Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option (Tables)

v2.4.0.8
Fair Value Option (Tables)
3 Months Ended
Mar. 31, 2014
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 March 31, 2014 and December 31, 2013.

Fair Value Option Elections
 
March 31, 2014
 
December 31, 2013
(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
Loans reported as trading account assets (1)
$
2,890

 
$
5,675

 
$
(2,785
)
 
$
2,200

 
$
4,315

 
$
(2,115
)
Trading inventory – other
5,522

 
n/a

 
n/a

 
5,475

 
n/a

 
n/a

Consumer and commercial loans
11,063

 
11,395

 
(332
)
 
10,042

 
10,423

 
(381
)
Loans held-for-sale
6,172

 
6,280

 
(108
)
 
6,656

 
6,996

 
(340
)
Securities financing agreements
102,135

 
101,890

 
245

 
109,298

 
109,032

 
266

Other assets
266

 
270

 
(4
)
 
278

 
270

 
8

Long-term deposits
1,835

 
1,734

 
101

 
1,899

 
1,797

 
102

Unfunded loan commitments
338

 
n/a

 
n/a

 
354

 
n/a

 
n/a

Short-term borrowings
2,305

 
2,305

 

 
1,520

 
1,520

 

Long-term debt (2)
45,573

 
45,352

 
221

 
47,035

 
46,669

 
366

(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 $39.1 billion and contractual principal outstanding of $38.2 billion at March 31, 2014 compared to $40.7 billion and $39.7 billion at December 31, 2013.
n/a = not applicable

Fair Value Option
The table below provides 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 the three months ended March 31, 2014 and 2013. Of the changes in fair value for LHFS and loans and loan commitments, gains of $27 million and $43 million were attributable to changes in borrower-specific credit risk for the three months ended March 31, 2014 compared to gains of $106 million and $128 million for the same period in 2013. Changes to borrower-specific credit risk for loans reported as trading account assets were immaterial for the three months ended March 31, 2014 and 2013.

Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Three Months Ended March 31, 2014
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Loans reported as trading account assets
$
34

 
$

 
$

 
$
34

Trading inventory – other (1)
(168
)
 

 

 
(168
)
Consumer and commercial loans
5

 

 
52

 
57

Loans held-for-sale (2)
(1
)
 
155

 
40

 
194

Securities financing agreements
(22
)
 

 

 
(22
)
Other assets

 

 
(2
)
 
(2
)
Long-term deposits
13

 

 
(9
)
 
4

Unfunded loan commitments

 

 
9

 
9

Short-term borrowings
36

 

 

 
36

Long-term debt (3)
(368
)
 

 
197

 
(171
)
Total
$
(471
)
 
$
155

 
$
287

 
$
(29
)
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2013
Loans reported as trading account assets
$
29

 
$

 
$

 
$
29

Trading inventory – other (1)
286

 

 

 
286

Consumer and commercial loans
(1
)
 

 
102

 
101

Loans held-for-sale (2)
8

 
278

 
(10
)
 
276

Securities financing agreements
23

 

 

 
23

Other assets

 

 
5

 
5

Long-term deposits

 

 
19

 
19

Asset-backed secured financings

 
(44
)
 

 
(44
)
Unfunded loan commitments

 

 
65

 
65

Short-term borrowings
(39
)
 

 

 
(39
)
Accrued expenses and other liabilities

 
29

 

 
29

Long-term debt (3)
(1,269
)
 

 
(90
)
 
(1,359
)
Total
$
(963
)
 
$
263

 
$
91

 
$
(609
)
(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 interest rate lock commitments on loans funded, including those sold during the period.
(3) 
The majority of the net losses in trading account profits (losses) relate to the embedded derivative in structured liabilities and are offset by gains on derivatives and securities that hedge these liabilities. The net gains (losses) in other income (loss) relate to the impact on structured liabilities of changes in the Corporation's credit spreads.