v2.4.0.8
Derivatives (Tables)
 6 Months Ended
Jun. 30, 2013
Derivatives (Tables) [Abstract]  
Total Notional or Contractual Amounts and Fair Values for Derivatives
                 
       June 30, 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)$ 92,977   5,460 2,372  92,004  7,284 2,696
 Foreign exchange contracts  28,260   1,158 740  27,382  1,808 274
Total derivatives designated as           
 qualifying hedging instruments     6,618 3,112    9,092 2,970
Derivatives not designated as hedging instruments           
 Free-standing derivatives (economic hedges):           
  Interest rate contracts (2)  285,161   3,554 2,819  334,555  450 694
  Equity contracts  1,621   183 64  75  - 50
  Foreign exchange contracts  4,353   28 38  3,074  3 64
  Credit contracts - protection purchased  2   - 1  16  - -
  Other derivatives  2,212   - 36  2,296  - 78
   Subtotal     3,765 2,958    453 886
 Customer accommodation, trading and other           
  free-standing derivatives:           
  Interest rate contracts  3,092,710   52,798 55,248  2,774,783  63,617 65,305
  Commodity contracts  97,725   3,024 3,068  90,732  3,456 3,590
  Equity contracts  77,978   5,019 5,045  71,958  3,783 4,114
  Foreign exchange contracts  193,143   3,664 3,374  166,061  3,713 3,241
  Credit contracts - protection sold  22,527   289 2,040  26,455  315 2,623
  Credit contracts - protection purchased  26,237   1,244 309  29,021  1,495 329
  Other derivatives  241   - -  -  - -
   Subtotal     66,038 69,084    76,379 79,202
Total derivatives not designated as hedging instruments     69,803 72,042    76,832 80,088
Total derivatives before netting     76,421 75,154    85,924 83,058
Netting (3)     (58,551) (63,998)    (62,108) (71,116)
    Total   $ 17,870 11,156    23,816 11,942
                 

  • Notional amounts presented exclude $2.7 billion at June 30, 2013, and $4.7 billion at December 31, 2012, of certain derivatives that are combined for designation as a hedge on a single 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) recognizedsheet (1)sheet (2)netting) (3)Net amountsmarket (4) 
June 30, 2013        
Derivative assets        
 Interest rate contracts$ 61,812 (50,346) 11,466 (908) 10,558 78%
 Commodity contracts  3,024 (871) 2,153 (69) 2,084 43 
 Equity contracts  5,202 (2,382) 2,820 (18) 2,802 89 
 Foreign exchange contracts  4,850 (3,703) 1,147 - 1,147 100 
 Credit contracts-protection sold  289 (249) 40 - 40 96 
 Credit contracts-protection purchased  1,244 (1,000) 244 (35) 209 100 
  Total derivative assets$ 76,421 (58,551) 17,870 (1,030) 16,840  
Derivative liabilities        
 Interest rate contracts$ 60,439 (54,972) 5,467 (296) 5,171 78%
 Commodity contracts  3,068 (1,173) 1,895 (3) 1,892 83 
 Equity contracts  5,109 (2,746) 2,363 (114) 2,249 94 
 Foreign exchange contracts  4,152 (2,924) 1,228 - 1,228 100 
 Credit contracts-protection sold  2,040 (1,913) 127 - 127 100 
 Credit contracts-protection purchased  310 (270) 40 - 40 94 
 Other contracts  36 - 36 - 36 100 
  Total derivative liabilities$ 75,154 (63,998) 11,156 (413) 10,743  
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)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 $311 million and $352 million related to derivative assets and $87 million and $68 million related to derivative liabilities as of June 30, 2013, and December 31, 2012, respectively. Cash collateral totaled $5.4 billion and $11.0 billion, netted against derivative assets and liabilities, respectively, at June 30, 2013, and $5.0 billion and $14.5 billion, respectively, at December 31, 2012. 
(2)Net derivative assets of $14.2 billion and $18.3 billion are classified in Trading assets as of June 30, 2013, and December 31, 2012, respectively. $3.7 billion and $5.5 billion are classified in Other assets in the consolidated balance sheet as of June 30, 2013, and December 31, 2012, respectively. Net derivative liabilities are classified in Accrued expenses and other liabilities in the consolidated balance sheet. 
(3)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. 
(4)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 June 30, 2013        
Net interest income (expense) recognized on derivatives$ (136) 2 395  (2) 69 328
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  899 (11) (1,666)  104 (607) (1,281)
 Recognized on hedged item  (890) 4 1,576  (100) 557 1,147
  Net recognized on fair value hedges (ineffective portion) (1) $ 9 (7) (90)  4 (50) (134)
             
