Annual report pursuant to Section 13 and 15(d)

Fair Value Option (Tables)

v3.8.0.1
Fair Value Option (Tables)
 12 Months Ended
Dec. 31, 2017
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, 2017 and 2016.
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Option Elections
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
 
December 31, 2017
 
December 31, 2016
(Dollars in millions)
 
 
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell
$
52,906

 
$
52,907

 
$
(1
)
 
$
49,750

 
$
49,615

 
$
135

Loans reported as trading account assets (1)
5,735

 
11,804

 
(6,069
)
 
6,215

 
11,557

 
(5,342
)
Trading inventory – other
12,027

 
n/a

 
n/a

 
8,206

 
n/a

 
n/a

Consumer and commercial loans
5,710

 
5,744

 
(34
)
 
7,085

 
7,190

 
(105
)
Loans held-for-sale
2,156

 
3,717

 
(1,561
)
 
4,026

 
5,595

 
(1,569
)
Customer receivables and other assets
3

 
n/a

 
n/a

 
253

 
250

 
3

Long-term deposits
449

 
421

 
28

 
731

 
672

 
59

Federal funds purchased and securities loaned or sold under agreements to repurchase
36,182

 
36,187

 
(5
)
 
35,766

 
35,929

 
(163
)
Short-term borrowings
1,494

 
1,494

 
—

 
2,024

 
2,024

 
—

Unfunded loan commitments
120

 
n/a

 
n/a

 
173

 
n/a

 
n/a

Long-term debt (2)
31,786

 
31,512

 
274

 
30,037

 
29,862

 
175


(1) 
A significant portion of the loans reported as trading account assets are distressed loans that 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 $31.4 billion and $29.7 billion, and contractual principal outstanding of $31.1 billion and $29.5 billion at December 31, 2017 and 2016.
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 2017, 2016 and 2015.
 
 
 
 
 
 
 
 
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
 
 
 
 
 
 
 
 
Trading
Account
Profits
 
Mortgage Banking Income
 
Other
Income
 
Total
(Dollars in millions)
2017
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(57
)
 
$
—

 
$
—

 
$
(57
)
Loans reported as trading account assets
318

 
—

 
—

 
318

Trading inventory – other (1)
3,821

 
—

 
—

 
3,821

Consumer and commercial loans
(9
)
 
—

 
35

 
26

Loans held-for-sale (2)
—

 
211

 
87

 
298

Unfunded loan commitments
—

 
—

 
36

 
36

Long-term debt (3, 4)
(1,044
)
 
—

 
(146
)
 
(1,190
)
Other (5)
(36
)
 
—

 
13

 
(23
)
Total
$
2,993

 
$
211

 
$
25

 
$
3,229

 
 
 
 
 
 
 
 
 
2016
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(64
)
 
$
—

 
$
1

 
$
(63
)
Loans reported as trading account assets
301

 
—

 
—

 
301

Trading inventory – other (1)
57

 
—

 
—

 
57

Consumer and commercial loans
49

 
—

 
(37
)
 
12

Loans held-for-sale (2)
11

 
518

 
6

 
535

Unfunded loan commitments
—

 
—

 
487

 
487

Long-term debt (3, 4)
(489
)
 
—

 
(97
)
 
(586
)
Other (5)
(21
)
 
—

 
52

 
31

Total
$
(156
)
 
$
518

 
$
412

 
$
774

 
 
 
 
 
 
 
 
 
2015
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

Unfunded loan commitments
—

 
—

 
(210
)
 
(210
)
Long-term debt (3, 4)
2,107

 
—

 
(633
)
 
1,474

Other (5)
37

 
—

 
23

 
60

Total
$
3,050

 
$
673

 
$
(1,052
)
 
$
2,671


(1)  
The gains in trading account profits 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 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.
(4) 
For the cumulative impact of changes in the Corporation’s own 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.
(5) 
Includes gains (losses) on other assets, long-term deposits, federal funds purchased and securities loaned or sold under agreements to repurchase and short-term borrowings.
 
 
 
 
 
 
Gains (Losses) Related to Borrower-specific Credit Risk for Assets Accounted for Under the Fair Value Option
 
 
 
 
 
 
(Dollars in millions)
2017
 
2016
 
2015
Loans reported as trading account assets
$
24

 
$
7

 
$
37

Consumer and commercial loans
36

 
(53
)
 
(200
)
Loans held-for-sale
(22
)
 
(34
)
 
37