Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value, Notional and Offsetting of Derivative Instruments Designated and Not Designated as Accounting Hedges by Type of Derivative Contract

				Derivative Assets
				at March 31, 2016
				Fair Value								Notional
				Bilateral OTC		Cleared OTC		Exchange Traded		Total		Bilateral OTC		Cleared OTC		Exchange Traded		Total
				(dollars in millions)
Derivatives designated as accounting
hedges:
	Interest rate contracts		$	3,209	$	2,897	$	—	$	6,106	$	34,259	$	57,400	$	—	$	91,659
	Foreign exchange contracts			27		—		—		27		1,527		—		—		1,527
		Total derivatives designated as
		accounting hedges		3,236		2,897		—		6,133		35,786		57,400		—		93,186
Derivatives not designated as accounting
hedges(1):
	Interest rate contracts			273,635		146,182		242		420,059		4,254,497		5,634,287		1,243,384		11,132,168
	Credit contracts			16,774		3,527		—		20,301		535,066		157,290		—		692,356
	Foreign exchange contracts			72,794		423		76		73,293		1,900,339		14,915		11,542		1,926,796
	Equity contracts			21,174		—		23,356		44,530		288,517		—		259,466		547,983
	Commodity contracts			13,786		—		3,832		17,618		67,085		—		82,933		150,018
	Other			19		—		—		19		2,111		—		—		2,111
		Total derivatives not designated
		as accounting hedges		398,182		150,132		27,506		575,820		7,047,615		5,806,492		1,597,325		14,451,432
Total gross derivatives(2)			$	401,418	$	153,029	$	27,506	$	581,953	$	7,083,401	$	5,863,892	$	1,597,325	$	14,544,618
Amounts offset:
	Counterparty netting			(314,379)		(149,342)		(24,456)		(488,177)
	Cash collateral netting			(55,371)		(2,562)		—		(57,933)
		Total derivative assets at fair value
		included in Trading assets	$	31,668	$	1,125	$	3,050	$	35,843
Amounts not offset(3):
	Financial instruments collateral			(10,299)		—		—		(10,299)
	Other cash collateral			(13)		—		—		(13)
		Net exposure	$	21,356	$	1,125	$	3,050	$	25,531

				Derivative Liabilities
				at March 31, 2016
				Fair Value								Notional
				Bilateral OTC		Cleared OTC		Exchange Traded		Total		Bilateral OTC		Cleared OTC		Exchange Traded		Total
				(dollars in millions)
Derivatives designated as accounting
hedges:
	Foreign exchange contracts		$	364	$	28	$	—	$	392	$	8,267	$	783	$	—	$	9,050
		Total derivatives designated as										.
		accounting hedges		364		28		—		392		8,267		783		—		9,050
Derivatives not designated as accounting
hedges(1):
	Interest rate contracts			251,687		147,016		347		399,050		3,943,566		5,517,043		903,713		10,364,322
	Credit contracts			17,616		3,651		—		21,267		569,403		144,845		—		714,248
	Foreign exchange contracts			76,098		503		49		76,650		1,960,735		15,602		6,107		1,982,444
	Equity contracts			23,973		—		23,906		47,879		331,715		—		252,398		584,113
	Commodity contracts			11,240		—		3,499		14,739		62,976		—		65,323		128,299
	Other			116		—		—		116		4,858		—		—		4,858
		Total derivatives not designated
		as accounting hedges		380,730		151,170		27,801		559,701		6,873,253		5,677,490		1,227,541		13,778,284
Total gross derivatives(2)			$	381,094	$	151,198	$	27,801	$	560,093	$	6,881,520	$	5,678,273	$	1,227,541	$	13,787,334
Amounts offset:
	Counterparty netting			(314,379)		(149,342)		(24,456)		(488,177)
	Cash collateral netting			(36,868)		(1,651)		—		(38,519)
		Total derivative liabilities at fair value
		included in Trading liabilities	$	29,847	$	205	$	3,345	$	33,397
Amounts not offset(3):
	Financial instruments collateral			(8,368)		—		(308)		(8,676)
	Other cash collateral			(4)		(25)		—		(29)
		Net exposure	$	21,475	$	180	$	3,037	$	24,692

