Netting Arrangements (Tables)

9 Months Ended

Sep. 30, 2022

The tables below display information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase, 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 September 30, 2022
			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	$	239	$	(233)		$	6			$	—		$	—	$	6
Cleared risk management derivatives	—		70			70				—			—		70
Mortgage commitment derivatives	420		—			420				(307)			(1)		112
Total derivative assets	659		(163)			496		(4)		(307)			(1)		188
Securities purchased under agreements to resell(5)	47,050		—			47,050				—			(47,050)		—
Total assets	$	47,709	$	(163)		$	47,546			$	(307)		$	(47,051)	$	188
Liabilities:
OTC risk management derivatives	$	(4,877)	$	4,834		$	(43)			$	—		$	—	$	(43)
Cleared risk management derivatives	—		(1)			(1)				—			1		—
Mortgage commitment derivatives	(814)		—			(814)				307			2		(505)


Total liabilities	$	(5,691)	$	4,833		$	(858)	(4)		$	307		$	3	$	(548)


	As of December 31, 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	$	239	$	(237)		$	2				$	—		$	—		$	2
Cleared risk management derivatives	—		—			—					—			—			—
Mortgage commitment derivatives	169		—			169					(133)			—			36
Total derivative assets	408		(237)			171		(4)			(133)			—			38
Securities purchased under agreements to resell(5)	64,843		—			64,843					—			(64,843)			—
Total assets	$	65,251	$	(237)		$	65,014				$	(133)		$	(64,843)		$	38
Liabilities:
OTC risk management derivatives	$	(1,188)	$	1,183		$	(5)				$	—		$	—		$	(5)
Cleared risk management derivatives	—		(10)			(10)					—			10			—
Mortgage commitment derivatives	(197)		—			(197)					133			56			(8)


Total liabilities	$	(1,385)	$	1,173		$	(212)	(4)			$	133		$	66		$	(13)

(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 $1.8 billion and $2.5 billion as of September 30, 2022 and December 31, 2021, respectively. The fair value of non-cash collateral received was $47.1 billion and $64.9 billion, of which $28.4 billion and $25.6 billion could be sold or repledged as of September 30, 2022 and December 31, 2021, respectively. None of the underlying collateral was sold or repledged as of September 30, 2022 or December 31, 2021.

(4)Excludes derivative assets of $2 million as of September 30, 2022 and derivative liabilities of $65 million and $21 million recognized in our condensed consolidated balance sheets as of September 30, 2022 and December 31, 2021, respectively, that were not subject to enforceable master netting arrangements. We had no derivative assets recognized in our condensed consolidated balance sheets as of December 31, 2021 that were not subject to enforceable master netting arrangements.

(5)Includes $20.6 billion and $29.1 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our condensed consolidated balance sheets as of September 30, 2022 and December 31, 2021, respectively. Includes $2.5 billion and $15.0 billion in securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” in our condensed consolidated balance sheets as of September 30, 2022 and December 31, 2021, respectively.