Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option (Tables)

v3.23.1
Fair Value Option (Tables)
3 Months Ended
Mar. 31, 2023
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 March 31, 2023 and December 31, 2022, 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 months ended March 31, 2023 and 2022.
Fair Value Option Elections
March 31, 2023 December 31, 2022
(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
$ 163,505  $ 163,392  $ 113  $ 146,999  $ 147,158  $ (159)
Loans reported as trading account assets (1)
10,296  17,946  (7,650) 10,143  17,682  (7,539)
Trading inventory – other 22,423  n/a n/a 20,770  n/a n/a
Consumer and commercial loans 4,397  4,571  (174) 5,771  5,897  (126)
Loans held-for-sale (1)
1,386  2,240  (854) 1,115  1,873  (758)
Other assets 633  n/a n/a 620  n/a n/a
Long-term deposits 378  432  (54) 311  381  (70)
Federal funds purchased and securities loaned or sold under agreements to repurchase
234,338  234,496  (158) 151,708  151,885  (177)
Short-term borrowings 1,805  1,820  (15) 832  833  (1)
Unfunded loan commitments 122  n/a n/a 110  n/a n/a
Accrued expenses and other liabilities 1,544  1,523  21  1,217  1,161  56 
Long-term debt 39,413  43,379  (3,966) 33,070  36,830  (3,760)
(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 March 31
2023 2022
(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 $ 57  $   $ 57  $ $ —  $
Trading inventory – other (1)
1,728    1,728  460  —  460 
Consumer and commercial loans (123) 30  (93) (22) (13) (35)
Loans held-for-sale (2)
  20  20  —  (132) (132)
Short-term borrowings 5    5  559  —  559 
Long-term debt (3)
(918) (16) (934) 1,124  (11) 1,113 
Other (4)
29  (33) (4) (5) 10 
Total $ 778  $ 1  $ 779  $ 2,120  $ (146) $ 1,974 
(1)    The gains (losses) in market making and similar activities are primarily offset by (losses) gains 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 gains (losses) in market making and similar activities relate to the embedded derivatives in structured liabilities and are typically offset by (losses) 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 2022 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, federal funds purchased and securities loaned or sold under agreements to repurchase, accrued expenses and other liabilities and unfunded loan commitments.

Gains (Losses) Related to Borrower-specific Credit Risk for Assets and Liabilities Accounted for Under the Fair Value Option
Three Months Ended March 31
(Dollars in millions) 2023 2022
Loans reported as trading account assets $ 40  $ (31)
Consumer and commercial loans 24  (20)
Loans held-for-sale 2  (11)
Unfunded loan commitments (24) (7)