				Derivative Assets
				at December 31, 2015
				Fair Value								Notional
				Bilateral OTC		Cleared OTC		Exchange Traded		Total		Bilateral OTC		Cleared OTC		Exchange Traded		Total
				(dollars in millions)
Derivatives designated as accounting
hedges:
	Interest rate contracts		$	2,825	$	1,442	$	—	$	4,267	$	36,999	$	35,362	$	—	$	72,361
	Foreign exchange contracts			166		1		—		167		5,996		167		—		6,163
		Total derivatives designated as
		accounting hedges		2,991		1,443		—		4,434		42,995		35,529		—		78,524
Derivatives not designated as accounting
hedges(4):
	Interest rate contracts			220,289		101,276		212		321,777		4,348,002		5,748,525		1,218,645		11,315,172
	Credit contracts			19,310		3,609		—		22,919		585,731		139,301		—		725,032
	Foreign exchange contracts			64,438		295		55		64,788		1,907,290		13,402		7,715		1,928,407
	Equity contracts			20,212		—		20,077		40,289		316,770		—		229,859		546,629
	Commodity contracts			13,114		—		4,038		17,152		67,449		—		82,313		149,762
	Other			219		—		—		219		5,684		—		—		5,684
		Total derivatives not designated
		as accounting hedges		337,582		105,180		24,382		467,144		7,230,926		5,901,228		1,538,532		14,670,686
Total gross derivatives(2)			$	340,573	$	106,623	$	24,382	$	471,578	$	7,273,921	$	5,936,757	$	1,538,532	$	14,749,210
Amounts offset:
	Counterparty netting			(265,707)		(104,294)		(21,592)		(391,593)
	Cash collateral netting			(50,335)		(1,037)		—		(51,372)
		Total derivative assets at fair value
		included in Trading assets	$	24,531	$	1,292	$	2,790	$	28,613
Amounts not offset(3):
	Financial instruments collateral			(9,190)		—		—		(9,190)
	Other cash collateral			(9)		—		—		(9)
		Net exposure	$	15,332	$	1,292	$	2,790	$	19,414

				Derivative Liabilities
				at December 31, 2015
				Fair Value								Notional
				Bilateral OTC		Cleared OTC		Exchange Traded		Total		Bilateral OTC		Cleared OTC		Exchange Traded		Total
				(dollars in millions)
Derivatives designated as accounting
hedges:
	Interest rate contracts		$	20	$	250	$	—	$	270	$	3,560	$	9,869	$	—	$	13,429
	Foreign exchange contracts			56		6		—		62		4,604		455		—		5,059
		Total derivatives designated as
		accounting hedges		76		256		—		332		8,164		10,324		—		18,488

Derivatives not designated as accounting
hedges(4):
	Interest rate contracts			203,004		103,852		283		307,139		4,030,039		5,682,322		1,077,710		10,790,071
	Credit contracts			19,942		3,723		—		23,665		562,027		131,388		—		693,415
	Foreign exchange contracts			65,034		232		22		65,288		1,868,015		13,322		2,655		1,883,992
	Equity contracts			25,708		—		20,424		46,132		332,734		—		229,266		562,000
	Commodity contracts			10,864		—		3,887		14,751		59,169		—		62,974		122,143
	Other			43		—		—		43		4,114		—		—		4,114
		Total derivatives not designated
		as accounting hedges		324,595		107,807		24,616		457,018		6,856,098		5,827,032		1,372,605		14,055,735
Total gross derivatives(2)			$	324,671	$	108,063	$	24,616	$	457,350	$	6,864,262	$	5,837,356	$	1,372,605	$	14,074,223
Amounts offset:
	Counterparty netting			(265,707)		(104,294)		(21,592)		(391,593)
	Cash collateral netting			(33,332)		(2,951)		—		(36,283)
		Total derivative liabilities at fair value
		included in Trading liabilities	$	25,632	$	818	$	3,024	$	29,474
Amounts not offset(3):
	Financial instruments collateral			(5,384)		—		(405)		(5,789)
	Other cash collateral			(5)		—		—		(5)
		Net exposure	$	20,243	$	818	$	2,619	$	23,680

_____________

(1) Notional amounts include gross notionals related to open long and short futures contracts of $967.4 billion and $399.2 billion, respectively. The unsettled fair value on these futures contracts (excluded from the table above) of $895 million and $371 million is included in Customer and other receivables and Customer and other payables, respectively, in the condensed consolidated balance sheet.

(2) Amounts include $5.3 billion of derivative assets and $5.8 billion of derivative liabilities at March 31, 2016 and $4.2 billion of derivative assets and $5.2 billion of derivative liabilities at December 31, 2015, which are either not subject to master netting agreements or collateral agreements or are subject to such agreements but the Company has not determined the agreements to be legally enforceable.

(3) Amounts relate to master netting agreements and collateral agreements that have been determined by the Company to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.

(4) Notional amounts include gross notionals related to open long and short futures contracts of $1,009.5 billion and $653.0 billion, respectively. The unsettled fair value on these futures contracts (excluded from the table above) of $1,145 million and $437 million is included in Customer and other receivables and Customer and other payables, respectively, in the condensed consolidated balance sheet.

