Large accelerated filer ü | Accelerated filer |
Non-accelerated filer
(do not check if a smaller reporting company) |
Smaller reporting company |
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Part II.
Other Information |
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Signature | 225 | |||||||||
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Index to Exhibits | 226 |
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EX-4.A | ||||||||||
EX-10.A | ||||||||||
EX-12 | ||||||||||
EX-31.A | ||||||||||
EX-31.B | ||||||||||
EX-32.A | ||||||||||
EX-32.B | ||||||||||
EX-101 INSTANCE DOCUMENT | ||||||||||
EX-101 SCHEMA DOCUMENT | ||||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
3
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6
Table 1 | ||||||||||||||||
Selected Financial Data | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions, except per share information) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Income statement
|
||||||||||||||||
Revenue, net of interest expense (FTE basis)
(1)
|
$ | 13,483 | $ | 29,450 | $ | 40,578 | $ | 61,740 | ||||||||
Net income (loss)
|
(8,826 | ) | 3,123 | (6,777 | ) | 6,305 | ||||||||||
Net income (loss), excluding goodwill impairment charge
(2)
|
(6,223 | ) | 3,123 | (4,174 | ) | 6,305 | ||||||||||
Diluted earnings (loss) per common share
|
(0.90 | ) | 0.27 | (0.73 | ) | 0.55 | ||||||||||
Diluted earnings (loss) per common share, excluding goodwill impairment charge
(2)
|
(0.65 | ) | 0.27 | (0.48 | ) | 0.55 | ||||||||||
Dividends paid per common share
|
$ | 0.01 | $ | 0.01 | $ | 0.02 | $ | 0.02 | ||||||||
Performance ratios
|
||||||||||||||||
Return on average assets
|
n/m | 0.50 | % | n/m | 0.51 | % | ||||||||||
Return on average assets, excluding goodwill impairment charge
(2)
|
n/m | 0.50 | n/m | 0.51 | ||||||||||||
Return on average tangible shareholders equity
(1)
|
n/m | 8.98 | n/m | 9.26 | ||||||||||||
Return on average tangible shareholders equity, excluding goodwill impairment charge
(1, 2)
|
n/m | 8.98 | n/m | 9.26 | ||||||||||||
Efficiency ratio (FTE basis)
(1)
|
n/m | 58.58 | n/m | 56.73 | ||||||||||||
Efficiency ratio (FTE basis), excluding goodwill impairment charge
(1, 2)
|
n/m | 58.58 | n/m | 56.73 | ||||||||||||
Asset quality
|
||||||||||||||||
Allowance for loan and lease losses at period end
|
$ | 37,312 | $ | 45,255 | ||||||||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding at period end
(3)
|
4.00 | % | 4.75 | % | ||||||||||||
Nonperforming loans, leases and foreclosed properties at period end
(3)
|
$ | 30,058 | $ | 35,598 | ||||||||||||
Net charge-offs
|
$ | 5,665 | $ | 9,557 | 11,693 | 20,354 | ||||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding
(3)
|
2.44 | % | 3.98 | % | 2.53 | % | 4.21 | % | ||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding excluding purchased
credit-impaired loans
(3)
|
2.54 | 4.11 | 2.63 | 4.36 | ||||||||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs
(3)
|
1.64 | 1.18 | 1.58 | 1.10 | ||||||||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs excluding
purchased credit-impaired loans
(3)
|
1.28 | 1.05 | 1.23 | 0.98 | ||||||||||||
June 30 | December 31 | |||||||
2011 | 2010 | |||||||
Balance sheet
|
||||||||
Total loans and leases
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$ | 941,257 | $ | 940,440 | ||||
Total assets
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2,261,319 | 2,264,909 | ||||||
Total deposits
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1,038,408 | 1,010,430 | ||||||
Total common shareholders equity
|
205,614 | 211,686 | ||||||
Total shareholders equity
|
222,176 | 228,248 | ||||||
Capital ratios
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||||||||
Tier 1 common equity
|
8.23 | % | 8.60 | % | ||||
Tier 1 capital
|
11.00 | 11.24 | ||||||
Total capital
|
15.65 | 15.77 | ||||||
Tier 1 leverage
|
6.86 | 7.21 | ||||||
(1) |
FTE basis, return on average tangible shareholders
equity and the efficiency ratio are non-GAAP measures.
Other companies may define or calculate these measures
differently. For additional information on these
measures and ratios, and for a corresponding
reconciliation to GAAP financial measures, see
Supplemental Financial Data on page 19.
|
|
(2) |
Net income (loss), diluted earnings (loss) per common
share, return on average assets, return on average
tangible shareholders equity and the efficiency ratio
have been calculated excluding the impact of the
goodwill impairment charge of $2.6 billion in the
second quarter of 2011 and accordingly, these are
non-GAAP measures. For additional information on these
measures and ratios, and for a corresponding
reconciliation to GAAP financial measures, see
Supplemental Financial Data on page 19.
|
|
(3) |
Balances and ratios do not include loans accounted for
under the fair value option. For additional exclusions
on nonperforming loans, leases and foreclosed
properties, see Nonperforming Consumer Loans and
Foreclosed Properties Activity on page 90 and
corresponding Table 42, and Nonperforming Commercial
Loans, Leases and Foreclosed Properties Activity on page 98 and corresponding Table 51.
|
|
n/m | = not meaningful |
7
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9
Table 2 | ||||||||||||||||
Summary Income Statement | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Net interest income
(1)
|
$ | 11,493 | $ | 13,197 | $ | 23,890 | $ | 27,267 | ||||||||
Noninterest income
|
1,990 | 16,253 | 16,688 | 34,473 | ||||||||||||
Total revenue, net of interest expense
(1)
|
13,483 | 29,450 | 40,578 | 61,740 | ||||||||||||
Provision for credit losses
|
3,255 | 8,105 | 7,069 | 17,910 | ||||||||||||
Goodwill impairment
|
2,603 | - | 2,603 | - | ||||||||||||
All other noninterest expense
|
20,253 | 17,253 | 40,536 | 35,028 | ||||||||||||
Income (loss) before income taxes
|
(12,628 | ) | 4,092 | (9,630 | ) | 8,802 | ||||||||||
Income tax expense (benefit)
(1)
|
(3,802 | ) | 969 | (2,853 | ) | 2,497 | ||||||||||
Net income (loss)
|
(8,826 | ) | 3,123 | (6,777 | ) | 6,305 | ||||||||||
Preferred stock dividends
|
301 | 340 | 611 | 688 | ||||||||||||
Net income (loss) applicable to common shareholders
|
$ | (9,127 | ) | $ | 2,783 | $ | (7,388 | ) | $ | 5,617 | ||||||
|
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Per common share information
|
||||||||||||||||
Earnings (loss)
|
$ | (0.90 | ) | $ | 0.28 | $ | (0.73 | ) | $ | 0.56 | ||||||
Diluted earnings (loss)
|
(0.90 | ) | 0.27 | (0.73 | ) | 0.55 | ||||||||||
(1) |
FTE basis is a non-GAAP measure. Other companies may
define or calculate this measure differently. For
additional information on this measure and for a
corresponding reconciliation to GAAP financial
measures, see Supplemental Financial Data on page 19.
|
10
Table 3 | ||||||||||||||||||||||||||||||||
Business Segment Results | ||||||||||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||||||
Total Revenue (1) | Net Income (Loss) | Total Revenue (1) | Net Income (Loss) | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Deposits
|
$ | 3,301 | $ | 3,695 | $ | 430 | $ | 674 | $ | 6,490 | $ | 7,413 | $ | 785 | $ | 1,372 | ||||||||||||||||
Global Card Services
|
5,536 | 6,948 | 2,035 | 826 | 11,223 | 13,838 | 3,770 | 1,794 | ||||||||||||||||||||||||
Consumer Real Estate Services
|
(11,315 | ) | 2,704 | (14,520 | ) | (1,542 | ) | (9,252 | ) | 6,237 | (16,935 | ) | (3,619 | ) | ||||||||||||||||||
Global Commercial Banking
|
2,810 | 2,883 | 1,381 | 815 | 5,461 | 5,975 | 2,304 | 1,520 | ||||||||||||||||||||||||
Global Banking & Markets
|
6,796 | 5,904 | 1,558 | 898 | 14,682 | 15,597 | 3,692 | 4,137 | ||||||||||||||||||||||||
Global Wealth & Investment Management
|
4,490 | 4,189 | 506 | 329 | 8,982 | 8,230 | 1,039 | 768 | ||||||||||||||||||||||||
All Other
|
1,865 | 3,127 | (216 | ) | 1,123 | 2,992 | 4,450 | (1,432 | ) | 333 | ||||||||||||||||||||||
Total FTE basis
|
13,483 | 29,450 | (8,826 | ) | 3,123 | 40,578 | 61,740 | (6,777 | ) | 6,305 | ||||||||||||||||||||||
FTE adjustment
|
(247 | ) | (297 | ) | - | - | (465 | ) | (618 | ) | - | - | ||||||||||||||||||||
Total Consolidated
|
$ | 13,236 | $ | 29,153 | $ | (8,826 | ) | $ | 3,123 | $ | 40,113 | $ | 61,122 | $ | (6,777 | ) | $ | 6,305 | ||||||||||||||
(1) |
Total revenue is net of interest expense and is on a
FTE basis which is a non-GAAP measure. For more
information on this measure and for a corresponding
reconciliation to a GAAP financial measure, see
Supplemental Financial Data on page 19.
|
11
Table 4 | ||||||||||||||||
Noninterest Income | ||||||||||||||||
Three Months Ended
June 30 |
Six Months Ended
June 30 |
|||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Card income
|
$ | 1,967 | $ | 2,023 | $ | 3,795 | $ | 3,999 | ||||||||
Service charges
|
2,012 | 2,576 | 4,044 | 5,142 | ||||||||||||
Investment and brokerage services
|
3,009 | 2,994 | 6,110 | 6,019 | ||||||||||||
Investment banking income
|
1,684 | 1,319 | 3,262 | 2,559 | ||||||||||||
Equity investment income
|
1,212 | 2,766 | 2,687 | 3,391 | ||||||||||||
Trading account profits
|
2,091 | 1,227 | 4,813 | 6,463 | ||||||||||||
Mortgage banking income (loss)
|
(13,196 | ) | 898 | (12,566 | ) | 2,398 | ||||||||||
Insurance income
|
400 | 678 | 1,013 | 1,393 | ||||||||||||
Gains on sales of debt securities
|
899 | 37 | 1,445 | 771 | ||||||||||||
Other income
|
1,957 | 1,861 | 2,218 | 3,065 | ||||||||||||
Net impairment losses recognized in earnings on AFS debt securities
|
(45 | ) | (126 | ) | (133 | ) | (727 | ) | ||||||||
Total noninterest income
|
$ | 1,990 | $ | 16,253 | $ | 16,688 | $ | 34,473 | ||||||||
|
Service charges decreased $564 million and $1.1 billion for the three and six months
ended June 30, 2011 largely due to the impact of overdraft policy changes in conjunction
with Regulation E, which became effective in the third quarter of 2010.
|
||
|
Investment banking income increased $365 million and $703 million for the three and
six months ended June 30, 2011 reflecting strong performance in
advisory services and debt
and equity issuances.
|
||
|
Equity investment income decreased $1.6 billion and $704 million for the three and six
months ended June 30, 2011. The three months ended June 30, 2011 included an $837 million
China Construction Bank (CCB) dividend, a $377 million pre-tax gain on the sale of our
investment in BlackRock, Inc. (BlackRock) and a $500 million impairment write-down on our
merchant services joint venture. The three months ended June 30, 2010 included net gains
of $751 million on sales of certain strategic investments and a $535 million dividend on
CCB. The six months ended June 30, 2011 included a $1.1 billion pre-tax gain related to
an initial public offering (IPO) of an equity investment which occurred in the first
quarter of 2011.
|
12
|
Trading account profits increased $864 million for the three months ended June 30,
2011 and decreased $1.7 billion for the six-month period. The six-month decline reflects
a less favorable trading environment in the first quarter compared to record results in
the first quarter of 2010.
|
||
|
Mortgage banking income decreased $14.1 billion and $15.0 billion for the three and
six months ended June 30, 2011 due to a $12.8 billion and $13.3 billion increase in the
representations and warranties provision and less favorable mortgage
servicing rights (MSR) results, net of hedges,
of $885 million and $1.1 billion as a result of higher servicing costs.
|
||
|
Other income increased $96 million and decreased $847 million for the three and six
months ended June 30, 2011. For the six months ended June 30, 2011, the decrease was
primarily due to negative fair value adjustments on structured liabilities of $372
million compared to positive adjustments of $1.4 billion for the same period in 2010,
partially offset by the gain of $771 million on the sale of the lender-placed insurance
business of Balboa in the three months ended June 30, 2011.
|
13
Table 5 | ||||||||||||||||
Noninterest Expense | ||||||||||||||||
Three Months Ended
June 30 |
Six Months Ended
June 30 |
|||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Personnel
|
$ | 9,171 | $ | 8,789 | $ | 19,339 | $ | 17,947 | ||||||||
Occupancy
|
1,245 | 1,182 | 2,434 | 2,354 | ||||||||||||
Equipment
|
593 | 613 | 1,199 | 1,226 | ||||||||||||
Marketing
|
560 | 495 | 1,124 | 982 | ||||||||||||
Professional fees
|
766 | 644 | 1,412 | 1,161 | ||||||||||||
Amortization of intangibles
|
382 | 439 | 767 | 885 | ||||||||||||
Data processing
|
643 | 632 | 1,338 | 1,280 | ||||||||||||
Telecommunications
|
391 | 359 | 762 | 689 | ||||||||||||
Other general operating
|
6,343 | 3,592 | 11,800 | 7,475 | ||||||||||||
Goodwill impairment
|
2,603 | - | 2,603 | - | ||||||||||||
Merger and restructuring charges
|
159 | 508 | 361 | 1,029 | ||||||||||||
Total noninterest expense
|
$ | 22,856 | $ | 17,253 | $ | 43,139 | $ | 35,028 | ||||||||
14
Table 6 | ||||||||||||||||||||||||
Selected Balance Sheet Data | ||||||||||||||||||||||||
Average Balance | ||||||||||||||||||||||||
June 30 | December 31 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Federal funds sold and securities borrowed or
purchased under agreements to resell
|
$ | 235,181 | $ | 209,616 | $ | 259,069 | $ | 263,564 | $ | 243,311 | $ | 264,810 | ||||||||||||
Trading account assets
(1)
|
196,939 | 194,671 | 186,760 | 213,927 | 203,806 | 214,233 | ||||||||||||||||||
Debt securities
|
331,052 | 338,054 | 335,269 | 314,299 | 335,556 | 312,727 | ||||||||||||||||||
Loans and leases
|
941,257 | 940,440 | 938,513 | 967,054 | 938,738 | 979,267 | ||||||||||||||||||
Allowance for loan and lease losses
|
(37,312 | ) | (41,885 | ) | (38,755 | ) | (46,740 | ) | (39,752 | ) | (47,413 | ) | ||||||||||||
All other assets
(1)
|
594,202 | 624,013 | 658,254 | 782,328 | 657,167 | 781,835 | ||||||||||||||||||
Total assets
|
$ | 2,261,319 | $ | 2,264,909 | $ | 2,339,110 | $ | 2,494,432 | $ | 2,338,826 | $ | 2,505,459 | ||||||||||||
Liabilities
|
||||||||||||||||||||||||
Deposits
|
$ | 1,038,408 | $ | 1,010,430 | $ | 1,035,944 | $ | 991,615 | $ | 1,029,578 | $ | 986,344 | ||||||||||||
Federal funds purchased and securities loaned
or sold under agreements to repurchase
|
239,521 | 245,359 | 276,673 | 383,558 | 291,461 | 399,729 | ||||||||||||||||||
Trading account liabilities
|
74,989 | 71,985 | 96,108 | 100,021 | 90,044 | 95,105 | ||||||||||||||||||
Commercial paper and other short-term borrowings
|
50,632 | 59,962 | 62,019 | 70,493 | 63,581 | 81,313 | ||||||||||||||||||
Long-term debt
|
426,659 | 448,431 | 435,144 | 497,469 | 437,812 | 505,507 | ||||||||||||||||||
All other liabilities
|
208,934 | 200,494 | 198,155 | 217,815 | 193,420 | 205,766 | ||||||||||||||||||
Total liabilities
|
2,039,143 | 2,036,661 | 2,104,043 | 2,260,971 | 2,105,896 | 2,273,764 | ||||||||||||||||||
Shareholders equity
|
222,176 | 228,248 | 235,067 | 233,461 | 232,930 | 231,695 | ||||||||||||||||||
Total liabilities and shareholders equity
|
$ | 2,261,319 | $ | 2,264,909 | $ | 2,339,110 | $ | 2,494,432 | $ | 2,338,826 | $ | 2,505,459 | ||||||||||||
(1) |
For the three and six months ended June 30, 2011,
for average balance and yield calculation purposes, $40.4
billion and $20.3 billion of noninterest-earning equity trading securities were reclassified from trading
account assets to all other assets. Prior period
amounts are immaterial and have not been restated.
|
15
16
Table 7 | ||||||||||||||||||||
Selected Quarterly Financial Data | ||||||||||||||||||||
2011 Quarters | 2010 Quarters | |||||||||||||||||||
(In millions, except per share information) | Second | First | Fourth | Third | Second | |||||||||||||||
Income statement
|
||||||||||||||||||||
Net interest income
|
$ | 11,246 | $ | 12,179 | $ | 12,439 | $ | 12,435 | $ | 12,900 | ||||||||||
Noninterest income
|
1,990 | 14,698 | 9,959 | 14,265 | 16,253 | |||||||||||||||
Total revenue, net of interest expense
|
13,236 | 26,877 | 22,398 | 26,700 | 29,153 | |||||||||||||||
Provision for credit losses
|
3,255 | 3,814 | 5,129 | 5,396 | 8,105 | |||||||||||||||
Goodwill impairment
|
2,603 | - | 2,000 | 10,400 | - | |||||||||||||||
Merger and restructuring charges
|
159 | 202 | 370 | 421 | 508 | |||||||||||||||
All other noninterest expense
(1)
|
20,094 | 20,081 | 18,494 | 16,395 | 16,745 | |||||||||||||||
Income (loss) before income taxes
|
(12,875 | ) | 2,780 | (3,595 | ) | (5,912 | ) | 3,795 | ||||||||||||
Income tax expense (benefit)
|
(4,049 | ) | 731 | (2,351 | ) | 1,387 | 672 | |||||||||||||
Net income (loss)
|
(8,826 | ) | 2,049 | (1,244 | ) | (7,299 | ) | 3,123 | ||||||||||||
Net income (loss) applicable to common shareholders
|
(9,127 | ) | 1,739 | (1,565 | ) | (7,647 | ) | 2,783 | ||||||||||||
Average common shares issued and outstanding
|
10,095 | 10,076 | 10,037 | 9,976 | 9,957 | |||||||||||||||
Average diluted common shares issued and outstanding
|
10,095 | 10,181 | 10,037 | 9,976 | 10,030 | |||||||||||||||
Performance ratios
|
||||||||||||||||||||
Return on average assets
|
n/m | 0.36 | % | n/m | n/m | 0.50 | % | |||||||||||||
Four quarter trailing return on average assets
(2)
|
n/m | n/m | n/m | n/m | 0.20 | |||||||||||||||
Return on average common shareholders equity
|
n/m | 3.29 | n/m | n/m | 5.18 | |||||||||||||||
Return on average tangible common shareholders equity
(3)
|
n/m | 5.28 | n/m | n/m | 9.19 | |||||||||||||||
Return on average tangible shareholders equity
(3)
|
n/m | 5.54 | n/m | n/m | 8.98 | |||||||||||||||
Total ending equity to total ending assets
|
9.83 | % | 10.15 | 10.08 | % | 9.85 | % | 9.85 | ||||||||||||
Total average equity to total average assets
|
10.05 | 9.87 | 9.94 | 9.83 | 9.36 | |||||||||||||||
Dividend payout
|
n/m | 6.06 | n/m | n/m | 3.63 | |||||||||||||||
Per common share data
|
||||||||||||||||||||
Earnings (loss)
|
$ | (0.90 | ) | $ | 0.17 | $ | (0.16 | ) | $ | (0.77 | ) | $ | 0.28 | |||||||
Diluted earnings (loss)
|
(0.90 | ) | 0.17 | (0.16 | ) | (0.77 | ) | 0.27 | ||||||||||||
Dividends paid
|
0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
Book value
|
20.29 | 21.15 | 20.99 | 21.17 | 21.45 | |||||||||||||||
Tangible book value
(3)
|
12.65 | 13.21 | 12.98 | 12.91 | 12.14 | |||||||||||||||
Market price per share of common stock
|
||||||||||||||||||||
Closing
|
$ | 10.96 | $ | 13.33 | $ | 13.34 | $ | 13.10 | $ | 14.37 | ||||||||||
High closing
|
13.72 | 15.25 | 13.56 | 15.67 | 19.48 | |||||||||||||||
Low closing
|
10.50 | 13.33 | 10.95 | 12.32 | 14.37 | |||||||||||||||
Market capitalization
|
$ | 111,060 | $ | 135,057 | $ | 134,536 | $ | 131,442 | $ | 144,174 | ||||||||||
Average balance sheet
|
||||||||||||||||||||
Total loans and leases
|
$ | 938,513 | $ | 938,966 | $ | 940,614 | $ | 934,860 | $ | 967,054 | ||||||||||
Total assets
|
2,339,110 | 2,338,538 | 2,370,258 | 2,379,397 | 2,494,432 | |||||||||||||||
Total deposits
|
1,035,944 | 1,023,140 | 1,007,738 | 973,846 | 991,615 | |||||||||||||||
Long-term debt
|
435,144 | 440,511 | 465,875 | 485,588 | 497,469 | |||||||||||||||
Common shareholders equity
|
218,505 | 214,206 | 218,728 | 215,911 | 215,468 | |||||||||||||||
Total shareholders equity
|
235,067 | 230,769 | 235,525 | 233,978 | 233,461 | |||||||||||||||
Asset quality
(4)
|
||||||||||||||||||||
Allowance for credit losses
(5)
|
$ | 38,209 | $ | 40,804 | $ | 43,073 | $ | 44,875 | $ | 46,668 | ||||||||||
Nonperforming loans, leases and foreclosed properties
(6)
|
30,058 | 31,643 | 32,664 | 34,556 | 35,598 | |||||||||||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding
(6)
|
4.00 | % | 4.29 | % | 4.47 | % | 4.69 | % | 4.75 | % | ||||||||||
Allowance for loan and lease losses as a percentage of total nonperforming
loans and leases
(6)
|
135 | 135 | 136 | 135 | 137 | |||||||||||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans
and leases excluding the PCI loan portfolio
(6)
|
105 | 108 | 116 | 118 | 121 | |||||||||||||||
Amounts included in allowance that are excluded from nonperforming loans
(7)
|
$ | 19,935 | $ | 22,110 | $ | 22,908 | $ | 23,661 | $ | 24,338 | ||||||||||
Allowance as a percentage of total nonperforming loans and leases excluding the
amounts included in the allowance that are excluded from nonperforming loans
(7)
|
63 | % | 60 | % | 62 | % | 62 | % | 63 | % | ||||||||||
Net charge-offs
|
$ | 5,665 | $ | 6,028 | $ | 6,783 | $ | 7,197 | $ | 9,557 | ||||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding
(6)
|
2.44 | % | 2.61 | % | 2.87 | % | 3.07 | % | 3.98 | % | ||||||||||
Nonperforming loans and leases as a percentage of total loans and leases outstanding
(6)
|
2.96 | 3.19 | 3.27 | 3.47 | 3.48 | |||||||||||||||
Nonperforming loans, leases and foreclosed properties as a percentage of
total loans, leases and foreclosed properties
(6)
|
3.22 | 3.40 | 3.48 | 3.71 | 3.73 | |||||||||||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs
|
1.64 | 1.63 | 1.56 | 1.53 | 1.18 | |||||||||||||||
Capital ratios (period end)
|
||||||||||||||||||||
Risk-based capital:
|
||||||||||||||||||||
Tier 1 common
|
8.23 | % | 8.64 | % | 8.60 | % | 8.45 | % | 8.01 | % | ||||||||||
Tier 1
|
11.00 | 11.32 | 11.24 | 11.16 | 10.67 | |||||||||||||||
Total
|
15.65 | 15.98 | 15.77 | 15.65 | 14.77 | |||||||||||||||
Tier 1 leverage
|
6.86 | 7.25 | 7.21 | 7.21 | 6.68 | |||||||||||||||
Tangible equity
(3)
|
6.63 | 6.85 | 6.75 | 6.54 | 6.14 | |||||||||||||||
Tangible common equity
(3)
|
5.87 | 6.10 | 5.99 | 5.74 | 5.35 | |||||||||||||||
(1) |
Excludes merger and restructuring charges and goodwill impairment charges.
|
|
(2) |
Calculated as total net income for four consecutive quarters divided by average assets for the period.
|
|
(3) |
Tangible equity ratios and tangible book value per share of common stock are non-GAAP measures. Other companies may define or calculate these measures differently. For additional
information on these ratios and corresponding reconciliations to GAAP financial measures, see Supplemental Financial Data on page 19 and Table 9 on pages 20 and 21.
|
|
(4) |
For more information on the impact of the PCI loan portfolio on asset quality, see Consumer Portfolio Credit Risk Management on page 76 and Commercial Portfolio Credit Risk
Management on page 93.
|
|
(5) |
Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments.
|
|
(6) |
Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions from nonperforming loans, leases and foreclosed properties, see
Nonperforming Consumer Loans and Foreclosed Properties Activity on page 90 and corresponding Table 42, and Nonperforming Commercial Loans, Leases and Foreclosed Properties
Activity on page 98 and corresponding Table 51.
|
|
(7) |
Amounts included in allowance that are excluded from nonperforming loans primarily includes amounts allocated to Global Card Services portfolio and purchased credit-impaired loans.
|
|
n/m = not meaningful
|
17
Table 8 | ||||||||
Selected Year-to-Date Financial Data | ||||||||
Six Months Ended June 30 | ||||||||
(In millions, except per share information) | 2011 | 2010 | ||||||
Income statement
|
||||||||
Net interest income
|
$ | 23,425 | $ | 26,649 | ||||
Noninterest income
|
16,688 | 34,473 | ||||||
Total revenue, net of interest expense
|
40,113 | 61,122 | ||||||
Provision for credit losses
|
7,069 | 17,910 | ||||||
Goodwill impairment
|
2,603 | - | ||||||
Merger and restructuring charges
|
361 | 1,029 | ||||||
All other noninterest expense
(1)
|
40,175 | 33,999 | ||||||
Income (loss) before income taxes
|
(10,095 | ) | 8,184 | |||||
Income tax expense (benefit)
|
(3,318 | ) | 1,879 | |||||
Net income (loss)
|
(6,777 | ) | 6,305 | |||||
Net income (loss) available to common shareholders
|
(7,388 | ) | 5,617 | |||||
Average common shares issued and outstanding
|
10,085 | 9,570 | ||||||
Average diluted common shares issued and outstanding
|
10,085 | 10,021 | ||||||
Performance ratios
|
||||||||
Return on average assets
|
n/m | 0.51 | % | |||||
Return on average common shareholders equity
|
n/m | 5.45 | ||||||
Return on average tangible common shareholders equity
(2)
|
n/m | 9.48 | ||||||
Return on average tangible shareholders equity
(2)
|
n/m | 9.26 | ||||||
Total ending equity to total ending assets
|
9.83 | % | 9.85 | |||||
Total average equity to total average assets
|
9.96 | 9.25 | ||||||
Dividend payout
|
n/m | 3.60 | ||||||
Per common share data
|
||||||||
Earnings (loss)
|
$ | (0.73 | ) | $ | 0.56 | |||
Diluted earnings (loss)
|
(0.73 | ) | 0.55 | |||||
Dividends paid
|
0.02 | 0.02 | ||||||
Book value
|
20.29 | 21.45 | ||||||
Tangible book value
(2)
|
12.65 | 12.14 | ||||||
Market price per share of common stock
|
||||||||
Closing
|
$ | 10.96 | $ | 14.37 | ||||
High closing
|
15.25 | 19.48 | ||||||
Low closing
|
10.50 | 14.37 | ||||||
Market capitalization
|
$ | 111,060 | $ | 144,174 | ||||
Average balance sheet
|
||||||||
Total loans and leases
|
$ | 938,738 | $ | 979,267 | ||||
Total assets
|
2,338,826 | 2,505,459 | ||||||
Total deposits
|
1,029,578 | 986,344 | ||||||
Long-term debt
|
437,812 | 505,507 | ||||||
Common shareholders equity
|
216,367 | 207,975 | ||||||
Total shareholders equity
|
232,930 | 231,695 | ||||||
Asset quality
(3)
|
||||||||
Allowance for credit losses
(4)
|
$ | 38,209 | $ | 46,668 | ||||
Nonperforming loans, leases and foreclosed properties
(5)
|
30,058 | 35,598 | ||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding
(5)
|
4.00 | % | 4.75 | % | ||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases
(5)
|
135 | 137 | ||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases excluding the
PCI loan portfolio
(5)
|
105 | 121 | ||||||
Amounts included in allowance that are excluded from nonperforming loans
(6)
|
19,935 | 24,338 | ||||||
Allowance as a percentage of total nonperforming loans and leases excluding the
amounts included in the allowance that are excluded from nonperforming loans
(6)
|
63 | % | 63 | % | ||||
Net charge-offs
|
$ | 11,693 | $ | 20,354 | ||||
Annualized net charge-offs as a percentage of average loans and leases outstanding
(5)
|
2.53 | % | 4.21 | % | ||||
Nonperforming loans and leases as a percentage of total loans and leases outstanding
(5)
|
2.96 | 3.48 | ||||||
Nonperforming loans, leases and foreclosed properties as a percentage of total loans, leases and foreclosed properties
(5)
|
3.22 | 3.73 | ||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs
|
1.58 | 1.10 | ||||||
(1) |
Excludes merger and restructuring charges and goodwill impairment charge.
|
|
(2) |
Tangible equity ratios and tangible book value per share of common stock are non-GAAP measures.
