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Derivatives and Hedging Activities (Tables)
9 Months Ended
Sep. 30, 2011
Derivatives and Hedging Activities (Tables) [Abstract] 
Schedule of derivative instruments in statement of financial position, fair value

The following table summarizes the total fair value, excluding interest accruals, of derivative assets and liabilities as of September 30, 2011 and December 31, 2010:

   Other Assets Other Liabilities
   Fair Value Fair Value
(Millions) 2011 2010 2011 2010
Derivatives designated as hedging instruments:            
Interest rate contracts            
 Fair value hedges $ 1,075 $ 909 $ 2 $38
 Cash flow hedges   ―   2   1  13
Total return contract            
 Fair value hedge   110   ―   ―   ―
Foreign exchange contracts            
 Net investment hedges   468   66   23  272
Total derivatives designated as hedging instruments $ 1,653 $ 977 $ 26 $323
Derivatives not designated as hedging instruments:            
 Interest rate contracts $ 1 $ 3 $ 3 $3
 Foreign exchange contracts, including certain embedded derivatives(a)   136   109   189  91
 Equity-linked embedded derivative(b)   ―   ―   3  2
Total derivatives not designated as hedging instruments   137   112   195  96
Total derivatives, gross $ 1,790 $ 1,089 $ 221 $419
Cash collateral netting(c)    (713)   ―   ―   ―
Derivative asset and derivative liability netting(c)    (13)   (18)   (13)   (18)
Total derivatives, net $ 1,064 $ 1,071 $ 208 $401

(a) Includes foreign currency derivatives embedded in certain operating agreements.

(b) Represents an equity-linked derivative embedded in one of the Company's investment securities.

(c) As permitted under GAAP, balances represent the netting of cash collateral received and posted under credit support agreements, and the netting of derivative assets and derivative liabilities under master netting agreements.

Effect of fair value hedges on results of operations

The following table summarizes the impact on the Consolidated Statements of Income associated with the Company's hedges of its fixed-rate long-term debt and its investment in ICBC:

For the Three Months Ended September 30:                    
(Millions) Gains (losses) recognized in income
  Derivative contract Hedged item Net hedge
  Location Amount Location Amount  ineffectiveness(a)
Derivative relationship  2011 2010  2011 2010 2011 2010
Interest rate contracts Other, net expenses   $219 $189 Other, net expenses   $(191) $(195) $28 $(6)
Total return contract Other revenues  166   ― Other revenues  (178)   ―  (12)   ―

For the Nine Months Ended September 30:                    
(Millions) Gains (losses) recognized in income
  Derivative contract Hedged item Net hedge
  Location Amount Location Amount  ineffectiveness(a)
Derivative relationship  2011 2010  2011 2010 2011 2010
Interest rate contracts Other, net expenses   $202 $602 Other, net expenses   $(189) $(562) $13 $40
Total return contract Other revenues  166   ― Other revenues  (178)   ―  (12)   ―

(a) Net hedge ineffectiveness on the TRC is reclassified from other revenues to other, net expenses.

Impact of cash flow hedges and investment hedges on results of operations

The following table summarizes the impact of cash flow hedges and net investment hedges on the Consolidated Statements of Income:

For the Three Months Ended September 30:               
(Millions) Gains (losses) recognized in income
     Amount reclassified        
    from AOCI into  Net hedge
    income  ineffectiveness
   Location 2011 2010 Location 2011 2010
Cash flow hedges:(a)                
 Interest rate contracts Interest expense $ ― $ (8) Other, net expenses $ ― $ ―
Net investment hedges:                
 Foreign exchange contracts Other, net expenses $ ― $ ― Other, net expenses $ ― $ ―

For the Nine Months Ended September 30:               
(Millions) Gains (losses) recognized in income
     Amount reclassified        
   from AOCI into  Net hedge
   income  ineffectiveness
   Location 2011 2010 Location 2011 2010
Cash flow hedges:(a)                
 Interest rate contracts Interest expense $(13) $(29) Other, net expenses $ ― $ ―
Net investment hedges:                
 Foreign exchange contracts Other, net expenses $ ― $ ― Other, net expenses $ (3) $ ―

(a) During the three and nine months ended September 30, 2011 and 2010, there were no forecasted transactions that were considered no longer probable to occur.

 

Derivative instruments gain loss recognized in income

The following table summarizes the impact of derivatives not designated as hedges on the Consolidated Statements of Income:

For the Three Months Ended September 30:         
(Millions) Gains (losses) recognized in income
  Location  Amount
    2011 2010
Interest rate contracts Other, net expenses  $ ― $3
Foreign exchange contracts(a) Interest and dividends on investment securities    2   1
  Interest expense on short-term borrowings    ―   2
  Interest expense on long-term debt and other   33   24
  Other, net expenses   (48)  101
Equity-linked contract Other non-interest revenues   (1)   1
Total    $(14) $132
          

For the Nine Months Ended September 30:         
(Millions) Gains (losses) recognized in income
  Location  Amount
    2011 2010
Interest rate contracts Other, net expenses  $ 2 $(11)
Foreign exchange contracts(a) Interest and dividends on investment securities    7  2
  Interest expense on short-term borrowings   3  6
  Interest expense on long-term debt and other   94  66
  Other, net expenses   (97)  49
Equity-linked contract Other non-interest revenues   (1)   ―
Total    $8 $112
          

(a) For the three and nine months ended September 30, 2011 and 2010, foreign exchange contracts include embedded foreign currency derivatives. Gains (losses) on these embedded derivatives are included in other, net expenses.