| Schedule of Fair Value Option Elections |
The following tables provide information about the fair value carrying amount and the contractual principal outstanding of assets and liabilities accounted for under the fair value option at June 30, 2017 and December 31, 2016, and 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 six months ended June 30, 2017 and 2016.
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Fair Value Option Elections |
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June 30, 2017 |
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December 31, 2016 |
(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 |
$ |
50,758 |
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|
$ |
50,675 |
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|
$ |
83 |
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|
$ |
49,750 |
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|
$ |
49,615 |
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|
$ |
135 |
|
Loans reported as trading account assets (1)
|
5,630 |
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|
11,072 |
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|
(5,442 |
) |
|
6,215 |
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|
11,557 |
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|
(5,342 |
) |
Trading inventory – other |
9,879 |
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|
n/a |
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|
n/a |
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|
8,206 |
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|
n/a |
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n/a |
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Consumer and commercial loans |
7,325 |
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|
7,340 |
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(15 |
) |
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7,085 |
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|
7,190 |
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(105 |
) |
Loans held-for-sale |
2,707 |
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4,287 |
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(1,580 |
) |
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4,026 |
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|
5,595 |
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(1,569 |
) |
Customer receivables and other assets |
253 |
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|
250 |
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3 |
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253 |
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|
250 |
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|
3 |
|
Long-term deposits |
456 |
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|
430 |
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|
26 |
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|
731 |
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|
672 |
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|
59 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
32,132 |
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32,369 |
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(237 |
) |
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35,766 |
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35,929 |
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(163 |
) |
Short-term borrowings |
1,572 |
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|
1,572 |
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|
— |
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|
2,024 |
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|
2,024 |
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|
— |
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Unfunded loan commitments |
138 |
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|
n/a |
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n/a |
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|
173 |
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n/a |
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n/a |
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Long-term debt (2)
|
29,073 |
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|
28,953 |
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|
120 |
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30,037 |
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29,862 |
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|
175 |
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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 $28.7 billion and $29.7 billion, and contractual principal outstanding of $28.6 billion and $29.5 billion at June 30, 2017 and December 31, 2016.
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n/a = not applicable
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
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Three Months Ended June 30, 2017 |
(Dollars in millions) |
Trading Account Profits (Losses) |
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Mortgage Banking Income
(Loss)
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Other
Income
(Loss)
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Total |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(8 |
) |
|
$ |
— |
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|
$ |
— |
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|
$ |
(8 |
) |
Loans reported as trading account assets |
47 |
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|
— |
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|
— |
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|
47 |
|
Trading inventory – other (1)
|
522 |
|
|
— |
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|
— |
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|
522 |
|
Consumer and commercial loans |
4 |
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|
— |
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|
20 |
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|
24 |
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Loans held-for-sale (2)
|
(1 |
) |
|
46 |
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|
30 |
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|
75 |
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Long-term deposits |
14 |
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|
— |
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|
3 |
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|
17 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
2 |
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|
— |
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— |
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2 |
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Short-term borrowings |
(3 |
) |
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— |
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— |
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(3 |
) |
Unfunded loan commitments |
— |
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|
— |
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(4 |
) |
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(4 |
) |
Long-term debt (3, 4)
|
107 |
|
|
— |
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|
(34 |
) |
|
73 |
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Total |
$ |
684 |
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$ |
46 |
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$ |
15 |
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$ |
745 |
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Three Months Ended June 30, 2016 |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(9 |
) |
|
$ |
— |
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|
$ |
— |
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|
$ |
(9 |
) |
Loans reported as trading account assets |
14 |
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|
— |
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— |
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14 |
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Trading inventory – other (1)
|
(243 |
) |
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— |
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— |
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(243 |
) |
Consumer and commercial loans |
15 |
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— |
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|
(31 |
) |
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(16 |
) |
Loans held-for-sale (2)
|
5 |
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|
145 |
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|
20 |
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|
170 |
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Other assets |
— |
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— |
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(5 |
) |
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(5 |
) |
Long-term deposits |
(2 |
) |
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— |
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(8 |
) |
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(10 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase |
11 |
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— |
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— |
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11 |
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Unfunded loan commitments |
— |
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|
— |
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|
163 |
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|
163 |
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Long-term debt (3, 4)
|
(574 |
) |
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— |
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|
(23 |
) |
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(597 |
) |
Total |
$ |
(783 |
) |
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$ |
145 |
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$ |
116 |
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$ |
(522 |
) |
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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. |
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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 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 2016 Annual Report on Form 10-K.
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
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Six Months Ended June 30, 2017 |
(Dollars in millions) |
Trading Account Profits (Losses) |
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Mortgage Banking Income
(Loss)
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Other
Income
(Loss)
|
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Total |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(20 |
) |
|
$ |
— |
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|
$ |
— |
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|
$ |
(20 |
) |
Loans reported as trading account assets |
197 |
|
|
— |
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|
— |
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|
197 |
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Trading inventory – other (1)
|
1,673 |
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|
— |
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|
— |
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|
1,673 |
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Consumer and commercial loans |
9 |
|
|
— |
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|
39 |
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|
48 |
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Loans held-for-sale (2)
|
— |
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|
96 |
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|
74 |
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|
170 |
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Long-term deposits |
15 |
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|
— |
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|
8 |
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|
23 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
(43 |
) |
|
— |
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|
— |
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|
(43 |
) |
Short-term borrowings |
(5 |
) |
|
— |
|
|
— |
|
|
(5 |
) |
Unfunded loan commitments |
— |
|
|
— |
|
|
34 |
|
|
34 |
|
Long-term debt (3, 4)
|
(55 |
) |
|
— |
|
|
(71 |
) |
|
(126 |
) |
Total |
$ |
1,771 |
|
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$ |
96 |
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$ |
84 |
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$ |
1,951 |
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Six Months Ended June 30, 2016 |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
(1 |
) |
|
$ |
— |
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|
$ |
— |
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|
$ |
(1 |
) |
Loans reported as trading account assets |
126 |
|
|
— |
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|
— |
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|
126 |
|
Trading inventory – other (1)
|
(356 |
) |
|
— |
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|
— |
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|
(356 |
) |
Consumer and commercial loans |
34 |
|
|
— |
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|
(21 |
) |
|
13 |
|
Loans held-for-sale (2)
|
5 |
|
|
314 |
|
|
55 |
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|
374 |
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Other assets |
— |
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|
— |
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|
(3 |
) |
|
(3 |
) |
Long-term deposits |
(11 |
) |
|
— |
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|
(30 |
) |
|
(41 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase |
3 |
|
|
— |
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|
— |
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|
3 |
|
Unfunded loan commitments |
— |
|
|
— |
|
|
311 |
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|
311 |
|
Long-term debt (3, 4)
|
(580 |
) |
|
— |
|
|
(53 |
) |
|
(633 |
) |
Total |
$ |
(780 |
) |
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$ |
314 |
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$ |
259 |
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|
$ |
(207 |
) |
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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. |
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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 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 2016 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 |
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Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2017 |
|
2016 |
|
2017 |
|
2016 |
Loans reported as trading account assets |
$ |
7 |
|
|
$ |
(4 |
) |
|
$ |
20 |
|
|
$ |
5 |
|
Consumer and commercial loans |
22 |
|
|
(29 |
) |
|
41 |
|
|
(39 |
) |
Loans held-for-sale |
(1 |
) |
|
5 |
|
|
(1 |
) |
|
4 |
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|