XML 47 R35.htm IDEA: XBRL DOCUMENT v3.8.0.1
Fair Value Option (Tables)
9 Months Ended
Sep. 30, 2017
Fair Value Option [Abstract]  
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).