v2.4.0.6
Derivatives (Tables)
 3 Months Ended
Mar. 31, 2012
Derivatives (Tables) [Abstract]  
Total Notional or Contractual Amounts and Fair Values for Derivatives
               
       March 31, 2012 December 31, 2011
      Notional or Fair valueNotional orFair value
      contractual AssetLiabilitycontractualAssetLiability
(in millions)  amountderivativesderivatives amountderivativesderivatives
Derivatives designated as hedging instruments         
 Interest rate contracts (1)$ 93,735  7,406 2,452  87,537 8,423 2,769
 Foreign exchange contracts  24,230  1,719 134  22,269 1,523 572
Total derivatives designated as         
 qualifying hedging instruments    9,125 2,586   9,946 3,341
Derivatives not designated as hedging instruments         
 Free-standing derivatives (economic hedges):         
  Interest rate contracts (2)  442,501  787 1,160  377,497 2,318 2,011
  Foreign exchange contracts  3,341  3 30  5,833 250 3
  Credit contracts - protection purchased  105  1 -  125 3 -
  Other derivatives  2,408  1 67  2,367 - 117
   Subtotal    792 1,257   2,571 2,131
 Customer accommodation, trading and other         
  free-standing derivatives:         
  Interest rate contracts  2,796,580  73,351 75,117  2,425,144 81,336 83,834
  Commodity contracts  83,757  4,728 4,587  77,985 4,351 4,234
  Equity contracts  74,008  4,081 4,147  68,778 3,768 3,661
  Foreign exchange contracts  171,535  3,133 2,834  140,704 3,151 2,803
  Credit contracts - protection sold  35,753  423 4,209  38,403 319 5,178
  Credit contracts - protection purchased  34,324  2,486 363  36,156 3,254 276
   Subtotal    88,202 91,257   96,179 99,986
Total derivatives not designated as hedging instruments    88,994 92,514   98,750 102,117
Total derivatives before netting    98,119 95,100   108,696 105,458
Netting (3)    (73,643) (81,198)   (81,143) (89,990)
    Total  $ 24,476 13,902   27,553 15,468
               

  • Notional amounts presented exclude $8.0 billion at March 31, 2012, and $15.5 billion at December 31, 2011, of basis swaps that are combined with receive fixed-rate/pay floating-rate swaps and designated as one hedging instrument.
  • Includes free-standing derivatives (economic hedges) used to hedge the risk of changes in the fair value of residential MSRs, MHFS, and other interests held.
  • Represents netting of derivative asset and liability balances, and related cash collateral, with the same counterparty subject to master netting arrangements. The amount of cash collateral netted against derivative assets and liabilities was $6.5 billion and $14.6 billion, respectively, at March 31, 2012, and $6.6 billion and $15.4 billion, respectively, at December 31, 2011.
Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships
             
            Total net
      Interest rate Foreign exchangegains
     contracts hedging: contracts hedging:(losses)
      Securities Mortgages  Securities  on fair
      available held forLong-term available Long-termvalue
(in millions) for salesaledebt for saledebthedges
             
Quarter ended March 31, 2012        
Gains (losses) recorded in net interest income$ (112) - 419  (3) 71 375
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  302 5 (868)  41 566 46
 Recognized on hedged item  (296) (6) 802  (14) (648) (162)
 Recognized on fair value hedges (ineffective portion) (1)$ 6 (1) (66)  27 (82) (116)
             
Quarter ended March 31, 2011        
Gains (losses) recorded in net interest income$ (106) - 414  (1) 90 397
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  169 - (645)  35 1,080 639
 Recognized on hedged item  (237) - 622  (33) (1,117) (765)
 Recognized on fair value hedges (ineffective portion) (1)$ (68) - (23)  2 (37) (126)
             

