Derivatives (Tables)

v2.4.0.6

Derivatives (Tables)	9 Months Ended
	Sep. 30, 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 September 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.   September 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 $ 35,256.0   $ 1,147.8   $ 14.7   $ 1,162.5   $ 1,132.8   $ 5.1   $ 1,137.9 Futures and forwards 13,171.6   3.9   —   3.9   3.9   —   3.9 Written options 2,348.0   —   —   —   111.0   —   111.0 Purchased options 2,256.2   111.3   —   111.3   —   —   — Foreign exchange contracts                           Swaps 2,530.7   52.3   2.1   54.4   61.0   2.2   63.2 Spot, futures and forwards 3,066.8   26.2   0.3   26.5   27.5   1.2   28.7 Written options 446.0   —   —   —   6.9   —   6.9 Purchased options 373.7   6.6   —   6.6   —   —   — Equity contracts                           Swaps 120.8   2.0   —   2.0   2.3   —   2.3 Futures and forwards 52.8   1.5   —   1.5   1.4   —   1.4 Written options 367.0   —   —   —   20.7   —   20.7 Purchased options 334.4   20.0   —   20.0   —   —   — Commodity contracts                           Swaps 69.2   3.3   —   3.3   4.6   —   4.6 Futures and forwards 581.6   4.9   —   4.9   2.7   —   2.7 Written options 195.0   —   —   —   3.1   —   3.1 Purchased options 197.8   2.6   —   2.6   —   —   — Credit derivatives                           Purchased credit derivatives:                           Credit default swaps 1,654.5   45.1   —   45.1   19.8   —   19.8 Total return swaps/other 36.6   2.4   —   2.4   2.9   —   2.9 Written credit derivatives:                           Credit default swaps 1,612.3   21.1   —   21.1   41.6   —   41.6 Total return swaps/other 60.2   1.6   —   1.6   0.5   —   0.5 Gross derivative assets/liabilities     $ 1,452.6   $ 17.1   $ 1,469.7   $ 1,442.7   $ 8.5   $ 1,451.2 Less: Legally enforceable master netting agreements           (1,351.7 )           (1,351.7 ) Less: Cash collateral received/paid             (60.0 )           (48.1 ) Total derivative assets/liabilities             $ 57.9           $ 51.4 (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 nine months ended September 30, 2012 and 2011. Derivatives Designated as Fair Value Hedges Gains (losses) Three Months Ended September 30   Nine Months Ended September 30   2012   2012 (Dollars in millions) Derivative   Hedged Item   Hedge Ineffectiveness   Derivative   Hedged Item   Hedge Ineffectiveness Interest rate risk on long-term debt (1) $ 109   $ (385 )   $ (276 )   $ 518   $ (1,265 )   $ (747 ) Interest rate and foreign currency risk on long-term debt (1) (716 )   647   (69 )   (1,455 )   1,259   (196 ) Interest rate risk on AFS securities (2) 349   (309 )   40   (593 )   659   66 Commodity price risk on commodity inventory (3) (24 )   24   —   (10 )   10   — Total $ (282 )   $ (23 )   $ (305 )   $ (1,540 )   $ 663   $ (877 )                           2011   2011 Interest rate risk on long-term debt (1) $ 4,055   $ (4,233 )   $ (178 )   $ 4,494   $ (4,938 )   $ (444 ) Interest rate and foreign currency risk on long-term debt (1) (871 )   759   (112 )   1,317   (1,534 )   (217 ) Interest rate risk on AFS securities (2) (10,420 )   9,810   (610 )   (11,141 )   10,356   (785 ) Commodity price risk on commodity inventory (3) 16   (16 )   —   32   (32 )   — Total $ (7,220 )   $ 6,320   $ (900 )   $ (5,298 )   $ 3,852   $ (1,446 ) (1)  Amounts are recorded in interest expense on long-term debt and in other income (loss). (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 September 30   Nine Months Ended September 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 $ 21   $ (260 )   $ —   $ (32 )   $ (636 )   $ — Commodity price risk on forecasted purchases and sales —   3   —   —   —   — Price risk on restricted stock awards 65   (28 )   —   156   (89 )   — Total $ 86   $ (285 )   $ —   $ 124   $ (725 )   $ — Net investment hedges                       Foreign exchange risk $ (1,149 )   $ 11   $ (13 )   $ (1,021 )   $ (26 )   $ (180 )                           2011   2011 Cash flow hedges                       Interest rate risk on variable rate portfolios $ (1,550 )   $ (464 )   $ 26   $ (2,272 )   $ (1,212 )   $ (8 ) Commodity price risk on forecasted purchases and sales 5   2   2   (4 )   5   — Price risk on restricted stock awards (204 )   (75 )   —   (395 )   (145 )   — Total $ (1,749 )   $ (537 )   $ 28   $ (2,671 )   $ (1,352 )   $ (8 ) Net investment hedges                       Foreign exchange risk $ 2,212   $ (16 )   $ (175 )   $ 597   $ 407   $ (425 ) (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 nine months ended September 