Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2012

Derivative Positions of Company

The following table provides information on the fair value of the Company’s derivative positions as of December 31:

	2012						2011
(Dollars in Millions)	Asset Derivatives			Liability Derivatives			Asset Derivatives			Liability Derivatives
Total fair value of derivative positions	$	1,806		$	2,183		$	1,913		$	2,554
Netting (a)		(418	)		(1,549	)		(294	)		(1,889	)
Total	$	1,388		$	634		$	1,619		$	665

(a) Represents netting of derivative asset and liability balances, and related collateral, with the same counterparty subject to master netting agreements. At December 31, 2012, the amount of collateral posted by counterparties, consisting primarily of cash and money market investments, that was netted against derivative assets was $84 million and the amount of cash collateral posted by the Company that was netted against derivative liabilities was $1.2 billion, compared with $88 million and $1.7 billion, respectively, at December 31, 2011.

Asset and Liability Management Derivative Positions of Company

The following table summarizes the asset and liability management derivative positions of the Company:

	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years
December 31, 2012
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	500	$	30		3.09	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		32		–		9.88		4,528		718		3.79
Receive fixed/pay floating swaps		7,000		45		1.84		–		–		–
Net investment hedges
Foreign exchange forward contracts		758		1		.07		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		11,164		138		.07		2,921		13		.04
Sell		6,299		18		.11		12,223		57		.09
Options
Purchased		2,435		–		.07		–		–		–
Written		4,991		123		.12		4		–		.06
Receive fixed/pay floating swaps		350		1		10.21		3,775		14		10.21
Foreign exchange forward contracts		618		4		.03		1,383		6		.01
Equity contracts		31		–		2.80		27		–		2.46
Credit contracts		1,056		3		4.56		1,947		10		3.11
December 31, 2011
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps		500		27		4.09		–		–		–
Foreign exchange cross-currency swaps		688		17		5.17		432		23		5.17
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		–		–		–		4,788		803		4.03
Receive fixed/pay floating swaps		750		–		2.75		6,250		6		2.86
Net investment hedges
Foreign exchange forward contracts		708		4		.08		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		14,270		150		.07		29		–		.12
Sell		231		1		.15		14,415		134		.11
Options
Purchased		1,250		–		.07		–		–		–
Written		4,421		80		.10		11		1		.13
Receive fixed/pay floating swaps		2,625		9		10.21		–		–		–
Foreign exchange forward contracts		307		1		.08		1,414		11		.08
Equity contracts		54		1		1.05		10		–		.64
Credit contracts		800		7		3.71		1,600		8		3.59

Customer-Related Derivative Positions of Company

The following table summarizes the customer-related derivative positions of the Company:

	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted-Average Remaining Maturity In Years
December 31, 2012
Interest rate contracts
Receive fixed/pay floating swaps	$	16,671	$	1,085		4.78	$	1,090	$	15		9.30
Pay fixed/receive floating swaps		928		14		11.12		16,923		1,042		4.74
Options
Purchased		3,046		16		5.24		28		–		4.42
Written		286		–		.75		2,788		16		5.68
Foreign exchange rate contracts
Forwards, spots and swaps (a)		12,186		322		.43		11,861		286		.44
Options
Purchased		323		6		.55		–		–		–
Written		–		–		–		323		6		.55
December 31, 2011
Interest rate contracts
Receive fixed/pay floating swaps		16,230		1,216		4.98		523		1		2.52
Pay fixed/receive floating swaps		99		–		1.81		16,206		1,182		5.10
Options
Purchased		2,660		26		6.11		–		–		–
Written		–		–		–		2,660		26		6.11
Foreign exchange rate contracts
Forwards, spots and swaps (a)		7,936		369		.54		7,731		354		.54
Options
Purchased		127		5		.41		–		–		–
Written		–		–		–		127		5		.41

(a) Reflects the net of long and short positions.

Summary of Effective Portion of Gains (Losses) Recognized in Other Comprehensive Income (Loss) and Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings

The table below shows the effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains (losses) reclassified from other comprehensive income (loss) into earnings (net-of-tax) for the years ended December 31:

	Gains (Losses) Recognized in Other Comprehensive Income (Loss)									Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into  Earnings
(Dollars in Millions)	2012			2011			2010			2012			2011			2010
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts (a)	$	(46	)	$	(213	)	$	(235	)	$	(131	)	$	(138	)	$	(148	)
Net investment hedges
Foreign exchange forward contracts		(19	)		34			(25	)		–			–			–
Non-derivative debt instruments		20			–			–			–			–			–

Note: Ineffectiveness on cash flow and net investment hedges was not material for the years ended December 31, 2012, 2011 and 2010.

(a) Gains (Losses) reclassified from other comprehensive income (loss) into interest income on loans and interest expense on long-term debt.

Summary of Gains (Losses) Recognized in Earnings for Fair Value Hedges, Other Economic Hedges and Customer-Related Positions

The table below shows the gains (losses) recognized in earnings for fair value hedges, other economic hedges and the customer-related positions for the years ended December 31:

(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings	2012			2011			2010
Asset and Liability Management Positions
Fair value hedges (a)
Interest rate contracts	Other noninterest income	$	3		$	(36	)	$	(31	)
Foreign exchange cross-currency swaps	Other noninterest income		42			(69	)		(193	)
Other economic hedges
Interest rate contracts
Futures and forwards	Mortgage banking revenue		437			23			831
Purchased and written options	Mortgage banking revenue		854			456			425
Receive fixed/pay floating swaps	Mortgage banking revenue		175			518			–
Pay fixed/receive floating swaps	Mortgage banking revenue		–			1			–
Foreign exchange forward contracts	Commercial products revenue		(63	)		(81	)		(16	)
Equity contracts	Compensation expense		2			1			1
Credit contracts	Other noninterest income/expense		(8	)		–			(6	)
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps	Other noninterest income		(118	)		302			201
Pay fixed/receive floating swaps	Other noninterest income		124			(317	)		(196	)
Purchased and written options	Other noninterest income		–			–			1
Foreign exchange rate contracts
Forwards, spots and swaps	Commercial products revenue		50			53			49
Purchased and written options	Commercial products revenue		–			–			1

(a) Gains (Losses) on items hedged by interest rate contracts and foreign exchange forward contracts, included in noninterest income (expense), were $(3) million and $(44) million for the year ended December 31, 2012, respectively, $29 million and $72 million for the year ended December 31, 2011, respectively, and $35 million and $193 million for the year ended December 31, 2010, respectively. The ineffective portion was immaterial for the years ended December 31, 2012, 2011 and 2010.