Derivatives (Tables)

v2.4.0.6

Derivatives (Tables)	3 Months Ended
	Mar. 31, 2012
Derivatives [Abstract]
Schedule of Derivative Instruments	The following tables identify derivative instruments included on the Corporation’s Consolidated Balance Sheet in derivative assets and liabilities at March 31, 2012 and December 31, 2011. Balances are presented on a gross basis, prior to the application of counterparty and collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by the cash collateral applied.   March 31, 2012       Gross Derivative Assets   Gross Derivative Liabilities (Dollars in billions) Contract/ Notional (1)   Trading Derivatives and Economic Hedges   Qualifying Accounting Hedges   Total   Trading Derivatives and Economic Hedges   Qualifying Accounting Hedges   Total Interest rate contracts                           Swaps $ 38,841.5   $ 1,169.5   $ 13.8   $ 1,183.3   $ 1,150.9   $ 8.8   $ 1,159.7 Futures and forwards 12,811.8   3.4   —   3.4   3.7   —   3.7 Written options 2,440.8   —   —   —   105.2   —   105.2 Purchased options 2,374.5   107.9   —   107.9   —   —   — Foreign exchange contracts                           Swaps 2,441.3   46.5   2.2   48.7   54.1   1.7   55.8 Spot, futures and forwards 2,902.4   27.3   0.4   27.7   28.5   0.6   29.1 Written options 405.7   —   —   —   7.9   —   7.9 Purchased options 370.2   7.5   —   7.5   —   —   — Equity contracts                           Swaps 103.7   2.0   —   2.0   1.8   —   1.8 Futures and forwards 58.0   1.5   —   1.5   1.5   —   1.5 Written options 297.5   —   —   —   20.3   —   20.3 Purchased options 295.3   21.1   —   21.1   —   —   — Commodity contracts                           Swaps 78.1   4.8   0.1   4.9   5.6   —   5.6 Futures and forwards 614.7   5.7   —   5.7   3.4   —   3.4 Written options 163.2   —   —   —   10.9   —   10.9 Purchased options 161.7   10.8   —   10.8   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,747.7   56.8   —   56.8   19.4   —   19.4 Total return swaps/other 22.2   1.4   —   1.4   0.9   —   0.9 Written credit derivatives:                           Credit default swaps 1,685.4   19.6   —   19.6   52.8   —   52.8 Total return swaps/other 39.1   0.3   —   0.3   0.2   —   0.2 Gross derivative assets/liabilities     $ 1,486.1   $ 16.5   $ 1,502.6   $ 1,467.1   $ 11.1   $ 1,478.2 Less: Legally enforceable master netting agreements             (1,382.9 )           (1,382.9 ) Less: Cash collateral applied             (60.6 )           (46.1 ) Total derivative assets/liabilities             $ 59.1           $ 49.2 (1)  Represents the total contract/notional amount of derivative assets and liabilities outstanding.   December 31, 2011       Gross Derivative Assets   Gross Derivative Liabilities (Dollars in billions) Contract/ Notional (1)   Trading Derivatives and Economic Hedges   Qualifying Accounting Hedges   Total   Trading Derivatives and Economic Hedges   Qualifying Accounting Hedges (2)   Total Interest rate contracts                           Swaps $ 40,473.7   $ 1,490.7   $ 15.9   $ 1,506.6   $ 1,473.0   $ 12.3   $ 1,485.3 Futures and forwards 12,105.8   2.9   0.2   3.1   3.4   —   3.4 Written options 2,534.0   —   —   —   117.8   —   117.8 Purchased options 2,467.2   120.0   —   120.0   —   —   — Foreign exchange contracts                           Swaps 2,381.6   48.3   2.6   50.9   58.9   2.2   61.1 Spot, futures and forwards 2,548.8   37.2   1.3   38.5   39.2   0.3   39.5 Written options 368.5   —   —   —   9.4   —   9.4 Purchased options 341.0   9.0   —   9.0   —   —   — Equity contracts                           Swaps 75.5   1.5   —   1.5   1.7   —   1.7 Futures and forwards 52.1   1.8   —   1.8   1.5   —   1.5 Written options 367.1   —   —   —   17.7   —   17.7 Purchased options 360.2   19.6   —   19.6   —   —   — Commodity contracts                           Swaps 73.8   4.9   0.1   5.0   5.9   —   5.9 Futures and forwards 470.5   5.3   —   5.3   3.2   —   3.2 Written options 142.3   —   —   —   9.5   —   9.5 Purchased options 141.3   9.5   —   9.5   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,944.8   95.8   —   95.8   13.8   —   13.8 Total return swaps/other 17.5   0.6   —   0.6   0.3   —   0.3 Written credit derivatives:                           Credit default swaps 1,885.9   14.1   —   14.1   90.5   —   90.5 Total return swaps/other 17.8   0.5   —   0.5   0.7   —   0.7 Gross derivative assets/liabilities     $ 1,861.7   $ 20.1   $ 1,881.8   $ 1,846.5   $ 14.8   $ 1,861.3 Less: Legally enforceable master netting agreements             (1,749.9 )           (1,749.9 ) Less: Cash collateral applied             (58.9 )           (51.9 ) Total derivative assets/liabilities             $ 73.0           $ 59.5 (1)  Represents the total contract/notional amount of derivative assets and liabilities outstanding. (2)  Excludes $191 million of long-term debt designated as a hedge of foreign currency risk.