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Derivatives (Tables)
 6 Months Ended
Jun. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Total Notional or Contractual Amounts and Fair Values for Derivatives
The following table presents the total notional or contractual amounts and fair values for our derivatives. Derivative transactions can be measured in terms of the notional amount, but this amount is not recorded on the balance sheet and is not, when viewed in isolation, a meaningful measure of the risk profile of the instruments. The notional amount is generally not exchanged but is used only as the basis on which interest and other payments are determined. Derivatives designated as qualifying hedging instruments and economic hedges are recorded on the balance sheet at fair value in other assets or other liabilities. Customer accommodation, trading and other derivatives are recorded on the balance sheet at fair value in trading assets, other assets or other liabilities.
 
June 30, 2015
 
 
December 31, 2014
 
 
Notional or
contractual
amount

 
 
 
Fair value

 
Notional or
contractual
amount

 
 
 
Fair value

(in millions)
 
Derivative
assets

 
Derivative
liabilities

 
 
Derivative
assets

 
Derivative
liabilities

Derivatives designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts (1)
$
177,192

 
6,246

 
2,299

 
148,967

 
6,536

 
2,435

Foreign exchange contracts (1)
25,751

 
293

 
2,131

 
26,778

 
752

 
1,347

Total derivatives designated as qualifying hedging instruments
 
 
6,539

 
4,430

 
 
 
7,288

 
3,782

Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
Economic hedges:
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts (2)
235,807

 
620

 
664

 
221,527

 
697

 
487

Equity contracts
6,444

 
492

 
49

 
5,219

 
367

 
96

Foreign exchange contracts
21,897

 
106

 
536

 
14,405

 
275

 
28

Subtotal
 
 
1,218

 
1,249

 
 
 
1,339

 
611

Customer accommodation, trading and other derivatives:
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
5,052,605

 
54,832

 
55,684

 
4,378,767

 
56,465

 
57,137

Commodity contracts
71,660

 
4,642

 
5,223

 
88,640

 
7,461

 
7,702

Equity contracts
138,804

 
8,625

 
6,279

 
138,422

 
8,638

 
6,942

Foreign exchange contracts
292,525

 
7,296

 
7,304

 
253,742

 
6,377

 
6,452

Credit contracts - protection sold
10,583

 
101

 
743

 
12,304

 
151

 
943

Credit contracts - protection purchased
17,877

 
642

 
125

 
16,659

 
755

 
168

Other contracts
1,899

 
—

 
38

 
1,994

 
—

 
44

Subtotal
 
 
76,138

 
75,396

 
 
 
79,847

 
79,388

Total derivatives not designated as hedging instruments
 
 
77,356

 
76,645

 
 
 
81,186

 
79,999

Total derivatives before netting
 
 
83,895

 
81,075

 
 
 
88,474

 
83,781

Netting (3)
 
 
(65,486
)
 
(66,379
)
 
 
 
(65,869
)
 
(65,043
)
Total
 
 
$
18,409

 
14,696

 
 
