Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value of Derivative Instruments that are Designated and their Location on the Balance Sheet

The following table presents the fair value of derivative instruments that are designated and qualifying as fair value hedges 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

September 30,

2012

December 31,

2011

September 30,

2012

December 31,

2011

(in millions)

Interest rate contracts

Other assets

Interest, taxes and
other liabilities

933

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 the Hedged Items in Fair Value Hedges

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in fair value hedges and the hedged items in fair value hedges and their location on the consolidated statement of income (loss).


	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 September 30,
Interest rate contracts/AFS securities	$	(33	)	$	(41	)	$	141		$	58		$	4		$	(1,322	)	$	187		$	1,278
Interest rate contracts/commercial loans		-			-			-			-			(6	)		1			-			(1	)
Interest rate contracts/subordinated debt		3			3			(15	)		(3	)		14			10			(32	)		(11	)

Total	$	(30	)	$	(38	)	$	126		$	55		$	12		$	(1,311	)	$	155		$	1,266

Nine Months Ended September 30,
Interest rate contracts/AFS securities	$	(117	)	$	(326	)	$	482		$	323		$	(18	)	$	(1,640	)	$	506		$	1,598
Interest rate contracts/commercial loans		-			-			-			-			(17	)		1			-			(3	)
Interest rate contracts/subordinated debt		10			9			(46	)		(9	)		38			4			(70	)		(6	)

Total	$	(107	)	$	(317	)	$	436		$	314		$	3		$	(1,635	)	$	436		$	1,589

Fair Value of Derivative Instruments, Designated and Qualifying as Cash Flow Hedges

The following table presents the fair value of derivative instruments that are designated and qualifying as cash flow hedges and their location on the consolidated balance sheet.

Derivative Assets⁽¹⁾

Derivative Liabilities⁽¹⁾

Balance Sheet
Location

Fair Value as of

Balance Sheet
Location

Fair Value as of

September 30,

2012

December 31,

2011

September 30,

2012

December 31,

2011

(in millions)

Interest rate contracts

Other assets

Interest, taxes &
other liabilities

274

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

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from all terminated cash flow hedges) and their locations in the consolidated statement of income (loss).


	Gain (Loss) Recognized in AOCI on Derivative (Effective Portion)					Location of Gain (Loss) Reclassified from AOCI into Income (Effective Portion)		Loss Reclassified From AOCI into Income (Effective Portion)						Location of Loss Recognized in Income on the Derivative (Ineffective Portion and Amount Excluded from Effectiveness Testing)		Loss Recognized in Income on the Derivative (Ineffective Portion and Amount Excluded from Effectiveness Testing)
	2012		2011					2012			2011					2012		2011
	(in millions)
Three Months Ended September 30,
Interest rate contracts	$	14	$	(205	)		Other income	$	(4	)	$	(4	)		Other income	$	-	$	(6	)
Nine Months Ended September 30,
Interest rate contracts	$	4	$	(219	)		Other income	$	(12	)	$	(9	)		Other income	$	-	$	(7	)

Fair Value of Derivative Instruments Held for Trading Purposes

The following table presents the fair value of derivative instruments held for trading purposes and their location on the consolidated balance sheet.

Derivative Assets⁽¹⁾

Derivative Liabilities⁽¹⁾

Fair Value as of

Balance Sheet
Location

September 30,

2012

December 31,

2011

Balance Sheet

Location

September 30,

2012

December 31,

2011

(in millions)

Interest rate contracts

Trading assets

74,031

60,719

Trading liabilities

74,065

61,280

Foreign exchange contracts

Trading assets

14,147

15,654

Trading liabilities

13,677

15,413

Equity contracts

Trading assets

1,070

1,165

Trading liabilities

1,067

1,164

Precious Metals contracts

Trading assets

771

1,842

Trading liabilities

1,910

1,248

Credit contracts

Trading assets

8,218

14,388

Trading liabilities

8,486

14,285

Total

98,237

93,768

99,205

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

The following table presents the fair value of derivative instruments held for other purposes and their location on the balance sheet.


	Derivative Assets⁽¹⁾					Derivative Liabilities⁽¹⁾
		Fair Value as of					Fair Value as of
	Balance Sheet Location	September 30, 2012		December 31, 2011		Balance Sheet Location	September 30, 2012		December 31, 2011
	(in millions)
Interest rate contracts	Other assets	$	986	$	957	Interest, taxes and other liabilities	$	113	$	106
Foreign exchange contracts	Other assets		33		11	Interest, taxes and other liabilities		31		13
Equity contracts	Other assets		546		51	Interest, taxes and other liabilities		107		87
Credit contracts	Other assets		1		2	Interest, taxes and other liabilities		5		8

Total		$	1,566	$	1,021		$	256	$	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 other Purposes

The following table presents information on gains and losses on derivative instruments held for other purposes and their locations on the statement of income.


	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended September 30,						Nine Months Ended September 30,
		2012			2011			2012			2011
		(in millions)
Interest rate contracts	Other income	$	15		$	494		$	120		$	628
Interest rate contracts	Residential mortgage banking revenue		(5	)		3			-			(8	)
Foreign exchange contracts	Other income		23			23			73			22
Equity contracts	Other income		351			(508	)		597			(316	)
Credit contracts	Other income		-			5			(3	)		2

Total		$	384		$	17		$	787		$	328

Credit-Risk Related Contingent Features


Moody’s	Long-Term Ratings
Short-Term Ratings	A1		A2		A3
	(in millions)
P-1	$	-	$	71	$	230
P-2		2		6		230


S&P	Long-Term Ratings
Short-Term Ratings	AA-		A+		A
	(in millions)
A-1+	$	-	$	-	$	65
A-1		35		100		259

Notional Value of Derivative Contracts

Notional Value of Derivative Contracts The following table summarizes the notional values of derivative contracts.


	September 30, 2012		December 31, 2011
	(in billions)
Interest rate:
Futures and forwards	$	389.3	$	320.3
Swaps		2,657.0		2,325.1
Options written		64.9		69.9
Options purchased		65.0		67.3

		3,176.2		2,782.6

Foreign Exchange:
Swaps, futures and forwards		820.4		725.0
Options written		51.9		39.7
Options purchased		53.0		40.4
Spot		77.3		60.1

		1,002.6		865.2

Commodities, equities and precious metals:
Swaps, futures and forwards		54.1		50.2
Options written		9.5		8.2
Options purchased		20.4		17.1

		84.0		75.5

Credit derivatives		526.0		657.3

Total	$	4,788.8	$	4,380.6