Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011



	As of September 30, 2011⁸
	Asset Derivatives						Liability Derivatives
(Dollars in millions)	Balance Sheet Classification	Notional Amounts			Fair Value		Balance Sheet Classification	Notional Amounts			Fair Value
Derivatives designated in cash flow hedging relationships ¹
Equity contracts hedging:
Securities AFS	Trading assets		$1,547			$—	Trading liabilities		$1,547			$146
Interest rate contracts hedging:
Floating rate loans	Trading assets	15,850			1,133		Trading liabilities	—			—
Total		17,397			1,133			1,547			146
Derivatives designated in fair value hedging relationships ²
Interest rate contracts hedging:
Fixed rate debt	Trading assets	1,000			59		Trading liabilities	—			—
Total		1,000			59			—			—
Derivatives not designated as hedging instruments ³
Interest rate contracts covering:
Fixed rate debt	Trading assets	437			21		Trading liabilities	60			10
MSRs	Other assets	11,633			476		Other liabilities	9,860			46
LHFS, IRLCs, LHFI-FV	Other assets	2,856		⁴	17		Other liabilities	5,354		⁴	43
Trading activity	Trading assets	118,738		⁵	6,259		Trading liabilities	98,866			5,831
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading assets	1,088			19		Trading liabilities	496			125
Trading activity	Trading assets	4,297			239		Trading liabilities	4,184			229
Credit contracts covering:
Loans	Trading assets	50			1		Trading liabilities	192			2
Trading activity	Trading assets	1,775		⁶	59		Trading liabilities	1,538		⁶	50
Equity contracts - Trading activity	Trading assets	7,924		⁵	853		Trading liabilities	9,504			876
Other contracts:
IRLCs and other	Other assets	4,993			79		Other liabilities	279		⁷	16		⁷
Trading activity	Trading assets	196			22		Trading liabilities	190			22
Total		153,987			8,045			130,523			7,250
Total derivatives			$172,384			$9,237			$132,070			$7,396

¹ See “Cash Flow Hedges” in this Note for further discussion.

² See “Fair Value Hedges” in this Note for further discussion.

³ See “Economic Hedging and Trading Activities” in this Note for further discussion.

⁴ Amounts include $365 million and $665 million of notional amounts related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily and therefore no derivative asset or liability is recognized.

⁵ Amounts include $19.3 billion and $428 million of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily and therefore no derivative asset or liability is recognized.

⁶ Asset and liability amounts include $1 million and $6 million, respectively, of notional from purchased and written credit risk participation agreements, respectively, which notional is calculated as the notional of the derivative participated adjusted by the relevant risk weighted assets conversion factor.

⁷ Includes a $16 million derivative liability recognized in other liabilities in the Consolidated Balance Sheets, related to a notional amount of $134 million. The notional amount is based on the number of Visa Class B shares, 3.2 million, the conversion ratio from Visa Class B common stock to Visa Class A common stock, and the Visa Class A common stock price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Visa Class B shares in the second quarter of 2009 as discussed in Note 18, “Reinsurance Arrangements and Guarantees,” to the Consolidated Financial Statements in the Company’s 2010 Annual Report on Form 10-K.

⁸As of July 1, 2011, the Company began offsetting cash collateral paid to and received from derivative counterparties when the derivative contracts are subject to ISDA master netting arrangements and meet the derivatives accounting requirements of ASC 815-10, "Derivatives and Hedging." The effects of offsetting on the Company's Consolidated Balance Sheets as of September 30, 2011 are presented in Note 12, "Fair Value Election and Measurement."



