Derivative Financial Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2013
|
Notional Amounts and Fair Values for All Derivative Instruments Included in the Consolidated Balance Sheets |
| | | | Fair Value | | | Notional | | Derivative | Derivative | March 31, 2013 ($ in millions) | | Amount | | Assets | Liabilities | Qualifying hedging instruments | | | | | | Fair value hedges: | | | | | | Interest rate swaps related to long-term debt | $ | 3,880 | | 492 | 1 | Total fair value hedges | | | | 492 | 1 | Cash flow hedges: | | | | | | Interest rate floors related to C&I loans | | 1,500 | | 3 | - | Interest rate swaps related to C&I loans | | 1,000 | | 55 | - | Total cash flow hedges | | | | 58 | - | Total derivatives designated as qualifying hedging instruments | | | | 550 | 1 | Derivatives not designated as qualifying hedging instruments | | | | | | Free-standing derivatives - risk management and other business purposes | | | | | | Interest rate contracts related to MSRs | | 5,952 | | 199 | - | Forward contracts related to held for sale mortgage loans | | 7,752 | | 8 | 22 | Stock warrants associated with sale of the processing business | | 484 | | 211 | - | Swap associated with the sale of Visa, Inc. Class B shares | | 722 | | - | 37 | Total free-standing derivatives - risk management and other business purposes | | | | 418 | 59 | Free-standing derivatives - customer accommodation: | | | | | | Interest rate contracts for customers | | 26,597 | | 522 | 537 | Interest rate lock commitments | | 4,351 | | 51 | 1 | Commodity contracts | | 3,043 | | 74 | 70 | Foreign exchange contracts | | 17,476 | | 233 | 198 | Total free-standing derivatives - customer accommodation | | | | 880 | 806 | Total derivatives not designated as qualifying hedging instruments | | | | 1,298 | 865 | Total | | | $ | 1,848 | 866 |
| | | | | | | | | | Fair Value | | | Notional | Derivative | Derivative | December 31, 2012 ($ in millions) | | Amount | Assets | Liabilities | Qualifying hedging instruments | | | | | | Fair value hedges: | | | | | | Interest rate swaps related to long-term debt | $ | 2,880 | | 558 | - | Total fair value hedges | | | | 558 | - | Cash flow hedges: | | | | | | Interest rate floors related to C&I loans | | 1,500 | | 22 | - | Interest rate swaps related to C&I loans | | 1,000 | | 60 | - | Interest rate caps related to long-term debt | | 500 | | - | - | Interest rate swaps related to long-term debt | | 250 | | - | 1 | Total cash flow hedges | | | | 82 | 1 | Total derivatives designated as qualifying hedging instruments | | | | 640 | 1 | Derivatives not designated as qualifying hedging instruments | | | | | | Free-standing derivatives - risk management and other business purposes | | | | | | Interest rate contracts related to MSRs | | 10,177 | | 219 | - | Forward contracts related to held for sale mortgage loans | | 5,322 | | 2 | 14 | Stock warrants associated with sale of the processing business | | 416 | | 177 | - | Swap associated with the sale of Visa, Inc. Class B shares | | 644 | | - | 33 | Total free-standing derivatives - risk management and other business purposes | | | | 398 | 47 | Free-standing derivatives - customer accommodation: | | | | | | Interest rate contracts for customers | | 27,354 | | 586 | 602 | Interest rate lock commitments | | 4,894 | | 60 | - | Commodity contracts | | 3,084 | | 87 | 82 | Foreign exchange contracts | | 17,297 | | 201 | 183 | Derivative instruments related to equity linked CDs | | 5 | | - | - | Total free-standing derivatives - customer accommodation | | | | 934 | 867 | Total derivatives not designated as qualifying hedging instruments | | | | 1,332 | 914 | Total | | | $ | 1,972 | 915 |
|
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 | | | Statements of | | ended March 31, | | ($ in millions) | Income Caption | | 2013 | 2012 | | Interest rate contracts: | | | | | | | | Change in fair value of interest rate swaps hedging long-term debt | Interest on long-term debt | $ | (67) | | (100) | | | Change in fair value of hedged long-term debt
attributable to the risk being hedged | Interest on long-term debt | | 66 | | 92 | | | | | | | | | | |
|
Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges |
The following table presents the net gains recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges: | | | | | | | | | | For the three months | | | | ended March 31, | | ($ in millions) | | 2013 | 2012 | | Amount of net gain recognized in OCI | $ | 1 | | 9 | | | Amount of net gain reclassified from OCI into net income | | 21 | | 20 | | | Amount of ineffectiveness recognized in other noninterest income | | - | | - | | |
|
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 | | | | Statements of | | ended March 31, | | ($ in millions) | | Income Caption | | 2013 | 2012 | | Interest rate contracts: | | | | | | | | | Forward contracts related to mortgage loans held for sale | | Mortgage banking net revenue | $ | (3) | | 57 | | | Interest rate contracts related to MSRs | | Mortgage banking net revenue | | (6) | | 4 | | | Interest rate swaps related to long-term debt | | Other noninterest income | | - | | 1 | | | Foreign exchange contracts: | | | | | | | | | Foreign exchange contracts for trading purposes | | Other noninterest income | | 2 | | - | | | Equity contracts: | | | | | | | | | Stock warrants associated with sale of the processing business | | Other noninterest income | | 34 | | 45 | | | Put options associated with sale of the processing business | | Other noninterest income | | - | | 1 | | | Swap associated with sale of Visa, Inc. Class B shares | | Other noninterest income | | (7) | | (19) | | |
|
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: | | | | | | | | | March 31, | December 31, | As of ($ in millions) | | 2013 | 2012 | Pass | $ | 1,160 | | 993 | | Special mention | | 3 | | - | | Substandard | | 13 | | 13 | | Doubtful | | - | | - | | Total | $ | 1,176 | | 1,006 | |
|
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 | | | Condensed Consolidated | | ended March 31, | | ($ in millions) | Statements of Income Caption | | 2013 | 2012 | | Interest rate contracts: | | | | | | | | Interest rate contracts for customers (contract revenue) | Corporate banking revenue | $ | 5 | | 6 | | | Interest rate contracts for customers (credit losses) | Other noninterest expense | | (1) | | - | | | Interest rate contracts for customers (credit portion of | | | | | | | | fair value adjustment) | Other noninterest expense | | 1 | | 3 | | | Interest rate lock commitments | Mortgage banking net revenue | | 56 | | 50 | | | Commodity contracts: | | | | | | | | Commodity contracts for customers (contract revenue) | Corporate banking revenue | | 2 | | 2 | | | Foreign exchange contracts: | | | | | | | | Foreign exchange contracts - customers (contract revenue) | Corporate banking revenue | | 18 | | 15 | | | Foreign exchange contracts - customers (credit portion of | | | | | | | | fair value adjustment) | Other noninterest expense | | - | | 2 | | |
|