• | LIBOR- and Euribor-based interest-rate swaps; |
• | LIBOR- and Treasury-based options (including swaptions); and |
• | LIBOR- and Treasury-based exchange-traded futures. |
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||
Notional or Contractual Amount | Derivatives at Fair Value | Notional or Contractual Amount | Derivatives at Fair Value | ||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||||
Total derivative portfolio | |||||||||||||||||||||||
Derivatives not designated as hedging instruments under the accounting guidance for derivatives and hedging | |||||||||||||||||||||||
Interest-rate swaps: | |||||||||||||||||||||||
Receive-fixed | $ | 281,727 | $ | 4,475 | $ | (2,438 | ) | $ | 275,099 | $ | 13,782 | $ | (97 | ) | |||||||||
Pay-fixed | 242,597 | 5,540 | (10,879 | ) | 270,092 | 177 | (30,147 | ) | |||||||||||||||
Basis (floating to floating) | 300 | 4 | — | 2,300 | 6 | — | |||||||||||||||||
Total interest-rate swaps | 524,624 | 10,019 | (13,317 | ) | 547,491 | 13,965 | (30,244 | ) | |||||||||||||||
Option-based: | |||||||||||||||||||||||
Call swaptions | |||||||||||||||||||||||
Purchased | 59,290 | 2,373 | — | 37,650 | 7,360 | — | |||||||||||||||||
Written | 5,945 | — | (201 | ) | 6,195 | — | (749 | ) | |||||||||||||||
Put Swaptions | |||||||||||||||||||||||
Purchased | 33,410 | 698 | — | 43,200 | 288 | — | |||||||||||||||||
Other option-based derivatives(1) | 23,365 | 1,041 | (3 | ) | 31,540 | 2,449 | (1 | ) | |||||||||||||||
Total option-based | 122,010 | 4,112 | (204 | ) | 118,585 | 10,097 | (750 | ) | |||||||||||||||
Futures | 50,270 | — | — | 41,123 | 37 | (2 | ) | ||||||||||||||||
Foreign-currency swaps | 528 | 39 | — | 1,167 | 73 | (6 | ) | ||||||||||||||||
Commitments | 18,731 | 61 | (69 | ) | 25,530 | 20 | (47 | ) | |||||||||||||||
Credit derivatives | 5,386 | — | (6 | ) | 8,307 | 1 | (5 | ) | |||||||||||||||
Swap guarantee derivatives | 3,477 | — | (31 | ) | 3,628 | — | (35 | ) | |||||||||||||||
Total derivatives not designated as hedging instruments | 725,026 | 14,231 | (13,627 | ) | 745,831 | 24,193 | (31,089 | ) | |||||||||||||||
Derivative interest receivable (payable) | 1,243 | (1,835 | ) | 1,409 | (2,239 | ) | |||||||||||||||||
Netting adjustments(2) | (14,411 | ) | 15,282 | (24,945 | ) | 33,150 | |||||||||||||||||
Total derivative portfolio, net | $ | 725,026 | $ | 1,063 | $ | (180 | ) | $ | 745,831 | $ | 657 | $ | (178 | ) |
(1) | Primarily includes purchased interest-rate caps and floors. |
(2) | Represents counterparty netting and cash collateral netting. Net cash collateral posted was $871 million and $8.2 billion at December 31, 2013 and 2012, respectively. |
Derivatives not designated as hedging instruments under the accounting guidance for derivatives and hedging | Derivative Gains (Losses)(1) | ||||||||||
Year Ended December 31, | |||||||||||
2013 | 2012 | 2011 | |||||||||
(in millions) | |||||||||||
Interest-rate swaps: | |||||||||||
Receive-fixed | |||||||||||
Foreign-currency denominated | $ | (21 | ) | $ | (33 | ) | $ | (49 | ) | ||
U.S. dollar denominated | (10,400 | ) | 2,686 | 12,686 | |||||||
Total receive-fixed swaps | (10,421 | ) | 2,653 | 12,637 | |||||||
Pay-fixed | 19,021 | (2,865 | ) | (22,999 | ) | ||||||
Basis (floating to floating) | (2 | ) | 8 | (5 | ) | ||||||
Total interest-rate swaps | 8,598 | (204 | ) | (10,367 | ) | ||||||
Option based: | |||||||||||
Call swaptions | |||||||||||
Purchased | (2,547 | ) | 1,365 | 10,234 | |||||||
Written | 546 | (38 | ) | (2,337 | ) | ||||||
Put swaptions | |||||||||||
Purchased | (8 | ) | (273 | ) | (1,614 | ) | |||||
Written | — | 6 | 14 | ||||||||
Other option-based derivatives(2) | (413 | ) | 190 | 879 | |||||||
Total option-based | (2,422 | ) | 1,250 | 7,176 | |||||||
Futures | 21 | 12 | (150 | ) | |||||||
Foreign-currency swaps | 30 | (8 | ) | (41 | ) | ||||||
Commitments | (131 | ) | 298 | (1,340 | ) | ||||||
Credit derivatives | (3 | ) | — | — | |||||||
Swap guarantee derivatives | 9 | 7 | 3 | ||||||||
Other(3) | (3 | ) | (1 | ) | (1 | ) | |||||
Subtotal | 6,099 | 1,354 | (4,720 | ) | |||||||
Accrual of periodic settlements:(4) | |||||||||||
Receive-fixed interest-rate swaps | 3,764 | 3,511 | 4,173 | ||||||||
Pay-fixed interest-rate swaps | (7,233 | ) | (7,318 | ) | (9,241 | ) | |||||
Foreign-currency swaps | — | 4 | 22 | ||||||||
Other | 2 | 1 | 14 | ||||||||
Total accrual of periodic settlements | (3,467 | ) | (3,802 | ) | (5,032 | ) | |||||
Total | $ | 2,632 | $ | (2,448 | ) | $ | (9,752 | ) |
(1) | Gains (losses) are reported as derivative gains (losses) on our consolidated statements of comprehensive income. |
(2) | Primarily includes purchased interest-rate caps and floors. |
(3) | Includes fees and commissions paid on cleared and exchange-traded derivatives and, in 2011, a $3 million benefit related to the bankruptcy of Lehman Brothers Holdings Inc. |
(4) | For derivatives not in qualifying hedge accounting relationships, the accrual of periodic cash settlements is recorded in derivative gains (losses) on our consolidated statements of comprehensive income. |