	As of December 31, 2010
	Asset Derivatives						Liability Derivatives
(Dollars in millions)	Balance Sheet Classification	Notional Amounts			Fair Value		Balance Sheet Classification	Notional Amounts			Fair Value
Derivatives designated in cash flow hedging relationships ¹
Equity contracts hedging:
Securities AFS	Trading assets		$1,547			$—	Trading liabilities		$1,547			$145
Interest rate contracts hedging:
Floating rate loans	Trading assets	15,350			947		Trading liabilities	500			10
Total		16,897			947			2,047			155
Derivatives not designated as hedging instruments ²
Interest rate contracts covering:
Fixed rate debt	Trading assets	1,273			41		Trading liabilities	60			4
Corporate bonds and loans		—			—		Trading liabilities	5			—
MSRs	Other assets	20,474			152		Other liabilities	6,480			73
LHFS, IRLCs, LHFI-FV	Other assets	7,269		³	92		Other liabilities	2,383			20
Trading activity	Trading assets	132,286		⁴	4,211		Trading liabilities	105,926			3,884
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading assets	1,083			17		Trading liabilities	495			128
Trading activity	Trading assets	2,691			92		Trading liabilities	2,818			91
Credit contracts covering:
Loans	Trading assets	15			—		Trading liabilities	227			2
Trading activity	Trading assets	1,094		⁵	39		Trading liabilities	1,039		⁵	34
Equity contracts - Trading activity	Trading assets	5,010		⁴	583		Trading liabilities	8,012			730
Other contracts:
IRLCs and other	Other assets	2,169			18		Other liabilities	2,196		⁶	42		⁶
Trading activity	Trading assets	111			11		Trading liabilities	111			11
Total		173,475			5,256			129,752			5,019
Total derivatives			$190,372			$6,203			$131,799			$5,174

¹ See “Cash Flow Hedges” in this Note for further discussion.

² See “Economic Hedging and Trading Activities” in this Note for further discussion.

³ Amount includes $1.4 billion of notional amounts related to interest rate futures. These futures contracts settle in cash daily and therefore no derivative asset or liability is recognized.

⁴ Amounts include $25.0 billion and $0.5 billion of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily and therefore no derivative asset or liability is recognized.

⁵ Asset and liability amounts include $1 million and $8 million, respectively, of notional from purchased and written interest rate swap risk participation agreements, respectively, which notional is calculated as the notional of the interest rate swap participated adjusted by the relevant risk weighted assets conversion factor.

⁶ Includes a $23 million derivative liability recognized in other liabilities in the Consolidated Balance Sheets, related to a notional amount of $134 million. The notional amount is based on the number of Visa Class B shares, 3.2 million, the conversion ratio from Visa Class B common stock to Visa Class A common stock, and the Visa Class A common stock price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Visa Class B shares in the second quarter of 2009 as discussed in Note 18, “Reinsurance Arrangements and Guarantees,” to the Consolidated Financial Statements in the Company’s 2010 Annual Report on Form 10-K.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]



	Three Months Ended September 30, 2011
(Dollars in millions)	Amount of pre-tax gain recognized in OCI on Derivatives (Effective Portion)			Classification of gain reclassified from AOCI into Income (Effective Portion)	Amount of pre-tax gain reclassified from AOCI into Income (Effective Portion)¹
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		$8				$—
Interest rate contracts hedging Floating rate loans	438			Interest and fees on loans	103
Total		$446				$103

	Nine Months Ended September 30, 2011
(Dollars in millions)	Amount of pre-tax gain/(loss) recognized in OCI on Derivatives (Effective Portion)			Classification of gain reclassified from AOCI into Income (Effective Portion)	Amount of pre-tax gain reclassified from AOCI into Income (Effective Portion) ¹
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		($2	)			$—
Interest rate contracts hedging Floating rate loans	673			Interest and fees on loans	321
Total		$671				$321

¹ During the three and nine months ended September 30, 2011, the Company reclassified $56 million and $146 million, respectively, in pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been previously terminated or de-designated.