 
22,605

 
18,738

(1)
Notional amounts presented exclude $1.9 billion of interest rate contracts at both June 30, 2015 and December 31, 2014, for certain derivatives that are combined for designation as a hedge on a single instrument. The notional amount for foreign exchange contracts at June 30, 2015, and December 31, 2014 excludes $4.1 billion and $2.7 billion, respectively, for certain derivatives that are combined for designation as a hedge on a single instrument.
(2)
Includes economic hedge derivatives used to hedge the risk of changes in the fair value of residential MSRs, MHFS, loans, derivative loan commitments and other interests held.
(3)
Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See the next table in this Note for further information.
Balance Sheet Offsetting of Derivative Assets and Liabilities
The following table provides information on the gross fair values of derivative assets and liabilities, the balance sheet netting adjustments and the resulting net fair value amount recorded on our balance sheet, as well as the non-cash collateral associated with such arrangements. We execute most of our derivative transactions under master netting arrangements. We reflect all derivative balances and related cash collateral subject to enforceable master netting arrangements on a net basis within the balance sheet. The “Gross amounts recognized” column in the following table includes $67.6 billion and $73.8 billion of gross derivative assets and liabilities, respectively, at June 30, 2015, and $69.6 billion and $75.0 billion, respectively, at December 31, 2014, with counterparties subject to enforceable master netting arrangements that are carried on the balance sheet net of offsetting amounts. The remaining gross derivative assets and liabilities of $16.3 billion and $7.3 billion, respectively, at June 30, 2015 and $18.9 billion and $8.8 billion, respectively, at December 31, 2014, include those with counterparties subject to master netting arrangements for which we have not assessed the enforceability because they are with counterparties where we do not currently have positions to offset, those subject to master netting arrangements where we have not been able to confirm the enforceability and those not subject to master netting arrangements. As such, we do not net derivative balances or collateral within the balance sheet for these counterparties.
We determine the balance sheet netting adjustments based on the terms specified within each master netting arrangement. We disclose the balance sheet netting amounts within the column titled “Gross amounts offset in consolidated balance sheet.” Balance sheet netting adjustments are determined at the counterparty level for which there may be multiple contract types. For disclosure purposes, we allocate these adjustments to the contract type for each counterparty proportionally based upon the “Gross amounts recognized” by counterparty. As a result, the net amounts disclosed by contract type may not represent the actual exposure upon settlement of the contracts. Balance sheet netting does not include non-cash collateral that we receive and pledge. For disclosure purposes, we present the fair value of this non-cash collateral in the column titled “Gross amounts not offset in consolidated balance sheet (Disclosure-only netting)” within the table. We determine and allocate the Disclosure-only netting amounts in the same manner as balance sheet netting amounts.
The “Net amounts” column within the following table represents the aggregate of our net exposure to each counterparty after considering the balance sheet and Disclosure-only netting adjustments. We manage derivative exposure by monitoring the credit risk associated with each counterparty using counterparty specific credit risk limits, using master netting arrangements and obtaining collateral. Derivative contracts executed in over-the-counter markets include bilateral contractual arrangements that are not cleared through a central clearing organization but are typically subject to master netting arrangements. The percentage of our bilateral derivative transactions outstanding at period end in such markets, based on gross fair value, is provided within the following table. Other derivative contracts executed in over-the-counter or exchange-traded markets are settled through a central clearing organization and are excluded from this percentage. In addition to the netting amounts included in the table, we also have balance sheet netting related to resale and repurchase agreements that are disclosed within Note 10 (Guarantees, Pledged Assets and Collateral).
(in millions)
Gross
amounts
recognized

 
Gross amounts
offset in
consolidated
balance
sheet (1)

 
Net amounts in
consolidated
balance
sheet (2)

 
Gross amounts
not offset in
consolidated
balance sheet
(Disclosure-only
netting) (3)

 
Net
amounts

 
Percent
exchanged in
over-the-counter
market (4)

June 30, 2015
  

 
  

 
  

 
  

 
  

 
  

Derivative assets
  

 
  

 
  

 
  

 
  

 
  

Interest rate contracts
$
61,698

 
(55,749
)
 
5,949

 
(808
)
 
5,141

 
39
%
Commodity contracts
4,642

 
(959
)
 
3,683

 
(1
)
 
3,682

 
35

Equity contracts
9,117

 
(3,187
)
 
5,930

 
(481
)
 
5,449

 
52

Foreign exchange contracts
7,695

 
(4,940
)
 
2,755

 
(9
)
 
2,746

 
99

Credit contracts-protection sold
101

 
(92
)
 
9

 
—

 
9

 
93

Credit contracts-protection purchased
642

 
(559
)
 
83

 
(1
)
 
82

 
100

Total derivative assets
$
83,895

 
(65,486
)
 
18,409

 
(1,300
)
 
17,109

 
  
Derivative liabilities
  
 
  
 
  