Other companies may define or calculate these measures differently. For additional information on
these ratios and corresponding reconciliations to GAAP financial measures, see Supplemental
Financial Data on page 19 and Table 10 on page 22.
|
|
(3) |
For more information on the impact of the PCI loan portfolio on asset quality, see Consumer
Portfolio Credit Risk Management on page 76 and Commercial Portfolio Credit Risk Management on
page 93.
|
|
(4) |
Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments.
|
|
(5) |
Balances and ratios do not include loans accounted for under the fair value option. For
additional exclusions on nonperforming loans, leases and foreclosed properties, see Nonperforming
Consumer Loans and Foreclosed Properties Activity on page 90 and corresponding Table 42 and
Nonperforming Commercial Loans, Leases and Foreclosed Properties
Activity on page 98 and corresponding Table
51.
|
|
(6) |
Amounts included in allowance that are excluded from nonperforming loans primarily includes
amounts allocated to Global Card Services portfolio and purchased credit-impaired loans.
|
|
n/m = not meaningful
|
18
19
Table 9 | ||||||||||||||||||||
Quarterly Supplemental Financial Data and Reconciliations to GAAP Financial Measures | ||||||||||||||||||||
2011 Quarters | 2010 Quarters | |||||||||||||||||||
(Dollars in millions, except per share information) | Second | First | Fourth | Third | Second | |||||||||||||||
Fully taxable-equivalent basis data
|
||||||||||||||||||||
Net interest income
|
$ | 11,493 | $ | 12,397 | $ | 12,709 | $ | 12,717 | $ | 13,197 | ||||||||||
Total revenue, net of interest expense
|
13,483 | 27,095 | 22,668 | 26,982 | 29,450 | |||||||||||||||
Net interest yield
|
2.50 | % | 2.67 | % | 2.69 | % | 2.72 | % | 2.77 | % | ||||||||||
Efficiency ratio
|
n/m | 74.86 | 92.04 | 100.87 | 58.58 | |||||||||||||||
Performance ratios, excluding goodwill impairment charges
(1)
|
||||||||||||||||||||
Per common share information
|
||||||||||||||||||||
Earnings (loss)
|
$ | (0.65 | ) | $ | 0.04 | $ | 0.27 | |||||||||||||
Diluted earnings (loss)
|
(0.65 | ) | 0.04 | 0.27 | ||||||||||||||||
Efficiency ratio
|
n/m | 83.22 | % | 62.33 | % | |||||||||||||||
Return on average assets
|
n/m | 0.13 | 0.52 | |||||||||||||||||
Four quarter trailing return on average assets
(2)
|
n/m | 0.43 | 0.39 | |||||||||||||||||
Return on average common shareholders equity
|
n/m | 0.79 | 5.06 | |||||||||||||||||
Return on average tangible common shareholders equity
|
n/m | 1.27 | 8.67 | |||||||||||||||||
Return on average tangible shareholders equity
|
n/m | 1.96 | 8.54 | |||||||||||||||||
(1) |
Performance ratios have been calculated excluding the impact of the goodwill impairment charges of
$2.6 billion recorded during the second quarter of 2011, and $2.0 billion and $10.4 billion recorded
during the fourth and third quarters of 2010, respectively.
|
|
(2) |
Calculated as total net income for four consecutive quarters divided by average assets for the period.
|
|
n/m = not meaningful
|
20
Table 9 | ||||||||||||||||||||
Quarterly Supplemental Financial Data and Reconciliations to GAAP Financial Measures (continued) | ||||||||||||||||||||
2011 Quarters | 2010 Quarters | |||||||||||||||||||
(Dollars in millions) | Second | First | Fourth | Third | Second | |||||||||||||||
Reconciliation of net interest income to net interest income on a fully taxable-equivalent basis
|
||||||||||||||||||||
Net interest income
|
$ | 11,246 | $ | 12,179 | $ | 12,439 | $ | 12,435 | $ | 12,900 | ||||||||||
FTE adjustment
|
247 | 218 | 270 | 282 | 297 | |||||||||||||||
Net interest income on a fully taxable-equivalent basis
|
$ | 11,493 | $ | 12,397 | $ | 12,709 | $ | 12,717 | $ | 13,197 | ||||||||||
Reconciliation of total revenue, net of interest expense to total revenue, net of interest
expense on a fully taxable-equivalent basis
|
||||||||||||||||||||
Total revenue, net of interest expense
|
$ | 13,236 | $ | 26,877 | $ | 22,398 | $ | 26,700 | $ | 29,153 | ||||||||||
FTE adjustment
|
247 | 218 | 270 | 282 | 297 | |||||||||||||||
Total revenue, net of interest expense on a fully taxable-equivalent basis
|
$ | 13,483 | $ | 27,095 | $ | 22,668 | $ | 26,982 | $ | 29,450 | ||||||||||
Reconciliation of total noninterest expense to total noninterest expense, excluding
goodwill impairment charges
|
||||||||||||||||||||
Total noninterest expense
|
$ | 22,856 | $ | 20,283 | $ | 20,864 | $ | 27,216 | $ | 17,253 | ||||||||||
Goodwill impairment charges
|
(2,603 | ) | - | (2,000 | ) | (10,400 | ) | - | ||||||||||||
Total noninterest expense, excluding goodwill impairment charges
|
$ | 20,253 | $ | 20,283 | $ | 18,864 | $ | 16,816 | $ | 17,253 | ||||||||||
Reconciliation of income tax expense (benefit) to income tax expense (benefit) on a fully
taxable-equivalent basis
|
||||||||||||||||||||
Income tax expense (benefit)
|
$ | (4,049 | ) | $ | 731 | $ | (2,351 | ) | $ | 1,387 | $ | 672 | ||||||||
FTE adjustment
|
247 | 218 | 270 | 282 | 297 | |||||||||||||||
Income tax expense (benefit) on a fully taxable-equivalent basis
|
$ | (3,802 | ) | $ | 949 | $ | (2,081 | ) | $ | 1,669 | $ | 969 | ||||||||
Reconciliation of net income (loss) to net income (loss), excluding goodwill
impairment charges
|
||||||||||||||||||||
Net income (loss)
|
$ | (8,826 | ) | $ | 2,049 | $ | (1,244 | ) | $ | (7,299 | ) | $ | 3,123 | |||||||
Goodwill impairment charges
|
2,603 | - | 2,000 | 10,400 | - | |||||||||||||||
Net income (loss), excluding goodwill impairment charges
|
$ | (6,223 | ) | $ | 2,049 | $ | 756 | $ | 3,101 | $ | 3,123 | |||||||||
Reconciliation of net income (loss) applicable to common shareholders to net income (loss)
applicable to common shareholders, excluding goodwill impairment charges
|
||||||||||||||||||||
Net income (loss) applicable to common shareholders
|
$ | (9,127 | ) | $ | 1,739 | $ | (1,565 | ) | $ | (7,647 | ) | $ | 2,783 | |||||||
Goodwill impairment charges
|
2,603 | - | 2,000 | 10,400 | - | |||||||||||||||
Net income (loss) applicable to common shareholders, excluding goodwill
impairment charges
|
$ | (6,524 | ) | $ | 1,739 | $ | 435 | $ | 2,753 | $ | 2,783 | |||||||||
Reconciliation of average common shareholders equity to average tangible common
shareholders equity
|
||||||||||||||||||||
Common shareholders equity
|
$ | 218,505 | $ | 214,206 | $ | 218,728 | $ | 215,911 | $ | 215,468 | ||||||||||
Goodwill
|
(73,748 | ) | (73,922 | ) | (75,584 | ) | (82,484 | ) | (86,099 | ) | ||||||||||
Intangible assets (excluding MSRs)
|
(9,394 | ) | (9,769 | ) | (10,211 | ) | (10,629 | ) | (11,216 | ) | ||||||||||
Related deferred tax liabilities
|
2,932 | 3,035 | 3,121 | 3,214 | 3,395 | |||||||||||||||
Tangible common shareholders equity
|
$ | 138,295 | $ | 133,550 | $ | 136,054 | $ | 126,012 | $ | 121,548 | ||||||||||
Reconciliation of average shareholders equity to average tangible shareholders equity
|
||||||||||||||||||||
Shareholders equity
|
$ | 235,067 | $ | 230,769 | $ | 235,525 | $ | 233,978 | $ | 233,461 | ||||||||||
Goodwill
|
(73,748 | ) | (73,922 | ) | (75,584 | ) | (82,484 | ) | (86,099 | ) | ||||||||||
Intangible assets (excluding MSRs)
|
(9,394 | ) | (9,769 | ) | (10,211 | ) | (10,629 | ) | (11,216 | ) | ||||||||||
Related deferred tax liabilities
|
2,932 | 3,035 | 3,121 | 3,214 | 3,395 | |||||||||||||||
Tangible shareholders equity
|
$ | 154,857 | $ | 150,113 | $ | 152,851 | $ | 144,079 | $ | 139,541 | ||||||||||
Reconciliation of period end common shareholders equity to period end tangible
common shareholders equity
|
||||||||||||||||||||
Common shareholders equity
|
$ | 205,614 | $ | 214,314 | $ | 211,686 | $ | 212,391 | $ | 215,181 | ||||||||||
Goodwill
|
(71,074 | ) | (73,869 | ) | (73,861 | ) | (75,602 | ) | (85,801 | ) | ||||||||||
Intangible assets (excluding MSRs)
|
(9,176 | ) | (9,560 | ) | (9,923 | ) | (10,402 | ) | (10,796 | ) | ||||||||||
Related deferred tax liabilities
|
2,853 | 2,933 | 3,036 | 3,123 | 3,215 | |||||||||||||||
Tangible common shareholders equity
|
$ | 128,217 | $ | 133,818 | $ | 130,938 | $ | 129,510 | $ | 121,799 | ||||||||||
Reconciliation of period end shareholders equity to period end tangible shareholders equity
|
||||||||||||||||||||
Shareholders equity
|
$ | 222,176 | $ | 230,876 | $ | 228,248 | $ | 230,495 | $ | 233,174 | ||||||||||
Goodwill
|
(71,074 | ) | (73,869 | ) | (73,861 | ) | (75,602 | ) | (85,801 | ) | ||||||||||
Intangible assets (excluding MSRs)
|
(9,176 | ) | (9,560 | ) | (9,923 | ) | (10,402 | ) | (10,796 | ) | ||||||||||
Related deferred tax liabilities
|
2,853 | 2,933 | 3,036 | 3,123 | 3,215 | |||||||||||||||
Tangible shareholders equity
|
$ | 144,779 | $ | 150,380 | $ | 147,500 | $ | 147,614 | $ | 139,792 | ||||||||||
Reconciliation of period end assets to period end tangible assets
|
||||||||||||||||||||
Assets
|
$ | 2,261,319 | $ | 2,274,532 | $ | 2,264,909 | $ | 2,339,660 | $ | 2,368,384 | ||||||||||
Goodwill
|
(71,074 | ) | (73,869 | ) | (73,861 | ) | (75,602 | ) | (85,801 | ) | ||||||||||
Intangible assets (excluding MSRs)
|
(9,176 | ) | (9,560 | ) | (9,923 | ) | (10,402 | ) | (10,796 | ) | ||||||||||
Related deferred tax liabilities
|
2,853 | 2,933 | 3,036 | 3,123 | 3,215 | |||||||||||||||
Tangible assets
|
$ | 2,183,922 | $ | 2,194,036 | $ | 2,184,161 | $ | 2,256,779 | $ | 2,275,002 | ||||||||||
21
Table 10 | ||||||||
Year-to-Date Supplemental Financial Data and Reconciliations to GAAP Financial Measures | ||||||||
Six Months Ended June 30 | ||||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Fully taxable-equivalent basis data
|
||||||||
Net interest income
|
$ | 23,890 | $ | 27,267 | ||||
Total revenue, net of interest expense
|
40,578 | 61,740 | ||||||
Net interest yield
|
2.58 | % | 2.85 | % | ||||
Efficiency ratio
|
n/m | 56.73 | ||||||
Performance ratios, excluding goodwill impairment charge
(1)
|
||||||||
Per common share information
|
||||||||
Loss
|
$ | (0.48 | ) | |||||
Diluted loss
|
(0.48 | ) | ||||||
Efficiency ratio
|
n/m | |||||||
Return on average assets
|
n/m | |||||||
Return on average common shareholders equity
|
n/m | |||||||
Return on average tangible common shareholders equity
|
n/m | |||||||
Return on average tangible shareholders equity
|
n/m | |||||||
Reconciliation of net interest income to net interest income on a fully taxable-equivalent basis
|
||||||||
Net interest income
|
$ | 23,425 | $ | 26,649 | ||||
FTE adjustment
|
465 | 618 | ||||||
Net interest income on a fully taxable-equivalent basis
|
$ | 23,890 | $ | 27,267 | ||||
Reconciliation of total revenue, net of interest expense to total revenue, net of interest expense
on a fully taxable-equivalent basis
|
||||||||
Total revenue, net of interest expense
|
$ | 40,113 | $ | 61,122 | ||||
FTE adjustment
|
465 | 618 | ||||||
Total revenue, net of interest expense on a fully taxable-equivalent basis
|
$ | 40,578 | $ | 61,740 | ||||
Reconciliation of total noninterest expense to total noninterest expense, excluding
goodwill impairment charge
|
||||||||
Total noninterest expense
|
$ | 43,139 | $ | 35,028 | ||||
Goodwill impairment charge
|
(2,603 | ) | - | |||||
Total noninterest expense, excluding goodwill impairment charge
|
$ | 40,536 | $ | 35,028 | ||||
Reconciliation of income tax expense (benefit) to income tax expense (benefit) on a fully
taxable-equivalent basis
|
||||||||
Income tax expense (benefit)
|
$ | (3,318 | ) | $ | 1,879 | |||
FTE adjustment
|
465 | 618 | ||||||
Income tax expense (benefit) on a fully taxable-equivalent basis
|
$ | (2,853 | ) | $ | 2,497 | |||
Reconciliation of net income (loss) to net income (loss), excluding goodwill impairment charge
|
||||||||
Net income (loss)
|
$ | (6,777 | ) | $ | 6,305 | |||
Goodwill impairment charge
|
2,603 | - | ||||||
Net income (loss), excluding goodwill impairment charge
|
$ | (4,174 | ) | $ | 6,305 | |||
Reconciliation of net income (loss) applicable to common shareholders to net income (loss) applicable
to common shareholders, excluding goodwill impairment charge
|
||||||||
Net income (loss) applicable to common shareholders
|
$ | (7,388 | ) | $ | 5,617 | |||
Goodwill impairment charge
|
2,603 | - | ||||||
Net income (loss) applicable to common shareholders, excluding goodwill impairment charge
|
$ | (4,785 | ) | $ | 5,617 | |||
Reconciliation of average common shareholders equity to average tangible common
shareholders equity
|
||||||||
Common shareholders equity
|
$ | 216,367 | $ | 207,975 | ||||
Common Equivalent Securities
|
- | 5,848 | ||||||
Goodwill
|
(73,834 | ) | (86,225 | ) | ||||
Intangible assets (excluding MSRs)
|
(9,580 | ) | (11,559 | ) | ||||
Related deferred tax liabilities
|
2,983 | 3,446 | ||||||
Tangible common shareholders equity
|
$ | 135,936 | $ | 119,485 | ||||
Reconciliation of average shareholders equity to average tangible shareholders equity
|
||||||||
Shareholders equity
|
$ | 232,930 | $ | 231,695 | ||||
Goodwill
|
(73,834 | ) | (86,225 | ) | ||||
Intangible assets (excluding MSRs)
|
(9,580 | ) | (11,559 | ) | ||||
Related deferred tax liabilities
|
2,983 | 3,446 | ||||||
Tangible shareholders equity
|
$ | 152,499 | $ | 137,357 | ||||
(1) |
Performance ratios have been calculated excluding the impact of the goodwill impairment charge of $2.6 billion recorded during the second quarter of 2011.
|
|
n/m = not meaningful
|
22
Table 11 | ||||||||||||||||
Core Net Interest Income | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Net interest income
(1)
|
||||||||||||||||
As reported
|
$ | 11,493 | $ | 13,197 | $ | 23,890 | $ | 27,267 | ||||||||
Impact of market-based net interest income
(2)
|
(914 | ) | (1,049 | ) | (1,965 | ) | (2,235 | ) | ||||||||
Core net interest income
|
$ | 10,579 | $ | 12,148 | $ | 21,925 | $ | 25,032 | ||||||||
Average earning assets
(3)
|
||||||||||||||||
As reported
|
$ | 1,844,525 | $ | 1,910,790 | $ | 1,857,124 | $ | 1,921,864 | ||||||||
Impact of market-based earning assets
(2)
|
(461,775 | ) | (530,785 | ) | (465,617 | ) | (533,180 | ) | ||||||||
Core average earning assets
|
$ | 1,382,750 | $ | 1,380,005 | $ | 1,391,507 | $ | 1,388,684 | ||||||||
Net interest yield contribution
(1, 4)
|
||||||||||||||||
As reported
(3)
|
2.50 | % | 2.77 | % | 2.58 | % | 2.85 | % | ||||||||
Impact of market-based activities
(2)
|
0.56 | 0.76 | 0.58 | 0.77 | ||||||||||||
Core net interest yield on earning assets
|
3.06 | % | 3.53 | % | 3.16 | % | 3.62 | % | ||||||||
(1) |
FTE basis
|
|
(2) |
Represents the impact of market-based amounts included in
GBAM
.
|
|
(3) |
For the three and six months
ended June 30, 2011, for average balance and yield calculation
purposes, $40.4
billion and $20.3 billion of noninterest-earning equity trading securities were reclassified from trading account assets to
other non-earning assets. Prior period amounts are immaterial
and have not been restated.
|
|
(4) |
Calculated on an annualized basis.
|
23
Table 12 | ||||||||||||||||||||||||
Quarterly Average Balances and Interest Rates Fully Taxable-equivalent Basis | ||||||||||||||||||||||||
Second Quarter 2011 | First Quarter 2011 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||
Earning assets
|
||||||||||||||||||||||||
Time deposits placed and other short-term investments
(1)
|
$ | 27,298 | $ | 106 | 1.56 | % | $ | 31,294 | $ | 88 | 1.14 | % | ||||||||||||
Federal funds sold and securities borrowed or purchased
under agreements to resell
|
259,069 | 597 | 0.92 | 227,379 | 517 | 0.92 | ||||||||||||||||||
Trading account assets
(2)
|
186,760 | 1,576 | 3.38 | 221,041 | 1,669 | 3.05 | ||||||||||||||||||
Debt securities
(3)
|
335,269 | 2,696 | 3.22 | 335,847 | 2,917 | 3.49 | ||||||||||||||||||
Loans and leases
(4)
:
|
||||||||||||||||||||||||
Residential mortgage
(5)
|
265,420 | 2,763 | 4.16 | 262,049 | 2,881 | 4.40 | ||||||||||||||||||
Home equity
|
131,786 | 1,261 | 3.83 | 136,089 | 1,335 | 3.96 | ||||||||||||||||||
Discontinued real estate
|
15,997 | 129 | 3.22 | 12,899 | 110 | 3.42 | ||||||||||||||||||
U.S. credit card
|
106,164 | 2,718 | 10.27 | 109,941 | 2,837 | 10.47 | ||||||||||||||||||
Non-U.S. credit card
|
27,259 | 760 | 11.18 | 27,633 | 779 | 11.43 | ||||||||||||||||||
Direct/Indirect consumer
(6)
|
89,403 | 945 | 4.24 | 90,097 | 993 | 4.47 | ||||||||||||||||||
Other consumer
(7)
|
2,745 | 47 | 6.87 | 2,753 | 45 | 6.58 | ||||||||||||||||||
Total consumer
|
638,774 | 8,623 | 5.41 | 641,461 | 8,980 | 5.65 | ||||||||||||||||||
U.S. commercial
|
190,479 | 1,827 | 3.85 | 191,353 | 1,926 | 4.08 | ||||||||||||||||||
Commercial real estate
(8)
|
45,762 | 382 | 3.35 | 48,359 | 437 | 3.66 | ||||||||||||||||||
Commercial lease financing
|
21,284 | 235 | 4.41 | 21,634 | 322 | 5.95 | ||||||||||||||||||
Non-U.S. commercial
|
42,214 | 339 | 3.22 | 36,159 | 299 | 3.35 | ||||||||||||||||||
Total commercial
|
299,739 | 2,783 | 3.72 | 297,505 | 2,984 | 4.06 | ||||||||||||||||||
Total loans and leases
|
938,513 | 11,406 | 4.87 | 938,966 | 11,964 | 5.14 | ||||||||||||||||||
Other earning assets
|
97,616 | 866 | 3.56 | 115,336 | 922 | 3.24 | ||||||||||||||||||
Total earning assets
|
1,844,525 | 17,247 | 3.75 | 1,869,863 | 18,077 | 3.92 | ||||||||||||||||||
Cash and cash equivalents
(1)
|
115,956 | 49 | 138,241 | 63 | ||||||||||||||||||||
Other assets, less allowance for loan and lease losses
(2)
|
378,629 | 330,434 | ||||||||||||||||||||||
Total assets
|
$ | 2,339,110 | $ | 2,338,538 | ||||||||||||||||||||
(1) |
For this presentation, fees earned on overnight deposits placed with the Federal Reserve are included in the cash and cash equivalents line, consistent with the
Corporations Consolidated Balance Sheet presentation of these deposits. Net interest income and net interest yield are calculated excluding these fees.
|
|
(2) |
For the second quarter of
2011, $40.4 billion of noninterest-earning equity trading securities were reclassified from trading account assets to other assets. Prior period
amounts are immaterial and have not been restated.
|
|
(3) |
Yields on AFS debt securities are calculated based on fair value rather than the cost basis. The use of fair value does not have a material impact on net interest yield.
|
|
(4) |
Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is recognized on a cash basis. PCI loans were recorded at
fair value upon acquisition and accrete interest income over the remaining life of the loan.
|
|
(5) |
Includes non-U.S. residential mortgage loans of $94 million and $92 million in the second and first quarters of 2011, and $96 million, $502 million and $506 million in
the fourth, third and second quarters of 2010, respectively.
|
|
(6) |
Includes non-U.S. consumer loans of $8.7 billion and $8.2 billion in the second and first quarters of 2011, and $7.9 billion, $7.7 billion and $7.7 billion in the
fourth, third and second quarters of 2010, respectively.
|
|
(7) |
Includes consumer finance loans of $1.8 billion and $1.9 billion in the second and first quarters of 2011, and $2.0 billion, $2.0 billion and $2.1 billion in the
fourth, third and second quarters of 2010, respectively; other non-U.S. consumer loans of $840 million and $777 million in the second and first quarters of 2011, and
$791 million, $788 million and $679 million in the fourth, third and second quarters of 2010, respectively; and consumer overdrafts of $79 million and $76 million in
the second and first quarters of 2011, and $34 million, $123 million and $155 million in the fourth, third and second quarters of 2010, respectively.
|
|
(8) |
Includes U.S. commercial real estate loans of $43.4 billion and $45.7 billion in the second and first quarters of 2011, and $49.0 billion, $53.1 billion and $61.6
billion in the fourth, third and second quarters of 2010, respectively; and non-U.S. commercial real estate loans of $2.4 billion and $2.7 billion in the second and
first quarters of 2011, and $2.6 billion, $2.5 billion and $2.6 billion in the fourth, third and second quarters of 2010, respectively.
|
24
25
26
Quarterly Average Balances and Interest Rates
|
Fully Taxable-equivalent Basis (continued) | ||||||||||||||||||||||||||||||||||||
Fourth Quarter 2010 | Third Quarter 2010 | Second Quarter 2010 | |||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||||||||||||
Interest-bearing liabilities
|
|||||||||||||||||||||||||||||||||||||
U.S. interest-bearing deposits:
|
|||||||||||||||||||||||||||||||||||||
Savings
|
$ | 37,145 | $ | 35 | 0.36 | % | $ | 37,008 | $ | 36 | 0.39 | % | $ | 37,290 | $ | 43 | 0.46 | % | |||||||||||||||||||
NOW and money market deposit accounts
|
464,531 | 333 | 0.28 | 442,906 | 359 | 0.32 | 442,262 | 372 | 0.34 | ||||||||||||||||||||||||||||
Consumer CDs and IRAs
|
124,855 | 338 | 1.07 | 132,687 | 377 | 1.13 | 147,425 | 441 | 1.20 | ||||||||||||||||||||||||||||
Negotiable CDs, public funds and other time deposits
|
16,334 | 47 | 1.16 | 17,326 | 57 | 1.30 | 17,355 | 59 | 1.36 | ||||||||||||||||||||||||||||
Total U.S. interest-bearing deposits
|
642,865 | 753 | 0.46 | 629,927 | 829 | 0.52 | 644,332 | 915 | 0.57 | ||||||||||||||||||||||||||||
Non-U.S. interest-bearing deposits:
|
|||||||||||||||||||||||||||||||||||||
Banks located in non-U.S. countries
|
16,827 | 38 | 0.91 | 17,431 | 38 | 0.86 | 19,751 | 36 | 0.72 | ||||||||||||||||||||||||||||
Governments and official institutions
|
1,560 | 2 | 0.42 | 2,055 | 2 | 0.36 | 4,214 | 3 | 0.28 | ||||||||||||||||||||||||||||
Time, savings and other
|
58,746 | 101 | 0.69 | 54,373 | 81 | 0.59 | 52,195 | 77 | 0.60 | ||||||||||||||||||||||||||||
Total non-U.S. interest-bearing deposits
|
77,133 | 141 | 0.73 | 73,859 | 121 | 0.65 | 76,160 | 116 | 0.61 | ||||||||||||||||||||||||||||
Total interest-bearing deposits
|
719,998 | 894 | 0.49 | 703,786 | 950 | 0.54 | 720,492 | 1,031 | 0.57 | ||||||||||||||||||||||||||||
Federal
funds purchased, securities loaned or sold under agreements to repurchase and other short-term borrowings
|
369,738 | 1,142 | 1.23 | 391,148 | 848 | 0.86 | 454,051 | 891 | 0.79 | ||||||||||||||||||||||||||||
Trading account liabilities
|
81,313 | 561 | 2.74 | 95,265 | 635 | 2.65 | 100,021 | 715 | 2.87 | ||||||||||||||||||||||||||||
Long-term debt
|
465,875 | 3,254 | 2.78 | 485,588 | 3,341 | 2.74 | 497,469 | 3,582 | 2.88 | ||||||||||||||||||||||||||||
Total interest-bearing liabilities
|
1,636,924 | 5,851 | 1.42 | 1,675,787 | 5,774 | 1.37 | 1,772,033 | 6,219 | 1.41 | ||||||||||||||||||||||||||||
Noninterest-bearing sources:
|
|||||||||||||||||||||||||||||||||||||
Noninterest-bearing deposits
|
287,740 | 270,060 | 271,123 | ||||||||||||||||||||||||||||||||||
Other liabilities
|
210,069 | 199,572 | 217,815 | ||||||||||||||||||||||||||||||||||
Shareholders equity
|
235,525 | 233,978 | 233,461 | ||||||||||||||||||||||||||||||||||
Total liabilities and shareholders equity
|
$ | 2,370,258 | $ | 2,379,397 | $ | 2,494,432 | |||||||||||||||||||||||||||||||
Net interest spread
|
2.48 | % | 2.56 | % | 2.64 | % | |||||||||||||||||||||||||||||||
Impact of noninterest-bearing sources
|
0.18 | 0.13 | 0.10 | ||||||||||||||||||||||||||||||||||
Net interest income/yield on earning assets
(1)
|
$ | 12,646 | 2.66 | % | $ | 12,610 | 2.69 | % | $ | 13,091 | 2.74 | % | |||||||||||||||||||||||||
27
Table 13
|
||||||||||||||||||||||||
Year-to-Date Average Balances and Interest Rates Fully Taxable-equivalent Basis
|
||||||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||
(Dollars in millions)
|
Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||
Earning assets
|
||||||||||||||||||||||||
Time deposits placed and other short-term investments
(1)
|
$ | 29,285 | $ | 194 | 1.34 | % | $ | 29,179 | $ | 130 | 0.90 | % | ||||||||||||
Federal funds sold and securities borrowed or purchased under
agreements to resell
|
243,311 | 1,114 | 0.92 | 264,810 | 905 | 0.69 | ||||||||||||||||||
Trading account assets
(2)
|
203,806 | 3,245 | 3.21 | 214,233 | 3,648 | 3.42 | ||||||||||||||||||
Debt securities
(3)
|
335,556 | 5,613 | 3.35 | 312,727 | 6,139 | 3.93 | ||||||||||||||||||
Loans and leases
(4)
:
|
||||||||||||||||||||||||
Residential mortgage
(5)
|
263,744 | 5,644 | 4.28 | 245,785 | 6,082 | 4.95 | ||||||||||||||||||
Home equity
|
133,926 | 2,596 | 3.90 | 150,365 | 3,123 | 4.18 | ||||||||||||||||||
Discontinued real estate
|
14,457 | 239 | 3.31 | 14,201 | 287 | 4.05 | ||||||||||||||||||
U.S. Credit card
|
108,042 | 5,555 | 10.37 | 122,027 | 6,491 | 10.73 | ||||||||||||||||||
Non-U.S. credit card
|
27,445 | 1,539 | 11.31 | 28,783 | 1,760 | 12.33 | ||||||||||||||||||
Direct/Indirect consumer
(6)
|
89,748 | 1,938 | 4.36 | 99,728 | 2,535 | 5.13 | ||||||||||||||||||
Other consumer
(7)
|
2,748 | 92 | 6.75 | 2,981 | 94 | 6.34 | ||||||||||||||||||
Total consumer
|
640,110 | 17,603 | 5.53 | 663,870 | 20,372 | 6.17 | ||||||||||||||||||
U.S. commercial
|
190,914 | 3,753 | 3.96 | 198,882 | 3,975 | 4.03 | ||||||||||||||||||
Commercial real estate
(8)
|
47,053 | 819 | 3.51 | 66,361 | 1,116 | 3.39 | ||||||||||||||||||
Commercial lease financing
|
21,458 | 557 | 5.18 | 21,472 | 565 | 5.26 | ||||||||||||||||||
Non-U.S. commercial
|
39,203 | 638 | 3.28 | 28,682 | 520 | 3.65 | ||||||||||||||||||
Total commercial
|
298,628 | 5,767 | 3.89 | 315,397 | 6,176 | 3.94 | ||||||||||||||||||
Total loans and leases
|
938,738 | 23,370 | 5.01 | 979,267 | 26,548 | 5.45 | ||||||||||||||||||
Other earning assets
|
106,428 | 1,788 | 3.39 | 121,648 | 2,047 | 3.39 | ||||||||||||||||||
Total earning assets
|
1,857,124 | 35,324 | 3.84 | 1,921,864 | 39,417 | 4.14 | ||||||||||||||||||
Cash and cash equivalents
(1)
|
127,037 | 112 | 203,334 | 198 | ||||||||||||||||||||
Other assets, less allowance for loan and lease losses
(2)
|
354,665 | 380,261 | ||||||||||||||||||||||
Total assets
|
$ | 2,338,826 | $ | 2,505,459 | ||||||||||||||||||||
(1) |
Fees earned on overnight deposits placed with the Federal Reserve, which were included in the time deposits placed and other short-term investments line in prior
periods, have been reclassified in this table to cash and cash equivalents, consistent with the balance sheet presentation of these deposits. Net interest income and
net interest yield are calculated excluding these fees.
|
|
(2) |
For the six months ended June 30, 2011,
$20.3 billion of noninterest-earning equity trading securities were reclassified from trading account assets to other assets. Prior
period amounts are immaterial and have not been restated.
|
|
(3) |
Yields on AFS debt securities are calculated based on fair value rather than the cost basis. The use of fair value does not have a material impact on net interest yield.
|
|
(4) |
Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is recognized on a cash basis. Purchased credit-impaired
loans were recorded at fair value upon acquisition and accrete interest income over the remaining life of the loan.
|
|
(5) |
Includes non-U.S. residential mortgages of $93 million and $522 million for the six months ended June 30, 2011 and 2010.
|
|
(6) |
Includes non-U.S. consumer loans of $8.4 billion and $7.9 billion for the six months ended June 30, 2011 and 2010.
|
|
(7) |
Includes consumer finance loans of $1.9 billion and $2.2 billion, and other non-U.S. consumer loans of $809 million and $671 million, and consumer overdrafts of $78
million and $144 million for the six months ended June 30, 2011 and 2010.
|
|
(8) |
Includes U.S. commercial real estate loans of $44.5 billion and $63.6 billion, and non-U.S. commercial real estate loans of $2.5 billion and $2.8 billion for the six
months ended June 30, 2011 and 2010.
|
28
For footnotes see page 28. |
29
30
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | 2,281 | $ | 2,144 | 6 | % | $ | 4,486 | $ | 4,319 | 4 | % | ||||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Service charges
|
965 | 1,494 | (35 | ) | 1,888 | 2,973 | (36 | ) | ||||||||||||||||
All other income
|
55 | 57 | (4 | ) | 116 | 121 | (4 | ) | ||||||||||||||||
Total noninterest income
|
1,020 | 1,551 | (34 | ) | 2,004 | 3,094 | (35 | ) | ||||||||||||||||
Total revenue, net of interest expense
|
3,301 | 3,695 | (11 | ) | 6,490 | 7,413 | (12 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
31 | 61 | (49 | ) | 64 | 98 | (35 | ) | ||||||||||||||||
Noninterest expense
|
2,599 | 2,572 | 1 | 5,191 | 5,139 | 1 | ||||||||||||||||||
Income before income taxes
|
671 | 1,062 | (37 | ) | 1,235 | 2,176 | (43 | ) | ||||||||||||||||
Income tax expense
(1)
|
241 | 388 | (38 | ) | 450 | 804 | (44 | ) | ||||||||||||||||
Net income
|
$ | 430 | $ | 674 | (36 | ) | $ | 785 | $ | 1,372 | (43 | ) | ||||||||||||
|
||||||||||||||||||||||||
Net interest yield
(1)
|
2.15 | % | 2.06 | % | 2.15 | % | 2.09 | % | ||||||||||||||||
Return on average equity
|
7.30 | 11.16 | 6.70 | 11.45 | ||||||||||||||||||||
Return on average economic capital
(2, 3)
|
30.41 | 43.52 | 27.93 | 44.82 | ||||||||||||||||||||
Efficiency ratio
(1)
|
78.75 | 69.59 | 79.99 | 69.32 | ||||||||||||||||||||
Cost per dollar deposit
(4)
|
2.44 | 2.46 | 2.52 | 2.48 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total earning assets
|
$ | 425,363 | $ | 417,132 | 2 | $ | 421,313 | $ | 416,185 | 1 | ||||||||||||||
Total assets
|
451,554 | 443,520 | 2 | 447,530 | 442,691 | 1 | ||||||||||||||||||
Total deposits
|
426,684 | 418,480 | 2 | 422,514 | 417,665 | 1 | ||||||||||||||||||
Allocated equity
|
23,612 | 24,226 | (3 | ) | 23,627 | 24,179 | (2 | ) | ||||||||||||||||
Economic capital
(5)
|
5,662 | 6,239 | (9 | ) | 5,672 | 6,202 | (9 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period
end
|
2011 | 2010 | ||||||||||||||||||||||
Total earning assets
|
$ | 422,646 | $ | 414,215 | 2 | |||||||||||||||||||
Total assets
|
449,123 | 440,954 | 2 | |||||||||||||||||||||
Total deposits
|
424,579 | 415,189 | 2 | |||||||||||||||||||||
Client brokerage assets
|
69,000 | 63,597 | 8 | |||||||||||||||||||||
(1) | FTE basis | |
(2) |
Decreases in the ratios resulted from lower net income partially offset by a slight decrease in economic capital. Economic capital
decreased due to improvements in interest rate risk related to changes in portfolio composition.
|
|
(3) |
Return on average economic capital is calculated as net income, excluding cost of funds and earnings credit on intangibles,
divided by average economic capital.
|
|
(4) |
Cost per dollar deposit represents annualized noninterest expense, excluding certain expenses, as a percentage of average deposits.
|
|
(5) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets. |
31
32
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | 3,611 | $ | 4,442 | (19 | )% | $ | 7,358 | $ | 9,262 | (21 | )% | ||||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Card income
|
1,833 | 1,901 | (4 | ) | 3,562 | 3,784 | (6 | ) | ||||||||||||||||
All other income
|
92 | 605 | (85 | ) | 303 | 792 | (62 | ) | ||||||||||||||||
Total noninterest income
|
1,925 | 2,506 | (23 | ) | 3,865 | 4,576 | (16 | ) | ||||||||||||||||
Total revenue, net of interest expense
|
5,536 | 6,948 | (20 | ) | 11,223 | 13,838 | (19 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
481 | 3,796 | (87 | ) | 1,442 | 7,331 | (80 | ) | ||||||||||||||||
Noninterest expense
|
1,882 | 1,852 | 2 | 3,851 | 3,664 | 5 | ||||||||||||||||||
Income before income taxes
|
3,173 | 1,300 | 144 | 5,930 | 2,843 | 109 | ||||||||||||||||||
Income tax expense
(1)
|
1,138 | 474 | 140 | 2,160 | 1,049 | 106 | ||||||||||||||||||
Net income
|
$ | 2,035 | $ | 826 | 146 | $ | 3,770 | $ | 1,794 | 110 | ||||||||||||||
|
||||||||||||||||||||||||
Net interest yield
(1)
|
9.12 | % | 9.97 | % | 9.19 | % | 10.13 | % | ||||||||||||||||
Return on average equity
|
32.66 | 8.14 | 29.73 | 8.61 | ||||||||||||||||||||
Return on average economic
capital
(2, 3)
|
66.26 | 19.40 | 59.01 | 19.74 | ||||||||||||||||||||
Efficiency ratio
(1)
|
33.99 | 26.68 | 34.31 | 26.49 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total loans and leases
|
$ | 156,788 | $ | 177,076 | (11 | ) | $ | 159,591 | $ | 182,909 | (13 | ) | ||||||||||||
Total earning assets
|
158,861 | 178,646 | (11 | ) | 161,462 | 184,326 | (12 | ) | ||||||||||||||||
Total assets
|
161,776 | 187,138 | (14 | ) | 163,761 | 191,913 | (15 | ) | ||||||||||||||||
Allocated equity
|
24,982 | 40,677 | (39 | ) | 25,573 | 41,994 | (39 | ) | ||||||||||||||||
Economic capital
(4)
|
12,341 | 17,501 | (29 | ) | 12,915 | 18,767 | (31 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end
|
2011 | 2010 | ||||||||||||||||||||||
Total loans and leases
|
$ | 153,280 | $ | 166,899 | (8 | ) | ||||||||||||||||||
Total earning assets
|
156,058 | 168,706 | (7 | ) | ||||||||||||||||||||
Total assets
|
161,756 | 170,311 | (5 | ) | ||||||||||||||||||||
(1) | FTE basis | |
(2) |
Increases in the ratios resulted from higher net income and a decrease in economic capital.
