Derivatives, Hedging Activities and Interest Expense (Tables)

3 Months Ended

Jun. 30, 2013

Derivatives, Hedging Activities and Interest Expense [Abstract]

Derivative Activity Impact on Consolidated Balance Sheet

		Hedge accounting				Non-hedge				Total
As of June 30, 2013		derivatives				accounting derivatives
		Notional		Fair		Notional		Fair		Notional		Fair
(Dollars in millions)					value				value				value
Other assets
Interest rate swaps		$	465	$	40	$	24,961	$	413	$	25,426	$	453
Interest rate forwards			-		-		12		-		12		-
Foreign currency swaps			1,182		461		4,839		284		6,021		745
	Total	$	1,647	$	501	$	29,812	$	697	$	31,459	$	1,198
Counterparty netting and collateral													(1,151)
	Carrying value of derivative contracts – Other assets											$	47
Other liabilities
Interest rate swaps		$	-	$	-	$	52,022	$	702	$	52,022	$	702
Interest rate caps			-		-		50		-		50		-
Interest rate forwards			-		-		12		-		12		-
Foreign currency swaps			854		23		5,319		276		6,173		299
Embedded derivatives			-		-		40		7		40		7
	Total	$	854	$	23	$	57,443	$	985	$	58,297	$	1,008
Counterparty netting and collateral													(943)
	Carrying value of derivative contracts – Other liabilities											$	65

Note 7 – Derivatives, Hedging Activities and Interest Expense (Continued)
		Hedge accounting				Non-hedge				Total
As of March 31, 2013		derivatives				accounting derivatives
		Notional		Fair		Notional		Fair		Notional		Fair
(Dollars in millions)					value				value				value
Other Assets
Interest rate swaps		$	465	$	44	$	22,336	$	536	$	22,801	$	580
Foreign currency swaps			1,246		491		7,498		648		8,744		1,139
	Total	$	1,711	$	535	$	29,834	$	1,184	$	31,545	$	1,719
Counterparty netting and collateral held													(1,661)
	Carrying value of derivative contracts – Other assets											$	58
Other liabilities
Interest rate swaps		$	-	$	-	$	51,342	$	766	$	51,342	$	766
Interest rate caps			-		-		50		-		50		-
Foreign currency swaps			790		29		3,103		102		3,893		131
Embedded derivatives			-		-		64		12		64		12
	Total	$	790	$	29	$	54,559	$	880	$	55,349	$	909
Counterparty netting and collateral held													(892)
	Carrying value of derivative contracts – Other liabilities											$	17

Derivative Activity Impact on Consolidated Statement of Income

			Three Months Ended
			June 30,
(Dollars in millions)				2013		2012
Interest expense on debt			$	318	$	337
Interest expense on hedge accounting derivatives				(24)		(27)
Interest expense on non-hedge accounting foreign currency
	swaps			(51)		(67)
Interest expense on non-hedge accounting interest rate swaps				66		103
		Interest expense on debt and derivatives		309		346
Loss on hedge accounting derivatives:
	Interest rate swaps			6		3
	Foreign currency swaps			44		119
		Loss on hedge accounting derivatives		50		122
Less hedged item: change in fair value of fixed rate debt				(51)		(125)
		Ineffectiveness related to hedge accounting derivatives		(1)		(3)
Loss (gain) loss from foreign currency transactions and non-hedge
accounting derivatives:
		(Gain) on foreign currency transactions		(450)		(44)
		Loss (gain) on foreign currency swaps		566		(32)
		Loss (gain) on interest rate swaps		112		(209)
Total interest expense			$	536	$	58

Summary 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, 2013 and 2012:
	Three Months Ended
	June 30,
(Dollars in millions)		2013		2012
Loss related to hedge accounting derivatives	$	-	$	1
Loss on non-hedge accounting foreign currency swaps		-		4
Loss on non-hedge accounting interest rate swaps		-		1
Total credit valuation adjustment allocated to interest expense	$	-	$	6