| 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, 2021 and 2020, 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 2021, 2020 and 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Option Elections |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2021 |
|
December 31, 2020 |
(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 |
$ |
150,665
|
|
|
$ |
150,677
|
|
|
$ |
(12) |
|
|
$ |
108,856 |
|
|
$ |
108,811 |
|
|
$ |
45 |
|
Loans reported as trading account assets (1)
|
10,864
|
|
|
18,895
|
|
|
(8,031) |
|
|
7,967 |
|
|
17,372 |
|
|
(9,405) |
|
| Trading inventory – other |
21,986
|
|
|
n/a |
|
n/a |
|
22,790 |
|
|
n/a |
|
n/a |
| Consumer and commercial loans |
7,819
|
|
|
7,888
|
|
|
(69) |
|
|
6,681 |
|
|
6,778 |
|
|
(97) |
|
Loans held-for-sale (1)
|
4,455
|
|
|
5,343
|
|
|
(888) |
|
|
1,585 |
|
|
2,521 |
|
|
(936) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other assets |
544
|
|
|
n/a |
|
n/a |
|
200 |
|
|
n/a |
|
n/a |
| Long-term deposits |
408
|
|
|
401
|
|
|
7
|
|
|
481 |
|
|
448 |
|
|
33 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
139,641
|
|
|
139,682
|
|
|
(41) |
|
|
135,391 |
|
|
135,390 |
|
|
1 |
|
| Short-term borrowings |
4,279
|
|
|
4,127
|
|
|
152
|
|
|
5,874 |
|
|
5,178 |
|
|
696 |
|
| Unfunded loan commitments |
97
|
|
|
n/a |
|
n/a |
|
99 |
|
|
n/a |
|
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
| Long-term debt |
29,708
|
|
|
30,903
|
|
|
(1,195) |
|
|
32,200 |
|
|
33,470 |
|
|
(1,270) |
|
(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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market making
and similar
activities |
|
Other
Income |
|
Total |
|
|
|
|
|
|
| (Dollars in millions) |
2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans reported as trading account assets |
$ |
275
|
|
|
$ |
—
|
|
|
$ |
275
|
|
|
|
|
|
|
|
Trading inventory – other (1)
|
(211) |
|
|
—
|
|
|
(211) |
|
|
|
|
|
|
|
| Consumer and commercial loans |
78
|
|
|
40
|
|
|
118
|
|
|
|
|
|
|
|
Loans held-for-sale (2)
|
—
|
|
|
58
|
|
|
58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-term borrowings |
883
|
|
|
—
|
|
|
883
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (3)
|
(604) |
|
|
(41) |
|
|
(645) |
|
|
|
|
|
|
|
Other (4)
|
18
|
|
|
(23) |
|
|
(5) |
|
|
|
|
|
|
|
Total (5)
|
$ |
439
|
|
|
$ |
34
|
|
|
$ |
473
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans reported as trading account assets |
$ |
107 |
|
|
$ |
— |
|
|
$ |
107 |
|
|
|
|
|
|
|
Trading inventory – other (1)
|
3,216 |
|
|
— |
|
|
3,216 |
|
|
|
|
|
|
|
| Consumer and commercial loans |
22 |
|
|
(3) |
|
|
19 |
|
|
|
|
|
|
|
Loans held-for-sale (2)
|
— |
|
|
103 |
|
|
103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-term borrowings |
(170) |
|
|
— |
|
|
(170) |
|
|
|
|
|
|
|
| Unfunded loan commitments |
— |
|
|
(65) |
|
|
(65) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (3)
|
(2,175) |
|
|
(53) |
|
|
(2,228) |
|
|
|
|
|
|
|
Other (4)
|
35 |
|
|
(22) |
|
|
13 |
|
|
|
|
|
|
|
Total (5)
|
$ |
1,035 |
|
|
$ |
(40) |
|
|
$ |
995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans reported as trading account assets |
$ |
203 |
|
|
$ |
— |
|
|
$ |
203 |
|
|
|
|
|
|
|
Trading inventory – other (1)
|
5,795 |
|
|
— |
|
|
5,795 |
|
|
|
|
|
|
|
| Consumer and commercial loans |
92 |
|
|
12 |
|
|
104 |
|
|
|
|
|
|
|
Loans held-for-sale (2)
|
— |
|
|
98 |
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-term borrowings |
(24) |
|
|
— |
|
|
(24) |
|
|
|
|
|
|
|
| Unfunded loan commitments |
— |
|
|
79 |
|
|
79 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (3)
|
(1,098) |
|
|
(78) |
|
|
(1,176) |
|
|
|
|
|
|
|
Other (4)
|
9 |
|
|
(27) |
|
|
(18) |
|
|
|
|
|
|
|
Total (5)
|
$ |
4,977 |
|
|
$ |
84 |
|
|
$ |
5,061 |
|
|
|
|
|
|
|
(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 losses in market making and similar activities relate to the embedded derivatives in structured liabilities and are typically offset by 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 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.
(4) Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, other assets, long-term deposits and federal funds purchased and securities loaned or sold under agreements to repurchase.
(5) Gains (losses) related to borrower-specific credit risk were $162 million, $(361) million and $194 million in 2021, 2020 and 2019, respectively.
|