XML 321 R21.htm IDEA: XBRL DOCUMENT

Offsetting Arrangements

12 Months Ended

Dec. 31, 2023

Certain of our transactions are subject to master netting agreements that allow us to net receivables and payables by contract and settlement type. For those legally enforceable contracts, we net receivables and payables with the same counterparty on our statement of condition.

In addition to netting receivables and payables with our derivatives counterparty where a legal and enforceable netting arrangement exists, we also net related cash collateral received and transferred up to the fair value exposure amount.

With respect to our securities financing arrangements, we net balances outstanding on our consolidated statement of condition for those transactions that met the netting requirements and were transacted under a legally enforceable netting arrangement with the counterparty.

Securities received as collateral under securities financing or derivatives transactions can be transferred as collateral in many instances. The securities received as proceeds under secured lending transactions are recorded at a value that approximates fair value in other assets in our consolidated statement of condition with a related liability to return the collateral, if we have the right to transfer or re-pledge the collateral.

As of December 31, 2023 and 2022, the value of securities received as collateral from third parties where we are permitted to transfer or re-pledge the securities totaled $10.67 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 $6.41 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:	December 31, 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	$	19,694	$	(10,496)	$	9,198	$	—	$	9,198
Interest rate contracts(6)	13		—		13		—		13



Cash collateral and securities netting	NA		(3,904)		(3,904)		(1,069)		(4,973)
Total derivatives	19,707		(14,400)		5,307		(1,069)		4,238
Other financial instruments:


Resale agreements and securities borrowing(7)(8)	230,384		(200,561)		29,823		(28,016)		1,807
Total derivatives and other financial instruments	$	250,091	$	(214,961)	$	35,130	$	(29,085)	$	6,045


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 $29.82 billion as of December 31, 2023 were $6.69 billion of resale agreements and $23.13 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 12 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:	December 31, 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	$	19,416	$	(10,496)	$	8,920	$	—	$	8,920
Interest rate contracts(6)	4		—		4		—		4
Other derivative contracts	182		—		182		—		182
Cash collateral and securities netting	NA		(1,413)		(1,413)		(633)		(2,046)
Total derivatives	19,602		(11,909)		7,693		(633)		7,060
Other financial instruments:


Repurchase agreements and securities lending(7)(8)	214,362		(200,561)		13,801		(13,306)		495
Total derivatives and other financial instruments	$	233,964	$	(212,470)	$	21,494	$	(13,939)	$	7,555


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 $13.80 billion as of December 31, 2023 were $1.87 billion of repurchase agreements and $11.93 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 12 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 December 31, 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	$	196,212	$	—	$	185	$	1,360	$	197,757	$	100,899	$	—	$	200	$	—	$	101,099
Non-US sovereign debt	—		—		—		—		—		702		—		—		—		702
Total	196,212		—		185		1,360		197,757		101,601		—		200		—		101,801
Securities lending transactions:
US Treasury and agency securities	6		—		—		—		6		44		—		—		—		44
Corporate debt securities	278		—		3		—		281		67		—		—		—		67
Equity securities	7,128		20		13		2,291		9,452		4,509		—		—		1,606		6,115
Other(1)	6,866		—		—		—		6,866		3,626		—		—		—		3,626
Total	14,278		20		16		2,291		16,605		8,246		—		—		1,606		9,852
Gross amount of recognized liabilities for repurchase agreements and securities lending	$	210,490	$	20	$	201	$	3,651	$	214,362	$	109,847	$	—	$	200	$	1,606	$	111,653

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