v2.4.0.6
Derivatives (Tables)
 12 Months Ended
Dec. 31, 2012
Derivatives (Tables) [Abstract]  
Total Notional or Contractual Amounts and Fair Values for Derivatives
                 
             December 31,
        2012  2011
      Notional or  Fair valueNotional or Fair value
      contractual  AssetLiabilitycontractual AssetLiability
(in millions)  amount derivativesderivatives amount derivativesderivatives
Derivatives designated as hedging instruments           
 Interest rate contracts (1)$ 92,004   7,284 2,696  87,537  8,423 2,769
 Foreign exchange contracts  27,382   1,808 274  22,269  1,523 572
Total derivatives designated as           
 qualifying hedging instruments     9,092 2,970    9,946 3,341
Derivatives not designated as hedging instruments           
 Free-standing derivatives (economic hedges):           
  Interest rate contracts (2)  334,555   450 694  377,497  2,318 2,011
  Equity contracts  75   - 50  -  - -
  Foreign exchange contracts  3,074   3 64  5,833  250 3
  Credit contracts - protection purchased  16   - -  125  3 -
  Other derivatives  2,296   - 78  2,367  - 117
   Subtotal     453 886    2,571 2,131
 Customer accommodation, trading and other           
  free-standing derivatives:           
  Interest rate contracts  2,774,783   63,617 65,305  2,425,144  81,336 83,834
  Commodity contracts  90,732   3,456 3,590  77,985  4,351 4,234
  Equity contracts  71,958   3,783 4,114  68,778  3,768 3,661
  Foreign exchange contracts  166,061   3,713 3,241  140,704  3,151 2,803
  Credit contracts - protection sold  26,455   315 2,623  38,403  319 5,178
  Credit contracts - protection purchased  29,021   1,495 329  36,156  3,254 276
   Subtotal     76,379 79,202    96,179 99,986
Total derivatives not designated as hedging instruments     76,832 80,088    98,750 102,117
Total derivatives before netting     85,924 83,058    108,696 105,458
Netting (3)     (62,108) (71,116)    (81,143) (89,990)
    Total   $ 23,816 11,942    27,553 15,468
                 

  • Notional amounts presented exclude $4.7 billion at December 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, loans 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 $5.0 billion and $14.5 billion, respectively, at December 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
             
      Interest rate Foreign exchangeTotal net
      contracts hedging: contracts hedging:gains
            (losses)
      Securities Mortgages  Securities  on fair
      available heldLong-term available Long-termvalue
(in millions) for salefor saledebt for saledebthedges
             
Year ended December 31, 2012        
Gains (losses) recorded in net interest income$ (457) (4) 1,685  (5) 248 1,467
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  (22) (15) (179)  39 567 390
 Recognized on hedged item  17 6 233  (3) (610) (357)
 Recognized on fair value hedges (ineffective portion) (1)$ (5) (9) 54  36 (43) 33
             
Year ended December 31, 2011        
Gains (losses) recorded in net interest income$ (451) - 1,659  (11) 376 1,573
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  (1,298) (21) 2,796  168 512 2,157
 Recognized on hedged item  1,232 17 (2,616)  (186) (445) (1,998)
 Recognized on fair value hedges (ineffective portion) (1)$ (66) (4) 180  (18) 67 159
             

  • Included $(9) million and $53 million, respectively, for year ended December 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 derivative gains (losses) excluded from the assessment of hedge effectiveness (time value).
Net Gains (Losses) Recognized Related to Derivatives in Cash Flow Hedging Relationships
       
     Year ended
    December 31,
(in millions)  20122011
Gains (pre tax) recognized in OCI on derivatives$ 52 190
Gains (pre tax) reclassified from cumulative OCI into net income (1)  388 571
Losses (pre tax) recognized in noninterest income on derivatives (2)  (1) (5)
       
       

  • Amounts were recorded in net interest income and noninterest expense.
  • 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
         
       Year ended
       December 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)$ (1,882) 246
   Other (2)  2 (157)
 Equity contracts (2)  4 (5)
 Foreign exchange contracts (2)  (53) 70
 Credit contracts (2)  (15) (18)
    Subtotal  (1,944) 136
Net gains (losses) recognized on customer accommodation, trading and other free-standing derivatives:   
 Interest rate contracts    
  Recognized in noninterest income:   
   Mortgage banking (3)  7,222 3,594
   Other (4)  589 298
 Commodity contracts (4)  (14) 124
 Equity contracts (4)  (234) 769
 Foreign exchange contracts (4)  501 698
 Credit contracts (4)  (54) (200)
 Other (4)  - (5)
    Subtotal  8,010 5,278
Net gains recognized related to derivatives not designated as hedging instruments$ 6,066 5,414
         

  • 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
December 31, 2012         
Credit default swaps on:         
 Corporate bonds$ 240 15,845 8,448  9,636 6,209 7,7012013-2021
 Structured products  1,787 2,433 2,039  948 1,485 3932016-2056
Credit protection on:         
 Default swap index  4 3,520 348  3,444 76 6162013-2017
 Commercial mortgage-         
  backed securities index  531 1,249 861  790 459 5242049-2052
 Asset-backed securities index  57 64 64  6 58 922037-2046
Other  4 3,344 3,344  106 3,238 4,6552013-2056
 Total credit derivatives$ 2,623 26,455 15,104  14,930 11,525 13,981 
              
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
Other  11 4,632 4,090  481 4,151 4,6732012-2056
 Total credit derivatives$ 5,178 38,403 23,817  18,372 20,031 17,843