Summary of Gains or Losses Reported on Derivative Instruments Designated and Not Designated as Accounting Hedges

		Gains (Losses) Recognized in Interest Expense
		Three Months Ended
		March 31,
Product Type		2016		2015
		(dollars in millions)
Derivatives	$	2,150	$	758
Borrowings		(2,289)		(843)
Total	$	(139)	$	(85)

Gains (Losses) on Derivatives Designated as Net Investment Hedges.

		Gains (Losses) Recognized in OCI (effective portion)
		Three Months Ended March 31,
Product Type		2016		2015
		(dollars in millions)
Foreign exchange contracts(1)	$	(224)	$	262

____________

(1) Losses of $20 million and $44 million related to the forward points on the hedging instruments were excluded from hedge effectiveness testing and recognized in Interest income during the quarters ended March 31, 2016 and 2015, respectively.

Gains (Losses) on Trading Instruments.

The table below summarizes gains and losses included in Trading revenues in the condensed consolidated statements of income from trading activities. These activities include revenues related to derivative and non-derivative financial instruments. The Company generally utilizes financial instruments across a variety of product types in connection with their market-making and related risk management strategies. Accordingly, the trading revenues presented below are not representative of the manner in which the Company manages its business activities and are prepared in a manner similar to the presentation of trading revenues for regulatory reporting purposes.

			Gains (Losses) Recognized in Trading Revenues
			Three Months Ended
			March 31,
Product Type			2016		2015
			(dollars in millions)
Interest rate contracts		$	306	$	570
Foreign exchange contracts			237		345
Equity security and index contracts(1)			1,330		1,595
Commodity and other contracts(2)			(144)		676
Credit contracts			336		339
	Subtotal	$	2,065	$	3,525
Debt valuation adjustments(3)			—		125
	Total trading revenue	$	2,065	$	3,650

____________

(1) Dividend income is included within equity security and index contracts.

(2) Other contracts represent contracts not reported as interest rate, foreign exchange, equity security and index or credit contracts.

(3) In accordance with the early adoption of a provision of the accounting update Recognition and Measurement of Financial Assets and Financial Liabilities, unrealized DVA gains (losses) in the quarter ended March 31, 2016 are recorded within OCI in the condensed consolidated statements of comprehensive income. In the quarter ended March 31, 2015, the DVA gains (losses) were recorded within Trading revenues in the condensed consolidated statements of income. See Notes 2 and 14 for further information.

Summary by Counterparty Credit Rating and Remaining Contract Maturity of the Fair Value of OTC Derivatives in a Gain Position

			Fair Value at March 31, 2016(1)
			Contractual Years to Maturity								Cross-Maturityand Cash Collateral Netting(3)		Net Exposure Post-cash Collateral		Net Exposure Post-collateral(4)
Credit Rating(2)			Less than 1		1 - 3		3 - 5		Over 5		Cross-Maturityand Cash Collateral Netting(3)		Net Exposure Post-cash Collateral		Net Exposure Post-collateral(4)
			(dollars in millions)
AAA		$	182	$	567	$	1,344	$	4,683	$	(5,272)	$	1,504	$	1,425
AA			2,524		1,488		1,750		12,747		(13,148)		5,361		3,045
A			10,143		7,440		4,984		26,567		(38,249)		10,885		7,603
BBB			4,953		4,487		2,246		13,055		(16,119)		8,622		6,426
Non-investment grade			5,065		2,804		1,277		5,024		(7,762)		6,408		3,982
	Total	$	22,867	$	16,786	$	11,601	$	62,076	$	(80,550)	$	32,780	$	22,481

			Fair Value at December 31, 2015(1)
			Contractual Years to Maturity								Cross-Maturity and Cash Collateral Netting(3)		Net Exposure Post-cash Collateral		Net Exposure Post-collateral(4)
Credit Rating(2)			Less than 1		1-3		3-5		Over 5		Cross-Maturity and Cash Collateral Netting(3)		Net Exposure Post-cash Collateral		Net Exposure Post-collateral(4)
			(dollars in millions)
AAA		$	203	$	453	$	827	$	3,665	$	(4,319)	$	829	$	715
AA			2,689		2,000		1,876		9,223		(10,981)		4,807		2,361
A			9,748		8,191		4,774		20,918		(34,916)		8,715		5,448
BBB			3,614		4,863		1,948		11,801		(15,086)		7,140		4,934
Non-investment grade			3,982		2,333		1,157		3,567		(6,716)		4,323		3,166
	Total	$	20,236	$	17,840	$	10,582	$	49,174	$	(72,018)	$	25,814	$	16,624

_____________

(1) Fair values shown represent the Company’s net exposure to counterparties related to its OTC derivative products.

(2) Obligor credit ratings are determined by the Credit Risk Management Department.

