| 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 September 30, 2014 and December 31, 2013.
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Fair Value Option Elections |
|
September 30, 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)
|
$ |
3,735 |
|
|
$ |
6,514 |
|
|
$ |
(2,779 |
) |
|
$ |
2,406 |
|
|
$ |
4,541 |
|
|
$ |
(2,135 |
) |
Trading inventory – other |
5,639 |
|
|
n/a |
|
|
n/a |
|
|
5,475 |
|
|
n/a |
|
|
n/a |
|
Consumer and commercial loans |
8,183 |
|
|
8,427 |
|
|
(244 |
) |
|
10,042 |
|
|
10,423 |
|
|
(381 |
) |
Loans held-for-sale |
5,455 |
|
|
5,512 |
|
|
(57 |
) |
|
6,656 |
|
|
6,996 |
|
|
(340 |
) |
Securities financing agreements |
93,818 |
|
|
93,232 |
|
|
586 |
|
|
109,298 |
|
|
109,032 |
|
|
266 |
|
Other assets |
255 |
|
|
270 |
|
|
(15 |
) |
|
278 |
|
|
270 |
|
|
8 |
|
Long-term deposits |
1,520 |
|
|
1,429 |
|
|
91 |
|
|
1,899 |
|
|
1,797 |
|
|
102 |
|
Unfunded loan commitments |
322 |
|
|
n/a |
|
|
n/a |
|
|
354 |
|
|
n/a |
|
|
n/a |
|
Short-term borrowings |
2,418 |
|
|
2,418 |
|
|
— |
|
|
1,520 |
|
|
1,520 |
|
|
— |
|
Long-term debt (2)
|
40,048 |
|
|
40,513 |
|
|
(465 |
) |
|
47,035 |
|
|
46,669 |
|
|
366 |
|
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|
(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. |
|
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(2) |
Includes structured liabilities with a fair value of $39.0 billion and contractual principal outstanding of $39.4 billion at September 30, 2014 compared to $40.7 billion and $39.7 billion at December 31, 2013.
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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 the three and nine months ended September 30, 2014 and 2013. Of the changes in fair value for LHFS, losses of $3 million and gains $46 million were attributable to changes in borrower-specific credit risk for the three and nine months ended September 30, 2014 compared to gains of $52 million and $119 million for the same periods in 2013. Of the changes in fair value for loans, gains of $1 million and $80 million were attributable to changes in borrower-specific credit risk for the three and nine months ended September 30, 2014 compared to losses of $13 million and gains of $111 million for the same periods in 2013. Of the changes in fair value for loans reported as trading account assets, gains of $30 million and $31 million were attributable to changes in borrower-specific credit risk for the three and nine months ended September 30, 2014 and 2013 compared to gains of $36 million and $55 million for the same periods in 2013.
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
|
Three Months Ended September 30, 2014 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss)
|
|
Other
Income
(Loss)
|
|
Total |
Loans reported as trading account assets |
$ |
(89 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(89 |
) |
Trading inventory – other (1)
|
82 |
|
|
— |
|
|
— |
|
|
82 |
|
Consumer and commercial loans |
(62 |
) |
|
— |
|
|
5 |
|
|
(57 |
) |
Loans held-for-sale (2)
|
(32 |
) |
|
119 |
|
|
(16 |
) |
|
71 |
|
Securities financing agreements |
(40 |
) |
|
— |
|
|
— |
|
|
(40 |
) |
Long-term deposits |
13 |
|
|
— |
|
|
3 |
|
|
16 |
|
Unfunded loan commitments |
— |
|
|
— |
|
|
6 |
|
|
6 |
|
Short-term borrowings |
(2 |
) |
|
— |
|
|
— |
|
|
(2 |
) |
Long-term debt (3)
|
725 |
|
|
— |
|
|
137 |
|
|
862 |
|
Total |
$ |
595 |
|
|
$ |
119 |
|
|
$ |
135 |
|
|
$ |
849 |
|
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Three Months Ended September 30, 2013 |
Loans reported as trading account assets |
$ |
