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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following table presents the fair value of derivative contracts by major product type on a gross basis. Gross fair values exclude the effects of both counterparty netting as well as collateral, and therefore are not representative of our exposure. The table below presents the amounts of counterparty netting and cash collateral that have been offset in the consolidated balance sheet, as well as cash and securities collateral posted and received under enforceable credit support agreements that do not meet the criteria for netting. Derivative assets and liabilities which are not subject to an enforceable master netting agreement, or are subject to a netting agreement that we have not yet determined to be enforceable, have not been netted in the table below. Where we have received or posted collateral under credit support agreements, but have not yet determined such agreements are enforceable, the related collateral also has not been netted in the table below.
 
 
September 30, 2013
 
December 31, 2012
 
 
Derivative assets
 
Derivative liabilities
 
Derivative assets
 
Derivative liabilities
 
 
(in millions)
Derivatives accounted for as fair value hedges(1)
 
 
 
 
 
 
 
 
OTC-cleared(2)
 
$
50

 
$
23

 
$
—

 
$
15

Bilateral OTC(2)
 
141

 
327

 
10

 
860

Interest rate contracts
 
191

 
350

 
10

 
875

 
 
 
 
 
 
 
 
 
Derivatives accounted for as cash flow hedges(1)
 
 
 
 
 
 
 
 
Bilateral OTC(2)
 
92

 
3

 
33

 
9

Foreign exchange contracts
 
92

 
3

 
33

 
9

 
 
 
 
 
 
 
 
 
OTC-cleared(2)
 
7

 
—

 
—

 
—

Bilateral OTC(2)
 
21

 
97

 
14

 
227

Interest rate contracts
 
28

 
97

 
14

 
227

 
 
 
 
 
 
 
 
 
Total derivatives accounted for as hedges
 
311

 
450

 
57

 
1,111

 
 
 
 
 
 
 
 
 
Trading derivatives not accounted for as hedges(3)
 
 
 
 
 
 
 
 
Exchange-traded(2)
 
77

 
59

 
99

 
82

OTC-cleared(2)
 
20,213

 
21,130

 
17,204

 
16,663

Bilateral OTC(2)
 
34,702

 
33,974

 
48,480

 
48,623

Interest rate contracts
 
54,992

 
55,163

 
65,783

 
65,368

 
 
 
 
 
 
 
 
 
Exchange-traded(2)
 
1

 
3

 
4

 
25

Bilateral OTC(2)
 
14,158

 
13,802

 
13,756

 
13,537

Foreign exchange contracts
 
14,159

 
13,805

 
13,760

 
13,562

 
 
 
 
 
 
 
 
 
Equity contract - bilateral OTC(2)
 
1,237

 
1,238

 
1,287

 
1,291

 
 
 
 
 
 
 
 
 
Exchange-traded(2)
 
107

 
45

 
135

 
19

Bilateral OTC(2)
 
1,176

 
985

 
656

 
719

Precious metals contracts
 
1,283

 
1,030

 
791

 
738

 
 
 
 
 
 
 
 
 
OTC-cleared(2)
 
577

 
559

 
511

 
437

Bilateral OTC(2)
 
4,638

 
4,726

 
6,617

 
6,910

Credit contracts
 
5,215

 
5,285

 
7,128

 
7,347

 
 
 
 
 
 
 
 
 
Other derivatives not accounted for as hedges(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts - bilateral OTC(2)
 
548

 
92

 
901

 
97

 
 
 
 
 
 
 
 
 
Foreign exchange contracts - bilateral OTC(2)
 
—

 
26

 
52

 
17

 
 
 
 
 
 
 
 
 
Equity contracts - bilateral OTC(2)
 
588

 
169

 
472

 
126

 
 
 
 
 
 
 
 
 
Precious metals contracts - bilateral OTC(2)
 
—

 
33

 
—

 
—

 
 
 
 
 
 
 
 
 
Credit contracts - bilateral OTC(2)
 
12

 
11

 
1

 
4

 
 
 
 
 
 
 
 
 
Total derivatives
 
78,345

 
77,302

 
90,232

 
89,661

 
 
 
 
 
 
 
 
 
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(4)(6)
 
67,809

 
67,809

 
78,244

 
78,244

Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(5)(6)
 