Economic capital decreased due to lower levels of credit risk as loan balances declined.
Allocated equity decreased as a result of the $10.4 billion goodwill impairment charge recorded
during the third quarter of 2010.
|
|
(3) |
Return on average economic capital is calculated as net income, excluding cost of funds and
earnings credit on intangibles, divided by average economic capital.
|
|
(4) |
Economic capital represents allocated equity less goodwill and a percentage of intangible assets.
|
33
34
Three Months Ended June 30, 2011 | ||||||||||||||||||||||||
Total | ||||||||||||||||||||||||
Consumer | ||||||||||||||||||||||||
Legacy Asset | Real Estate | Three Months Ended | ||||||||||||||||||||||
(Dollars in millions)
|
Home Loans | Servicing | Other | Services | June 30, 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | 481 | $ | 129 | $ | (31 | ) | $ | 579 | $ | 992 | (42 | )% | |||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Mortgage banking income (loss)
|
938 | (13,083 | ) | (873 | ) | (13,018 | ) | 1,020 | n/m | |||||||||||||||
Insurance income
|
299 | - | - | 299 | 513 | (42 | ) | |||||||||||||||||
All other income
|
795 | 30 | - | 825 | 179 | n/m | ||||||||||||||||||
Total noninterest income (loss)
|
2,032 | (13,053 | ) | (873 | ) | (11,894 | ) | 1,712 | n/m | |||||||||||||||
Total revenue, net of interest expense
|
2,513 | (12,924 | ) | (904 | ) | (11,315 | ) | 2,704 | n/m | |||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
121 | 1,386 | - | 1,507 | 2,390 | (37 | ) | |||||||||||||||||
Goodwill impairment
|
- | - | 2,603 | 2,603 | - | n/m | ||||||||||||||||||
Noninterest expense
|
1,553 | 4,491 | - | 6,044 | 2,738 | 121 | ||||||||||||||||||
Income (loss) before income taxes
|
839 | (18,801 | ) | (3,507 | ) | (21,469 | ) | (2,424 | ) | n/m | ||||||||||||||
Income tax expense (benefit)
(1)
|
308 | (6,924 | ) | (333 | ) | (6,949 | ) | (882 | ) | n/m | ||||||||||||||
Net income (loss)
|
$ | 531 | $ | (11,877 | ) | $ | (3,174 | ) | $ | (14,520 | ) | $ | (1,542 | ) | n/m | |||||||||
|
||||||||||||||||||||||||
Net interest yield
(1)
|
2.68 | % | 0.76 | % | n/m | 1.46 | % | 2.13 | % | |||||||||||||||
Efficiency ratio
(1)
|
61.80 | n/m | n/m | n/m | 101.27 | |||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total loans and leases
|
$ | 55,267 | $ | 66,416 | $ | - | $ | 121,683 | $ | 130,662 | (7 | ) | ||||||||||||
Total earning assets
|
71,876 | 68,444 | 18,354 | 158,674 | 186,873 | (15 | ) | |||||||||||||||||
Total assets
|
73,377 | 84,616 | 40,037 | 198,030 | 227,595 | (13 | ) | |||||||||||||||||
Allocated equity
|
n/a | n/a | n/a | 17,139 | 26,174 | (35 | ) | |||||||||||||||||
Economic capital
(2, 3)
|
n/a | n/a | n/a | 14,437 | 21,371 | (32 | ) | |||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||||||
Total | ||||||||||||||||||||||||
Consumer | ||||||||||||||||||||||||
Legacy Asset | Real Estate | Six Months Ended | ||||||||||||||||||||||
Home Loans | Servicing | Other | Services | June 30, 2010 | % Change | |||||||||||||||||||
Net interest income
(1)
|
$ | 1,056 | $ | 460 | $ | (41 | ) | $ | 1,475 | $ | 2,199 | (33 | )% | |||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Mortgage banking income (loss)
|
1,696 | (13,149 | ) | (870 | ) | (12,323 | ) | 2,661 | n/m | |||||||||||||||
Insurance income
|
730 | - | - | 730 | 1,051 | (31 | ) | |||||||||||||||||
All other income
|
822 | 44 | - | 866 | 326 | 166 | ||||||||||||||||||
Total noninterest income (loss)
|
3,248 | (13,105 | ) | (870 | ) | (10,727 | ) | 4,038 | n/m | |||||||||||||||
Total revenue, net of interest expense
|
4,304 | (12,645 | ) | (911 | ) | (9,252 | ) | 6,237 | n/m | |||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
121 | 2,484 | - | 2,605 | 5,990 | (57 | ) | |||||||||||||||||
Goodwill impairment
|
- | - | 2,603 | 2,603 | - | n/m | ||||||||||||||||||
Noninterest expense
|
3,221 | 7,624 | - | 10,845 | 5,985 | 81 | ||||||||||||||||||
Income (loss) before income taxes
|
962 | (22,753 | ) | (3,514 | ) | (25,305 | ) | (5,738 | ) | n/m | ||||||||||||||
Income tax expense (benefit)
(1)
|
354 | (8,388 | ) | (336 | ) | (8,370 | ) | (2,119 | ) | n/m | ||||||||||||||
Net income (loss)
|
$ | 608 | $ | (14,365 | ) | $ | (3,178 | ) | $ | (16,935 | ) | $ | (3,619 | ) | n/m | |||||||||
|
||||||||||||||||||||||||
Net interest yield
(1)
|
2.81 | % | 1.37 | % | (0.37 | )% | 1.80 | % | 2.36 | % | ||||||||||||||
Efficiency ratio
(1)
|
74.84 | n/m | n/m | n/m | 95.96 | |||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total loans and leases
|
$ | 55,632 | $ | 65,493 | $ | - | $ | 121,125 | $ | 132,195 | (8 | ) | ||||||||||||
Total earning assets
|
75,695 | 67,565 | 22,209 | 165,469 | 188,222 | (12 | ) | |||||||||||||||||
Total assets
|
77,052 | 83,531 | 43,065 | 203,648 | 230,076 | (11 | ) | |||||||||||||||||
Allocated equity
|
n/a | n/a | n/a | 17,933 | 26,641 | (33 | ) | |||||||||||||||||
Economic capital
(2, 3)
|
n/a | n/a | n/a | 15,211 | 21,837 | (30 | ) | |||||||||||||||||
Period end
|
June 30, 2011 | December 31, 2010 | ||||||||||||||||||||||
Total loans and leases
|
$ | 55,454 | $ | 66,099 | $ | - | $ | 121,553 | $ | 122,933 | (1 | ) | ||||||||||||
Total earning assets
|
69,822 | 68,114 | 11,972 | 149,908 | 172,082 | (13 | ) | |||||||||||||||||
Total assets
|
71,723 | 83,411 | 30,264 | 185,398 | 212,413 | (13 | ) | |||||||||||||||||
(1) | FTE basis | |
(2) |
Economic capital decreased due to improvements in credit risk
as loan balances declined and due to a lower MSR balance. Allocated
equity decreased due to the $2.0 billion goodwill impairment charge recorded during the fourth quarter of 2010 and
was minimally impacted by the $2.6 billion goodwill impairment charge recorded late in the second quarter of
2011.
|
|
(3) |
Economic capital represents allocated equity less goodwill and a percentage of intangible assets (excluding MSRs).
|
|
n/m | = not meaningful | |
n/a | = not applicable |
35
36
37
Mortgage Banking Income
|
||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Production income (loss):
|
||||||||||||||||
Core production revenue
|
$ | 824 | $ | 1,428 | $ | 1,492 | $ | 2,711 | ||||||||
Representations and warranties provision
|
(14,037 | ) | (1,248 | ) | (15,050 | ) | (1,774 | ) | ||||||||
Total production income (loss)
|
(13,213 | ) | 180 | (13,558 | ) | 937 | ||||||||||
Servicing income:
|
||||||||||||||||
Servicing fees
|
1,556 | 1,649 | 3,162 | 3,218 | ||||||||||||
Impact of customer payments
(1)
|
(639 | ) | (981 | ) | (1,345 | ) | (2,037 | ) | ||||||||
Fair value changes of MSRs, net of economic hedge results
(2)
|
(873 | ) | 12 | (870 | ) | 209 | ||||||||||
Other servicing-related revenue
|
151 | 160 | 288 | 334 | ||||||||||||
Total net servicing income
|
195 | 840 | 1,235 | 1,724 | ||||||||||||
Total
CRES
mortgage banking income (loss)
|
(13,018 | ) | 1,020 | (12,323 | ) | 2,661 | ||||||||||
Eliminations
(3)
|
(178 | ) | (122 | ) | (243 | ) | (263 | ) | ||||||||
Total consolidated mortgage banking income (loss)
|
$ | (13,196 | ) | $ | 898 | $ | (12,566 | ) | $ | 2,398 | ||||||
(1) | Represents the change in the market value of the MSR asset due to the impact of customer payments received during the period. | |
(2) | Includes sale of MSRs. | |
(3) | Includes the effect of transfers of mortgage loans from CRES to the ALM portfolio in All Other . |
38
(1) |
In addition to loan production in
CRES
, the remaining first mortgage and home equity loan
production is primarily in
GWIM
.
|
|
(2) |
Servicing of residential mortgage loans, home equity lines of credit, home equity loans and discontinued real estate mortgage loans.
|
|
(3) |
The total Corporation mortgage servicing portfolio consists of $1,079 billion in Home Loans and $913 billion in Legacy Asset
Servicing at June 30, 2011. The total Corporation mortgage loans serviced for investors
consisted of $870 billion in Home Loans and
$708 billion in Legacy Asset Servicing at June 30, 2011.
|
39
Global Commercial Banking
|
||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | 1,827 | $ | 2,097 | (13 | )% | $ | 3,677 | $ | 4,290 | (14 | )% | ||||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Service charges
|
576 | 589 | (2 | ) | 1,182 | 1,188 | (1 | ) | ||||||||||||||||
All other income
|
407 | 197 | 107 | 602 | 497 | 21 | ||||||||||||||||||
Total noninterest income
|
983 | 786 | 25 | 1,784 | 1,685 | 6 | ||||||||||||||||||
Total revenue, net of interest expense
|
2,810 | 2,883 | (3 | ) | 5,461 | 5,975 | (9 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
(417 | ) | 623 | n/m | (338 | ) | 1,559 | n/m | ||||||||||||||||
Noninterest expense
|
1,068 | 974 | 10 | 2,174 | 2,005 | 8 | ||||||||||||||||||
Income before income taxes
|
2,159 | 1,286 | 68 | 3,625 | 2,411 | 50 | ||||||||||||||||||
Income tax expense
(1)
|
778 | 471 | 65 | 1,321 | 891 | 48 | ||||||||||||||||||
Net income
|
$ | 1,381 | $ | 815 | 69 | $ | 2,304 | $ | 1,520 | 52 | ||||||||||||||
|
||||||||||||||||||||||||
Net interest yield
(1)
|
2.60 | % | 3.13 | % | 2.66 | % | 3.26 | % | ||||||||||||||||
Return on average equity
|
13.67 | 7.46 | 11.33 | 6.93 | ||||||||||||||||||||
Return on average economic capital
(2, 3)
|
27.92 | 14.14 | 22.85 | 13.04 | ||||||||||||||||||||
Efficiency ratio
(1)
|
38.01 | 33.80 | 39.81 | 33.56 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total loans and leases
|
$ | 189,346 | $ | 206,603 | (8 | ) | $ | 190,883 | $ | 210,450 | (9 | ) | ||||||||||||
Total earning assets
|
281,844 | 268,552 | 5 | 278,272 | 265,125 | 5 | ||||||||||||||||||
Total assets
|
320,428 | 305,788 | 5 | 316,521 | 301,925 | 5 | ||||||||||||||||||
Total deposits
|
166,481 | 145,499 | 14 | 163,366 | 144,572 | 13 | ||||||||||||||||||
Allocated equity
|
40,515 | 43,869 | (8 | ) | 41,008 | 44,222 | (7 | ) | ||||||||||||||||
Economic capital
(4)
|
19,817 | 23,159 | (14 | ) | 20,309 | 23,558 | (14 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end
|
2011 | 2010 | ||||||||||||||||||||||
Total loans and leases
|
$ | 189,434 | $ | 194,038 | (2 | ) | ||||||||||||||||||
Total earning assets
|
242,272 | 274,637 | (12 | ) | ||||||||||||||||||||
Total assets
|
280,289 | 312,802 | (10 | ) | ||||||||||||||||||||
Total deposits
|
170,156 | 161,279 | 6 | |||||||||||||||||||||
(1) | FTE basis | |
(2) |
Increases in the ratios resulted from higher net income and lower economic capital. Economic
capital decreased due to improved credit quality, declining loan balances and improvements in
counterparty credit exposure.
|
|
(3) |
Return on average economic capital is calculated as net income, excluding cost of funds and
earnings credit on intangibles, divided by average economic capital.
|
|
(4) |
Economic capital represents allocated equity less goodwill and a percentage of intangible assets.
|
|
n/m | = not meaningful |
40
41
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | 1,791 | $ | 2,002 | (11 | )% | $ | 3,828 | $ | 4,172 | (8 | )% | ||||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Service charges
|
442 | 468 | (6 | ) | 917 | 931 | (2 | ) | ||||||||||||||||
Investment and brokerage services
|
587 | 676 | (13 | ) | 1,264 | 1,299 | (3 | ) | ||||||||||||||||
Investment banking fees
|
1,637 | 1,301 | 26 | 3,148 | 2,517 | 25 | ||||||||||||||||||
Trading account profits
|
2,071 | 1,202 | 72 | 4,691 | 6,273 | (25 | ) | |||||||||||||||||
All other income
|
268 | 255 | 5 | 834 | 405 | 106 | ||||||||||||||||||
Total noninterest income
|
5,005 | 3,902 | 28 | 10,854 | 11,425 | (5 | ) | |||||||||||||||||
Total revenue, net of interest expense
|
6,796 | 5,904 | 15 | 14,682 | 15,597 | (6 | ) | |||||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
(82 | ) | (133 | ) | 38 | (284 | ) | 103 | n/m | |||||||||||||||
Noninterest expense
|
4,713 | 4,735 | - | 9,435 | 9,024 | 5 | ||||||||||||||||||
Income before income taxes
|
2,165 | 1,302 | 66 | 5,531 | 6,470 | (15 | ) | |||||||||||||||||
Income tax expense
(1)
|
607 | 404 | 50 | 1,839 | 2,333 | (21 | ) | |||||||||||||||||
Net income
|
$ | 1,558 | $ | 898 | 73 | $ | 3,692 | $ | 4,137 | (11 | ) | |||||||||||||
|
||||||||||||||||||||||||
Return on average equity
|
16.44 | % | 7.03 | % | 18.61 | % | 15.99 | % | ||||||||||||||||
Return on average economic capital
(2, 3)
|
23.40 | 9.06 | 25.86 | 20.28 | ||||||||||||||||||||
Efficiency ratio
(1)
|
69.35 | 80.19 | 64.26 | 57.86 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total
trading-related assets
(4, 5)
|
$ | 460,153 | $ | 522,304 | (12 | ) | $ | 459,278 | $ | 519,767 | (12 | ) | ||||||||||||
Total loans and leases
|
109,473 | 95,839 | 14 | 106,604 | 97,427 | 9 | ||||||||||||||||||
Total
earning assets
(4, 5)
|
569,517 | 622,820 | (9 | ) | 572,701 | 628,193 | (9 | ) | ||||||||||||||||
Total assets
(4, 5)
|
750,908 | 779,060 | (4 | ) | 730,907 | 781,949 | (7 | ) | ||||||||||||||||
Total deposits
|
118,133 | 112,565 | 5 | 115,097 | 108,124 | 6 | ||||||||||||||||||
Allocated equity
|
38,001 | 51,245 | (26 | ) | 40,004 | 52,182 | (23 | ) | ||||||||||||||||
Economic capital
(6)
|
27,078 | 40,705 | (33 | ) | 29,126 | 41,582 | (30 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period
end
|
2011 | 2010 | ||||||||||||||||||||||
Total
trading-related assets
(4, 5)
|
$ | 445,220 | $ | 417,714 | 7 | |||||||||||||||||||
Total loans and leases
|
114,165 | 99,964 | 14 | |||||||||||||||||||||
Total
earning assets
(4, 5)
|
557,327 | 514,462 | 8 | |||||||||||||||||||||
Total assets
(4, 5)
|
691,249 | 655,778 | 5 | |||||||||||||||||||||
Total deposits
|
123,618 | 110,971 | 11 | |||||||||||||||||||||
(1) | FTE basis | |
(2) |
Increases in the ratios resulted from higher net income for the three-month period and a decrease in
economic capital for both the three- and six-month periods. Economic capital decreased due to lower
credit risk and improvements in counterparty credit exposure.
|
|
(3) |
Return on average economic capital is calculated as net income, excluding cost of funds and earnings
credit on intangibles, divided by average economic capital.
|
|
(4) | Includes assets which are not considered earning assets (i.e., derivative assets). | |
(5) |
Total earning assets and total assets include asset allocations to match liabilities (i.e., deposits).
|
|
(6) |
Economic capital represents allocated equity less goodwill and a percentage of intangible assets.
|
|
n/m | = not meaningful |
42
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Sales and trading revenue
(1)
|
||||||||||||||||
Fixed income, currencies and commodities
|
$ | 2,697 | $ | 2,230 | $ | 6,343 | $ | 7,717 | ||||||||
Equity income
|
1,081 | 882 | 2,330 | 2,396 | ||||||||||||
Total sales and trading revenue
|
$ | 3,778 | $ | 3,112 | $ | 8,673 | $ | 10,113 | ||||||||
(1) | Includes $43 million and $98 million of net interest income on a FTE basis for the three and six months ended June 30, 2011 as compared to $76 million and $148 million for the same periods in 2010. |
43
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Investment banking fees
|
||||||||||||||||
Advisory
(1)
|
$ | 381 | $ | 242 | $ | 700 | $ | 409 | ||||||||
Debt issuance
|
880 | 773 | 1,679 | 1,509 | ||||||||||||
Equity issuance
|
376 | 286 | 769 | 599 | ||||||||||||
Total investment banking fees
|
$ | 1,637 | $ | 1,301 | $ | 3,148 | $ | 2,517 | ||||||||
(1) | Advisory includes fees on debt and equity advisory services and mergers and acquisitions. |
44
Credit Default Swaps with Monoline Financial Guarantors
|
||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Other | Other | |||||||||||||||||||||||
Super | Guaranteed | Super | Guaranteed | |||||||||||||||||||||
(Dollars in millions)
|
Senior CDOs | Positions | Total | Senior CDOs | Positions | Total | ||||||||||||||||||
Notional
|
$ | 2,968 | $ | 32,656 | $ | 35,624 | $ | 3,241 | $ | 35,183 | $ | 38,424 | ||||||||||||
Mark-to-market or guarantor
receivable
|
$ | 2,578 | $ | 6,150 | $ | 8,728 | $ | 2,834 | $ | 6,367 | $ | 9,201 | ||||||||||||
Credit valuation adjustment
|
(2,363 | ) | (3,314 | ) | (5,677 | ) | (2,168 | ) | (3,107 | ) | (5,275 | ) | ||||||||||||
Total
|
$ | 215 | $ | 2,836 | $ | 3,051 | $ | 666 | $ | 3,260 | $ | 3,926 | ||||||||||||
Credit valuation adjustment %
|
92 | % | 54 | % | 65 | % | 77 | % | 49 | % | 57 | % | ||||||||||||
(Write-downs) gains
|
$ | (314 | ) | $ | (354 | ) | $ | (668 | ) | $ | (386 | ) | $ | 362 | $ | (24 | ) | |||||||
45
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | 1,571 | $ | 1,443 | 9 | % | $ | 3,140 | $ | 2,907 | 8 | % | ||||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Investment and brokerage services
|
2,378 | 2,195 | 8 | 4,756 | 4,303 | 11 | ||||||||||||||||||
All other income
|
541 | 551 | (2 | ) | 1,086 | 1,020 | 6 | |||||||||||||||||
Total noninterest income
|
2,919 | 2,746 | 6 | 5,842 | 5,323 | 10 | ||||||||||||||||||
Total revenue, net of interest expense
|
4,490 | 4,189 | 7 | 8,982 | 8,230 | 9 | ||||||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
72 | 122 | (41 | ) | 118 | 363 | (67 | ) | ||||||||||||||||
Noninterest expense
|
3,631 | 3,269 | 11 | 7,230 | 6,368 | 14 | ||||||||||||||||||
Income before income taxes
|
787 | 798 | (1 | ) | 1,634 | 1,499 | 9 | |||||||||||||||||
Income tax expense
(1)
|
281 | 469 | (40 | ) | 595 | 731 | (19 | ) | ||||||||||||||||
Net income
|
$ | 506 | $ | 329 | 54 | $ | 1,039 | $ | 768 | 35 | ||||||||||||||
|
||||||||||||||||||||||||
Net interest yield
(1)
|
2.34 | % | 2.42 | % | 2.32 | % | 2.49 | % | ||||||||||||||||
Return on average equity
|
11.54 | 7.27 | 11.80 | 8.61 | ||||||||||||||||||||
Return on average economic capital
(2, 3)
|
29.97 | 19.10 | 30.21 | 22.76 | ||||||||||||||||||||
Efficiency ratio
(1)
|
80.88 | 78.05 | 80.50 | 77.37 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total loans and leases
|
$ | 102,200 | $ | 98,811 | 3 | $ | 101,529 | $ | 98,826 | 3 | ||||||||||||||
Total earning assets
|
268,968 | 239,186 | 12 | 272,958 | 235,284 | 16 | ||||||||||||||||||
Total assets
|
289,050 | 259,801 | 11 | 293,170 | 256,510 | 14 | ||||||||||||||||||
Total deposits
|
255,219 | 226,276 | 13 | 256,859 | 223,956 | 15 | ||||||||||||||||||
Allocated equity
|
17,574 | 18,179 | (3 | ) | 17,755 | 18,002 | (1 | ) | ||||||||||||||||
Economic capital
(4)
|
6,868 | 7,380 | (7 | ) | 7,038 | 7,209 | (2 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period
end
|
2011 | 2010 | ||||||||||||||||||||||
Total loans and leases
|
$ | 102,878 | $ | 100,724 | 2 | |||||||||||||||||||
Total earning assets
|
263,867 | 275,260 | (4 | ) | ||||||||||||||||||||
Total assets
|
284,294 | 296,251 | (4 | ) | ||||||||||||||||||||
Total deposits
|
255,580 | 257,982 | (1 | ) | ||||||||||||||||||||
(1) | FTE basis | |
(2) |
Increases in ratios resulted from higher net income and a decrease in economic capital. Economic
capital decreased modestly due to improvements in interest rate risk due to changes in portfolio
composition.
|
|
(3) |
Return on average economic capital is calculated as net income, excluding cost of funds and
earnings credit on intangibles, divided by average economic capital.
|
|
(4) |
Economic capital represents allocated equity less goodwill and a percentage of intangible assets.
|
46
Migration Summary
|
||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Average
|
||||||||||||||||
Total deposits
GWIM
from / (to)
Deposits
|
$ | (2,087 | ) | $ | 2,016 | $ | (1,704 | ) | $ | 1,472 | ||||||
Total loans
GWIM
to
CRES
and the ALM portfolio
|
(184 | ) | (1,437 | ) | (93 | ) | (1,254 | ) | ||||||||
|
||||||||||||||||
Period end
|
||||||||||||||||
Total deposits
GWIM
from / (to)
Deposits
|
$ | 1,310 | $ | (652 | ) | $ | (2,053 | ) | $ | 2,031 | ||||||
Total loans
GWIM
to
CRES
and the ALM portfolio
|
(189 | ) | (75 | ) | (189 | ) | (1,430 | ) | ||||||||
47
Client Balances by Type
|
||||||||
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
Assets under management
|
$ | 660,928 | $ | 630,498 | ||||
Brokerage assets
|
1,066,078 | 1,077,049 | ||||||
Assets in custody
|
116,499 | 115,033 | ||||||
Deposits
|
255,580 | 257,982 | ||||||
Loans and leases
|
102,878 | 100,724 | ||||||
Total client balances
|
$ | 2,201,963 | $ | 2,181,286 | ||||
48
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income
(1)
|
$ | (167 | ) | $ | 77 | n/m | $ | (74 | ) | $ | 118 | n/m | ||||||||||||
Noninterest income:
|
||||||||||||||||||||||||
Equity investment income
|
1,139 | 2,253 | (49 | )% | 2,547 | 2,765 | (8 | )% | ||||||||||||||||
Gains on sales of debt securities
|
831 | 14 | n/m | 1,299 | 662 | 96 | ||||||||||||||||||
All other income (loss)
|
62 | 783 | (92 | ) | (780 | ) | 905 | n/m | ||||||||||||||||
Total noninterest income
|
2,032 | 3,050 | (33 | ) | 3,066 | 4,332 | (29 | ) | ||||||||||||||||
Total revenue, net of interest expense
|
1,865 | 3,127 | (40 | ) | 2,992 | 4,450 | (33 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Provision for credit losses
|
1,663 | 1,246 | 33 | 3,462 | 2,466 | 40 | ||||||||||||||||||
Merger and restructuring charges
|
159 | 508 | (69 | ) | 361 | 1,029 | (65 | ) | ||||||||||||||||
All other noninterest expense
|
157 | 605 | (74 | ) | 1,449 | 1,814 | (20 | ) | ||||||||||||||||
Income (loss) before income taxes
|
(114 | ) | 768 | n/m | (2,280 | ) | (859 | ) | (165 | ) | ||||||||||||||
Income tax expense (benefit)
(1)
|
102 | (355 | ) | n/m | (848 | ) | (1,192 | ) | 29 | |||||||||||||||
Net income (loss)
|
$ | (216 | ) | $ | 1,123 | n/m | $ | (1,432 | ) | $ | 333 | n/m | ||||||||||||
|
||||||||||||||||||||||||
Balance Sheet
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Average
|
||||||||||||||||||||||||
Total loans and leases
|
$ | 258,397 | $ | 257,322 | - | $ | 258,374 | $ | 256,742 | 1 | ||||||||||||||
Total assets
(2)
|
167,364 | 291,530 | (43 | ) | 183,289 | 300,395 | (39 | ) | ||||||||||||||||
Total deposits
|
46,684 | 64,709 | (28 | ) | 47,642 | 67,770 | (30 | ) | ||||||||||||||||
Allocated equity
(3)
|
73,244 | 29,091 | 152 | 67,030 | 24,475 | 174 | ||||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period
end
|
2011 | 2010 | ||||||||||||||||||||||
Total loans and leases
|
$ | 259,285 | $ | 254,516 | 2 | |||||||||||||||||||
Total assets
(2)
|
209,210 | 243,099 | (14 | ) | ||||||||||||||||||||
Total deposits
|
42,355 | 57,424 | (26 | ) | ||||||||||||||||||||
(1) | FTE basis | |
(2) |
Includes elimination of segments excess asset
allocations to match liabilities (i.e., deposits) of
$676.7 billion and $672.3 billion for the three and six
months ended June 30, 2011 compared to $611.2 billion
and $600.1 billion for the same periods in 2010, and
$629.6 billion and $647.3 billion at June 30, 2011 and
December 31, 2010.
|
|
(3) |
Represents the risk-based capital assigned to
All Other
as well as the remaining portion of equity not
specifically allocated to the segments. Allocated
equity increased due to excess capital not being
assigned to the business segments.
