Derivatives (Tables)

12 Months Ended

Dec. 31, 2013

Total Notional or Contractual Amounts and Fair Values for Derivatives


						December 31, 2013					December 31, 2012
					Notional or			Fair value		Notional or		Fair value
					contractual			Asset	Liability	contractual		Asset	Liability
(in millions)						amount	derivatives		derivatives		amount	derivatives	derivatives
Derivatives designated as hedging instruments
	Interest rate contracts (1)				$	100,412		4,315	2,528		92,004	7,284	2,696
	Foreign exchange contracts					26,483		1,091	847		27,382	1,808	274
Total derivatives designated as
	qualifying hedging instruments							5,406	3,375			9,092	2,970
Derivatives not designated as hedging instruments
	Free-standing derivatives (economic hedges):
		Interest rate contracts (2)				220,577		595	897		334,555	450	694
		Equity contracts				3,273		349	206		75	-	50
		Foreign exchange contracts				10,064		21	35		3,074	3	64
		Credit contracts - protection purchased				-		-	-		16	-	-
		Other derivatives				2,160		13	16		2,296	-	78
			Subtotal					978	1,154			453	886
	Customer accommodation, trading and other
		free-standing derivatives:
		Interest rate contracts				4,030,068		50,936	53,113		2,774,783	63,617	65,305
		Commodity contracts				96,889		2,673	2,603		90,732	3,456	3,590
		Equity contracts				96,379		7,475	7,588		71,958	3,783	4,114
		Foreign exchange contracts				164,160		3,731	3,626		166,061	3,713	3,241
		Credit contracts - protection sold				19,501		354	1,532		26,455	315	2,623
		Credit contracts - protection purchased				23,314		1,147	368		29,021	1,495	329
			Subtotal					66,316	68,830			76,379	79,202
Total derivatives not designated as hedging instruments								67,294	69,984			76,832	80,088
Total derivatives before netting								72,700	73,359			85,924	83,058
Netting (3)								(56,894)	(63,739)			(62,108)	(71,116)
				Total			$	15,806	9,620			23,816	11,942

Notional amounts presented exclude $1.9 billion at December 31, 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, derivative loan commitments 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 in	Net amounts in	consolidated		Percent
				Gross	consolidated	consolidated	balance sheet		exchanged in
			amounts		balance	balance	(Disclosure-only	Net	over-the-counter
(in millions)				recognized	sheet (1)	sheet (2)	netting) (3)	amounts	market (4)
December 31, 2013
Derivative assets
	Interest rate contracts		$	55,846	(48,271)	7,575	(1,101)	6,474	65	%
	Commodity contracts			2,673	(659)	2,014	(72)	1,942	52
	Equity contracts			7,824	(3,254)	4,570	(239)	4,331	81
	Foreign exchange contracts			4,843	(3,567)	1,276	(9)	1,267	100
	Credit contracts-protection sold			354	(302)	52	-	52	92
	Credit contracts-protection purchased			1,147	(841)	306	(33)	273	100
	Other contracts			13	-	13	-	13	100
		Total derivative assets	$	72,700	(56,894)	15,806	(1,454)	14,352
Derivative liabilities
	Interest rate contracts		$	56,538	(53,902)	2,636	(482)	2,154	66	%
	Commodity contracts			2,603	(952)	1,651	(11)	1,640	73
	Equity contracts			7,794	(3,502)	4,292	(124)	4,168	94
	Foreign exchange contracts			4,508	(3,652)	856	-	856	100
	Credit contracts-protection sold			1,532	(1,432)	100	-	100	100
	Credit contracts-protection purchased			368	(299)	69	-	69	89
	Other contracts			16	-	16	-	16	100
		Total derivative liabilities	$	73,359	(63,739)	9,620	(617)	9,003
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 $236 million and $352 million related to derivative assets and $67 million and $68 million related to derivative liabilities as of December 31, 2013 and 2012, respectively. Cash collateral totaled $4.3 billion and $11.3 billion, netted against derivative assets and liabilities, respectively, at December 31, 2013, and $5.0 billion and $14.5 billion, respectively, at December 31, 2012.
(2)	Net derivative assets of $14.4 billion and $18.3 billion are classified in Trading assets as of December 31, 2013 and 2012, respectively. $1.4 billion and $5.5 billion are classified in Other assets in the consolidated balance sheet as of December 31, 2013 and 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)	Represents derivatives executed in over-the-counter markets not settled through a central clearing organization. Over-the-counter percentages are calculated based on Gross amounts recognized as of the respective balance sheet date. The remaining percentage represents derivatives settled through a central clearing organization, which are executed in either over-the-counter or exchange-traded markets.

