Derivatives (Tables)

v2.4.0.6

Derivatives (Tables)	12 Months Ended
	Dec. 31, 2012
Derivatives [Abstract]
Schedule of Derivative Instruments	The following tables present derivative instruments included on the Corporation’s Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2012 and 2011. Balances are presented on a gross basis, prior to the application of counterparty and cash 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 received or paid.                                   December 31, 2012       Gross Derivative Assets   Gross Derivative Liabilities (Dollars in billions) Contract/ Notional (1)   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   Total   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   Total Interest rate contracts                           Swaps $ 34,667.4   $ 1,075.4   $ 13.8   $ 1,089.2   $ 1,062.6   $ 4.7   $ 1,067.3 Futures and forwards 11,950.5   2.8   —   2.8   2.7   —   2.7 Written options 2,343.5   —   —   —   106.0   —   106.0 Purchased options 2,162.6   105.5   —   105.5   —   —   — Foreign exchange contracts                           Swaps 2,489.0   47.4   1.4   48.8   53.2   1.8   55.0 Spot, futures and forwards 3,023.0   31.5   0.4   31.9   30.5   0.8   31.3 Written options 363.3   —   —   —   7.3   —   7.3 Purchased options 321.8   6.5   —   6.5   —   —   — Equity contracts                           Swaps 127.1   1.6   —   1.6   2.0   —   2.0 Futures and forwards 58.4   1.0   —   1.0   1.0   —   1.0 Written options 295.3   —   —   —   20.2   —   20.2 Purchased options 271.0   20.4   —   20.4   —   —   — Commodity contracts                           Swaps 60.5   2.5   0.1   2.6   4.0   —   4.0 Futures and forwards 498.9   4.8   —   4.8   2.7   —   2.7 Written options 166.4   —   —   —   7.4   —   7.4 Purchased options 168.2   7.1   —   7.1   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,559.5   35.6   —   35.6   22.1   —   22.1 Total return swaps/other 43.5   2.5   —   2.5   2.9   —   2.9 Written credit derivatives:                           Credit default swaps 1,531.5   23.0   —   23.0   32.6   —   32.6 Total return swaps/other 68.8   0.2   —   0.2   0.3   —   0.3 Gross derivative assets/liabilities     $ 1,367.8   $ 15.7   $ 1,383.5   $ 1,357.5   $ 7.3   $ 1,364.8 Less: Legally enforceable master netting agreements             (1,271.9 )           (1,271.9 ) Less: Cash collateral received/paid             (58.1 )           (46.9 ) Total derivative assets/liabilities             $ 53.5           $ 46.0 (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 Other Risk Management Derivatives   Qualifying Accounting Hedges   Total   Trading Derivatives and Other Risk Management Derivatives   Qualifying Accounting Hedges   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 received/paid             (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.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value	The table below summarizes certain information related to fair value hedges for 2012, 2011 and 2010, including hedges of interest rate risk on long-term debt that were acquired as part of a business combination and redesignated. At redesignation, the fair value of the derivatives was negative. As the derivatives mature, the fair value will approach zero. As a result, ineffectiveness may occur and the fair value changes in the derivatives and the long-term debt being hedged may be directionally the same in certain scenarios. Based on a regression analysis, the derivatives continue to be highly effective at offsetting changes in the fair value of the long-term debt attributable to interest rate risk.       Derivatives Designated as Fair Value Hedges                       Gains (losses) 2012 (Dollars in millions) Derivative   Hedged Item   Hedge Ineffectiveness Interest rate risk on long-term debt (1) $ (195 )   $ (770 )   $ (965 ) Interest rate and foreign currency risk on long-term debt (1) (1,482 )   1,225   (257 ) Interest rate risk on AFS securities (2) (4 )   91   87 Commodity price risk on commodity inventory (3) (6 )   6   — Total $ (1,687 )   $ 552   $ (1,135 )               2011 Interest rate risk on long-term debt (1) $ 4,384   $ (4,969 )   $ (585 ) Interest rate and foreign currency risk on long-term debt (1) 780   (1,057 )   (277 ) Interest rate risk on AFS securities (2) (11,386 )   10,490   (896 ) Commodity price risk on commodity inventory (3) 16   (16 )   — Total $ (6,206 )   $ 4,448   $ (1,758 )               2010 Interest rate risk on long-term debt (1) $ 2,952   $ (3,496 )   $ (544 ) Interest rate and foreign currency risk on long-term debt (1) (463 )   130   (333 ) Interest rate risk on AFS securities (2) (2,577 )   2,667   90 Commodity price risk on commodity inventory (3) 19   (19 )   — Total $ (69 )   $ (718 )   $ (787 ) (1)  Amounts are recorded in interest expense on long-term debt and in other income (loss). (2)  Amounts are recorded in interest income on debt securities. (3)  Amounts relating to commodity inventory are recorded in trading account profits.
