Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2011

Notional Amounts and Fair Values for All Derivative Instruments Included in the Consolidated Balance Sheets

The following tables reflect the notional amounts and fair values for all derivative instruments included in the Condensed Consolidated Balance Sheets as of:

Fair Value

June 30, 2011 ($ in millions)

Notional
Amount

Derivative
Assets

Derivative
Liabilities

Qualifying hedging instruments

Fair value hedges:

Interest rate swaps related to long-term debt

4,080

422

—

Interest rate swaps related to time deposits

—

Total fair value hedges

422

—

Cash flow hedges:

Interest rate floors related to C&I loans

1,500

128

—

Interest rate swaps related to C&I loans

2,000

Interest rate caps related to long-term debt

1,500

—

Interest rate swaps related to long-term debt

250

—

Total cash flow hedges

171

Total derivatives designated as qualifying hedging instruments

593

Derivatives not designated as qualifying hedging instruments

Free-standing derivatives—risk management and other business purposes

Interest rate contracts related to MSRs

16,452

196

Forward contracts related to held for sale mortgage loans

2,210

Interest rate swaps related to long-term debt

373

Foreign exchange contracts for trading purposes

1,681

Put options associated with Processing Business Sale

901

—

Stock warrants associated with Processing Business Sale

205

104

—

Swap associated with the sale of Visa, Inc. Class B shares

416

—

Total free-standing derivatives—risk management and other business purposes

310

Free-standing derivatives—customer accommodation:

Interest rate contracts for customers

28,607

675

700

Interest rate lock commitments

1,729

Commodity contracts

1,939

Foreign exchange contracts

20,848

293

281

Derivative instruments related to equity linked CDs

Total free-standing derivatives—customer accommodation

1,061

1,063

Total derivatives not designated as qualifying hedging instruments

1,371

1,130

Total

1,964

1,157


			Fair Value
December 31, 2010 ($ in millions)	Notional Amount		Derivative Assets		Derivative Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	4,355		442		—
Interest rate swaps related to time deposits		—		—		—

Total fair value hedges				442		—

Cash flow hedges:
Interest rate floors related to C&I loans		1,500		153		—
Interest rate swaps related to C&I loans		3,000		8		—
Interest rate caps related to long-term debt		1,500		4		—
Interest rate swaps related to long-term debt		1,190		—		31

Total cash flow hedges				165		31

Total derivatives designated as qualifying hedging instruments				607		31

Derivatives not designated as qualifying hedging instruments
Free-standing derivatives—risk management and other business purposes
Interest rate contracts related to MSRs		12,477		141		81
Forward contracts related to held for sale mortgage loans		6,389		90		14
Interest rate swaps related to long-term debt		173		3		1
Foreign exchange contracts for trading purposes		2,494		4		4
Put options associated with Processing Business Sale		769		—		8
Stock warrants associated with Processing Business Sale		175		79		—
Swap associated with the sale of Visa, Inc. Class B shares		363		—		18

Total free-standing derivatives—risk management and other business purposes				317		126

Free-standing derivatives—customer accommodation:
Interest rate contracts for customers		26,817		701		735
Interest rate lock commitments		1,772		9		9
Commodity contracts		1,878		99		92
Foreign exchange contracts		17,998		339		319
Derivative instruments related to equity linked CDs		70		2		2

Total free-standing derivatives—customer accommodation				1,150		1,157

Total derivatives not designated as qualifying hedging instruments				1,467		1,283

Total			$	2,074		1,314


			Fair Value
June 30, 2010 ($ in millions)	Notional Amount		Derivative Assets		Derivative Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	4,355		559		—
Interest rate swaps related to time deposits		296		—		1

Total fair value hedges				559		1

Cash flow hedges:
Interest rate floors related to C&I loans		1,500		171		—
Interest rate swaps related to C&I loans		3,500		26		10
Interest rate caps related to long-term debt		2,500		13		—
Interest rate swaps related to long-term debt		907		—		20

