Netting Arrangements for Certain Financial Instruments and Securities Financing Activities (Tables)

9 Months Ended

Sep. 30, 2024

Summary of Maturities by Category of Collateral Pledged for Repurchase Agreements and Securities Loaned Transactions

The following table summarizes the maturities by category of collateral pledged for repurchase agreements and securities loaned transactions:


(Dollars in Millions)	Overnight and Continuous		Less Than 30 Days		30-89 Days		Greater Than 90 Days		Total
September 30, 2024
Repurchase agreements
U.S. Treasury and agencies	$	5,865	$	—	$	—	$	—	$	5,865
Residential agency mortgage-backed securities	312		—		—		—		312
Corporate debt securities	1,089		51		—		—		1,140
Asset-backed securities	181		73		—		—		254
Total repurchase agreements	7,447		124		—		—		7,571
Securities loaned
Corporate debt securities	165		—		—		—		165
Total securities loaned	165		—		—		—		165
Gross amount of recognized liabilities	$	7,612	$	124	$	—	$	—	$	7,736
December 31, 2023
Repurchase agreements
U.S. Treasury and agencies	$	2,375	$	—	$	—	$	—	$	2,375
Residential agency mortgage-backed securities	338		—		—		—		338
Corporate debt securities	821		—		—		—		821
Asset-backed securities	—		45		—		—		45
Total repurchase agreements	3,534		45		—		—		3,579
Securities loaned
Corporate debt securities	290		—		—		—		290
Total securities loaned	290		—		—		—		290
Gross amount of recognized liabilities	$	3,824	$	45	$	—	$	—	$	3,869

Netting Adjustments and Items Not Offset in Consolidated Balance Sheet, Assets

The following tables provide information on the Company’s netting adjustments, and items not offset on the Consolidated Balance Sheet but available for offset in the event of default:


	Gross Recognized Assets		Gross Amounts Offset on the Consolidated Balance Sheet(a)		Net Amounts Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet				Net Amount
(Dollars in Millions)							Financial Instruments(b)		Collateral Received(c)
September 30, 2024
Derivative assets(d)	$	6,335	$	(2,878)	$	3,457	$	(107)	$	(10)	$	3,340
Reverse repurchase agreements	6,437		—		6,437		(555)		(5,874)		8
Securities borrowed	1,927		—		1,927		—		(1,851)		76
Total	$	14,699	$	(2,878)	$	11,821	$	(662)	$	(7,735)	$	3,424
December 31, 2023
Derivative assets(d)	$	6,504	$	(3,666)	$	2,838	$	(141)	$	(3)	$	2,694
Reverse repurchase agreements	2,513		—		2,513		(568)		(1,941)		4
Securities borrowed	1,802		—		1,802		(14)		(1,717)		71
Total	$	10,819	$	(3,666)	$	7,153	$	(723)	$	(3,661)	$	2,769

(a)Includes $1.4 billion and $1.6 billion of cash collateral related payables that were netted against derivative assets at September 30, 2024 and December 31, 2023, respectively.

(b)For derivative assets this includes any derivative liability fair values that could be offset in the event of counterparty default; for reverse repurchase agreements this includes any repurchase agreement payables that could be offset in the event of counterparty default; for securities borrowed this includes any securities loaned payables that could be offset in the event of counterparty default.

(c)Includes the fair value of securities received by the Company from the counterparty. These securities are not included on the Consolidated Balance Sheet unless the counterparty defaults.

(d)Excludes $31 million and $27 million at September 30, 2024 and December 31, 2023, respectively, of derivative assets not subject to netting arrangements.

Netting Adjustments and Items Not Offset in Consolidated Balance Sheet, Liabilities


	Gross Recognized Liabilities		Gross Amounts Offset on the Consolidated Balance Sheet(a)		Net Amounts Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet				Net Amount
(Dollars in Millions)							Financial Instruments(b)		Collateral Pledged(c)
September 30, 2024
Derivative liabilities(d)	$	6,498	$	(2,847)	$	3,651	$	(107)	$	—	$	3,544
Repurchase agreements	7,571		—		7,571		(555)		(7,012)		4
Securities loaned	165		—		165		—		(161)		4
Total	$	14,234	$	(2,847)	$	11,387	$	(662)	$	(7,173)	$	3,552
December 31, 2023
Derivative liabilities(d)	$	8,217	$	(3,720)	$	4,497	$	(141)	$	—	$	4,356
Repurchase agreements	3,579		—		3,579		(568)		(3,008)		3
Securities loaned	290		—		290		(14)		(270)		6
Total	$	12,086	$	(3,720)	$	8,366	$	(723)	$	(3,278)	$	4,365

(a)Includes $1.4 billion and $1.7 billion of cash collateral related receivables that were netted against derivative liabilities at September 30, 2024 and December 31, 2023, respectively.

(b)For derivative liabilities this includes any derivative asset fair values that could be offset in the event of counterparty default; for repurchase agreements this includes any reverse repurchase agreement receivables that could be offset in the event of counterparty default; for securities loaned this includes any securities borrowed receivables that could be offset in the event of counterparty default.

(c)Includes the fair value of securities pledged by the Company to the counterparty. These securities are included on the Consolidated Balance Sheet unless the Company defaults.

(d)Excludes $106 million and $92 million at September 30, 2024 and December 31, 2023, respectively, of derivative liabilities not subject to netting arrangements.