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

9 Months Ended

Sep. 30, 2022

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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, 2022
Repurchase agreements
U.S. Treasury and agencies	$	321	$	–	$	–	$	–	$	321
Residential agency mortgage-backed securities		849		–		–		–		849
Corporate debt securities		732		–		–		–		732
Total repurchase agreements		1,902		–		–		–		1,902
Securities loaned
Corporate debt securities		188		–		–		–		188
Total securities loaned		188		–		–		–		188
Gross amount of recognized liabilities	$	2,090	$	–	$	–	$	–	$	2,090
December 31, 2021
Repurchase agreements
U.S. Treasury and agencies	$	378	$	–	$	–	$	–	$	378
Residential agency mortgage-backed securities		551		–		–		–		551
Corporate debt securities		646		–		–		–		646
Total repurchase agreements		1,575		–		–		–		1,575
Securities loaned
Corporate debt securities		169		–		–		–		169
Total securities loaned		169		–		–		–		169
Gross amount of recognized liabilities	$	1,744	$	–	$	–	$	–	$	1,744

Information on Company's Accounting Netting Adjustments and Items Not Offset in Consolidated Balance Sheet Assets But Available for Offset in Event of Default

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:

(Dollars in Millions)	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
								Financial Instruments (b)			Collateral Received (c)
September 30, 2022
Derivative assets (d)	$	8,884	$	(6,174	)	$	2,710	$	(101	)	$	(101	)	$	2,508
Reverse repurchase agreements		396		–			396		(305	)		(89	)		2
Securities borrowed		1,699		–			1,699		–			(1,642	)		57
Total	$	10,979	$	(6,174	)	$	4,805	$	(406	)	$	(1,832	)	$	2,567
December 31, 2021
Derivative assets (d)	$	3,830	$	(1,609	)	$	2,221	$	(142	)	$	(106	)	$	1,973
Reverse repurchase agreements		359		–			359		(249	)		(110	)		–
Securities borrowed		1,868		–			1,868		–			(1,818	)		50
Total	$	6,057	$	(1,609	)	$	4,448	$	(391	)	$	(2,034	)	$	2,023

(a) Includes $3.5 billion and $528 million of cash collateral related payables that were netted against derivative assets at September 30, 2022 and December 31, 2021, 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 $17 million and $57 million at September 30, 2022 and December 31, 2021, respectively, of derivative assets not subject to netting arrangements.

Information on Company's Accounting Netting Adjustments and Items Not Offset in Consolidated Balance Sheet Liabilities But Available for Offset in Event of Default

(Dollars in Millions)	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
								Financial Instruments (b)			Collateral Pledged (c)
September 30, 2022
Derivative liabilities (d)	$	11,313	$	(4,768	)	$	6,545	$	(101	)	$	–		$	6,444
Repurchase agreements		1,902		–			1,902		(305	)		(1,595	)		2
Securities loaned		188		–			188		–			(185	)		3
Total	$	13,403	$	(4,768	)	$	8,635	$	(406	)	$	(1,780	)	$	6,449
December 31, 2021
Derivative liabilities (d)	$	2,761	$	(1,589	)	$	1,172	$	(142	)	$	–		$	1,030
Repurchase agreements		1,575		–			1,575		(249	)		(1,326	)		–
Securities loaned		169		–			169		–			(167	)		2
Total	$	4,505	$	(1,589	)	$	2,916	$	(391	)	$	(1,493	)	$	1,032

(a) Includes $2.1 billion and $508 million of cash collateral related receivables that were netted against derivative liabilities at September 30, 2022 and December 31, 2021, 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 $270 million and $137 million at September 30, 2022 and December 31, 2021, respectively, of derivative liabilities not subject to netting arrangements.