Annual report pursuant to Section 13 and 15(d)

Fair Value Option (Tables)

v3.3.1.900
Fair Value Option (Tables)
12 Months Ended
Dec. 31, 2015
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, 2015 and 2014.
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Option Elections
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31
 
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

 
$
54,999

 
$
144

 
$
62,182

 
$
61,902

 
$
280

Loans reported as trading account assets (1)
4,995

 
9,214

 
(4,219
)
 
4,607

 
8,487

 
(3,880
)
Trading inventory – other
8,149

 
n/a

 
n/a

 
6,865

 
n/a

 
n/a

Consumer and commercial loans
6,938

 
7,293

 
(355
)
 
8,681

 
8,925

 
(244
)
Loans held-for-sale
4,818

 
6,157

 
(1,339
)
 
6,801

 
8,072

 
(1,271
)
Other assets
275

 
270

 
5

 
253

 
270

 
(17
)
Long-term deposits
1,116

 
1,021

 
95

 
1,469

 
1,361

 
108

Federal funds purchased and securities loaned or sold under agreements to repurchase
24,574

 
24,718

 
(144
)
 
35,357

 
35,332

 
25

Short-term borrowings
1,325

 
1,325

 

 
2,697

 
2,697

 

Unfunded loan commitments
658

 
n/a

 
n/a

 
405

 
n/a

 
n/a

Long-term debt (2)
30,097

 
30,593

 
(496
)
 
36,404

 
35,815

 
589


(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 $29.0 billion and $35.3 billion, and contractual principal outstanding of $29.4 billion and $34.6 billion at December 31, 2015 and 2014.
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.
 
 
 
 
 
 
 
 
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
 
 
 
 
 
 
 
 
2015
(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
$
(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

 
 
 
 
 
 
 
 
 
2013
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(44
)
 
$

 
$

 
$
(44
)
Loans reported as trading account assets
83

 

 

 
83

Trading inventory – other (1)
1,355

 

 

 
1,355

Consumer and commercial loans
(28
)
 
(38
)
 
240

 
174

Loans held-for-sale (2)
7

 
966

 
75

 
1,048

Other assets

 

 
(77
)
 
(77
)
Long-term deposits
30

 

 
84

 
114

Federal funds purchased and securities loaned or sold under agreements to repurchase
(36
)
 

 

 
(36
)
Asset-backed secured financings

 
(91
)
 

 
(91
)
Short-term borrowings
(70
)
 

 

 
(70
)
Unfunded loan commitments

 

 
180

 
180

Long-term debt (3)
(602
)
 

 
(649
)
 
(1,251
)
Total
$
695

 
$
837

 
$
(147
)
 
$
1,385


(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 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.
(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
 
 
 
 
 
 
Gains (Losses) Related to Borrower-specific Credit Risk for Assets Accounted for Under the Fair Value Option
 
 
 
 
 
 
 
December 31
(Dollars in millions)
2015
 
2014
 
2013
Loans reported as trading account assets
$
37

 
$
28

 
$
56

Consumer and commercial loans
(200
)
 
32

 
148

Loans held-for-sale
37

 
84

 
225