v2.4.0.6
Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2012
Financial Instruments [Abstract]  
Estimated fair value of assets and liabilities
                  
 September 30, 2012 December 31, 2011
    Assets (liabilities)    Assets (liabilities)
 Notional Carrying Estimated Notional Carrying Estimated
(In millions)amount amount (net) fair value amount amount (net) fair value
Assets                  
    Loans (a) $237,565 $239,198  (a) $250,999 $251,433
    Other commercial mortgages (a)  1,616  1,692  (a)  1,494  1,537
    Loans held for sale (a)  494  501  (a)  496  497
  Other financial instruments(c) (a)  2,001  2,450  (a)  2,071  2,534
Liabilities                  
   Borrowings and bank                 
       deposits(b)(d) (a)  (420,356)  (436,189)  (a)  (443,097)  (449,403)
   Investment contract benefits (a)  (3,356)  (4,208)  (a)  (3,493)  (4,240)
    Guaranteed investment contracts (a)  (1,695)  (1,730)  (a)  (4,226)  (4,266)
    Insurance - credit life(e)$2,178  (114)  (97) $1,944  (106)  (88)
                  
                  

  • These financial instruments do not have notional amounts.
  • See Note 6.
  • Principally cost method investments.
  • Fair values exclude interest rate and currency derivatives designated as hedges of borrowings. Had they been included, the fair value of borrowings at September 30, 2012 and December 31, 2011 would have been reduced by $8,357 million and $9,051 million, respectively.
  • Net of reinsurance of $2,000 million at both September 30, 2012 and December 31, 2011.
Loan commitments
       Notional amount at
       September 30, December 31,
(In millions)      2012 2011
            
Ordinary course of business lending commitments(a)      $3,205 $3,756
Unused revolving credit lines(b)           
Commercial(c)       16,912  18,757
Consumer - principally credit cards       268,759  257,646
            
            

  • Excluded investment commitments of $2,007 million and $2,064 million as of September 30, 2012 and December 31, 2011, respectively.
  • Excluded inventory financing arrangements, which may be withdrawn at our option, of $13,540 million and $12,354 million as of September 30, 2012 and December 31, 2011, respectively.
  • Included commitments of $12,283 million and $14,057 million as of September 30, 2012 and December 31, 2011, respectively, associated with secured financing arrangements that could have increased to a maximum of $14,378 million and $17,344 million at September 30, 2012 and December 31, 2011, respectively, based on asset volume under the arrangement.

 
Fair value of derivatives by contract type
  September 30, 2012  December 31, 2011
 Fair value Fair value
(In millions)Assets Liabilities Assets Liabilities
            
Derivatives accounted for as hedges           
    Interest rate contracts$8,967 $768 $9,445 $1,049
    Currency exchange contracts 805  3,069  3,720  2,239
    Other contracts 0  0  0  0
  9,772  3,837  13,165  3,288
            
Derivatives not accounted for as hedges           
    Interest rate contracts 364  195  314  241
    Currency exchange contracts 1,830  454  1,440  972
    Other contracts 65  19  71  22
  2,259  668  1,825  1,235
            
Netting adjustments(a) (3,194)  (3,173)  (3,009)  (2,998)
            
Cash collateral(b)(c) (3,939)  (710)  (2,310)  (1,027)
            
Total$4,898 $622 $9,671 $498
            
            

Derivatives are classified in the captions “Other assets” and “Other liabilities” in our financial statements.

 

  • The netting of derivative receivables and payables is permitted when a legally enforceable master netting agreement exists. Amounts included fair value adjustments related to our own and counterparty non-performance risk. At September 30, 2012 and December 31, 2011, the cumulative adjustment for non-performance risk was a loss of $(21) million and $(11) million, respectively.
  • Excludes excess cash collateral received of $69 million and $579 million at September 30, 2012 and December 31, 2011, respectively. Excludes excess cash collateral posted of $13 million at September 30, 2012.
  • Excludes securities pledged to us as collateral of $5,953 million and $10,346 million at September 30, 2012 and December 31, 2011, respectively, which includes excess securities collateral of $327 million at September 30, 2012.

 
Fair value hedges
 Three months ended September 30,
  2012  2011
(In millions) Gain (loss)  Gain (loss)  Gain (loss)  Gain (loss)
  on hedging  on hedged  on hedging  on hedged
  derivatives  items  derivatives  items
            
Interest rate contracts$441 $(552) $5,708 $(5,829)
Currency exchange contracts 8  (10)  64  (74)
            
            

Fair value hedges resulted in $(113) million and $(131) million of ineffectiveness in the three months ended September 30, 2012 and 2011, respectively. In both the three months ended September 30, 2012 and 2011, there were insignificant amounts excluded from the assessment of effectiveness.

 

 Nine months ended September 30,
  2012  2011
(In millions) Gain (loss)  Gain (loss)  Gain (loss)  Gain (loss)
  on hedging  on hedged  on hedging  on hedged
  derivatives  items  derivatives  items
            
Interest rate contracts$1,226 $(1,514) $5,318 $(5,634)
Currency exchange contracts (204)  192  103  (121)
            
            

Fair value hedges resulted in $(300) million and $(334) million of ineffectiveness in the nine months ended September 30, 2012 and 2011, respectively. In both the nine months ended September 30, 2012 and 2011, there were insignificant amounts excluded from the assessment of effectiveness.

 
Cash flow hedges
       Gain (loss) reclassified
 Gain (loss) recognized in AOCI from AOCI into earnings
 for the three months ended September 30, for the three months ended September 30,
 2012 2011 2012 2011
(In millions)           
            
Cash flow hedges           
Interest rate contracts$(68) $(170) $(116) $(180)
Currency exchange contracts 322  (583)  253  (569)
Commodity contracts 0  0  0  0
Total$254 $(753) $137 $(749)
            

       Gain (loss) reclassified
 Gain (loss) recognized in AOCI from AOCI into earnings
 for the nine months ended September 30, for the nine months ended September 30,
 2012 2011 2012 2011
(In millions)           
            
Cash flow hedges           
Interest rate contracts$(147) $(287) $(380) $(656)
Currency exchange contracts (25)  79  (83)  295
Commodity contracts 0  0  0  0
Total$(172) $(208) $(463) $(361)
            
            

The total pre-tax amount in AOCI related to cash flow hedges of forecasted transactions was a $1,062 million loss at September 30, 2012. We expect to transfer $459 million to earnings as an expense in the next 12 months contemporaneously with the earnings effects of the related forecasted transactions. In the three and nine months ended September 30, 2012 and 2011, we recognized insignificant gains and losses related to hedged forecasted transactions and firm commitments that did not occur by the end of the originally specified period. At September 30, 2012 and 2011, the maximum term of derivative instruments that hedge forecasted transactions was 20 years and 21 years, respectively.

 
Net investment hedges
 Gain (loss) recognized Gain (loss) reclassified
 in CTA for the from CTA for the
 three months ended September 30, three months ended September 30,
(In millions)2012 2011 2012 2011
            
Net investment hedges           
Currency exchange contracts$(2,939) $1,948 $39 $(15)
            

 Gain (loss) recognized Gain (loss) reclassified
 in CTA for the from CTA for the
 nine months ended September 30, nine months ended September 30,
(In millions)2012 2011 2012 2011
            
Net investment hedges           
Currency exchange contracts$(2,588) $(1,458) $27 $(713)