Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]



	As of September 30, 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
Interest rate contracts hedging:
Floating rate loans	Trading assets	17,350			885		Trading liabilities	—			—
Total		17,350			885			—			—
Derivatives designated in fair value hedging relationships ³
Interest rate contracts covering:
Fixed rate debt	Trading assets	1,000			71		Trading liabilities	—			—
Total		1,000			71			—			—
Derivatives not designated as hedging instruments ⁴
Interest rate contracts covering:
Fixed rate debt	Trading assets	437			7		Trading liabilities	60			11
MSRs	Other assets	15,073			280		Other liabilities	3,650			45
LHFS, IRLCs, LHFI-FV	Other assets	4,800		⁵	52		Other liabilities	7,977			166
Trading activity ⁶	Trading assets	83,278			6,605		Trading liabilities	91,420			6,300
Foreign exchange rate contracts covering:
Commercial loans	Trading assets	34			—		Trading liabilities	—			—
Trading activity	Trading assets	2,257			64		Trading liabilities	2,394			61
Credit contracts covering:
Loans	Other assets	20			—		Other liabilities	356			5
Trading activity	Trading assets	1,926		⁷	58		Trading liabilities	1,936		⁷	53
Equity contracts - Trading activity ⁶	Trading assets	13,435			1,415		Trading liabilities	19,735			1,581
Other contracts:
IRLCs and other	Other assets	7,003			198		Other liabilities	134		⁸	1		⁸
Trading activity	Trading assets	302			29		Trading liabilities	303			28
Total		128,565			8,708			127,965			8,251
Total derivatives			$146,915			$9,664			$127,965			$8,251

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 September 30, 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 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.

⁶ Amounts include $16.6 billion and $0.3 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 assets/liabilities associated with the one day lag are included in the fair value column of this table.

⁷ Asset and liability amounts include $2 million and $4 million, respectively, of notional from purchased and written credit risk participation agreements, respectively, whose notional is calculated as the notional of the derivative participated adjusted by the relevant RWA conversion factor.

⁸ Includes a $1 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, whose 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 September 30, 2012						Nine Months Ended September 30, 2012
(Dollars in millions)	Amount of pre-tax gain/(loss) recognized in OCI on Derivatives (Effective Portion)		Classification of gain/(loss) reclassified from AOCI into Income (Effective Portion)	Amount of pre-tax gain/(loss) reclassified from AOCI into Income (Effective Portion)			Amount of pre-tax gain/(loss) recognized in OCI on Derivatives (Effective Portion)			Amount of pre-tax gain/(loss) reclassified from AOCI into Income (Effective Portion)
Derivatives in cash flow hedging relationships
Interest rate contracts hedging Floating rate loans¹	80		Interest and fees on loans	84			247			250
Equity contracts hedging Securities AFS²		$10	Net securities gains		($365	)		($171	)		($365	)
Total		$90			($281	)		$76			($115	)

¹During the three and nine months ended September 30, 2012, the Company also reclassified $34 million and $140 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 and are reclassified into earnings in the same period in which the forecasted transaction occurs.

² During both the three and nine months ended September 30, 2012, the Company also recognized $60 million of pre-tax gains directly into net securities gains related to mark to market changes of the Coke hedging contracts when the cash flow hedging relationship failed to qualify for hedge accounting.



	Three Months Ended September 30, 2012							Nine Months Ended September 30, 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)		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		$3		($3	)		$—		$10		($10	)		$—
Interest rate contracts hedging Securities AFS	—		—			—		1		(1		)	—
Total		$3		($3	)		$—		$11		($11	)		$—

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 September 30, 2012			Amount of gain/(loss) recognized in Income on Derivatives for the Nine Months Ended September 30, 2012
Derivatives not designated as hedging instruments
Interest rate contracts covering:
Fixed rate debt	Trading income		($1	)		($2	)
MSRs	Mortgage servicing related income	101			297
LHFS, IRLCs, LHFI-FV	Mortgage production related (loss)/income	(153		)	(323		)
Trading activity	Trading income	17			71
Foreign exchange rate contracts covering:
Commercial loans and foreign-denominated debt	Trading income	—			129
Trading activity	Trading income	(2		)	13
Credit contracts covering:
Loans	Other income ¹	(3		)	(6		)
Trading activity	Trading income	6			18
Equity contracts - trading activity	Trading income	(3		)	10
Other contracts:
IRLCs	Mortgage production related (loss)/income	332			774
Total			$294			$981

¹ Includes losses of $3 million that were recognized in trading income for the first six months of 2012.

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, 2011, are presented below:



	Three Months Ended September 30, 2011					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/(loss) reclassified from AOCI into Income (Effective Portion)	Amount of pre-tax gain/(loss) reclassified from AOCI into Income (Effective Portion)		Amount of pre-tax gain/(loss) recognized in OCI on Derivatives (Effective Portion)			Amount of pre-tax gain/(loss) reclassified from AOCI into Income (Effective Portion)
Derivatives in cash flow hedging relationships
Equity contracts hedging Securities AFS		$8			$—		($2	)		$—
Interest rate contracts hedging Floating rate loans¹	438		Interest and fees on loans	103		673			321
Total		$446			$103		$671			$321

¹During the three and nine months ended September 30, 2011, the Company also reclassified $56 million and $146 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 September 30, 2011							Nine Months Ended September 30, 2011
(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)		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 relationships
Interest rate contracts hedging Fixed rate debt¹		$35		($35	)		$—		$49		($50	)		($1	)

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 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 income		($5	)		($4	)
MSRs	Mortgage servicing related income	397			488
LHFS, IRLCs, LHFI-FV	Mortgage production related (loss)/income	(130		)	(233		)
Trading activity	Trading income	41			78
Foreign exchange rate contracts covering:
Commercial loans and foreign-denominated debt	Trading income	(96		)	15
Trading activity	Trading income	20			13
Credit contracts covering:
Loans	Trading income	—			(1		)
Trading activity	Trading income	6			14
Equity contracts - trading activity	Trading income	(9		)	(1		)
Other contracts:
IRLCs	Mortgage production related (loss)/income	145			229
Total			$369			$598

^[2]

[1]	Amounts are recognized in trading income in the Consolidated Statements of Income.
[2]	During the three and nine months ended September 30, 2011, the Company also reclassified $56 million and $146 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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