Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]



	As of March 31, 2012¹
	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 ²
Equity contracts hedging:
Securities AFS	Trading assets		$1,547			$—	Trading liabilities		$1,547			$246
Interest rate contracts hedging:
Floating rate loans	Trading assets	13,350			855		Trading liabilities	—			—
Total		14,897			855			1,547			246
Derivatives designated in fair value hedging relationships ³
Interest rate contracts covering:
Fixed rate debt	Trading assets	1,000			61		Trading liabilities	—			—
Total		1,000			61			—			—
Derivatives not designated as hedging instruments ⁴
Interest rate contracts covering:
Fixed rate debt	Trading assets	437			14		Trading liabilities	60			9
MSRs	Other assets	4,560			282		Other liabilities	14,555			59
LHFS, IRLCs, LHFI-FV	Other assets	8,035		⁵	27		Other liabilities	3,903		⁵	20
Trading activity	Trading assets	98,245		⁶	5,502		Trading liabilities	84,554			5,153
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading assets	—			—		Trading liabilities	508			115
Trading activity	Trading assets	2,516			64		Trading liabilities	2,216			61
Credit contracts covering:
Loans	Trading assets	45			1		Trading liabilities	323			4
Trading activity	Trading assets	1,965		⁷	43		Trading liabilities	1,956		⁷	38
Equity contracts - Trading activity	Trading assets	11,179		⁶	2,506		Trading liabilities	12,279			2,694
Other contracts:
IRLCs and other	Other assets	5,934			96		Other liabilities	144		⁸	5		⁸
Trading activity	Trading assets	322			27		Trading liabilities	320			27
Total		133,238			8,562			120,818			8,185
Total derivatives			$149,135			$9,478			$122,365			$8,431

¹The Company offsets cash collateral paid to and received from derivative counterparties when the derivative contracts are subject to ISDA master netting arrangements and meet the derivative offsetting requirements. The effects of offsetting on the Company's Consolidated Balance Sheets as of March 31, 2012 are presented in Note 12, "Fair Value Election and Measurement."

² See “Cash Flow Hedges” in this Note for further discussion.

³ See “Fair Value Hedges” in this Note for further discussion.

⁴ See “Economic Hedging and Trading Activities” in this Note for further discussion.

⁵ Amount includes $1.1 billion and $0.2 billion of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table unless immaterial.

⁶ Amounts include $16.9 billion and $1.0 billion of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily, one day in arrears. The derivative asset associated with the one day lag is included in the fair value column of this table unless immaterial.

⁷ Asset and liability amounts include $2 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 RWA conversion factor.

⁸ Includes a $4.9 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 Class B shares to Class A shares, and the Class A share price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Class B shares in the second quarter of 2009 as discussed in Note 11, “Reinsurance Arrangements and Guarantees.”



	As of December 31, 2011¹
	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 ²
Equity contracts hedging:
Securities AFS	Trading assets		$1,547			$—	Trading liabilities		$1,547			$189
Interest rate contracts hedging:
Floating rate loans	Trading assets	14,850			1,057		Trading liabilities	—			—
Total		16,397			1,057			1,547			189
Derivatives designated in fair value hedging relationships ³
Interest rate contracts covering:
Securities AFS	Trading assets	—			—		Trading liabilities	450			1
Fixed rate debt	Trading assets	1,000			56		Trading liabilities	—			—
Total		1,000			56			450			1
Derivatives not designated as hedging instruments⁴
Interest rate contracts covering:
Fixed rate debt	Trading assets	437			13		Trading liabilities	60			9
MSRs	Other assets	28,800			472		Other liabilities	2,920			29
LHFS, IRLCs, LHFI-FV	Other assets	2,657			19		Other liabilities	6,228		⁵	54
Trading activity	Trading assets	113,420		⁶	6,226		Trading liabilities	101,042			5,847
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading assets	33			1		Trading liabilities	460			129
Trading activity	Trading assets	2,532			127		Trading liabilities	2,739			125
Credit contracts covering:
Loans	Trading assets	45			1		Trading liabilities	308			3
Trading activity	Trading assets	1,841		⁷	28		Trading liabilities	1,809		⁷	23
Equity contracts - Trading activity	Trading assets	10,168		⁶	1,013		Trading liabilities	10,445			1,045
Other contracts:
IRLCs and other	Other assets	4,909			84		Other liabilities	139		⁸	22		⁸
Trading activity	Trading assets	207			23		Trading liabilities	203			23
Total		165,049			8,007			126,353			7,309
Total derivatives			$182,446			$9,120			$128,350			$7,499

¹The Company offsets cash collateral paid to and received from derivative counterparties when the derivative contracts are subject to ISDA master netting arrangements and meet the derivative offsetting requirements. The effects of offsetting on the Company's Consolidated Balance Sheets as of December 31, 2011 are presented in Note 12, "Fair Value Election and Measurement."

