Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023 and December 31, 2022, 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, 2023 and 2022.



Fair Value Option Elections

	September 30, 2023						December 31, 2022
(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	$	170,332	$	170,323	$	9	$	146,999	$	147,158	$	(159)
Loans reported as trading account assets (1)	8,562		15,975		(7,413)		10,143		17,682		(7,539)
Trading inventory – other	22,967		n/a		n/a		20,770		n/a		n/a
Consumer and commercial loans	4,250		4,317		(67)		5,771		5,897		(126)
Loans held-for-sale (1)	1,607		2,365		(758)		1,115		1,873		(758)

Other assets	1,271		n/a		n/a		620		n/a		n/a
Long-term deposits	404		488		(84)		311		381		(70)
Federal funds purchased and securities loaned or sold under agreements to repurchase	209,837		209,914		(77)		151,708		151,885		(177)
Short-term borrowings	4,046		4,065		(19)		832		833		(1)
Unfunded loan commitments	62		n/a		n/a		110		n/a		n/a
Accrued expenses and other liabilities	1,645		1,894		(249)		1,217		1,161		56
Long-term debt	39,443		45,504		(6,061)		33,070		36,830		(3,760)

(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
	2023						2022
(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	$	58	$	—	$	58	$	(62)	$	—	$	(62)
Trading inventory – other (1)	(900)		—		(900)		(2,141)		—		(2,141)
Consumer and commercial loans	(50)		15		(35)		(16)		25		9
Loans held-for-sale (2)	—		(38)		(38)		—		(86)		(86)




Short-term borrowings	(1)		—		(1)		81		—		81
Unfunded loan commitments	(1)		7		6		—		27		27
Accrued expenses and other liabilities	197		—		197		—		—		—
Long-term debt (3)	863		(4)		859		1,562		(16)		1,546
Other (4)	38		(1)		37		12		(1)		11
Total	$	204	$	(21)	$	183	$	(564)	$	(51)	$	(615)

	Nine Months Ended September 30
	2023						2022

Loans reported as trading account assets	$	208	$	—	$	208	$	(211)	$	—	$	(211)
Trading inventory – other (1)	2,065		—		2,065		(4,269)		—		(4,269)
Consumer and commercial loans	(189)		56		(133)		(86)		(53)		(139)
Loans held-for-sale (2)	—		(22)		(22)		—		(308)		(308)




Short-term borrowings	10		—		10		643		—		643
Unfunded loan commitments	(1)		27		26		—		(61)		(61)
Accrued expenses and other liabilities	246		—		246		—		—		—
Long-term debt (3)	361		(27)		334		5,049		(36)		5,013
Other (4)	73		(12)		61		6		23		29
Total	$	2,773	$	22	$	2,795	$	1,132	$	(435)	$	697

(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 2022 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)	2023		2022		2023		2022
Loans reported as trading account assets	$	19	$	(123)	$	55	$	(434)
Consumer and commercial loans	5		19		41		(72)
Loans held-for-sale	(17)		(3)		(17)		(14)
Unfunded loan commitments	7		27		27		(61)