XML 49 R37.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2016
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 master netting 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 where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, have not been netted in the table below. Where we have received or posted collateral under netting agreements where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, the related collateral also has not been netted in the table below.
 
September 30, 2016
 
December 31, 2015
 
Derivative assets
 
Derivative liabilities
 
Derivative assets
 
Derivative liabilities
 
(in millions)
Derivatives accounted for as fair value hedges(1)
 
 
 
 
 
 
 
OTC-cleared(2)
$
52

 
$
1,021

 
$
42

 
$
240

Bilateral OTC(2)
—

 
342

 
—

 
292

Interest rate contracts
52

 
1,363

 
42

 
532

Derivatives accounted for as cash flow hedges(1)
 
 
 
 
 
 
 
Foreign exchange contracts - bilateral OTC(2)
—

 
4

 
17

 
—

OTC-cleared(2)
6

 
24

 
6

 
16

Bilateral OTC(2)
—

 
221

 
—

 
137

Interest rate contracts
6

 
245

 
6

 
153

Total derivatives accounted for as hedges
58

 
1,612

 
65

 
685

Trading derivatives not accounted for as hedges(3)
 
 
 
 
 
 
 
Exchange-traded(2)
56

 
61

 
27

 
27

OTC-cleared(2)
25,111

 
23,293

 
15,717

 
14,723

Bilateral OTC(2)
21,624

 
23,861

 
18,716

 
19,906

Interest rate contracts
46,791

 
47,215

 
34,460

 
34,656

Exchange-traded(2)
—

 
6

 
—

 
15

Bilateral OTC(2)
19,473

 
17,656

 
24,160

 
22,324

Foreign exchange contracts
19,473

 
17,662

 
24,160

 
22,339

Equity contracts - bilateral OTC(2)
1,439

 
1,435

 
1,344

 
1,340

Exchange-traded(2)
38

 
21

 
38

 
39

Bilateral OTC(2)
740

 
653

 
891

 
552

Precious metals contracts
778

 
674

 
929

 
591

OTC-cleared(2)
213

 
258

 
899

 
1,212

Bilateral OTC(2)
1,431

 
1,262

 
2,913

 
2,565

Credit contracts
1,644

 
1,520

 
3,812

 
3,777

Other derivatives not accounted for as hedges(1)
 
 
 
 
 
 
 
OTC-cleared(2)
5

 
64

 
—

 
—

Bilateral OTC(2)
1,045

 
117

 
761

 
120

Interest rate contracts
1,050

 
181

 
761

 
120

Foreign exchange contracts - bilateral OTC(2)
—

 
38

 
—

 
97

Equity contracts - bilateral OTC(2)
542

 
272

 
462

 
422

Credit contracts - bilateral OTC(2)
36

 
4

 
73

 
6

Total derivatives
71,811

 
70,613

 
66,066

 
64,033

Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(4)(6)
62,411

 
62,411

 
55,510

 
55,510

Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(5)(6)
5,473

 
1,305

 
4,942

 
1,530

Net amounts of derivative assets / liabilities presented in the balance sheet
3,927

 
6,897

 
5,614

 
6,993

Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet
895

 
4,736

 
1,114

 
3,674

Net amounts of derivative assets / liabilities
$
3,032

 
$
2,161

 
$
4,500

 
$
3,319

 
(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 netting agreements.
(6) 
Netting is performed at a counterparty level in cases where enforceable master netting 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.
Schedule of Gains and Losses on Fair Value Hedging Instruments
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 (Loss)
 
Interest Income
(Expense)
 
Other Income (Loss)
 
Other Income (Loss)
 
(in millions)
Three Months Ended September 30, 2016
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(38
)
 
$
26

 
$
92

 
$
(37
)
 
$
(11
)
Interest rate contracts/long-term debt
8

 
(27
)
 
(34
)
 
26

 
(1
)
Total
$
(30
)
 
$
(1
)
 
$
58

 
$
(11
)
 
$
(12
)
 
 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2015
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(51
)
 
$
(434
)
 
$
92

 
$
414

 
$
(20
)
Interest rate contracts/long-term debt
7

 
27

 
(22
)
 
(25
)
 
2

Total
$
(44
)
 
$
(407
)
 
$
70

 
$
389

 
$
(18
)
 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2016
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(133
)
 
$
(1,027
)
 
$
281

 
$
965

 
$
(62
)
Interest rate contracts/long-term debt
23

 
71

 
(95
)
 
(70
)
 
1

Total
$
(110
)
 
$
(956
)
 
$
186

 
$
895

 
$
(61
)
 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2015
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(154
)
 
