Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2011


	September 30, 2011						December 31, 2010
	Asset			Liability			Asset			Liability
(Dollars in Millions)	Derivatives			Derivatives			Derivatives			Derivatives
Total fair value of derivative positions	$	2,139		$	2,728		$	1,799		$	2,174
Netting (a)		(361	)		(1,680	)		(280	)		(1,163	)

Total	$	1,778		$	1,048		$	1,519		$	1,011

Note: The fair value of asset and liability derivatives are included in Other assets and Other liabilities on the Consolidated Balance Sheet, respectively.


(a)		Represents netting of derivative asset and liability balances, and related collateral, with the same counterparty subject to master netting agreements. Authoritative accounting guidance permits the netting of derivative receivables and payables when a legally enforceable master netting agreement exists between the Company and a derivative counterparty. A master netting agreement is an agreement between two counterparties who have multiple derivative contracts with each other that provide for the net settlement of contracts through a single payment, in a single currency, in the event of default on or termination of any one contract. At September 30, 2011, the amount of cash and money market investments collateral posted by counterparties that was netted against derivative assets was $111 million and the amount of cash collateral posted by the Company that was netted against derivative liabilities was $1.4 billion. At December 31, 2010, the amount of cash and money market investments collateral posted by counterparties that was netted against derivative assets was $55 million and the amount of cash collateral posted by the Company that was netted against derivative liabilities was $936 million.

Asset and liability management derivative positions of company


	Asset Derivatives						Liability Derivatives
					Weighted-Average						Weighted-Average
					Remaining						Remaining
	Notional		Fair		Maturity		Notional		Fair		Maturity
(Dollars in Millions)	Value		Value		In Years		Value		Value		In Years
September 30, 2011
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	1,035	$	42		31.17	$	–	$	–		–
Foreign exchange cross-currency swaps		895		52		5.49		447		8		5.49
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		750		1		3.05		11,039		845		3.67
Net investment hedges
Foreign exchange forward contracts		738		15		.08		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		12,832		132		.08		691		4		.05
Sell		2,893		9		.14		9,732		126		.12
Options
Purchased		1,000		–		.06		–		–		–
Written		4,664		79		.14		13		–		.16
Receive fixed/pay floating swaps		2,875		12		10.21		–		–		–
Pay fixed/receive floating swaps		250		4		10.21		–		–		–
Foreign exchange forward contracts		690		23		.09		144		1		.10
Equity contracts		30		2		1.53		31		5		.88
Credit contracts		710		6		2.85		1,611		8		3.05
December 31, 2010
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps		1,800		72		55.75		–		–		–
Foreign exchange cross-currency swaps		891		70		6.17		445		–		6.17
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		–		–		–		4,788		688		5.03
Net investment hedges
Foreign exchange forward contracts		512		3		.08		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		2,879		20		.10		6,312		79		.05
Sell		9,082		207		.07		6,002		51		.09
Options
Purchased		1,600		–		.06		–		–		–
Written		6,321		23		.07		1,348		9		.07
Receive fixed/pay floating swaps		2,250		3		10.22		–		–		–
Foreign exchange forward contracts		158		1		.09		694		6		.09
Equity contracts		61		3		1.60		–		–		–
Credit contracts		650		2		3.22		1,183		7		2.71


	Asset Derivatives						Liability Derivatives
					Weighted-Average						Weighted-Average
					Remaining						Remaining
	Notional		Fair		Maturity		Notional		Fair		Maturity
(Dollars in Millions)	Value		Value		In Years		Value		Value		In Years
September 30, 2011
Interest rate contracts
Receive fixed/pay floating swaps	$	16,482	$	1,270		5.05	$	239	$	–		2.80
Pay fixed/receive floating swaps		217		1		3.94		16,572		1,241		5.07
Options
Purchased		2,191		5		1.85		100		23		.08
Written		369		23		.20		1,962		5		2.04
Foreign exchange rate contracts
Forwards, spots and swaps (a)		13,166		457		.41		12,357		456		.39
Options
Purchased		144		6		.46		–		–		–
Written		–		–		–		144		6		.46
December 31, 2010
Interest rate contracts
Receive fixed/pay floating swaps		15,730		956		4.64		1,294		21		6.01
Pay fixed/receive floating swaps		1,315		24		6.12		15,769		922		4.68
Options
Purchased		2,024		13		1.98		115		12		.36
Written		472		12		.26		1,667		13		2.35
Foreign exchange rate contracts
Forwards, spots and swaps (a)		7,772		384		.74		7,694		360		.75
Options
Purchased		224		6		.40		–		–		–
Written		–		–		–		224		6		.40