Total cash flow hedges				210		30

Total derivatives designated as qualifying hedging instruments				769		31

Derivatives not designated as qualifying hedging instruments
Free-standing derivatives—risk management and other business purposes
Interest rate contracts related to MSRs		7,557		236		7
Forward contracts related to held for sale mortgage loans		2,707		—		50
Interest rate swaps related to long-term debt		304		4		1
Foreign exchange contracts for trading purposes		6,919		37		37
Put options associated with Processing Business Sale		759		—		9
Stock warrants associated with Processing Business Sale		173		82		—
Swap associated with the sale of Visa, Inc. Class B shares		397		—		43

Total free-standing derivatives—risk management and other business purposes				359		147

Free-standing derivatives—customer accommodation:
Interest rate contracts for customers		26,890		828		870
Interest rate lock commitments		2,416		22		1
Commodity contracts		1,203		81		72
Foreign exchange contracts		13,453		270		245
Derivative instruments related to equity linked CDs		113		2		2

Total free-standing derivatives—customer accommodation				1,203		1,190

Total derivatives not designated as qualifying hedging instruments				1,562		1,337

Total			$	2,331		1,368

Change in the Fair Value for Interest Rate Contracts and the Related Hedged Items

The following table reflects the change in fair value of interest rate contracts, designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Condensed Consolidated Statements of Income:


	Condensed Consolidated	For the three months ended June 30,						For the six months ended June 30,
($ in millions)	Statements of Income Caption	2011			2010			2011			2010
Interest rate contracts:
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	46			220			(20	)		285
Change in fair value of hedged long-term debt	Interest on long-term debt		(52	)		(220	)		13			(287	)
Change in fair value of interest rate swaps hedging time deposits	Interest on deposits		—			2			—			5
Change in fair value of hedged time deposits	Interest on deposits		—			(2	)		—			(5	)

Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges

The following table presents the net gains (losses) recorded in the Condensed Consolidated Statements of Income and accumulated other comprehensive income in the Condensed Consolidated Statement of Changes in Shareholders’ Equity relating to derivative instruments designated as cash flow hedges.


	For the three months						For the six months
	ended June 30,						ended June 30,
($ in millions)	2011			2010			2011			2010
Amount of loss recognized in OCI	$	(32	)		(3	)		(32	)		(2	)
Amount of gain reclassified from OCI into net interest income		16			18			31			29
Amount of ineffectiveness recognized in other noninterest income		—			(2	)		—			1

Schedule of Price Risk Derivatives

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:


($ in millions)	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,						For the six months ended June 30,
($ in millions)	Condensed Consolidated Statements of Income Caption	2011			2010			2011			2010
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale	Mortgage banking net revenue	$	4			(52	)		(79	)		(82	)
Interest rate swaps and swaptions related to MSR portfolio	Mortgage banking net revenue		129			96			102			154
Interest rate swaps related to long-term debt	Other noninterest income		3			1			4			2
Foreign exchange contracts:
Foreign exchange contracts for trading purposes	Other noninterest income		—			2			(1	)		1
Equity contracts:
Warrants associated with Processing Business Sale	Other noninterest income		28			9			25			7
Put options associated with Processing Business Sale	Other noninterest income		2			1			1			1
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(4	)		1			(13	)		(9	)

Risk Ratings of the Notional Amount of Risk Participation Agreements

Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table:


($ in millions)	June 30, 2011		December 31, 2010		June 30, 2010
Pass	$	645		744		520
Special mention		34		37		225
Substandard		43		69		11
Doubtful		—		1		8
Loss		1		—		60

Total	$	723		851		824

Net Gains (Losses) Recorded in the Consolidated Statements of Income Relating to Free-Standing Derivative Instruments Used For Customer Accommodation

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:


($ in millions)	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,						For the six months ended June 30,
($ in millions)	Condensed Consolidated Statements of Income Caption	2011			2010			2011			2010
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	7			5			15			11
Interest rate contracts for customers (credit losses)	Other noninterest expense		(10	)		(5	)		(12	)		(7	)
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		3			(4	)		10			(9	)
Interest rate lock commitments	Mortgage banking net revenue		31			72			55			108
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		2			2			3			4
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		1			—			1			1
Foreign exchange contracts:
Foreign exchange contracts—customers (contract revenue)	Corporate banking revenue		15			18			31			32
Foreign exchange contracts—customers (credit portion of fair value adjustment)	Other noninterest expense		5			—			1			—

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

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