Derivatives (Tables)

12 Months Ended

Dec. 31, 2011

Total Notional or Contractual Amounts and Fair Values for Derivatives


						December 31, 2011					December 31, 2010
					Notional or			Fair value		Notional or		Fair value
					contractual			Asset	Liability	contractual		Asset	Liability
(in millions)						amount	derivatives		derivatives		amount	derivatives	derivatives
Derivatives designated as hedging instruments
	Interest rate contracts (1)				$	87,537		8,423	2,769		110,314	7,126	1,614
	Foreign exchange contracts					22,269		1,523	572		25,904	1,527	727
Total derivatives designated as
	qualifying hedging instruments							9,946	3,341			8,653	2,341
Derivatives not designated as hedging instruments
	Free-standing derivatives (economic hedges):
		Interest rate contracts (2)				377,497		2,318	2,011		408,563	2,898	2,625
		Equity contracts				-		-	-		176	-	46
		Foreign exchange contracts				5,833		250	3		5,528	23	53
		Credit contracts - protection purchased				125		3	-		396	80	-
		Other derivatives				2,367		-	117		2,538	-	35
			Subtotal					2,571	2,131			3,001	2,759
	Customer accommodation, trading and other
		free-standing derivatives:
		Interest rate contracts				2,425,144		81,336	83,834		2,809,387	58,225	59,329
		Commodity contracts				77,985		4,351	4,234		83,114	4,133	3,918
		Equity contracts				68,778		3,768	3,661		73,278	3,272	3,450
		Foreign exchange contracts				140,704		3,151	2,803		110,889	2,800	2,682
		Credit contracts - protection sold				38,403		319	5,178		47,699	605	5,826
		Credit contracts - protection purchased				36,156		3,254	276		44,776	4,661	588
		Other derivatives				-		-	-		190	8	-
			Subtotal					96,179	99,986			73,704	75,793
Total derivatives not designated as hedging instruments								98,750	102,117			76,705	78,552
Total derivatives before netting								108,696	105,458			85,358	80,893
Netting (3)								(81,143)	(89,990)			(63,469)	(70,009)
				Total			$	27,553	15,468			21,889	10,884

Notional amounts presented exclude $15.5 billion at December 31, 2011, and $20.9 billion at December 31, 2010, of basis swaps that are combined with receive fixed-rate/pay floating-rate swaps and designated as one hedging instrument.
Includes free-standing derivatives (economic hedges) used to hedge the risk of changes in the fair value of residential MSRs, MHFS, and other interests held.
Represents netting of derivative asset and liability balances, and related cash collateral, with the same counterparty subject to master netting arrangements. The amount of cash collateral netted against derivative assets and liabilities was $6.6 billion and $15.4 billion, respectively, at December 31, 2011, and $5.5 billion and $12.1 billion, respectively, at December 31, 2010.

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships


			Interest rate			Foreign exchange		Total net
			contracts hedging:			contracts hedging:		gains
								(losses)
			Securities	Mortgages		Securities		on fair
			available	held for	Long-term	available	Long-term	value
(in millions)			for sale	sale	debt	for sale	debt	hedges

Year ended December 31, 2011
Gains (losses) recorded in net interest income		$	(451)	-	1,659	(11)	376	1,573

Gains (losses) recorded in noninterest income
	Recognized on derivatives		(1,298)	(21)	2,796	168	512	2,157
	Recognized on hedged item		1,232	17	(2,616)	(186)	(445)	(1,998)
	Recognized on fair value hedges (ineffective portion) (1)	$	(66)	(4)	180	(18)	67	159

Year ended December 31, 2010
Gains (losses) recorded in net interest income		$	(390)	-	1,755	(4)	374	1,735

Gains (losses) recorded in noninterest income
	Recognized on derivatives		(432)	-	1,565	269	(1,030)	372
	Recognized on hedged item		469	-	(1,469)	(270)	1,007	(263)
	Recognized on fair value hedges (ineffective portion) (1)	$	37	-	96	(1)	(23)	109

Included $53 million and $3 million, respectively, for year ended December 31, 2011 and 2010, of gains (losses) on forward derivatives hedging foreign currency securities available for sale and long-term debt, representing the portion of derivatives gains (losses) excluded from the assessment of hedge effectiveness (time value).

