Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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
September 30, 2012 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,880		606	-
Total fair value hedges				606	-
Cash flow hedges:
Interest rate floors related to C&I loans		1,500		42	-
Interest rate swaps related to C&I loans		1,000		65	-
Interest rate caps related to long-term debt		500		-	-
Interest rate swaps related to long-term debt		250		-	2
Total cash flow hedges				107	2
Total derivatives designated as qualifying hedging instruments				713	2
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes
Interest rate contracts related to MSRs		9,327		258	5
Forward contracts related to held for sale mortgage loans		8,749		10	92
Stock warrants associated with sale of the processing business		439		197	-
Swap associated with the sale of Visa, Inc. Class B shares		571		-	21
Total free-standing derivatives - risk management and other business purposes				465	118
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		27,112		640	658
Interest rate lock commitments		5,154		102	-
Commodity contracts		2,860		99	95
Foreign exchange contracts		18,809		216	198
Derivative instruments related to equity linked CDs		13		1	1
Total free-standing derivatives - customer accommodation				1,058	952
Total derivatives not designated as qualifying hedging instruments				1,523	1,070
Total			$	2,236	1,072

				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
September 30, 2011 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	4,080		679	-
Total fair value hedges				679	-
Cash flow hedges:
Interest rate floors related to C&I loans		1,500		112	-
Interest rate swaps related to C&I loans		1,500		60	-
Interest rate caps related to long-term debt		500		-	-
Interest rate swaps related to long-term debt		250		-	7
Total cash flow hedges				172	7
Total derivatives designated as qualifying hedging instruments				851	7
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes
Interest rate contracts related to MSRs		3,577		193	2
Forward contracts and options related to held for sale mortgage loans		5,062		4	59
Interest rate swaps related to long-term debt		360		1	3
Foreign exchange contracts for trading purposes		1,696		12	12
Put options associated with sale of the processing business		901		-	1
Stock warrants associated with sale of the processing business		205		101	-
Swap associated with the sale of Visa, Inc. Class B shares		423		-	27
Total free-standing derivatives - risk management and other business purposes				311	104
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		29,433		827	851
Interest rate lock commitments		4,772		38	1
Commodity contracts		2,102		112	105
Foreign exchange contracts		19,243		459	435
Derivative instruments related to equity linked CDs		34		2	2
Total free-standing derivatives - customer accommodation				1,438	1,394
Total derivatives not designated as qualifying hedging instruments				1,749	1,498
Total			$	2,600	1,505

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 nine months
	Statements of		ended September 30,		ended September 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	$	(35)	258	(56)	238
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		44	(255)	59	(242)

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 nine months
		ended September 30,		ended September 30,
($ in millions)		2012	2011	2012	2011
Amount of net gain recognized in OCI	$	10	27	35	59
Amount of net gain (loss) reclassified from OCI into net income		22	(10)	63	21
Amount of ineffectiveness recognized in other noninterest income		-	-	-	2

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 nine months
	Statements of		ended September 30,		ended September 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	$	(59)	(57)	(42)	(136)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		32	235	75	337
Interest rate swaps related to long-term debt	Other noninterest income		1	2	2	6
Foreign exchange contracts:
Foreign exchange contracts for trading purposes	Other noninterest income		(1)	-	(1)	-
Equity contracts:
Stock warrants associated with sale of the processing business	Other noninterest income		(16)	(3)	85	22
Put options associated with sale of the processing business	Other noninterest income		-	6	1	8
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(1)	(17)	(30)	(30)

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:
		September 30,	December 31,	September 30,
As of ($ in millions)		2012	2011	2011
Pass	$	940	772	654
Special mention		-	14	9
Substandard		31	18	54
Doubtful		-	4	4
Loss		-	-	1
Total	$	971	808	722

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 nine months
	Condensed Consolidated		ended September 30,		ended September 30,
($ in millions)	Statements of Income Caption		2012	2011	2012	2011
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	7	7	20	22
Interest rate contracts for customers (credit losses)	Other noninterest expense		(1)	-	(2)	(12)
Interest rate contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		2	-	5	10
Interest rate lock commitments	Mortgage banking net revenue		166	100	341	156
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		1	3	6	6
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		16	17	49	48
Foreign exchange contracts - customers (credit portion of
fair value adjustment)	Other noninterest expense		1	(3)	2	(2)