Derivatives (Tables)

v2.4.0.8

Derivatives (Tables)	9 Months Ended
	Sep. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Derivative Instruments	The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at September 30, 2013 and December 31, 2012. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by the cash collateral received or paid.   September 30, 2013       Gross Derivative Assets   Gross Derivative Liabilities (Dollars in billions) Contract/ Notional (1)   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   Total   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   Total Interest rate contracts                           Swaps $ 33,859.6   $ 725.2   $ 8.7   $ 733.9   $ 720.9   $ 0.7   $ 721.6 Futures and forwards 9,086.9   3.4   —   3.4   4.0   —   4.0 Written options 2,162.6   —   —   —   70.8   —   70.8 Purchased options 2,111.1   72.1   —   72.1   —   —   — Foreign exchange contracts                           Swaps 2,312.4   45.3   0.9   46.2   46.4   1.5   47.9 Spot, futures and forwards 2,901.3   24.8   0.5   25.3   26.6   1.4   28.0 Written options 485.5   —   —   —   7.9   —   7.9 Purchased options 448.7   7.6   —   7.6   —   —   — Equity contracts                           Swaps 152.3   3.4   —   3.4   3.0   —   3.0 Futures and forwards 76.3   1.3   —   1.3   1.4   —   1.4 Written options 363.6   —   —   —   28.1   —   28.1 Purchased options 320.6   27.2   —   27.2   —   —   — Commodity contracts                           Swaps 73.1   3.8   —   3.8   4.5   —   4.5 Futures and forwards 592.3   4.6   —   4.6   2.7   —   2.7 Written options 209.7   —   —   —   6.8   —   6.8 Purchased options 223.4   7.1   —   7.1   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,441.7   23.4   —   23.4   23.6   —   23.6 Total return swaps/other 47.4   2.2   —   2.2   3.2   —   3.2 Written credit derivatives:                           Credit default swaps 1,417.9   24.7   —   24.7   20.9   —   20.9 Total return swaps/other 77.5   3.6   —   3.6   0.2   —   0.2 Gross derivative assets/liabilities     $ 979.7   $ 10.1   $ 989.8   $ 971.0   $ 3.6   $ 974.6 Less: Legally enforceable master netting agreements       (889.3 )           (889.3 ) Less: Cash collateral received/paid             (47.3 )           (40.7 ) Total derivative assets/liabilities           $ 53.2           $ 44.6 (1)  Represents the total contract/notional amount of derivative assets and liabilities outstanding.   December 31, 2012       Gross Derivative Assets   Gross Derivative Liabilities (Dollars in billions) Contract/ Notional (1)   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   Total   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   Total Interest rate contracts                           Swaps $ 34,667.4   $ 1,075.4   $ 13.8   $ 1,089.2   $ 1,062.6   $ 4.7   $ 1,067.3 Futures and forwards 11,950.5   2.8   —   2.8   2.7   —   2.7 Written options 2,343.5   —   —   —   106.0   —   106.0 Purchased options 2,162.6   105.5   —   105.5   —   —   — Foreign exchange contracts                           Swaps 2,489.0   47.4   1.4   48.8   53.2   1.8   55.0 Spot, futures and forwards 3,023.0   31.5   0.4   31.9   30.5   0.8   31.3 Written options 363.3   —   —   —   7.3   —   7.3 Purchased options 321.8   6.5   —   6.5   —   —   — Equity contracts                           Swaps 127.1   1.6   —   1.6   2.0   —   2.0 Futures and forwards 58.4   1.0   —   1.0   1.0   —   1.0 Written options 295.3   —   —   —   20.2   —   20.2 Purchased options 271.0   20.4   —   20.4   —   —   — Commodity contracts                           Swaps 60.5   2.5   0.1   2.6   4.0   —   4.0 Futures and forwards 498.9   4.8   —   4.8   2.7   —   2.7 Written options 166.4   —   —   —   7.4   —   7.4 Purchased options 168.2   7.1   —   7.1   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,559.5   35.6   —   35.6   22.1   —   22.1 Total return swaps/other 43.5   2.5   —   2.5   2.9   —   2.9 Written credit derivatives:                           Credit default swaps 1,531.5   23.0   —   23.0   32.6   —   32.6 Total return swaps/other 68.8   0.2   —   0.2   0.3   —   0.3 Gross derivative assets/liabilities     $ 1,367.8   $ 15.7   $ 1,383.5   $ 1,357.5   $ 7.3   $ 1,364.8 Less: Legally enforceable master netting agreements       (1,271.9 )           (1,271.9 ) Less: Cash collateral received/paid             (58.1 )           (46.9 ) Total derivative assets/liabilities           $ 53.5           $ 46.0 (1)  Represents the total contract/notional amount of derivative assets and liabilities outstanding.