² See “Cash Flow Hedges” in this Note for further discussion.

³See "Fair Value Hedges" in this Note for further discussion.

⁴ See “Economic Hedging and Trading Activities” in this Note for further discussion.

⁵ Amount includes $1.2 billion of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative liability associated with the one day lag is included in the fair value column of this table unless immaterial.

⁶ Amounts include $16.7 billion and $0.6 billion of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily, one day in arrears. The derivative asset associated with the one day lag is included in the fair value column of this table unless immaterial.

⁷ Asset and liability amounts include $2 million and $6 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 RWA conversion factor.

⁸ Includes a $22 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 Class B shares to Class A shares, and the Class A share price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Class B shares in the second quarter of 2009 as discussed in Note 11, “Reinsurance Arrangements and Guarantees.”

^[1]

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




	Three Months Ended March 31, 2012
(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)
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		($58	)			$—
Interest rate contracts hedging Floating rate loans¹	50			Interest and fees on loans	83
Total		($8	)			$83

¹During the three months ended March 31, 2012, the Company also reclassified $69 million in pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been previously terminated or de-designated and are reclassified into earnings in the same period in which the forecasted transaction occurs.




	Three Months Ended March 31, 2012
(Dollars in millions)	Amount of gain/(loss) on Derivatives recognized in Income			Amount of gain/(loss) on related Hedged Items recognized in Income			Amount of gain/(loss) recognized in Income on Hedges (Ineffective Portion)
Derivatives in fair value hedging relationships¹
Interest rate contracts hedging Fixed rate debt		($1	)		$1			$—
Interest rate contracts hedging Securities AFS	1				($1	)	—
Total		$—			$—			$—

¹Amounts are recognized in trading income 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 March 31, 2012
Derivatives not designated as hedging instruments
Interest rate contracts covering:
MSRs	Mortgage servicing related income		($73	)
LHFS, IRLCs, LHFI-FV	Mortgage production related income/(loss)	(35		)
Trading activity	Trading income	27
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading income	15
Trading activity	Trading income	3
Credit contracts covering:
Loans	Trading income	(3		)
Other	Trading income	6
Equity contracts - trading activity	Trading income	4
Other contracts:
IRLCs	Mortgage production related income/(loss)	184
Total			$128

The impacts of derivatives on the Consolidated Statements of Income and the Consolidated Statements of Shareholders’ Equity for the three months ended March 31, 2011 are presented below:



	Three Months Ended March 31, 2011
(Dollars in millions)	Amount of pre-tax 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)
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		($16	)			$—
Interest rate contracts hedging Floating rate loans¹	(27		)	Interest and fees on loans	113
Total		($43	)			$113

¹During the three months ended March 31, 2011, the Company also reclassified $41 million in pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been previously terminated or de-designated and are reclassified into earnings in the same period in which the forecasted transaction occurs.



(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 March 31, 2011
Derivatives not designated as hedging instruments
Interest rate contracts covering:
Fixed rate debt	Trading income		$1
MSRs	Mortgage servicing related income	(43		)
LHFS, IRLCs, LHFI-FV	Mortgage production related income/(loss)	(26		)
Trading activity	Trading income	4
Foreign exchange rate contracts covering:
Foreign-denominated debt and commercial loans	Trading income	81
Trading activity	Trading income	(1		)
Credit contracts covering:
Loans	Trading income	(1		)
Other	Trading income	4
Equity contracts - trading activity	Trading income	3
Other contracts:
IRLCs	Mortgage production related income/(loss)	36
Total			$58

^[2]

[1]	Amounts are recognized in trading income in the Consolidated Statements of Income.
[2]	During the three months ended March 31, 2011, the Company also reclassified $41 million in pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been previously terminated or de-designated and are reclassified into earnings in the same period in which the forecasted transaction occurs.

- 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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