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

3 Months Ended

Mar. 31, 2018

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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
March 31, 2018
Repurchase agreements
U.S. Treasury and agencies	$	58	$	–	$	58
Residential agency mortgage-backed securities		380		177		557
Corporate debt securities		279		87		366
Total repurchase agreements		717		264		981
Securities loaned
Corporate debt securities		400		–		400
Total securities loaned		400		–		400
Gross amount of recognized liabilities	$	1,117	$	264	$	1,381
December 31, 2017
Repurchase agreements
U.S. Treasury and agencies	$	25	$	–	$	25
Residential agency mortgage-backed securities		644		30		674
Corporate debt securities		104		–		104
Total repurchase agreements		773		30		803
Securities loaned
Corporate debt securities		111		–		111
Total securities loaned		111		–		111
Gross amount of recognized liabilities	$	884	$	30	$	914

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
March 31, 2018
Derivative assets (d)	$	2,094	$	(821	)	$	1,273	$	(74	)	$	–		$	1,199
Reverse repurchase agreements		159		–			159		(6	)		(153	)		–
Securities borrowed		1,173		–			1,173		–			(1,141	)		32
Total	$	3,426	$	(821	)	$	2,605	$	(80	)	$	(1,294	)	$	1,231
December 31, 2017
Derivative assets (d)	$	1,759	$	(652	)	$	1,107	$	(110	)	$	(5	)	$	992
Reverse repurchase agreements		24		–			24		(24	)		–			–
Securities borrowed		923		–			923		–			(896	)		27
Total	$	2,706	$	(652	)	$	2,054	$	(134	)	$	(901	)	$	1,019

(a) Includes $110 million and $50 million of cash collateral related payables that were netted against derivative assets at March 31, 2018 and December 31, 2017, 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 $36 million and $723 million at March 31, 2018 and December 31, 2017, 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

	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
March 31, 2018
Derivative liabilities (d)	$	2,123	$	(1,328	)	$	795	$	(74	)	$	–		$	721
Repurchase agreements		981		–			981		(6	)		(975	)		–
Securities loaned		400		–			400		–			(395	)		5
Total	$	3,504	$	(1,328	)	$	2,176	$	(80	)	$	(1,370	)	$	726
December 31, 2017
Derivative liabilities (d)	$	1,629	$	(1,130	)	$	499	$	(110	)	$	–		$	389
Repurchase agreements		803		–			803		(24	)		(779	)		–
Securities loaned		111		–			111		–			(110	)		1
Total	$	2,543	$	(1,130	)	$	1,413	$	(134	)	$	(889	)	$	390

(a) Includes $617 million and $528 million of cash collateral related receivables that were netted against derivative liabilities at March 31, 2018 and December 31, 2017, 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 $129 million and $738 million at March 31, 2018 and December 31, 2017, respectively, of derivative liabilities not subject to netting arrangements.