(a)		Reflects the net of long and short positions.

Summary of effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains (losses) reclassified from other comprehensive income (Loss) into earnings


	Three Months Ended September 30,												Nine Months Ended September 30,
							Gains (Losses)
							Reclassified												Gains (Losses)
	Gains (Losses)						from Other												Reclassified
	Recognized in Other						Comprehensive						Gains (Losses) Recognized in						from Other
	Comprehensive						Income (Loss)						Other Comprehensive						Comprehensive Income (Loss)
	Income (Loss)						into Earnings						Income (Loss)						into Earnings

Dollars in Millions)	2011			2010			2011			2010			2011			2010			2011			2010
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps (a)	$	(120	)	$	(111	)	$	(34	)	$	(34	)	$	(199	)	$	(317	)	$	(103	)	$	(113	)
Net investment hedges
Foreign exchange forward contracts		(57	)		(53	)		–			–			(104	)		(36	)		–			–

Note: Ineffectiveness on cash flow and net investment hedges was not material for the three months and nine months ended September 30, 2011 and 2010.


(a)		Gains (Losses) reclassified from other comprehensive income (loss) into interest income on loans and interest expense on long-term debt.

Summary of gains (losses) recognized in earnings for fair value hedges, other economic hedges and customer-related positions


			Gains (Losses) Recognized in Earnings
	Location of		Three Months Ended September 30,						Nine Months Ended September 30,
	Gains (Losses)
(Dollars in Millions)	Recognized in Earnings		2011			2010			2011			2010
Asset and Liability Management Positions
Fair value hedges (a)
Interest rate contracts		Other noninterest income	$	1		$	20		$	25		$	(64	)
Foreign exchange cross-currency swaps		Other noninterest income		(111	)		80			(13	)		(151	)
Other economic hedges
Interest rate contracts
Futures and forwards		Mortgage banking revenue		17			286			(7	)		555
Purchased and written options		Mortgage banking revenue		181			183			323			374
Receive fixed/pay floating swaps		Mortgage banking revenue		377			–			479			–
Pay fixed/receive floating swaps		Mortgage banking revenue		4			–			4			–
Foreign exchange forward contracts		Commercial products revenue		(48	)		(14	)		(66	)		(5	)
Equity contracts		Compensation expense		1			1			2			3
Credit contracts		Other noninterest income/expense		4			–			2			–
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps		Other noninterest income		366			213			352			567
Pay fixed/receive floating swaps		Other noninterest income		(376	)		(216	)		(365	)		(565	)
Purchased and written options		Other noninterest income		–			1			–			1
Foreign exchange rate contracts
Forwards, spots and swaps		Commercial products revenue		14			13			41			34
Purchased and written options		Commercial products revenue		–			1			–			1


(a)		Gains (Losses) on items hedged by interest rate contracts and foreign exchange forward contracts, included in noninterest income (expense), were $(3) million and $117 million for the three months ended September 30, 2011, respectively, and $(18) million and $(80) million for the three months ended September 30, 2010, respectively. Gains (Losses) on items hedged by interest rate contracts and foreign exchange forward contracts, included in noninterest income (expense), were $(27) million and $20 million for the nine months ended September 30, 2011, respectively, and $65 million and $150 million for the nine months ended September 30, 2010, respectively. The ineffective portion was immaterial for the three months and nine months ended September 30, 2011 and 2010.

- 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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