| Fair Value Option |
Fair Value Option
The Corporation elects to account for certain financial instruments under the fair value option. For more information on the primary financial instruments for which the fair value option elections have been made, see Note 22 – Fair Value Option to the Consolidated Financial Statements of the Corporation’s 2019 Annual Report on Form 10-K. 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, 2020 and December 31, 2019, 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, 2020 and 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Option Elections |
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2020 |
|
December 31, 2019 |
(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 |
$ |
49,033 |
|
|
$ |
49,016 |
|
|
$ |
17 |
|
|
$ |
50,364 |
|
|
$ |
50,318 |
|
|
$ |
46 |
|
Loans reported as trading account assets (1)
|
7,652 |
|
|
16,542 |
|
|
(8,890 |
) |
|
6,989 |
|
|
14,703 |
|
|
(7,714 |
) |
Trading inventory – other |
16,780 |
|
|
n/a |
|
|
n/a |
|
|
19,574 |
|
|
n/a |
|
|
n/a |
|
Consumer and commercial loans |
9,016 |
|
|
9,358 |
|
|
(342 |
) |
|
8,335 |
|
|
8,372 |
|
|
(37 |
) |
Loans held-for-sale (1)
|
3,609 |
|
|
4,564 |
|
|
(955 |
) |
|
3,709 |
|
|
4,879 |
|
|
(1,170 |
) |
Other assets |
4 |
|
|
n/a |
|
|
n/a |
|
|
4 |
|
|
n/a |
|
|
n/a |
|
Long-term deposits |
589 |
|
|
541 |
|
|
48 |
|
|
508 |
|
|
496 |
|
|
12 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
17,192 |
|
|
17,184 |
|
|
8 |
|
|
16,008 |
|
|
16,029 |
|
|
(21 |
) |
Short-term borrowings |
3,020 |
|
|
3,265 |
|
|
(245 |
) |
|
3,941 |
|
|
3,930 |
|
|
11 |
|
Unfunded loan commitments |
207 |
|
|
n/a |
|
|
n/a |
|
|
90 |
|
|
n/a |
|
|
n/a |
|
Long-term debt (2)
|
32,163 |
|
|
35,714 |
|
|
(3,551 |
) |
|
34,975 |
|
|
35,730 |
|
|
(755 |
) |
|
|
(1) |
A significant portion of the loans reported as trading account assets and LHFS 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. |
|
|
(2) |
Includes structured liabilities with a fair value of $31.8 billion and $34.6 billion at March 31, 2020 and December 31, 2019, and contractual principal outstanding of $35.3 billion at both periods.
|
n/a = not applicable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option |
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31 |
|
2020 |
|
2019 |
(Dollars in millions) |
Market making and similar activities |
|
Other
Income
|
|
Total |
|
Market making and similar activities |
|
Other
Income
|
|
Total |
Loans reported as trading account assets |
$ |
(387 |
) |
|
$ |
— |
|
|
$ |
(387 |
) |
|
$ |
91 |
|
|
$ |
— |
|
|
$ |
91 |
|
Trading inventory – other (1)
|
(2,793 |
) |
|
— |
|
|
(2,793 |
) |
|
2,544 |
|
|
— |
|
|
2,544 |
|
Consumer and commercial loans |
(83 |
) |
|
(358 |
) |
|
(441 |
) |
|
1 |
|
|
18 |
|
|
19 |
|
Short-term borrowings |
517 |
|
|
— |
|
|
517 |
|
|
— |
|
|
— |
|
|
— |
|
Unfunded loan commitments |
— |
|
|
(116 |
) |
|
(116 |
) |
|
— |
|
|
63 |
|
|
63 |
|
Long-term debt (2)
|
916 |
|
|
(16 |
) |
|
900 |
|
|
(1,080 |
) |
|
(23 |
) |
|
(1,103 |
) |
Other (3)
|
13 |
|
|
(51 |
) |
|
(38 |
) |
|
11 |
|
|
23 |
|
|
34 |
|
Total |
$ |
(1,817 |
) |
|
$ |
(541 |
) |
|
$ |
(2,358 |
) |
|
$ |
1,567 |
|
|
$ |
81 |
|
|
$ |
1,648 |
|
|
|
(1) |
The gains in market making and similar activities are primarily offset by losses on trading liabilities that hedge these assets. |
|
|
(2) |
The net gains (losses) in market making and similar activities relate to the embedded derivatives in structured liabilities and are typically offset by (losses) gains on derivatives and securities that hedge these liabilities. For the cumulative impact of changes in the Corporation’s own credit spreads and the amount recognized in accumulated OCI, see Note 13 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation’s own credit spread is determined, see Note 21 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2019 Annual Report on Form 10-K.
|
|
|
(3) |
Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, LHFS, 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 March 31 |
(Dollars in millions) |
2020 |
|
2019 |
Loans reported as trading account assets |
$ |
(389 |
) |
|
$ |
12 |
|
Consumer and commercial loans |
(349 |
) |
|
19 |
|
Loans held-for-sale |
(74 |
) |
|
11 |
|
Unfunded loan commitments |
(116 |
) |
|
63 |
|
|