  • Includes $(1) million and $8 million, respectively, for the quarters ended March 31, 2012 and 2011, of gains (losses) on forward derivatives hedging foreign currency securities available for sale and long-term debt, representing the portion of derivatives gains (losses) excluded from the assessment of hedge effectiveness (time value).
Net Gains (Losses) Recognized Related to Derivatives in Cash Flow Hedging Relationships
       
     Quarter ended
    March 31,
(in millions)  20122011
Gains (losses) (pre tax) recognized in OCI on derivatives$ 42 (4)
Gains (pre tax) reclassified from cumulative OCI into net interest income  107 156
Gains (losses) (pre tax) recognized in noninterest income on derivatives (1)  - (2)
       
       

  • None of the change in value of the derivatives was excluded from the assessment of hedge effectiveness.
Net Gains (Losses) Recognized in the Income Statement Related to Derivatives not Designated as Hedging Instruments
         
       Quarter ended
       March 31,
(in millions)   2012 2011
Net gains (losses) recognized on free-standing derivatives (economic hedges):   
 Interest rate contracts   
  Recognized in noninterest income:   
   Mortgage banking (1)$ (196) 53
   Other (2)  42 11
 Foreign exchange contracts (2)  (85) (264)
 Credit contracts (2)  (5) (5)
    Subtotal  (244) (205)
Net gains (losses) recognized on customer accommodation, trading and other free-standing derivatives:   
 Interest rate contracts   
  Recognized in noninterest income:   
   Mortgage banking (3)  1,071 400
   Other (4)  240 196
 Commodity contracts (4)  (23) (15)
 Equity contracts (4)  (285) (162)
 Foreign exchange contracts (4)  129 182
 Credit contracts (4)  59 (47)
 Other (4)  (1) 7
    Subtotal  1,190 561
Net gains recognized related to derivatives not designated as hedging instruments$ 946 356
         

  • Predominantly mortgage banking noninterest income including gains (losses) on the derivatives used as economic hedges of MSRs measured at fair value, interest rate lock commitments and mortgages held for sale.
  • Predominantly included in other noninterest income.
  • Predominantly mortgage banking noninterest income including gains (losses) on interest rate lock commitments.
  • Predominantly included in net gains from trading activities in noninterest income.

 
Details of Sold and Purchased Credit Derivatives
              
       Notional amount 
        Protection Protection   
        sold -  purchasedNet  
        non- withprotectionOther 
      Fair valueProtectioninvestment identicalsoldprotectionRange of
(in millions) liabilitysold (A)gradeunderlyings (B)(A) - (B)purchasedmaturities
March 31, 2012         
Credit default swaps on:         
 Corporate bonds$ 561 22,189 12,459  12,565 9,624 8,5002012-2021
 Structured products  2,924 4,590 4,162  2,065 2,525 1,0652016-2056
Credit protection on:         
 Default swap index  31 3,368 927  2,821 547 9802012-2017
 Commercial mortgage-         
  backed securities index  615 1,277 453  129 1,148 1,4252049-2052
 Asset-backed securities index  70 81 81  6 75 1152037-2046
Loan deliverable credit default swaps  1 417 417  318 99 1602012-2016
Other  7 3,831 3,320  215 3,616 4,0582012-2056
 Total credit derivatives$ 4,209 35,753 21,819  18,119 17,634 16,303 
              
December 31, 2011         
Credit default swaps on:         
 Corporate bonds$ 1,002 24,634 14,043  13,329 11,305 9,4042012-2021
 Structured products  3,308 4,691 4,300  2,194 2,497 1,3352016-2056
Credit protection on:         
 Default swap index  68 3,006 843  2,341 665 9122012-2017
 Commercial mortgage-backed securities index  713 1,357 458  19 1,338 1,4032049-2052
 Asset-backed securities index  76 83 83  8 75 1162037-2046
Loan deliverable credit default swaps  2 460 453  355 105 2512012-2016
Other  9 4,172 3,637  126 4,046 4,4222012-2056
 Total credit derivatives$ 5,178 38,403 23,817  18,372 20,031 17,843