| 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, 2024 and December 31, 2023, 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, 2024 and 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Option Elections |
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2024 |
|
December 31, 2023 |
(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 |
$ |
167,835
|
|
|
$ |
167,788
|
|
|
$ |
47
|
|
|
$ |
133,053 |
|
|
$ |
133,001 |
|
|
$ |
52 |
|
Loans reported as trading account assets (1)
|
9,448
|
|
|
16,828
|
|
|
(7,380) |
|
|
8,377 |
|
|
15,580 |
|
|
(7,203) |
|
| Trading inventory – other |
17,572
|
|
|
n/a |
|
n/a |
|
25,282 |
|
|
n/a |
|
n/a |
| Consumer and commercial loans |
3,197
|
|
|
3,238
|
|
|
(41) |
|
|
3,569 |
|
|
3,618 |
|
|
(49) |
|
Loans held-for-sale (1)
|
1,572
|
|
|
2,201
|
|
|
(629) |
|
|
2,059 |
|
|
2,873 |
|
|
(814) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other assets |
2,957
|
|
|
n/a |
|
n/a |
|
1,986 |
|
|
n/a |
|
n/a |
| Long-term deposits |
370
|
|
|
441
|
|
|
(71) |
|
|
284 |
|
|
267 |
|
|
17 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
214,719
|
|
|
214,761
|
|
|
(42) |
|
|
178,609 |
|
|
178,634 |
|
|
(25) |
|
| Short-term borrowings |
7,200
|
|
|
7,206
|
|
|
(6) |
|
|
4,690 |
|
|
4,694 |
|
|
(4) |
|
| Unfunded loan commitments |
73
|
|
|
n/a |
|
n/a |
|
67 |
|
|
n/a |
|
n/a |
| Accrued expenses and other liabilities |
2,219
|
|
|
2,175
|
|
|
44
|
|
|
1,341 |
|
|
1,347 |
|
|
(6) |
|
| Long-term debt |
46,875
|
|
|
49,332
|
|
|
(2,457) |
|
|
42,809 |
|
|
46,707 |
|
|
(3,898) |
|
(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 |
|
2024 |
|
2023 |
(Dollars in millions) |
Market making
and similar
activities |
|
Other
Income |
|
Total |
|
Market making
and similar
activities |
|
Other
Income |
|
Total |
|
|
|
|
| Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
78
|
|
|
$ |
(1) |
|
|
$ |
77
|
|
|
$ |
(52) |
|
|
$ |
(6) |
|
|
$ |
(58) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading inventory – other (1)
|
(1,130) |
|
|
—
|
|
|
(1,130) |
|
|
1,237 |
|
|
— |
|
|
1,237 |
|
| Consumer and commercial loans |
36
|
|
|
14
|
|
|
50
|
|
|
(16) |
|
|
11 |
|
|
(5) |
|
Loans held-for-sale (2)
|
—
|
|
|
(7) |
|
|
(7) |
|
|
— |
|
|
(4) |
|
|
(4) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-term borrowings |
75
|
|
|
—
|
|
|
75
|
|
|
6 |
|
|
— |
|
|
6 |
|
| Unfunded loan commitments |
—
|
|
|
(6) |
|
|
(6) |
|
|
— |
|
|
44 |
|
|
44 |
|
| Accrued expenses and other liabilities |
237
|
|
|
—
|
|
|
237
|
|
|
61 |
|
|
— |
|
|
61 |
|
Long-term debt (3)
|
58
|
|
|
(7) |
|
|
51
|
|
|
416 |
|
|
(7) |
|
|
409 |
|
Other (4)
|
(56) |
|
|
(3) |
|
|
(59) |
|
|
139 |
|
|
4 |
|
|
143 |
|
| Total |
$ |
(702) |
|
|
$ |
(10) |
|
|
$ |
(712) |
|
|
$ |
1,791 |
|
|
$ |
42 |
|
|
$ |
1,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30 |
|
2024 |
|
2023 |
| Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
108 |
|
|
$ |
(4) |
|
|
$ |
104 |
|
|
$ |
(18) |
|
|
$ |
(8) |
|
|
$ |
(26) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading inventory – other (1)
|
781
|
|
|
—
|
|
|
781
|
|
|
2,965 |
|
|
— |
|
|
2,965 |
|
| Consumer and commercial loans |
56
|
|
|
19
|
|
|
75
|
|
|
(139) |
|
|
41 |
|
|
(98) |
|
Loans held-for-sale (2)
|
—
|
|
|
(17) |
|
|
(17) |
|
|
— |
|
|
16 |
|
|
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-term borrowings |
73
|
|
|
—
|
|
|
73
|
|
|
11 |
|
|
— |
|
|
11 |
|
| Unfunded loan commitments |
—
|
|
|
(20) |
|
|
(20) |
|
|
— |
|
|
20 |
|
|
20 |
|
| Accrued expenses and other liabilities |
398
|
|
|
—
|
|
|
398
|
|
|
49 |
|
|
— |
|
|
49 |
|
Long-term debt (3)
|
267
|
|
|
(20) |
|
|
247
|
|
|
(502) |
|
|
(23) |
|
|
(525) |
|
Other (4)
|
(79) |
|
|
(7) |
|
|
(86) |
|
|
203 |
|
|
(3) |
|
|
200 |
|
| Total |
$ |
1,604
|
|
|
$ |
(49) |
|
|
$ |
1,555
|
|
|
$ |
2,569 |
|
|
$ |
43 |
|
|
$ |
2,612 |
|
(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 2023 Annual Report on Form 10-K.
(4) Includes gains (losses) on loans reported as trading account assets, other assets, long-term deposits, federal funds purchased and securities loaned or sold under agreements to repurchase, and asset-backed secured financings.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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) |
2024 |
|
2023 |
|
2024 |
|
2023 |
|
|
| Loans reported as trading account assets |
$ |
(32) |
|
|
$ |
(4) |
|
|
$ |
(64) |
|
|
$ |
36 |
|
|
|
| Consumer and commercial loans |
13
|
|
|
12 |
|
|
16
|
|
|
36 |
|
|
|
| Loans held-for-sale |
(2) |
|
|
(2) |
|
|
(1) |
|
|
— |
|
|
|
| Unfunded loan commitments |
(6) |
|
|
44 |
|
|
(20) |
|
|
20 |
|
|
|
| Long-term debt |
—
|
|
|
— |
|
|
(3) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|