Offsetting Assets/Liabilities	Offsetting of Derivatives                 September 30, 2013   December 31, 2012 (Dollars in billions) Derivative Assets   Derivative Liabilities   Derivative Assets   Derivative Liabilities Interest rate contracts               Over-the-counter $ 439.8   $ 416.3   $ 646.7   $ 623.4 Exchange traded 0.2   0.2   —   — Over-the-counter cleared 368.0   375.8   539.5   545.1 Foreign exchange contracts               Over-the-counter 76.1   79.6   84.1   88.7 Equity contracts               Over-the-counter 20.0   17.5   15.2   13.3 Exchange-traded 7.2   8.5   4.8   4.7 Commodity contracts               Over-the-counter 7.0   7.7   6.9   7.9 Exchange-traded 3.0   2.7   3.4   3.2 Credit derivatives               Over-the-counter 48.2   42.9   56.0   53.9 Over-the-counter cleared 4.4   4.5   3.8   3.4 Total gross derivative assets/liabilities, before netting           Over-the-counter 591.1   564.0   808.9   787.2 Exchange-traded 10.4   11.4   8.2   7.9 Over-the-counter cleared 372.4   380.3   543.3   548.5 Less: Legally enforceable master netting and cash collateral received/paid               Over-the-counter (556.6 )   (541.8 )   (780.8 )   (764.4 ) Exchange-traded (7.9 )   (7.9 )   (5.9 )   (5.9 ) Over-the-counter cleared (372.1 )   (380.3 )   (543.3 )   (548.5 ) Derivative assets/liabilities, after netting 37.3   25.7   30.4   24.8 Other gross derivative assets/liabilities 15.9   18.9   23.1   21.2 Total derivative assets/liabilities 53.2   44.6   53.5   46.0 Less: Financial instruments collateral (1) (11.4 )   (7.5 )   (11.5 )   (14.6 ) Total net derivative assets/liabilities $ 41.8   $ 37.1   $ 42.0   $ 31.4 (1) These amounts are limited to the derivative asset/liability balance, and accordingly, do not include excess collateral received/pledged
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value	The table below summarizes certain information related to fair value hedges for the three and nine months ended September 30, 2013 and 2012, including hedges of interest rate risk on long-term debt that were acquired as part of a business combination and redesignated. At redesignation, the fair value of the derivatives was positive. As the derivatives mature, the fair value will approach zero. As a result, ineffectiveness will occur and the fair value changes in the derivatives and the long-term debt being hedged may be directionally the same in certain scenarios. Based on a regression analysis, the derivatives continue to be highly effective at offsetting changes in the fair value of the long-term debt attributable to interest rate risk. Derivatives Designated as Fair Value Hedges             Gains (Losses) Three Months Ended September 30   Nine Months Ended September 30   2013   2013 (Dollars in millions) Derivative   Hedged Item   Hedge Ineffectiveness   Derivative   Hedged Item   Hedge Ineffectiveness Interest rate risk on long-term debt (1) $ (313 )   $ 81   $ (232 )   $ (3,696 )   $ 3,114   $ (582 ) Interest rate and foreign currency risk on long-term debt (1) 991   (1,059 )   (68 )   (1,129 )   945   (184 ) Interest rate risk on available-for-sale securities (2) —   —   —   836   (837 )   (1 ) Price risk on commodity inventory (3) 1   1   2   1   —   1 Total $ 679   $ (977 )   $ (298 )   $ (3,988 )   $ 3,222   $ (766 )                           2012   2012 Interest rate risk on long-term debt (1) $ 109   $ (385 )   $ (276 )   $ 518   $ (1,265 )   $ (747 ) Interest rate and foreign currency risk on long-term debt (1) (716 )   647   (69 )   (1,455 )   1,259   (196 ) Interest rate risk on available-for-sale securities (2) 349   (309 )   40   (593 )   659   66 Price risk on commodity inventory (3) (24 )   24   —   (10 )   10   — Total $ (282 )   $ (23 )   $ (305 )   $ (1,540 )   $ 663   $ (877 ) (1)  Amounts are recorded in interest expense on long-term debt and in other income (loss). (2)  Amounts are recorded in interest income on debt securities. Hedged AFS securities positions were sold during the six months ended June 30, 2013 and the related hedges were terminated. (3)  Amounts relating to commodity inventory are recorded in trading account profits.