|
49
Equity Investments
|
||||||||
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
Global Principal Investments
|
$ | 10,805 | $ | 11,656 | ||||
Strategic and other investments
|
20,190 | 22,545 | ||||||
Total equity investments included in
All Other
|
$ | 30,995 | $ | 34,201 | ||||
Equity Investment Income
|
||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Global Principal Investments
|
$ | 399 | $ | 814 | $ | 1,764 | $ | 1,391 | ||||||||
Strategic and other investments
|
740 | 1,433 | 783 | 1,679 | ||||||||||||
Corporate Investments
|
| 6 | | (305 | ) | |||||||||||
Total equity investment income included in
All Other
|
1,139 | 2,253 | 2,547 | 2,765 | ||||||||||||
Total equity investment income included in the
business segments
|
73 | 513 | 140 | 626 | ||||||||||||
Total consolidated equity investment income
|
$ | 1,212 | $ | 2,766 | $ | 2,687 | $ | 3,391 | ||||||||
50
51
52
53
54
55
56
Overview of GSE Balances 2004-2008 Originations
|
||||||||||||||||
Legacy Originator | ||||||||||||||||
Percent of | ||||||||||||||||
(Dollars in billions)
|
Countrywide | Other | Total | total | ||||||||||||
Original funded balance
|
$ | 846 | $ | 272 | $ | 1,118 | ||||||||||
Principal payments
|
(431 | ) | (144 | ) | (575 | ) | ||||||||||
Defaults
|
(43 | ) | (6 | ) | (49 | ) | ||||||||||
Total outstanding balance at June 30, 2011
|
$ | 372 | $ | 122 | $ | 494 | ||||||||||
Outstanding principal balance 180 days or more past due (severely delinquent)
|
$ | 58 | $ | 13 | $ | 71 | ||||||||||
Defaults plus severely delinquent
|
101 | 19 | 120 | |||||||||||||
Payments made by borrower:
|
||||||||||||||||
Less than 13
|
$ | 15 | 13 | % | ||||||||||||
13-24
|
31 | 26 | ||||||||||||||
25-36
|
35 | 29 | ||||||||||||||
More than 36
|
39 | 32 | ||||||||||||||
Total payments made by borrower
|
$ | 120 | 100 | % | ||||||||||||
Outstanding GSE pipeline of representations and warranties claims (all vintages)
|
||||||||||||||||
As of December 31, 2010
|
$ | 2.8 | ||||||||||||||
As of June 30, 2011
|
5.1 | |||||||||||||||
Cumulative GSE representations and warranties losses (2004-2008 vintages)
|
$ | 7.8 | ||||||||||||||
57
Table 15
|
||||||||||||||||||||||||||||||||||||
Overview of Non-Agency Securitization and Whole Loan Balances
|
||||||||||||||||||||||||||||||||||||
(Dollars in billions)
|
Principal Balance | Defaulted or Severely Delinquent | ||||||||||||||||||||||||||||||||||
Outstanding | ||||||||||||||||||||||||||||||||||||
Outstanding | Principal | Defaulted | Borrower Made | Borrower Made | Borrower Made | Borrower Made | ||||||||||||||||||||||||||||||
Original | Principal Balance | Balance 180 Days | Defaulted | or Severely | less than 13 | 13 to 24 | 25 to 36 | more than 36 | ||||||||||||||||||||||||||||
By Entity
|
Principal Balance | June 30, 2011 | or More Past Due | Principal Balance | Delinquent | Payments | Payments | Payments | Payments | |||||||||||||||||||||||||||
Bank of America
|
$ | 100 | $ | 31 | $ | 5 | $ | 3 | $ | 8 | $ | 1 | $ | 2 | $ | 2 | $ | 3 | ||||||||||||||||||
Countrywide
(1)
|
716 | 271 | 87 | 90 | 177 | 24 | 45 | 47 | 61 | |||||||||||||||||||||||||||
Merrill Lynch
|
65 | 20 | 6 | 11 | 17 | 3 | 4 | 3 | 7 | |||||||||||||||||||||||||||
First Franklin
|
82 | 22 | 7 | 20 | 27 | 4 | 6 | 5 | 12 | |||||||||||||||||||||||||||
Total
(2, 3, 4)
|
$ | 963 | $ | 344 | $ | 105 | $ | 124 | $ | 229 | $ | 32 | $ | 57 | $ | 57 | $ | 83 | ||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
By Product
|
||||||||||||||||||||||||||||||||||||
Prime
|
$ | 302 | $ | 111 | $ | 17 | $ | 13 | $ | 30 | $ | 2 | $ | 6 | $ | 8 | $ | 14 | ||||||||||||||||||
Alt-A
|
172 | 76 | 21 | 25 | 46 | 7 | 12 | 12 | 15 | |||||||||||||||||||||||||||
Pay option
|
150 | 61 | 30 | 24 | 54 | 5 | 14 | 16 | 19 | |||||||||||||||||||||||||||
Subprime
|
245 | 78 | 36 | 46 | 82 | 16 | 19 | 17 | 30 | |||||||||||||||||||||||||||
Home equity
|
88 | 16 | - | 16 | 16 | 2 | 5 | 4 | 5 | |||||||||||||||||||||||||||
Other
|
6 | 2 | 1 | - | 1 | - | 1 | - | - | |||||||||||||||||||||||||||
Total
|
$ | 963 | $ | 344 | $ | 105 | $ | 124 | $ | 229 | $ | 32 | $ | 57 | $ | 57 | $ | 83 | ||||||||||||||||||
(1) | $409 billion of original principal balance is included in the BNY Mellon Settlement. | |
(2) | Includes $185 billion of original principal balance related to transactions with monoline participation. | |
(3) | Excludes transactions sponsored by Bank of America and Merrill Lynch where no representation or warranties were made. | |
(4) | Includes exposures on third-party sponsored transactions related to legacy entity originations. |
58
59
60
61
62
63
64
Table 16
|
||||||||||||||||||||||||
Regulatory Capital
|
||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Actual | Minimum | Actual | Minimum | |||||||||||||||||||||
(Dollars in millions)
|
Ratio | Amount | Required (1) | Ratio | Amount | Required (1) | ||||||||||||||||||
Tier 1 common equity ratio
|
8.23 | % | $ | 114,684 | n/a | 8.60 | % | $ | 125,139 | n/a | ||||||||||||||
Tier 1 capital ratio
|
11.00 | 153,134 | $ | 55,710 | 11.24 | 163,626 | $ | 58,238 | ||||||||||||||||
Total capital ratio
|
15.65 | 217,986 | 111,420 | 15.77 | 229,594 | 116,476 | ||||||||||||||||||
Tier 1 leverage ratio
|
6.86 | 153,134 | 89,337 | 7.21 | 163,626 | 90,811 |
June 30 | December 31 | |||||||
2011 | 2010 | |||||||
Risk-weighted assets (in billions)
|
$ | 1,393 | $ | 1,456 | ||||
Adjusted quarterly average total assets (in billions)
(2)
|
2,233 | 2,270 | ||||||
(1) | Dollar amount required to meet guidelines for adequately capitalized institutions. | |
(2) | Reflects adjusted average total assets for the three months ended June 30, 2011 and December 31, 2010. | |
n/a | = not applicable |
65
Table 17
|
||||||||
Capital Composition
|
||||||||
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
Total common shareholders equity
|
$ | 205,614 | $ | 211,686 | ||||
Goodwill
|
(71,074 | ) | (73,861 | ) | ||||
Nonqualifying intangible assets (includes core deposit intangibles, affinity relationships,
customer relationships and other intangibles)
|
(6,369 | ) | (6,846 | ) | ||||
Net unrealized gains on AFS debt and marketable equity securities and net losses on
derivatives recorded in accumulated OCI, net-of-tax
|
(4,825 | ) | (4,137 | ) | ||||
Unamortized net periodic benefit costs recorded in accumulated OCI, net-of-tax
|
3,809 | 3,947 | ||||||
Exclusion of fair value adjustment related to structured notes
(1)
|
3,219 | 2,984 | ||||||
Disallowed deferred tax asset
|
(16,572 | ) | (8,663 | ) | ||||
Other
|
882 | 29 | ||||||
Total Tier 1 common capital
|
114,684 | 125,139 | ||||||
Preferred stock
|
16,562 | 16,562 | ||||||
Trust preferred securities
|
21,513 | 21,451 | ||||||
Noncontrolling interest
|
375 | 474 | ||||||
Total Tier 1 capital
|
153,134 | 163,626 | ||||||
Long-term debt qualifying as Tier 2 capital
|
41,077 | 41,270 | ||||||
Allowance for loan and lease losses
|
37,312 | 41,885 | ||||||
Reserve for unfunded lending commitments
|
897 | 1,188 | ||||||
Allowance for loan and lease losses exceeding 1.25 percent of risk-weighted assets
|
(20,565 | ) | (24,690 | ) | ||||
45 percent of the pre-tax net unrealized gains on AFS marketable equity securities
|
4,692 | 4,777 | ||||||
Other
|
1,439 | 1,538 | ||||||
Total capital
|
$ | 217,986 | $ | 229,594 | ||||
(1) | Represents loss on structured notes, net-of-tax, that is excluded from Tier 1 common capital, Tier 1 capital and Total capital for regulatory capital purposes. |
66
Table 18 | |||||||||||||||||||||||||
Bank of America, N.A. and FIA Card Services, N.A. Regulatory Capital | |||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | ||||||||||||||||||||||||
Actual | Minimum | Actual | Minimum | ||||||||||||||||||||||
(Dollars in millions) | Ratio | Amount | Required (1) | Ratio | Amount | Required (1) | |||||||||||||||||||
Tier 1
|
|||||||||||||||||||||||||
Bank of America, N.A.
|
11.24 | % | $ | 118,886 | $ | 42,307 | 10.78 | % | $ | 114,345 | $ | 42,416 | |||||||||||||
FIA Card Services, N.A.
|
19.17 | 29,224 | 6,097 | 15.30 | 25,589 | 6,691 | |||||||||||||||||||
Total
|
|||||||||||||||||||||||||
Bank of America, N.A.
|
14.65 | 154,987 | 84,614 | 14.26 | 151,255 | 84,831 | |||||||||||||||||||
FIA Card Services, N.A.
|
20.70 | 31,545 | 12,193 | 16.94 | 28,343 | 13,383 | |||||||||||||||||||
Tier 1 leverage
|
|||||||||||||||||||||||||
Bank of America, N.A.
|
8.46 | 118,886 | 56,208 | 7.83 | 114,345 | 58,391 | |||||||||||||||||||
FIA Card Services, N.A.
|
15.56 | 29,224 | 7,511 | 13.21 | 25,589 | 7,748 | |||||||||||||||||||
(1) |
Dollar amount required to meet guidelines for adequately capitalized institutions.
|
67
Table 19 | ||||||||
Common Stock Cash Dividend Summary | ||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
May 11, 2011
|
June 3, 2011 | June 24, 2011 | $ | 0.01 | ||||
January 26, 2011
|
March 4, 2011 | March 25, 2011 | 0.01 | |||||
68
Table 20 | ||||||||||||||||||||||||
Preferred Stock Cash Dividend Summary | ||||||||||||||||||||||||
Outstanding | ||||||||||||||||||||||||
Notional | ||||||||||||||||||||||||
Amount | Per Annum | Dividend Per | ||||||||||||||||||||||
Preferred Stock | (in millions) | Declaration Date | Record Date | Payment Date | Dividend Rate | Share | ||||||||||||||||||
Series B
(1)
|
$ | 1 | May 11, 2011 | July 11, 2011 | July 25, 2011 | 7.00 | % | $ | 1.75 | |||||||||||||||
Series D
(2)
|
$ | 661 | July 5, 2011 | August 31, 2011 | September 14, 2011 | 6.204 | % | $ | 0.38775 | |||||||||||||||
Series E
(2)
|
$ | 487 | July 5, 2011 | July 29, 2011 | August 15, 2011 | Floating | $ | 0.25556 | ||||||||||||||||
Series H
(2)
|
$ | 2,862 | July 5, 2011 | July 15, 2011 | August 1, 2011 | 8.20 | % | $ | 0.51250 | |||||||||||||||
Series I
(2)
|
$ | 365 | July 5, 2011 | September 15, 2011 | October 3, 2011 | 6.625 | % | $ | 0.41406 | |||||||||||||||
Series J
(2)
|
$ | 978 | July 5, 2011 | July 15, 2011 | August 1, 2011 | 7.25 | % | $ | 0.45313 | |||||||||||||||
Series K
(3, 4)
|
$ | 1,668 | July 5, 2011 | July 15, 2011 | August 1, 2011 | Fixed-to-floating | $ | 40.00 | ||||||||||||||||
Series L
|
$ | 3,349 | June 17, 2011 | July 1, 2011 | August 1, 2011 | 7.25 | % | $ | 18.125 | |||||||||||||||
Series M
(3, 4)
|
$ | 1,434 | April 4, 2011 | April 30, 2011 | May 16, 2011 | Fixed-to-floating | $ | 40.625 | ||||||||||||||||
Series 1
(5)
|
$ | 146 | July 5, 2011 | August 15, 2011 | August 30, 2011 | Floating | $ | 0.19167 | ||||||||||||||||
Series 2
(5)
|
$ | 526 | July 5, 2011 | August 15, 2011 | August 30, 2011 | Floating | $ | 0.19167 | ||||||||||||||||
Series 3
(5)
|
$ | 670 | July 5, 2011 | August 15, 2011 | August 29, 2011 | 6.375 | % | $ | 0.39843 | |||||||||||||||
Series 4
(5)
|
$ | 389 | July 5, 2011 | August 15, 2011 | August 30, 2011 | Floating | $ | 0.25556 | ||||||||||||||||
Series 5
(5)
|
$ | 606 | July 5, 2011 | August 1, 2011 | August 22, 2011 | Floating | $ | 0.25556 | ||||||||||||||||
Series 6
(6)
|
$ | 65 | July 5, 2011 | September 15, 2011 | September 30, 2011 | 6.70 | % | $ | 0.41875 | |||||||||||||||
Series 7
(6)
|
$ | 17 | July 5, 2011 | September 15, 2011 | September 30, 2011 | 6.25 | % | $ | 0.39062 | |||||||||||||||
Series 8
(5)
|
$ | 2,673 | July 5, 2011 | August 15, 2011 | August 29, 2011 | 8.625 | % | $ | 0.53906 | |||||||||||||||
(1) |
Dividends are cumulative.
|
|
(2) |
Dividends per depositary share, each representing a 1/1,000
th
interest in a share of preferred stock.
|
|
(3) |
Initially pays dividends semi-annually.
|
|
(4) |
Dividends per depositary share, each representing a 1/25
th
interest in a share of preferred stock.
|
|
(5) |
Dividends per depositary share, each representing a 1/1,200
th
interest in a share of preferred stock.
|
|
(6) |
Dividends per depositary share, each representing a 1/40
th
interest in a share of preferred stock.
|
69
Table 21 | ||||||||||||
Global Excess Liquidity Sources | ||||||||||||
Average for | ||||||||||||
Three Months Ended | ||||||||||||
June 30 | December 31 | June 30 | ||||||||||
(Dollars in billions) | 2011 | 2010 | 2011 | |||||||||
Parent company
|
$ | 119 | $ | 121 | $ | 121 | ||||||
Bank subsidiaries
|
243 | 180 | 236 | |||||||||
Broker/dealers
|
40 | 35 | 45 | |||||||||
Total Global Excess Liquidity Sources
|
$ | 402 | $ | 336 | $ | 402 | ||||||
Table 22 | ||||||||
Global Excess Liquidity Sources Composition | ||||||||
June 30 | December 31 | |||||||
(Dollars in billions) | 2011 | 2010 | ||||||
Cash on deposit
|
$ | 85 | $ | 80 | ||||
U.S. treasuries
|
63 | 65 | ||||||
U.S. agency securities and mortgage-backed securities
|
231 | 174 | ||||||
Non-U.S. government securities
|
23 | 17 | ||||||
Total Global Excess Liquidity Sources
|
$ | 402 | $ | 336 | ||||
70
71
Table 23 | ||||||||||||||||||||||||||||||||
Short-term Borrowings | ||||||||||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||||||
Amount | Rate | Amount | Rate | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Average during period
|
||||||||||||||||||||||||||||||||
Federal funds purchased
|
$ | 1,798 | $ | 6,585 | 0.06 | % | 0.14 | % | $ | 2,365 | $ | 5,508 | 0.09 | % | 0.12 | % | ||||||||||||||||
Securities loaned or sold under agreements to repurchase
|
274,875 | 376,973 | 1.52 | 0.66 | 289,096 | 394,221 | 1.34 | 0.61 | ||||||||||||||||||||||||
Commercial paper
|
14,166 | 26,641 | 0.76 | 0.58 | 16,305 | 30,351 | 0.74 | 0.50 | ||||||||||||||||||||||||
Other short-term borrowings
|
47,853 | 43,852 | 2.30 | 2.09 | 47,276 | 50,961 | 2.34 | 1.75 | ||||||||||||||||||||||||
Total
|
$ | 338,692 | $ | 454,051 | 1.59 | 0.79 | $ | 355,042 | $ | 481,041 | 1.43 | 0.72 | ||||||||||||||||||||
Maximum month-end balance during period
|
||||||||||||||||||||||||||||||||
Federal funds purchased
|
$ | 1,622 | $ | 7,636 | $ | 4,133 | $ | 8,320 | ||||||||||||||||||||||||
Securities loaned or sold under agreements to repurchase
|
284,944 | 433,135 | 293,519 | 458,532 | ||||||||||||||||||||||||||||
Commercial paper
|
17,423 | 28,052 | 21,212 | 36,236 | ||||||||||||||||||||||||||||
Other short-term borrowings
|
47,087 | 56,742 | 47,087 | 63,081 | ||||||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||||||||||
Amount | Rate | Amount | Rate | |||||||||||||||||||||||||||||
Period-end balance
|
||||||||||||||||||||||||||||||||
Federal funds purchased
|
$ | 1,414 | 0.05 | % | $ | 1,458 | 0.14 | % | ||||||||||||||||||||||||
Securities loaned or sold under agreements to repurchase
|
238,107 | 1.33 | 243,901 | 1.15 | ||||||||||||||||||||||||||||
Commercial paper
|
6,177 | 1.73 | 15,093 | 0.65 | ||||||||||||||||||||||||||||
Other short-term borrowings
|
44,455 | 2.53 | 44,869 | 2.02 | ||||||||||||||||||||||||||||
Total
|
$ | 290,153 | 1.68 | $ | 305,321 | 1.27 | ||||||||||||||||||||||||||
72
Table 24 | ||||||||||||||||||||||||||||
Long-term Debt By Maturity | ||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2012 | 2013 | 2014 | 2015 | Thereafter | Total | |||||||||||||||||||||
Bank of America Corporation
|
$ | 8,519 | $ | 43,760 | $ | 9,538 | $ | 19,668 | $ | 13,814 | $ | 96,020 | $ | 191,319 | ||||||||||||||
Merrill Lynch & Co., Inc. and subsidiaries
|
17,514 | 21,484 | 18,502 | 19,251 | 4,804 | 43,331 | 124,886 | |||||||||||||||||||||
Bank of America, N.A. and other subsidiaries
|
26 | 4,777 | - | 35 | 690 | 8,556 | 14,084 | |||||||||||||||||||||
Other debt
|
8,271 | 13,960 | 4,967 | 1,754 | 422 | 2,251 | 31,625 | |||||||||||||||||||||
Total long-term debt excluding consolidated VIEs
|
34,330 | 83,981 | 33,007 | 40,708 | 19,730 | 150,158 | 361,914 | |||||||||||||||||||||
Long-term debt of consolidated VIEs
|
8,812 | 11,377 | 16,524 | 10,476 | 1,219 | 16,337 | 64,745 | |||||||||||||||||||||
Total long-term debt
|
$ | 43,142 | $ | 95,358 | $ | 49,531 | $ | 51,184 | $ | 20,949 | $ | 166,495 | $ | 426,659 | ||||||||||||||
Table 25 | ||||||||
Long-term Debt By Major Currency | ||||||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
U.S. Dollar
|
$ | 283,594 | $ | 302,487 | ||||
Euros
|
86,252 | 87,482 | ||||||
Japanese Yen
|
19,807 | 19,901 | ||||||
British Pound
|
15,312 | 16,505 | ||||||
Canadian Dollar
|
6,647 | 6,628 | ||||||
Australian Dollar
|
5,617 | 6,924 | ||||||
Swiss Franc
|
4,363 | 3,069 | ||||||
Other
|
5,067 | 5,435 | ||||||
Total long-term debt
|
$ | 426,659 | $ | 448,431 | ||||
73
74
75
76
Table 26 | ||||||||||||||||
Consumer Loans | ||||||||||||||||
Countrywide Purchased | ||||||||||||||||
Credit-impaired Loan | ||||||||||||||||
Outstandings | Portfolio | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Residential mortgage
(1)
|
$ | 266,333 | $ | 257,973 | $ | 10,224 | $ | 10,592 | ||||||||
Home equity
|
130,654 | 137,981 | 12,315 | 12,590 | ||||||||||||
Discontinued real estate
(2)
|
12,003 | 13,108 | 10,877 | 11,652 | ||||||||||||
U.S. credit card
|
104,659 | 113,785 | n/a | n/a | ||||||||||||
Non-U.S. credit card
|
26,037 | 27,465 | n/a | n/a | ||||||||||||
Direct/Indirect consumer
(3)
|
90,258 | 90,308 | n/a | n/a | ||||||||||||
Other consumer
(4)
|
2,762 | 2,830 | n/a | n/a | ||||||||||||
Consumer loans excluding loans accounted for under the fair value option
|
632,706 | 643,450 | 33,416 | 34,834 | ||||||||||||
Loans accounted for under the fair value option
(5)
|
5,194 | n/a | n/a | n/a | ||||||||||||
Total consumer loans
|
$ | 637,900 | $ | 643,450 | $ | 33,416 | $ | 34,834 | ||||||||
(1) |
Outstandings include non-U.S. residential mortgages of $90 million at both June 30, 2011 and December 31, 2010.
|
|
(2) |
Outstandings include $10.7 billion and $11.8 billion of pay option loans at June 30, 2011 and December 31, 2010, and $1.3 billion of subprime loans at both June 30, 2011 and December 31, 2010. We no longer originate these products.
|
|
(3) |
Outstandings include dealer financial services loans of $42.1 billion and $43.3 billion, consumer lending loans of $9.9 billion and $12.4 billion, U.S. securities-based lending margin loans of $21.3 billion and $16.6 billion, student loans of $6.3 billion and $6.8 billion, non-U.S. consumer loans of $8.7 billion and $8.0 billion and other consumer loans of $2.0 billion and $3.2 billion at June 30, 2011
and December 31, 2010, respectively.
|
|
(4) |
Outstandings include consumer finance loans of $1.8 billion and $1.9 billion at June 30, 2011 and December 31, 2010. Outstandings also include other non-U.S. consumer loans of $866 million and $803 million and consumer overdrafts of $104 million and $88 million at June 30, 2011 and December 31, 2010.
|
|
(5) |
Consumer loans accounted for under the fair value option
include residential mortgage loans of $1.2 billion and discontinued real estate loans of $4.0 billion at
June 30, 2011. There were no consumer loans accounted for under the fair value option at December 31, 2010.
See Consumer Loans Accounted for Under the Fair Value Option on page 90 and
Note 17 Fair Value Option
to
the Consolidated Financial Statements for additional information on the fair value option.
|
|
n/a = not applicable
|
77
Table 27 | ||||||||||||||||
Consumer Credit Quality | ||||||||||||||||
Accruing Past Due 90 Days or More | Nonperforming | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Residential mortgage
(1, 2)
|
$ | 20,047 | $ | 16,768 | $ | 16,726 | $ | 17,691 | ||||||||
Home equity
(1)
|
- | - | 2,345 | 2,694 | ||||||||||||
Discontinued real estate
(1)
|
- | - | 324 | 331 | ||||||||||||
U.S. credit card
|
2,413 | 3,320 | n/a | n/a | ||||||||||||
Non-U.S. credit card
|
607 | 599 | n/a | n/a | ||||||||||||
Direct/Indirect consumer
|
810 | 1,058 | 58 | 90 | ||||||||||||
Other consumer
|
3 | 2 | 25 | 48 | ||||||||||||
Total
(3)
|
$ | 23,880 | $ | 21,747 | $ | 19,478 | $ | 20,854 | ||||||||
Consumer loans as a percentage of outstanding consumer loans
(4)
|
3.77 | % | 3.38 | % | 3.08 | % | 3.24 | % | ||||||||
Consumer loans excluding Countrywide PCI and fully-insured loan portfolios as a
percentage of outstanding loans
(4)
|
0.75 | 0.92 | 3.80 | 3.85 | ||||||||||||
(1) |
Our policy is to classify consumer real estate-secured loans as nonperforming at 90 days past due, except the Countrywide PCI and fully-insured loan portfolios and loans accounted for under the fair value option as referenced in footnote 2.
|
|
(2) |
Balances accruing past due 90 days or more are fully-insured loans. These balances include $15.7 billion and $8.3 billion of loans on which interest has been curtailed by the FHA, and therefore are no longer accruing interest, although principal is still insured and $4.3 billion and $8.5 billion of loans on which interest is still accruing at June 30, 2011 and December 31, 2010.
|
|
(3) |
Balances exclude consumer
loans accounted for under the fair value option at June 30, 2011. At June 30, 2011, there were no loans accounted for under fair value option accruing past due 90 days or more and approximately $2.3 billion that were nonperforming. There were no consumer loans accounted for under the fair value option at December 31, 2010.
|
|
(4) |
Outstanding consumer loans exclude loans accounted for under the fair value option.
|
|
n/a = not applicable
|
Table 28 | ||||||||||||||||||||||||||||||||
Consumer Net Charge-offs and Related Ratios | ||||||||||||||||||||||||||||||||
Net Charge-offs | Net Charge-off Ratios (1) | |||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Residential mortgage
|
$ | 1,104 | $ | 971 | $ | 2,009 | $ | 2,040 | 1.67 | % | 1.57 | % | 1.54 | % | 1.67 | % | ||||||||||||||||
Home equity
|
1,263 | 1,741 | 2,442 | 4,138 | 3.84 | 4.71 | 3.68 | 5.55 | ||||||||||||||||||||||||
Discontinued real estate
|
26 | 19 | 46 | 40 | 0.84 | 0.54 | 0.73 | 0.57 | ||||||||||||||||||||||||
U.S. credit card
|
1,931 | 3,517 | 4,205 | 7,480 | 7.29 | 11.88 | 7.85 | 12.36 | ||||||||||||||||||||||||
Non-U.S. credit card
|
429 | 942 | 831 | 1,573 | 6.31 | 13.64 | 6.11 | 11.02 | ||||||||||||||||||||||||
Direct/Indirect consumer
|
366 | 879 | 891 | 1,988 | 1.64 | 3.58 | 2.00 | 4.02 | ||||||||||||||||||||||||
Other consumer
|
43 | 73 | 83 | 131 | 6.44 | 10.01 | 6.19 | 8.90 | ||||||||||||||||||||||||
Total
|
$ | 5,162 | $ | 8,142 | $ | 10,507 | $ | 17,390 | 3.27 | 4.96 | 3.32 | 5.28 | ||||||||||||||||||||
(1) |
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans excluding loans accounted for under the fair value option.
|
78
|
Discontinued real estate loans (e.g., subprime and pay option)
|
||
|
Residential mortgage loans and home equity loans for products we no longer originate
(e.g., reduced document loans and interest-only loans not underwritten to fully amortizing
payment)
|
||
|
Loans that would not have been originated under our underwriting standards at December
31, 2010 (e.g., conventional loans with an original loan-to-value (LTV) greater than 95
percent and government-insured loans for which the borrower has a FICO score less than
620)
|
||
|
Countrywide PCI loan portfolios
|
||
|
Certain loans that met a pre-defined delinquency and probability of default threshold
as of January 1, 2011
|
Table 29 | ||||||||||||||||||||||||
Home Loans Portfolio | ||||||||||||||||||||||||
Outstandings | Nonperforming | Net Charge-offs | ||||||||||||||||||||||
June 30, 2011 | ||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | Three Months | Six Months | |||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | Ended | Ended | ||||||||||||||||||
Core portfolio
|
||||||||||||||||||||||||
Residential mortgage
|
$ | 175,552 | $ | 166,927 | $ | 1,670 | $ | 1,510 | $ | 34 | $ | 57 | ||||||||||||
Home equity
|
69,171 | 71,519 | 261 | 107 | 100 | 148 | ||||||||||||||||||
Legacy Asset Servicing owned portfolio
|
||||||||||||||||||||||||
Residential mortgage
(1)
|
90,781 | 91,046 | 15,056 | 16,181 | 1,070 | 1,952 | ||||||||||||||||||
Home equity
|
61,483 | 66,462 | 2,084 | 2,587 | 1,163 | 2,294 | ||||||||||||||||||
Discontinued real estate
(1)
|
12,003 | 13,108 | 324 | 331 | 26 | 46 | ||||||||||||||||||
Home loans portfolio
|
||||||||||||||||||||||||
Residential mortgage
|
266,333 | 257,973 | 16,726 | 17,691 | 1,104 | 2,009 | ||||||||||||||||||
Home equity
|
130,654 | 137,981 | 2,345 | 2,694 | 1,263 | 2,442 | ||||||||||||||||||
Discontinued real estate
|
12,003 | 13,108 | 324 | 331 | 26 | 46 | ||||||||||||||||||
Total home loans portfolio
|
$ | 408,990 | $ | 409,062 | $ | 19,395 | $ | 20,716 | $ | 2,393 | $ | 4,497 | ||||||||||||
(1) |
Balances exclude consumer loans accounted for under the fair value option of residential mortgage loans of $1.2 billion
and discontinued real estate loans of $4.0 billion at June 30, 2011. There were no consumer loans accounted for under
the fair value option at December 31, 2010. See
Note 17 Fair Value Option
to the Consolidated Financial Statements
for additional information on the fair value option.
|
79
80
Excluding Countrywide | ||||||||||||||||
Purchased Credit-impaired | ||||||||||||||||
Reported Basis (1) | and Fully-insured Loans | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Outstandings
|
$ | 266,333 | $ | 257,973 | $ | 169,865 | $ | 180,136 | ||||||||
Accruing past due 30 days or more
|
28,091 | 24,267 | 4,289 | 5,117 | ||||||||||||
Accruing past due 90 days or more
|
20,047 | 16,768 | n/a | n/a | ||||||||||||
Nonperforming loans
|
16,726 | 17,691 | 16,726 | 17,691 | ||||||||||||
Percent of portfolio
|
||||||||||||||||
Refreshed LTV greater than 90 but less than 100
|
14 | % | 15 | % | 11 | % | 11 | % | ||||||||
Refreshed LTV greater than 100
|
37 | 32 | 27 | 24 | ||||||||||||
Refreshed FICO below 620
|
22 | 20 | 15 | 15 | ||||||||||||
2006 and 2007 vintages
(2)
|
29 | 32 | 38 | 40 | ||||||||||||
Excluding Countrywide Purchased Credit-impaired and | ||||||||||||||||||||||||||||||||
Reported Basis | Fully-insured Loans | |||||||||||||||||||||||||||||||
Three Months Ended
June 30 |
Six Months Ended
June 30 |
Three Months Ended
June 30 |
Six Months Ended
June 30 |
|||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Net charge-off
ratio
(3)
|
1.67 | % | 1.57 | % | 1.54 | % | 1.67 | % | 2.58 | % | 1.90 | % | 2.33 | % | 1.98 | % | ||||||||||||||||
(1) |
Outstandings, accruing past due, nonperforming loans and percentages of
portfolio exclude loans accounted for under the fair value option at June 30, 2011. There were no
residential mortgage loans accounted for under the fair value option at December 31, 2010. See
Note 17 Fair Value Option
to the Consolidated Financial Statements for additional information
on the fair value option.
|
|
(2) |
These vintages of loans account for 65 percent and 67 percent of nonperforming
residential mortgage loans at June 30, 2011 and December 31, 2010. These vintages of loans
accounted for 73 percent and 74 percent of residential mortgage net charge-offs during the three
and six months ended June 30, 2011 and 80 percent for both the three and six months ended June 30,
2010.
|
|
(3) |
Net charge-off ratios are calculated as annualized net charge-offs divided by
average outstanding loans, excluding loans accounted for under the fair value option.
|
|
n/a = not applicable |
81
Outstandings (1) | Nonperforming (1) | Net Charge-offs | ||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | June 30 | |||||||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California
|
$ | 58,638 | $ | 63,677 | $ | 6,004 | $ | 6,389 | $ | 365 | $ | 407 | $ | 673 | $ | 887 | ||||||||||||||||
Florida
|
12,983 | 13,298 | 1,999 | 2,054 | 186 | 135 | 342 | 295 | ||||||||||||||||||||||||
New York
|
11,850 | 12,198 | 759 | 772 | 37 | 23 | 56 | 21 | ||||||||||||||||||||||||
Texas
|
8,155 | 8,466 | 465 | 492 | 14 | 11 | 26 | 20 | ||||||||||||||||||||||||
Virginia
|
6,145 | 6,441 | 419 | 450 | 23 | 17 | 37 | 41 | ||||||||||||||||||||||||
Other U.S./Non-U.S.
