[1]

Amounts reflect variation margin payments that are characterized as settlement per the rules of the Company’s central counterparties that became effective January 3, 2017.

[2]

Amounts reflect variation margin payments that are characterized as settlement per the rules of the Company’s central counterparties that became effective January 3, 2017.

[3]

These balances are composed of: principal balances of $350 million at June 30, 2017 and December 31, 2016, as well as the impact of ($3) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016.

[4]

These balances are composed of: principal balances of $250 million at June 30, 2017 and December 31, 2016, as well as the impact of ($1) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016.

[5]

These balances are composed of: principal balances of $750 million at June 30, 2017 and December 31, 2016, as well as the impact of ($1) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016.

[6]

These balances are composed of: principal balance of $350 million at June 30, 2017 and December 31, 2016, as well as the impact of ($2) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016.

[7]

These balances are composed of: principal balances of $750 million at June 30, 2017 and December 31, 2016, as well as the impact from interest rate swaps of ($3) million at June 30, 2017 and December 31, 2016; and ($1) million and ($2) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016, respectively. See Note 10 “Derivatives” for further information.

[8]

These securities were offered under CBNA’s Global Bank Note Program dated December 1, 2014.

[9]

These balances are composed of: principal balances of $750 million at June 30, 2017 and December 31, 2016, as well as the impact of ($2) million and ($3) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016, respectively.

[10]

These balances are composed of: principal balance of $750 million at June 30, 2017 and December 31, 2016, as well as the impact from interest rate swaps of ($6) million and ($7) million at June 30, 2017 and December 31, 2016, respectively; and ($1) million and ($2) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016, respectively. See Note 10 “Derivatives” for further information.

[11]

This balance is composed of: principal balance of $700 million at June 30, 2017; impact from interest rate swaps of $1 million and ($3) million of unamortized deferred issuance costs and discount at June 30, 2017. See Note 10 “Derivatives” for further information.

[12]

This balance is composed of: principal balance of $300 million at June 30, 2017, as well as the impact of ($1) million of unamortized deferred issuance costs and discount at June 30, 2017.

[13]

These balances are composed of: principal balance of $250 million at June 30, 2017, as well as the impact of ($1) million of unamortized deferred issuance costs and discount at June 30, 2017.

[14]

This balance is composed of: principal balance of $500 million at June 30, 2017, as well as the impact of ($2) million of unamortized deferred issuance costs and discount at June 30, 2017.

[15]

These balances are composed of: principal balance of $1.0 billion at June 30, 2017 and December 31, 2016, as well as the impact from interest rate swaps of ($23) million and ($30) million at June 30, 2017 and December 31, 2016, respectively; and ($4) million and ($5) million of unamortized deferred issuance costs and discount at June 30, 2017 and December 31, 2016, respectively. See Note 10 “Derivatives” for further information.

[16]

This balance is composed of: principal balance of $250 million at June 30, 2017, as well as the impact of ($1) million of unamortized deferred issuance costs and discount at June 30, 2017.

[17]

This balance is composed of: principal balance of $500 million at June 30, 2017, as well as the impact from interest rate swaps of ($1) million and ($2) million of unamortized deferred issuance costs and discount at June 30, 2017.