Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Derivative Financial Instruments [Abstract]

Fair value of derivative instruments that are designated and their location on the Balance Sheet

	Derivative Assets(1)						Derivative Liabilities(1)
	Balance Sheet Location		Fair Value as of				Balance Sheet Location	Fair Value as of
			June 30, 2012		December 31, 2011			June 30, 2012		December 31, 2011
							(in millions)
Interest rate contracts		Other assets	$	5	$	4	Interest, taxes and other liabilities	$	983	$	1,134

⁽¹⁾  The derivative asset and derivative liabilities presented above may be eligible for netting. Balance sheet categories in the above table represent the location of the assets and liabilities absent the netting of the balances.

Gains and losses on derivative instruments designated and qualifying as hedging instruments in fair value hedges

	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended June 30,						Six Months Ended June 30,
		2012			2011			2012			2011
	(in millions)
Interest rate contracts	Other income	$	(581	)	$	(369	)	$	(279	)	$	(324	)
Interest rate contracts	Interest income		(52	)		(7	)		(111	)		(9	)
Total		$	(633	)	$	(376	)	$	(390	)	$	(333	)

Gains and losses on the hedged items in fair value hedges

	Gain (Loss) on Derivative						Gain (Loss) on Hedged Items						Gain (Loss) on Derivative						Gain (Loss) on Hedged Items
	Interest Income (Expense)			Other Income			Interest Income (Expense)			Other Income			Interest Income (Expense)			Other Income			Interest Income (Expense)			Other Income
	2012												2011
	(in millions)
Three Months Ended June 30,
Interest rate contracts/AFS securities	$	(39	)	$	(582	)	$	162		$	552		$	(13	)	$	(370	)	$	187		$	367
Interest rate contracts/commercial loans		-			-			-			-			(6	)		-			-			(1	)
Interest rate contracts/subordinated debt		(13	)		1			(15	)		(1	)		12			1			(20	)		(8	)
Total	$	(52	)	$	(581	)	$	147		$	551		$	(7	)	$	(369	)	$	167		$	358
Six Months Ended June 30,
Interest rate contracts/AFS securities	$	(84	)	$	(285	)	$	341		$	265		$	(22	)	$	(318	)	$	319		$	320
Interest rate contracts/commercial loans		-			-			-			-			(11	)		1			-			(2	)
Interest rate contracts/subordinated debt		(27	)		6			(30	)		(6	)		24			(7	)		(38	)		5
Total	$	(111	)	$	(279	)	$	311		$	259		$	(9	)	$	(324	)	$	281		$	323

Fair value of derivative instruments, designated and qualifying as cash flow hedges

	Derivative Assets(1)						Derivative Liabilities(1)
	Balance Sheet Location		Fair Value as of				Balance Sheet Location	Fair Value as of
			June 30, 2012		December 31, 2011			June 30, 2012		December 31, 2011
	(in millions)
Interest rate contracts		Other assets	$	40	$	29	Interest, taxes & other liabilities	$	261	$	248

⁽¹⁾  The derivative assets and derivative liabilities presented above may be eligible for netting. Balance sheet categories in the above table represent the location of the assets and liabilities absent the netting of the balances.

Gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges

	Gain (Loss) Recognized in AOCI on Derivative (Effective Portion)						Location of Gain (Loss) Reclassified from AOCI into Income (Effective		Loss Reclassified From AOCI into Income (Effective Portion)						Location of Loss Recognized in Income on the Derivative (Ineffective Portion and Amount Excluded from		Loss Recognized in Income on the Derivative (Ineffective Portion and Amount Excluded from Effectiveness Testing)
	2012			2011			Portion)		2012			2011			Effectiveness Testing)		2012		2011
	(in millions)
Three Months Ended June 30,
Interest rate contracts	$	(68	)	$	(40	)		Other income	$	(4	)	$	(2	)		Other income	$	-	$	-
Six Months Ended June 30,
Interest rate contracts	$	(10	)	$	(48	)		Other income	$	(8	)	$	(5	)		Other income	$	-	$	-