$
(229
)
 
$
273

 
$
217

 
$
(12
)
Interest rate contracts/long-term debt
16

 
15

 
(55
)
 
(13
)
 
2

Total
$
(138
)
 
$
(214
)
 
$
218

 
$
204

 
$
(10
)
Schedule of Gains and Losses on Cash Flow Hedging Instruments
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:
 
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)
 
2016
 
2015
 
 
2016
 
2015
 
 
2016
 
2015
 
(in millions)
Three Months Ended September 30,
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
—

 
$
(2
)
 
Interest income (expense)
 
$
—

 
$
—

 
Other income (loss)
 
$
—

 
$
—

Interest rate contracts
11

 
(51
)
 
Interest income (expense)
 
(5
)
 
(3
)
 
Other income (loss)
 
—

 
—

Total
$
11

 
$
(53
)
 
 
 
$
(5
)
 
$
(3
)
 
 
 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30,
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
—

 
$
(1
)
 
Interest income (expense)
 
$
—

 
$
—

 
Other income (loss)
 
$
—

 
$
—

Interest rate contracts
(89
)
 
(36
)
 
Interest income (expense)
 
(14
)
 
(8
)
 
Other income (loss)
 
—

 
—

Total
$
(89
)
 
$
(37
)
 
 
 
$
(14
)
 
$
(8
)
 
 
 
$
—

 
$
—
Schedule of Gains and Losses on Derivative Instruments Included in Trading Activities
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 September 30,
 
Nine Months Ended September 30,
 
 
2016
 
2015
 
2016
 
2015
 
 
 
(in millions)
Interest rate contracts
Trading revenue (expense)
 
$
97

 
$
260

 
$
(413
)
 
$
801

Interest rate contracts
Residential mortgage banking revenue (expense)
 
(3
)
 
28

 
40

 
34

Foreign exchange contracts
Trading revenue (expense)
 
(243
)
 
(372
)
 
(15
)
 
(521
)
Equity contracts
Trading revenue (expense)
 
2

 
(3
)
 
5

 
—

Precious metals contracts
Trading revenue (expense)
 
35

 
25

 
64

 
44

Credit contracts
Trading revenue (expense)
 
(40
)
 
(23
)
 
(102
)
 
(40
)
Total
 
 
$
(152
)
 
$
(85
)
 
$
(421
)
 
$
318
Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities
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
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2016
 
2015
 
2016
 
2015
 
 
 
(in millions)
Interest rate contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
$
(6
)
 
$
164

 
$
319

 
$
131

Interest rate contracts
Residential mortgage banking revenue (expense)
 
—

 
(1
)
 
—

 
—

Foreign exchange contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
6

 
(18
)
 
26

 
(13
)
Equity contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
194

 
(533
)
 
226

 
(401
)
Precious metals contracts
Gain (loss) on instruments designated at fair value and related derivatives
 
—

 
(1
)
 
—

 
—

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

 
—

 
—

 
(3
)
Credit contracts
Other income (loss)
 
(23
)
 
92

 
(64
)
 
69

Total
 
 
$
171

 
$
(297
)
 
$
507

 
$
(217
)
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 of our long term ratings. 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.
 
Single-notch downgrade
 
Two-notch downgrade
Moody’s
A1
 
A2
 
(in millions)
Amount of additional collateral to be posted upon downgrade
$
59

 
$
65


 
Single-notch downgrade
 
Two-notch downgrade
Standard & Poor's ("S&P")
A+
 
A
 
(in millions)
Amount of additional collateral to be posted upon downgrade
$
59

 
$
65
Notional Value of Derivative Contracts
The following table summarizes the notional values of derivative contracts:

September 30, 2016
 
December 31, 2015
 
(in millions)
Interest rate:
 
 
 
Futures and forwards
$
421,519

 
$
149,413

Swaps
2,245,350

 
2,453,526

Options written
91,443

 
65,747

Options purchased
110,002

 
80,092

 
2,868,314

 
2,748,778

Foreign exchange:
 
 
 
Swaps, futures and forwards
1,055,428

 
980,811

Options written
72,066

 
81,132

Options purchased
73,007

 
82,004

Spot
27,429

 
42,724

 
1,227,930

 
1,186,671

Commodities, equities and precious metals:
 
 
 
Swaps, futures and forwards
73,915

 
35,546

Options written
17,466

 
19,601

Options purchased
29,929

 
33,374

 
121,310

 
88,521

Credit derivatives
143,515

 
188,070

Total
$
4,361,069

 
$
4,212,040