Annual report pursuant to Section 13 and 15(d)

Fair Value Option (Tables)

v3.6.0.2
Fair Value Option (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2016 and 2015.
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Option Elections
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31
 
2016
 
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
$
49,750

 
$
49,615

 
$
135

 
$
55,143

 
$
54,999

 
$
144

Loans reported as trading account assets (1)
6,215

 
11,557

 
(5,342
)
 
4,995

 
9,214

 
(4,219
)
Trading inventory – other
8,206

 
n/a

 
n/a

 
8,149

 
n/a

 
n/a

Consumer and commercial loans
7,085

 
7,190

 
(105
)
 
6,938

 
7,293

 
(355
)
Loans held-for-sale
4,026

 
5,595

 
(1,569
)
 
4,818

 
6,157

 
(1,339
)
Other assets
253

 
250

 
3

 
275

 
270

 
5

Long-term deposits
731

 
672

 
59

 
1,116

 
1,021

 
95

Federal funds purchased and securities loaned or sold under agreements to repurchase
35,766

 
35,929

 
(163
)
 
24,574

 
24,718

 
(144
)
Short-term borrowings
2,024

 
2,024

 

 
1,325

 
1,325

 

Unfunded loan commitments
173

 
n/a

 
n/a

 
658

 
n/a

 
n/a

Long-term debt (2)
30,037

 
29,862

 
175

 
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 $29.7 billion and $29.0 billion, and contractual principal outstanding of $29.5 billion and $29.4 billion at December 31, 2016 and 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 2016, 2015 and 2014.
 
 
 
 
 
 
 
 
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
 
 
 
 
 
 
 
 
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
$
(64
)
 
$

 
$
1

 
$
(63
)
Loans reported as trading account assets
301

 

 

 
301

Trading inventory – other (1)
57

 

 

 
57

Consumer and commercial loans
49

 

 
(37
)
 
12

Loans held-for-sale (2)
11

 
518

 
6

 
535

Other assets

 

 
20

 
20

Long-term deposits
1

 

 
32

 
33

Federal funds purchased and securities loaned or sold under agreements to repurchase
(22
)
 

 

 
(22
)
Unfunded loan commitments

 

 
487

 
487

Long-term debt (3, 4)
(489
)
 

 
(97
)
 
(586
)
Total
$
(156
)
 
$
518

 
$
412

 
$
774

 
 
 
 
 
 
 
 
 
2015
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(195
)
 
$

 
$

 
$
(195
)
Loans reported as trading account assets
(199
)
 

 

 
(199
)
Trading inventory – other (1)
1,284

 

 

 
1,284

Consumer and commercial loans
52

 

 
(295
)
 
(243
)
Loans held-for-sale (2)
(36
)
 
673

 
63

 
700

Other assets

 

 
10

 
10

Long-term deposits
1

 

 
13

 
14

Federal funds purchased and securities loaned or sold under agreements to repurchase
33

 

 

 
33

Short-term borrowings
3

 

 

 
3

Unfunded loan commitments

 

 
(210
)
 
(210
)
Long-term debt (3, 4)
2,107

 

 
(633
)
 
1,474

Total
$
3,050

 
$
673

 
$
(1,052
)
 
$
2,671

 
 
 
 
 
 
 
 
 
2014
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(114
)
 
$

 
$

 
$
(114
)
Loans reported as trading account assets
(87
)
 

 

 
(87
)
Trading inventory – other (1)
1,091

 

 

 
1,091

Consumer and commercial loans
(24
)
 

 
69

 
45

Loans held-for-sale (2)
(56
)
 
798

 
83

 
825

Long-term deposits
23

 

 
(26
)
 
(3
)
Federal funds purchased and securities loaned or sold under agreements to repurchase
4

 

 

 
4

Short-term borrowings
52

 

 

 
52

Unfunded loan commitments

 

 
(64
)
 
(64
)
Long-term debt (3)
239

 

 
407

 
646

Total
$
1,128

 
$
798

 
$
469

 
$
2,395


(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. In connection with the implementation of new accounting guidance in 2015 relating to DVA on structured liabilities accounted for under the fair value option, unrealized DVA gains (losses) in 2016 and 2015 are recorded in accumulated OCI while realized gains (losses) are recorded in other income (loss); for 2014, the realized and unrealized gains (losses) are reflected in other income (loss). For more information on the implementation of new accounting guidance, 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 14 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation’s own credit spread is determined, see Note 20 – Fair Value Measurements
 
 
 
 
 
 
Gains (Losses) Related to Borrower-specific Credit Risk for Assets Accounted for Under the Fair Value Option
 
 
 
 
 
 
 
December 31
(Dollars in millions)
2016
 
2015
 
2014
Loans reported as trading account assets
$
7

 
$
37

 
$
28

Consumer and commercial loans
(53
)
 
(200
)
 
32

Loans held-for-sale
(34
)
 
37

 
84