| 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, 2015 and 2014.
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Fair Value Option Elections |
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December 31 |
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2015 |
|
2014 |
(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 |
$ |
55,143 |
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|
$ |
54,999 |
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|
$ |
144 |
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|
$ |
62,182 |
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$ |
61,902 |
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|
$ |
280 |
|
Loans reported as trading account assets (1)
|
4,995 |
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|
9,214 |
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|
(4,219 |
) |
|
4,607 |
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|
8,487 |
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|
(3,880 |
) |
Trading inventory – other |
8,149 |
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|
n/a |
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|
n/a |
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|
6,865 |
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n/a |
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|
n/a |
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Consumer and commercial loans |
6,938 |
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|
7,293 |
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|
(355 |
) |
|
8,681 |
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|
8,925 |
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(244 |
) |
Loans held-for-sale |
4,818 |
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|
6,157 |
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(1,339 |
) |
|
6,801 |
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|
8,072 |
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(1,271 |
) |
Other assets |
275 |
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|
270 |
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5 |
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|
253 |
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|
270 |
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(17 |
) |
Long-term deposits |
1,116 |
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|
1,021 |
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|
95 |
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|
1,469 |
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|
1,361 |
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|
108 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
24,574 |
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|
24,718 |
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(144 |
) |
|
35,357 |
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|
35,332 |
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|
25 |
|
Short-term borrowings |
1,325 |
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|
1,325 |
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— |
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|
2,697 |
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|
2,697 |
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|
— |
|
Unfunded loan commitments |
658 |
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|
n/a |
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n/a |
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|
405 |
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n/a |
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n/a |
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Long-term debt (2)
|
30,097 |
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|
30,593 |
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(496 |
) |
|
36,404 |
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|
35,815 |
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|
589 |
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(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. |
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(2) |
Includes structured liabilities with a fair value of $29.0 billion and $35.3 billion, and contractual principal outstanding of $29.4 billion and $34.6 billion at December 31, 2015 and 2014.
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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 2015, 2014 and 2013.
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
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2015 |
(Dollars in millions) |
Trading Account Profits (Losses) |
|
Mortgage Banking Income
(Loss)
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|
Other
Income
(Loss)
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Total |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(195 |
) |
|
$ |
— |
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|
$ |
— |
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|
$ |
(195 |
) |
Loans reported as trading account assets |
(199 |
) |
|
— |
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|
— |
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|
(199 |
) |
Trading inventory – other (1)
|
1,284 |
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— |
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— |
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|
1,284 |
|
Consumer and commercial loans |
52 |
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— |
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|
(295 |
) |
|
(243 |
) |
Loans held-for-sale (2)
|
(36 |
) |
|
673 |
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|
63 |
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|
700 |
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Other assets |
— |
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— |
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|
10 |
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10 |
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Long-term deposits |
1 |
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— |
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13 |
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14 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
33 |
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— |
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— |
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33 |
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Short-term borrowings |
3 |
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— |
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— |
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3 |
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Unfunded loan commitments |
— |
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— |
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(210 |
) |
|
(210 |
) |
Long-term debt (3, 4)
|
2,107 |
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— |
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(633 |
) |
|
1,474 |
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Total |
$ |
3,050 |
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$ |
673 |
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$ |
(1,052 |
) |
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$ |
2,671 |
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2014 |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(114 |
) |
|
$ |
— |
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$ |
— |
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$ |
(114 |
) |
Loans reported as trading account assets |
(87 |
) |
|
— |
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— |
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|
(87 |
) |
Trading inventory – other (1)
|
1,091 |
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— |
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— |
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|
1,091 |
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Consumer and commercial loans |
(24 |
) |
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— |
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|
69 |
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45 |
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Loans held-for-sale (2)
|
(56 |
) |
|
798 |
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|
83 |
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|
825 |
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Long-term deposits |
23 |
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— |
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(26 |
) |
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(3 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase |
4 |
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— |
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— |
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4 |
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Short-term borrowings |
52 |
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— |
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— |
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52 |
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Unfunded loan commitments |
— |
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— |
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(64 |
) |
|
(64 |
) |
Long-term debt (3)
|
239 |
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— |
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|
407 |
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|
646 |
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Total |
$ |
1,128 |
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$ |
798 |
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$ |
469 |
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$ |
2,395 |
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2013 |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(44 |
) |
|
$ |
— |
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$ |
— |
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$ |
(44 |
) |
Loans reported as trading account assets |
83 |
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— |
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— |
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|
83 |
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Trading inventory – other (1)
|
1,355 |
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— |
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— |
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|
1,355 |
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Consumer and commercial loans |
(28 |
) |
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(38 |
) |
|
240 |
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|
174 |
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Loans held-for-sale (2)
|
7 |
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|
966 |
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|
75 |
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|
1,048 |
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Other assets |
— |
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— |
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(77 |
) |
|
(77 |
) |
Long-term deposits |
30 |
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— |
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|
84 |
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|
114 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
(36 |
) |
|
— |
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— |
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(36 |
) |
Asset-backed secured financings |
— |
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|
(91 |
) |
|
— |
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|
(91 |
) |
Short-term borrowings |
(70 |
) |
|
— |
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|
— |
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|
(70 |
) |
Unfunded loan commitments |
— |
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|
— |
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|
180 |
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|
180 |
|
Long-term debt (3)
|
(602 |
) |
|
— |
|
|
(649 |
) |
|
(1,251 |
) |
Total |
$ |
695 |
|
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$ |
837 |
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$ |
(147 |
) |
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$ |
1,385 |
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(1) |
The gains (losses) in trading account profits (losses) are primarily offset by gains (losses) on trading liabilities that hedge these assets. |
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(2) |
Includes the value of IRLCs on funded loans, including those sold during the period. |
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(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 relating to DVA on structured liabilities accounted for at fair value under the fair value option, unrealized DVA gains (losses) in 2015 are recorded in accumulated OCI while realized gains (losses) are recorded in other income (loss); for years prior to 2015, 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.
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(4) |
For the cumulative impact of changes in the Corporation’s 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.
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Gains (Losses) Related to Borrower-specific Credit Risk for Assets Accounted for Under the Fair Value Option |
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December 31 |
(Dollars in millions) |
2015 |
|
2014 |
|
2013 |
Loans reported as trading account assets |
$ |
37 |
|
|
$ |
28 |
|
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$ |
56 |
|
Consumer and commercial loans |
(200 |
) |
|
32 |
|
|
148 |
|
Loans held-for-sale |
37 |
|
|
84 |
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|
225 |
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