 
  
 
  
 
  
Interest rate contracts
$
58,647

 
(53,848
)
 
4,799

 
(3,335
)
 
1,464

 
34
%
Commodity contracts
5,223

 
(1,141
)
 
4,082

 
(149
)
 
3,933

 
87

Equity contracts
6,328

 
(2,842
)
 
3,486

 
(243
)
 
3,243

 
83

Foreign exchange contracts
9,971

 
(7,871
)
 
2,100

 
(276
)
 
1,824

 
100

Credit contracts-protection sold
743

 
(606
)
 
137

 
(54
)
 
83

 
100

Credit contracts-protection purchased
125

 
(71
)
 
54

 
(36
)
 
18

 
74

Other contracts
38

 
—

 
38

 
—

 
38

 
100

Total derivative liabilities
$
81,075

 
(66,379
)
 
14,696

 
(4,093
)
 
10,603

 
  
December 31, 2014
  

 
  

 
  

 
  

 
  

 
  

Derivative assets
  

 
  

 
  

 
  

 
  

 
  

Interest rate contracts
$
63,698

 
(56,051
)
 
7,647

 
(769
)
 
6,878

 
45
%
Commodity contracts
7,461

 
(1,233
)
 
6,228

 
(72
)
 
6,156

 
27

Equity contracts
9,005

 
(2,842
)
 
6,163

 
(405
)
 
5,758

 
54

Foreign exchange contracts
7,404

 
(4,923
)
 
2,481

 
(85
)
 
2,396

 
98

Credit contracts-protection sold
151

 
(131
)
 
20

 
—

 
20

 
90

Credit contracts-protection purchased
755

 
(689
)
 
66

 
(1
)
 
65

 
100

Total derivative assets
$
88,474

 
(65,869
)
 
22,605

 
(1,332
)
 
21,273

 
  
Derivative liabilities
  
 
  
 
  
 
  
 
  
 
  
Interest rate contracts
$
60,059

 
(54,394
)
 
5,665

 
(4,244
)
 
1,421

 
44
%
Commodity contracts
7,702

 
(1,459
)
 
6,243

 
(33
)
 
6,210

 
81

Equity contracts
7,038

 
(2,845
)
 
4,193

 
(484
)
 
3,709

 
82

Foreign exchange contracts
7,827

 
(5,511
)
 
2,316

 
(270
)
 
2,046

 
100

Credit contracts-protection sold
943

 
(713
)
 
230

 
(199
)
 
31

 
100

Credit contracts-protection purchased
168

 
(121
)
 
47

 
(18
)
 
29

 
86

Other contracts
44

 
—

 
44

 
—

 
44

 
100

Total derivative liabilities
$
83,781

 
(65,043
)
 
18,738

 
(5,248
)
 
13,490

 
  
(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 $320 million and $266 million related to derivative assets and $94 million and $56 million related to derivative liabilities at June 30, 2015 and December 31, 2014, respectively. Cash collateral totaled $4.6 billion and $5.7 billion, netted against derivative assets and liabilities, respectively, at June 30, 2015, and $5.2 billion and $4.6 billion, respectively, at December 31, 2014.
(2)
Net derivative assets of $15.1 billion and $16.9 billion are classified in Trading assets at June 30, 2015 and December 31, 2014, respectively. $3.3 billion and $5.7 billion are classified in Other assets in the consolidated balance sheet at June 30, 2015 and December 31, 2014, 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 that are 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
The following table shows the net gains (losses) recognized in the income statement related to derivatives in fair value hedging relationships. The entire derivative gain or loss is included in the assessment of hedge effectiveness for all fair value hedge relationships, except for those involving foreign-currency denominated available-for-sale securities and long-term debt hedged with foreign currency forward derivatives for which the time value component of the derivative gain or loss related to the changes in the difference between the spot and forward price is excluded from the assessment of hedge effectiveness.
 