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 September 30   Nine Months Ended September 30 (Dollars in millions) 2012   2011   2012   2011 Price risk on mortgage banking production income (1, 2) $ 850   $ 1,158   $ 2,240   $ 2,324 Market-related risk on mortgage banking servicing income (1) 822   2,678   1,970   3,063 Credit risk on loans (3) (32 )   66   (71 )   38 Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions (4) (309 )   (3,616 )   (987 )   1,604 Price risk on restricted stock awards (5) 142   (392 )   392   (556 ) Other 16   104   105   172 Total $ 1,489   $ (2 )   $ 3,649   $ 6,645 (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 $1.0 billion and $2.4 billion for the three and nine months ended September 30, 2012 compared to $1.2 billion and $3.4 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 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 nine months ended September 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 September 30   Nine Months Ended September 30   2012   2012 (Dollars in millions) Trading Account Profits   Net Interest Income   Other (1)   Total   Trading Account Profits   Net Interest Income   Other (1)   Total Interest rate risk $ 67   $ 267   $ 7   $ 341   $ 522   $ 752   $ 28   $ 1,302 Foreign exchange risk 192   1   2   195   658   5   (35 )   628 Equity risk 196   15   453   664   989   (90 )   1,432   2,331 Credit risk 661   552   130   1,343   2,359   1,632   862   4,853 Other risk 120   (45 )   (12 )   63   453   (169 )   30   314 Total sales and trading revenue $ 1,236   $ 790   $ 580   $ 2,606   $ 4,981   $ 2,130   $ 2,317   $ 9,428                                   2011   2011 Interest rate risk $ 1,237   $ 256   $ 24   $ 1,517   $ 2,029   $ 672   $ 21   $ 2,722 Foreign exchange risk 332   2   (16 )   318   825   8   (48 )   785 Equity risk 280   48   628   956   1,341   77   1,854   3,272 Credit risk (630 )   636   41   47   1,365   2,044   683   4,092 Other risk 201   (62 )   (8 )   131   488   (126 )   (16 )   346 Total sales and trading revenue $ 1,420   $ 880   $ 669   $ 2,969   $ 6,048   $ 2,675   $ 2,494   $ 11,217 (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 $425 million and $1.4 billion for the three and nine months ended September 30, 2012 and $584 million and $1.8 billion for the same periods in 2011. The Valuation Adjustments on Derivatives table presents CVA gains (losses) 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   Three Months Ended September 30   Nine Months Ended September 30   2012   2011   2012   2011 (Dollars in millions) Gross Net   Gross Net   Gross Net   Gross Net Derivative assets (CVA) (1) $ 525 $ 75   $ (1,570 ) $ (81 )   $ 725 $ 237   $ (2,014 ) $ (698 ) Derivative liabilities (DVA) (2) (606 ) (583 )   1,767 1,710   (1,899 ) (2,200 )   1,664 1,474 (1)  At September 30, 2012 and December 31, 2011, the cumulative CVA reduced the derivative assets balance by $2.7 billion and $2.8 billion. (2)  At September 30, 2012 and December 31, 2011, the Corporation’s cumulative DVA reduced the derivative liabilities balance by $1.1 billion and $2.4 billion.
Disclosure of Credit Derivatives	Credit derivative instruments where the Corporation is the seller of credit protection and their expiration are summarized at September 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       September 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 $ 53   $ 1,423   $ 8,197   $ 4,000   $ 13,673 Non-investment grade 1,028   4,859   8,067   13,935   27,889 Total 1,081   6,282   16,264   17,935   41,562 Total return swaps/other:                   Investment grade 42   —   —   —   42 Non-investment grade 159   71   230   18   478 Total 201   71   230   18   520 Total credit derivatives $ 1,282   $ 6,353   $ 16,494   $ 17,953   $ 42,082 Credit-related notes: (1)                   Investment grade $ 4   $ 31   $ 324   $ 3,638   $ 3,997 Non-investment grade 161   132   144   1,745   2,182 Total credit-related notes $ 165   $ 163   $ 468   $ 5,383   $ 6,179   Maximum Payout/Notional Credit default swaps:                   Investment grade $ 252,973   $ 387,360   $ 449,827   $ 135,761   $ 1,225,921 Non-investment grade 88,386   115,839   123,365   58,752   386,342 Total 341,359   503,199   573,192   194,513   1,612,263 Total return swaps/other:                   Investment grade 16,994   15   —   —   17,009 Non-investment grade 29,704   7,575   5,557   338   43,174 Total 46,698   7,590   5,557   338   60,183 Total credit derivatives $ 388,057   $ 510,789   $ 578,749   $ 194,851   $ 1,672,446                       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.