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

9 Months Ended

Sep. 30, 2016

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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		Total
September 30, 2016
Repurchase agreements
U.S. Treasury and agencies	$	39	$	–	$	–	$	39
Residential agency mortgage-backed securities		714		54		25		793
Total repurchase agreements		753		54		25		832
Securities loaned
Corporate debt securities		259		–		–		259
Total securities loaned		259		–		–		259
Gross amount of recognized liabilities	$	1,012	$	54	$	25	$	1,091
December 31, 2015
Repurchase agreements
U.S. Treasury and agencies	$	122	$	–	$	–	$	122
Residential agency mortgage-backed securities		802		168		–		970
Gross amount of recognized liabilities	$	924	$	168	$	–	$	1,092

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						Net Amount
(Dollars in Millions)								Financial Instruments (b)			Collateral Received (c)
September 30, 2016
Derivative assets (d)	$	2,341	$	(746	)	$	1,595	$	(95	)	$	(11	)	$	1,489
Reverse repurchase agreements		170		–			170		(39	)		(131	)		–
Securities borrowed		895		–			895		(3	)		(864	)		28
Total	$	3,406	$	(746	)	$	2,660	$	(137	)	$	(1,006	)	$	1,517
December 31, 2015
Derivative assets (d)	$	1,879	$	(807	)	$	1,072	$	(82	)	$	–		$	990
Reverse repurchase agreements		106		–			106		(102	)		(4	)		–
Securities borrowed		772		–			772		–			(753	)		19
Total	$	2,757	$	(807	)	$	1,950	$	(184	)	$	(757	)	$	1,009

(a) Includes $152 million and $165 million of cash collateral related payables that were netted against derivative assets at September 30, 2016 and December 31, 2015, 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 $1.3 billion and $368 million of derivative assets centrally cleared or otherwise not subject to netting arrangements at September 30, 2016 and December 31, 2015, respectively.

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						Net Amount
(Dollars in Millions)								Financial Instruments (b)			Collateral Pledged (c)
September 30, 2016
Derivative liabilities (d)	$	1,888	$	(1,485	)	$	403	$	(95	)	$	–		$	308
Repurchase agreements		832		–			832		(39	)		(793	)		–
Securities loaned		259		–			259		(3	)		(253	)		3
Total	$	2,979	$	(1,485	)	$	1,494	$	(137	)	$	(1,046	)	$	311
December 31, 2015
Derivative liabilities (d)	$	1,809	$	(1,283	)	$	526	$	(82	)	$	–		$	444
Repurchase agreements		1,092		–			1,092		(102	)		(990	)		–
Total	$	2,901	$	(1,283	)	$	1,618	$	(184	)	$	(990	)	$	444

(a) Includes $891 million and $641 million of cash collateral related receivables that were netted against derivative liabilities at September 30, 2016 and December 31, 2015, 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 $2.0 billion and $576 million of derivative liabilities centrally cleared or otherwise not subject to netting arrangements at September 30, 2016 and December 31, 2015, respectively.