Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option (Tables)

v3.3.0.814
Fair Value Option (Tables)
9 Months Ended
Sep. 30, 2015
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 September 30, 2015 and December 31, 2014.

Fair Value Option Elections
 
September 30, 2015
 
December 31, 2014
(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
$
62,806

 
$
62,558

 
$
248

 
$
62,182

 
$
61,902

 
$
280

Loans reported as trading account assets (1)
4,616

 
8,402

 
(3,786
)
 
4,607

 
8,487

 
(3,880
)
Trading inventory – other
7,312

 
n/a

 
n/a

 
6,865

 
n/a

 
n/a

Consumer and commercial loans
7,178

 
7,439

 
(261
)
 
8,681

 
8,925

 
(244
)
Loans held-for-sale
4,688

 
5,702

 
(1,014
)
 
6,801

 
8,072

 
(1,271
)
Other assets
269

 
270

 
(1
)
 
253

 
270

 
(17
)
Long-term deposits
1,163

 
1,051

 
112

 
1,469

 
1,361

 
108

Federal funds purchased and securities loaned or sold under agreements to repurchase
38,914

 
39,053

 
(139
)
 
35,357

 
35,332

 
25

Unfunded loan commitments
594

 
n/a

 
n/a

 
405

 
n/a

 
n/a

Short-term borrowings
1,869

 
1,869

 

 
2,697

 
2,697

 

Long-term debt (2)
29,185

 
29,961

 
(776
)
 
36,404

 
35,815

 
589

(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 $28.4 billion and contractual principal outstanding of $29.1 billion at September 30, 2015 compared to $35.3 billion and $34.6 billion at December 31, 2014.
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, 2015 and 2014.

Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Three Months Ended September 30, 2015
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Federal funds sold and securities borrowed or purchased under agreements to resell
$
7

 
$

 
$

 
$
7

Loans reported as trading account assets
(30
)
 

 

 
(30
)
Trading inventory – other (1)
273

 

 

 
273

Consumer and commercial loans
11

 

 
(129
)
 
(118
)
Loans held-for-sale (2)
(4
)
 
155

 
11

 
162

Other assets

 

 
(3
)
 
(3
)
Long-term deposits
(4
)
 

 
(16
)
 
(20
)
Federal funds purchased and securities loaned or sold under agreements to repurchase
(23
)
 

 

 
(23
)
Unfunded loan commitments

 

 
(201
)
 
(201
)
Short-term borrowings
1

 

 

 
1

Long-term debt (3)
1,297

 

 
247

 
1,544

Total
$
1,528

 
$
155

 
$
(91
)
 
$
1,592

 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2014
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(44
)
 
$

 
$

 
$
(44
)
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

Long-term deposits
13

 

 
3

 
16

Federal funds purchased and securities loaned or sold under agreements to repurchase
4

 

 

 
4

Unfunded loan commitments

 

 
6

 
6

Short-term borrowings
(2
)
 

 

 
(2
)
Long-term debt (3)
725

 

 
137

 
862

Total
$
595

 
$
119

 
$
135

 
$
849

(1) 
The gains (losses) in trading account profits are primarily offset by gains (losses) on trading liabilities that hedge these assets.
(2) 
Includes the value of interest rate lock commitments 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. The net gains (losses) in other income (loss) relate to the impact on structured liabilities of changes in the Corporation's credit spreads.
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Nine Months Ended September 30, 2015
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(81
)
 
$

 
$

 
$
(81
)
Loans reported as trading account assets
(98
)
 

 

 
(98
)
Trading inventory – other (1)
447

 

 

 
447

Consumer and commercial loans
40

 

 
(196
)
 
(156
)
Loans held-for-sale (2)
(25
)
 
567

 
99

 
641

Other assets

 

 
4

 
4

Long-term deposits
(4
)
 

 
5

 
1

Federal funds purchased and securities loaned or sold under agreements to repurchase
25

 

 

 
25

Unfunded loan commitments

 

 
(146
)
 
(146
)
Long-term debt (3)
1,887

 

 
418

 
2,305

Total
$
2,191

 
$
567

 
$
184

 
$
2,942

 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2014
Federal funds sold and securities borrowed or purchased under agreements to resell
$
(77
)
 
$

 
$

 
$
(77
)
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

Long-term deposits
24

 

 
(9
)
 
15

Federal funds purchased and securities loaned or sold under agreements to repurchase
2

 

 

 
2

Unfunded loan commitments

 

 
20

 
20

Short-term borrowings
52

 

 

 
52

Long-term debt (3)
98

 

 
402

 
500

Total
$
(230
)
 
$
555

 
$
577

 
$
902


(1) 
The gains (losses) in trading account profits are primarily offset by gains (losses) on trading liabilities that hedge these assets.
(2) 
Includes the value of interest rate lock commitments 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. The net gains (losses) in other income (loss) relate to the impact on structured liabilities of changes in the Corporation's credit spreads.

Gains (Losses) Related to Borrower-specific Credit Risk for Assets and Liabilities Accounted for Under the Fair Value Option
(Dollars in millions)
Three Months Ended September 30, 2015
 
Nine Months Ended September 30, 2015
Loans reported as trading account assets
$
14

 
$
44

Consumer and commercial loans
(88
)
 
(100
)
Loans held-for-sale
8

 
58

 
 
 
 
 
Three Months Ended September 30, 2014
 
Nine Months Ended September 30, 2014
Loans reported as trading account assets
$
30

 
$
31

Consumer and commercial loans
1

 
80

Loans held-for-sale
(3
)
 
46