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value	The table below summarizes certain information related to fair value hedges for the three months ended March 31, 2012 and 2011. Derivatives Designated as Fair Value Hedges       Three Months Ended March 31   2012 (Dollars in millions) Derivative   Hedged Item   Hedge Ineffectiveness Interest rate risk on long-term debt (1) $ (1,001 )   $ 764   $ (237 ) Interest rate and foreign currency risk on long-term debt (1) 155   (173 )   (18 ) Interest rate risk on AFS securities (2) 2,948   (2,801 )   147 Commodity price risk on commodity inventory (3) 23   (23 )   — Total $ 2,125   $ (2,233 )   $ (108 )     2011 Interest rate risk on long-term debt (1) $ (934 )   $ 789   $ (145 ) Interest rate and foreign currency risk on long-term debt (1) 749   (806 )   (57 ) Interest rate risk on AFS securities (2) 1,152   (1,084 )   68 Commodity price risk on commodity inventory (3) (4 )   4   — Total $ 963   $ (1,097 )   $ (134 ) (1)  Amounts are recorded in interest expense on long-term debt and in other income. (2)  Amounts are recorded in interest income on AFS securities. (3)  Amounts relating to commodity inventory are recorded in trading account profits.
Schedule of Cash Flow and Net Investment Hedges	Derivatives Designated as Cash Flow Hedges       Three Months Ended March 31   2012 (Dollars in millions, amounts pre-tax) Gains (losses) Recognized in Accumulated OCI on Derivatives   Gains (losses) in Income Reclassified from Accumulated OCI   Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1) Interest rate risk on variable rate portfolios $ 107   $ (152 )   $ — Commodity price risk on forecasted purchases and sales —   (5 )   — Price risk on restricted stock awards 305   (37 )   — Total $ 412   $ (194 )   $ — Net investment hedges           Foreign exchange risk $ (1,029 )   $ (41 )   $ (7 )               2011 Interest rate risk on variable rate portfolios $ 156   $ (305 )   $ (4 ) Commodity price risk on forecasted purchases and sales (8 )   2   (2 ) Price risk on restricted stock awards (55 )   (26 )   — Total $ 93   $ (329 )   $ (6 ) Net investment hedges           Foreign exchange risk $ (962 )   $ 423   $ (111 ) (1)  Amounts related to derivatives designated as cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing.
Schedule of Economic Hedges	The table below presents gains (losses) on these derivatives for the three months ended March 31, 2012 and 2011. These gains (losses) are largely offset by the income or expense that is recorded on the economically hedged item. Derivatives Accounted for as Economic Hedges   Three Months Ended March 31 (Dollars in millions) 2012   2011 Price risk on mortgage banking production income (1, 2) $ 589   $ (55 ) Interest rate risk on mortgage banking servicing income (1) (203 )   (145 ) Credit risk on loans (3) (57 )   (30 ) Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions (4) 376   3,394 Price risk on restricted stock awards (5) 473   (7 ) Other 9   (3 ) Total $ 1,187   $ 3,154 (1)  Net gains (losses) on these derivatives are recorded in mortgage banking income. (2)  Includes net gains on interest rate lock commitments related to the origination of mortgage loans that are held-for-sale, which are considered derivative instruments, of $547 million and $926 million for the three months ended March 31, 2012 and 2011. (3)  Net losses on these derivatives are recorded in other income (loss). (4)  The majority of the balance is related to the revaluation of economic hedges of foreign currency-denominated debt which is recorded in other income (loss). (5)  Gains (losses) on these derivatives are recorded in personnel expense.