  
Interest rate
contracts hedging:
 
 
Foreign exchange
contracts hedging:
 
 
Total net
gains
(losses)
on fair
value
hedges

(in millions)
Available-
for-sale
securities

 
Mortgages
held for
sale

 
Long-term
debt

 
Available-
for-sale
securities

 
Long-term
debt

 
Quarter ended June 30, 2015
  

 
  

 
  

 
  

 
  

 
  
Net interest income (expense) recognized on derivatives
$
(200
)
 
(4
)
 
479

 
(1
)
 
56

 
330

Gains (losses) recorded in noninterest income
 
 
  
 
  
 
  

 
  
 
  
Recognized on derivatives
1,352

 
19

 
(2,305
)
 
(116
)
 
264

 
(786
)
Recognized on hedged item
(1,357
)
 
(21
)
 
2,068

 
111

 
(302
)
 
499

Net recognized on fair value hedges (ineffective portion) (1) 
$
(5
)
 
(2
)
 
(237
)
 
(5
)
 
(38
)
 
(287
)
Quarter ended June 30, 2014
  

 
  

 
  

 
  

 
  

 
  

Net interest income (expense) recognized on derivatives
$
(178
)
 
(7
)
 
456

 
(6
)
 
77

 
342

Gains (losses) recorded in noninterest income
  

 
  

 
  

 
  

 
  
 
  
Recognized on derivatives
(440
)
 
(11
)
 
795

 
(5
)
 
340

 
679

Recognized on hedged item
427

 
8

 
(714
)
 
4

 
(300
)
 
(575
)
Net recognized on fair value hedges (ineffective portion) (1)
$
(13
)
 
(3
)
 
81

 
(1
)
 
40

 
104

Six months ended June 30, 2015
  

 
  

 
  

 
  

 
  

 
  
Net interest income (expense) recognized on derivatives
$
(386
)
 
(7
)
 
951

 
—

 
117

 
675

Gains (losses) recorded in noninterest income
  
 
  
 
  
 
  

 
  
 
  
Recognized on derivatives
686

 
6

 
(1,047
)
 
164

 
(1,623
)
 
(1,814
)
Recognized on hedged item
(696
)
 
(11
)
 
918

 
(158
)
 
1,647

 
1,700

Net recognized on fair value hedges (ineffective portion) (1)
$
(10
)

(5
)

(129
)

6


24

 
(114
)
Six months ended June 30, 2014
  

 
  

 
  

 
  

 
  

 
  

Net interest income (expense) recognized on derivatives
$
(353
)
 
(10
)
 
904

 
(8
)
 
150

 
683

Gains (losses) recorded in noninterest income
  

 
  

 
  

 
  

 
  
 
  
Recognized on derivatives
(945
)
 
(26
)
 
1,783

 
(19
)
 
414

 
1,207

Recognized on hedged item
924

 
19

 
(1,567
)
 
15

 
(374
)
 
(983
)
Net recognized on fair value hedges (ineffective portion) (1)
$
(21
)
 
(7
)
 
216

 
(4
)
 
40

 
224

(1)
The second quarter and first half of 2015, included $(2) million and $(3) million, respectively,  and both the second quarter and first half of 2014 included $0 million 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
The following table shows the net gains (losses) recognized related to derivatives in cash flow hedging relationships.
 
  
Quarter ended June 30,
 
 
Six months ended June 30,
 
(in millions)
2015

 
2014

 
2015

 
2014

Gains (losses) (pre tax) recognized in OCI on derivatives
$
(488
)
 
212

 
$
464

 
256

Gains (pre tax) reclassified from cumulative OCI into net income (1)
268

 
115

 
502

 
221

Gains (losses) (pre tax) recognized in noninterest income for hedge ineffectiveness (2)
—

 
1

 
1

 
1

  
(1)
See Note 17 (Other Comprehensive Income) for detail on components of net income.
(2)
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
The following table shows the net gains recognized in the income statement related to derivatives not designated as hedging instruments.
 