Schedule of Cash Flow and Net Investment Hedges	Derivatives Designated as Cash Flow and Net Investment Hedges               Three Months Ended September 30   Nine Months Ended September 30   2013   2013 (Dollars in millions, amounts pre-tax) Gains (Losses) Recognized in Accumulated OCI on Derivatives   Gains (Losses) in Income Reclassified from Accumulated OCI   Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)   Gains (Losses) Recognized in Accumulated OCI on Derivatives   Gains (Losses) in Income Reclassified from Accumulated OCI   Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1) Cash flow hedges                       Interest rate risk on variable-rate portfolios $ (15 )   $ (271 )   $ 1   $ (305 )   $ (801 )   $ (1 ) Price risk on restricted stock awards 137   108   —   302   217   — Total $ 122   $ (163 )   $ 1   $ (3 )   $ (584 )   $ (1 ) Net investment hedges                       Foreign exchange risk $ (1,472 )   $ 2   $ (31 )   $ 1,008   $ (89 )   $ (103 )                           2012   2012 Cash flow hedges                       Interest rate risk on variable-rate portfolios $ 21   $ (260 )   $ —   $ (32 )   $ (636 )   $ — Commodity price risk on forecasted purchases and sales —   3   —   —   —   — Price risk on restricted stock awards 65   (28 )   —   155   (90 )   — Total $ 86   $ (285 )   $ —   $ 123   $ (726 )   $ — Net investment hedges                       Foreign exchange risk $ (1,149 )   $ 11   $ (13 )   $ (1,021 )   $ (26 )   $ (180 ) (1)  Amounts related to derivatives designated as cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing.
Other Risk Management Derivatives	The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2013 and 2012. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item. Other Risk Management Derivatives         Gains (Losses) Three Months Ended September 30   Nine Months Ended September 30 (Dollars in millions) 2013   2012   2013   2012 Price risk on mortgage banking production income (1, 2) $ (203 )   $ 850   $ 687   $ 2,240 Market-related risk on mortgage banking servicing income (1) 44   822   (937 )   1,970 Credit risk on loans (3) (16 )   (32 )   (23 )   (70 ) Interest rate and foreign currency risk on ALM activities (4) 1,195   (309 )   1,703   (987 ) Price risk on restricted stock awards (5) 192   142   432   392 Other (4 )   16   (15 )   105 Total $ 1,208   $ 1,489   $ 1,847   $ 3,650 (1)  Net gains on these derivatives are recorded in mortgage banking income. (2)  Includes net gains on interest rate lock commitments related to the origination of mortgage loans that are held-for-sale, which are considered derivative instruments, of $228 million and $767 million for the three and nine months ended September 30, 2013 compared to $1.0 billion and $2.4 billion for the same periods in 2012. (3)  Net gains (losses) on these derivatives are recorded in other income (loss). (4)  The balance is primarily related to hedges of debt securities carried at fair value and hedges of foreign currency-denominated debt. Results from these items are recorded in other income (loss). The offsetting mark-to-market, while not included in the table above, is also recorded in other income (loss). (5)  Gains (losses) on these derivatives are recorded in personnel expense.
Schedule of Derivative Instruments Included in Trading Activities	The table below, which includes both derivatives and non-derivative cash instruments, identifies the amounts in the respective income statement line items attributable to the Corporation's sales and trading revenue in Global Markets, categorized by primary risk, for the three and nine months ended September 30, 2013 and 2012. The difference between total trading account profits in the table below and in the Consolidated Statement of Income represents trading activities in business segments other than Global Markets. This table includes debit valuation adjustment (DVA) gains (losses), net of hedges. Global Markets results in Note 20 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The table below is not presented on a FTE basis. Sales and Trading Revenue                                 Three Months Ended September 30   Nine Months Ended September 30   2013   2013 (Dollars in millions) Trading Account Profits   Net Interest Income   Other (1)   Total   Trading Account Profits   Net Interest Income   Other (1)   Total Interest rate risk $ 188   $ 237   $ 31   $ 456   $ 1,207   $ 800   $ 66   $ 2,073 Foreign exchange risk 215   2   (6 )   211   890   3   (21 )   872 Equity risk 392   48   505   945   1,663   42   1,598   3,303 Credit risk 349   622   79   1,050   1,805   2,010   (167 )   3,648 Other risk 57   (56 )   5   6   374   (141 )   35   268 Total sales and trading revenue $ 1,201   $ 853   $ 614   $ 2,668   $ 5,939   $ 2,714   $ 1,511   $ 10,164                                   2012   2012 Interest rate risk $ 68   $ 267   $ (4 )   $ 331   $ 522   $ 752   $ (21 )   $ 1,253 Foreign exchange risk 193   1   13   207   659   5   12   676 Equity risk 195   15   457   667   988   (90 )   1,442   2,340 Credit risk 663   552   130   1,345   2,387   1,632   862   4,881 Other risk 118   (45 )   (12 )   61   425   (168 )   30   287 Total sales and trading revenue $ 1,237   $ 790   $ 584   $ 2,611   $ 4,981   $ 2,131   $ 2,325   $ 9,437 (1)  Represents amounts in investment and brokerage services and other income (loss) that are recorded in Global Markets and included in the definition of sales and trading revenue. Includes investment and brokerage services revenue of $480 million and $1.6 billion for the three and nine months ended September 30, 2013 and $428 million and $1.4 billion for the same periods in 2012.
