Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2012

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, 2012 and December 31, 2011:

		Other Assets				Other Liabilities
		Fair Value				Fair Value
(Millions)		2012		2011		2012		2011
Derivatives designated as hedging instruments:
Interest rate contracts
	Fair value hedges	$	938	$	999	$	―	$	―
	Cash flow hedges		―		―		―		1
Total return contract
	Fair value hedge		―		13		23		―
Foreign exchange contracts
	Net investment hedges		26		344		273		54
Total derivatives designated as hedging instruments		$	964	$	1,356	$	296	$	55
Derivatives not designated as hedging instruments:
	Interest rate contracts	$	―	$	1	$	1	$	―
	Foreign exchange contracts, including certain embedded derivatives(a)		125		159		104		50
	Equity-linked embedded derivative(b)		―		―		2		3
Total derivatives not designated as hedging instruments			125		160		107		53
Total derivatives, gross		$	1,089	$	1,516	$	403	$	108
Cash collateral netting(c)			(681)		(587)		(16)		―
Derivative asset and derivative liability netting(c)			(18)		(14)		(18)		(14)
Total derivatives, net		$	390	$	915	$	369	$	94

(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 ofits fixed-rate long-term debtand its investment in ICBC:

For the Three Months Ended September 30: (Millions)
	Gains (losses) recognized in income
	Derivative contract					Hedged item					Net hedge
		Amount					Amount				ineffectiveness
Derivative relationship	Income Statement Line Item	2012		2011		Income Statement Line Item	2012		2011		2012		2011
Interest rate contracts	Other, net expenses	$	(28)	$	219	Other, net expenses	$	(2)	$	(191)	$	(30)	$	28
Total return contract	Other non-interest revenues		(19)		166	Other non-interest revenues		19		(178)		―		(12)

For the Nine Months Ended September 30: (Millions)
	Gains (losses) recognized in income
	Derivative contract					Hedged item					Net hedge
		Amount					Amount				ineffectiveness
Derivative relationship	Income Statement Line Item	2012		2011		Income Statement Line Item	2012		2011		2012		2011
Interest rate contracts	Other, net expenses	$	(64)	$	202	Other, net expenses	$	25	$	(189)	$	(39)	$	13
Total return contract	Other non-interest revenues		2		166	Other non-interest revenues		(2)		(178)		―		(12)

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

For the three months ended September 30, 2012 and 2011 there were no amounts reclassified from AOCI into earnings and there was no hedge ineffectiveness on cash flow hedges and net investment hedges recorded within the Consolidated Statements of Income.

The following table summarizes the impact of cash flow hedges and net investment hedges on the Consolidated Statements of Income for the nine months ended September 30:

		Gains (losses) recognized in income
			Amount reclassified
			from AOCI into					Net hedge
			income					ineffectiveness
Description (Millions)		Income Statement Line Item	2012		2011		Income Statement Line Item	2012		2011
Cash flow hedges:(a)
	Interest rate contracts	Interest expense	$	(1)	$	(13)	Other, net expenses	$	―	$	―
Net investment hedges:
	Foreign exchange
	contracts	Other, net expenses	$	―	$	―	Other, net expenses	$	―	$	(3)

(a) During the nine months endedSeptember 30, 2012 and 2011, there were no forecasted transactionsthat were considered no longer probable to occur.

Derivative instruments gain loss recognized in income

The following table summarizes the impact on pretax earnings of derivatives not designated as hedges, as reported on the Consolidated Statements of Income for thethree and nine months ended September 30:

For the Three Months Ended September 30: (Millions)
	Pretax gains (losses)
		Amount
Description	Income Statement Line Item	2012		2011
Interest rate contracts	Other, net expenses	$	(1)	$	―
Foreign exchange contracts(a)	Interest and dividends on investment securities		―		2
	Interest expense on short-term borrowings		―		―
	Interest expense on long-term debt and other		―		33
	Other, net expenses		(13)		(48)
Equity-linked contract	Other non-interest revenues		―		(1)
Total		$	(14)	$	(14)

For the Nine Months Ended September 30: (Millions)
	Pretax gains (losses)
		Amount
Description	Income Statement Line Item	2012		2011
Interest rate contracts	Other, net expenses	$	(2)	$	2
Foreign exchange contracts(a)	Interest and dividends on investment securities		―		7
	Interest expense on short-term borrowings		―		3
	Interest expense on long-term debt and other		―		94
	Other, net expenses		31		(97)
Equity-linked contract	Other non-interest revenues		2		(1)
Total		$	31	$	8

(a) Foreign exchange contracts include embedded foreign currency derivatives. Gains (losses) on these embedded derivatives are included in other expenses.