Cash Flow and Net Investment Hedges	Derivatives Designated as Cash Flow and Net Investment Hedges                         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) Cash flow hedges           Interest rate risk on variable rate portfolios $ 10   $ (957 )   $ — Price risk on restricted stock awards 420   (78 )   — Total $ 430   $ (1,035 )   $ — Net investment hedges           Foreign exchange risk $ (771 )   $ (26 )   $ (269 )               2011 Cash flow hedges           Interest rate risk on variable rate portfolios $ (2,079 )   $ (1,392 )   $ (8 ) Commodity price risk on forecasted purchases and sales (3 )   6   (3 ) Price risk on restricted stock awards (408 )   (231 )   — Total $ (2,490 )   $ (1,617 )   $ (11 ) Net investment hedges           Foreign exchange risk $ 1,055   $ 384   $ (572 )               2010 Cash flow hedges           Interest rate risk on variable rate portfolios $ (1,876 )   $ (410 )   $ (30 ) Commodity price risk on forecasted purchases and sales 32   25   11 Price risk on restricted stock awards (97 )   (33 )   — Price risk on equity investments included in AFS securities 186   (226 )   — Total $ (1,755 )   $ (644 )   $ (19 ) Net investment hedges           Foreign exchange risk $ (482 )   $ —   $ (315 ) (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.
Economic Hedges	The table below presents gains (losses) on these derivatives for 2012, 2011 and 2010. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.             Other Risk Management Derivatives                       Gains (losses)                       (Dollars in millions) 2012   2011   2010 Price risk on mortgage banking production income (1, 2) $ 3,022   $ 2,852   $ 9,109 Market-related risk on mortgage banking servicing income (1) 2,000   3,612   3,878 Credit risk on loans (3) (95 )   30   (121 ) Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions (4) 424   (48 )   (2,080 ) Price risk on restricted stock awards (5) 1,008   (610 )   (151 ) Other 58   281   42 Total $ 6,417   $ 6,117   $ 10,677 (1)  Net gains on these derivatives are recorded in mortgage banking income (loss). (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 $3.0 billion, $3.8 billion and $8.7 billion for 2012, 2011 and 2010, respectively. (3)  Net gains (losses) on these derivatives are recorded in other income (loss). (4)  The majority of the balance is related to the revaluation of derivatives used to mitigate risk related to foreign currency-denominated debt which is recorded in other income (loss). The offsetting revaluation of the foreign currency-denominated debt, while not included in the table above, is also recorded in other income (loss). (5)  Gains (losses) on these derivatives are recorded in personnel expense.
