Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2017

Fair Value, Option, Quantitative Disclosures

The following table summarizes the fair value and unpaid principal balance for items we account for under FVO:



	Fair Value		Unpaid Principal Balance		Fair Value over (under) Unpaid Principal Balance
	(in millions)
At September 30, 2017
Commercial loans held for sale	$	375	$	384	$	(9	)
Securities purchased under resale agreements	1,309		1,303		6
Securities sold under repurchase agreements	3,609		3,609		—
Fixed rate long-term debt	2,162		1,750		412
Hybrid instruments:
Structured deposits	7,628		7,682		(54		)
Structured notes	10,196		9,201		995
At December 31, 2016
Commercial loans held for sale	$	725	$	728	$	(3	)
Securities purchased under resale agreements	770		767		3
Securities sold under repurchase agreements	2,672		2,670		2
Fixed rate long-term debt	2,012		1,750		262
Hybrid instruments:
Structured deposits	7,526		7,881		(355		)
Structured notes	8,372		8,067		305

Components of Gain on Instruments at Fair Value and Related Derivatives

The following table summarizes the components of gain (loss) on instruments designated at fair value and related derivatives reflected in the consolidated statement of income for the three and nine months ended September 30, 2017 and 2016:



	Loans			Securities Purchased Under Resale Agreements			Securities Sold Under Repurchase Agreements		Long-Term Debt			Hybrid Instruments			Total
	(in millions)
Three Months Ended September 30, 2017
Interest rate and other components⁽¹⁾	$	—		$	(1	)	$	—	$	—		$	(355	)	$	(356	)
Credit risk component⁽²⁾	(1		)	—			—		—			—			(1		)
Total mark-to-market on financial instruments designated at fair value	(1		)	(1		)	—		—			(355		)	(357		)
Mark-to-market on the related derivatives	—			—			—		(6		)	354			348
Net realized gain on the related long-term debt derivatives	—			—			—		16			—			16
Gain (loss) on instruments designated at fair value and related derivatives	$	(1	)	$	(1	)	$	—	$	10		$	(1	)	$	7

Three Months Ended September 30, 2016
Interest rate and other components⁽¹⁾	$	—		$	(4	)	$	1	$	(5	)	$	(220	)	$	(228	)
Credit risk component	6			—			—		5			(65		)	(54		)
Total mark-to-market on financial instruments designated at fair value	6			(4		)	1		—			(285		)	(282		)
Mark-to-market on the related derivatives	—			—			—		(10		)	188			178
Net realized gain on the related long-term debt derivatives	—			—			—		16			—			16
Gain (loss) on instruments designated at fair value and related derivatives	$	6		$	(4	)	$	1	$	6		$	(97	)	$	(88	)

Nine Months Ended September 30, 2017
Interest rate and other components⁽¹⁾	$	—		$	6		$	3	$	(7	)	$	(922	)	$	(920	)
Credit risk component⁽²⁾	(3		)	—			—		—			—			(3		)
Total mark-to-market on financial instruments designated at fair value	(3		)	6			3		(7		)	(922		)	(923		)
Mark-to-market on the related derivatives	—			—			—		(13		)	931			918
Net realized gain on the related long-term debt derivatives	—			—			—		45			—			45
Gain (loss) on instruments designated at fair value and related derivatives	$	(3	)	$	6		$	3	$	25		$	9		$	40

Nine Months Ended September 30, 2016
Interest rate and other components⁽¹⁾	$	—		$	1		$	2	$	(202	)	$	(382	)	$	(581	)
Credit risk component	6			—			—		113			(19		)	100
Total mark-to-market on financial instruments designated at fair value	6			1			2		(89		)	(401		)	(481		)
Mark-to-market on the related derivatives	—			—			—		184			339			523
Net realized gain on the related long-term debt derivatives	—			—			—		48			—			48
Gain (loss) on instruments designated at fair value and related derivatives	$	6		$	1		$	2	$	143		$	(62	)	$	90


⁽¹⁾	As it relates to hybrid instruments, interest rate and other components primarily includes interest rate, foreign exchange and equity contract risks.


⁽²⁾	As discussed more fully in Note 20, "New Accounting Pronouncements," beginning January 1, 2017, the fair value movement on fair value option liabilities attributable to our own credit spread is recorded in common equity as a component of other comprehensive income (loss).

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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