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships


				Interest rate			Foreign exchange		Total net
				contracts hedging:			contracts hedging:		gains
									(losses)
				Available-	Mortgages	Long-	Available-	Long-	on fair
				for-sale	held	term	for-sale	term	value
(in millions)				securities	for sale	debt	securities	debt	hedges

Year ended December 31, 2013
Net interest income (expense) recognized on derivatives			$	(584)	(11)	1,632	(8)	280	1,309

Gains (losses) recorded in noninterest income
	Recognized on derivatives			1,889	47	(3,767)	(49)	(847)	(2,727)
	Recognized on hedged item			(1,874)	(57)	3,521	49	722	2,361
		Net recognized on fair value hedges (ineffective portion) (1)	$	15	(10)	(246)	-	(125)	(366)

Year ended December 31, 2012
Net interest income (expense) recognized on derivatives			$	(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)
		Net recognized on fair value hedges (ineffective portion) (1)	$	(5)	(9)	54	36	(43)	33

Year ended December 31, 2011
Net interest income (expense) recognized on derivatives			$	(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)
		Net recognized on fair value hedges (ineffective portion) (1)	$	(66)	(4)	180	(18)	67	159

Included $(5) million, $(9) million and $53 million, respectively, for years ended December 31, 2013, 2012, and 2011 of the time value component recognized as net interest income (expense) on forward derivatives hedging foreign currency available-for-sale securities 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


	Year ended December 31,
(in millions)		2013	2012	2011
Gains (losses) (pre tax) recognized in OCI on derivatives	$	(32)	52	190
Gains (pre tax) reclassified from cumulative OCI into net income (1)		296	388	571
Gains (losses) (pre tax) recognized in noninterest income for hedge ineffectiveness (2)		1	(1)	(5)

See Note 23 for detail on components of net income.
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)						2013	2012	2011
Net gains (losses) recognized on free-standing derivatives (economic hedges):
	Interest rate contracts
		Recognized in noninterest income:
			Mortgage banking (1)		$	1,412	(1,882)	246
			Other (2)			119	2	(157)
	Equity contracts (3)					(317)	4	(5)
	Foreign exchange contracts (2)					24	(53)	70
	Credit contracts (2)					(6)	(15)	(18)
				Subtotal		1,232	(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 (4)			(561)	7,222	3,594
			Other (5)			743	589	298
	Commodity contracts (5)					324	(14)	124
	Equity contracts (5)					(622)	(234)	769
	Foreign exchange contracts (5)					746	501	698
	Credit contracts (5)					(53)	(54)	(200)
	Other (5)					-	-	(5)
				Subtotal		577	8,010	5,278
Net gains recognized related to derivatives not designated as hedging instruments					$	1,809	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 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 -		purchased	Net
						non-		with	protection	Other
				Fair value	Protection	investment		identical	sold	protection	Range of
(in millions)				liability	sold (A)	grade	underlyings (B)		(A) - (B)	purchased	maturities
December 31, 2013
Credit default swaps on:
	Corporate bonds		$	48	10,947	5,237		6,493	4,454	5,557	2014-2021
	Structured products			1,091	1,553	1,245		894	659	389	2016-2052
Credit protection on:
	Default swap index			-	3,270	388		2,471	799	898	2014-2018
	Commercial mortgage-
		backed securities index		344	1,106	1,106		535	571	535	2049-2052
	Asset-backed securities index			48	55	55		1	54	87	2045-2046
Other				1	2,570	2,570		3	2,567	5,451	2014-2025
	Total credit derivatives		$	1,532	19,501	10,601		10,397	9,104	12,917

December 31, 2012
Credit default swaps on:
	Corporate bonds		$	240	15,845	8,448		9,636	6,209	7,701	2013-2021
	Structured products			1,787	2,433	2,039		948	1,485	393	2016-2056
Credit protection on:
	Default swap index			4	3,520	348		3,444	76	616	2013-2017
	Commercial mortgage-backed securities index			531	1,249	861		790	459	524	2049-2052
	Asset-backed securities index			57	64	64		6	58	92	2037-2046
Other				4	3,344	3,344		106	3,238	4,655	2013-2056
	Total credit derivatives		$	2,623	26,455	15,104		14,930	11,525	13,981

- 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).

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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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