|
72,094 | 76,056 | 7,080 | 7,534 | 479 | 378 | 875 | 776 | ||||||||||||||||||||||||
Residential mortgage loans
(2)
|
$ | 169,865 | $ | 180,136 | $ | 16,726 | $ | 17,691 | $ | 1,104 | $ | 971 | $ | 2,009 | $ | 2,040 | ||||||||||||||||
Fully-insured loan portfolio
|
86,244 | 67,245 | ||||||||||||||||||||||||||||||
Countrywide purchased credit-impaired
residential mortgage loan portfolio
|
10,224 | 10,592 | ||||||||||||||||||||||||||||||
Total residential mortgage loan
portfolio
|
$ | 266,333 | $ | 257,973 | ||||||||||||||||||||||||||||
(1) |
Outstandings and nonperforming amounts exclude loans accounted for under the
fair value option at June 30, 2011. There were no residential mortgage loans accounted for under
the fair value option at December 31, 2010. See
Note 17 Fair Value Option
to the Consolidated
Financial Statements for additional information on the fair value option.
|
|
(2) |
Amount excludes the Countrywide PCI residential mortgage and fully-insured loan
portfolios.
|
82
Excluding Countrywide Purchased | ||||||||||||||||
Reported Basis | Credit-impaired Loans | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars
in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Outstandings
|
$ | 130,654 | $ | 137,981 | $ | 118,339 | $ | 125,391 | ||||||||
Accruing past due 30 days or more
(1)
|
1,681 | 1,929 | 1,681 | 1,929 | ||||||||||||
Nonperforming loans
(1)
|
2,345 | 2,694 | 2,345 | 2,694 | ||||||||||||
Percent of portfolio
|
||||||||||||||||
Refreshed combined loan-to-value greater than 90 but less than 100
|
11 | % | 11 | % | 11 | % | 11 | % | ||||||||
Refreshed combined loan-to-value greater than 100
|
39 | 34 | 36 | 30 | ||||||||||||
Refreshed FICO below 620
|
13 | 14 | 12 | 12 | ||||||||||||
2006 and 2007 vintages
(2)
|
50 | 50 | 47 | 47 | ||||||||||||
Reported Basis | Excluding Countrywide Purchased Credit-impaired Loans | |||||||||||||||||||||||||||||||
Three Months Ended
June 30 |
Six Months Ended
June 30 |
Three Months Ended
June 30 |
Six Months Ended
June 30 |
|||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Net charge-off
ratio
(3)
|
3.84 | % | 4.71 | % | 3.68 | % | 5.55 | % | 4.24 | % | 5.17 | % | 4.05 | % | 6.08 | % | ||||||||||||||||
(1) |
Accruing past due 30 days or more include $698 million and $662 million and
nonperforming loans include $715 million and $480 million of loans where we service the underlying
first-lien at June 30, 2011 and December 31, 2010.
|
|
(2) |
These vintages of loans have higher refreshed consumer LTV ratios and accounted for
55 percent and 57 percent of nonperforming home equity loans at June 30, 2011 and December 31,
2010. These vintages of loans accounted for 65 percent and 66 percent of net charge-offs for the
three and six months ended June 30, 2011 and 65 percent for both the three and six months ended
June 30, 2010.
|
|
(3) |
Net charge-off ratios are calculated as annualized net charge-offs divided by
average outstanding loans.
|
83
84
Outstandings | Nonperforming | Net Charge-offs | ||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | June 30 | |||||||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California
|
$ | 33,861 | $ | 35,426 | $ | 623 | $ | 708 | $ | 409 | $ | 601 | $ | 777 | $ | 1,472 | ||||||||||||||||
Florida
|
14,175 | 15,028 | 389 | 482 | 247 | 371 | 486 | 885 | ||||||||||||||||||||||||
New Jersey
|
7,763 | 8,153 | 159 | 169 | 48 | 60 | 90 | 130 | ||||||||||||||||||||||||
New York
|
7,693 | 8,061 | 224 | 246 | 57 | 80 | 110 | 165 | ||||||||||||||||||||||||
Massachusetts
|
5,142 | 5,657 | 63 | 71 | 22 | 25 | 42 | 61 | ||||||||||||||||||||||||
Other U.S./Non-U.S.
|
49,705 | 53,066 | 887 | 1,018 | 480 | 604 | 937 | 1,425 | ||||||||||||||||||||||||
Home equity loans
(1)
|
$ | 118,339 | $ | 125,391 | $ | 2,345 | $ | 2,694 | $ | 1,263 | $ | 1,741 | $ | 2,442 | $ | 4,138 | ||||||||||||||||
Countrywide purchased
credit-impaired home
equity portfolio
|
12,315 | 12,590 | ||||||||||||||||||||||||||||||
Total home equity loan
portfolio
|
$ | 130,654 | $ | 137,981 | ||||||||||||||||||||||||||||
(1) | Amount excludes the Countrywide PCI home equity portfolio. |
85
June 30, 2011 | ||||||||||||||||||||
Carrying | ||||||||||||||||||||
Unpaid | Related | Value Net of | % of Unpaid | |||||||||||||||||
Principal | Carrying | Valuation | Valuation | Principal | ||||||||||||||||
(Dollars in millions)
|
Balance | Value | Allowance | Allowance | Balance | |||||||||||||||
Residential mortgage
|
$ | 10,911 | $ | 10,224 | $ | 1,245 | $ | 8,979 | 82.29 | % | ||||||||||
Home equity
|
13,940 | 12,315 | 5,075 | 7,240 | 51.94 | |||||||||||||||
Discontinued real estate
|
13,637 | 10,877 | 1,919 | 8,958 | 65.69 | |||||||||||||||
Total
Countrywide
purchased
credit-impaired
loan portfolio
|
$ | 38,488 | $ | 33,416 | $ | 8,239 | $ | 25,177 | 65.42 | % | ||||||||||
December 31, 2010 | ||||||||||||||||||||
Residential mortgage
|
$ | 11,481 | $ | 10,592 | $ | 663 | $ | 9,929 | 86.48 | % | ||||||||||
Home equity
|
15,072 | 12,590 | 4,467 | 8,123 | 53.89 | |||||||||||||||
Discontinued real estate
|
14,893 | 11,652 | 1,204 | 10,448 | 70.15 | |||||||||||||||
Total
Countrywide
purchased
credit-impaired
loan portfolio
|
$ | 41,446 | $ | 34,834 | $ | 6,334 | $ | 28,500 | 68.76 | % | ||||||||||
(1) |
Certain PCI loans that were originally classified as discontinued real estate
loans upon acquisition have been subsequently modified and are now included in the residential
mortgage outstandings along with the related valuation allowance.
|
86
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
California
|
$ | 5,689 | $ | 5,882 | ||||
Florida
|
741 | 779 | ||||||
Virginia
|
555 | 579 | ||||||
Maryland
|
264 | 271 | ||||||
Texas
|
154 | 164 | ||||||
Other U.S./Non-U.S.
|
2,821 | 2,917 | ||||||
Total Countrywide purchased credit-impaired residential mortgage loan portfolio
|
$ | 10,224 | $ | 10,592 | ||||
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
California
|
$ | 4,063 | $ | 4,178 | ||||
Florida
|
743 | 750 | ||||||
Virginia
|
515 | 532 | ||||||
Arizona
|
510 | 520 | ||||||
Colorado
|
361 | 375 | ||||||
Other U.S./Non-U.S.
|
6,123 | 6,235 | ||||||
Total Countrywide purchased credit-impaired home equity portfolio
|
$ | 12,315 | $ | 12,590 | ||||
87
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
California
|
$ | 5,866 | $ | 6,322 | ||||
Florida
|
1,043 | 1,121 | ||||||
Washington
|
350 | 368 | ||||||
Virginia
|
314 | 344 | ||||||
Arizona
|
297 | 339 | ||||||
Other U.S./Non-U.S.
|
3,007 | 3,158 | ||||||
Total Countrywide purchased credit-impaired discontinued real estate loan portfolio
|
$ | 10,877 | $ | 11,652 | ||||
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
Outstandings
|
$ | 104,659 | $ | 113,785 | ||||
Accruing past due 30 days
or more
|
4,263 | 5,913 | ||||||
Accruing past due 90 days
or more
|
2,413 | 3,320 | ||||||
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net charge-offs
|
||||||||||||||||
Amount
|
$ | 1,931 | $ | 3,517 | $ | 4,205 | $ | 7,480 | ||||||||
Ratios
(1)
|
7.29 | % | 11.88 | % | 7.85 | % | 12.36 | % | ||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases. |
Accruing Past Due | ||||||||||||||||||||||||||||||||
Outstandings | 90 Days or More | Net Charge-offs | ||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California
|
$ | 15,507 | $ | 17,028 | $ | 426 | $ | 612 | $ | 372 | $ | 740 | $ | 822 | $ | 1,583 | ||||||||||||||||
Florida
|
8,196 | 9,121 | 257 | 376 | 225 | 442 | 496 | 956 | ||||||||||||||||||||||||
Texas
|
7,007 | 7,581 | 146 | 207 | 113 | 213 | 249 | 456 | ||||||||||||||||||||||||
New York
|
6,318 | 6,862 | 141 | 192 | 107 | 184 | 231 | 387 | ||||||||||||||||||||||||
New Jersey
|
4,233 | 4,579 | 100 | 132 | 72 | 119 | 157 | 252 | ||||||||||||||||||||||||
Other U.S.
|
63,398 | 68,614 | 1,343 | 1,801 | 1,042 | 1,819 | 2,250 | 3,846 | ||||||||||||||||||||||||
Total U.S. credit card
portfolio
|
$ | 104,659 | $ | 113,785 | $ | 2,413 | $ | 3,320 | $ | 1,931 | $ | 3,517 | $ | 4,205 | $ | 7,480 | ||||||||||||||||
88
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
Outstandings
|
$ | 26,037 | $ | 27,465 | ||||
Accruing past due 30 days
or more
|
1,215 | 1,354 | ||||||
Accruing past due 90 days
or more
|
607 | 599 | ||||||
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net charge-offs
|
||||||||||||||||
Amount
|
$ | 429 | $ | 942 | $ | 831 | $ | 1,573 | ||||||||
Ratio
(1)
|
6.31 | % | 13.64 | % | 6.11 | % | 11.02 | % | ||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases. |
89
Outstandings |
Accruing Past Due 90
Days or More |
Net Charge-offs | ||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California
|
$ | 11,149 | $ | 10,558 | $ | 96 | $ | 132 | $ | 54 | $ | 154 | $ | 136 | $ | 361 | ||||||||||||||||
Texas
|
7,876 | 7,885 | 57 | 78 | 25 | 67 | 70 | 155 | ||||||||||||||||||||||||
Florida
|
7,045 | 6,725 | 58 | 80 | 30 | 90 | 84 | 208 | ||||||||||||||||||||||||
New York
|
5,148 | 4,770 | 44 | 56 | 22 | 49 | 49 | 106 | ||||||||||||||||||||||||
Georgia
|
2,802 | 2,814 | 39 | 44 | 14 | 33 | 35 | 75 | ||||||||||||||||||||||||
Other U.S./Non-U.S.
|
56,238 | 57,556 | 516 | 668 | 221 | 486 | 517 | 1,083 | ||||||||||||||||||||||||
Total
direct/indirect
loan portfolio
|
$ | 90,258 | $ | 90,308 | $ | 810 | $ | 1,058 | $ | 366 | $ | 879 | $ | 891 | $ | 1,988 | ||||||||||||||||
90
91
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Nonperforming loans
|
||||||||||||||||
Balance, beginning of period
|
$ | 20,456 | $ | 21,557 | $ | 20,854 | $ | 20,839 | ||||||||
Additions to nonperforming loans:
|
||||||||||||||||
New nonaccrual loans
(2)
|
4,044 | 5,409 | 8,171 | 12,465 | ||||||||||||
Reductions in nonperforming loans:
|
||||||||||||||||
Paydowns and payoffs
|
(1,003 | ) | (528 | ) | (1,782 | ) | (1,153 | ) | ||||||||
Returns to performing status
(3)
|
(1,311 | ) | (1,816 | ) | (2,651 | ) | (4,337 | ) | ||||||||
Charge-offs
(4)
|
(2,300 | ) | (2,607 | ) | (4,320 | ) | (5,524 | ) | ||||||||
Transfers to foreclosed properties
|
(408 | ) | (331 | ) | (794 | ) | (606 | ) | ||||||||
Total net additions (reductions) to nonperforming loans
|
(978 | ) | 127 | (1,376 | ) | 845 | ||||||||||
Total nonperforming loans, end of period
(5)
|
19,478 | 21,684 | 19,478 | 21,684 | ||||||||||||
Foreclosed properties
|
||||||||||||||||
Balance, beginning of period
|
1,331 | 1,388 | 1,249 | 1,428 | ||||||||||||
Additions to foreclosed properties:
|
||||||||||||||||
New foreclosed properties
(6)
|
930 | 847 | 1,536 | 1,396 | ||||||||||||
Reductions in foreclosed properties:
|
||||||||||||||||
Sales
|
(416 | ) | (453 | ) | (875 | ) | (996 | ) | ||||||||
Write-downs
|
(48 | ) | (38 | ) | (113 | ) | (84 | ) | ||||||||
Total net additions to foreclosed properties
|
466 | 356 | 548 | 316 | ||||||||||||
Total foreclosed properties, end of period
|
1,797 | 1,744 | 1,797 | 1,744 | ||||||||||||
Nonperforming consumer loans and foreclosed properties,
end of period
|
$ | 21,275 | $ | 23,428 | $ | 21,275 | $ | 23,428 | ||||||||
Nonperforming consumer loans as a percentage of outstanding consumer loans
(7)
|
3.08 | % | 3.34 | % | ||||||||||||
Nonperforming consumer loans and foreclosed properties as a percentage of outstanding
consumer loans and foreclosed properties
(7)
|
3.35 | 3.60 | ||||||||||||||
(1) |
Balances do not include nonperforming LHFS of $835 million and $1.3 billion at June
30, 2011 and 2010.
|
|
(2) |
The six months ended June 30, 2010 includes $448 million of nonperforming loans as
a result of the consolidation of variable interest entities.
|
|
(3) |
Consumer loans may be returned to performing status when all principal and interest
is current and full repayment of the remaining contractual principal and interest is expected, or
when the loan otherwise becomes well-secured and is in the process of collection. Certain TDRs are
classified as nonperforming at the time of restructure and may only be returned to performing
status after considering the borrowers sustained repayment performance for a reasonable period,
generally six months.
|
|
(4) |
Our policy is not to classify consumer credit card and consumer loans not secured
by real estate as nonperforming; therefore, the charge-offs on these loans have no impact on
nonperforming activity and accordingly are excluded from this table.
|
|
(5) |
At June 30, 2011, 68 percent of nonperforming loans 180 days or more past due and
were written down through charge-offs to 67 percent of the unpaid principal balance.
|
|
(6) |
Our policy is to record any losses in the value of foreclosed properties as a
reduction in the allowance for loan and lease losses during the first 90 days after transfer of a
loan into foreclosed properties. Thereafter, all gains and losses in value are recorded in
noninterest expense. New foreclosed properties in the table above are net of $99 million and $187
million of charge-offs for the three months ended June 30, 2011 and 2010, recorded during the
first 90 days after transfer. For the six months ended June 30, 2011 and 2010, new foreclosed
properties in the table above are net of $160 million and $396 million of charge-offs, recorded
during the first 90 days after transfer.
|
|
(7) |
Outstanding consumer loans exclude loans accounted for under the fair value option.
|
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions)
|
Total | Nonperforming | Performing | Total | Nonperforming | Performing | ||||||||||||||||||
Residential mortgage
(1, 2)
|
$ | 15,771 | $ | 3,949 | $ | 11,822 | $ | 11,788 | $ | 3,297 | $ | 8,491 | ||||||||||||
Home equity
(3)
|
1,815 | 473 | 1,342 | 1,721 | 541 | 1,180 | ||||||||||||||||||
Discontinued real estate
(4)
|
397 | 206 | 191 | 395 | 206 | 189 | ||||||||||||||||||
Total home loans
troubled debt
restructurings
|
$ | 17,983 | $ | 4,628 | $ | 13,355 | $ | 13,904 | $ | 4,044 | $ | 9,860 | ||||||||||||
(1) |
Residential mortgage TDRs deemed collateral dependent totaled $3.9 billion and
$3.2 billion, and included $1.3 billion and $921 million of loans classified as nonperforming and
$2.6 billion and $2.3 billion of loans classified as performing at June 30, 2011 and December 31,
2010.
|
|
(2) |
Residential mortgage performing TDRs included $5.1 billion and $2.5 billion of
loans that were fully-insured at June 30, 2011 and December 31, 2010.
|
|
(3) |
Home equity TDRs deemed collateral dependent totaled $787 million and $796 million,
and included $216 million and $245 million of loans classified as nonperforming and $571 million
and $551 million of loans classified as performing at
June 30, 2011 and December 31, 2010.
|
|
(4) |
Discontinued real estate TDRs deemed collateral dependent totaled $227 million and
$213 million, and included $110 million and $97 million of loans classified as nonperforming and
$117 million and $116 million as performing at
June 30, 2011 and December 31, 2010.
|
92
93
Accruing Past Due 90 | ||||||||||||||||||||||||
Outstandings | Nonperforming | Days or More | ||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
U.S. commercial
|
$ | 176,677 | $ | 175,586 | $ | 2,767 | $ | 3,453 | $ | 83 | $ | 236 | ||||||||||||
Commercial real estate
(1)
|
44,028 | 49,393 | 5,051 | 5,829 | 45 | 47 | ||||||||||||||||||
Commercial lease financing
|
21,391 | 21,942 | 23 | 117 | 22 | 18 | ||||||||||||||||||
Non-U.S. commercial
|
42,929 | 32,029 | 108 | 233 | 3 | 6 | ||||||||||||||||||
|
285,025 | 278,950 | 7,949 | 9,632 | 153 | 307 | ||||||||||||||||||
U.S. small business commercial
(2)
|
13,929 | 14,719 | 156 | 204 | 257 | 325 | ||||||||||||||||||
Commercial loans excluding loans accounted
for under the fair value option
|
298,954 | 293,669 | 8,105 | 9,836 | 410 | 632 | ||||||||||||||||||
Loans accounted for under the fair value option
(3)
|
4,403 | 3,321 | 126 | 30 | - | - | ||||||||||||||||||
Total commercial loans and leases
|
$ | 303,357 | $ | 296,990 | $ | 8,231 | $ | 9,866 | $ | 410 | $ | 632 | ||||||||||||
(1) |
Includes U.S. commercial real estate loans of $41.7 billion and $46.9 billion
and non-U.S. commercial real estate loans of $2.3 billion and $2.5 billion at June 30, 2011 and
December 31, 2010.
|
|
(2) |
Includes card-related products.
|
|
(3) |
Commercial loans accounted for under the fair value option include U.S. commercial
loans of $1.6 billion at both June 30, 2011 and December 31, 2010, non-U.S. commercial loans of
$2.8 billion and $1.7 billion and commercial real estate loans of $11 million and $79 million at
June 30, 2011 and December 31, 2010. See
Note 17 Fair Value Option
to the Consolidated
Financial Statements for additional information on the fair value option.
|
Net Charge-offs | Net Charge-off Ratios (1) | |||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
U.S. commercial
|
$ | 60 | $ | 179 | $ | 39 | $ | 465 | 0.14 | % | 0.41 | % | 0.05 | % | 0.52 | % | ||||||||||||||||
Commercial real estate
|
163 | 645 | 451 | 1,260 | 1.43 | 4.03 | 1.93 | 3.83 | ||||||||||||||||||||||||
Commercial lease financing
|
(8 | ) | (3 | ) | (7 | ) | 18 | (0.15 | ) | (0.06 | ) | (0.06 | ) | 0.17 | ||||||||||||||||||
Non-U.S. commercial
|
13 | 66 | 116 | 91 | 0.13 | 0.98 | 0.64 | 0.68 | ||||||||||||||||||||||||
|
228 | 887 | 599 | 1,834 | 0.32 | 1.23 | 0.43 | 1.26 | ||||||||||||||||||||||||
U.S. small business commercial
|
275 | 528 | 587 | 1,130 | 7.78 | 12.94 | 8.24 | 13.59 | ||||||||||||||||||||||||
Total commercial
|
$ | 503 | $ | 1,415 | $ | 1,186 | $ | 2,964 | 0.68 | 1.86 | 0.81 | 1.92 | ||||||||||||||||||||
(1) |
Net charge-off ratios are calculated as annualized net charge-offs divided by
average outstanding loans and leases excluding loans accounted for under the fair value
option.
|
94
Commercial Utilized (1) | Commercial Unfunded (2, 3) | Total Commercial Committed | ||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Loans and leases
|
$ | 303,357 | $ | 296,990 | $ | 273,554 | $ | 272,172 | $ | 576,911 | $ | 569,162 | ||||||||||||
Derivative assets
(4)
|
66,598 | 73,000 | - | - | 66,598 | 73,000 | ||||||||||||||||||
Standby letters of credit and
financial guarantees
(5)
|
58,951 | 62,745 | 2,624 | 1,511 | 61,575 | 64,256 | ||||||||||||||||||
Debt securities and other investments
(6)
|
6,619 | 10,216 | 5,053 | 4,546 | 11,672 | 14,762 | ||||||||||||||||||
Loans held-for-sale
|
6,186 | 10,380 | 94 | 242 | 6,280 | 10,622 | ||||||||||||||||||
Commercial letters of credit
|
2,820 | 2,654 | 1,693 | 1,179 | 4,513 | 3,833 | ||||||||||||||||||
Bankers acceptances
|
1,481 | 3,706 | 31 | 23 | 1,512 | 3,729 | ||||||||||||||||||
Foreclosed properties and other
|
709 | 731 | - | - | 709 | 731 | ||||||||||||||||||
Total commercial credit exposure
|
$ | 446,721 | $ | 460,422 | $ | 283,049 | $ | 279,673 | $ | 729,770 | $ | 740,095 | ||||||||||||
(1) |
Total commercial utilized exposure at June 30, 2011 and December 31, 2010
includes loans and issued letters of credit accounted for under the fair value option including
loans outstanding of $4.4 billion and $3.3 billion and letters of credit with a notional value of
$1.2 billion and $1.4 billion.
|
|
(2) |
Total commercial unfunded exposure at June 30, 2011 and December 31, 2010 includes
loan commitments accounted for under the fair value option with a notional value of $26.8 billion
and $25.9 billion.
|
|
(3) |
Excludes unused business card lines which are not legally binding.
|
|
(4) |
Derivative assets are accounted for under the fair value option, reflect the
effects of legally enforceable master netting agreements and have been reduced by cash collateral
of $58.8 billion and $58.3 billion at June 30, 2011 and December 31, 2010. Not reflected in
utilized and committed exposure is additional derivative collateral held of $15.7 billion and
$17.7 billion which consists primarily of other marketable securities.
|
|
(5) |
Excludes $362 million of Other Letters of Credit at June 30, 2011.
|
|
(6) |
Total commercial committed exposure consists of $11.7 billion and $14.2 billion of
debt securities and $0 and $590 million of other investments at June 30, 2011 and December 31,
2010.
|
June 30, 2011 | December 31, 2010 | |||||||||||||||
(Dollars in millions)
|
Amount | Percent (1) | Amount | Percent (1) | ||||||||||||
U.S. commercial
|
$ | 13,895 | 6.08 | % | $ | 17,195 | 7.44 | % | ||||||||
Commercial real estate
|
16,781 | 35.58 | 20,518 | 38.88 | ||||||||||||
Commercial lease financing
|
1,001 | 4.68 | 1,188 | 5.41 | ||||||||||||
Non-U.S. commercial
|
1,934 | 3.87 | 2,043 | 5.01 | ||||||||||||
|
33,611 | 9.69 | 40,944 | 11.81 | ||||||||||||
U.S. small business commercial
|
1,499 | 10.75 | 1,677 | 11.37 | ||||||||||||
Total commercial utilized
reservable criticized
exposure
|
$ | 35,110 | 9.73 | $ | 42,621 | 11.80 | ||||||||||
(1) |
Percentages are calculated as commercial utilized reservable criticized
exposure divided by total commercial utilized reservable exposure for each exposure category.
|
95
June 30 | December 31 | |||||||
(Dollars in millions)
|
2011 | 2010 | ||||||
By Geographic Region
|
||||||||
California
|
$ | 8,287 | $ | 9,012 | ||||
Northeast
|
6,714 | 7,639 | ||||||
Southwest
|
5,520 | 6,169 | ||||||
Southeast
|
5,343 | 5,806 | ||||||
Midwest
|
4,745 | 5,301 | ||||||
Florida
|
3,085 | 3,649 | ||||||
Midsouth
|
2,283 | 2,627 | ||||||
Illinois
|
2,272 | 2,811 | ||||||
Northwest
|
2,004 | 2,243 | ||||||
Non-U.S.
|
2,326 | 2,515 | ||||||
Other
(1)
|
1,460 | 1,701 | ||||||
Total outstanding commercial real
estate loans
(2)
|
$ | 44,039 | $ | 49,473 | ||||
By Property Type
|
||||||||
Office
|
$ | 8,550 | $ | 9,688 | ||||
Multi-family rental
|
6,695 | 7,721 | ||||||
Shopping centers/retail
|
6,495 | 7,484 | ||||||
Industrial/warehouse
|
4,597 | 5,039 | ||||||
Multi-use
|
3,913 | 4,266 | ||||||
Homebuilder
(3)
|
3,202 | 4,299 | ||||||
Hotels/motels
|
2,620 | 2,650 | ||||||
Land and land development
|
2,052 | 2,376 | ||||||
Other
(4)
|
5,915 | 5,950 | ||||||
Total outstanding commercial real
estate loans
(2)
|
$ | 44,039 | $ | 49,473 | ||||
(1) |
Includes unsecured outstandings to real estate investment trusts and national
home builders whose portfolios of properties span multiple geographic regions and properties
in the states of Colorado, Utah, Hawaii, Wyoming and Montana.
|
|
(2) |
Includes commercial real estate loans accounted for under the fair value option of
$11 million and $79 million at June 30, 2011 and December 31, 2010.
|
|
(3) |
Homebuilder includes condominiums and residential land.
|
|
(4) |
Represents loans to borrowers whose primary business is commercial real estate, but
the exposure is not secured by the listed property types or is unsecured.
|
96
Nonperforming Loans and | Utilized Reservable | |||||||||||||||
Foreclosed Properties (1) | Criticized Exposure (2) | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Commercial real estate
non-homebuilder
|
||||||||||||||||
Office
|
$ | 957 | $ | 1,061 | $ | 3,350 | $ | 3,956 | ||||||||
Multi-family rental
|
505 | 500 | 2,360 | 2,940 | ||||||||||||
Shopping centers/retail
|
919 | 1,000 | 2,111 | 2,837 | ||||||||||||
Industrial/warehouse
|
461 | 420 | 1,885 | 1,878 | ||||||||||||
Multi-use
|
431 | 483 | 1,185 | 1,316 | ||||||||||||
Hotels/motels
|
168 | 139 | 1,189 | 1,191 | ||||||||||||
Land and land development
|
590 | 820 | 1,060 | 1,420 | ||||||||||||
Other
|
179 | 168 | 1,386 | 1,604 | ||||||||||||
Total non-homebuilder
|
4,210 | 4,591 | 14,526 | 17,142 | ||||||||||||
Commercial real estate homebuilder
|
1,520 | 1,963 | 2,255 | 3,376 | ||||||||||||
Total commercial real estate
|
$ | 5,730 | $ | 6,554 | $ | 16,781 | $ | 20,518 | ||||||||
(1) |
Includes commercial foreclosed properties of $678 million and $725 million at
June 30, 2011 and December 31, 2010.
|
|
(2) |
Includes loans, excluding those accounted for under the fair value option, SBLCs and
bankers acceptances.
|
Net Charge-offs | Net Charge-off Ratios (1) | |||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Commercial real estate
non-homebuilder
|
||||||||||||||||||||||||||||||||
Office
|
$ | (10 | ) | $ | 130 | $ | 24 | $ | 193 | (0.46 | )% | 4.53 | % | 0.54 | % | 3.28 | % | |||||||||||||||
Multi-family rental
|
20 | 52 | 29 | 87 | 1.14 | 1.92 | 0.80 | 1.60 | ||||||||||||||||||||||||
Shopping centers/retail
|
22 | 78 | 110 | 165 | 1.25 | 3.30 | 3.09 | 3.46 | ||||||||||||||||||||||||
Industrial/warehouse
|
6 | 16 | 26 | 40 | 0.49 | 1.08 | 1.10 | 1.39 | ||||||||||||||||||||||||
Multi-use
|
13 | 51 | 22 | 88 | 1.29 | 3.93 | 1.10 | 3.27 | ||||||||||||||||||||||||
Hotels/motels
|
3 | 11 | 11 | 24 | 0.48 | 1.03 | 0.86 | 0.84 | ||||||||||||||||||||||||
Land and land development
|
42 | 70 | 92 | 173 | 7.85 | 9.27 | 8.35 | 11.24 | ||||||||||||||||||||||||
Other
|
(4 | ) | 59 | (2 | ) | 151 | (0.23 | ) | 3.02 | (0.11 | ) | 4.12 | ||||||||||||||||||||
Total non-homebuilder
|
92 | 467 | 312 | 921 | 0.87 | 3.23 | 1.45 | 3.10 | ||||||||||||||||||||||||
Commercial real estate homebuilder
|
71 | 178 | 139 | 339 | 8.30 | 11.78 | 7.57 | 10.60 | ||||||||||||||||||||||||
Total commercial real estate
|
$ | 163 | $ | 645 | $ | 451 | $ | 1,260 | 1.43 | 4.03 | 1.93 | 3.83 | ||||||||||||||||||||
(1) |
Net charge-off ratios are calculated as annualized net charge-offs
divided by average outstanding loans excluding loans accounted for under the fair value option.
|
97
98
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Nonperforming loans and leases, beginning of period
|
$ | 9,131 | $ | 12,060 | $ | 9,836 | $ | 12,703 | ||||||||
Additions to nonperforming loans and leases:
|
||||||||||||||||
New nonaccrual loans and leases
|
1,042 | 2,256 | 2,341 | 4,137 | ||||||||||||
Advances
|
52 | 62 | 119 | 145 | ||||||||||||
Reductions in nonperforming loans and leases:
|
||||||||||||||||
Paydowns and payoffs
|
(1,023 | ) | (1,148 | ) | (1,787 | ) | (1,919 | ) | ||||||||
Sales
|
(141 | ) | (256 | ) | (388 | ) | (426 | ) | ||||||||
Returns to performing status
(3)
|
(362 | ) | (404 | ) | (682 | ) | (727 | ) | ||||||||
Charge-offs
(4)
|
(290 | ) | (870 | ) | (778 | ) | (1,826 | ) | ||||||||
Transfers to foreclosed properties
|
(241 | ) | (205 | ) | (441 | ) | (524 | ) | ||||||||
Transfers to loans held-for-sale
|
(63 | ) | (82 | ) | (115 | ) | (150 | ) | ||||||||
Total net reductions to nonperforming loans and leases
|
(1,026 | ) | (647 | ) | (1,731 | ) | (1,290 | ) | ||||||||
Total nonperforming loans and leases, June 30
|
8,105 | 11,413 | 8,105 | 11,413 | ||||||||||||
Foreclosed properties, beginning of period
|
725 | 920 | 725 | 777 | ||||||||||||
Additions to foreclosed properties:
|
||||||||||||||||
New foreclosed properties
|
130 | 119 | 261 | 379 | ||||||||||||
Reductions in foreclosed properties:
|
||||||||||||||||
Sales
|
(151 | ) | (253 | ) | (271 | ) | (346 | ) | ||||||||
Write-downs
|
(26 | ) | (29 | ) | (37 | ) | (53 | ) | ||||||||
Total net additions to foreclosed properties
|
(47 | ) | (163 | ) | (47 | ) | (20 | ) | ||||||||
Total foreclosed properties, June 30
|
678 | 757 | 678 | 757 | ||||||||||||
Nonperforming commercial loans, leases and foreclosed properties, June 30
|
$ | 8,783 | $ | 12,170 | $ | 8,783 | $ | 12,170 | ||||||||
Nonperforming commercial loans and leases as a percentage of outstanding
commercial loans and leases
(5)
|
2.71 | % | 3.77 | % | ||||||||||||
Nonperforming commercial loans, leases and foreclosed properties as a percentage
of outstanding commercial loans, leases and foreclosed properties
(5)
|
2.93 | 4.01 | ||||||||||||||
(1) |
Balances do not include nonperforming LHFS of $1.3 billion and $2.7
billion at June 30, 2011 and 2010.