4,491

 
2,116

 
5,123

 
1,336

Net amounts of derivative assets / liabilities presented in the balance sheet
 
6,045

 
7,377

 
6,865

 
10,081

 
 
 
 
 
 
 
 
 
Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet
 
1,276

 
2,972

 
627

 
4,887

Net amounts of derivative assets / liabilities
 
$
4,769

 
$
4,405

 
$
6,238

 
$
5,194

 
(1) 
Derivative assets/liabilities related to cash flow hedges, fair value hedges and derivative instruments held for purposes other than for trading are recorded in other assets / interest, taxes and other liabilities on the consolidated balance sheet.
(2) 
Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. The credit risk associated with bilateral OTC derivatives is managed through master netting agreements and obtaining collateral. OTC-cleared derivatives are executed bilaterally in the OTC market but then novated to a central clearing counterparty, whereby the central clearing counterparty becomes the counterparty to both of the original counterparties. Exchange traded derivatives are executed directly on an organized exchange that provides pre-trade price transparency. Credit risk is minimized for OTC-cleared derivatives and exchange traded derivatives through daily margining required by central clearing counterparties.
(3) 
Trading related derivative assets/liabilities are recorded in trading assets/trading liabilities on the consolidated balance sheet.
(4) 
Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.
(5) 
Represents the netting of cash collateral posted and received by counterparty under enforceable credit support agreements.
(6) 
Netting is performed at a counterparty level in cases where enforceable master netting and credit support agreements are in place, regardless of the type of derivative instrument. Therefore, we have not attempted to allocate netting to the different types of derivative instruments shown in the table above.
Derivative Instruments, Gain (Loss)
The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in fair value hedges and the hedged items in fair value hedges and their location on the consolidated statement of income (loss).
 
Gain (Loss) on Derivative
 
Gain (Loss) on Hedged Items
 
Net Ineffective Gain (Loss) Recognized
  
Interest Income
(Expense)
 
Other Income
 
Interest Income
(Expense)
 
Other Income
 
Other Income
 
(in millions)
 
 
Three Months Ended September 30, 2013
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(56
)
 
$
42

 
$
112

 
$
(39
)
 
$
3

Interest rate contracts/subordinated debt
4

 
—

 
(15
)
 
1

 
1

Total
$
(52
)
 
$
42

 
$
97

 
$
(38
)
 
$
4

 
 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2012
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(33
)
 
$
(41
)
 
$
141

 
$
58

 
$
17

Interest rate contracts/subordinated debt
3

 
3

 
(15
)
 
(3
)
 
—

Total
$
(30
)
 
$
(38
)
 
$
126

 
$
55

 
$
17

 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2013
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(168
)
 
$
609

 
$
337

 
$
(593
)
 
$
16

Interest rate contracts/subordinated debt
12

 
(1
)
 
(46
)
 
1

 
—

Total
$
(156
)
 
$
608

 
$
291

 
$
(592
)
 
$
16

 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2012
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(117
)
 
$
(326
)
 
$
482

 
$
323

 
$
(3
)
Interest rate contracts/subordinated debt
10

 
9

 
(46
)
 
(9
)
 
—

Total
$
(107
)
 
$
(317
)
 
$
436

 
$
314

 
$
(3
)
The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging activities and their locations on the consolidated statement of income (loss).
 
Location of Gain (Loss)
Recognized in Income on Derivatives
 
Amount of Gain (Loss) Recognized
in Income on Derivatives
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2013
 
2012
 
2013
 
2012
 
(in millions)
Interest rate contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
$
(15
)
 
$
15

 
$
(253
)
 
$
120

Interest rate contracts
Residential mortgage banking revenue
 
(9
)
 
(5
)
 
(5
)
 
—

Foreign exchange contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
(2
)
 
23

 
(57
)
 
73

Equity contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
234

 
351

 
474

 
597

Precious metals contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
42

 
—

 
—

 
—

Credit contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
(1
)
 
1

 
—

 
3

Credit contracts
Other income
 
(3
)
 
(1
)
 
—

 
(6
)
Total
 
 
$
246

 
$
384

 
$
159

 
$
787
Gains and Losses on Derivative Instruments Designated and Qualifying as Hedging Instruments in Cash Flow Hedges
The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from all terminated cash flow hedges) and their locations on the consolidated statement of income (loss).
 
