| 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 March 31, 2018 and December 31, 2017, 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 months ended March 31, 2018 and 2017.
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Fair Value Option Elections |
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March 31, 2018 |
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December 31, 2017 |
(Dollars in millions) |
Fair Value Carrying Amount |
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Contractual Principal Outstanding |
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Fair Value Carrying Amount Less Unpaid Principal |
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Fair Value Carrying Amount |
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Contractual Principal Outstanding |
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Fair Value Carrying Amount Less Unpaid Principal |
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
68,556 |
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$ |
68,539 |
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$ |
17 |
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$ |
52,906 |
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$ |
52,907 |
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$ |
(1 |
) |
Loans reported as trading account assets (1)
|
5,939 |
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13,419 |
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(7,480 |
) |
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5,735 |
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11,804 |
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(6,069 |
) |
Trading inventory – other |
12,622 |
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n/a |
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n/a |
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12,027 |
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n/a |
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n/a |
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Consumer and commercial loans |
5,989 |
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6,026 |
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(37 |
) |
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5,710 |
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5,744 |
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(34 |
) |
Loans held-for-sale |
3,091 |
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4,639 |
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(1,548 |
) |
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2,156 |
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3,717 |
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(1,561 |
) |
Other assets |
3 |
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n/a |
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n/a |
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3 |
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n/a |
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n/a |
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Long-term deposits |
435 |
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414 |
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21 |
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449 |
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421 |
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28 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
35,116 |
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35,127 |
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(11 |
) |
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36,182 |
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36,187 |
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(5 |
) |
Short-term borrowings |
2,284 |
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2,284 |
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— |
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1,494 |
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1,494 |
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— |
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Unfunded loan commitments |
120 |
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n/a |
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n/a |
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120 |
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n/a |
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n/a |
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Long-term debt (2)
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30,062 |
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30,381 |
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(319 |
) |
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31,786 |
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31,512 |
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274 |
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(1) |
A significant portion of the loans reported as trading account assets are distressed loans that 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 $29.7 billion and $31.4 billion, and contractual principal outstanding of $30.0 billion and $31.1 billion at March 31, 2018 and December 31, 2017.
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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 March 31, 2018 |
(Dollars in millions) |
Trading
Account
Profits
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Other
Income
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Total |
Loans reported as trading account assets |
$ |
103 |
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$ |
— |
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$ |
103 |
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Trading inventory – other (1)
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595 |
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— |
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595 |
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Consumer and commercial loans |
106 |
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(21 |
) |
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85 |
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Loans held-for-sale (2)
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1 |
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— |
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1 |
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Long-term debt (3, 4)
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819 |
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(41 |
) |
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778 |
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Other (5)
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7 |
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8 |
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15 |
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Total |
$ |
1,631 |
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$ |
(54 |
) |
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$ |
1,577 |
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Three Months Ended March 31, 2017 |
Loans reported as trading account assets |
$ |
150 |
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$ |
— |
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$ |
150 |
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Trading inventory – other (1)
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1,151 |
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— |
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1,151 |
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Consumer and commercial loans |
5 |
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19 |
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24 |
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Loans held-for-sale (2)
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1 |
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84 |
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85 |
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Long-term debt (3, 4)
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(162 |
) |
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(37 |
) |
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(199 |
) |
Other (5)
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(58 |
) |
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43 |
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(15 |
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Total |
$ |
1,087 |
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$ |
109 |
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$ |
1,196 |
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(1) |
The gains in trading account profits are primarily offset by 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 derivatives 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 accumulated OCI, see Note 12 – Accumulated Other Comprehensive Income (Loss). For additional 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 2017 Annual Report on Form 10-K.
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(5) |
Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, long-term deposits, federal funds purchased and securities loaned or sold under agreements to repurchase, short-term borrowings and unfunded loan commitments. |
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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 March 31 |
(Dollars in millions) |
2018 |
|
2017 |
Loans reported as trading account assets |
$ |
13 |
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$ |
13 |
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Consumer and commercial loans |
(17 |
) |
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19 |
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Loans held-for-sale |
(3 |
) |
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— |
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