| 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 December 31, 2019 and 2018, 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 2019, 2018 and 2017.
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Fair Value Option Elections |
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December 31, 2019 |
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December 31, 2018 |
(Dollars in millions) |
Fair Value Carrying Amount |
|
Contractual Principal Outstanding |
|
Fair Value Carrying Amount Less Unpaid Principal |
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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 |
$ |
50,364 |
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$ |
50,318 |
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|
$ |
46 |
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|
$ |
56,399 |
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$ |
56,376 |
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|
$ |
23 |
|
Loans reported as trading account assets (1)
|
6,989 |
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|
14,703 |
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|
(7,714 |
) |
|
6,195 |
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|
13,088 |
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|
(6,893 |
) |
Trading inventory – other |
19,574 |
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|
n/a |
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n/a |
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13,778 |
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n/a |
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n/a |
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Consumer and commercial loans |
8,335 |
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|
8,372 |
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(37 |
) |
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4,349 |
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4,399 |
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(50 |
) |
Loans held-for-sale (1)
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3,709 |
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4,879 |
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(1,170 |
) |
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2,942 |
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4,749 |
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(1,807 |
) |
Other assets |
4 |
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n/a |
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n/a |
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3 |
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n/a |
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n/a |
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Long-term deposits |
508 |
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|
496 |
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12 |
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492 |
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|
454 |
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38 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
16,008 |
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16,029 |
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(21 |
) |
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28,875 |
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28,881 |
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(6 |
) |
Short-term borrowings |
3,941 |
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3,930 |
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11 |
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1,648 |
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1,648 |
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— |
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Unfunded loan commitments |
90 |
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n/a |
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n/a |
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169 |
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n/a |
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n/a |
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Long-term debt (2)
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34,975 |
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35,730 |
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(755 |
) |
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27,689 |
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29,198 |
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(1,509 |
) |
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(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. |
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(2) |
Includes structured liabilities with a fair value of $34.6 billion and $27.3 billion, and contractual principal outstanding of $35.3 billion and $28.8 billion at December 31, 2019 and 2018.
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n/a = not applicable
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
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Market making and similar activities |
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Other
Income
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Total |
(Dollars in millions) |
2019 |
Loans reported as trading account assets |
$ |
203 |
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$ |
— |
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$ |
203 |
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Trading inventory – other (1)
|
5,795 |
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— |
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5,795 |
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Consumer and commercial loans |
92 |
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12 |
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|
104 |
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Loans held-for-sale (2)
|
— |
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|
98 |
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|
98 |
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Long-term debt (3)
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(1,098 |
) |
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(78 |
) |
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(1,176 |
) |
Other (4)
|
(15 |
) |
|
52 |
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|
37 |
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Total (5)
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$ |
4,977 |
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$ |
84 |
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$ |
5,061 |
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2018 |
Loans reported as trading account assets |
$ |
8 |
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$ |
— |
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$ |
8 |
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Trading inventory – other (1)
|
1,750 |
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|
— |
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|
1,750 |
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Consumer and commercial loans |
(422 |
) |
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(53 |
) |
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(475 |
) |
Loans held-for-sale (2)
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1 |
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24 |
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25 |
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Long-term debt (3)
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2,157 |
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(93 |
) |
|
2,064 |
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Other (4)
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8 |
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(31 |
) |
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(23 |
) |
Total (5)
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$ |
3,502 |
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$ |
(153 |
) |
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$ |
3,349 |
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2017 |
Loans reported as trading account assets |
$ |
318 |
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$ |
— |
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$ |
318 |
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Trading inventory – other (1)
|
3,821 |
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— |
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3,821 |
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Consumer and commercial loans |
(9 |
) |
|
35 |
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26 |
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Loans held-for-sale (2)
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— |
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|
298 |
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298 |
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Long-term debt (3)
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(1,044 |
) |
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(146 |
) |
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(1,190 |
) |
Other (4)
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(93 |
) |
|
49 |
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(44 |
) |
Total (5)
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$ |
2,993 |
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$ |
236 |
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$ |
3,229 |
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(1) |
The gains in market making and similar activities are primarily offset by 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 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 15 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation’s own credit spread is determined, see Note 21 – Fair Value Measurements.
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(4) |
Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, long-term deposits, federal funds purchased and securities loaned or sold under agreements to repurchase, short-term borrowings and unfunded loan commitments. |
(5)
Gains (losses) related to borrower-specific credit risk were $194 million, $(148) million and $38 million in 2019, 2018 and 2017, respectively.
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