Quarterly report pursuant to Section 13 or 15(d)

Fair Value Option (Tables)

v3.8.0.1
Fair Value Option (Tables)
 9 Months Ended
Sep. 30, 2017
Fair Value Option [Abstract]  
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 September 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 nine months ended September 30, 2017 and 2016.
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Option Elections
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
September 30, 2017
 
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
$
56,780

 
$
56,720

 
$
60

 
$
49,750

 
$
49,615

 
$
135

Loans reported as trading account assets (1)
5,734

 
10,749

 
(5,015
)
 
6,215

 
11,557

 
(5,342
)
Trading inventory – other
11,096

 
n/a

 
n/a

 
8,206

 
n/a

 
n/a

Consumer and commercial loans
6,285

 
6,332

 
(47
)
 
7,085

 
7,190

 
(105
)
Loans held-for-sale
3,128

 
4,751

 
(1,623
)
 
4,026

 
5,595

 
(1,569
)
Customer receivables and other assets
233

 
230

 
3

 
253

 
250

 
3

Long-term deposits
468

 
433

 
35

 
731

 
672

 
59

Federal funds purchased and securities loaned or sold under agreements to repurchase
38,852

 
38,861

 
(9
)
 
35,766

 
35,929

 
(163
)
Short-term borrowings
1,904

 
1,904

 
—

 
2,024

 
2,024

 
—

Unfunded loan commitments
101

 
n/a

 
n/a

 
173

 
n/a

 
n/a

Long-term debt (2)
29,897

 
30,497

 
(600
)
 
30,037

 
29,862

 
175


(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 $29.5 billion and $29.7 billion, and contractual principal outstanding of $30.1 billion and $29.5 billion at September 30, 2017 and December 31, 2016.
n/a = not applicable
 
 
 
 
 
 
 
 
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option
 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2017
(Dollars in millions)
Trading
Account
Profits
 
Mortgage Banking Income
(Loss)
 
Other
Income
 
Total
Loans reported as trading account assets
$
75

 
$
—

 
$
—

 
$
75

Trading inventory – other (1)
1,217

 
—

 
—

 
1,217

Loans held-for-sale (2)
—

 
73

 
19

 
92

Unfunded loan commitments
—

 
—

 
21

 
21

Long-term debt (3, 4)
(416
)
 
—

 
(38
)
 
(454
)
Other (5)
3

 
—

 
(3
)
 
—

Total
$
879

 
$
73

 
$
(1
)
 
$
951

 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2016
Loans reported as trading account assets
$
125

 
$
—

 
$
—

 
$
125

Trading inventory – other (1)
907

 
—

 
—

 
907

Loans held-for-sale (2)
5

 
132

 
2

 
139

Unfunded loan commitments
—

 
—

 
133

 
133

Long-term debt (3, 4)
(138
)
 
—

 
(24
)
 
(162
)
Other (5)
(32
)
 
—

 
40

 
8

Total
$
867

 
$
132

 
$
151

 
$
1,150


 
Nine Months Ended September 30, 2017
Loans reported as trading account assets
$
272

 
$
—

 
$
—

 
$
272

Trading inventory – other (1)
2,890

 
—

 
—

 
2,890

Loans held-for-sale (2)
—

 
182

 
93

 
275

Unfunded loan commitments
—

 
—

 
55

 
55

Long-term debt (3, 4)
(471
)
 
—

 
(109
)
 
(580
)
Other (5)
(41
)
 
—

 
44

 
3

Total
$
2,650

 
$
182

 
$
83

 
$
2,915

 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2016
Loans reported as trading account assets
$
251

 
$
—

 
$
—

 
$
251

Trading inventory – other (1)
551

 
—

 
—

 
551

Loans held-for-sale (2)
10

 
493

 
57

 
560

Unfunded loan commitments
—

 
—

 
444

 
444

Long-term debt (3, 4)
(718
)
 
—

 
(77
)
 
(795
)
Other (5)
(7
)
 
—

 
(14
)
 
(21
)
Total
$
87

 
$
493

 
$
410

 
$
990

(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 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.
(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.
(5) 
Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, consumer and commercial loans, other assets, short-term borrowings, long-term deposits, and federal funds purchased and securities loaned or sold under agreements to repurchase.

 
 
 
 
 
 
 
 
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)
2017
 
2016
 
2017
 
2016
Loans reported as trading account assets
$
5

 
$
—

 
$
25

 
$
5

Consumer and commercial loans
(10
)
 
14

 
31

 
(25
)
Loans held-for-sale
(2
)
 
(10
)
 
(3
)
 
(6
)