| 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, 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 and nine months ended September 30, 2018 and 2017.
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Fair Value Option Elections |
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September 30, 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 |
$ |
52,524 |
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$ |
52,498 |
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$ |
26 |
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$ |
52,906 |
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$ |
52,907 |
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$ |
(1 |
) |
Loans reported as trading account assets (1)
|
5,538 |
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|
12,414 |
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(6,876 |
) |
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5,735 |
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11,804 |
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(6,069 |
) |
Trading inventory – other |
15,676 |
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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 |
5,731 |
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5,776 |
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(45 |
) |
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5,710 |
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5,744 |
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(34 |
) |
Loans held-for-sale (1)
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3,116 |
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4,375 |
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(1,259 |
) |
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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 |
529 |
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496 |
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33 |
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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 |
34,242 |
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34,252 |
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(10 |
) |
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36,182 |
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36,187 |
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(5 |
) |
Short-term borrowings |
1,789 |
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1,789 |
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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 |
70 |
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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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28,677 |
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29,265 |
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(588 |
) |
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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 and loans held-for-sale are distressed loans that 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 $28.3 billion and $31.4 billion, and contractual principal outstanding of $28.9 billion and $31.1 billion at September 30, 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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Trading Account Profits |
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Other
Income |
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Total |
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Trading Account Profits |
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Other
Income |
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Total |
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Three Months Ended September 30 |
(Dollars in millions) |
2018 |
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2017 |
Loans reported as trading account assets |
$ |
74 |
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$ |
— |
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$ |
74 |
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$ |
75 |
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$ |
— |
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$ |
75 |
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Trading inventory – other (1)
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1,693 |
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— |
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1,693 |
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1,217 |
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— |
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1,217 |
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Consumer and commercial loans |
176 |
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8 |
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184 |
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10 |
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(4 |
) |
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6 |
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Loans held-for-sale (2)
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— |
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8 |
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8 |
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— |
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92 |
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92 |
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Long-term debt (3, 4)
|
143 |
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(19 |
) |
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124 |
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(416 |
) |
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(38 |
) |
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(454 |
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Other (5)
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2 |
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52 |
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54 |
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(7 |
) |
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22 |
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15 |
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Total |
$ |
2,088 |
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$ |
49 |
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$ |
2,137 |
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$ |
879 |
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$ |
72 |
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$ |
951 |
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Nine Months Ended September 30 |
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2018 |
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2017 |
Loans reported as trading account assets |
$ |
145 |
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$ |
— |
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$ |
145 |
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$ |
272 |
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$ |
— |
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$ |
272 |
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Trading inventory – other (1)
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3,649 |
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— |
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3,649 |
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2,890 |
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— |
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2,890 |
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Consumer and commercial loans |
301 |
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(24 |
) |
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277 |
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19 |
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35 |
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54 |
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Loans held-for-sale (2)
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1 |
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12 |
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13 |
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— |
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275 |
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275 |
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Long-term debt (3, 4)
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1,497 |
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(75 |
) |
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1,422 |
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(471 |
) |
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(109 |
) |
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(580 |
) |
Other (5)
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15 |
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75 |
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90 |
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(60 |
) |
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64 |
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4 |
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Total |
$ |
5,608 |
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$ |
(12 |
) |
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$ |
5,596 |
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$ |
2,650 |
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$ |
265 |
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$ |
2,915 |
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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 September 30 |
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Nine Months Ended September 30 |
(Dollars in millions) |
2018 |
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2017 |
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2018 |
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2017 |
Loans reported as trading account assets |
$ |
36 |
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$ |
5 |
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$ |
47 |
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$ |
25 |
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Consumer and commercial loans |
8 |
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(10 |
) |
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(19 |
) |
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31 |
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Loans held-for-sale |
5 |
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(2 |
) |
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6 |
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(3 |
) |
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