Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022 and December 31, 2021, 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, 2022 and 2021.



Fair Value Option Elections

	September 30, 2022						December 31, 2021
(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	$	165,521	$	165,673	$	(152)	$	150,665	$	150,677	$	(12)
Loans reported as trading account assets (1)	10,100		17,358		(7,258)		10,864		18,895		(8,031)
Trading inventory – other	16,910		n/a		n/a		21,986		n/a		n/a
Consumer and commercial loans	4,851		4,988		(137)		7,819		7,888		(69)
Loans held-for-sale (1)	2,395		3,100		(705)		4,455		5,343		(888)

Other assets	560		n/a		n/a		544		n/a		n/a
Long-term deposits	453		509		(56)		408		401		7
Federal funds purchased and securities loaned or sold under agreements to repurchase	165,390		165,228		162		139,641		139,682		(41)
Short-term borrowings	1,993		1,797		196		4,279		4,127		152
Unfunded loan commitments	200		n/a		n/a		97		n/a		n/a

Long-term debt	27,531		33,867		(6,336)		29,708		30,903		(1,195)

(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) Related to Assets and Liabilities Accounted for Under the Fair Value Option

	Three Months Ended September 30
	2022						2021
(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	$	(62)	$	—	$	(62)	$	5	$	—	$	5
Trading inventory – other (1)	(2,141)		—		(2,141)		(1,155)		—		(1,155)
Consumer and commercial loans	(16)		25		9		(56)		(11)		(67)
Loans held-for-sale (2)	—		(86)		(86)		—		53		53




Short-term borrowings	81		—		81		548		—		548
Unfunded loan commitments	—		27		27		—		8		8

Long-term debt (3)	1,562		(16)		1,546		225		(9)		216
Other (4)	12		(1)		11		7		—		7
Total	$	(564)	$	(51)	$	(615)	$	(426)	$	41	$	(385)


















	Nine Months Ended September 30
	2022						2021

Loans reported as trading account assets	$	(211)	$	—	$	(211)	$	288	$	—	$	288
Trading inventory – other (1)	(4,269)		—		(4,269)		419		—		419
Consumer and commercial loans	(86)		(53)		(139)		58		34		92
Loans held-for-sale (2)	—		(308)		(308)		—		64		64




Short-term borrowings	643		—		643		1,022		—		1,022
Unfunded loan commitments	—		(61)		(61)		—		2		2

Long-term debt (3)	5,049		(36)		5,013		(436)		(33)		(469)
Other (4)	6		23		29		18		(24)		(6)
Total	$	1,132	$	(435)	$	697	$	1,369	$	43	$	1,412

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

(2) Includes the value of IRLCs on funded loans, including those sold during the period.

(3) 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 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 2021 Annual Report on Form 10-K.

(4) Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, other assets, 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 September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Loans reported as trading account assets	$	(123)	$	(21)	$	(434)	$	166
Consumer and commercial loans	19		(22)		(72)		10
Loans held-for-sale	(3)		37		(14)		35
Unfunded loan commitments	27		8		(61)		2