Fair Value Option (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021 and December 31, 2020, 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, 2021 and 2020.



Fair Value Option Elections

	March 31, 2021						December 31, 2020
(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	$	153,387	$	153,358	$	29	$	108,856	$	108,811	$	45
Loans reported as trading account assets (1)	8,213		16,630		(8,417)		7,967		17,372		(9,405)
Trading inventory – other	21,710		n/a		n/a		22,790		n/a		n/a
Consumer and commercial loans	7,003		7,059		(56)		6,681		6,778		(97)
Loans held-for-sale (1)	1,680		2,571		(891)		1,585		2,521		(936)

Other assets	172		n/a		n/a		200		n/a		n/a
Long-term deposits	504		488		16		481		448		33
Federal funds purchased and securities loaned or sold under agreements to repurchase	154,865		154,873		(8)		135,391		135,390		1
Short-term borrowings	4,503		4,286		217		5,874		5,178		696
Unfunded loan commitments	91		n/a		n/a		99		n/a		n/a

Long-term debt	30,514		31,683		(1,169)		32,200		33,470		(1,270)

(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.

n/a = not applicable



Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option

	Three Months Ended March 31
	2021						2020
(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	$	112	$	—	$	112	$	(387)	$	—	$	(387)
Trading inventory – other (1)	(730)		—		(730)		(2,793)		—		(2,793)
Consumer and commercial loans	71		19		90		(83)		(358)		(441)





Short-term borrowings	413		—		413		517		—		517
Unfunded loan commitments	—		5		5		—		(116)		(116)

Long-term debt (2)	386		(16)		370		916		(16)		900
Other (3)	12		10		22		13		(51)		(38)
Total	$	264	$	18	$	282	$	(1,817)	$	(541)	$	(2,358)

(1) The gains (losses) in market making and similar activities are primarily offset by (losses) gains on trading liabilities that hedge these assets.

(2) The net gains in market making and similar activities relate to the embedded derivatives in structured liabilities and are typically offset by losses 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 12 – Accumulated Other Comprehensive Income (Loss). For more 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 2020 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 and Liabilities Accounted for Under the Fair Value Option

	Three Months Ended March 31
(Dollars in millions)		2021		2020
Loans reported as trading account assets		$	66	$	(389)
Consumer and commercial loans		13		(349)
Loans held-for-sale		(6)		(74)
Unfunded loan commitments		5		(116)