Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option (Tables)

v3.5.0.2
Fair Value Option (Tables)
9 Months Ended
Sep. 30, 2016
Fair Value Option [Abstract]  
Schedule of Fair Value Option Elections
The table below provides information about the fair value carrying amount and the contractual principal outstanding of assets and liabilities accounted for under the fair value option at September 30, 2016 and December 31, 2015.

Fair Value Option Elections
 
September 30, 2016
 
December 31, 2015
(Dollars in millions)
Fair Value
Carrying
Amount
 
Contractual
Principal
Outstanding
 
Fair Value
Carrying
Amount
Less Unpaid
Principal
 
Fair Value
Carrying
Amount
 
Contractual
Principal
Outstanding
 
Fair Value
Carrying
Amount
Less Unpaid
Principal
Federal funds sold and securities borrowed or purchased under agreements to resell
$
51,638

 
$
51,516

 
$
122

 
$
55,143

 
$
54,999

 
$
144

Loans reported as trading account assets (1)
5,653

 
11,134

 
(5,481
)
 
4,995

 
9,214

 
(4,219
)
Trading inventory – other
8,701

 
n/a

 
n/a

 
8,149

 
n/a

 
n/a

Consumer and commercial loans
8,108

 
8,132

 
(24
)
 
6,938

 
7,293

 
(355
)
Loans held-for-sale
4,652

 
5,979

 
(1,327
)
 
4,818

 
6,157

 
(1,339
)
Other assets
314

 
250

 
64

 
275

 
270

 
5

Long-term deposits
913

 
782

 
131

 
1,116

 
1,021

 
95

Federal funds purchased and securities loaned or sold under agreements to repurchase
31,868

 
32,031

 
(163
)
 
24,574

 
24,718

 
(144
)
Short-term borrowings
1,055

 
1,055

 

 
1,325

 
1,325

 

Unfunded loan commitments
216

 
n/a

 
n/a

 
658

 
n/a

 
n/a

Long-term debt (2)
32,619

 
32,650

 
(31
)
 
30,097

 
30,593

 
(496
)
(1) 
A significant portion of the loans reported as trading account assets are distressed loans which trade and were purchased at a deep discount to par, and the remainder are loans with a fair value near contractual principal outstanding.
(2) 
Includes structured liabilities with a fair value of $31.6 billion and $29.0 billion, and contractual principal outstanding of $31.5 billion and $29.4 billion at September 30, 2016 compared to December 31, 2015.
n/a = not applicable

The following tables provide information about where changes in the fair value of assets and liabilities accounted for under the fair value option are included in the Consolidated Statement of Income for the three and nine months ended September 30, 2016 and 2015.

Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Three Months Ended September 30, 2016
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(25
)
 
$

 
$

 
$
(25
)
Loans reported as trading account assets
125

 

 

 
125

Trading inventory – other (1)
907

 

 

 
907

Consumer and commercial loans
(8
)
 

 
13

 
5

Loans held-for-sale (2)
5

 
132

 
2

 
139

Other assets

 

 
23

 
23

Long-term deposits
4

 

 
4

 
8

Federal funds purchased and securities loaned or sold under agreements to repurchase
(3
)
 

 

 
(3
)
Unfunded loan commitments

 

 
133

 
133

Long-term debt (3, 4)
(138
)
 

 
(24
)
 
(162
)
Total
$
867

 
$
132

 
$
151

 
$
1,150

 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2015
Federal funds sold and securities borrowed or purchased under agreements to resell
$
7

 
$

 
$

 
$
7

Loans reported as trading account assets
(30
)
 

 

 
(30
)
Trading inventory – other (1)
273

 

 

 
273

Consumer and commercial loans
11

 

 
(129
)
 
(118
)
Loans held-for-sale (2)
(4
)
 
155

 
11

 
162

Other assets

 

 
(3
)
 
(3
)
Long-term deposits
(4
)
 

 
(16
)
 
(20
)
Federal funds purchased and securities loaned or sold under agreements to repurchase
(23
)
 

 

 
(23
)
Unfunded loan commitments

 

 
(201
)
 
(201
)
Short-term borrowings
1

 

 

 
1

Long-term debt (3, 4)
1,297

 

 
(54
)
 
1,243

Total
$
1,528

 
$
155

 
$
(392
)
 
$
1,291

(1) 
The gains (losses) in trading account profits (losses) are primarily offset by gains (losses) on trading liabilities that hedge these assets.
(2) 
Includes the value of IRLCs on funded loans, including those sold during the period.
(3) 
The majority of the net gains (losses) in trading account profits relate to the embedded derivative in structured liabilities and are offset by gains (losses) on derivatives and securities that hedge these liabilities. For more information on the adoption of new accounting guidance relating to DVA on structured liabilities, see Note 1 – Summary of Significant Accounting Principles.
(4) 
For the cumulative impact of changes in the Corporation's own credit spreads and the amount recognized in OCI, see Note 12 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation's own credit spread is determined, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K.
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Nine Months Ended September 30, 2016
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(26
)
 
$

 
$

 
$
(26
)
Loans reported as trading account assets
251

 

 

 
251

Trading inventory – other (1)
551

 

 

 
551

Consumer and commercial loans
26

 

 
(8
)
 
18

Loans held-for-sale (2)
10

 
493

 
57

 
560

Other assets

 

 
20

 
20

Long-term deposits
(7
)
 

 
(26
)
 
(33
)
Unfunded loan commitments

 

 
444

 
444

Long-term debt (3, 4)
(718
)
 

 
(77
)
 
(795
)
Total
$
87

 
$
493

 
$
410

 
$
990

 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2015
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(81
)
 
$

 
$

 
$
(81
)
Loans reported as trading account assets
(98
)
 

 

 
(98
)
Trading inventory – other (1)
447

 

 

 
447

Consumer and commercial loans
40

 

 
(196
)
 
(156
)
Loans held-for-sale (2)
(25
)
 
567

 
99

 
641

Other assets

 

 
4

 
4

Long-term deposits
(4
)
 

 
5

 
1

Federal funds purchased and securities loaned or sold under agreements to repurchase
25

 

 

 
25

Unfunded loan commitments

 

 
(146
)
 
(146
)
Long-term debt (3, 4)
1,887

 

 
(604
)
 
1,283

Total
$
2,191

 
$
567

 
$
(838
)
 
$
1,920


(1) 
The gains (losses) in trading account profits (losses) are primarily offset by gains (losses) on trading liabilities that hedge these assets.
(2) 
Includes the value of IRLCs on funded loans, including those sold during the period.
(3) 
The majority of the net gains (losses) in trading account profits relate to the embedded derivative in structured liabilities and are offset by gains (losses) on derivatives and securities that hedge these liabilities. For more information on the adoption of new accounting guidance relating to DVA on structured liabilities, see Note 1 – Summary of Significant Accounting Principles.
(4) 
For the cumulative impact of changes in the Corporation's own credit spreads and the amount recognized in OCI, see Note 12 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation's own credit spread is determined, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K.

Gains (Losses) Related to Borrower-specific Credit Risk for Assets Accounted for Under the Fair Value Option
 
Three Months Ended September 30
 
Nine Months Ended September 30
(Dollars in millions)
2016
 
2015
 
2016
 
2015
Loans reported as trading account assets
$

 
$
14

 
$
5

 
$
44

Consumer and commercial loans
14

 
(88
)
 
(25
)
 
(100
)
Loans held-for-sale
(10
)
 
8

 
(6
)
 
58