v2.4.0.6
Derivatives (Tables)
 3 Months Ended
Mar. 31, 2013
Derivatives (Tables) [Abstract]  
Total Notional or Contractual Amounts and Fair Values for Derivatives
                 
       March 31, 2013 December 31, 2012
      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)$ 91,096   6,507 2,509  92,004  7,284 2,696
 Foreign exchange contracts  28,386   1,538 404  27,382  1,808 274
Total derivatives designated as           
 qualifying hedging instruments     8,045 2,913    9,092 2,970
Derivatives not designated as hedging instruments           
 Free-standing derivatives (economic hedges):           
  Interest rate contracts (2)  297,491   527 767  334,555  450 694
  Equity contracts  611   64 65  75  - 50
  Foreign exchange contracts  2,208   5 19  3,074  3 64
  Credit contracts - protection purchased  6   - 3  16  - -
  Other derivatives  2,234   - 52  2,296  - 78
   Subtotal     596 906    453 886
 Customer accommodation, trading and other           
  free-standing derivatives:           
  Interest rate contracts  3,056,974   54,959 56,619  2,774,783  63,617 65,305
  Commodity contracts  94,106   2,962 3,045  90,732  3,456 3,590
  Equity contracts  74,770   4,543 4,861  71,958  3,783 4,114
  Foreign exchange contracts  175,322   3,795 3,422  166,061  3,713 3,241
  Credit contracts - protection sold  24,351   311 2,307  26,455  315 2,623
  Credit contracts - protection purchased  26,651   1,277 314  29,021  1,495 329
   Subtotal     67,847 70,568    76,379 79,202
Total derivatives not designated as hedging instruments     68,443 71,474    76,832 80,088
Total derivatives before netting     76,488 74,387    85,924 83,058
Netting (3)     (59,572) (66,419)    (62,108) (71,116)
    Total   $ 16,916 7,968    23,816 11,942
                 

  • Notional amounts presented exclude $2.7 billion at March 31, 2013, and $4.7 billion at December 31, 2012, 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 balance sheet netting of derivative asset and liability balances, and related cash collateral. See the next table in this Note for further information.
Balance Sheet Offsetting of Derivative Assets and Liabilities
             
         Gross amounts   
       Gross amounts not offset in   
       offset inNet amounts inconsolidated Percent 
       consolidatedconsolidatedbalance sheet exchanged in 
      Gross amountsbalancebalance(Disclosure-only over-the-counter 
(in millions) recognized (1)sheet (2)sheet (3)netting) (4)Net amountsmarket (5) 
March 31, 2013        
Derivative assets        
 Interest rate contracts$ 61,993 (50,559) 11,434 (1,202) 10,232 92%
 Commodity contracts  2,962 (1,031) 1,931 (60) 1,871 55 
 Equity contracts  4,607 (2,287) 2,320 (24) 2,296 86 
 Foreign exchange contracts  5,338 (4,394) 944 (8) 936 100 
 Credit contracts-protection sold  311 (276) 35 - 35 98 
 Credit contracts-protection purchased  1,277 (1,025) 252 (34) 218 100 
  Total derivative assets$ 76,488 (59,572) 16,916 (1,328) 15,588  
Derivative liabilities        
 Interest rate contracts$ 59,895 (57,681) 2,214 (187) 2,027 90%
 Commodity contracts  3,045 (1,369) 1,676 (7) 1,669 76 
 Equity contracts  4,926 (2,779) 2,147 (107) 2,040 95 
 Foreign exchange contracts  3,845 (2,102) 1,743 - 1,743 100 
 Credit contracts-protection sold  2,307 (2,199) 108 - 108 100 
 Credit contracts-protection purchased  317 (289) 28 - 28 97 
 Other contracts  52 - 52 - 52 100 
  Total derivative liabilities$ 74,387 (66,419) 7,968 (301) 7,667  
December 31, 2012        
Derivative assets        
 Interest rate contracts$ 71,351 (53,708) 17,643 (2,692) 14,951 94%
 Commodity contracts  3,456 (1,080) 2,376 (27) 2,349 48 
 Equity contracts  3,783 (2,428) 1,355 - 1,355 89 
 Foreign exchange contracts  5,524 (3,449) 2,075 (105) 1,970 100 
 Credit contracts-protection sold 315 (296)19 (4) 15 100 
 Credit contracts-protection purchased  1,495 (1,147) 348 (56) 292 100 
  Total derivative assets$ 85,924 (62,108) 23,816 (2,884) 20,932  
Derivative liabilities        
 Interest rate contracts$ 68,695 (62,559) 6,136 (287) 5,849 92%
 Commodity contracts  3,590 (1,394) 2,196 - 2,196 79 
 Equity contracts  4,164 (2,618) 1,546 - 1,546 95 
 Foreign exchange contracts  3,579 (1,804) 1,775 (55) 1,720 100 
 Credit contracts-protection sold  2,623 (2,450) 173 - 173 100 
 Credit contracts-protection purchased  329 (291) 38 - 38 100 
 Other contracts  78 - 78 - 78 100 
  Total derivative liabilities$ 83,058 (71,116) 11,942 (342) 11,600  
             