Disclosure of Credit Derivatives	Credit derivative instruments where the Corporation is the seller of credit protection and their expiration are summarized at September 30, 2013 and December 31, 2012 in the table below. These instruments are classified as investment and non-investment grade based on the credit quality of the underlying referenced obligation. The Corporation considers ratings of BBB- or higher as investment grade. Non-investment grade includes non-rated credit derivative instruments. Credit Derivative Instruments       September 30, 2013   Carrying Value (Dollars in millions) Less than One Year   One to Three Years   Three to Five Years   Over Five Years   Total Credit default swaps:                   Investment grade $ 11   $ 629   $ 2,874   $ 2,039   $ 5,553 Non-investment grade 679   2,705   4,158   7,810   15,352 Total 690   3,334   7,032   9,849   20,905 Total return swaps/other:                   Investment grade 26   —   —   —   26 Non-investment grade 98   65   35   12   210 Total 124   65   35   12   236 Total credit derivatives $ 814   $ 3,399   $ 7,067   $ 9,861   $ 21,141 Credit-related notes: (1)                   Investment grade $ 1   $ 270   $ 291   $ 4,705   $ 5,267 Non-investment grade 159   154   702   980   1,995 Total credit-related notes $ 160   $ 424   $ 993   $ 5,685   $ 7,262   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 211,697   $ 361,303   $ 482,919   $ 56,592   $ 1,112,511 Non-investment grade 62,546   96,021   110,575   36,243   305,385 Total 274,243   457,324   593,494   92,835   1,417,896 Total return swaps/other:                   Investment grade 30,937   —   —   —   30,937 Non-investment grade 33,036   6,265   5,744   1,545   46,590 Total 63,973   6,265   5,744   1,545   77,527 Total credit derivatives $ 338,216   $ 463,589   $ 599,238   $ 94,380   $ 1,495,423                       December 31, 2012   Carrying Value Credit default swaps:                   Investment grade $ 52   $ 757   $ 5,595   $ 2,903   $ 9,307 Non-investment grade 923   4,403   7,030   10,959   23,315 Total 975   5,160   12,625   13,862   32,622 Total return swaps/other:                   Investment grade 39   —   —   —   39 Non-investment grade 57   104   39   37   237 Total 96   104   39   37   276 Total credit derivatives $ 1,071   $ 5,264   $ 12,664   $ 13,899   $ 32,898 Credit-related notes: (1)                   Investment grade $ 4   $ 12   $ 441   $ 3,849   $ 4,306 Non-investment grade 116   161   314   1,425   2,016 Total credit-related notes $ 120   $ 173   $ 755   $ 5,274   $ 6,322   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 260,177   $ 349,125   $ 500,038   $ 90,453   $ 1,199,793 Non-investment grade 79,861   99,043   110,248   42,559   331,711 Total 340,038   448,168   610,286   133,012   1,531,504 Total return swaps/other:                   Investment grade 43,536   15   —   —   43,551 Non-investment grade 5,566   11,028   7,631   1,035   25,260 Total 49,102   11,043   7,631   1,035   68,811 Total credit derivatives $ 389,140   $ 459,211   $ 617,917   $ 134,047   $ 1,600,315 (1)  For credit-related notes, maximum payout/notional is the same as carrying value.
Valuation Adjustments on Derivatives	The table below presents CVA and DVA gains (losses) for the Corporation on a gross and net of hedge basis, which are recorded in trading account profits. Valuation Adjustments on Derivatives               Three Months Ended September 30   Nine Months Ended September 30   2013   2012   2013   2012 (Dollars in millions) Gross Net   Gross Net   Gross Net   Gross Net Derivative assets (CVA) (1) $ 335 $ 102   $ 525 $ 75   $ 347 $ (131 )   $ 725 $ 237 Derivative liabilities (DVA) (2) (293 ) (292 )   (606 ) (583 )   159 126   (1,899 ) (2,200 ) (1)  At September 30, 2013 and December 31, 2012, the cumulative CVA reduced the derivative assets balance by $2.0 billion and $2.4 billion. (2)  At September 30, 2013 and December 31, 2012, the cumulative DVA reduced the derivative liabilities balance by $1.0 billion and $807 million.