Derivative Financial Instruments and Hedging Activities (Tables)

The following tables present the notional and fair value of derivative instruments on a gross basis as of June 30, 2012 and December 31, 2011:


	June 30, 2012
	Notional Value		Asset Derivatives				Liability Derivatives
	Notional Value		Balance Sheet Location		Fair Value		Balance Sheet Location		Fair Value
	(In millions)
Derivatives in fair value hedging relationships:
Interest rate swaps	$	5,107		Other assets	$	128		Other liabilities	$	—

Total derivatives designated as hedging instruments	$	5,107			$	128			$	—

Derivatives not designated as hedging instruments:
Interest rate swaps	$	53,020		Other assets	$	1,931		Other liabilities	$	1,953
Interest rate options		3,838		Other assets		34		Other liabilities		4
Interest rate futures and forward commitments		55,697		Other assets		8		Other liabilities		22
Other contracts		1,802		Other assets		48		Other liabilities		46

Total derivatives not designated as hedging instruments	$	114,357			$	2,021			$	2,025

Total derivatives	$	119,464			$	2,149			$	2,025


	December 31, 2011
	Notional Value		Asset Derivatives				Liability Derivatives
	Notional Value		Balance Sheet Location		Fair Value		Balance Sheet Location		Fair Value
	(In millions)
Derivatives in fair value hedging relationships:
Interest rate swaps	$	5,535		Other assets	$	153		Other liabilities	$	1
Forward commitments		640				—				11
Derivatives in cash flow hedging relationships:
Interest rate swaps		11,500		Other assets		209		Other liabilities		1

Total derivatives designated as hedging instruments	$	17,675			$	362			$	13

Derivatives not designated as hedging instruments:
Interest rate swaps (1)	$	59,293		Other assets	$	2,396		Other liabilities	$	2,414
Interest rate options (2)		4,018		Other assets		41		Other liabilities		28
Interest rate futures and forward commitments		90,607		Other assets		11		Other liabilities		23
Other contracts		1,276		Other assets		43		Other liabilities		36

Total derivatives not designated as hedging instruments	$	155,194			$	2,491			$	2,501

Total derivatives	$	172,869			$	2,853			$	2,514

(1)	Includes Morgan Keegan amounts of $4.2 billion in Notional Value and $454 million in Other Assets/Other Liabilities

(2)	Includes Morgan Keegan amounts of $364 million in Notional Value and $23 million in Other Assets/Other Liabilities

Three Months Ended June 30, 2012

Derivatives in Fair Value

Hedging Relationships

Location of Gain(Loss)
Recognized in Income
on Derivatives

Amount of Gain(Loss)
Recognized in Income
on Derivatives

Hedged Items in
Fair Value Hedge
Relationships

Location of Gain(Loss)
Recognized in Income
on Related Hedged Item

Amount of Gain(Loss)
Recognized in Income
on Related Hedged Item

(In millions)

Interest rate swaps

Other non-interest
expense

)

Debt/CDs

Other non-interest
expense

Interest rate swaps

Interest expense

Debt

Interest expense

Forward commitments

Other non-interest expense

—

Securities available

for sale

Other non-interest expense

—

Total


Derivatives in Cash Flow Hedging Relationships	Amount of Gain(Loss) Recognized in Accumulated OCI on Derivatives (Effective Portion) (1)		Location of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	Amount of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion) (2)			Location of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing) (2)
(In millions)
Interest rate swaps	$	25	Interest income on loans	$	21		Other non-interest expense	$	5
Forward starting swaps		2	Interest expense on debt		(4	)	Other non-interest expense		—
Interest rate options		—	Interest income on loans		—		Interest income on loans		—
Eurodollar futures		—	Interest income on loans		—		Other non-interest expense		—

Total	$	27		$	17			$	5

(1)

After-tax

(2)

Pre-tax

Six Months Ended June 30, 2012

Derivatives in Fair Value
Hedging Relationships

Location of Gain(Loss)
Recognized in Income
on Derivatives

Amount of Gain(Loss)
Recognized in Income
on Derivatives

Hedged Items in
Fair Value Hedge
Relationships

Location of Gain(Loss)
Recognized in Income
on Related Hedged Item

Amount of Gain(Loss)
Recognized in Income
on Related Hedged Item

(In millions)

Interest rate swaps

Other non-interest expense

(21

)

