Derivatives (Tables)

v2.4.0.6

Derivatives (Tables)	6 Months Ended
	Jun. 30, 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 June 30, 2012 and December 31, 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.   June 30, 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 $ 37,046.1   $ 1,233.9   $ 14.4   $ 1,248.3   $ 1,219.4   $ 8.0   $ 1,227.4 Futures and forwards 12,434.5   2.9   —   2.9   3.0   —   3.0 Written options 2,334.1   —   —   —   115.0   —   115.0 Purchased options 2,255.8   115.8   —   115.8   —   —   — Foreign exchange contracts                           Swaps 2,476.6   44.0   1.9   45.9   54.1   2.3   56.4 Spot, futures and forwards 2,828.9   30.1   0.8   30.9   31.2   0.3   31.5 Written options 461.5   —   —   —   7.4   —   7.4 Purchased options 376.8   7.2   —   7.2   —   —   — Equity contracts                           Swaps 109.4   2.0   —   2.0   2.1   —   2.1 Futures and forwards 56.0   1.4   —   1.4   1.4   —   1.4 Written options 306.4   —   —   —   19.9   —   19.9 Purchased options 295.3   19.9   —   19.9   —   —   — Commodity contracts                           Swaps 85.4   4.7   0.1   4.8   6.3   —   6.3 Futures and forwards 643.4   6.2   —   6.2   3.8   —   3.8 Written options 177.4   —   —   —   9.3   —   9.3 Purchased options 175.6   8.8   —   8.8   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,647.1   63.0   —   63.0   15.2   —   15.2 Total return swaps/other 36.4   2.5   —   2.5   2.7   —   2.7 Written credit derivatives:                           Credit default swaps 1,591.2   15.9   —   15.9   58.2   —   58.2 Total return swaps/other 55.2   0.6   —   0.6   0.6   —   0.6 Gross derivative assets/liabilities     $ 1,558.9   $ 17.2   $ 1,576.1   $ 1,549.6   $ 10.6   $ 1,560.2 Less: Legally enforceable master netting agreements           (1,456.9 )           (1,456.9 ) Less: Cash collateral received/paid             (59.3 )           (51.8 ) Total derivative assets/liabilities             $ 59.9           $ 51.5 (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   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 the three and six months ended June 30, 2012 and 2011. Derivatives Designated as Fair Value Hedges   Three Months Ended June 30   Six Months Ended June 30 Gains (losses) 2012   2012 (Dollars in millions) Derivative   Hedged Item   Hedge Ineffectiveness   Derivative   Hedged Item   Hedge Ineffectiveness Interest rate risk on long-term debt (1) $ 1,410   $ (1,644 )   $ (234 )   $ 409   $ (880 )   $ (471 ) Interest rate and foreign currency risk on long-term debt (1) (894 )   785   (109 )   (739 )   612   (127 ) Interest rate risk on AFS securities (2) (3,890 )   3,769   (121 )   (942 )   968   26 Commodity price risk on commodity inventory (3) (9 )   9   —   14   (14 )   — Total $ (3,383 )   $ 2,919   $ (464 )   $ (1,258 )   $ 686   $ (572 )                           2011   2011 Interest rate risk on long-term debt (1) $ 1,373   $ (1,494 )   $ (121 )   $ 439   $ (705 )   $ (266 ) Interest rate and foreign currency risk on long-term debt (1) 1,438   (1,487 )   (49 )   2,188   (2,293 )   (105 ) Interest rate risk on AFS securities (2) (1,873 )   1,630   (243 )   (721 )   546   (175 ) Commodity price risk on commodity inventory (3) 20   (20 )   —   16   (16 )   — Total $ 958   $ (1,371 )   $ (413 )   $ 1,922   $ (2,468 )   $ (546 ) (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 and Net Investment Hedges   Three Months Ended June 30   Six Months Ended June 30   2012   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)   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 $ (160 )   $ (224 )   $ —   $ (53 )   $ (376 )   $ — Commodity price risk on forecasted purchases and sales —   2   —   —   (3 )   — Price risk on restricted stock awards (214 )   (24 )   —   91   (61 )   — Total $ (374 )   $ (246 )   $ —   $ 38   $ (440 )   $ — Net investment hedges                       Foreign exchange risk $ 1,157   $ 4   $ (160 )   $ 128   $ (37 )   $ (167 )                           2011   2011 Cash flow hedges                       Interest rate risk on variable rate portfolios $ (878 )   $ (444 )   $ (30 )   $ (722 )   $ (748 )   $ (34 ) Commodity price risk on forecasted purchases and sales (1 )   1   —   (9 )   3   (2 ) Price risk on restricted stock awards (136 )   (44 )   —   (191 )   (70 )   — Total $ (1,015 )   $ (487 )   $ (30 )   $ (922 )   $ (815 )   $ (36 ) Net investment hedges                       Foreign exchange risk $ (653 )   $ —   $ (139 )   $ (1,615 )   $ 423   $ (250 ) (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 and six months ended June 30, 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 Gains (losses) Three Months Ended June 30   Six Months Ended June 30 (Dollars in millions) 2012   2011   2012   2011 Price risk on mortgage banking production income (1, 2) $ 801   $ 1,221   $ 1,390   $ 1,166 Interest rate risk on mortgage banking servicing income (1) 1,351   530   1,148   385 Credit risk on loans (3) 18   1   (39 )   (28 ) Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions (4) (1,054 )   1,826   (678 )   5,220 Price risk on restricted stock awards (5) (223 )   (157 )   250   (164 ) Other (4 )   (12 )   89   (12 ) Total $ 889   $ 3,409   $ 2,160   $ 6,567 (1)  Net gains 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 $886 million and $1.4 billion for the three and six months ended June 30, 2012 compared to $1.2 billion and $2.2 billion for the same periods in 2011. (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 economic hedges of 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.