(1)Includes $61.9 billion and $68.1 billion of gross derivative assets and liabilities, respectively, at March 31, 2013, and $68.9 billion and $75.8 billion, respectively, at December 31, 2012, with counterparties subject to enforceable master netting arrangements that are carried on the balance sheet net of offsetting amounts. 
(2)Represents amounts with counterparties subject to enforceable master netting arrangements that have been offset in the consolidated balance sheet, including related cash collateral and portfolio level counterparty valuation adjustments. Counterparty valuation adjustments were $288 million and $352 million related to derivative assets and $69 million and $68 million related to derivative liabilities as of March 31, 2013, and December 31, 2012, respectively. Cash collateral totaled $6.6 billion and $13.6 billion, netted against derivative assets and liabilities, respectively, at March 31, 2013, and $5.0 billion and $14.5 billion, respectively, at December 31, 2012. 
(3)Net derivative assets of $15.1 billion and $18.3 billion are classified in Trading assets as of March 31, 2013, and December 31, 2012, respectively. $1.9 billion and $5.5 billion are classified in Other assets in the consolidated balance sheet as of March 31, 2013, and December 31, 2012, respectively. Net derivative liabilities are classified in Accrued expenses and other liabilities in the consolidated balance sheet. 
(4)Represents non-cash collateral pledged and received against derivative assets and liabilities with the same counterparty that are subject to enforceable master netting arrangements. U.S. GAAP does not permit netting of such non-cash collateral balances in the consolidated balance sheet but requires disclosure of these amounts. 
(5)Calculated based on Gross amounts recognized as of the respective balance sheet date. The remaining percentage represents exchange-traded derivatives and derivatives cleared through central clearinghouses. 
             
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 held forLong-term available Long-termvalue
(in millions) for salesaledebt for saledebthedges
             
Quarter ended March 31, 2013        
Gains (losses) recorded in net interest income$ (125) 1 397  - 68 341
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  304 2 (728)  208 (773) (987)
 Recognized on hedged item  (288) (5) 688  (203) 771 963
 Recognized on fair value hedges (ineffective portion) (1)$ 16 (3) (40)  5 (2) (24)
             
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)
             

  • Includes $(3) million and $(1) million, respectively, for the quarters ended March 31, 2013 and 2012, of 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.
Net Gains (Losses) Recognized Related to Derivatives in Cash Flow Hedging Relationships
       
     Quarter ended
    March 31,
(in millions)  20132012
Gains (pre tax) recognized in OCI on derivatives$ 7 42
Gains (pre tax) reclassified from cumulative OCI into net income (1)  87 107
       
       

  • Amounts were recorded in net interest income and noninterest expense.
Net Gains (Losses) Recognized in the Income Statement Related to Derivatives not Designated as Hedging Instruments
         
       Quarter ended
       March 31,
(in millions)   2013 2012
Net gains (losses) recognized on free-standing derivatives (economic hedges):   
 Interest rate contracts    
  Recognized in noninterest income:   
   Mortgage banking (1)$ 381 (196)
   Other (2)  24 42
 Equity contracts (3)  (14) -
 Foreign exchange contracts (2)  8 (85)
 Credit contracts (2)  (4) (5)
    Subtotal  395 (244)
Net gains (losses) recognized on customer accommodation, trading and other free-standing derivatives:   
 Interest rate contracts    
  Recognized in noninterest income:   
   Mortgage banking (4)  270 1,071
   Other (5)  205 240
 Commodity contracts (5)  161 (23)
 Equity contracts (5)  (250) (285)
 Foreign exchange contracts (5)  277 129
 Credit contracts (5)  (48) 59
 Other (5)  - (1)
    Subtotal  615 1,190
Net gains recognized related to derivatives not designated as hedging instruments$ 1,010 946
         

  • 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 included in net gains (losses) from equity investments.
  • 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, 2013         
Credit default swaps on:         
 Corporate bonds$ 133 14,301 7,252  7,872 6,429 7,7252013-2021
 Structured products  1,596 2,720 2,342  954 1,766 8372016-2056
Credit protection on:         
 Default swap index  11 2,737 267  2,374 363 5252013-2018
 Commercial mortgage-         
  backed securities index  510 1,334 318  667 667 6262049-2063
 Asset-backed securities index  56 63 63  4 59 922037-2046
Other  1 3,196 3,196  29 3,167 4,9462013-2056
 Total credit derivatives$ 2,307 24,351 13,438  11,900 12,451 14,751 
              
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