Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Position of Company

The following table provides information on the fair value of the Company’s derivative positions:

	September 30, 2012						December 31, 2011
(Dollars in Millions)	Asset Derivatives			Liability Derivatives			Asset Derivatives			Liability Derivatives
Total fair value of derivative positions	$	2,176		$	2,640		$	1,913		$	2,554
Netting (a)		(354	)		(1,687	)		(294	)		(1,889	)
Total	$	1,822		$	953		$	1,619		$	665

(a) Represents netting of derivative asset and liability balances, and related collateral, with the same counterparty subject to master netting agreements. At September 30, 2012, the amount of cash and money market investments collateral posted by counterparties that was netted against derivative assets was $89 million and the amount of cash collateral posted by the Company that was netted against derivative liabilities was $1.4 billion, compared with $88 million and $1.7 billion, respectively, at December 31, 2011.

Asset and Liability Management Derivative Positions of Company

The following table summarizes the asset and liability management derivative positions of the Company:

	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years
September 30, 2012
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	500	$	30		3.34	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		–		–		–		4,468		771		3.96
Receive fixed/pay floating swaps		7,000		51		2.10		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		15,159		311		.08		107		1		.04
Sell		2,720		7		.14		17,673		389		.08
Options
Purchased		2,250		–		.07		–		–		–
Written		6,097		204		.12		8		1		.19
Receive fixed/pay floating swaps		3,975		45		10.23		–		–		–
Foreign exchange forward contracts		1,125		7		.02		1,446		5		.03
Equity contracts		32		–		.53		33		1		2.72
Credit contracts		909		3		4.45		2,005		10		3.28
December 31, 2011
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps		500		27		4.09		–		–		–
Foreign exchange cross-currency swaps		688		17		5.17		432		23		5.17
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		–		–		–		4,788		803		4.03
Receive fixed/pay floating swaps		750		–		2.75		6,250		6		2.86
Net investment hedges
Foreign exchange forward contracts		708		4		.08		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		14,270		150		.07		29		–		.12
Sell		231		1		.15		14,415		134		.11
Options
Purchased		1,250		–		.07		–		–		–
Written		4,421		80		.10		11		1		.13
Receive fixed/pay floating swaps		2,625		9		10.21		–		–		–
Foreign exchange forward contracts		307		1		.08		1,414		11		.08
Equity contracts		54		1		1.05		10		–		.64
Credit contracts		800		7		3.71		1,600		8		3.59

Customer-Related Derivative Positions of Company

The following table summarizes the customer-related derivative positions of the Company:

	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years
September 30, 2012
Interest rate contracts
Receive fixed/pay floating swaps	$	17,262	$	1,186		4.74	$	359	$	8		16.45
Pay fixed/receive floating swaps		280		8		19.79		17,433		1,148		4.76
Options
Purchased		3,014		15		5.34		28		–		4.67
Written		202		–		.73		2,839		15		5.66
Foreign exchange rate contracts
Forwards, spots and swaps (a)		11,038		301		.36		10,799		283		.45
Options
Purchased		346		8		.65		–		–		–
Written		–		–		–		346		8		.65
December 31, 2011
Interest rate contracts
Receive fixed/pay floating swaps		16,230		1,216		4.98		523		1		2.52
Pay fixed/receive floating swaps		99		–		1.81		16,206		1,182		5.10
Options
Purchased		2,660		26		6.11		–		–		–
Written		–		–		–		2,660		26		6.11
Foreign exchange rate contracts
Forwards, spots and swaps (a)		7,936		369		.54		7,731		354		.54
Options
Purchased		127		5		.41		–		–		–
Written		–		–		–		127		5		.41

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

Summary of Effective Portion of Gains (Losses) Recognized in Other Comprehensive Income (Loss) and Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings

The table below shows the effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains (losses) reclassified from other comprehensive income (loss) into earnings (net-of-tax):

	Three Months Ended September 30,												Nine Months Ended September 30,
	Gains (Losses) Recognized in Other Comprehensive Income (Loss)						Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings						Gains (Losses) Recognized in Other Comprehensive Income (Loss)						Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings
(Dollars in Millions)	2012			2011			2012			2011			2012			2011			2012			2011
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts (a)	$	(19	)	$	(120	)	$	(33	)	$	(34	)	$	(42	)	$	(199	)	$	(98	)	$	(103	)
Net investment hedges
Foreign exchange forward contracts		–			(57	)		–			–			(6	)		(104	)		–			–
Non-derivative debt instruments		(11	)		–			–			–			26			–			–			–

Note: Ineffectiveness on cash flow and net investment hedges was not material for the three and nine months ended September 30, 2012 and 2011.

(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

The table below shows the gains (losses) recognized in earnings for fair value hedges, other economic hedges and the customer-related positions:

	Location of Gains (Losses) Recognized in Earnings		Three Months Ended September 30,						Nine Months Ended September 30,
(Dollars in Millions)			2012			2011			2012			2011
Asset and Liability Management Positions
Fair value hedges (a)
Interest rate contracts		Other noninterest income	$	2		$	1		$	5		$	25
Foreign exchange cross-currency swaps		Other noninterest income		–			(111	)		42			(13	)
Other economic hedges
Interest rate contracts
Futures and forwards		Mortgage banking revenue		(44	)		17			67			(7	)
Purchased and written options		Mortgage banking revenue		290			181			689			323
Receive fixed/pay floating swaps		Mortgage banking revenue		48			377			186			479
Pay fixed/receive floating swaps		Mortgage banking revenue		–			4			–			4
Foreign exchange forward contracts		Commercial products revenue		(25	)		(48	)		(62	)		(66	)
Equity contracts		Compensation expense		1			1			2			2
Credit contracts		Other noninterest income/expense		(2	)		4			(8	)		2
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps		Other noninterest income		(16	)		366			(10	)		352
Pay fixed/receive floating swaps		Other noninterest income		19			(376	)		15			(365	)
Foreign exchange rate contracts
Forwards, spots and swaps		Commercial products revenue		13			14			36			41

(a) Gains (Losses) on items hedged by interest rate contracts and foreign exchange forward contracts, included in noninterest income (expense), were $(2) million and zero for the three months ended September 30, 2012, respectively, and $(3) million and $117 million for the three months ended September 30, 2011, respectively. Gains (Losses) on items hedged by interest rate contracts and foreign exchange forward contracts, included in noninterest income (expense), were $(5) million and $(44) million for the nine months ended September 30, 2012, respectively, and $(27) million and $20 million for the nine months ended September 30, 2011, respectively. The ineffective portion was immaterial for the three and nine months ended September 30, 2012 and 2011.