Derivatives, Hedging Activities and Interest Expense (Tables)

3 Months Ended

Sep. 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 September 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	$	54	$	18,093	$	661	$	18,558	$	715
Foreign currency swaps			1,259		639		8,338		1,289		9,597		1,928
	Total	$	1,724	$	693	$	26,431	$	1,950	$	28,155	$	2,643
Counterparty netting and collateral													(2,594)
	Carrying value of derivative contracts – Other assets											$	49
Other liabilities
Interest rate swaps		$	-	$	-	$	50,535	$	1,018	$	50,535	$	1,018
Interest rate caps			-		-		50		-		50		-
Foreign currency swaps			900		39		231		12		1,131		51
Embedded derivatives			-		-		79		23		79		23
	Total	$	900	$	39	$	50,895	$	1,053	$	51,795	$	1,092
Counterparty netting and collateral													(1,050)
	Carrying value of derivative contracts – Other liabilities											$	42

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
	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					Six Months Ended
			September 30,				September 30,
(Dollars in millions)				2012		2011		2012		2011
Interest expense on debt			$	347	$	405	$	684	$	886
Interest expense on hedge accounting derivatives				(27)		(54)		(54)		(135)
Interest expense on non-hedge accounting foreign currency
	swaps			(67)		(87)		(134)		(219)
Interest expense on non-hedge accounting interest rate swaps				95		173		198		353
		Interest expense on debt and derivatives		348		437		694		885
Loss (gain) on hedge accounting derivatives:
	Interest rate swaps			2		(7)		5		(14)
	Foreign currency swaps			(8)		306		111		(94)
		(Gain) loss on hedge accounting derivatives		(6)		299		116		(108)
Less hedged item: change in fair value of fixed rate debt				3		(302)		(122)		101
		Ineffectiveness related to hedge accounting derivatives		(3)		(3)		(6)		(7)
Loss (gain) from foreign currency transactions and non-hedge
accounting derivatives:
		Loss (gain) on foreign currency transactions		196		(999)		152		(295)
		(Gain) loss on foreign currency swaps		(206)		780		(238)		(29)
		(Gain) loss on interest rate swaps		(52)		(66)		(261)		52
Total interest expense			$	283	$	149	$	341	$	606

Summrary of Total Credit Valuation Adjustment Allocated to Interest Expenses

	Three Months Ended				Six Months Ended
	September 30,				September 30,
(Dollars in millions)		2012		2011		2012		2011
(Gain) loss related to hedge accounting derivatives	$	(2)	$	3	$	(1)	$	5
(Gain) loss on non-hedge accounting foreign currency swaps		(4)		2		-		7
(Gain) loss on non-hedge accounting interest rate swaps		(1)		1		-		2
Total credit valuation adjustment allocated to interest expense	$	(7)	$	6	$	(1)	$	14