Schedule of Derivative Instruments Included in Trading Activities	The table below, which includes both derivatives and non-derivative cash instruments, identifies the amounts in the respective income statement line items attributable to the Corporation’s sales and trading revenue in Global Markets, categorized by primary risk, for the three months ended March 31, 2012 and 2011. The difference between total trading account profits in the table below and in the Consolidated Statement of Income represents trading activities in business segments other than Global Markets. Sales and Trading Revenue   Three Months Ended March 31   2012 (Dollars in millions) Trading Account Profits   Other Income (Loss) (1, 2)   Net Interest Income   Total Interest rate risk $ 60   $ 5   $ 270   $ 335 Foreign exchange risk 232   (12 )   2   222 Equity risk 375   526   7   908 Credit risk 1,141   370   543   2,054 Other risk 230   27   (74 )   183 Total sales and trading revenue $ 2,038   $ 916   $ 748   $ 3,702                   2011 Interest rate risk $ 303   $ (21 )   $ 217   $ 499 Foreign exchange risk 232   (16 )   2   218 Equity risk 520   667   52   1,239 Credit risk 1,435   370   726   2,531 Other risk 126   (6 )   (33 )   87 Total sales and trading revenue $ 2,616   $ 994   $ 964   $ 4,574 (1)  Represents investment and brokerage services and other income recorded in Global Markets that the Corporation includes in its definition of sales and trading revenue. (2)  Other income (loss) includes commissions and brokerage fee revenue of $510 million and $647 million for the three months ended March 31, 2012 and 2011.
Disclosure of Credit Derivatives	Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at March 31, 2012 and December 31, 2011 are summarized in the table below. These instruments are classified as investment and non-investment grade based on the credit quality of the underlying reference obligation. The Corporation considers ratings of BBB- or higher as investment grade. Non-investment grade includes non-rated credit derivative instruments. Credit Derivative Instruments       March 31, 2012   Carrying Value (Dollars in millions) Less than One Year   One to Three Years   Three to Five Years   Over Five Years   Total Credit default swaps:                   Investment grade $ 191   $ 1,707   $ 7,681   $ 4,091   $ 13,670 Non-investment grade 2,211   6,574   11,102   19,290   39,177 Total 2,402   8,281   18,783   23,381   52,847 Total return swaps/other:                   Investment grade 34   —   —   1   35 Non-investment grade 27   20   3   91   141 Total 61   20   3   92   176 Total credit derivatives $ 2,463   $ 8,301   $ 18,786   $ 23,473   $ 53,023 Credit-related notes: (1)                   Investment grade $ 2   $ 34   $ 190   $ 2,631   $ 2,857 Non-investment grade 127   81   104   1,134   1,446 Total credit-related notes $ 129   $ 115   $ 294   $ 3,765   $ 4,303   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 164,234   $ 339,895   $ 372,803   $ 126,713   $ 1,003,645 Non-investment grade 136,646   219,755   195,685   129,642   681,728 Total 300,880   559,650   568,488   256,355   1,685,373 Total return swaps/other:                   Investment grade 6,795   —   501   —   7,296 Non-investment grade 23,727   3,523   3,736   794   31,780 Total 30,522   3,523   4,237   794   39,076 Total credit derivatives $ 331,402   $ 563,173   $ 572,725   $ 257,149   $ 1,724,449                     (Dollars in millions)     December 31, 2011     Credit default swaps:                   Investment grade $ 795   $ 5,011   $ 17,271   $ 7,325   $ 30,402 Non-investment grade 4,236   11,438   18,072   26,339   60,085 Total 5,031   16,449   35,343   33,664   90,487 Total return swaps/other:                   Investment grade —   —   30   1   31 Non-investment grade 522   2   33   128   685 Total 522   2   63   129   716 Total credit derivatives $ 5,553   $ 16,451   $ 35,406   $ 33,793   $ 91,203 Credit-related notes: (1)                   Investment grade $ —   $ 5   $ 132   $ 1,925   $ 2,062 Non-investment grade 124   74   108   1,286   1,592 Total credit-related notes $ 124   $ 79   $ 240   $ 3,211   $ 3,654   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 182,137   $ 401,914   $ 477,924   $ 127,570   $ 1,189,545 Non-investment grade 133,624   228,327   186,522   147,926   696,399 Total 315,761   630,241   664,446   275,496   1,885,944 Total return swaps/other:                   Investment grade —   —   9,116   —   9,116 Non-investment grade 305   2,023   4,918   1,476   8,722 Total 305   2,023   14,034   1,476   17,838 Total credit derivatives $ 316,066   $ 632,264   $ 678,480   $ 276,972   $ 1,903,782 (1)  For credit-related notes, maximum payout/notional is the same as carrying value.