Disclosure of Credit Derivatives	Credit derivative instruments where the Corporation is the seller of credit protection and their expiration are summarized at December 31, 2012 and 2011 in the table below. These instruments are classified as investment and non-investment grade based on the credit quality of the underlying referenced obligation. The Corporation considers ratings of BBB- or higher as investment grade. Non-investment grade includes non-rated credit derivative instruments.                     Credit Derivative Instruments         December 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 $ 52   $ 757   $ 5,595   $ 2,903   $ 9,307 Non-investment grade 923   4,403   7,030   10,959   23,315 Total 975   5,160   12,625   13,862   32,622 Total return swaps/other:                   Investment grade 39   —   —   —   39 Non-investment grade 57   104   39   37   237 Total 96   104   39   37   276 Total credit derivatives $ 1,071   $ 5,264   $ 12,664   $ 13,899   $ 32,898 Credit-related notes: (1)                   Investment grade $ 4   $ 12   $ 441   $ 3,849   $ 4,306 Non-investment grade 116   161   314   1,425   2,016 Total credit-related notes $ 120   $ 173   $ 755   $ 5,274   $ 6,322   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 260,177   $ 349,125   $ 500,038   $ 90,453   $ 1,199,793 Non-investment grade 79,861   99,043   110,248   42,559   331,711 Total 340,038   448,168   610,286   133,012   1,531,504 Total return swaps/other:                   Investment grade 43,536   15   —   —   43,551 Non-investment grade 5,566   11,028   7,631   1,035   25,260 Total 49,102   11,043   7,631   1,035   68,811 Total credit derivatives $ 389,140   $ 459,211   $ 617,917   $ 134,047   $ 1,600,315   December 31, 2011 (Dollars in millions) Carrying Value 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 $ —   $ 7   $ 208   $ 2,947   $ 3,162 Non-investment grade 127   85   132   1,732   2,076 Total credit-related notes $ 127   $ 92   $ 340   $ 4,679   $ 5,238   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.
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 2012, 2011 and 2010. The difference between total trading account profits in the table below and in the Corporation’s Consolidated Statement of Income represents trading activities in business segments other than Global Markets. Global Markets results in Note 26 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The table below is not presented on a FTE basis.                 Sales and Trading Revenue                                 2012 (Dollars in millions) Trading Account Profits   Net Interest Income   Other (1)   Total Interest rate risk $ 580   $ 1,040   $ (5 )   $ 1,615 Foreign exchange risk 909   5   7   921 Equity risk 1,181   (57 )   1,890   3,014 Credit risk 2,496   2,321   961   5,778 Other risk 540   (219 )   (42 )   279 Total sales and trading revenue $ 5,706   $ 3,090   $ 2,811   $ 11,607                   2011 Interest rate risk $ 2,118   $ 923   $ (63 )   $ 2,978 Foreign exchange risk 1,088   8   (10 )   1,086 Equity risk 1,482   128   2,346   3,956 Credit risk 1,096   2,604   553   4,253 Other risk 633   (184 )   (72 )   377 Total sales and trading revenue $ 6,417   $ 3,479   $ 2,754   $ 12,650                   2010 Interest rate risk $ 2,032   $ 659   $ 38   $ 2,729 Foreign exchange risk 903   —   (9 )   894 Equity risk 1,650   16   2,447   4,113 Credit risk 4,592   3,557   266   8,415 Other risk 447   (172 )   (4 )   271 Total sales and trading revenue $ 9,624   $ 4,060   $ 2,738   $ 16,422 (1)  Represents amounts in investment and brokerage services and other income (loss) that are recorded in Global Markets and included in the definition of sales and trading revenue. Includes investment and brokerage services revenue of $1.8 billion, $2.2 billion and $2.3 billion for 2012, 2011 and 2010, respectively, primarily included in equity risk. The table below presents CVA and DVA gains (losses) for the Corporation on a gross and net of hedge basis, which are recorded in trading account profits.             Valuation Adjustments on Derivatives               2012   2011 (Dollars in millions) Gross Net   Gross Net Derivative assets (CVA) (1) $ 1,022 $ 291   $ (1,863 ) $ (606 ) Derivative liabilities (DVA) (2) (2,212 ) (2,477 )   1,385 1,000 (1)  At December 31, 2012 and 2011, the cumulative CVA reduced the derivative assets balance by $2.4 billion and $2.8 billion. (2)  At December 31, 2012 and 2011, the Corporation’s cumulative DVA reduced the derivative liabilities balance by $807 million and $2.4 billion.