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Offsetting Arrangements

9 Months Ended

Sep. 30, 2023

For additional information on our offsetting arrangements, refer to page 158 in Note 11 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.

As of September 30, 2023 and December 31, 2022, the value of securities received as collateral from third parties where we are permitted to transfer or re-pledge the securities totaled $10.38 billion and $8.14 billion, respectively, and the fair value of the portion that had been transferred or re-pledged as of the same dates was $6.18 billion and $3.63 billion, respectively.

The following tables present information about the offsetting of assets related to derivative contracts and secured financing transactions, as of the dates indicated:


Assets:	September 30, 2023
	Gross Amounts of Recognized Assets(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Assets Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	20,608	$	(11,006)	$	9,602	$	—	$	9,602
Interest rate contracts(6)	1		—		1		—		1



Cash collateral and securities netting	NA		(1,799)		(1,799)		(820)		(2,619)
Total derivatives	20,609		(12,805)		7,804		(820)		6,984
Other financial instruments:


Resale agreements and securities borrowing(7)(8)	213,229		(187,348)		25,881		(24,436)		1,445
Total derivatives and other financial instruments	$	233,838	$	(200,153)	$	33,685	$	(25,256)	$	8,429


Assets:	December 31, 2022
	Gross Amounts of Recognized Assets(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Assets Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	26,186	$	(15,224)	$	10,962	$	—	$	10,962
Interest rate contracts(6)	—		—		—		—		—



Cash collateral and securities netting	NA		(3,298)		(3,298)		(1,717)		(5,015)
Total derivatives	26,186		(18,522)		7,664		(1,717)		5,947
Other financial instruments:
Resale agreements and securities borrowing(7)(8)	125,797		(104,093)		21,704		(20,960)		744
Total derivatives and other financial instruments	$	151,983	$	(122,615)	$	29,368	$	(22,677)	$	6,691

(1) Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

(2) Refer to Note 1 and Note 2 for additional information about the measurement basis of derivative instruments.

(3) Amounts subject to netting arrangements which have been determined to be legally enforceable and eligible for netting in the consolidated statement of condition.

(4) Includes securities in connection with our securities borrowing transactions.

(5) Includes amounts secured by collateral not determined to be subject to enforceable netting arrangements.

(6) Variation margin payments presented as settlements rather than collateral.

(7) Included in the $25.88 billion as of September 30, 2023 were $1.82 billion of resale agreements and $24.06 billion of collateral provided related to securities borrowing. Included in the $21.70 billion as of December 31, 2022 were $5.21 billion of resale agreements and $16.49 billion of collateral provided related to securities borrowing. Resale agreements and collateral provided related to securities borrowing were recorded in securities purchased under resale agreements and other assets, respectively, in our consolidated statement of condition. Refer to Note 9 for additional information with respect to principal securities finance transactions.

(8) Offsetting of resale agreements primarily relates to our involvement in FICC, where we settle transactions on a net basis for payment and delivery through the Fedwire system.

NA Not applicable

The following tables present information about the offsetting of liabilities related to derivative contracts and secured financing transactions, as of the dates indicated:


Liabilities:	September 30, 2023
	Gross Amounts of Recognized Liabilities(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Liabilities Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	20,106	$	(11,006)	$	9,100	$	—	$	9,100
Interest rate contracts(6)	1		—		1		—		1
Other derivative contracts	196		—		196		—		196
Cash collateral and securities netting	NA		(4,015)		(4,015)		(1,081)		(5,096)
Total derivatives	20,303		(15,021)		5,282		(1,081)		4,201
Other financial instruments:


Repurchase agreements and securities lending(7)(8)	203,469		(187,348)		16,121		(15,790)		331
Total derivatives and other financial instruments	$	223,772	$	(202,369)	$	21,403	$	(16,871)	$	4,532


Liabilities:	December 31, 2022
	Gross Amounts of Recognized Liabilities(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Liabilities Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	25,749	$	(15,224)	$	10,525	$	—	$	10,525
Interest rate contracts(6)	1		—		1		—		1
Other derivative contracts	216		—		216		—		216
Cash collateral and securities netting	NA		(2,727)		(2,727)		(908)		(3,635)
Total derivatives	25,966		(17,951)		8,015		(908)		7,107
Other financial instruments:
Repurchase agreements and securities lending(7)(8)	111,653		(104,093)		7,560		(6,433)		1,127
Total derivatives and other financial instruments	$	137,619	$	(122,044)	$	15,575	$	(7,341)	$	8,234

(1) Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

(2) Refer to Note 1 and Note 2 for additional information about the measurement basis of derivative instruments.

(3) Amounts subject to netting arrangements which have been determined to be legally enforceable and eligible for netting in the consolidated statement of condition.

(4) Includes securities provided in connection with our securities lending transactions.

(5) Includes amounts secured by collateral not determined to be subject to enforceable netting arrangements.

(6) Variation margin payments presented as settlements rather than collateral.

(7) Included in the $16.12 billion as of September 30, 2023 were $3.10 billion of repurchase agreements and $13.02 billion of collateral received related to securities lending transactions. Included in the $7.56 billion as of December 31, 2022 were $1.18 billion of repurchase agreements and $6.38 billion of collateral received related to securities lending transactions. Repurchase agreements and collateral received related to securities lending were recorded in securities sold under repurchase agreements and accrued expenses and other liabilities, respectively, in our consolidated statement of condition. Refer to Note 9 for additional information with respect to principal securities finance transactions.

(8) Offsetting of repurchase agreements primarily relates to our involvement in FICC, where we settle transactions on a net basis for payment and delivery through the Fedwire system.

NA Not applicable

The securities transferred under resale and repurchase agreements typically are U.S. Treasury, agency and agency MBS. In our principal securities borrowing and lending arrangements, the securities transferred are predominantly equity securities and some corporate debt securities. The fair value of the securities transferred may increase in value to an amount greater than the amount received under our repurchase and securities lending arrangements, which exposes us to counterparty risk. We require the review of the price of the underlying securities in relation to the carrying value of the repurchase agreements and securities lending arrangements on a daily basis and when appropriate, adjust the cash or security to be obtained or returned to counterparties that is reflective of the required collateral levels.

The following table summarizes our repurchase agreements and securities lending transactions by category of collateral pledged and remaining maturity of these agreements, as of the periods indicated:




	As of September 30, 2023										As of December 31, 2022
(In millions)	Overnight and Continuous		Up to 30 Days		30-90 days		Greater than 90 Days		Total		Overnight and Continuous		Up to 30 Days		30-90 days		Greater than 90 Days		Total
Repurchase agreements:
U.S. Treasury and agency securities	$	186,824	$	—	$	178	$	—	$	187,002	$	100,899	$	—	$	200	$	—	$	101,099
Non-U.S. sovereign debt	—		—		—		—		—		702		—		—		—		702
Total	186,824		—		178		—		187,002		101,601		—		200		—		101,801
Securities lending transactions:
US Treasury and agency securities	8		—		—		—		8		44		—		—		—		44
Corporate debt securities	144		—		12		—		156		67		—		—		—		67
Equity securities	7,503		15		20		1,896		9,434		4,509		—		—		1,606		6,115
Other(1)	6,869		—		—		—		6,869		3,626		—		—		—		3,626
Total	14,524		15		32		1,896		16,467		8,246		—		—		1,606		9,852
Gross amount of recognized liabilities for repurchase agreements and securities lending	$	201,348	$	15	$	210	$	1,896	$	203,469	$	109,847	$	—	$	200	$	1,606	$	111,653

(1) Represents a security interest in underlying client assets related to our prime services business, which clients have allowed us to transfer and re-pledge.