| 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, 2016 and December 31, 2015.
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Fair Value Option Elections |
|
September 30, 2016 |
|
December 31, 2015 |
(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 |
$ |
51,638 |
|
|
$ |
51,516 |
|
|
$ |
122 |
|
|
$ |
55,143 |
|
|
$ |
54,999 |
|
|
$ |
144 |
|
Loans reported as trading account assets (1)
|
5,653 |
|
|
11,134 |
|
|
(5,481 |
) |
|
4,995 |
|
|
9,214 |
|
|
(4,219 |
) |
Trading inventory – other |
8,701 |
|
|
n/a |
|
|
n/a |
|
|
8,149 |
|
|
n/a |
|
|
n/a |
|
Consumer and commercial loans |
8,108 |
|
|
8,132 |
|
|
(24 |
) |
|
6,938 |
|
|
7,293 |
|
|
(355 |
) |
Loans held-for-sale |
4,652 |
|
|
5,979 |
|
|
(1,327 |
) |
|
4,818 |
|
|
6,157 |
|
|
(1,339 |
) |
Other assets |
314 |
|
|
250 |
|
|
64 |
|
|
275 |
|
|
270 |
|
|
5 |
|
Long-term deposits |
913 |
|
|
782 |
|
|
131 |
|
|
1,116 |
|
|
1,021 |
|
|
95 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
31,868 |
|
|
32,031 |
|
|
(163 |
) |
|
24,574 |
|
|
24,718 |
|
|
(144 |
) |
Short-term borrowings |
1,055 |
|
|
1,055 |
|
|
— |
|
|
1,325 |
|
|
1,325 |
|
|
— |
|
Unfunded loan commitments |
216 |
|
|
n/a |
|
|
n/a |
|
|
658 |
|
|
n/a |
|
|
n/a |
|
Long-term debt (2)
|
32,619 |
|
|
32,650 |
|
|
(31 |
) |
|
30,097 |
|
|
30,593 |
|
|
(496 |
) |
|
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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 $31.6 billion and $29.0 billion, and contractual principal outstanding of $31.5 billion and $29.4 billion at September 30, 2016 compared to December 31, 2015.
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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, 2016 and 2015.
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
|
Three Months Ended September 30, 2016 |
(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 |
$ |
(25 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(25 |
) |
Loans reported as trading account assets |
125 |
|
|
— |
|
|
— |
|
|
125 |
|
Trading inventory – other (1)
|
907 |
|
|
— |
|
|
— |
|
|
907 |
|
Consumer and commercial loans |
(8 |
) |
|
— |
|
|
13 |
|
|
5 |
|
Loans held-for-sale (2)
|
5 |
|
|
132 |
|
|
2 |
|
|
139 |
|
Other assets |
— |
|
|
— |
|
|
23 |
|
|
23 |
|
Long-term deposits |
4 |
|
|
— |
|
|
4 |
|
|
8 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
(3 |
) |
|
— |
|
|
— |
|
|
(3 |
) |
Unfunded loan commitments |
— |
|
|
— |
|
|
133 |
|
|
133 |
|
Long-term debt (3, 4)
|
(138 |
) |
|
— |
|
|
(24 |
) |
|
(162 |
) |
Total |
$ |
867 |
|
|
$ |
132 |
|
|
$ |
151 |
|
|
$ |
1,150 |
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2015 |
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, 4)
|
1,297 |
|
|
— |
|
|
(54 |
) |
|
1,243 |
|
Total |
$ |
1,528 |
|
|
$ |
155 |
|
|
$ |
(392 |
) |
|
$ |
1,291 |
|
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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 IRLCs on funded loans, including those sold during the period. |
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(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. For more information on the adoption of new accounting guidance relating to DVA on structured liabilities, see Note 1 – Summary of Significant Accounting Principles.
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(4) |
For the cumulative impact of changes in the Corporation's own credit spreads and the amount recognized in OCI, see Note 12 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation's own credit spread is determined, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K.
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
|
Nine Months Ended September 30, 2016 |
(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 |
$ |
(26 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(26 |
) |
Loans reported as trading account assets |
251 |
|
|
— |
|
|
— |
|
|
251 |
|
Trading inventory – other (1)
|
551 |
|
|
— |
|
|
— |
|
|
551 |
|
Consumer and commercial loans |
26 |
|
|
— |
|
|
(8 |
) |
|
18 |
|
Loans held-for-sale (2)
|
10 |
|
|
493 |
|
|
57 |
|
|
560 |
|
Other assets |
— |
|
|
— |
|
|
20 |
|
|
20 |
|
Long-term deposits |
(7 |
) |
|
— |
|
|
(26 |
) |
|
(33 |
) |
Unfunded loan commitments |
— |
|
|
— |
|
|
444 |
|
|
444 |
|
Long-term debt (3, 4)
|
(718 |
) |
|
— |
|
|
(77 |
) |
|
(795 |
) |
Total |
$ |
87 |
|
|
$ |
493 |
|
|
$ |
410 |
|
|
$ |
990 |
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2015 |
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, 4)
|
1,887 |
|
|
— |
|
|
(604 |
) |
|
1,283 |
|
Total |
$ |
2,191 |
|
|
$ |
567 |
|
|
$ |
(838 |
) |
|
$ |
1,920 |
|
|
|
(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 IRLCs 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. For more information on the adoption of new accounting guidance relating to DVA on structured liabilities, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
For the cumulative impact of changes in the Corporation's own credit spreads and the amount recognized in OCI, see Note 12 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation's own credit spread is determined, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K.
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Gains (Losses) Related to Borrower-specific Credit Risk for Assets Accounted for Under the Fair Value Option |
|
Three Months Ended September 30 |
|
Nine Months Ended September 30 |
(Dollars in millions) |
2016 |
|
2015 |
|
2016 |
|
2015 |
Loans reported as trading account assets |
$ |
— |
|
|
$ |
14 |
|
|
$ |
5 |
|
|
$ |
44 |
|
Consumer and commercial loans |
14 |
|
|
(88 |
) |
|
(25 |
) |
|
(100 |
) |
Loans held-for-sale |
(10 |
) |
|
8 |
|
|
(6 |
) |
|
58 |
|
|