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Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2012
Financial Instruments [Abstract]  
Estimated fair value of assets and liabilities
                  
 June 30, 2012 December 31, 2011
    Assets (liabilities)    Assets (liabilities)
 Notional Carrying Estimated Notional Carrying Estimated
(In millions)amount amount (net) fair value amount amount (net) fair value
Assets                  
    Loans (a) $238,676 $239,561  (a) $250,999 $251,433
    Other commercial mortgages (a)  1,510  1,556  (a)  1,494  1,537
    Loans held for sale (a)  903  914  (a)  496  497
  Other financial instruments(c) (a)  1,928  2,449  (a)  2,071  2,534
Liabilities                  
   Borrowings and bank                 
       deposits(b)(d) (a)  (417,973)  (430,221)  (a)  (443,097)  (449,403)
   Investment contract benefits (a)  (3,411)  (4,192)  (a)  (3,493)  (4,240)
    Guaranteed investment contracts (a)  (1,805)  (1,840)  (a)  (4,226)  (4,266)
    Insurance - credit life(e)$2,065  (108)  (92) $1,944 $(106)  (88)
                  
                  

  • These financial instruments do not have notional amounts.
  • See Note 6.
  • Principally cost method investments.
  • Fair values exclude interest rate and currency derivatives designated as hedges of borrowings. Had they been included, the fair value of borrowings at June 30, 2012 and December 31, 2011 would have been reduced by $7,700 million and $9,051 million, respectively.
  • Net of reinsurance of $2,000 million at both June 30, 2012 and December 31, 2011.

 
Loan commitments
       Notional amount at
       June 30, December 31,
(In millions)      2012 2011
            
Ordinary course of business lending commitments(a)      $3,101 $3,756
Unused revolving credit lines(b)           
Commercial(c)       17,116  18,757
Consumer - principally credit cards       258,648  257,646
            
            

  • Excluded investment commitments of $2,204 million and $2,064 million as of June 30, 2012 and December 31, 2011, respectively.
  • Excluded inventory financing arrangements, which may be withdrawn at our option, of $12,315 million and $12,354 million as of June 30, 2012 and December 31, 2011, respectively.
  • Included commitments of $12,705 million and $14,057 million as of June 30, 2012 and December 31, 2011, respectively, associated with secured financing arrangements that could have increased to a maximum of $15,330 million and $17,344 million at June 30, 2012 and December 31, 2011, respectively, based on asset volume under the arrangement.

 
Fair value of derivatives by contract type
  June 30, 2012  December 31, 2011
 Fair value Fair value
(In millions)Assets Liabilities Assets Liabilities
            
Derivatives accounted for as hedges           
    Interest rate contracts$8,824 $995 $9,445 $1,049
    Currency exchange contracts 2,095  1,717  3,720  2,239
    Other contracts 0  0  0  0
  10,919  2,712  13,165  3,288
            
Derivatives not accounted for as hedges           
    Interest rate contracts 319  188  314  241
    Currency exchange contracts 1,112  1,315  1,440  972
    Other contracts 63  16  71  22
  1,494  1,519  1,825  1,235
            
Netting adjustments(a) (2,922)  (2,900)  (3,009)  (2,998)
            
Cash collateral(b)(c) (3,731)  (616)  (2,310)  (1,027)
            
Total$5,760 $715 $9,671 $498
            
            

Derivatives are classified in the captions “Other assets” and “Other liabilities” in our financial statements.

 

  • The netting of derivative receivables and payables is permitted when a legally enforceable master netting agreement exists. Amounts included fair value adjustments related to our own and counterparty non-performance risk. At June 30, 2012 and December 31, 2011, the cumulative adjustment for non-performance risk was a loss of $22 million and $11 million, respectively.
  • Excludes excess cash collateral received of $265 million and $579 million at June 30, 2012 and December 31, 2011, respectively. Excludes excess cash collateral posted of $6 million at June 30, 2012.
  • Excludes securities pledged to us as collateral of $7,178 million and $10,346 million at June 30, 2012 and December 31, 2011, respectively. Includes excess securities collateral of $1,060 million at June 30, 2012.

 
Fair value hedges
 Three months ended June 30,
  2012  2011
(In millions) Gain (loss)  Gain (loss)  Gain (loss)  Gain (loss)
  on hedging  on hedged  on hedging  on hedged
  derivatives  items  derivatives  items
            
Interest rate contracts$2,232 $(2,312) $1,341 $(1,466)
Currency exchange contracts (164)  162  15  (20)
            
            

Fair value hedges resulted in $(82) million and $(130) million of ineffectiveness in the three months ended June 30, 2012 and 2011, respectively. In both the three months ended June 30, 2012 and 2011, there were insignificant amounts excluded from the assessment of effectiveness.

 

 Six months ended June 30,
  2012  2011
(In millions) Gain (loss)  Gain (loss)  Gain (loss)  Gain (loss)
  on hedging  on hedged  on hedging  on hedged
  derivatives  items  derivatives  items
            
Interest rate contracts$785 $(962) $(390) $195
Currency exchange contracts (212)  202  39  (47)
            
            

Fair value hedges resulted in $(187) million and $(203) million of ineffectiveness in the six months ended June 30, 2012 and 2011, respectively. In both the six months ended June 30, 2012 and 2011, there were insignificant amounts excluded from the assessment of effectiveness.

 
Cash flow hedges
       Gain (loss) reclassified
 Gain (loss) recognized in AOCI from AOCI into earnings
 for the three months ended June 30, for the three months ended June 30,
 2012 2011 2012 2011
(In millions)           
            
Cash flow hedges           
Interest rate contracts$(52) $(141) $(124) $(220)
Currency exchange contracts (489)  485  (410)  445
Commodity contracts 0  0  0  11
Total$(541) $344 $(534) $236
            

       Gain (loss) reclassified
 Gain (loss) recognized in AOCI from AOCI into earnings
 for the six months ended June 30, for the six months ended June 30,
 2012 2011 2012 2011
(In millions)           
            
Cash flow hedges           
Interest rate contracts$(79) $(117) $(264) $(476)
Currency exchange contracts (347)  662  (336)  864
Commodity contracts 0  0  0  0
Total$(426) $545 $(600) $388
            
            

The total pre-tax amount in AOCI related to cash flow hedges of forecasted transactions was a $1,187 million loss at June 30, 2012. We expect to transfer $487 million to earnings as an expense in the next 12 months contemporaneously with the earnings effects of the related forecasted transactions. In both the three and six months ended June 30, 2012 and 2011, we recognized insignificant gains and losses, respectively, related to hedged forecasted transactions and firm commitments that did not occur by the end of the originally specified period. At June 30, 2012 and 2011, the maximum term of derivative instruments that hedge forecasted transactions was 20 years and 21 years, respectively.

 
Net investment hedges
 Gain (loss) recognized Gain (loss) reclassified
 in CTA for the from CTA for the
 three months ended June 30, three months ended June 30,
(In millions)2012 2011 2012 2011
            
Net investment hedges           
Currency exchange contracts$1,853 $(2,605) $(2) $(360)
            

 Gain (loss) recognized Gain (loss) reclassified
 in CTA for the from CTA for the
 six months ended June 30, six months ended June 30,
(In millions)2012 2011 2012 2011
            
Net investment hedges           
Currency exchange contracts$351 $(3,406) $(12) $(698)