Quarter ended June 30, 2012        
Net interest income (expense) recognized on derivatives$ (113) 1 447  (1) 60 394
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  (512) (11) 1,202  145 (717) 107
 Recognized on hedged item  494 8 (1,014)  (148) 770 110
  Net recognized on fair value hedges (ineffective portion) (1)$ (18) (3) 188  (3) 53 217
             
Six months ended June 30, 2013        
Net interest income (expense) recognized on derivatives$ (261) 3 792  (2) 137 669
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  1,203 (9) (2,394)  312 (1,380) (2,268)
 Recognized on hedged item  (1,178) (1) 2,264  (303) 1,328 2,110
  Net recognized on fair value hedges (ineffective portion) (1) $ 25 (10) (130)  9 (52) (158)
             
Six months ended June 30, 2012        
Net interest income (expense) recognized on derivatives$ (225) 1 866  (4) 131 769
             
Gains (losses) recorded in noninterest income        
 Recognized on derivatives  (210) (6) 334  186 (151) 153
 Recognized on hedged item  198 2 (212)  (162) 122 (52)
  Net recognized on fair value hedges (ineffective portion) (1)$ (12) (4) 122  24 (29) 101
             

  • The second quarter and first half of 2013 included $(1) million and $(4) million, respectively, and the second quarter and first half of 2012 included $(1) million and $(2) million, respectively, of the time value component recognized as net interest income (expense) on forward derivatives hedging foreign currency securities available for sale and long-term debt that were excluded from the assessment of hedge effectiveness.
Net Gains (Losses) Recognized Related to Derivatives in Cash Flow Hedging Relationships
          
      Quarter Six months
    ended June 30,  ended June 30,
(in millions) 20132012  20132012
Gains (losses) (pre tax) recognized in OCI on derivatives$ (10) (3)  (3) 39
Gains (pre tax) reclassified from cumulative OCI into net income  69 99  156 206
Gains (losses) (pre tax) recognized in noninterest income for hedge ineffectiveness (1)  1 (1)  1 (1)
          
          

  • 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 Six months
       ended June 30, ended June 30,
(in millions)   2013 2012  2013 2012
Net gains (losses) recognized on free-standing derivatives (economic hedges):     
 Interest rate contracts      
  Recognized in noninterest income:      
   Mortgage banking (1)$ 1,347 (630)  1,728 (826)
   Other (2)  74 (75)  98 (33)
 Equity contracts (3)  (24) 1  (38) 1
 Foreign exchange contracts (2)   12 84  20 (1)
 Credit contracts (2)  (2) (5)  (6) (10)
     Subtotal  1,407 (625)  1,802 (869)
Net gains (losses) recognized on customer accommodation, trading       
 and other free-standing derivatives:      
  Interest rate contracts      
   Recognized in noninterest income:      
    Mortgage banking (4)  (1,176) 2,471  (906) 3,542
    Other (5)  376 90  581 330
  Commodity contracts (5)  63 (21)  224 (44)
  Equity contracts (5)  (7) 206  (257) (79)
  Foreign exchange contracts (5)  138 120  415 249
  Credit contracts (5)  28 (48)  (20) 11
  Other (5)  - 1  - -
     Subtotal  (578) 2,819  37 4,009
 Net gains recognized related to derivatives not designated      
  as hedging instruments$ 829 2,194  1,839 3,140
            

  • 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
June 30, 2013         
Credit default swaps on:         
 Corporate bonds$ 104 12,727 6,559  6,982 5,745 7,3192013-2021
 Structured products  1,439 1,971 1,599  811 1,160 3642016-2056
Credit protection on:         
 Default swap index  5 3,753 363  3,417 336 5862014-2018
 Commercial mortgage-         
  backed securities index  438 1,203 240  634 569 5452049-2052
 Asset-backed securities index  53 60 60  4 56 902037-2046
Other  1 2,813 2,795  24 2,789 5,4612013-2056
 Total credit derivatives$ 2,040 22,527 11,616  11,872 10,655 14,365 
              
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