|
|
(2) |
Includes U.S. small business commercial activity.
|
|
(3) |
Commercial loans and leases may be returned to performing status when all principal
and interest is current and full repayment of the remaining contractual principal and interest is
expected or when the loan otherwise becomes well-secured and is in the process of collection. TDRs
are generally classified as performing after a sustained period of demonstrated payment
performance.
|
|
(4) |
Business card loans are not classified as nonperforming; therefore, the charge-offs
on these loans have no impact on nonperforming activity and accordingly are excluded from this
table.
|
|
(5) |
Outstanding commercial loans and leases exclude loans accounted for under the fair
value option.
|
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions)
|
Total | Nonperforming | Performing | Total | Nonperforming | Performing | ||||||||||||||||||
U.S. commercial
|
$ | 532 | $ | 348 | $ | 184 | $ | 356 | $ | 175 | $ | 181 | ||||||||||||
Commercial real estate
|
1,027 | 868 | 159 | 815 | 770 | 45 | ||||||||||||||||||
Non-U.S. commercial
|
88 | 40 | 48 | 19 | 7 | 12 | ||||||||||||||||||
U.S. small business commercial
|
521 | - | 521 | 688 | - | 688 | ||||||||||||||||||
Total commercial troubled
debt restructurings
|
$ | 2,168 | $ | 1,256 | $ | 912 | $ | 1,878 | $ | 952 | $ | 926 | ||||||||||||
99
100
Commercial
Utilized |
Total Commercial
Committed |
|||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions)
|
2011 | 2010 | 2011 | 2010 | ||||||||||||
Diversified financials
|
$ | 51,889 | $ | 55,196 | $ | 79,056 | $ | 83,248 | ||||||||
Real estate
(2)
|
53,597 | 58,531 | 67,093 | 72,004 | ||||||||||||
Government and public education
|
42,153 | 44,131 | 58,027 | 59,594 | ||||||||||||
Capital goods
|
23,880 | 21,940 | 46,822 | 46,087 | ||||||||||||
Healthcare equipment and services
|
28,757 | 30,420 | 45,608 | 47,569 | ||||||||||||
Retailing
|
25,530 | 24,660 | 45,604 | 43,950 | ||||||||||||
Consumer services
|
23,195 | 24,759 | 37,735 | 39,694 | ||||||||||||
Materials
|
17,696 | 15,873 | 35,831 | 33,046 | ||||||||||||
Banks
|
32,005 | 26,831 | 35,461 | 29,667 | ||||||||||||
Commercial services and supplies
|
20,740 | 20,056 | 31,344 | 30,517 | ||||||||||||
Energy
|
12,661 | 9,765 | 29,817 | 26,328 | ||||||||||||
Food, beverage and tobacco
|
14,697 | 14,777 | 28,920 | 28,126 | ||||||||||||
Utilities
|
6,407 | 6,990 | 24,697 | 24,207 | ||||||||||||
Insurance, including monolines
|
16,306 | 17,263 | 23,059 | 24,417 | ||||||||||||
Individuals and trusts
|
16,249 | 18,278 | 20,498 | 22,899 | ||||||||||||
Media
|
10,730 | 11,611 | 20,461 | 20,619 | ||||||||||||
Transportation
|
11,778 | 12,070 | 18,129 | 18,436 | ||||||||||||
Pharmaceuticals and biotechnology
|
4,998 | 3,859 | 12,152 | 11,009 | ||||||||||||
Technology hardware and equipment
|
4,557 | 4,373 | 11,005 | 10,932 | ||||||||||||
Religious and social organizations
|
8,087 | 8,409 | 10,319 | 10,823 | ||||||||||||
Telecommunication services
|
3,890 | 3,823 | 10,096 | 9,321 | ||||||||||||
Software and services
|
3,480 | 3,837 | 8,995 | 9,531 | ||||||||||||
Consumer durables and apparel
|
4,329 | 4,297 | 8,938 | 8,836 | ||||||||||||
Food and staples retailing
|
3,123 | 3,222 | 6,521 | 6,161 | ||||||||||||
Automobiles and components
|
2,466 | 2,090 | 6,391 | 5,941 | ||||||||||||
Other
|
3,521 | 13,361 | 7,191 | 17,133 | ||||||||||||
Total commercial credit exposure by industry
|
$ | 446,721 | $ | 460,422 | $ | 729,770 | $ | 740,095 | ||||||||
Net credit default protection purchased on total
commitments
(3)
|
$ | (19,861 | ) | $ | (20,118 | ) | ||||||||||
(1) |
Includes U.S. small business commercial exposure.
|
|
(2) |
Industries are viewed from a variety of perspectives to best isolate the perceived
risks. For purposes of this table, the real estate industry is defined based on the borrowers
or counterparties primary business activity using operating cash flows and primary source of
repayment as key factors.
|
|
(3) |
Represents net notional credit protection purchased. See Risk Mitigation below for
additional information.
|
101
June 30 | December 31 | |||||||
2011 | 2010 | |||||||
Less than or equal to one year
|
14 | % | 14 | % | ||||
Greater than one year and less than or equal
to five years
|
80 | 80 | ||||||
Greater than five years
|
6 | 6 | ||||||
Total net credit default protection
|
100 | % | 100 | % | ||||
(Dollars in millions) | June 30, 2011 | December 31, 2010 | ||||||||||||||
Net | Percent of | Net | Percent of | |||||||||||||
Ratings (2) | Notional | Total | Notional | Total | ||||||||||||
AA
|
$ | (313 | ) | 1.6 | % | $ | (188 | ) | 0.9 | % | ||||||
A
|
(7,016 | ) | 35.3 | (6,485 | ) | 32.2 | ||||||||||
BBB
|
(7,542 | ) | 38.0 | (7,731 | ) | 38.4 | ||||||||||
BB
|
(1,659 | ) | 8.4 | (2,106 | ) | 10.5 | ||||||||||
B
|
(1,381 | ) | 7.0 | (1,260 | ) | 6.3 | ||||||||||
CCC and below
|
(756 | ) | 3.8 | (762 | ) | 3.8 | ||||||||||
NR
(3)
|
(1,194 | ) | 5.9 | (1,586 | ) | 7.9 | ||||||||||
Total net credit default protection
|
$ | (19,861 | ) | 100.0 | % | $ | (20,118 | ) | 100.0 | % | ||||||
(1) |
Ratings are refreshed on a quarterly basis.
|
|
(2) |
The Corporation considers ratings of BBB- or higher to meet the definition of
investment-grade.
|
|
(3) |
In addition to names that have not been rated, NR includes $(1.1) billion and
$(1.5) billion in net credit default swaps index positions at June 30, 2011 and December 31,
2010. While index positions are principally investment-grade, credit default swaps indices
include names in and across each of the ratings categories.
|
102
June 30, 2011 | December 31, 2010 | |||||||||||||||
(Dollars in millions)
|
Contract/Notional | Credit Risk | Contract/Notional | Credit Risk | ||||||||||||
Purchased credit derivatives:
|
||||||||||||||||
Credit default swaps
|
$ | 2,065,664 | $ | 15,029 | $ | 2,184,703 | $ | 18,150 | ||||||||
Total return swaps/other
|
41,401 | 601 | 26,038 | 1,013 | ||||||||||||
Total purchased credit derivatives
|
2,107,065 | 15,630 | 2,210,741 | 19,163 | ||||||||||||
Written credit derivatives:
|
||||||||||||||||
Credit default swaps
|
1,990,530 | n/a | 2,133,488 | n/a | ||||||||||||
Total return swaps/other
|
40,788 | n/a | 22,474 | n/a | ||||||||||||
Total written credit derivatives
|
2,031,318 | n/a | 2,155,962 | n/a | ||||||||||||
Total credit derivatives
|
$ | 4,138,383 | $ | 15,630 | $ | 4,366,703 | $ | 19,163 | ||||||||
n/a = not applicable
|
103
Total | ||||||||||||||||||||||||||||||||
Emerging | Increase | |||||||||||||||||||||||||||||||
Loans and | Local Country | Market | (Decrease) | |||||||||||||||||||||||||||||
Leases, and | Securities/ | Total Cross- | Exposure Net | Exposure at | From | |||||||||||||||||||||||||||
Loan | Other | Derivative | Other | border | of Local | June 30, | December 31, | |||||||||||||||||||||||||
(Dollars in millions)
|
Commitments | Financing (2) | Assets (3) | Investments (4) | Exposure (5) | Liabilities (6) | 2011 | 2010 | ||||||||||||||||||||||||
Region/Country
|
||||||||||||||||||||||||||||||||
Asia Pacific
|
||||||||||||||||||||||||||||||||
China
|
$ | 2,534 | $ | 425 | $ | 990 | $ | 21,494 | $ | 25,443 | $ | 99 | $ | 25,542 | $ | 1,614 | ||||||||||||||||
India
|
4,154 | 1,485 | 551 | 2,381 | 8,571 | 516 | 9,087 | 819 | ||||||||||||||||||||||||
South Korea
|
873 | 1,255 | 401 | 2,105 | 4,634 | 1,774 | 6,408 | 1,129 | ||||||||||||||||||||||||
Taiwan
|
472 | 78 | 74 | 603 | 1,227 | 1,519 | 2,746 | 891 | ||||||||||||||||||||||||
Singapore
|
616 | 43 | 428 | 1,488 | 2,575 | - | 2,575 | 29 | ||||||||||||||||||||||||
Hong Kong
|
518 | 396 | 178 | 1,056 | 2,148 | 287 | 2,435 | 393 | ||||||||||||||||||||||||
Thailand
|
20 | 15 | 32 | 878 | 945 | - | 945 | 276 | ||||||||||||||||||||||||
Malaysia
|
85 | 10 | 132 | 476 | 703 | 2 | 705 | 471 | ||||||||||||||||||||||||
Indonesia
|
148 | 15 | 5 | 519 | 687 | 7 | 694 | 545 | ||||||||||||||||||||||||
Other Asia Pacific
(7)
|
226 | 92 | 53 | 381 | 752 | - | 752 | 421 | ||||||||||||||||||||||||
Total Asia Pacific
|
9,646 | 3,814 | 2,844 | 31,381 | 47,685 | 4,204 | 51,889 | 6,588 | ||||||||||||||||||||||||
Latin America
|
||||||||||||||||||||||||||||||||
Brazil
|
1,254 | 375 | 407 | 3,213 | 5,249 | 1,848 | 7,097 | 1,291 | ||||||||||||||||||||||||
Mexico
|
2,029 | 475 | 257 | 3,032 | 5,793 | - | 5,793 | 1,408 | ||||||||||||||||||||||||
Chile
|
1,069 | 58 | 336 | 27 | 1,490 | 41 | 1,531 | 5 | ||||||||||||||||||||||||
Peru
|
373 | 114 | 20 | 92 | 599 | - | 599 | 81 | ||||||||||||||||||||||||
Other Latin America
(7)
|
263 | 346 | 39 | 334 | 982 | 152 | 1,134 | (403 | ) | |||||||||||||||||||||||
Total Latin America
|
4,988 | 1,368 | 1,059 | 6,698 | 14,113 | 2,041 | 16,154 | 2,382 | ||||||||||||||||||||||||
Middle East and Africa
|
||||||||||||||||||||||||||||||||
United Arab Emirates
|
1,088 | 30 | 126 | 85 | 1,329 | - | 1,329 | 153 | ||||||||||||||||||||||||
Bahrain
|
79 | 1 | 4 | 1,001 | 1,085 | 2 | 1,087 | (73 | ) | |||||||||||||||||||||||
South Africa
|
361 | 22 | 88 | 48 | 519 | - | 519 | (52 | ) | |||||||||||||||||||||||
Other Middle East and Africa
(7)
|
513 | 103 | 93 | 209 | 918 | 28 | 946 | 165 | ||||||||||||||||||||||||
Total Middle East and Africa
|
2,041 | 156 | 311 | 1,343 | 3,851 | 30 | 3,881 | 193 | ||||||||||||||||||||||||
Central and Eastern Europe
|
||||||||||||||||||||||||||||||||
Russian Federation
|
819 | 117 | 12 | 187 | 1,135 | 11 | 1,146 | 610 | ||||||||||||||||||||||||
Turkey
|
321 | 45 | 6 | 217 | 589 | 96 | 685 | 185 | ||||||||||||||||||||||||
Other Central and Eastern Europe
(7)
|
116 | 84 | 221 | 492 | 913 | - | 913 | (340 | ) | |||||||||||||||||||||||
Total Central and Eastern
Europe
|
1,256 | 246 | 239 | 896 | 2,637 | 107 | 2,744 | 455 | ||||||||||||||||||||||||
Total emerging markets
exposure
|
$ | 17,931 | $ | 5,584 | $ | 4,453 | $ | 40,318 | $ | 68,286 | $ | 6,382 | $ | 74,668 | $ | 9,618 | ||||||||||||||||
(1) |
There is no generally accepted definition of emerging markets. The definition
that we use includes all countries in Asia Pacific excluding Japan, Australia and New Zealand;
all countries in Latin America excluding Cayman Islands and Bermuda; all countries in Middle
East and Africa; and all countries in Central and Eastern Europe. At June 30, 2011 and
December 31, 2010, there was $526 million and $460 million in emerging markets exposure
accounted for under the fair value option.
|
|
(2) |
Includes acceptances, due froms, SBLCs, commercial letters of credit and formal
guarantees.
|
|
(3) |
Derivative assets are accounted for under the fair value option and have been
reduced by the amount of cash collateral applied of $1.1 billion and $1.2 billion at June 30,
2011 and December 31, 2010. At June 30, 2011 and December 31, 2010, there were $226 million
and $408 million of other marketable securities collateralizing derivative assets.
|
|
(4) |
Generally, cross-border resale agreements are presented based on the domicile of the
counterparty, consistent with FFIEC reporting requirements. Cross-border resale agreements
where the underlying securities are U.S. Treasury securities, in which case the domicile is
the U.S., are excluded from this presentation.
|
|
(5) |
Cross-border exposure includes amounts payable to the Corporation by borrowers or
counterparties with a country of residence other than the one in which the credit is booked,
regardless of the currency in which the claim is denominated, consistent with FFIEC reporting
requirements.
|
|
(6) |
Local country exposure includes amounts payable to the Corporation by borrowers with
a country of residence in which the credit is booked regardless of the currency in which the
claim is denominated. Local funding or liabilities are subtracted from local exposures
consistent with FFIEC reporting requirements. Total amount of available local liabilities
funding local country exposure was $21.4 billion and $15.7 billion at June 30, 2011 and
December 31, 2010. Local liabilities at June 30, 2011 in Asia Pacific, Latin America, and
Middle East and Africa were $19.2 billion, $1.6 billion and $579 million, respectively, of
which $8.8 billion was in Singapore, $2.6 billion in Hong Kong, $2.4 billion in China, $2.1
billion in India, $1.5 billion in Mexico, $1.0 billion in Korea, $949 million in Indonesia and
$579 million in South Africa. There were no other countries with available local liabilities
funding local country exposure greater than $500 million.
|
|
(7) |
No country included in Other Asia Pacific, Other Latin America, Other
Middle East and Africa, and Other Central and Eastern Europe had total non-U.S. exposure of
more than $500 million.
|
104
105
Total | ||||||||||||||||||||||||||||||||
Loans and | Local Country | Non-U.S. | ||||||||||||||||||||||||||||||
Leases, and | Securities/ | Total Cross- | Exposure Net | Exposure at | ||||||||||||||||||||||||||||
Loan | Other | Derivative | Other | border | of Local | June 30, | Credit Default | |||||||||||||||||||||||||
(Dollars in millions) | Commitments | Financing (1) | Assets (2) | Investments (3) | Exposure (4) | Liabilities (5) | 2011 | Protection (6) | ||||||||||||||||||||||||
Greece
|
||||||||||||||||||||||||||||||||
Sovereign
|
$ | - | $ | - | $ | - | $ | 17 | $ | 17 | $ | - | $ | 17 | $ | (7 | ) | |||||||||||||||
Non-sovereign
|
399 | 5 | 52 | 47 | 503 | - | 503 | - | ||||||||||||||||||||||||
Total Greece
|
$ | 399 | $ | 5 | $ | 52 | $ | 64 | $ | 520 | $ | - | $ | 520 | $ | (7 | ) | |||||||||||||||
Ireland
|
||||||||||||||||||||||||||||||||
Sovereign
|
$ | 1 | $ | - | $ | 10 | $ | 25 | $ | 36 | $ | - | $ | 36 | $ | - | ||||||||||||||||
Non-sovereign
|
1,625 | 570 | 304 | 298 | 2,797 | - | 2,797 | (41 | ) | |||||||||||||||||||||||
Total Ireland
|
$ | 1,626 | $ | 570 | $ | 314 | $ | 323 | $ | 2,833 | $ | - | $ | 2,833 | $ | (41 | ) | |||||||||||||||
Italy
|
||||||||||||||||||||||||||||||||
Sovereign
|
$ | 28 | $ | - | $ | 1,320 | $ | 16 | $ | 1,364 | $ | 9 | $ | 1,373 | $ | (1,361 | ) | |||||||||||||||
Non-sovereign
|
1,165 | 18 | 655 | 1,233 | 3,071 | 2,450 | 5,521 | (252 | ) | |||||||||||||||||||||||
Total Italy
|
$ | 1,193 | $ | 18 | $ | 1,975 | $ | 1,249 | $ | 4,435 | $ | 2,459 | $ | 6,894 | $ | (1,613 | ) | |||||||||||||||
Portugal
|
||||||||||||||||||||||||||||||||
Sovereign
|
$ | - | $ | - | $ | 32 | $ | - | $ | 32 | $ | - | $ | 32 | $ | (30 | ) | |||||||||||||||
Non-sovereign
|
280 | 22 | 6 | 80 | 388 | - | 388 | - | ||||||||||||||||||||||||
Total Portugal
|
$ | 280 | $ | 22 | $ | 38 | $ | 80 | $ | 420 | $ | - | $ | 420 | $ | (30 | ) | |||||||||||||||
Spain
|
||||||||||||||||||||||||||||||||
Sovereign
|
$ | 27 | $ | - | $ | 39 | $ | 5 | $ | 71 | $ | 52 | $ | 123 | $ | (64 | ) | |||||||||||||||
Non-sovereign
|
911 | 102 | 241 | 2,199 | 3,453 | 2,490 | 5,943 | (14 | ) | |||||||||||||||||||||||
Total Spain
|
$ | 938 | $ | 102 | $ | 280 | $ | 2,204 | $ | 3,524 | $ | 2,542 | $ | 6,066 | $ | (78 | ) | |||||||||||||||
Total
|
||||||||||||||||||||||||||||||||
Sovereign
|
$ | 56 | $ | - | $ | 1,401 | $ | 63 | $ | 1,520 | $ | 61 | $ | 1,581 | $ | (1,462 | ) | |||||||||||||||
Non-sovereign
|
4,380 | 717 | 1,258 | 3,857 | 10,212 | 4,940 | 15,152 | (307 | ) | |||||||||||||||||||||||
Total selected European exposure
|
$ | 4,436 | $ | 717 | $ | 2,659 | $ | 3,920 | $ | 11,732 | $ | 5,001 | $ | 16,733 | $ | (1,769 | ) | |||||||||||||||
(1) |
Includes acceptances, due froms, SBLCs, commercial letters of credit and formal guarantees.
|
|
(2) |
Derivative assets are accounted for under the fair value option and have been reduced by
the amount of cash collateral applied of $3.1 billion at June 30, 2011. At June 30, 2011,
there was $77 million of other marketable securities collateralizing derivative assets.
|
|
(3) |
Generally, cross-border resale agreements are presented based on the domicile of the
counterparty, consistent with FFIEC reporting requirements. Cross-border resale agreements
where the underlying securities are U.S. Treasury securities, in which case the domicile
is the U.S., are excluded from this presentation.
|
|
(4) |
Cross-border exposure includes amounts payable to the Corporation by borrowers or
counterparties with a country of residence other than the one in which the credit is
booked, regardless of the currency in which the claim is denominated, consistent with
FFIEC reporting requirements.
|
|
(5) |
Local country exposure includes amounts payable to the Corporation by borrowers with a
country of residence in which the credit is booked regardless of the currency in which the
claim is denominated. Local funding or liabilities of $957 million are subtracted from
local exposures consistent with FFIEC reporting requirements. Of the $957 million applied
for exposure reduction, $389 million was in Italy, $362 million in Ireland, $158 million
in Spain and $48 million in Greece.
|
|
(6) |
Represents net notional credit default protection purchased to hedge counterparty risk.
|
106
107
108
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Allowance for loan and lease losses, beginning of period
|
$ | 39,843 | $ | 46,835 | $ | 41,885 | $ | 47,988 | ||||||||
Loans and leases charged off
|
||||||||||||||||
Residential mortgage
|
(1,244 | ) | (986 | ) | (2,226 | ) | (2,062 | ) | ||||||||
Home equity
|
(1,332 | ) | (1,813 | ) | (2,614 | ) | (4,280 | ) | ||||||||
Discontinued real estate
|
(27 | ) | (20 | ) | (52 | ) | (47 | ) | ||||||||
U.S. credit card
|
(2,139 | ) | (3,709 | ) | (4,624 | ) | (7,850 | ) | ||||||||
Non-U.S. credit card
|
(498 | ) | (989 | ) | (949 | ) | (1,663 | ) | ||||||||
Direct/Indirect consumer
|
(552 | ) | (1,130 | ) | (1,292 | ) | (2,502 | ) | ||||||||
Other consumer
|
(56 | ) | (88 | ) | (111 | ) | (164 | ) | ||||||||
Total consumer charge-offs
|
(5,848 | ) | (8,735 | ) | (11,868 | ) | (18,568 | ) | ||||||||
U.S. commercial
(1)
|
(440 | ) | (811 | ) | (893 | ) | (1,783 | ) | ||||||||
Commercial real estate
|
(299 | ) | (659 | ) | (641 | ) | (1,289 | ) | ||||||||
Commercial lease financing
|
(6 | ) | (17 | ) | (17 | ) | (43 | ) | ||||||||
Non-U.S. commercial
|
(14 | ) | (84 | ) | (114 | ) | (124 | ) | ||||||||
Total commercial charge-offs
|
(759 | ) | (1,571 | ) | (1,665 | ) | (3,239 | ) | ||||||||
Total loans and leases charged off
|
(6,607 | ) | (10,306 | ) | (13,533 | ) | (21,807 | ) | ||||||||
Recoveries of loans and leases previously charged off
|
||||||||||||||||
Residential mortgage
|
140 | 15 | 217 | 22 | ||||||||||||
Home equity
|
69 | 72 | 172 | 142 | ||||||||||||
Discontinued real estate
|
1 | 1 | 6 | 7 | ||||||||||||
U.S. credit card
|
208 | 192 | 419 | 370 | ||||||||||||
Non-U.S. credit card
|
69 | 47 | 118 | 90 | ||||||||||||
Direct/Indirect consumer
|
186 | 251 | 401 | 514 | ||||||||||||
Other consumer
|
13 | 15 | 28 | 33 | ||||||||||||
Total consumer recoveries
|
686 | 593 | 1,361 | 1,178 | ||||||||||||
U.S. commercial
(2)
|
105 | 104 | 267 | 188 | ||||||||||||
Commercial real estate
|
136 | 14 | 190 | 29 | ||||||||||||
Commercial lease financing
|
14 | 20 | 24 | 25 | ||||||||||||
Non-U.S. commercial
|
1 | 18 | (2 | ) | 33 | |||||||||||
Total commercial recoveries
|
256 | 156 | 479 | 275 | ||||||||||||
Total recoveries of loans and leases previously charged off
|
942 | 749 | 1,840 | 1,453 | ||||||||||||
Net charge-offs
|
(5,665 | ) | (9,557 | ) | (11,693 | ) | (20,354 | ) | ||||||||
Provision for loan and lease losses
|
3,260 | 8,105 | 7,176 | 17,704 | ||||||||||||
Other
|
(126 | ) | (128 | ) | (56 | ) | (83 | ) | ||||||||
Allowance for loan and lease losses, June 30
|
37,312 | 45,255 | 37,312 | 45,255 | ||||||||||||
Reserve for unfunded lending commitments, beginning of period
|
961 | 1,521 | 1,188 | 1,487 | ||||||||||||
Provision for unfunded lending commitments
|
(5 | ) | - | (107 | ) | 206 | ||||||||||
Other
|
(59 | ) | (108 | ) | (184 | ) | (280 | ) | ||||||||
Reserve for unfunded lending commitments, June 30
|
897 | 1,413 | 897 | 1,413 | ||||||||||||
Allowance for credit losses, June 30
|
$ | 38,209 | $ | 46,668 | $ | 38,209 | $ | 46,668 | ||||||||
(1) |
Includes U.S. small business commercial charge-offs of
$304 million and $640 million for the three and six
months ended June 30, 2011 compared to $554 million and
$1.2 billion for the same periods in 2010.
|
|
(2) |
Includes U.S. small business commercial recoveries of
$29 million and $53 million for the three and six
months ended June 30, 2011 compared to $26 million and
$49 million for the same periods in 2010.
|
109
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Loans and leases outstanding at June 30
(3)
|
$ | 931,660 | $ | 952,279 | $ | 931,660 | $ | 952,279 | ||||||||
Allowance for loan and lease losses as a percentage of
total loans and leases and
outstanding at June 30
(3)
|
4.00 | % | 4.75 | % | 4.00 | % | 4.75 | % | ||||||||
Consumer allowance for loan and lease losses as a
percentage of total consumer loans
outstanding at June 30
|
5.04 | 5.62 | 5.04 | 5.62 | ||||||||||||
Commercial allowance for loan and lease losses as a
percentage of total commercial loans and leases
outstanding
at June 30
(3)
|
1.82 | 2.89 | 1.82 | 2.89 | ||||||||||||
Average loans and leases outstanding
(3)
|
$ | 929,408 | $ | 962,850 | $ | 932,352 | $ | 974,847 | ||||||||
Annualized net charge-offs as a percentage of average
loans and leases outstanding
(3)
|
2.44 | % | 3.98 | % | 2.53 | % | 4.21 | % | ||||||||
Allowance for loan and lease losses as a percentage of
total nonperforming loans and
leases at June 30
(3, 5)
|
135 | 137 | 135 | 137 | ||||||||||||
Ratio of the allowance for loan and lease losses at June
30 to annualized net
charge-offs
|
1.64 | 1.18 | 1.58 | 1.10 | ||||||||||||
Amounts included in allowance that are excluded from
nonperforming loans
(4)
|
$ | 19,935 | $ | 24,338 | $ | 19,935 | $ | 24,338 | ||||||||
Allowance as a percentage of total nonperforming loans
and leases excluding the
amounts included in the allowance that are excluded
from nonperforming loans
(4)
|
63.00 | % | 63.20 | % | 63.00 | % | 63.20 | % | ||||||||
Excluding purchased credit-impaired loans:
(6)
|
||||||||||||||||
Allowance for loan and lease losses as a percentage of
total loans and leases
outstanding at June 30
(3)
|
3.24 | % | 4.37 | % | 3.24 | % | 4.37 | % | ||||||||
Consumer allowance for loan and lease losses as a
percentage of total consumer loans outstanding
at June 30
|
3.95 | 5.09 | 3.95 | 5.09 | ||||||||||||
Commercial allowance for loan and lease losses as a
percentage of total commercial loans and leases
outstanding
at June 30
(3)
|
1.82 | 2.88 | 1.82 | 2.88 | ||||||||||||
Annualized net charge-offs as a percentage of average
loans and leases outstanding
(3)
|
2.54 | 4.11 | 2.63 | 4.36 | ||||||||||||
Allowance for loan and lease losses as a percentage of
total nonperforming loans and
leases at June 30
(3, 5)
|
105 | 121 | 105 | 121 | ||||||||||||
Ratio of the allowance for loan and lease losses at June
30 to annualized net
charge-offs
|
1.28 | 1.05 | 1.23 | 0.98 | ||||||||||||
(3) |
Outstanding loan and lease balances and ratios do not include loans accounted for under the fair value option. Loans accounted for under the fair value
option were $9.6 billion and $3.9 billion at June 30, 2011 and 2010. Average loans accounted for under the fair value option were $9.1 billion and $6.4
billion for the three and six months ended June 30, 2011 compared to $4.2 billion and $4.4 billion for the same periods in 2010.
|
|
(4) |
Amounts included in allowance that are excluded from nonperforming loans primarily includes amounts allocated to
Global Card Services
portfolios and PCI.
|
|
(5) |
For more information on our definition of nonperforming loans, see pages 90 and 98.
|
|
(6) |
Metrics exclude the impact of Countrywide consumer PCI loans and Merrill Lynch commercial PCI loans.
|
110
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Percent of | Percent of | |||||||||||||||||||||||
Loans and | Loans and | |||||||||||||||||||||||
Percent of | Leases | Percent of | Leases | |||||||||||||||||||||
(Dollars in millions) | Amount | Total | Outstanding (1) | Amount | Total | Outstanding (1) | ||||||||||||||||||
Allowance for loan and lease losses
|
||||||||||||||||||||||||
Residential mortgage
|
$ | 5,845 | 15.66 | % | 2.19 | % | $ | 5,082 | 12.14 | % | 1.97 | % | ||||||||||||
Home equity
|
13,111 | 35.14 | 10.03 | 12,887 | 30.77 | 9.34 | ||||||||||||||||||
Discontinued real estate
|
1,997 | 5.35 | 16.64 | 1,283 | 3.06 | 9.79 | ||||||||||||||||||
U.S. credit card
|
7,540 | 20.21 | 7.20 | 10,876 | 25.97 | 9.56 | ||||||||||||||||||
Non-U.S. credit card
|
1,771 | 4.75 | 6.80 | 2,045 | 4.88 | 7.45 | ||||||||||||||||||
Direct/Indirect consumer
|
1,475 | 3.95 | 1.63 | 2,381 | 5.68 | 2.64 | ||||||||||||||||||
Other consumer
|
145 | 0.39 | 5.25 | 161 | 0.38 | 5.67 | ||||||||||||||||||
Total consumer
|
31,884 | 85.45 | 5.04 | 34,715 | 82.88 | 5.40 | ||||||||||||||||||
U.S. commercial
(2)
|
2,792 | 7.48 | 1.46 | 3,576 | 8.54 | 1.88 | ||||||||||||||||||
Commercial real estate
|
2,314 | 6.20 | 5.26 | 3,137 | 7.49 | 6.35 | ||||||||||||||||||
Commercial lease financing
|
99 | 0.27 | 0.46 | 126 | 0.30 | 0.57 | ||||||||||||||||||
Non-U.S. commercial
|
223 | 0.60 | 0.52 | 331 | 0.79 | 1.03 | ||||||||||||||||||
Total commercial
(3)
|
5,428 | 14.55 | 1.82 | 7,170 | 17.12 | 2.44 | ||||||||||||||||||
Allowance for loan and lease losses
|
37,312 | 100.00 | % | 4.00 | 41,885 | 100.00 | % | 4.47 | ||||||||||||||||
Reserve for unfunded lending commitments
|
897 | 1,188 | ||||||||||||||||||||||
Allowance for credit losses
(4)
|
$ | 38,209 | $ | 43,073 | ||||||||||||||||||||
(1) |
Ratios are calculated as allowance for loan and lease losses as a percentage of loans and leases outstanding excluding loans accounted for under the fair value option for each loan and lease category. Consumer loans accounted for under the fair
value option include residential mortgage loans of $1.2 billion and discontinued real estate of $4.0 billion at June 30, 2011. There were no consumer loans accounted for under the fair value option at December 31, 2010. Commercial loans accounted
for under the fair value option include U.S. commercial loans of $1.6 billion and $1.6 billion, non-U.S. commercial loans of $2.8 billion and $1.7 billion, and commercial real estate loans of $11 million and $79 million at June 30, 2011 and
December 31, 2010.
|
|
(2) |
Includes allowance for U.S. small business commercial loans of $1.0 billion and $1.5 billion at June 30, 2011 and December 31, 2010.
|
|
(3) |
Includes allowance for loan and lease losses for impaired commercial loans of $778 million and $1.1 billion at June 30, 2011 and December 31, 2010.
