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

9 Months Ended

Sep. 30, 2018

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		Greater Than 90 Days		Total
September 30, 2018
Repurchase agreements
U.S. Treasury and agencies	$	145	$	–	$	–	$	–	$	145
Residential agency mortgage-backed securities		354		642		–		1,446		2,442
Corporate debt securities		361		46		30		–		437
Total repurchase agreements		860		688		30		1,446		3,024
Securities loaned
Corporate debt securities		108		–		–		–		108
Total securities loaned		108		–		–		–		108
Gross amount of recognized liabilities	$	968	$	688	$	30	$	1,446	$	3,132
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)	Gross Recognized Assets					Net Amounts Presented on the Consolidated Balance Sheet		Financial Instruments (b)			Collateral Received (c)			Net Amount
September 30, 2018
Derivative assets (d)	$	1,851	$	(899	)	$	952	$	(70	)	$	(1	)	$	881
Reverse repurchase agreements		247		–			247		(80	)		(167	)		–
Securities borrowed		1,072		–			1,072		–			(1,037	)		35
Total	$	3,170	$	(899	)	$	2,271	$	(150	)	$	(1,205	)	$	916
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 $299 million and $50 million of cash collateral related payables that were netted against derivative assets at September 30, 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 $23 million and $723 million at September 30, 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)	Gross Recognized Liabilities					Net Amounts Presented on the Consolidated Balance Sheet		Financial Instruments (b)			Collateral Pledged (c)			Net Amount
September 30, 2018
Derivative liabilities (d)	$	1,943	$	(969	)	$	974	$	(70	)	$	–		$	904
Repurchase agreements		3,024		–			3,024		(80	)		(2,944	)		–
Securities loaned		108		–			108		–			(106	)		2
Total	$	5,075	$	(969	)	$	4,106	$	(150	)	$	(3,050	)	$	906
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 $369 million and $528 million of cash collateral related receivables that were netted against derivative liabilities at September 30, 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 $95 million and $738 million at September 30, 2018 and December 31, 2017, respectively, of derivative liabilities not subject to netting arrangements.