Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option

v2.3.0.15
Fair Value Option
9 Months Ended
Sep. 30, 2011
Fair Value Disclosures [Abstract]  
Fair Value Option
NOTE 17 – Fair Value Option

The Corporation elected to account for certain financial instruments under the fair value option. For additional information on the primary financial instruments for which the fair value option elections have been made, see Note 23 – Fair Value Option to the Consolidated Financial Statements of the Corporation's 2010 Annual Report on Form 10-K.

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, 2011 and December 31, 2010.

Fair Value Option Elections
 
September 30, 2011
 
December 31, 2010
(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
$
1,337

 
$
2,693

 
$
(1,356
)
 
$
964

 
$
1,917

 
$
(953
)
Corporate loans
11,224

 
15,938

 
(4,714
)
 
3,269

 
3,638

 
(369
)
Loans held-for-sale
11,183

 
13,070

 
(1,887
)
 
25,942

 
28,370

 
(2,428
)
Securities financing agreements
129,385

 
128,852

 
533

 
116,023

 
115,053

 
970

Other assets
361

 
n/a

 
n/a

 
310

 
n/a

 
n/a

Long-term deposits
3,268

 
3,071

 
197

 
2,732

 
2,692

 
40

Asset-backed secured financings
667

 
1,294

 
(627
)
 
706

 
1,356

 
(650
)
Unfunded loan commitments
1,343

 
n/a

 
n/a

 
866

 
n/a

 
n/a

Commercial paper and other short-term borrowings
5,527

 
5,548

 
(21
)
 
6,472

 
6,472

 

Long-term debt (1)
48,235

 
62,054

 
(13,819
)
 
50,984

 
54,656

 
(3,672
)
(1) 
The majority of the difference between the fair value carrying amount and contractual principal outstanding at September 30, 2011 relates to the impact of widening of the Corporation's credit spreads, as well as the fair value of the embedded derivative, where applicable.
n/a = not applicable

The tables below 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, 2011 and 2010.

Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Three Months Ended September 30, 2011
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Loans reported as trading account assets
$
(29
)
 
$

 
$

 
$
(29
)
Corporate loans

 

 
(448
)
 
(448
)
Loans held-for-sale
(9
)
 
1,349

 
(104
)
 
1,236

Securities financing agreements

 

 
206

 
206

Other assets

 

 
132

 
132

Long-term deposits

 

 
(48
)
 
(48
)
Asset-backed secured financings

 
58

 

 
58

Unfunded loan commitments

 

 
(559
)
 
(559
)
Commercial paper and other short-term borrowings
214

 

 

 
214

Long-term debt
2,404

 

 
4,506

 
6,910

Total
$
2,580

 
$
1,407

 
$
3,685

 
$
7,672

 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2010
Loans reported as trading account assets
$
26

 
$

 
$

 
$
26

Corporate loans

 

 
93

 
93

Loans held-for-sale

 
3,077

 
295

 
3,372

Securities financing agreements

 

 
117

 
117

Other assets

 

 
16

 
16

Long-term deposits

 

 
4

 
4

Asset-backed secured financings

 
(35
)
 

 
(35
)
Unfunded loan commitments

 

 
117

 
117

Commercial paper and other short-term borrowings
5

 

 

 
5

Long-term debt
(1,443
)
 

 
(190
)
 
(1,633
)
Total
$
(1,412
)
 
$
3,042

 
$
452

 
$
2,082


Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
Nine Months Ended September 30, 2011
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss)
 
Other
Income
(Loss)
 
Total
Loans reported as trading account assets
$
44

 
$

 
$

 
$
44

Corporate loans

 

 
(320
)
 
(320
)
Loans held-for-sale
(7
)
 
3,732

 
148

 
3,873

Securities financing agreements

 

 
193

 
193

Other assets

 

 
162

 
162

Long-term deposits

 

 
(83
)
 
(83
)
Asset-backed secured financings

 
(24
)
 

 
(24
)
Unfunded loan commitments

 

 
(503
)
 
(503
)
Commercial paper and other short-term borrowings
307

 

 

 
307

Long-term debt
2,291

 

 
4,134

 
6,425

Total
$
2,635

 
$
3,708

 
$
3,731

 
$
10,074

 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2010
Loans reported as trading account assets
$
134

 
$

 
$

 
$
134

Corporate loans
2

 

 
139

 
141

Loans held-for-sale

 
8,204

 
547

 
8,751

Securities financing agreements

 

 
215

 
215

Other assets

 

 
62

 
62

Long-term deposits

 

 
(108
)
 
(108
)
Asset-backed secured financings

 
(76
)
 

 
(76
)
Unfunded loan commitments

 

 
50

 
50

Commercial paper and other short-term borrowings
(190
)
 

 

 
(190
)
Long-term debt
(567
)
 

 
1,211

 
644

Total
$
(621
)
 
$
8,128

 
$
2,116

 
$
9,623