Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

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
		Notional		Derivative	Derivative
June 30, 2012 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	4,080		640	-
Total fair value hedges				640	-
Cash flow hedges:
Interest rate floors related to C&I loans		1,500		58	-
Interest rate swaps related to C&I loans		1,000		64	-
Interest rate caps related to long-term debt		500		-	-
Interest rate swaps related to long-term debt		250		-	3
Total cash flow hedges				122	3
Total derivatives designated as qualifying hedging instruments				762	3
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes
Interest rate contracts related to MSRs		8,577		238	-
Forward contracts related to held for sale mortgage loans		7,382		9	37
Interest rate swaps related to long-term debt		136		1	1
Stock warrants associated with sale of the processing business		475		213	-
Swap associated with the sale of Visa, Inc. Class B shares		532		-	29
Total free-standing derivatives - risk management and other business purposes				461	67
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		27,147		671	691
Interest rate lock commitments		4,887		55	1
Commodity contracts		2,316		120	112
Foreign exchange contracts		18,020		237	221
Derivative instruments related to equity linked CDs		25		1	1
Total free-standing derivatives - customer accommodation				1,084	1,026
Total derivatives not designated as qualifying hedging instruments				1,545	1,093
Total			$	2,307	1,096

				Fair Value
		Notional		Derivative	Derivative
December 31, 2011 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	4,080		662	-
Total fair value hedges				662	-
Cash flow hedges:
Interest rate floors related to C&I loans		1,500		91	-
Interest rate swaps related to C&I loans		1,500		59	-
Interest rate caps related to long-term debt		500		-	-
Interest rate swaps related to long-term debt		250		-	5
Total cash flow hedges				150	5
Total derivatives designated as qualifying hedging instruments				812	5
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes
Interest rate contracts related to MSRs		3,077		187	-
Forward contracts related to held for sale mortgage loans		5,705		8	54
Interest rate swaps related to long-term debt		311		1	3
Put options associated with sale of the processing business		978		-	1
Stock warrants associated with sale of the processing business		223		111	-
Swap associated with the sale of Visa, Inc. Class B shares		436		-	78
Total free-standing derivatives - risk management and other business purposes				307	136
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		30,000		774	795
Interest rate lock commitments		3,835		33	1
Commodity contracts		2,074		134	130
Foreign exchange contracts		17,909		294	275
Derivative instruments related to equity linked CDs		34		2	2
Total free-standing derivatives - customer accommodation				1,237	1,203
Total derivatives not designated as qualifying hedging instruments				1,544	1,339
Total			$	2,356	1,344

				Fair Value
		Notional		Derivative	Derivative
June 30, 2011 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	4,080		422	-
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		42	18
Interest rate caps related to long-term debt		1,500		1	-
Interest rate swaps related to long-term debt		250		-	9
Total cash flow hedges				171	27
Total derivatives designated as qualifying hedging instruments				593	27
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	31
Forward contracts related to held for sale mortgage loans		2,210		6	9
Interest rate swaps related to long-term debt		373		2	6
Foreign exchange contracts for trading purposes		1,681		2	2
Put options associated with sale of the processing business		901		-	7
Stock warrants associated with sale of the processing business		205		104	-
Swap associated with the sale of Visa, Inc. Class B shares		416		-	12
Total free-standing derivatives - risk management and other business purposes				310	67
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		28,607		675	700
Interest rate lock commitments		1,729		6	2
Commodity contracts		1,939		85	78
Foreign exchange contracts		20,848		293	281
Derivative instruments related to equity linked CDs		42		2	2
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

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships

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		For the six months
	Statements of		ended June 30,		ended June 30,
($ in millions)	Income Caption		2012	2011	2012	2011
Interest rate contracts:
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	78	46	(22)	(20)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		(78)	(52)	14	13

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 Statements of Comprehensive Income 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)		2012	2011	2012	2011
Amount of net gain (loss) recognized in OCI	$	16	(32)	25	(32)
Amount of net (loss) gain reclassified from OCI into net income		(21)	16	(41)	31

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:

	Condensed Consolidated		For the three months		For the six months
	Statements of		ended June 30,		ended June 30,
($ in millions)	Income Caption		2012	2011	2012	2011
Interest rate contracts:
Forward contracts related to mortgage loans held for sale	Mortgage banking net revenue	$	(39)	4	17	(79)
Interest rate swaps and swaptions related to MSR portfolio	Mortgage banking net revenue		38	129	42	102
Interest rate swaps related to long-term debt	Other noninterest income		1	3	2	4
Foreign exchange contracts:
Foreign exchange contracts for trading purposes	Other noninterest income		-	-	-	(1)
Equity contracts:
Stock warrants associated with sale of the processing business	Other noninterest income		56	28	102	25
Put options associated with sale of the processing business	Other noninterest income		-	2	1	1
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(11)	(4)	(29)	(13)

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:

		June 30,	December 31,	June 30,
As of ($ in millions)		2012	2011	2011
Pass	$	914	772	645
Special mention		-	14	34
Substandard		43	18	43
Doubtful		-	4	-
Loss		-	-	1
Total	$	957	808	723

Net Gains (Losses) Recognized in the Income Statement Related to Free-Standing Derivative Instruments Used For Customer Accomodation

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:

			For the three months		For the six months
	Condensed Consolidated		ended June 30,		ended June 30,
($ in millions)	Statements of Income Caption		2012	2011	2012	2011
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	8	7	14	15
Interest rate contracts for customers (credit losses)	Other noninterest expense		-	(10)	-	(12)
Interest rate contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	3	3	10
Interest rate lock commitments	Mortgage banking net revenue		125	31	175	55
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		3	2	5	3
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		19	15	34	31
Foreign exchange contracts - customers (credit portion of
fair value adjustment)	Other noninterest expense		(1)	5	1	1