Gain (Loss)
Recognized
in AOCI on
Derivative
(Effective
Portion)
 
Location of Gain
(Loss) Reclassified
from AOCI
into Income (Effective Portion)
 
Gain (Loss)
Reclassed
From AOCI
into Income
(Effective
Portion)
 
Location of Gain
(Loss)
Recognized
in Income
on the Derivative
(Ineffective Portion and
Amount Excluded from Effectiveness Testing)
 
Gain (Loss)
Recognized
in Income
on the
Derivative
(Ineffective
Portion)
 
2013
 
2012
 
 
2013
 
2012
 
 
2013
 
2012
 
(in millions)
Three Months Ended September 30,
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
2

 
$
—

 
Interest income (expense)
 
$
—

 
$
—

 
Other income
 
$
—

 
$
—

Interest rate contracts
32

 
14

 
Interest income (expense)
 
(2
)
 
(4
)
 
Other income
 
—

 
—

Total
$
34

 
$
14

 
 
 
$
(2
)
 
$
(4
)
 
 
 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30,
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
3

 
$
—

 
Interest income (expense)
 
$
—

 
$
—

 
Other income
 
$
—

 
$
—

Interest rate contracts
150

 
4

 
Interest income (expense)
 
(9
)
 
(12
)
 
Other income
 
—

 
—

Total
$
153

 
$
4

 
 
 
$
(9
)
 
$
(12
)
 
 
 
$
—

 
$
—
Gains and Losses on Derivative Instruments Held for other Purposes
The following table presents information on gains and losses on derivative instruments held for trading purposes and their locations on the consolidated statement of income (loss).
 
Location of Gain (Loss)
Recognized in Income on Derivatives
 
Amount of Gain (Loss) Recognized
in Income on Derivatives
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2013
 
2012
 
2013
 
2012
 
 
 
(in millions)
Interest rate contracts
Trading revenue
 
$
13

 
$
(24
)
 
$
(369
)
 
$
(8
)
Interest rate contracts
Residential mortgage banking revenue
 
(4
)
 
7

 
(45
)
 
28

Foreign exchange contracts
Trading revenue
 
77

 
3

 
655

 
648

Equity contracts
Trading revenue
 
2

 
2

 
4

 
62

Precious metals contracts
Trading revenue
 
(55
)
 
44

 
6

 
96

Credit contracts
Trading revenue
 
2

 
(27
)
 
80

 
(705
)
Total
 
 
$
35

 
$
5

 
$
331

 
$
121
Credit-Risk Related Contingent Features
The following tables summarize our obligation to post additional collateral (from the current collateral level) in certain hypothetical commercially reasonable downgrade scenarios. It is not appropriate to accumulate or extrapolate information presented in the tables below to determine our total obligation because the information presented to determine the obligation in hypothetical rating scenarios is not mutually exclusive.
Moody’s
Long-Term Ratings
Short-Term Ratings
A1
 
A2
 
A3
 
(in millions)
P-1
$
—

 
$
42

 
$
141

P-2
2

 
42

 
141


S&P
Long-Term Ratings
Short-Term Ratings
AA-
 
A+
 
A
 
(in millions)
A-1+
$
—

 
$
—

 
$
40

A-1
14

 
14

 
54
Notional Value of Derivative Contracts
The following table summarizes the notional values of derivative contracts.
 
September 30, 2013
 
December 31, 2012
 
(in billions)
Interest rate:
 
 
 
Futures and forwards
$
182.0

 
$
313.9

Swaps
3,472.0

 
2,842.6

Options written
97.3

 
43.3

Options purchased
97.5

 
44.2

 
3,848.8

 
3,244.0

Foreign Exchange:
 
 
 
Swaps, futures and forwards
756.6

 
743.7

Options written
77.0

 
54.9

Options purchased
79.0

 
55.5

Spot
63.3

 
56.3

 
975.9

 
910.4

Commodities, equities and precious metals:
 
 
 
Swaps, futures and forwards
47.2

 
48.1

Options written
21.6

 
21.0

Options purchased
22.0

 
21.4

 
90.8

 
90.5

Credit derivatives
403.0

 
484.9

Total
$
5,318.5

 
$
4,729.8