Netting Arrangements

6 Months Ended

Jun. 30, 2021

We use master netting arrangements, which allow us to offset certain financial instruments and collateral with the same counterparty, to minimize counterparty credit exposure. 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, 2021
			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	$	365	$	(348)		$	17			$	—		$	—	$	17
Cleared risk management derivatives	—		17			17				—			—		17
Mortgage commitment derivatives	311		—			311				(182)			—		129
Total derivative assets	676		(331)			345		(4)		(182)			—		163
Securities purchased under agreements to resell or similar arrangements(5)	90,838		—			90,838				—			(90,838)		—
Total assets	$	91,514	$	(331)		$	91,183			$	(182)		$	(90,838)	$	163
Liabilities:
OTC risk management derivatives	$	(859)	$	856		$	(3)			$	—		$	—	$	(3)
Cleared risk management derivatives	—		(7)			(7)				—			7		—
Mortgage commitment derivatives	(476)		—			(476)				182			288		(6)
Total derivative liabilities	(1,335)		849			(486)		(4)		182			295		(9)

Total liabilities	$	(1,335)	$	849		$	(486)			$	182		$	295	$	(9)


	As of December 31, 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	$	962	$	(952)		$	10				$	—		$	—		$	10
Cleared risk management derivatives	—		47			47					—			—			47
Mortgage commitment derivatives	989		—			989					(406)			(53)			530
Total derivative assets	1,951		(905)			1,046		(4)			(406)			(53)			587
Securities purchased under agreements to resell or similar arrangements(5)	46,644		—			46,644					—			(46,644)			—
Total assets	$	48,595	$	(905)		$	47,690				$	(406)		$	(46,697)		$	587
Liabilities:
OTC risk management derivatives	$	(1,015)	$	999		$	(16)				$	—		$	—		$	(16)
Cleared risk management derivatives	—		(4)			(4)					—			2			(2)
Mortgage commitment derivatives	(1,426)		—			(1,426)					406			1,017			(3)
Total derivative liabilities	(2,441)		995			(1,446)		(4)			406			1,019			(21)

Total liabilities	$	(2,441)	$	995		$	(1,446)				$	406		$	1,019		$	(21)

(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 $4.5 billion and $4.7 billion as of June 30, 2021 and December 31, 2020, respectively. The fair value of non-cash collateral received was $91.0 billion and $46.6 billion, of which $59.8 billion and $46.6 billion could be sold or repledged as of June 30, 2021 and December 31, 2020, respectively. None of the underlying collateral was sold or repledged as of June 30, 2021 or December 31, 2020.

(4)Excludes derivative assets of $50 million and $179 million as of June 30, 2021 and December 31, 2020, respectively, and derivative liabilities of $32 million and $49 million recognized in our condensed consolidated balance sheets as of June 30, 2021 and December 31, 2020, respectively, that are not subject to enforceable master netting arrangements.

(5)Includes $34.0 billion and $18.4 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our condensed consolidated balance sheets as of June 30, 2021 and December 31, 2020, respectively. Includes $13.0 billion in securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” in our condensed consolidated balance sheets as of June 30, 2021. There were no securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” as of December 31, 2020.

Derivative instruments are recorded at fair value and securities purchased under agreements to resell or similar arrangements are recorded at amortized cost in our condensed consolidated balance sheets. For how we determine our rights to offset the assets and liabilities presented above with the same counterparty, including collateral posted or received, see “Note 14, Netting Arrangements” in our 2020 Form 10-K.