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

6 Months Ended

Jun. 30, 2023

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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
June 30, 2023
Repurchase agreements
U.S. Treasury and agencies	$	1,560		$—		$—		$—	$	1,560
Residential agency mortgage-backed securities		327		—		—		—		327
Corporate debt securities		672		—		—		—		672
Total repurchase agreements		2,559		—		—		—		2,559
Securities loaned
Corporate debt securities		182		—		—		—		182
Total securities loaned		182		—		—		—		182
Gross amount of recognized liabilities	$	2,741		$—		$—		$—	$	2,741
December 31, 2022
Repurchase agreements
U.S. Treasury and agencies	$	147		$—		$—		$—	$	147
Residential agency mortgage-backed securities		846		—		—		—		846
Corporate debt securities		439		—		—		—		439
Total repurchase agreements		1,432		—		—		—		1,432
Securities loaned
Corporate debt securities		120		—		—		—		120
Total securities loaned		120		—		—		—		120
Gross amount of recognized liabilities	$	1,552		$—		$—		$—	$	1,552

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)
June 30, 2023
Derivative assets (d)	$	7,365	$	(3,295	)	$	4,070	$	(204	)	$	—		$	3,866
Reverse repurchase agreements		1,557		—			1,557		(303	)		(1,236	)		18
Securities borrowed		1,726		—			1,726		—			(1,670	)		56
Total	$	10,648	$	(3,295	)	$	7,353	$	(507	)	$	(2,906	)	$	3,940
December 31, 2022
Derivative assets (d)	$	7,852	$	(5,427	)	$	2,425	$	(231	)	$	(80	)	$	2,114
Reverse repurchase agreements		107		—			107		(102	)		(5	)		—
Securities borrowed		1,606		—			1,606		—			(1,548	)		58
Total	$	9,565	$	(5,427	)	$	4,138	$	(333	)	$	(1,633	)	$	2,172

(a) Includes $2.7 billion and $3.0 billion of cash collateral related payables that were netted against derivative assets at June 30, 2023 and December 31, 2022, 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 $20 million at June 30, 2023 and December 31, 2022, 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)
June 30, 2023
Derivative liabilities (d)	$	10,501	$	(3,037	)	$	7,464	$	(204	)	$	—		$	7,260
Repurchase agreements		2,559		—			2,559		(303	)		(2,256	)		—
Securities loaned		182		—			182		—			(178	)		4
Total	$	13,242	$	(3,037	)	$	10,205	$	(507	)	$	(2,434	)	$	7,264
December 31, 2022
Derivative liabilities (d)	$	10,506	$	(4,551	)	$	5,955	$	(231	)	$	—		$	5,724
Repurchase agreements		1,432		—			1,432		(102	)		(1,325	)		5
Securities loaned		120		—			120		—			(118	)		2
Total	$	12,058	$	(4,551	)	$	7,507	$	(333	)	$	(1,443	)	$	5,731

(a) Includes $2.4 billion and $2.1 billion of cash collateral related receivables that were netted against derivative liabilities at June 30, 2023 and December 31, 2022, 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 $148 million and $193 million at June 30, 2023 and December 31, 2022, respectively, of derivative liabilities not subject to netting arrangements.