Schedule of Derivative Instruments Included in Trading Activities	The Derivative Valuation Adjustments table presents credit valuation gains (losses) and DVA gains (losses) for the Corporation, which are recorded in trading account profits. Derivative Valuation Adjustments   Three Months Ended June 30   Six Months Ended June 30   2012   2011   2012   2011 (Dollars in millions) Gross Net   Gross Net   Gross Net   Gross Net Derivative assets (1) $ (313 ) $ 13   $ (592 ) $ (151 )   $ 200 $ 162   $ (444 ) $ (617 ) Derivative liabilities (2) 67 (158 )   205 121   (1,293 ) (1,617 )   (103 ) (236 ) (1)  At June 30, 2012 and December 31, 2011, the cumulative counterparty credit risk valuation adjustment reduced the derivative assets balance by $2.9 billion and $2.8 billion. (2)  At June 30, 2012 and December 31, 2011, the Corporation’s cumulative DVA reduced the derivative liabilities balance by $1.4 billion and $2.4 billion. 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 and six months ended June 30, 2012 and 2011. 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. Sales and Trading Revenue   Three Months Ended June 30   Six Months Ended June 30   2012   2012 (Dollars in millions) Trading Account Profits   Other (1)   Net Interest Income   Total   Trading Account Profits   Other (1)   Net Interest Income   Total Interest rate risk $ 395   $ 16   $ 215   $ 626   $ 455   $ 21   $ 485   $ 961 Foreign exchange risk 234   (25 )   2   211   466   (37 )   4   433 Equity risk 418   453   (112 )   759   793   979   (105 )   1,667 Credit risk 557   362   537   1,456   1,698   732   1,080   3,510 Other risk 103   15   (50 )   68   333   42   (124 )   251 Total sales and trading revenue $ 1,707   $ 821   $ 592   $ 3,120   $ 3,745   $ 1,737   $ 1,340   $ 6,822                                   2011   2011 Interest rate risk $ 489   $ 18   $ 199   $ 706   $ 792   $ (3 )   $ 416   $ 1,205 Foreign exchange risk 261   (16 )   4   249   493   (32 )   6   467 Equity risk 541   559   (23 )   1,077   1,061   1,226   29   2,316 Credit risk 562   271   682   1,515   1,995   642   1,408   4,045 Other risk 161   (1 )   (31 )   129   287   (8 )   (64 )   215 Total sales and trading revenue $ 2,014   $ 831   $ 831   $ 3,676   $ 4,628   $ 1,825   $ 1,795   $ 8,248 (1)  Represents amounts in the investment and brokerage services and other income (loss) line items in the Consolidated Statement of Income that are recorded in Global Markets and included in the definition of sales and trading revenue. Includes investment and brokerage services revenue of $445 million and $995 million for the three and six months ended June 30, 2012 and $557 million and $1.2 billion for the same periods in 2011.
Disclosure of Credit Derivatives	Credit derivative instruments where the Corporation is the seller of credit protection and their expiration are summarized at June 30, 2012 and December 31, 2011 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       June 30, 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 $ 310   $ 3,388   $ 12,990   $ 5,547   $ 22,235 Non-investment grade 2,000   6,692   10,955   16,312   35,959 Total 2,310   10,080   23,945   21,859   58,194 Total return swaps/other:                   Investment grade 86   —   —   —   86 Non-investment grade 88   122   181   82   473 Total 174   122   181   82   559 Total credit derivatives $ 2,484   $ 10,202   $ 24,126   $ 21,941   $ 58,753 Credit-related notes: (1)                   Investment grade $ 3   $ 174   $ 831   $ 2,580   $ 3,588 Non-investment grade 227   101   159   1,537   2,024 Total credit-related notes $ 230   $ 275   $ 990   $ 4,117   $ 5,612   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 246,780   $ 391,375   $ 443,829   $ 120,099   $ 1,202,083 Non-investment grade 94,744   117,728   117,576   59,095   389,143 Total 341,524   509,103   561,405   179,194   1,591,226 Total return swaps/other:                   Investment grade 21,358   60   —   —   21,418 Non-investment grade 24,552   4,194   4,088   956   33,790 Total 45,910   4,254   4,088   956   55,208 Total credit derivatives $ 387,434   $ 513,357   $ 565,493   $ 180,150   $ 1,646,434                       December 31, 2011   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.