				(1)		63
Total derivative assets	1,519		(1,288)			231		⁽⁴⁾	(101)				(1)		129
Securities purchased under agreements to resell or similar arrangements⁽⁵⁾	24,928		—			24,928			—				(24,928)		—
Total assets	$	26,447	$	(1,288)		$	25,159		$	(101)			$	(24,929)	$	129
Liabilities:
OTC risk management derivatives	$	(1,798)	$	1,695		$	(103)		$	—			$	—	$	(103)
Cleared risk management derivatives	—		(1)			(1)			—				1		—
Mortgage commitment derivatives	(306)		—			(306)			101				181		(24)
Total derivative liabilities	(2,104)		1,694			(410)		⁽⁴⁾	101				182		(127)
Securities sold under agreements to repurchase or similar arrangements	(478)		—			(478)			—				475		(3)
Total liabilities	$	(2,582)	$	1,694		$	(888)		$	101			$	657	$	(130)

⁽¹⁾Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received and accrued interest.

⁽²⁾Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance sheets.

⁽³⁾Represents collateral received that has not been recognized and not offset in our condensed consolidated balance sheets as well as collateral posted which has been recognized but not offset in our condensed consolidated balance sheets. Does not include collateral held or posted in excess of our exposure. The fair value of non-cash collateral we pledged which the counterparty was permitted to sell or repledge was $4.9 billion and $2.3 billion as of June 30, 2020 and December 31, 2019, respectively. The fair value of non-cash collateral received was $38.7 billion and $24.7 billion, of which $38.0 billion and $23.8 billion could be sold or repledged as of June 30, 2020 and December 31, 2019, respectively. None of the underlying collateral was sold or repledged as of June 30, 2020 or December 31, 2019.

⁽⁴⁾Excludes derivative assets of $85 million and $40 million as of June 30, 2020 and December 31, 2019, respectively, and derivative liabilities of $44 million and $25 million recognized in our condensed consolidated balance sheets as of June 30, 2020 and December 31, 2019, respectively, that are not subject to enforceable master netting arrangements.

⁽⁵⁾Includes $13.3 billion and $11.4 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our condensed consolidated balance sheets as of June 30, 2020 and December 31, 2019, respectively.