|
|
(4) |
Includes $8.4 billion and $6.4 billion of valuation reserve presented with the allowance for credit losses related to PCI loans at June 30, 2011 and December 31, 2010.
|
111
112
113
Three Months Ended | Three Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||||||||||||
June 30, 2011 | March 31, 2011 | June 30, 2010 | June 30 | |||||||||||||||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Average | High (1) | Low (1) | Average | High (1) | Low (1) | Average | High (1) | Low (1) | Average | Average | |||||||||||||||||||||||||||||||||
Foreign exchange
|
$ | 14.3 | $ | 34.6 | $ | 6.0 | $ | 28.7 | $ | 48.6 | $ | 13.2 | $ | 21.5 | $ | 63.0 | $ | 6.6 | $ | 21.4 | $ | 34.5 | ||||||||||||||||||||||
Interest rate
|
63.6 | 76.6 | 49.5 | 48.7 | 73.1 | 33.2 | 56.4 | 89.7 | 38.4 | 56.2 | 60.0 | |||||||||||||||||||||||||||||||||
Credit
|
133.6 | 155.3 | 97.3 | 138.3 | 154.4 | 120.7 | 175.8 | 216.2 | 146.8 | 135.9 | 191.8 | |||||||||||||||||||||||||||||||||
Real estate/mortgage
|
100.2 | 138.9 | 72.5 | 93.7 | 139.5 | 73.9 | 71.0 | 80.2 | 63.5 | 97.0 | 67.4 | |||||||||||||||||||||||||||||||||
Equities
|
55.2 | 79.5 | 32.1 | 50.1 | 82.8 | 25.1 | 36.6 | 68.1 | 20.9 | 52.7 | 49.7 | |||||||||||||||||||||||||||||||||
Commodities
|
23.7 | 33.8 | 15.9 | 23.9 | 29.5 | 17.9 | 23.2 | 31.7 | 14.0 | 23.8 | 22.7 | |||||||||||||||||||||||||||||||||
Portfolio diversification
|
(161.4 | ) | - | - | (199.5 | ) | - | - | (195.5 | ) | - | - | (180.3 | ) | (194.4 | ) | ||||||||||||||||||||||||||||
Total market-based trading
portfolio |
$ | 229.2 | $ | 318.6 | $ | 140.9 | $ | 183.9 | $ | 260.5 | $ | 140.3 | $ | 189.0 | $ | 296.3 | $ | 123.0 | $ | 206.7 | $ | 231.7 | ||||||||||||||||||||||
(1) |
The high and low for the total portfolio may not equal the sum of the individual components as the highs or lows of the individual portfolios may have occurred on different trading days.
|
114
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Three-month | Three-month | |||||||||||||||||||||||
Federal Funds | LIBOR | 10-Year Swap | Federal Funds | LIBOR | 10-Year Swap | |||||||||||||||||||
Spot rates
|
0.25 | % | 0.25 | % | 3.28 | % | 0.25 | % | 0.30 | % | 3.39 | % | ||||||||||||
12-month forward rates
|
0.25 | 0.61 | 3.73 | 0.25 | 0.72 | 3.86 | ||||||||||||||||||
(Dollars in millions) | June 30 | December 31 | ||||||||||||||
Curve Change | Short Rate (bps) | Long Rate (bps) | 2011 | 2010 | ||||||||||||
+100 bps Parallel shift
|
+100 | +100 | $ | 597 | $ | 601 | ||||||||||
-50 bps Parallel shift
|
-50 | -50 | (720 | ) | (499 | ) | ||||||||||
Flatteners
|
||||||||||||||||
Short end
|
+100 | - | 60 | 136 | ||||||||||||
Long end
|
- | -50 | (400 | ) | (280 | ) | ||||||||||
Long end
|
- | -100 | (901 | ) | (637 | ) | ||||||||||
Steepeners
|
||||||||||||||||
Short end
|
-50 | - | (319 | ) | (209 | ) | ||||||||||
Long end
|
- | +100 | 542 | 493 | ||||||||||||
115
116
117
June 30, 2011 | ||||||||||||||||||||||||||||||||||||
Expected Maturity | ||||||||||||||||||||||||||||||||||||
Average | ||||||||||||||||||||||||||||||||||||
(Dollars in millions, average | Fair | Estimated | ||||||||||||||||||||||||||||||||||
estimated duration in years) | Value | Total | 2011 | 2012 | 2013 | 2014 | 2015 | Thereafter | Duration | |||||||||||||||||||||||||||
Receive-fixed interest rate swaps
(1,
2)
|
$ | 7,499 | 5.12 | |||||||||||||||||||||||||||||||||
Notional amount
|
$ | 100,235 | $ | - | $ | 23,422 | $ | 7,769 | $ | 7,713 | $ | 10,788 | $ | 50,543 | ||||||||||||||||||||||
Weighted-average fixed-rate
|
4.18 | % | - | % | 2.60 | % | 3.85 | % | 3.88 | % | 4.01 | % | 5.04 | % | ||||||||||||||||||||||
Pay-fixed interest rate swaps
(1, 2)
|
(4,076 | ) | 11.12 | |||||||||||||||||||||||||||||||||
Notional amount
|
$ | 98,435 | $ | - | $ | 2,550 | $ | 1,435 | $ | 3,077 | $ | 17,436 | $ | 73,937 | ||||||||||||||||||||||
Weighted-average fixed-rate
|
3.40 | % | - | % | 1.48 | % | 2.50 | % | 2.17 | % | 2.52 | % | 3.74 | % | ||||||||||||||||||||||
Same-currency basis swaps
(3)
|
5 | |||||||||||||||||||||||||||||||||||
Notional amount
|
$ | 171,907 | $ | 9,422 | $ | 49,766 | $ | 45,383 | $ | 24,357 | $ | 14,854 | $ | 28,125 | ||||||||||||||||||||||
Foreign exchange basis swaps
(2, 4,
5)
|
7,189 | |||||||||||||||||||||||||||||||||||
Notional amount
|
269,034 | 15,724 | 46,746 | 45,615 | 56,387 | 25,884 | 78,678 | |||||||||||||||||||||||||||||
Option products
(6)
|
(133 | ) | ||||||||||||||||||||||||||||||||||
Notional amount
(8)
|
10,944 | 3,100 | 1,500 | 2,252 | 600 | 300 | 3,192 | |||||||||||||||||||||||||||||
Foreign exchange contracts
(2, 5, 7)
|
2,735 | |||||||||||||||||||||||||||||||||||
Notional amount
(8)
|
35,608 | (11,410 | ) | 5,792 | 7,966 | 11,156 | 2,212 | 19,892 | ||||||||||||||||||||||||||||
Futures and forward rate contracts
|
24 | |||||||||||||||||||||||||||||||||||
Notional amount
(8)
|
2,086 | 2,086 | - | - | - | - | - | |||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
Net ALM contracts
|
$ | 13,243 | ||||||||||||||||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Expected Maturity | ||||||||||||||||||||||||||||||||||||
|
Average | |||||||||||||||||||||||||||||||||||
(Dollars in millions, average
|
Fair | Estimated | ||||||||||||||||||||||||||||||||||
estimated duration in years)
|
Value | Total | 2011 | 2012 | 2013 | 2014 | 2015 | Thereafter | Duration | |||||||||||||||||||||||||||
Receive-fixed interest rate swaps
(1,
2)
|
$ | 7,364 | 4.45 | |||||||||||||||||||||||||||||||||
Notional amount
|
$ | 104,949 | $ | 8 | $ | 36,201 | $ | 7,909 | $ | 7,270 | $ | 8,094 | $ | 45,467 | ||||||||||||||||||||||
Weighted-average fixed-rate
|
3.94 | % | 1.00 | % | 2.49 | % | 3.90 | % | 3.66 | % | 3.71 | % | 5.19 | % | ||||||||||||||||||||||
Pay-fixed interest rate swaps
(1, 2)
|
(3,827 | ) | 6.03 | |||||||||||||||||||||||||||||||||
Notional amount
|
$ | 156,067 | $ | 50,810 | $ | 16,205 | $ | 1,207 | $ | 4,712 | $ | 10,933 | $ | 72,200 | ||||||||||||||||||||||
Weighted-average fixed-rate
|
3.02 | % | 2.37 | % | 2.15 | % | 2.88 | % | 2.40 | % | 2.75 | % | 3.76 | % | ||||||||||||||||||||||
Same-currency basis swaps
(3)
|
103 | |||||||||||||||||||||||||||||||||||
Notional amount
|
$ | 152,849 | $ | 13,449 | $ | 49,509 | $ | 31,503 | $ | 21,085 | $ | 11,431 | $ | 25,872 | ||||||||||||||||||||||
Foreign exchange basis swaps
(2, 4,
5)
|
4,830 | |||||||||||||||||||||||||||||||||||
Notional amount
|
235,164 | 21,936 | 39,365 | 46,380 | 41,003 | 23,430 | 63,050 | |||||||||||||||||||||||||||||
Option products
(6)
|
(120 | ) | ||||||||||||||||||||||||||||||||||
Notional amount
(8)
|
6,572 | (1,180 | ) | 2,092 | 2,390 | 603 | 311 | 2,356 | ||||||||||||||||||||||||||||
Foreign exchange contracts
(2, 5, 7)
|
4,272 | |||||||||||||||||||||||||||||||||||
Notional amount
(8)
|
109,544 | 59,508 | 5,427 | 10,048 | 13,035 | 2,372 | 19,154 | |||||||||||||||||||||||||||||
Futures and forward rate contracts
|
(21 | ) | ||||||||||||||||||||||||||||||||||
Notional amount
(8)
|
(280 | ) | (280 | ) | - | - | - | - | - | |||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
Net ALM contracts
|
$ | 12,601 | ||||||||||||||||||||||||||||||||||
(1) |
At June 30, 2011 and December 31, 2010, the receive-fixed interest rate swap notional amounts that represented forward starting swaps and which will not be effective until
their respective contractual start dates were $1.7 billion. The forward starting pay-fixed swap positions at June 30, 2011 and December 31, 2010 were $25.1 billion and
$34.5 billion.
|
|
(2) |
Does not include basis adjustments on either fixed-rate debt issued by the Corporation or AFS debt securities which are hedged using derivatives designated as fair value
hedging instruments that substantially offset the fair values of these derivatives.
|
|
(3) |
At June 30, 2011 and December 31, 2010, same-currency basis swaps consisted of $171.9 billion and $152.8 billion in both foreign currency and U.S. dollar-denominated basis
swaps in which both sides of the swap are in the same-currency.
|
|
(4) |
Foreign exchange basis swaps consisted of cross-currency variable interest rate swaps used separately or in conjunction with receive-fixed interest rate swaps.
|
|
(5) |
Does not include foreign currency translation adjustments on certain non-U.S. debt issued by the Corporation that substantially offset the fair values of these derivatives.
|
|
(6) |
Option products of $10.9 billion at June 30, 2011 were comprised of $43 million in purchased caps/floors, $8.0 billion in swaptions and $2.9 billion of foreign exchange
options. Option products of $6.6 billion at December 31, 2010 were comprised of $160 million in purchased caps/floors, $8.2 billion in swaptions and $(1.8) billion in
foreign exchange options.
|
|
(7) |
Foreign exchange contracts include foreign currency-denominated and cross-currency receive-fixed interest rate swaps as well as foreign currency forward rate contracts.
Total notional amount was comprised of $47.0 billion in foreign currency-denominated and cross-currency receive-fixed swaps and ($11.4) billion in net foreign currency
forward rate contracts at June 30, 2011, and $57.6 billion in foreign currency-denominated and cross-currency receive-fixed swaps and $52.0 billion in foreign currency
forward rate contracts at December 31, 2010.
|
|
(8) |
Reflects the net of long and short positions.
|
118
119
120
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
As a % | As a % | |||||||||||||||||||||||
of Total | As a % | of Total | As a % | |||||||||||||||||||||
Level 3 | Level 3 | of Total | Level 3 | Level 3 | of Total | |||||||||||||||||||
(Dollars in millions) | Fair Value | Assets | Assets | Fair Value | Assets | Assets | ||||||||||||||||||
Trading account assets
|
$ | 14,024 | 19.16 | % | 0.62 | % | $ | 15,525 | 19.56 | % | 0.69 | % | ||||||||||||
Derivative assets
|
15,214 | 20.79 | 0.67 | 18,773 | 23.65 | 0.83 | ||||||||||||||||||
AFS debt securities
|
13,462 | 18.40 | 0.60 | 15,873 | 19.99 | 0.70 | ||||||||||||||||||
All other Level 3 assets at fair value
|
30,476 | 41.65 | 1.35 | 29,217 | 36.80 | 1.29 | ||||||||||||||||||
Total Level 3 assets at fair value
(1)
|
$ | 73,176 | 100.00 | % | 3.24 | % | $ | 79,388 | 100.00 | % | 3.51 | % | ||||||||||||
As a % | As a % | |||||||||||||||||||||||
of Total | As a % | of Total | As a % | |||||||||||||||||||||
Level 3 | Level 3 | of Total | Level 3 | Level 3 | of Total | |||||||||||||||||||
Fair Value | Liabilities | Liabilities | Fair Value | Liabilities | Liabilities | |||||||||||||||||||
Derivative liabilities
|
$ | 9,796 | 66.62 | % | 0.48 | % | $ | 11,028 | 70.90 | % | 0.54 | % | ||||||||||||
Long-term debt
|
3,324 | 22.61 | 0.16 | 2,986 | 19.20 | 0.15 | ||||||||||||||||||
All other Level 3 liabilities at fair value
|
1,584 | 10.77 | 0.08 | 1,541 | 9.90 | 0.07 | ||||||||||||||||||
Total Level 3 liabilities at fair value
(1)
|
$ | 14,704 | 100.00 | % | 0.72 | % | $ | 15,555 | 100.00 | % | 0.76 | % | ||||||||||||
(1) |
Level 3 total assets and liabilities are shown before the impact of counterparty
netting related to our derivative positions.
|
121
122
123
124
125
ABS
|
Asset-backed securities | |
AFS
|
Available-for-sale | |
ALM
|
Asset and liability management | |
ALMRC
|
Asset Liability Market Risk Committee | |
ARM
|
Adjustable-rate mortgage | |
CDO
|
Collateralized debt obligation | |
CES
|
Common Equivalent Securities | |
CMBS
|
Commercial mortgage-backed securities | |
CRA
|
Community Reinvestment Act | |
CRC
|
Credit Risk Committee | |
DVA
|
Debit valuation adjustment | |
EAD
|
Exposure at default | |
FDIC
|
Federal Deposit Insurance Corporation | |
FFIEC
|
Federal Financial Institutions Examination Council | |
FHA
|
Federal Housing Administration | |
FHLMC
|
Freddie Mac | |
FICC
|
Fixed income, currencies and commodities | |
FICO
|
Fair Isaac Corporation (credit score) | |
FNMA
|
Fannie Mae | |
FTE
|
Fully taxable-equivalent | |
GAAP
|
Accounting principles generally accepted in the United States of America | |
GNMA
|
Government National Mortgage Association | |
GRC
|
Global Markets Risk Committee | |
GSE
|
Government-sponsored enterprise | |
HFI
|
Held-for-investment | |
HPI
|
Home Price Index | |
HUD
|
U.S. Department of Housing and Urban Development | |
IPO
|
Initial public offering | |
LCR
|
Liquidity Coverage Ratio | |
LGD
|
Loss given default | |
LHFS
|
Loans held-for-sale | |
LIBOR
|
London InterBank Offered Rate | |
MBS
|
Mortgage-backed securities | |
MD&A
|
Managements Discussion and Analysis of Financial Condition and Results of Operations | |
MSA
|
Metropolitan Statistical Area | |
NSFR
|
Net Stable Funding Ratio | |
OCC
|
Office of the Comptroller of the Currency | |
OCI
|
Other comprehensive income | |
ORC
|
Operational Risk Committee | |
OTC
|
Over-the-counter | |
OTTI
|
Other-than-temporary impairment | |
RMBS
|
Residential mortgage-backed securities | |
ROTE
|
Return on average tangible shareholders equity | |
SBLCs
|
Standby letters of credit | |
SEC
|
Securities and Exchange Commission | |
TLGP
|
Temporary Liquidity Guarantee Program |
126
127
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions, except per share information) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Interest income
|
||||||||||||||||
Loans and leases
|
$ | 11,320 | $ | 12,887 | $ | 23,249 | $ | 26,362 | ||||||||
Debt securities
|
2,675 | 2,917 | 5,557 | 6,033 | ||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
597 | 457 | 1,114 | 905 | ||||||||||||
Trading account assets
|
1,538 | 1,796 | 3,164 | 3,539 | ||||||||||||
Other interest income
|
918 | 1,062 | 1,886 | 2,159 | ||||||||||||
Total interest income
|
17,048 | 19,119 | 34,970 | 38,998 | ||||||||||||
|
||||||||||||||||
Interest expense
|
||||||||||||||||
Deposits
|
843 | 1,031 | 1,682 | 2,153 | ||||||||||||
Short-term borrowings
|
1,341 | 891 | 2,525 | 1,709 | ||||||||||||
Trading account liabilities
|
627 | 715 | 1,254 | 1,375 | ||||||||||||
Long-term debt
|
2,991 | 3,582 | 6,084 | 7,112 | ||||||||||||
Total interest expense
|
5,802 | 6,219 | 11,545 | 12,349 | ||||||||||||
Net interest income
|
11,246 | 12,900 | 23,425 | 26,649 | ||||||||||||
|
||||||||||||||||
Noninterest income
|
||||||||||||||||
Card income
|
1,967 | 2,023 | 3,795 | 3,999 | ||||||||||||
Service charges
|
2,012 | 2,576 | 4,044 | 5,142 | ||||||||||||
Investment and brokerage services
|
3,009 | 2,994 | 6,110 | 6,019 | ||||||||||||
Investment banking income
|
1,684 | 1,319 | 3,262 | 2,559 | ||||||||||||
Equity investment income
|
1,212 | 2,766 | 2,687 | 3,391 | ||||||||||||
Trading account profits
|
2,091 | 1,227 | 4,813 | 6,463 | ||||||||||||
Mortgage banking income (loss)
|
(13,196 | ) | 898 | (12,566 | ) | 2,398 | ||||||||||
Insurance income
|
400 | 678 | 1,013 | 1,393 | ||||||||||||
Gains on sales of debt securities
|
899 | 37 | 1,445 | 771 | ||||||||||||
Other income
|
1,957 | 1,861 | 2,218 | 3,065 | ||||||||||||
Other-than-temporary impairment losses on available-for-sale debt securities:
|
||||||||||||||||
Total other-than-temporary impairment losses
|
(63 | ) | (462 | ) | (157 | ) | (1,783 | ) | ||||||||
Less: Portion of other-than-temporary impairment losses recognized in other
comprehensive income
|
18 | 336 | 24 | 1,056 | ||||||||||||
Net impairment losses recognized in earnings on available-for-sale debt securities
|
(45 | ) | (126 | ) | (133 | ) | (727 | ) | ||||||||
Total noninterest income
|
1,990 | 16,253 | 16,688 | 34,473 | ||||||||||||
Total revenue, net of interest expense
|
13,236 | 29,153 | 40,113 | 61,122 | ||||||||||||
|
||||||||||||||||
Provision for credit losses
|
3,255 | 8,105 | 7,069 | 17,910 | ||||||||||||
|
||||||||||||||||
Noninterest expense
|
||||||||||||||||
Personnel
|
9,171 | 8,789 | 19,339 | 17,947 | ||||||||||||
Occupancy
|
1,245 | 1,182 | 2,434 | 2,354 | ||||||||||||
Equipment
|
593 | 613 | 1,199 | 1,226 | ||||||||||||
Marketing
|
560 | 495 | 1,124 | 982 | ||||||||||||
Professional fees
|
766 | 644 | 1,412 | 1,161 | ||||||||||||
Amortization of intangibles
|
382 | 439 | 767 | 885 | ||||||||||||
Data processing
|
643 | 632 | 1,338 | 1,280 | ||||||||||||
Telecommunications
|
391 | 359 | 762 | 689 | ||||||||||||
Other general operating
|
6,343 | 3,592 | 11,800 | 7,475 | ||||||||||||
Goodwill impairment
|
2,603 | - | 2,603 | - | ||||||||||||
Merger and restructuring charges
|
159 | 508 | 361 | 1,029 | ||||||||||||
Total noninterest expense
|
22,856 | 17,253 | 43,139 | 35,028 | ||||||||||||
Income (loss) before income taxes
|
(12,875 | ) | 3,795 | (10,095 | ) | 8,184 | ||||||||||
Income tax expense (benefit)
|
(4,049 | ) | 672 | (3,318 | ) | 1,879 | ||||||||||
Net income (loss)
|
$ | (8,826 | ) | $ | 3,123 | $ | (6,777 | ) | $ | 6,305 | ||||||
Preferred stock dividends
|
301 | 340 | 611 | 688 | ||||||||||||
Net income (loss) applicable to common shareholders
|
$ | (9,127 | ) | $ | 2,783 | $ | (7,388 | ) | $ | 5,617 | ||||||
|
||||||||||||||||
Per common share information
|
||||||||||||||||
Earnings (loss)
|
$ | (0.90 | ) | $ | 0.28 | $ | (0.73 | ) | $ | 0.56 | ||||||
Diluted earnings (loss)
|
(0.90 | ) | 0.27 | (0.73 | ) | 0.55 | ||||||||||
Dividends paid
|
0.01 | 0.01 | 0.02 | 0.02 | ||||||||||||
Average common shares issued and outstanding (in thousands)
|
10,094,928 | 9,956,773 | 10,085,479 | 9,570,166 | ||||||||||||
Average diluted common shares issued and outstanding (in thousands)
|
10,094,928 | 10,029,776 | 10,085,479 | 10,020,926 | ||||||||||||
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
Table of Contents
Table of Contents
Common Stock and
Accumulated
Additional Paid-in
Other
Total
Comprehensive
Preferred
Capital
Retained
Comprehensive
Shareholders
Income
(Dollars in millions, shares in thousands)
Stock
Shares
Amount
Earnings
Income (Loss)
Other
Equity
(Loss)
$
37,208
8,650,244
$
128,734
$
71,233
$
(5,619
)
$
(112
)
$
231,444
(6,154
)
(116
)
(6,270
)
$
(116
)
6,305
6,305
6,305
1,520
1,520
1,520
(505
)
(505
)
(505
)
127
127
127
146
146
146
(202
)
(202
)
(688
)
(688
)
96,773
1,197
61
1,258
(19,244
)
1,286,000
19,244
-
29
3
7
39
$
17,993
10,033,017
$
149,175
$
70,497
$
(4,447
)
$
(44
)
$
233,174
$
7,477
$
16,562
10,085,155
$
150,905
$
60,849
$
(66
)
$
(2
)
$
228,248
(6,777
)
(6,777
)
$
(6,777
)
754
754
754
(66
)
(66
)
(66
)
138
138
138
33
33
33
(207
)
(207
)
(611
)
(611
)
48,035
662
1
663
-
1
1
$
16,562
10,133,190
$
151,567
$
53,254
$
793
$
-
$
222,176
$
(5,918
)
Table of Contents
Six Months Ended
June 30
(Dollars in millions)
2011
2010
$
(6,777
)
$
6,305
7,069
17,910
2,603
-
(1,445
)
(771
)
1,002
1,113
767
885
(3,418
)
1,264
4,716
32,108
19,340
3,205
9,556
2,518
17,790
(25,186
)
51,203
39,351
6,142
3,561
(25,565
)
(57,734
)
41,422
63,356
28,729
36,458
(59,846
)
(99,704
)
-
3
-
(100
)
1,517
3,525
(8,147
)
19,657
(489
)
(149
)
1,146
1,342
-
2,807
(313
)
6,905
(15,404
)
(20,073
)
27,978
(17,144
)
(5,838
)
52,026
(9,330
)
(18,303
)
16,959
38,920
(53,929
)
(44,157
)
(818
)
(890
)
39
47
-
(34
)
(24,939
)
10,465
240
(48
)
11,100
29,695
108,427
121,339
$
119,527
$
151,034
Table of Contents
Notes to Consolidated Financial Statements
Table of Contents
Table of Contents
Table of Contents
Three Months Ended
Six Months Ended
June 30
June 30
2011
2010
2011
2010
$
65
$
123
$
133
$
274
79
329
185
639
15
56
43
116
$
159
$
508
$
361
$
1,029
Restructuring Reserves
2011
2010
$
336
$
403
65
106
-
30
(237
)
(294
)
$
164
$
245
62
93
-
23
(57
)
(101
)
$
169
$
260
June 30
December 31
2011
2010
$
45,968
$
60,811
49,309
49,352
46,723
33,523
37,801
32,129
17,138
18,856
$
196,939
$
194,671
$
25,552
$
29,340
22,062
15,813
16,424
15,482
10,951
11,350
$
74,989
$
71,985
(1)
Table of Contents
June 30, 2011
Gross Derivative Assets
Gross Derivative Liabilities
Trading
Trading
Derivatives
Derivatives
and
Qualifying
and
Qualifying
Contract/
Economic
Accounting
Economic
Accounting
(Dollars in billions)
Notional
(1)
Hedges
Hedges
Total
Hedges
Hedges
(2)
Total
$
45,518.3
$
1,114.0
$
9.8
$
1,123.8
$
1,106.3
$
3.8
$
1,110.1
12,471.9
3.5
-
3.5
4.1
-
4.1
3,089.1
-
-
-
78.4
-
78.4
3,132.4
84.0
-
84.0
-
-
-
880.8
32.6
3.6
36.2
32.4
0.7
33.1
3,109.3
36.7
0.5
37.2
37.3
0.9
38.2
545.7
-
-
-
12.4
-
12.4
542.2
11.1
-
11.1
-
-
-
43.4
1.2
-
1.2
1.5
-
1.5
105.9
2.5
-
2.5
2.4
-
2.4
530.7
-
-
-
20.7
-
20.7
254.1
22.6
-
22.6
-
-
-
87.4
5.9
0.1
6.0
6.5
-
6.5
534.5
4.2
-
4.2
3.0
-
3.0
120.3
-
-
-
8.0
-
8.0
120.0
7.7
-
7.7
-
-
-
2,065.7
59.8
-
59.8
29.2
-
29.2
41.4
0.4
-
0.4
0.3
-
0.3
1,990.5
28.5
-
28.5
51.9
-
51.9
40.8
0.5
-
0.5
0.6
-
0.6
$
1,415.2
$
14.0
$
1,429.2
$
1,395.0
$
5.4
$
1,400.4
(1,303.8
)
(1,303.8
)
(58.8
)
(42.2
)
$
66.6
$
54.4
(1)
(2)
Table of Contents
December 31, 2010
Gross Derivative Assets
Gross Derivative Liabilities
Trading
Trading
Derivatives
Derivatives
and
Qualifying
and
Qualifying
Contract/
Economic
Accounting
Economic
Accounting
(Dollars in billions)
Notional
(1)
Hedges
Hedges
Total
Hedges
Hedges
(2)
Total
$
42,719.2
$
1,193.9
$
14.9
$
1,208.8
$
1,187.9
$
2.2
$
1,190.1
9,939.2
6.0
-
6.0
4.7
-
4.7
2,887.7
-
-
-
82.8
-
82.8
3,026.2
88.0
-
88.0
-
-
-
630.1
26.5
3.7
30.2
28.5
2.1
30.6
2,652.9
41.3
-
41.3
44.2
-
44.2
439.6
-
-
-
13.2
-
13.2
417.1
13.0
-
13.0
-
-
-
42.4
1.7
-
1.7
2.0
-
2.0
78.8
2.9
-
2.9
2.1
-
2.1
242.7
-
-
-
19.4
-
19.4
193.5
21.5
-
21.5
-
-
-
90.2
8.8
0.2
9.0
9.3
-
9.3
413.7
4.1
-
4.1
2.8
-
2.8
86.3
-
-
-
6.7
-
6.7
84.6
6.6
-
6.6
-
-
-
2,184.7
69.8
-
69.8
34.0
-
34.0
26.0
0.9
-
0.9
0.2
-
0.2
2,133.5
33.3
-
33.3
63.2
-
63.2
22.5
0.5
-
0.5
0.5
-
0.5
$
1,518.8
$
18.8
$
1,537.6
$
1,501.5
$
4.3
$
1,505.8
(1,406.3
)
(1,406.3
)
(58.3
)
(43.6
)
$
73.0
$
55.9
(1)
(2)
Table of Contents
Three Months Ended June 30
Six Months Ended June 30
2011
2011
Hedged
Hedge
Hedged
Hedge
Derivative
Item
Ineffectiveness
Derivative
Item
Ineffectiveness
$
1,373
$
(1,494
)
$
(121
)
$
439
$
(705
)
$
(266
)
1,438
(1,487
)
(49
)
2,188
(2,293
)
(105
)
(1,873
)
1,630
(243
)
(721
)
546
(175
)
20
(20
)
-
16
(16
)
-
$
958
$
(1,371
)
$
(413
)
$
1,922
$
(2,468
)
$
(546
)
2010
2010
$
3,202
$
(3,318
)
$
(116
)
$
4,086
$
(4,330
)
$
(244
)
(1,907
)
1,704
(203
)
(3,282
)
2,955
(327
)
(5,240
)
5,165
(75
)
(5,270
)
5,184
(86
)
(16
)
15
(1
)
42
(46
)
(4
)
$
(3,961
)
$
3,566
$
(395
)
$
(4,424
)
$
3,763
$
(661
)
(1)
(2)
(3)
Table of Contents
Three Months Ended June 30
Six Months Ended June 30
2011
2011
Hedge
Hedge
Gains (Losses)
Gains (Losses)
Ineffectiveness and
Gains (Losses)
Gains (Losses)
Ineffectiveness and
Recognized in
in Income
Amounts Excluded
Recognized in
in Income
Amounts Excluded
Accumulated OCI
Reclassified from
from Effectiveness
Accumulated OCI
Reclassified from
from Effectiveness
(Dollars in millions, amounts pre-tax)
on Derivatives
Accumulated OCI
Testing
(1)
on Derivatives
Accumulated OCI
Testing
(1)
$
(878
)
$
(444
)
$
(30
)
$
(722
)
$
(748
)
$
(34
)
(1
)
1
-
(9
)
3
(2
)
(136
)
(44
)
-
(191
)
(70
)
-
$
(1,015
)
$
(487
)
$
(30
)
$
(922
)
$
(815
)
$
(36
)
$
(653
)
$
-
$
(139
)
$
(1,615
)
$
423
$
(250
)
2010
2010
$
(856
)
$
(105
)
$
(6
)
$
(1,358
)
$
(186
)
$
(20
)
(5
)
10
1
27
13
2
(181
)
6
-
(37
)
17
-
180
(226
)
-
186
(226
)
-
$
(862
)
$
(315
)
$
(5
)
$
(1,182
)
$
(382
)
$
(18
)
$
906
$
-
$
(68
)
$
1,885
$
-
$
(132
)
(1)
Table of Contents
Three Months Ended June 30
Six Months Ended June 30
2011
2010
2011
2010
$
1,221
$
2,041
$
1,166
$
3,397
530
2,700
385
3,312
-
31
(30
)
(27
)
1,826
(5,221
)
5,220
(9,209
)
(166
)
(194
)
(176
)
(98
)
$
3,411
$
(643
)
$
6,565
$
(2,625
)
(1)
(2)
(3)
(4)
(5)
Table of Contents
Three Months Ended June 30
2011
2010
Trading
Trading
Account
Other
Net Interest
Account
Other
Net Interest
Profits
Income
(1, 2)
Income
(3)
Total
Profits
Income
(1, 2)
Income
(3)
Total
$
488
$
16
$
199
$
703
$
434
$
21
$
138
$
593
261
(16
)
4
249
234
(11
)
1
224
539
564
(22
)
1,081
202
727
(47
)
882
579
218
760
1,557
447
73
959
1,479
164
12
(31
)
145
(129
)
30
(43
)
(142
)
$
2,031
$
794
$
910
$
3,735
$
1,188
$
840
$
1,008
$
3,036
Six Months Ended June 30
2011
2010
$
791
$
(7
)
$
415
$
1,199
$
1,493
$
48
$
327
$
1,868
493
(31
)
7
469
515
(18
)
1
498
1,059
1,241
30
2,330
1,077
1,322
(3
)
2,396
1,983
769
1,552
4,304
3,109
121
1,953
5,183
293
45
(65
)
273
50
68
(98
)
20
$
4,619
$
2,017
$
1,939
$
8,575
$
6,244
$
1,541
$
2,180
$
9,965
(1)
(2)
(3)
Table of Contents
June 30, 2011
Carrying Value
Less than
One to Three
Three to
Over Five
One Year
Years
Five Years
Years
Total
$
113
$
1,393
$
5,263
$
5,788
$
12,557
758
5,380
8,334
24,864
39,336
871
6,773
13,597
30,652
51,893
-
35
79
255
369
2
8
32
209
251
2
43
111
464
620
$
873
$
6,816
$
13,708
$
31,116
$
52,513
1
17
415
2,952
3,385
9
26
208
1,722
1,965
$
10
$
43
$
623
$
4,674
$
5,350
Maximum Payout/Notional
$
133,694
$
434,130
$
456,682
$
195,869
$
1,220,375
97,824
273,164
201,725
197,442
770,155
231,518
707,294
658,407
393,311
1,990,530
110
2,493
29,026
4,953
36,582
83
942
2,272
909
4,206
193
3,435
31,298
5,862
40,788
$
231,711
$
710,729
$
689,705
$
399,173
$
2,031,318
December 31, 2010
Carrying Value
Less than
One to Three
Three to
Over Five
One Year
Years
Five Years
Years
Total
$
158
$
2,607
$
7,331
$
14,880
$
24,976
598
6,630
7,854
23,106
38,188
756
9,237
15,185
37,986
63,164
-
-
38
60
98
1
2
2
415
420
1
2
40
475
518
$
757
$
9,239
$
15,225
$
38,461
$
63,682
-
136
-
3,525
3,661
9
33
174
2,423
2,639
$
9
$
169
$
174
$
5,948
$
6,300
Maximum Payout/Notional
$
133,691
$
466,565
$
475,715
$
275,434
$
1,351,405
84,851
314,422
178,880
203,930
782,083
218,542
780,987
654,595
479,364
2,133,488
-
10
15,413
4,012
19,435
113
78
951
1,897
3,039
113
88
16,364
5,909
22,474
$
218,655
$
781,075
$
670,959
$
485,273
$
2,155,962
(1)
(2)
Table of Contents
Table of Contents
Gross
Gross
Amortized
Unrealized
Unrealized
Cost
Gains
Losses
Fair Value
$
49,874
$
684
$
(1,289
)
$
49,269
180,151
3,128
(1,663
)
181,616
48,212
930
(31
)
49,111
19,564
568
(557
)
19,575
6,018
702
(2
)
6,718
4,314
62
(16
)
4,360
4,388
154
(4
)
4,538
12,010
79
(66
)
12,023
324,531
6,307
(3,628
)
327,210
3,808
18
(165
)
3,661
$
328,339
$
6,325
$
(3,793
)
$
330,871
$
8,536
$
10,445
$
(19
)
$
18,962
$
49,413
$
604
$
(912
)
$
49,105
190,409
3,048
(2,240
)
191,217
36,639
401
(23
)
37,017
23,458
588
(929
)
23,117
6,167
686
(1
)
6,852
4,054
92
(7
)
4,139
5,157
144
(10
)
5,291
15,514
39
(161
)
15,392
330,811
5,602
(4,283
)
332,130
5,687
32
(222
)
5,497
$
336,498
$
5,634
$
(4,505
)
$
337,627
$
8,650
$
10,628
$
(13
)
$
19,265
(1)
(2)
Table of Contents
Three Months Ended June 30, 2011
Non-agency
Non-agency
Other
Residential
Commercial
Non-U.S.
