Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option (Tables)

v3.21.2
Fair Value Option (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Option Elections The following tables provide information about the fair value carrying amount and the contractual principal outstanding of assets and liabilities accounted for under the fair value option at June 30, 2021 and December 31, 2020, and 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 six months ended June 30, 2021 and 2020.
Fair Value Option Elections
June 30, 2021 December 31, 2020
(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
 $ 163,344  $ 163,314  $ 30  $ 108,856  $ 108,811  $ 45 
Loans reported as trading account assets (1)
9,818  18,392  (8,574) 7,967  17,372  (9,405)
Trading inventory – other 24,322  n/a n/a 22,790  n/a n/a
Consumer and commercial loans 6,950  7,000  (50) 6,681  6,778  (97)
Loans held-for-sale (1)
2,207  3,128  (921) 1,585  2,521  (936)
Other assets 183  n/a n/a 200  n/a n/a
Long-term deposits 515  501  14  481  448  33 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 165,781  165,790  (9) 135,391  135,390  1 
Short-term borrowings 4,490  4,497  (7) 5,874  5,178  696 
Unfunded loan commitments 103  n/a n/a 99  n/a n/a
Long-term debt 30,361  31,436  (1,075) 32,200  33,470  (1,270)
(1)A significant portion of the loans reported as trading account assets and LHFS are distressed loans that were purchased at a deep discount to par, and the remainder are loans with a fair value near contractual principal outstanding.
n/a = not applicable
Gains (Losses) Related to Assets and Liabilities Accounted for Under the Fair Value Option
Three Months Ended June 30
2021 2020
(Dollars in millions) Market making
 and similar
 activities		 Other
Income		 Total Market making
 and similar
 activities		 Other
Income		 Total
Loans reported as trading account assets $ 171  $ —  $ 171  $ 314  $ —  $ 314 
Trading inventory – other (1)
2,304  —  2,304  3,343  —  3,343 
Consumer and commercial loans 43  26  69  36  171  207 
Loans held-for-sale (2)
—  23  23  —  58  58 
Short-term borrowings 61  —  61  (283) —  (283)
Unfunded loan commitments —  (11) (11) —  46  46 
Long-term debt (3)
(1,047) (8) (1,055) (1,869) (9) (1,878)
Other (4)
(1) (46) (47) (4) —  (4)
Total $ 1,531  $ (16) $ 1,515  $ 1,537  $ 266  $ 1,803 
Six Months Ended June 30
2021 2020
Loans reported as trading account assets $ 283  $ —  $ 283  $ (73) $ —  $ (73)
Trading inventory – other (1)
1,574  —  1,574  550  —  550 
Consumer and commercial loans 114  45  159  (47) (187) (234)
Loans held-for-sale (2)
—  11  11  —  45  45 
Short-term borrowings 474  —  474  234  —  234 
Unfunded loan commitments —  (6) (6) —  (70) (70)
Long-term debt (3)
(661) (24) (685) (953) (25) (978)
Other (4)
11  (24) (13) 9  (38) (29)
Total $ 1,795  $ 2  $ 1,797  $ (280) $ (275) $ (555)
(1)    The gains in market making and similar activities are primarily offset by 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 net losses in market making and similar activities relate to the embedded derivatives in structured liabilities and are typically offset by gains on derivatives and securities that hedge these liabilities. For the cumulative impact of changes in the Corporation’s own credit spreads and the amount recognized in accumulated 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 2020 Annual Report on Form 10-K.
(4)    Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, other assets, long-term deposits and federal funds purchased and securities loaned or sold under agreements to repurchase.
Gains (Losses) Related to Borrower-specific Credit Risk for Assets and Liabilities Accounted for Under the Fair Value Option
Three Months Ended June 30 Six Months Ended June 30
(Dollars in millions) 2021 2020 2021 2020
Loans reported as trading account assets $ 121  $ 153  $ 187  $ (236)
Consumer and commercial loans 19  153  32  (196)
Loans held-for-sale 4  (19) (2) (93)
Unfunded loan commitments (11) 46  (6) (70)