Fair value of derivative instruments held for trading purposes

	Derivative Assets (1)					Derivative Liabilities(1)
		Fair Value as of					Fair Value as of
	Balance Sheet Location	June 30, 2012		December 31, 2011		Balance Sheet Location	June 30, 2012		December 31, 2011
	(in millions)
Interest rate contracts	Trading assets	$	70,557	$	60,719	Trading liabilities	$	70,631	$	61,280
Foreign exchange contracts	Trading assets		15,305		15,654	Trading liabilities		14,584		15,413
Equity contracts	Trading assets		847		1,165	Trading liabilities		844		1,164
Precious Metals contracts	Trading assets		965		1,842	Trading liabilities		847		1,248
Credit contracts	Trading assets		10,739		14,388	Trading liabilities		10,948		14,285
Other	Trading assets		1		-	Trading liabilities		5		-
Total		$	98,414	$	93,768		$	97,859	$	93,390

⁽¹⁾  The derivative assets and derivative liabilities presented above may be eligible for netting. Balance sheet categories in the above table represent the location of the assets and liabilities absent the netting of the balances.

Fair value of derivative instruments held for other purposes

	Derivative Assets (1)					Derivative Liabilities(1)
		Fair Value as of					Fair Value as of
	Balance Sheet Location	June 30, 2012		December 31, 2011		Balance Sheet Location	June 30, 2012		December 31, 2011
	(in millions)
Interest rate contracts	Other assets	$	1,009	$	957	Interest, taxes and other liabilities	$	119	$	106
Foreign exchange contracts	Other assets		21		11	Interest, taxes and other liabilities		22		13
Equity contracts	Other assets		369		51	Interest, taxes and other liabilities		218		87
Credit contracts	Other assets		1		2	Interest, taxes and other liabilities		6		8
Total		$	1,400	$	1,021		$	365	$	214

⁽¹⁾  The derivative assets and derivative liabilities presented above may be eligible for netting and consequently may be shown net against a different line item on the consolidated balance sheet. Balance sheet categories in the above table represent the location of the assets and liabilities absent the netting of the balances.

Gains and losses on derivative instruments held for trading purposes

	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended June 30,						Six Months Ended June 30,
		2012			2011			2012			2011
	(in millions)
Interest rate contracts	Trading revenue	$	(21	)	$	(171	)	$	(11	)	$	(115	)
Interest rate contracts	Residential mortgage banking revenue		38			32			21			(2	)
Foreign exchange contracts	Trading revenue		246			203			645			249
Equity contracts	Trading revenue		42			2			60			3
Precious Metals contracts	Trading revenue		16			(47	)		52			51
Credit contracts	Trading revenue		(450	)		102			(1,668	)		90
Other	Trading revenue		19			(17	)		27			(4	)
Total		$	(110	)	$	104		$	(874	)	$	272

Gains and losses on derivative instruments held for Other purposes

	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended June 30,						Six Months Ended June 30,
		2012			2011			2012			2011
	(in millions)
Interest rate contracts	Other income	$	195		$	146		$	105		$	135
Interest rate contracts	Residential mortgage banking revenue		(2	)		1			5			(11	)
Foreign exchange contracts	Other income		36			6			50			(1	)
Equity contracts	Other income		(118	)		89			246			192
Credit contracts	Other income		(1	)		(1	)		(3	)		(3	)
Total		$	110		$	241		$	403		$	312

Credit-Risk Related Contingent Features

Moody’s	Long-Term Ratings
Short-Term Ratings	Aa3		A1		A2
	(in millions)
P-1	$	-	$	59	$	261
P-2		2		6		261

S&P	Long-Term Ratings
Short-Term Ratings	AA-		A+		A
	(in millions)
A-1+	$	-	$	-	$	53
A-1		48		101		303

Notional Value of Derivative Contracts

	June 30, 2012		December 31, 2011
	(in billions)
Interest rate:
Futures and forwards	$	271.6	$	320.3
Swaps		2,580.1		2,325.1
Options written		81.4		69.9
Options purchased		81.2		67.3
		3,014.3		2,782.6
Foreign Exchange:
Swaps, futures and forwards		791.2		725.0
Options written		42.5		39.7
Options purchased		43.9		40.4
Spot		84.0		60.1
		961.6		865.2
Commodities, equities and precious metals:
Swaps, futures and forwards		47.2		50.2
Options written		7.0		8.2
Options purchased		17.9		17.1
		72.1		75.5
Credit derivatives		571.0		657.3
Total	$	4,619.0	$	4,380.6