Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024 and December 31, 2023, 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, 2024 and 2023.



Fair Value Option Elections

	September 30, 2024						December 31, 2023
(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	$	176,229	$	176,255	$	(26)	$	133,053	$	133,001	$	52
Loans reported as trading account assets (1)	9,565		15,991		(6,426)		8,377		15,580		(7,203)
Trading inventory – other	13,731		n/a		n/a		25,282		n/a		n/a
Consumer and commercial loans	4,172		4,049		123		3,569		3,618		(49)
Loans held-for-sale (1)	3,141		3,784		(643)		2,059		2,873		(814)

Other assets	3,289		n/a		n/a		1,986		n/a		n/a
Long-term deposits	443		509		(66)		284		267		17
Federal funds purchased and securities loaned or sold under agreements to repurchase	243,431		243,436		(5)		178,609		178,634		(25)
Short-term borrowings	6,478		6,501		(23)		4,690		4,694		(4)
Unfunded loan commitments	66		n/a		n/a		67		n/a		n/a
Accrued expenses and other liabilities	2,066		2,201		(135)		1,341		1,347		(6)
Long-term debt	53,554		55,209		(1,655)		42,809		46,707		(3,898)

(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
	2024						2023
(Dollars in millions)	Market making and similar activities		Other Income		Total		Market making and similar activities		Other Income		Total

Federal funds sold and securities borrowed or purchased under agreements to resell	$	169	$	(2)	$	167	$	45	$	(4)	$	41
Loans reported as trading account assets	72		40		112		58		—		58
Trading inventory – other (1)	539		—		539		(900)		—		(900)
Consumer and commercial loans	30		7		37		(50)		15		(35)
Loans held-for-sale (2)	—		23		23		—		(38)		(38)




Short-term borrowings	231		—		231		(1)		—		(1)
Unfunded loan commitments	—		7		7		(1)		7		6
Accrued expenses and other liabilities	13		—		13		197		—		197
Long-term debt (3)	(877)		(4)		(881)		863		(4)		859
Other (4)	(108)		(9)		(117)		(7)		3		(4)
Total	$	69	$	62	$	131	$	204	$	(21)	$	183

















	Nine Months Ended September 30
	2024						2023
Federal funds sold and securities borrowed or purchased under agreements to resell	$	277	$	(6)	$	271	$	27	$	(12)	$	15
Loans reported as trading account assets	77		40		117		208		—		208
Trading inventory – other (1)	1,320		—		1,320		2,065		—		2,065
Consumer and commercial loans	86		26		112		(189)		56		(133)
Loans held-for-sale (2)	—		6		6		—		(22)		(22)




Short-term borrowings	304		—		304		10		—		10
Unfunded loan commitments	—		(13)		(13)		(1)		27		26
Accrued expenses and other liabilities	411		—		411		246		—		246
Long-term debt (3)	(610)		(24)		(634)		361		(27)		334
Other (4)	(192)		(16)		(208)		46		—		46
Total	$	1,673	$	13	$	1,686	$	2,773	$	22	$	2,795

(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 2023 Annual Report on Form 10-K.

(4) Includes gains (losses) on 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)	2024		2023		2024		2023
Loans reported as trading account assets	$	48	$	19	$	(16)	$	55
Consumer and commercial loans	7		5		23		41
Loans held-for-sale	7		(17)		6		(17)
Unfunded loan commitments	7		7		(13)		27
Long-term debt	—		—		(3)		—