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

9 Months Ended

Sep. 30, 2017

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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		Total
September 30, 2017
Repurchase agreements
U.S. Treasury and agencies	$	91	$	–	$	91
Residential agency mortgage-backed securities		622		45		667
Total repurchase agreements		713		45		758
Securities loaned
Corporate debt securities		359		–		359
Total securities loaned		359		–		359
Gross amount of recognized liabilities	$	1,072	$	45	$	1,117
December 31, 2016
Repurchase agreements
U.S. Treasury and agencies	$	60	$	–	$	60
Residential agency mortgage-backed securities		681		30		711
Corporate debt securities		30		–		30
Total repurchase agreements		771		30		801
Securities loaned
Corporate debt securities		223		–		223
Total securities loaned		223		–		223
Gross amount of recognized liabilities	$	994	$	30	$	1,024

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:

	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
(Dollars in Millions)								Financial Instruments (b)			Collateral Received (c)			Net Amount
September 30, 2017
Derivative assets (d)	$	1,844	$	(727	)	$	1,117	$	(69	)	$	(7	)	$	1,041
Reverse repurchase agreements		56		–			56		(42	)		(14	)		–
Securities borrowed		1,105		–			1,105		–			(1,072	)		33
Total	$	3,005	$	(727	)	$	2,278	$	(111	)	$	(1,093	)	$	1,074
December 31, 2016
Derivative assets (d)	$	2,122	$	(984	)	$	1,138	$	(78	)	$	(10	)	$	1,050
Reverse repurchase agreements		77		–			77		(60	)		(17	)		–
Securities borrowed		944		–			944		(10	)		(909	)		25
Total	$	3,143	$	(984	)	$	2,159	$	(148	)	$	(936	)	$	1,075

(a) Includes $78 million and $210 million of cash collateral related payables that were netted against derivative assets at September 30, 2017 and December 31, 2016, 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 $563 million and $848 million at September 30, 2017 and December 31, 2016, respectively, of derivative assets not subject to netting arrangements or where uncertainty exists regarding legal enforceability of the 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

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
		(Dollars in Millions)								Financial Instruments (b)			Collateral Pledged (c)			Net Amount
September 30, 2017
Derivative liabilities (d)	$	1,581		$	(1,182	)	$	399		$	(69	)	$	–		$	330
Repurchase agreements		758			–			758			(42	)		(716	)		–
Securities loaned		359			–			359			–			(354	)		5
Total	$	2,698		$	(1,182	)	$	1,516		$	(111	)	$	(1,070	)	$	335
December 31, 2016
Derivative liabilities (d)	$	1,951		$	(1,185	)	$	766		$	(78	)	$	–		$	688
Repurchase agreements		801			–			801			(60	)		(741	)		–
Securities loaned		223			–			223			(10	)		(211	)		2
Total	$	2,975		$	(1,185	)	$	1,790		$	(148	)	$	(952	)	$	690

(a) Includes $533 million and $411 million of cash collateral related receivables that were netted against derivative liabilities at September 30, 2017 and December 31, 2016, 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 $768 million and $908 million at September 30, 2017 and December 31, 2016, respectively, of derivative liabilities not subject to netting arrangements or where uncertainty exists regarding legal enforceability of the netting arrangements.