Derivatives, Hedging Activities and Interest Expense (Tables)

3 Months Ended

Jun. 30, 2012

Derivatives, Hedging Activities and Interest Expense [Abstract]

Derivative Activity Impact on Consolidated Balance Sheet

Note 7 - Derivatives, Hedging Activities and Interest Expense (Continued)
Derivative Activity Impact on Financial Statements
The table below shows the location and amount of derivatives at June 30, 2012 as reported in the
Consolidated Balance Sheet:
		Hedge accounting				Non-hedge				Total
		derivatives				accounting derivatives
		Notional		Fair		Notional		Fair		Notional		Fair
(Dollars in millions)					value				value				value
Other assets
Interest rate swaps		$	465	$	58	$	16,256	$	602	$	16,721	$	660
Foreign currency swaps			1,576		687		8,349		1,288		9,925		1,975
Embedded derivatives			-		-		-		-		-		-
	Total	$	2,041	$	745	$	24,605	$	1,890	$	26,646	$	2,635
Counterparty netting and collateral													(2,436)
	Carrying value of derivative contracts – Other assets											$	199
Other liabilities
Interest rate swaps		$	-	$	-	$	52,926	$	980	$	52,926	$	980
Interest rate caps			-		-		50		-		50		-
Foreign currency swaps			977		26		1,604		44		2,581		70
Embedded derivatives			-		-		92		27		92		27
	Total	$	977	$	26	$	54,672	$	1,051	$	55,649	$	1,077
Counterparty netting and collateral													(1,027)
	Carrying value of derivative contracts – Other liabilities											$	50

Note 7 – Derivatives, Hedging Activities and Interest Expense (Continued)
Derivative Activity Impact on Financial Statements
The table below shows the location and amount of derivatives at March 31, 2012 as reported in the
Consolidated Balance Sheet:
		Hedge accounting				Non-hedge				Total
		derivatives				accounting derivatives
		Notional		Fair		Notional		Fair		Notional		Fair
(Dollars in millions)					value				value				value
Other Assets
Interest rate swaps		$	465	$	59	$	15,804	$	380	$	16,269	$	439
Foreign currency swaps			3,291		772		9,866		1,449		13,157		2,221
Embedded derivatives			-		-		-		-		-		-
	Total	$	3,756	$	831	$	25,670	$	1,829	$	29,426	$	2,660
Counterparty netting and collateral held													(2,590)
	Carrying value of derivative contracts – Other assets											$	70
Other liabilities
Interest rate swaps		$	-	$	-	$	51,175	$	1,008	$	51,175	$	1,008
Interest rate caps			-		-		50		-		50		-
Foreign currency swaps			437		29		987		44		1,424		73
Embedded derivatives			-		-		92		24		92		24
	Total	$	437	$	29	$	52,304	$	1,076	$	52,741	$	1,105
Counterparty netting and collateral held													(1,038)
	Carrying value of derivative contracts – Other liabilities											$	67

Derivative Activity Impact on Consolidated Statement of Income

			Three Months Ended
			June 30,
(Dollars in millions)				2012		20111
Interest expense on debt2			$	337	$	481
Interest expense on hedge accounting derivatives2				(27)		(81)
Interest expense on non-hedge accounting foreign currency
	swaps2			(67)		(132)
Interest expense on non-hedge accounting interest rate swaps2				103		180
		Interest expense on debt and derivatives2		346		448
Loss (gain) on hedge accounting derivatives:
	Interest rate swaps3			3		(7)
	Foreign currency swaps3			119		(400)
		Loss (gain) on hedge accounting derivatives		122		(407)
Less hedged item: change in fair value of fixed rate debt				(125)		403
		Ineffectiveness related to hedge accounting derivatives3		(3)		(4)
(Gain) loss from foreign currency transactions and non-hedge
accounting derivatives:
		(Gain) loss on foreign currency transactions3		(44)		704
		(Gain) on foreign currency swaps3		(32)		(809)
		(Gain) loss on interest rate swaps3		(209)		118
Total interest expense			$	58	$	457

1Certain prior period amounts have been reclassified to conform to the current period presentation.

2Amounts represent net interest settlements and changes in accruals.

3Amounts exclude net interest settlements and changes in accruals.

Summrary of Total Credit Valuation Adjustment Allocated to Interest Expenses

The following table summarizes the relative fair value allocation of derivative credit valuation adjustments
within interest expense for the three months ended June 30, 2012 and 2011:
	Three Months Ended
	June 30,
(Dollars in millions)		2012		2011
Loss related to hedge accounting derivatives	$	1	$	2
Loss on non-hedge accounting foreign currency swaps		4		5
Loss on non-hedge accounting interest rate swaps		1		1
Total credit valuation adjustment allocated to interest expense	$	6	$	8