Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2014

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.

	March 31, 2014				December 31, 2013
	Derivative assets		Derivative liabilities		Derivative assets		Derivative liabilities
	(in millions)
Derivatives accounted for as fair value hedges(1)
OTC-cleared(2)	$	49	$	24	$	75	$	20
Bilateral OTC(2)	86		224		203		192
Interest rate contracts	135		248		278		212
Derivatives accounted for as cash flow hedges(1)
Bilateral OTC(2)	—		17		—		3
Foreign exchange contracts	—		17		—		3
OTC-cleared(2)	14		—		16		—
Bilateral OTC(2)	10		90		16		62
Interest rate contracts	24		90		32		62
Total derivatives accounted for as hedges	159		355		310		277
Trading derivatives not accounted for as hedges(3)
Exchange-traded(2)	88		33		82		32
OTC-cleared(2)	20,571		21,525		24,218		25,468
Bilateral OTC(2)	29,574		29,397		31,097		30,451
Interest rate contracts	50,233		50,955		55,397		55,951
Exchange-traded(2)	26		11		7		16
Bilateral OTC(2)	13,648		12,519		15,422		14,565
Foreign exchange contracts	13,674		12,530		15,429		14,581
Equity contract - bilateral OTC(2)	1,379		1,379		1,413		1,412
Exchange-traded(2)	52		24		181		6
Bilateral OTC(2)	784		791		1,402		815
Precious metals contracts	836		815		1,583		821
OTC-cleared(2)	600		612		576		604
Bilateral OTC(2)	3,679		3,809		4,079		4,104
Credit contracts	4,279		4,421		4,655		4,708
Other derivatives not accounted for as hedges(1)
Interest rate contracts - bilateral OTC(2)	543		88		470		91
Foreign exchange contracts - bilateral OTC(2)	1		35		—		44
Equity contracts - bilateral OTC(2)	758		63		789		148
Precious metals contracts - bilateral OTC(2)	—		26		—		36
Credit contracts - bilateral OTC(2)	7		92		9		11
Total derivatives	71,869		70,759		80,055		78,080
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(4)(6)	63,166		63,166		68,616		68,616
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(5)(6)	3,247		1,945		3,870		2,116
Net amounts of derivative assets / liabilities presented in the balance sheet	5,456		5,648		7,569		7,348
Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet	1,129		2,466		1,641		3,094
Net amounts of derivative assets / liabilities	$	4,327	$	3,182	$	5,928	$	4,254

⁽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 held for non-qualifying hedging activities and their locations on the consolidated statement of income:

	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives Year Ended December 31,
Three Months Ended March 31,		2014			2013
		(in millions)
Interest rate contracts	Gain (loss) on instruments designated at fair value and related derivatives	$	116		$	(62	)
Interest rate contracts	Residential mortgage banking revenue	—			(1		)
Foreign exchange contracts	Gain (loss) on instruments designated at fair value and related derivatives	4			(31		)
Equity contracts	Gain (loss) on instruments designated at fair value and related derivatives	81			314
Precious metals contracts	Gain (loss) on instruments designated at fair value and related derivatives	16			—
Credit contracts	Gain (loss) on instruments designated at fair value and related derivatives	1			1
Credit contracts	Other income	(4		)	(1		)
Total		$	214		$	220

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:

	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 March 31, 2014
Interest rate contracts/AFS Securities	$	(64	)	$	(219	)	$	102		$	213		$	(6	)
Interest rate contracts/subordinated debt	4			(1		)	(15		)	1			—
Total	$	(60	)	$	(220	)	$	87		$	214		$	(6	)
Three Months Ended March 31, 2013
Interest rate contracts/AFS Securities	$	(56	)	$	170		$	112		$	(174	)	$	(4	)
Interest rate contracts/subordinated debt	4			(1		)	(14		)	1			—
Total	$	(52	)	$	169		$	98		$	(173	)	$	(4	)

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 accumulated other comprehensive income (loss) ("AOCI") from all terminated cash flow hedges) and their locations on the consolidated statement of income:

	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)
Three Months Ended March 31,	2014			2013			2014			2013				2014		2013
	(in millions)
Foreign exchange contracts	$	1		$	—	Interest income (expense)	$	—		$	—		Other income	$	—	$	—
Interest rate contracts	(36		)	34		Interest income (expense)	(1		)	(4		)	Other income	—		—
Total	$	(35	)	$	34		$	(1	)	$	(4	)		$	—	$	—

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:

	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
Three Months Ended March 31,		2014			2013
		(in millions)
Interest rate contracts	Trading revenue	$	61		$	86
Interest rate contracts	Residential mortgage banking revenue	11			(7		)
Foreign exchange contracts	Trading revenue	25			(138		)
Equity contracts	Trading revenue	—			(2		)
Precious metals contracts	Trading revenue	8			42
Credit contracts	Trading revenue	(7		)	147
Total		$	98		$	128

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	$	—	$	34	$	144
P-2	1		34		144

S&P	Long-Term Ratings
Short-Term Ratings	AA-		A+		A
	(in millions)
A-1+	$	—	$	—	$	33
A-1	5		5		38

Notional Value of Derivative Contracts

The following table summarizes the notional values of derivative contracts:

	March 31, 2014		December 31, 2013
	(in millions)
Interest rate:
Futures and forwards	$	165,895	$	175,468
Swaps	3,631,662		3,645,085
Options written	47,508		85,021
Options purchased	53,435		87,735
	3,898,500		3,993,309
Foreign Exchange:
Swaps, futures and forwards	819,858		804,278
Options written	111,812		82,817
Options purchased	112,903		84,835
Spot	77,797		52,193
	1,122,370		1,024,123
Commodities, equities and precious metals:
Swaps, futures and forwards	48,920		41,123
Options written	18,007		21,531
Options purchased	28,884		21,723
	95,811		84,377
Credit derivatives	335,725		355,286
Total	$	5,452,406	$	5,457,095