	Three Months Ended September 30, 2011
(Dollars in millions)	Amount of gain on Derivatives recognized in Income		Amount of loss on related Hedged Items recognized in Income			Amount of gain/(loss) recognized in Income on Hedges (Ineffective Portion)
Derivatives in fair value hedging relationships
Interest rate contracts hedging Fixed rate debt ¹		$35		($35	)		$—

	Nine Months Ended September 30, 2011
(Dollars in millions)	Amount of gain on Derivatives recognized in Income		Amount of loss on related Hedged Items recognized in Income			Amount of loss recognized in Income on Hedges (Ineffective Portion)
Derivatives in fair value hedging relationships
Interest rate contracts hedging Fixed rate debt ¹		$49		($50	)		($1	)

¹ Amounts are recognized in trading account profits/(losses) and commissions in the Consolidated Statements of Income.



(Dollars in millions)	Classification of gain/(loss) recognized in Income on Derivatives	Amount of gain/(loss) recognized in Income on Derivatives for the Three Months Ended September 30, 2011			Amount of gain/(loss) recognized in Income on Derivatives for the Nine Months Ended September 30, 2011
Derivatives not designated as hedging instruments
Interest rate contracts covering:
Fixed rate debt	Trading account profits/(losses) and commissions		($5	)		($4	)
MSRs	Mortgage servicing related income	397			488
LHFS, IRLCs, LHFI-FV	Mortgage production related income	(130		)	(233		)
Trading activity	Trading account profits/(losses) and commissions	41			78
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading account profits/(losses) and commissions	(96		)	15
Trading activity	Trading account profits/(losses) and commissions	20			13
Credit contracts covering:
Loans	Trading account profits/(losses) and commissions	—			(1		)
Other	Trading account profits/(losses) and commissions	6			14
Equity contracts - trading activity	Trading account profits/(losses) and commissions	(9		)	(1		)
Other contracts:
IRLCs	Mortgage production related income	145			229
Total			$369			$598

The impacts of derivatives on the Consolidated Statements of Income and the Consolidated Statements of Shareholders’ Equity for the three and nine months ended September 30, 2010 are presented below.



	Three Months Ended September 30, 2010
(Dollars in millions)	Amount of pre-tax gain/(loss) recognized in OCI on Derivatives (Effective Portion)			Classification of gain reclassified from AOCI into Income (Effective Portion)	Amount of pre-tax gain reclassified from AOCI into Income (Effective Portion) ¹
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		($125	)			$—
Interest rate contracts hedging Floating rate loans	380			Interest and fees on loans	119
Total		$255				$119

	Nine Months Ended September 30, 2010
(Dollars in millions)	Amount of pre-tax gain recognized in OCI on Derivatives (Effective Portion)			Classification of gain reclassified from AOCI into Income (Effective Portion)	Amount of pre-tax gain reclassified from AOCI into Income (Effective Portion) ¹
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		$42				$—
Interest rate contracts hedging Floating rate loans	1,115			Interest and fees on loans	370
Total		$1,157				$370

¹ During the three and nine months ended September 30, 2010, the Company reclassified $35 million and $88 million, respectively, in pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been previously terminated or de-designated.



(Dollars in millions)	Classification of gain/(loss) recognized in Income on Derivatives	Amount of gain/(loss) recognized in Income on Derivatives for the Three Months Ended September 30, 2010			Amount of gain/(loss) recognized in Income on Derivatives for the Nine Months Ended September 30, 2010
Derivatives not designated as hedging instruments
Interest rate contracts covering:
Fixed rate debt	Trading account profits/(losses) and commissions		($194	)		($68	)
Corporate bonds and loans	Trading account profits/(losses) and commissions	—			(1		)
MSRs	Mortgage servicing related income	315			783
LHFS, IRLCs, LHFI-FV	Mortgage production related income	(82		)	(292		)
Trading activity	Trading account profits/(losses) and commissions	256			285
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading account profits/(losses) and commissions	133			(69		)
Trading activity	Trading account profits/(losses) and commissions	(20		)	5
Credit contracts covering:
Loans	Trading account profits/(losses) and commissions	(1		)	—
Trading activity	Trading account profits/(losses) and commissions	2			6
Equity contracts - trading activity	Trading account profits/(losses) and commissions	(62		)	(56		)
Other contracts:
IRLCs	Mortgage production related income	164			375
Total			$511			$968

- 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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- 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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