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

3 Months Ended

Mar. 31, 2019

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
March 31, 2019
Repurchase agreements
U.S. Treasury and agencies	$	295	$	–	$	–	$	–	$	295
Residential agency mortgage-backed securities		346		105		–		473		924
Corporate debt securities		528		–		–		–		528
Total repurchase agreements		1,169		105		–		473		1,747
Securities loaned
Corporate debt securities		161		–		–		–		161
Total securities loaned		161		–		–		–		161
Gross amount of recognized liabilities	$	1,330	$	105	$	–	$	473	$	1,908
December 31, 2018
Repurchase agreements
U.S. Treasury and agencies	$	134	$	–	$	–	$	–	$	134
Residential agency mortgage-backed securities		565		–		945		470		1,980
Corporate debt securities		480		–		–		–		480
Total repurchase agreements		1,179		–		945		470		2,594
Securities loaned
Corporate debt securities		227		–		–		–		227
Total securities loaned		227		–		–		–		227
Gross amount of recognized liabilities	$	1,406	$	–	$	945	$	470	$	2,821

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:


(Dollars in Millions)	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		Gross Amounts Offset on the Consolidated Balance Sheet (a)			Net Amounts Presented on the Consolidated Balance Sheet		Financial Instruments (b)			Collateral Received (c)			Net Amount
March 31, 2019
Derivative assets (d)	$	2,173	$	(872	)	$	1,301	$	(63	)	$	(38	)	$	1,200
Reverse repurchase agreements		3,868		–			3,868		(278	)		(3,586	)		4
Securities borrowed		1,361		–			1,361		–			(1,316	)		45
Total	$	7,402	$	(872	)	$	6,530	$	(341	)	$	(4,940	)	$	1,249
December 31, 2018
Derivative assets (d)	$	1,987	$	(942	)	$	1,045	$	(106	)	$	(16	)	$	923
Reverse repurchase agreements		205		–			205		(114	)		(91	)		–
Securities borrowed		1,069		–			1,069		–			(1,039	)		30
Total	$	3,261	$	(942	)	$	2,319	$	(220	)	$	(1,146	)	$	953

(a)

Includes $346 million and $236 million of cash collateral related payables that were netted against derivative assets at March 31, 2019 and December 31, 2018, 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 $44 million and $23 million at March 31, 2019 and December 31, 2018, 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


(Dollars in Millions)	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		Gross Amounts Offset on the Consolidated Balance Sheet (a)			Net Amounts Presented on the Consolidated Balance Sheet		Financial Instruments (b)			Collateral Pledged (c)			Net Amount
March 31, 2019
Derivative liabilities (d)	$	1,527	$	(796	)	$	731	$	(63	)	$	–		$	668
Repurchase agreements		1,747		–			1,747		(278	)		(1,469	)		–
Securities loaned		161		–			161		–			(158	)		3
Total	$	3,435	$	(796	)	$	2,639	$	(341	)	$	(1,627	)	$	671
December 31, 2018
Derivative liabilities (d)	$	1,710	$	(946	)	$	764	$	(106	)	$	–		$	658
Repurchase agreements		2,594		–			2,594		(114	)		(2,480	)		–
Securities loaned		227		–			227		–			(224	)		3
Total	$	4,531	$	(946	)	$	3,585	$	(220	)	$	(2,704	)	$	661

(a)

Includes $270 million and $240 million of cash collateral related receivables that were netted against derivative liabilities at March 31, 2019 and December 31, 2018, 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 $80 million and $85 million at March 31, 2019 and December 31, 2018, respectively, of derivative liabilities not subject to netting arrangements.