Net Gains (Losses) Recognized Related to Derivatives in Cash Flow Hedging Relationships


		Year ended
	December 31,
(in millions)		2011	2010
Gains (after tax) recognized in OCI on derivatives	$	105	468
Gains (pre tax) reclassified from cumulative OCI into net interest income		571	613
Gains (losses) (pre tax) recognized in noninterest income on derivatives (1)		(5)	6

None of the change in value of the derivatives was excluded from the assessment of hedge effectiveness.

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives not Designated as Hedging Instruments


						Year ended
						December 31,
(in millions)						2011	2010
Net gains (losses) recognized on free-standing derivatives (economic hedges):
	Interest rate contracts
		Recognized in noninterest income:
			Mortgage banking (1)		$	246	1,611
			Other (2)			(157)	(22)
	Foreign exchange contracts (2)					70	103
	Equity contracts (2)					(5)	-
	Credit contracts (2)					(18)	(174)
				Subtotal		136	1,518
Net gains (losses) recognized on customer accommodation, trading and other free-standing derivatives:
	Interest rate contracts
		Recognized in noninterest income:
			Mortgage banking (3)			3,594	3,305
			Other (4)			298	224
	Commodity contracts (4)					124	65
	Equity contracts (4)					769	441
	Foreign exchange contracts (4)					698	565
	Credit contracts (4)					(200)	(710)
	Other (4)					(5)	10
				Subtotal		5,278	3,900
Net gains recognized related to derivatives not designated as hedging instruments					$	5,414	5,418

Predominantly mortgage banking noninterest income including gains (losses) on the derivatives used as economic hedges of MSRs measured at fair value, interest rate lock commitments and mortgages held for sale.
Predominantly included in other noninterest income.
Predominantly mortgage banking noninterest income including gains (losses) on interest rate lock commitments.
Predominantly included in net gains from trading activities in noninterest income.

Details of Sold and Purchased Credit Derivatives


					Notional amount
						Protection		Protection
						sold -		purchased	Net
						non-		with	protection	Other
				Fair value	Protection	investment		identical	sold	protection	Range of
(in millions)				liability	sold (A)	grade	underlyings (B)		(A) - (B)	purchased	maturities
December 31, 2011
Credit default swaps on:
	Corporate bonds		$	1,002	24,634	14,043		13,329	11,305	9,404	2012-2021
	Structured products			3,308	4,691	4,300		2,194	2,497	1,335	2016-2056
Credit protection on:
	Default swap index			68	3,006	843		2,341	665	912	2012-2017
	Commercial mortgage-
		backed securities index		713	1,357	458		19	1,338	1,403	2049-2052
	Asset-backed securities index			76	83	83		8	75	116	2037-2046
Loan deliverable credit default swaps				2	460	453		355	105	251	2012-2016
Other				9	4,172	3,637		126	4,046	4,422	2012-2056
	Total credit derivatives		$	5,178	38,403	23,817		18,372	20,031	17,843

December 31, 2010
Credit default swaps on:
	Corporate bonds		$	810	30,445	16,360		17,978	12,467	9,440	2011-2020
	Structured products			4,145	5,825	5,246		4,948	877	2,482	2016-2056
Credit protection on:
	Default swap index			12	2,700	909		2,167	533	1,106	2011-2017
	Commercial mortgage-backed securities index			717	1,977	612		924	1,053	779	2049-2052
	Asset-backed securities index			128	144	144		46	98	142	2037-2046
Loan deliverable credit default swaps				2	481	456		391	90	261	2011-2014
Other				12	6,127	5,348		41	6,086	2,745	2011-2056
	Total credit derivatives		$	5,826	47,699	29,075		26,495	21,204	16,955

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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