  
Quarter ended June 30,
 
 
Six months ended June 30,
 
(in millions)
2015

 
2014

 
2015

 
2014

Net gains (losses) recognized on economic hedges derivatives:
  
 
  
 
  

 
  

Interest rate contracts
Recognized in noninterest income:
  
 
  
 
  

 
  

Mortgage banking (1)
$
(383
)
 
475

 
264

 
841

Other (2)
114

 
(66
)
 
50

 
(125
)
Equity contracts (3)
25

 
47

 
5

 
123

Foreign exchange contracts (2)
(670
)
 
(117
)
 
(22
)
 
(48
)
Subtotal (4)
(914
)
 
339

 
297

 
791

Net gains (losses) recognized on customer accommodation, trading and other derivatives:
  

 
  

 
  

 
  

Interest rate contracts
Recognized in noninterest income:
  

 
  

 
  

 
  

Mortgage banking (5)
(23
)
 
498

 
364

 
788

Other (6)
489

 
(337
)
 
396

 
(728
)
Commodity contracts (6)
13

 
(13
)
 
44

 
37

Equity contracts (6)
(139
)
 
(214
)
 
50

 
(308
)
Foreign exchange contracts (6)
215

 
152

 
325

 
414

Credit contracts (6)
7

 
5

 
(1
)
 
32

Other (4)(6)
15

 
(2
)
 
7

 
(9
)
Subtotal (4)
577

 
89

 
1,185

 
226

Net gains recognized related to derivatives not designated as hedging instruments
$
(337
)
 
428

 
1,482

 
1,017

(1)
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.
(2)
Predominantly included in other noninterest income.
(3)
Predominantly included in net gains (losses) from equity investments in noninterest income.
(4)
Prior period has been revised to conform with current period presentation.
(5)
Predominantly mortgage banking noninterest income including gains (losses) on interest rate lock commitments.
(6)
Predominantly included in net gains from trading activities in noninterest income.
Details of Sold and Purchased Credit Derivatives
The following table provides details of sold and purchased credit derivatives.
  
  
 
Notional amount
 
 
  
(in millions)
Fair value
liability

 
Protection
sold (A)

 
Protection
sold -
non-
investment
grade

 
Protection
purchased
with
identical
underlyings (B)

 
Net
protection
sold
(A) - (B)

 
Other
protection
purchased

 
Range of
maturities
June 30, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
11

 
5,316

 
1,886

 
3,985

 
1,331

 
2,499

 
2015 - 2021
Structured products
483

 
854

 
682

 
536

 
318

 
224

 
2017 - 2052
Credit protection on:
 
 
 
 
 
 
 
 
 
 
 
 
  
Default swap index
—

 
952

 
196

 
860

 
92

 
1,183

 
2015 - 2020
Commercial mortgage-backed securities index
229

 
844

 
5

 
660

 
184

 
460

 
2047 - 2057
Asset-backed securities index
19

 
49

 
1

 
1

 
48

 
75

 
2045 - 2046
Other
1

 
2,568

 
2,568

 
—

 
2,568

 
7,394

 
2015 - 2025
Total credit derivatives
$
743

 
10,583

 
5,338

 
6,042

 
4,541

 
11,835

 
 
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
23

 
6,344

 
2,904

 
4,894

 
1,450

 
2,831

 
2015 - 2021
Structured products
654

 
1,055

 
874

 
608

 
447

 
277

 
2017 - 2052
Credit protection on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Default swap index
—

 
1,659

 
292

 
777

 
882

 
1,042

 
2015 - 2019
Commercial mortgage-backed securities index
246

 
1,058

 
—

 
608

 
450

 
355

 
2047 - 2063
Asset-backed securities index
19

 
52

 
1

 
1

 
51

 
81

 
2045 - 2046
Other
1

 
2,136

 
2,136

 
—

 
2,136

 
5,185

 
2015 - 2025
Total credit derivatives
$
943

 
12,304

 
6,207

 
6,888

 
5,416

 
9,771