(3) Amounts represent the netting of receivable balances with payable balances for the same counterparty across maturity categories. Receivable and payable balances with the same counterparty in the same maturity category are netted within such maturity category, where appropriate. Cash collateral received is netted on a counterparty basis, provided legal right of offset exists.

(4) Fair value is shown, net of collateral received (primarily cash and U.S. government and agency securities).

Credit Risk-Related Contingencies

Net Derivative Liabilities and Collateral Posted.

The following table presents the aggregate fair value of certain derivative contracts that contain credit risk-related contingent features that are in a net liability position for which the Company has posted collateral in the normal course of business.

		At March 31, 2016
		(dollars in millions)
Net derivative liabilities	$	28,798
Collateral posted		24,146

Incremental Collateral or Termination Payments upon Potential Future Ratings Downgrade.

		At March 31, 2016(1)
		(dollars in millions)
One-notch downgrade	$	1,148
Two-notch downgrade		1,496

________

(1) Amounts include $1,666 million related to bilateral arrangements between the Company and other parties where upon the downgrade of one party, the downgraded party must deliver collateral to the other party. These bilateral downgrade arrangements are used by the Company to manage the risk of counterparty downgrades.

Disclosure of Credit Derivatives

		At March 31, 2016
		Protection Sold				Protection Purchased
		Notional		Fair Value (Asset)/Liability		Notional		Fair Value (Asset)/Liability
		(dollars in millions)
Single name credit default swaps	$	402,123	$	1,055	$	387,777	$	(1,100)
Index and basket credit default swaps		214,815		(39)		181,184		(193)
Tranched index and basket credit default swaps		68,229		(1,143)		152,476		2,386
Total	$	685,167	$	(127)	$	721,437	$	1,093

		At December 31, 2015
		Protection Sold				Protection Purchased
		Notional		Fair Value (Asset)/Liability		Notional		Fair Value (Asset)/Liability
		(dollars in millions)
Single name credit default swaps	$	420,806	$	1,980	$	405,361	$	(2,079)
Index and basket credit default swaps		199,688		(102)		173,936		(82)
Tranched index and basket credit default swaps		69,025		(1,093)		149,631		2,122
Total	$	689,519	$	785	$	728,928	$	(39)

Credit Ratings of Reference Obligation and Maturities of Credit Protection Sold.

				At March 31, 2016
				Maximum Potential Payout/Notional										Fair Value(Asset)/Liability(1)
				Years to Maturity
				Less than 1		1-3		3-5		Over 5		Total
				(dollars in millions)
Single name credit default swaps:
	Investment grade		$	87,072	$	123,998	$	57,920	$	13,162	$	282,152	$	(1,367)
	Non-investment grade			41,992		52,389		22,907		2,683		119,971		2,422
		Total	$	129,064	$	176,387	$	80,827	$	15,845	$	402,123	$	1,055
Index and basket credit default swaps:
	Investment grade		$	32,276	$	59,013	$	45,293	$	19,020	$	155,602	$	(1,802)
	Non-investment grade			53,291		44,154		12,657		17,340		127,442		620
		Total	$	85,567	$	103,167	$	57,950	$	36,360	$	283,044	$	(1,182)
Total credit default swaps sold			$	214,631	$	279,554	$	138,777	$	52,205	$	685,167	$	(127)
Other credit contracts				27		44		5		323		399		(2)
Total credit derivatives and other credit
	contracts		$	214,658	$	279,598	$	138,782	$	52,528	$	685,566	$	(129)

				At December 31, 2015
				Maximum Potential Payout/Notional										Fair Value(Asset)/Liability(1)
				Years to Maturity
				Less than 1		1-3		3-5		Over 5		Total
				(dollars in millions)
Single name credit default swaps:
	Investment grade		$	84,543	$	138,467	$	63,754	$	12,906	$	299,670	$	(1,831)
	Non-investment grade			38,054		56,261		24,432		2,389		121,136		3,811
		Total	$	122,597	$	194,728	$	88,186	$	15,295	$	420,806	$	1,980
Index and basket credit default swaps:
	Investment grade		$	33,507	$	59,403	$	45,505	$	5,327	$	143,742	$	(1,977)
	Non-investment grade			52,590		43,899		15,480		13,002		124,971		782
		Total	$	86,097	$	103,302	$	60,985	$	18,329	$	268,713	$	(1,195)
Total credit default swaps sold			$	208,694	$	298,030	$	149,171	$	33,624	$	689,519	$	785
Other credit contracts				19		107		2		332		460		(24)
Total credit derivatives and other credit
	contracts		$	208,713	$	298,137	$	149,173	$	33,956	$	689,979	$	761

_____________

(1) Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details