46 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
46 |
|
Trading inventory – other (1)
|
150 |
|
|
— |
|
|
— |
|
|
150 |
|
Consumer and commercial loans |
1 |
|
|
(38 |
) |
|
30 |
|
|
(7 |
) |
Loans held-for-sale (2)
|
5 |
|
|
174 |
|
|
79 |
|
|
258 |
|
Securities financing agreements |
(23 |
) |
|
— |
|
|
— |
|
|
(23 |
) |
Other assets |
— |
|
|
— |
|
|
(47 |
) |
|
(47 |
) |
Long-term deposits |
(6 |
) |
|
— |
|
|
13 |
|
|
7 |
|
Asset-backed secured financings |
— |
|
|
(20 |
) |
|
— |
|
|
(20 |
) |
Unfunded loan commitments |
— |
|
|
— |
|
|
76 |
|
|
76 |
|
Short-term borrowings |
(1 |
) |
|
— |
|
|
— |
|
|
(1 |
) |
Accrued expenses and other liabilities |
— |
|
|
9 |
|
|
— |
|
|
9 |
|
Long-term debt (3)
|
(191 |
) |
|
— |
|
|
(152 |
) |
|
(343 |
) |
Total |
$ |
(19 |
) |
|
$ |
125 |
|
|
$ |
(1 |
) |
|
$ |
105 |
|
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(1) |
The gains (losses) in trading account profits (losses) are primarily offset by gains (losses) on trading liabilities that hedge these assets. |
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(2) |
Includes the value of interest rate lock commitments on loans funded, including those sold during the period. |
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(3) |
The majority of the net gains (losses) in trading account profits (losses) relate to the embedded derivative in structured liabilities and are offset by gains (losses) 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. |
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
|
Nine Months Ended September 30, 2014 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss)
|
|
Other
Income
(Loss)
|
|
Total |
Loans reported as trading account assets |
$ |
(41 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(41 |
) |
Trading inventory – other (1)
|
(208 |
) |
|
— |
|
|
— |
|
|
(208 |
) |
Consumer and commercial loans |
(44 |
) |
|
— |
|
|
110 |
|
|
66 |
|
Loans held-for-sale (2)
|
(36 |
) |
|
555 |
|
|
54 |
|
|
573 |
|
Securities financing agreements |
(75 |
) |
|
— |
|
|
— |
|
|
(75 |
) |
Long-term deposits |
24 |
|
|
— |
|
|
(9 |
) |
|
15 |
|
Unfunded loan commitments |
— |
|
|
— |
|
|
20 |
|
|
20 |
|
Short-term borrowings |
52 |
|
|
— |
|
|
— |
|
|
52 |
|
Long-term debt (3)
|
98 |
|
|
— |
|
|
402 |
|
|
500 |
|
Total |
$ |
(230 |
) |
|
$ |
555 |
|
|
$ |
577 |
|
|
$ |
902 |
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2013 |
Loans reported as trading account assets |
$ |
85 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
85 |
|
Trading inventory – other (1)
|
649 |
|
|
— |
|
|
— |
|
|
649 |
|
Consumer and commercial loans |
2 |
|
|
(38 |
) |
|
182 |
|
|
146 |
|
Loans held-for-sale (2)
|
(2 |
) |
|
685 |
|
|
38 |
|
|
721 |
|
Securities financing agreements |
(39 |
) |
|
— |
|
|
— |
|
|
(39 |
) |
Other assets |
— |
|
|
— |
|
|
(86 |
) |
|
(86 |
) |
Long-term deposits |
30 |
|
|
— |
|
|
67 |
|
|
97 |
|
Asset-backed secured financings |
— |
|
|
(71 |
) |
|
— |
|
|
(71 |
) |
Unfunded loan commitments |
— |
|
|
— |
|
|
122 |
|
|
122 |
|
Short-term borrowings |
(29 |
) |
|
— |
|
|
— |
|
|
(29 |
) |
Accrued expenses and other liabilities |
— |
|
|
31 |
|
|
— |
|
|
31 |
|
Long-term debt (3)
|
(100 |
) |
|
— |
|
|
(232 |
) |
|
(332 |
) |
Total |
$ |
596 |
|
|
$ |
607 |
|
|
$ |
91 |
|
|
$ |
1,294 |
|
|
|
(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 gains (losses) in trading account profits (losses) relate to the embedded derivative in structured liabilities and are offset by gains (losses) 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. |
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