Debt/CDs

Other non-interest expense

Interest rate swaps

Interest expense

Debt/CDs

Interest expense

Forward commitments

Other non-interest expense

—

Securities available
for sale

Other non-interest expense

—

Total


Derivatives in Cash Flow Hedging Relationships	Amount of Gain(Loss) Recognized in Accumulated OCI on Derivatives (Effective Portion) (1)		Location of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	Amount of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion) (2)			Location of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing) (2)
(In millions)
Interest rate swaps	$	22	Interest income on loans	$	41		Other non-interest expense	$	6
Forward starting swaps		4	Interest expense on debt		(7	)	Other non-interest expense		—
Interest rate options		—	Interest income on loans		—		Interest income on loans		—
Eurodollar futures		—	Interest income on loans		—		Other non-interest expense		—

Total	$	26		$	34			$	6

(1)

After-tax

(2)

Pre-tax

Three Months Ended June 30, 2011


Derivatives in Fair Value Hedging Relationships	Location of Gain(Loss) Recognized in Income on Derivatives	Amount of Gain(Loss) Recognized in Income on Derivatives			Hedged Items in Fair Value Hedge Relationships	Location of Gain(Loss) Recognized in Income on Related Hedged Item	Amount of Gain(Loss) Recognized in Income on Related Hedged Item
(In millions)
Interest rate swaps	Other non-interest expense	$	9		Debt/CDs	Other non-interest expense	$	(4	)
Interest rate swaps	Interest expense		43		Debt	Interest expense		4
Forward commitments	Other non-interest expense		(35	)	Securities available for sale	Other non-interest expense		35

Total		$	17				$	35


Derivatives in Cash Flow Hedging Relationships	Amount of Gain(Loss) Recognized in Accumulated OCI on Derivatives (Effective Portion) (1)			Location of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	Amount of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion) (2)			Location of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing) (2)
				(In millions)
Interest rate swaps	$	30		Interest income on loans	$	50		Other non-interest expense	$	—
Forward starting swaps		(4	)	Interest expense on debt		(3	)	Other non-interest expense		—
Interest rate options		—		Interest income on loans		—		Interest income on loans		—
Eurodollar futures		—		Interest income on loans		—		Other non-interest expense		—

Total	$	26			$	47			$	—

(1)

After-tax

(2)

Pre-tax

Six Months Ended June 30, 2011


Derivatives in Fair Value Hedging Relationships	Location of Gain(Loss) Recognized in Income on Derivatives	Amount of Gain(Loss) Recognized in Income on Derivatives			Hedged Items in Fair Value Hedge Relationships	Location of Gain(Loss) Recognized in Income on Related Hedged Item	Amount of Gain(Loss) Recognized in Income on Related Hedged Item
(In millions)
Interest rate swaps	Other non-interest expense	$	(40	)	Debt/CDs	Other non-interest expense	$	44
Interest rate swaps	Interest expense		94		Debt/CDs	Interest expense		8
Forward commitments	Other non-interest expense		(35	)	Securities available for sale	Other non-interest expense		35

Total		$	19				$	87


Derivatives in Cash Flow Hedging Relationships	Amount of Gain(Loss) Recognized in Accumulated OCI on Derivatives (Effective Portion) (1)			Location of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	Amount of Gain(Loss) Reclassified from Accumulated OCI into Income (Effective Portion) (2)			Location of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain(Loss) Recognized in Income on Derivatives (Ineffective Portion and Amount Excluded from Effectiveness Testing) (2)
				(In millions)
Interest rate swaps	$	—		Interest income on loans	$	98		Other non-interest expense	$	1
Forward starting swaps		(3	)	Interest expense on debt		(3	)	Other non-interest expense		(1	)
Interest rate options		(2	)	Interest income on loans		4		Interest income on loans		—
Eurodollar futures		1		Interest income on loans		(2	)	Other non-interest expense		—

Total	$	(4	)		$	97			$	—

(1)

After-tax

(2)

Pre-tax


	Three Months Ended June 30						Six Months Ended June 30
Derivatives Not Designated as Hedging Instruments	2012			2011			2012			2011
	(In millions)
Capital markets and investment income
Interest rate swaps	$	7		$	3		$	11		$	5
Interest rate options		(1	)		—			(1	)		1
Interest rate futures and forward commitments		(1	)		—			(1	)		—
Other contracts		2			2			5			5

Total capital markets and investment income		7			5			14			11

Mortgage income
Interest rate swaps		22			17			19			12
Interest rate options		12			(1	)		17			(29	)
Interest rate futures and forward commitments		(3	)		16			13			18

Total mortgage income		31			32			49			1

	$	38		$	37		$	63		$	12

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details