Corporate
Taxable
MBS
MBS
Securities
Bonds
Securities
Total
$
(48
)
$
-
$
(12
)
$
-
$
(3
)
$
(63
)
17
-
-
-
1
18
$
(31
)
$
-
$
(12
)
$
-
$
(2
)
$
(45
)
Three Months Ended June 30, 2010
$
(145
)
$
(1
)
$
(285
)
$
-
$
(31
)
$
(462
)
74
-
261
-
1
336
$
(71
)
$
(1
)
$
(24
)
$
-
$
(30
)
$
(126
)
Six months Ended June 30, 2011
$
(142
)
$
-
$
(12
)
$
-
$
(3
)
$
(157
)
23
-
-
-
1
24
$
(119
)
$
-
$
(12
)
$
-
$
(2
)
$
(133
)
Six months Ended June 30, 2010
$
(463
)
$
(1
)
$
(975
)
$
(2
)
$
(342
)
$
(1,783
)
119
-
780
-
157
1,056
$
(344
)
$
(1
)
$
(195
)
$
(2
)
$
(185
)
$
(727
)
Three Months Ended June 30
Six Months Ended June 30
2011
2010
2011
2010
$
378
$
1,084
$
326
$
706
14
47
47
271
31
79
86
456
(5
)
(510
)
(41
)
(733
)
$
418
$
700
$
418
$
700
Table of Contents
Range
(1)
10
th
90
th
Weighted-
average
Percentile
(2)
Percentile
(2)
8.2
%
3.0
%
16.0
%
49.6
17.3
62.1
51.8
2.2
99.1
(1)
(2)
Table of Contents
Less than
Twelve Months
Twelve Months
or Longer
Total
Gross
Gross
Gross
Fair
Unrealized
Fair
Unrealized
Fair
Unrealized
(Dollars in millions)
Value
Losses
Value
Losses
Value
Losses
$
-
$
-
$
29,514
$
(1,289
)
$
29,514
$
(1,289
)
75,586
(1,622
)
1,378
(41
)
76,964
(1,663
)
2,042
(7
)
1,072
(24
)
3,114
(31
)
4,165
(204
)
2,354
(235
)
6,519
(439
)
57
(1
)
8
(1
)
65
(2
)
-
-
61
(16
)
61
(16
)
-
-
100
(4
)
100
(4
)
-
-
3,962
(50
)
3,962
(50
)
81,850
(1,834
)
38,449
(1,660
)
120,299
(3,494
)
1,612
(78
)
1,487
(86
)
3,099
(164
)
83,462
(1,912
)
39,936
(1,746
)
123,398
(3,658
)
12
(7
)
22
(12
)
34
(19
)
83,474
(1,919
)
39,958
(1,758
)
123,432
(3,677
)
175
(16
)
598
(102
)
773
(118
)
-
-
124
(16
)
124
(16
)
-
-
7
(1
)
7
(1
)
$
83,649
$
(1,935
)
$
40,687
$
(1,877
)
$
124,336
$
(3,812
)
$
27,384
$
(763
)
$
2,382
$
(149
)
$
29,766
$
(912
)
85,517
(2,240
)
-
-
85,517
(2,240
)
3,220
(23
)
-
-
3,220
(23
)
6,385
(205
)
2,245
(274
)
8,630
(479
)
47
(1
)
-
-
47
(1
)
-
-
70
(7
)
70
(7
)
465
(9
)
22
(1
)
487
(10
)
3,414
(38
)
46
(7
)
3,460
(45
)
126,432
(3,279
)
4,765
(438
)
131,197
(3,717
)
2,325
(95
)
568
(119
)
2,893
(214
)
128,757
(3,374
)
5,333
(557
)
134,090
(3,931
)
7
(2
)
19
(11
)
26
(13
)
128,764
(3,376
)
5,352
(568
)
134,116
(3,944
)
128
(11
)
530
(439
)
658
(450
)
-
-
223
(116
)
223
(116
)
68
(8
)
-
-
68
(8
)
$
128,960
$
(3,395
)
$
6,105
$
(1,123
)
$
135,065
$
(4,518
)
(1)
(2)
Table of Contents
June 30, 2011
December 31, 2010
Amortized
Fair
Amortized
Fair
(Dollars in millions)
Cost
Value
Cost
Value
$
133,053
$
132,917
$
123,662
$
123,107
27,833
27,894
72,863
74,305
67,477
69,916
30,523
30,822
46,961
46,174
46,576
46,081
June 30, 2011
Due after One
Due after Five
Due in One
Year through
Years through
Due after
Year or Less
Five Years
Ten Years
Ten Years
Total
(Dollars in millions)
Amount
Yield
(1)
Amount
Yield
(1)
Amount
Yield
(1)
Amount
Yield
(1)
Amount
Yield
(1)
$
492
4.80
%
$
1,633
2.00
%
$
12,290
3.30
%
$
35,459
4.10
%
$
49,874
3.90
%
25
4.40
67,665
4.00
43,235
4.00
69,226
3.70
180,151
3.90
62
0.60
17,650
3.00
13,115
4.20
17,385
3.50
48,212
3.50
188
7.00
3,205
5.90
1,236
5.90
14,935
4.20
19,564
4.60
486
4.40
5,135
6.60
131
6.80
266
6.80
6,018
6.50
2,058
0.60
2,087
4.90
169
3.70
-
-
4,314
4.90
241
3.60
2,859
2.10
1,127
3.50
161
0.80
4,388
2.40
1,344
1.40
5,329
1.40
1,136
1.90
4,201
0.50
12,010
1.10
4,896
2.03
105,563
3.82
72,439
3.91
141,633
3.74
324,531
3.82
89
4.30
746
4.40
856
4.50
2,117
4.60
3,808
4.50
$
4,985
2.07
$
106,309
3.83
$
73,295
3.92
$
143,750
3.75
$
328,339
3.83
$
493
$
1,676
$
12,694
$
34,406
$
49,269
27
69,599
43,866
68,124
181,616
62
17,959
13,614
17,476
49,111
152
3,188
1,263
14,972
19,575
490
5,782
147
299
6,718
2,055
2,132
173
-
4,360
245
2,951
1,181
161
4,538
1,346
5,374
1,153
4,150
12,023
4,870
108,661
74,091
139,588
327,210
90
739
828
2,004
3,661
$
4,960
$
109,400
$
74,919
$
141,592
$
330,871
(1)
Three Months Ended June 30
Six Months Ended June 30
(Dollars in millions)
2011
2010
2011
2010
$
901
$
942
$
1,455
$
1,848
(2
)
(905
)
(10
)
(1,077
)
$
899
$
37
$
1,445
$
771
$
333
$
14
$
535
$
285
Table of Contents
Table of Contents
June 30, 2011
Loans
Total Past
Total Current
Purchased
Accounted for
30-59 Days
60-89 Days
90 Days or
Due 30 Days
or Less Than 30
Credit -
Under the Fair
Total
(Dollars in millions)
Past Due
(1)
Past Due
(1)
More Past Due
(2)
or More
Days Past Due
(3)
impaired
(4)
Value Option
Outstandings
$
1,777
$
594
$
1,842
$
4,213
$
171,339
$
-
$
175,552
236
148
250
634
68,537
-
69,171
3,864
2,523
33,277
39,664
40,893
10,224
90,781
882
541
1,764
3,187
45,981
12,315
61,483
59
31
403
493
633
10,877
12,003
1,032
818
2,413
4,263
100,396
-
104,659
363
245
607
1,215
24,822
-
26,037
782
343
855
1,980
88,278
-
90,258
53
22
28
103
2,659
-
2,762
9,048
5,265
41,439
55,752
543,538
33,416
632,706
$
5,194
5,194
9,048
5,265
41,439
55,752
543,538
33,416
5,194
637,900
568
199
1,046
1,813
174,863
1
176,677
230
210
2,904
3,344
40,530
154
44,028
29
30
28
87
21,304
-
21,391
1
-
3
4
42,899
26
42,929
143
117
332
592
13,337
-
13,929
971
556
4,313
5,840
292,933
181
298,954
4,403
4,403
971
556
4,313
5,840
292,933
181
4,403
303,357
$
10,019
$
5,821
$
45,752
$
61,592
$
836,471
$
33,597
$
9,597
$
941,257
1.06
%
0.62
%
4.86
%
6.54
%
88.87
%
3.57
%
1.02
%
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
Table of Contents
December 31, 2010
Loans
Total Past
Total Current
Purchased
Accounted for
30-59 Days
60-89 Days
90 Days or
Due 30 Days
or Less Than 30
Credit -
Under the Fair
Total
(Dollars in millions)
Past Due
(1)
Past Due
(1)
More Past Due
(2)
or More
Days Past Due
(3)
impaired
(4)
Value Option
Outstandings
$
1,160
$
236
$
1,255
$
2,651
$
164,276
$
-
$
166,927
186
12
105
303
71,216
-
71,519
3,999
2,879
31,985
38,863
41,591
10,592
91,046
1,096
792
2,186
4,074
49,798
12,590
66,462
68
39
419
526
930
11,652
13,108
1,398
1,195
3,320
5,913
107,872
-
113,785
439
316
599
1,354
26,111
-
27,465
1,086
522
1,104
2,712
87,596
-
90,308
65
25
50
140
2,690
-
2,830
9,497
6,016
41,023
56,536
552,080
34,834
643,450
605
341
1,453
2,399
173,185
2
175,586
535
186
3,554
4,275
44,957
161
49,393
95
23
31
149
21,793
-
21,942
25
2
6
33
31,955
41
32,029
195
165
438
798
13,921
-
14,719
1,455
717
5,482
7,654
285,811
204
293,669
-
-
-
-
-
-
$
3,321
3,321
1,455
717
5,482
7,654
285,811
204
3,321
296,990
$
10,952
$
6,733
$
46,505
$
64,190
$
837,891
$
35,038
$
3,321
$
940,440
1.16
%
0.72
%
4.95
%
6.83
%
89.10
%
3.72
%
0.35
%
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
Table of Contents
Nonperforming Loans and Leases
Accruing Past Due 90 Days or More
June 30
December 31
June 30
December 31
(Dollars in millions)
2011
2010
2011
2010
$
1,670
$
1,510
$
431
$
16
261
107
-
-
15,056
16,181
19,616
16,752
2,084
2,587
-
-
324
331
-
-
n/a
n/a
2,413
3,320
n/a
n/a
607
599
58
90
810
1,058
25
48
3
2
19,478
20,854
23,880
21,747
2,767
3,453
83
236
5,051
5,829
45
47
23
117
22
18
108
233
3
6
156
204
257
325
8,105
9,836
410
632
$
27,583
$
30,690
$
24,290
$
22,379
Table of Contents
Table of Contents
Home Loans
(1)
June 30, 2011
Legacy Asset
Legacy Asset
Countrywide
Core Portfolio
Servicing
Countrywide
Core Portfolio
Legacy Asset
Countrywide
Servicing
Discontinued
Residential
Residential
Residential
Home
Servicing Home
Home Equity
Discontinued
Real Estate
(Dollars in millions)
Mortgage
(2)
Mortgage
(2)
Mortgage PCI
Equity
(2)
Equity
(2)
PCI
Real Estate
(2)
PCI
$
85,776
$
20,459
$
3,707
$
46,086
$
17,193
$
2,236
$
767
$
6,678
12,094
6,322
1,589
7,787
5,137
1,033
125
1,275
18,325
26,889
4,928
15,298
26,838
9,046
234
2,924
59,357
26,887
-
-
-
-
-
-
$
175,552
$
80,557
$
10,224
$
69,171
$
49,168
$
12,315
$
1,126
$
10,877
$
5,518
$
20,367
$
3,920
$
4,111
$
10,068
$
3,248
$
523
$
6,731
110,677
33,303
6,304
65,060
39,100
9,067
603
4,146
59,357
26,887
-
-
-
-
-
-
$
175,552
$
80,557
$
10,224
$
69,171
$
49,168
$
12,315
$
1,126
$
10,877
(1)
(2)
(3)
(4)
Credit Card and Other Consumer
June 30, 2011
U.S. Credit
Non-U.S.
Direct/Indirect
Other
(Dollars in millions)
Card
Credit Card
Consumer
Consumer
(1)
$
10,809
$
512
$
4,935
$
880
93,850
7,517
46,344
913
-
18,008
38,979
969
$
104,659
$
26,037
$
90,258
$
2,762
(1)
(2)
(3)
(4)
Commercial
(1)
June 30, 2011
Commercial
U.S. Small
U.S.
Commercial
Lease
Non-U.S.
Business
(Dollars in millions)
Commercial
Real Estate
Financing
Commercial
Commercial
$
164,199
$
28,026
$
20,390
$
41,105
$
2,724
12,478
16,002
1,001
1,824
939
n/a
n/a
n/a
n/a
682
n/a
n/a
n/a
n/a
4,952
n/a
n/a
n/a
n/a
4,632
$
176,677
$
44,028
$
21,391
$
42,929
$
13,929
(1)
(2)
(3)
n/a
Table of Contents
Home Loans
December 31, 2010
Legacy Asset
Legacy Asset
Countrywide
Core Portfolio
Servicing
Countrywide
Core Portfolio
Legacy Asset
Countrywide
Servicing
Discontinued
Residential
Residential
Residential
Home
Servicing Home
Home Equity
Discontinued
Real Estate
(Dollars in millions)
Mortgage
(1)
Mortgage
(1)
Mortgage PCI
Equity
(1)
Equity
(1)
PCI
Real Estate
(1)
PCI
(2)
$
95,874
$
21,357
$
3,710
$
51,555
$
22,125
$
2,313
$
1,033
$
6,713
11,581
8,234
1,664
7,534
6,504
1,215
155
1,319
14,047
29,043
5,218
12,430
25,243
9,062
268
3,620
45,425
21,820
-
-
-
-
-
-
$
166,927
$
80,454
$
10,592
$
71,519
$
53,872
$
12,590
$
1,456
$
11,652
$
5,193
$
22,126
$
4,016
$
3,932
$
11,562
$
3,206
$
663
$
7,168
116,309
36,508
6,576
67,587
42,310
9,384
793
4,484
45,425
21,820
-
-
-
-
-
-
$
166,927
$
80,454
$
10,592
$
71,519
$
53,872
$
12,590
$
1,456
$
11,652
(1)
(2)
(3)
Credit Card and Other Consumer
December 31, 2010
U.S. Credit
Non-U.S.
Direct/Indirect
Other
(Dollars in millions)
Card
Credit Card
Consumer
Consumer
(1)
$
14,159
$
631
$
6,748
$
979
99,626
7,528
48,209
961
-
19,306
35,351
890
$
113,785
$
27,465
$
90,308
$
2,830
(1)
(2)
(3)
(4)
Commercial
(1)
December 31, 2010
Commercial
U.S. Small
U.S.
Commercial
Lease
Non-U.S.
Business
(Dollars in millions)
Commercial
Real Estate
Financing
Commercial
Commercial
$
160,154
$
29,757
$
20,754
$
30,180
$
3,139
15,432
19,636
1,188
1,849
988
n/a
n/a
n/a
n/a
888
n/a
n/a
n/a
n/a
5,083
n/a
n/a
n/a
n/a
4,621
$
175,586
$
49,393
$
21,942
$
32,029
$
14,719
(1)
(2)
(3)
n/a
Table of Contents
Impaired Loans - Home Loans
Three Months Ended June 30
June 30, 2011
2011
2010
Unpaid
Average
Interest
Average
Interest
Principal
Carrying
Related
Carrying
Income
Carrying
Income
(Dollars in millions)
Balance
Value
Allowance
Value
Recognized
(1)
Value
Recognized
(1)
$
6,955
$
5,400
n/a
$
5,427
$
62
$
4,125
$
43
1,381
395
n/a
419
5
483
5
324
193
n/a
216
2
220
2
$
11,914
$
10,371
$
1,320
$
9,828
$
77
$
5,058
$
46
1,764
1,420
723
1,439
8
1,525
7
303
204
51
181
2
168
2
$
18,869
$
15,771
$
1,320
$
15,255
$
139
$
9,183
$
89
3,145
1,815
723
1,858
13
2,008
12
627
397
51
397
4
388
4
Six Months Ended June 30
2011
2010
$
5,527
$
116
$
3,563
$
79
452
10
455
9
222
4
223
4
$
8,790
$
147
$
5,035
$
101
1,370
15
1,706
12
175
3
160
3
$
14,317
$
263
$
8,598
$
180
1,822
25
2,161
21
397
7
383
7
Year Ended
December 31, 2010
December 31, 2010
$
5,493
$
4,382
n/a
$
4,429
$
184
1,411
437
n/a
493
21
361
218
n/a
219
8
$
8,593
$
7,406
$
1,154
$
5,226
$
196
1,521
1,284
676
1,509
23
247
177
41
170
7
$
14,086
$
11,788
$
1,154
$
9,655
$
380
2,932
1,721
676
2,002
44
608
395
41
389
15
(1)
n/a
Table of Contents
Impaired Loans - Commercial
Three Months Ended June 30
June 30, 2011
2011
2010
Unpaid
Average
Interest
Average
Interest
Principal
Carrying
Related
Carrying
Income
Carrying
Income
(Dollars in millions)
Balance
Value
Allowance
Value
Recognized
(1)
Value
Recognized
(1)
$
984
$
696
n/a
$
534
$
1
$
473
$
-
2,723
1,990
n/a
1,895
1
1,703
2
161
72
n/a
92
-
-
-
-
-
n/a
-
-
-
-
$
3,067
$
2,255
$
340
$
2,463
$
2
$
3,882
$
9
4,330
3,219
165
3,491
2
5,263
7
335
85
5
66
-
221
-
705
677
268
707
6
1,080
9
$
4,051
$
2,951
$
340
$
2,997
$
3
$
4,355
$
9
7,053
5,209
165
5,386
3
6,966
9
496
157
5
158
-
221
-
705
677
268
707
6
1,080
9
Six Months Ended June 30
2011
2010
$
503
$
1
$
474
$
1
1,854
2
1,572
2
71
-
-
-
-
-
-
-
$
2,692
$
3
$
4,006
$
12
3,709
4
5,481
10
122
-
184
-
762
13
1,079
18
$
3,195
$
4
$
4,480
$
13
5,563
6
7,053
12
193
-
184
-
762
13
1,079
18
Year Ended
December 31, 2010
December 31, 2010
$
968
$
441
n/a
$
547
$
3
2,655
1,771
n/a
1,736
8
46
28
n/a
9
-
-
-
n/a
-
-
$
3,891
$
3,193
$
336
$
3,389
$
36
5,682
4,103
208
4,813
29
572
217
91
190
-
935
892
445
1,028
34
$
4,859
$
3,634
$
336
$
3,936
$
39
8,337
5,874
208
6,549
37
618
245
91
199
-
935
892
445
1,028
34
(1)
(2)
n/a
Table of Contents
Impaired Loans - Credit Card and Other Consumer
Three Months Ended June 30
June 30, 2011
2011
2010
Unpaid
Average
Interest
Average
Interest
Principal
Carrying
Related
Carrying
Income
Carrying
Income
(Dollars in millions)
Balance
Value
(1)
Allowance
Value
Recognized
(2)
Value
Recognized
(2)
$
6,867
$
6,919
$
2,279
$
7,637
$
115
$
11,030
$
158
789
808
507
808
1
1,034
4
1,542
1,552
586
1,686
23
2,199
29
Six Months Ended June 30
2011
2010
$
8,100
$
242
$
11,170
$
329
803
3
1,154
9
1,763
47
2,202
57
Year Ended
December 31, 2010
December 31, 2010
$
8,680
$
8,766
$
3,458
$
10,549
$
621
778
797
506
973
21
1,846
1,858
822
2,126
111
(1)
(2)
Renegotiated TDR Portfolio
Percent of Balances Current or
Internal Programs
External Programs
Other
Total
Less Than 30 Days Past Due
June 30
December 31
June 30
December 31
June 30
December 31
June 30
December 31
June 30
December 31
(Dollars in millions)
2011
2010
2011
2010
2011
2010
2011
2010
2011
2010
$
5,073
$
6,592
$
1,707
$
1,927
$
139
$
247
$
6,919
$
8,766
79.59
%
77.66
%
279
282
164
176
365
339
808
797
54.80
58.86
1,005
1,222
473
531
74
105
1,552
1,858
80.76
78.81
6,357
8,096
2,344
2,634
578
691
9,279
11,421
77.62
76.51
468
624
52
58
1
6
521
688
67.70
%
65.37
%
468
624
52
58
1
6
521
688
67.70
65.37
$
6,825
$
8,720
$
2,396
$
2,692
$
579
$
697
$
9,800
$
12,109
77.09
75.90
Table of Contents
June 30
March 31
December 31
(Dollars in millions)
2011
2011
2010
$
38,488
$
40,040
$
41,446
33,416
34,132
34,834
8,239
7,845
6,334
1,582
1,629
1,698
1,474
1,508
1,559
154
136
83
$
842
$
859
$
870
181
192
204
1
1
12
Three Months Ended
Six Months Ended
(Dollars in millions)
June 30, 2011
June 30, 2011
$
6,317
$
5,722
(341
)
(708
)
(35
)
(64
)
(118
)
873
$
5,823
$
5,823
Table of Contents
Three Months Ended June 30, 2011
Credit Card
and Other
Total
(Dollars in millions)
Home Loans
Consumer
Commercial
Allowance
$
20,097
$
13,271
$
6,475
$
39,843
(2,603
)
(3,245
)
(759
)
(6,607
)
210
476
256
942
(2,393
)
(2,769
)
(503
)
(5,665
)
3,249
529
(518
)
3,260
-
(100
)
(26
)
(126
)
20,953
10,931
5,428
37,312
-
-
961
961
-
-
(5
)
(5
)
-
-
(59
)
(59
)
-
-
897
897
$
20,953
$
10,931
$
6,325
$
38,209
Six Months Ended June 30, 2011
$
19,252
$
15,463
$
7,170
$
41,885
(4,892
)
(6,976
)
(1,665
)
(13,533
)
395
966
479
1,840
(4,497
)
(6,010
)
(1,186
)
(11,693
)
6,197
1,508
(529
)
7,176
1
(30
)
(27
)
(56
)
20,953
10,931
5,428
37,312
-
-
1,188
1,188
-
-
(107
)
(107
)
-
-
(184
)
(184
)
-
-
897
897
$
20,953
$
10,931
$
6,325
$
38,209
Three Months Ended June 30, 2010
$
17,971
$
19,683
$
9,181
$
46,835
(2,819
)
(5,916
)
(1,571
)
(10,306
)
88
505
156
749
(2,731
)
(5,411
)
(1,415
)
(9,557
)
3,659
3,489
957
8,105
(61
)
(69
)
2
(128
)
18,838
17,692
8,725
45,255
-
-
1,521
1,521
-
-
(108
)
(108
)
-
-
1,413
1,413
$
18,838
$
17,692
$
10,138
$
46,668
Six Months Ended June 30, 2010
$
16,329
$
22,243
$
9,416
$
47,988
(6,389
)
(12,179
)
(3,239
)
(21,807
)
171
1,007
275
1,453
(6,218
)
(11,172
)
(2,964
)
(20,354
)
8,632
6,799
2,273
17,704
95
(178
)
-
(83
)
18,838
17,692
8,725
45,255
-
-
1,487
1,487
-
-
206
206
-
-
(280
)
(280
)
-
-
1,413
1,413
$
18,838
$
17,692
$
10,138
$
46,668
(1)
Table of Contents
June 30, 2011
Credit Card
and Other
(Dollars in millions)
Home Loans
Consumer
Commercial
Total
$
2,094
$
3,372
$
778
$
6,244
17,983
9,279
8,994
36,256
11.64
%
36.34
%
8.66
%
17.22
%
$
10,466
$
7,559
$
4,649
$
22,674
356,117
214,437
289,779
860,333
2.94
%
3.53
%
1.60
%
2.64
%
$
8,393
n/a
$
1
$
8,394
34,890
n/a
181
35,071
24.06
%
n/a
0.39
%
23.94
%
$
20,953
$
10,931
$
5,428
$
37,312
408,990
223,716
298,954
931,660
5.12
%
4.89
%
1.82
%
4.00
%
December 31, 2010
$
1,871
$
4,786
$
1,080
$
7,737
13,904
11,421
10,645
35,970
13.46
%
41.91
%
10.15
%
21.51
%
$
10,964
$
10,677
$
6,078
$
27,719
358,765
222,967
282,820
864,552
3.06
%
4.79
%
2.15
%
3.21
%
$
6,417
n/a
$
12
$
6,429
36,393
n/a
204
36,597
17.63
%
n/a
5.76
%
17.57
%
$
19,252
$
15,463
$
7,170
$
41,885
409,062
234,388
293,669
937,119
4.71
%
6.60
%
2.44
%
4.47
%
(1)
(2)
(3)
n/a
Table of Contents
Table of Contents
Residential Mortgage
Non-Agency
Agency
Prime
Subprime
Alt-A
Commercial Mortgage
Three Months Ended June 30
(Dollars in millions)
2011
2010
2011
2010
2011
2010
2011
2010
2011
2010
$
36,222
$
61,301
$
-
$
-
$
-
$
-
$
-
$
-
$
1,802
$
1,362
(227
)
(402
)
-
-
-
-
-
-
-
2
-
-
1
4
10
14
-
1
4
-
Six Months Ended June 30, 2011
2011
2010
2011
2010
2011
2010
2011
2010
2011
2010
$
96,976
$
131,209
$
-
$
-
$
-
$
-
$
-
$
3
$
1,802
$
2,383
(55
)
(451
)
-
-
-
-
-
-
-
20
-
-
2
9
22
33
1
2
7
1
(1)
(2)
Table of Contents
Residential Mortgage
Non-Agency
Agency
Prime
Subprime
Alt-A
Commercial Mortgage
June 30
December 31
June 30
December 31
June 30
December 31
June 30
December 31
June 30
December 31
(Dollars in millions)
2011
2010
2011
2010
2011
2010
2011
2010
2011
2010
$
42,139
$
46,093
$
2,477
$
2,794
$
439
$
416
$
593
$
651
$
1,258
$
1,199
$
8,536
$
10,693
$
118
$
147
$
73
$
126
$
399
$
645
$
93
$
146
33,596
35,400
2,265
2,593
204
234
190
-
976
984
-
-
-
-
6
12
-
-
11
8
-
-
35
39
33
35
4
6
-
-
7
-
6
6
8
9
-
-
123
61
-
-
-
9
-
-
-
-
-
-
$
42,139
$
46,093
$
2,424
$
2,794
$
324
$
416
$
593
$
651
$
1,203
$
1,199
$
1,311,478
$
1,297,159
$
67,316
$
75,762
$
82,730
$
92,710
$
108,697
$
116,233
$
72,765
$
73,597
$
46,446
$
32,746
$
901
$
46
$
310
$
42
$
-
$
-
$
-
$
-
$
46,232
$
32,563
$
4,172
$
-
$
1,022
$
-
$
-
$
-
$
-
$
-
(38
)
(37
)
-
-
-
-
-
-
-
-
-
-
-
-
749
732
-
-
-
-
252
220
224
46
40
16
-
-
-
-
$
46,446
$
32,746
$
4,396
$
46
$
1,811
$
748
$
-
$
-
$
-
$
-
$
-
$
-
$
4,364
$
-
$
1,033
$
-
$
-
$
-
$
-
$
-
3
3
-
9
811
768
-
-
-
-
$
3
$
3
$
4,364
$
9
$
1,844
$
768
$
-
$
-
$
-
$
-
(1)
(2)
(3)
Table of Contents
June 30, 2011
December 31, 2010
Retained
Retained
Interests in
Interests in
Consolidated
Unconsolidated
Consolidated
Unconsolidated
(Dollars in millions)
VIEs
VIEs
Total
VIEs
VIEs
Total
$
2,927
$
8,278
$
11,205
$
3,192
$
9,132
$
12,324
$
-
$
141
$
141
$
-
$
209
$
209
-
13
13
-
35
35
3,219
-
3,219
3,529
-
3,529
(292
)
-
(292
)
(337
)
-
(337
)
$
2,927
$
154
$
3,081
$
3,192
$
244
$
3,436
$
3,311
$
-
$
3,311
$
3,635
$
-
$
3,635
42
-
42
23
-
23
$
3,353
$
-
$
3,353
$
3,658
$
-
$
3,658
$
3,219
$
17,905
$
21,124
$
3,529
$
20,095
$
23,624
(1)
(2)
(3)
(4)
Table of Contents
June 30
December 31
(Dollars in millions)
2011
2010
$
39,440
$
36,596
$
1,445
$
1,778
82,839
92,104
(6,004
)
(8,505
)
3,957
4,259
$
82,237
$
89,636
$
42,600
$
52,781
197
259
$
42,797
$
53,040
$
82,839
$
92,104
(1)
(2)
Table of Contents
Automobile and Other
Resecuritization Trusts
Municipal Bond Trusts
Securitization Trusts
June 30
December 31
June 30
December 31
June 30
December 31
(Dollars in millions)
2011
2010
2011
2010
2011
2010
$
30,821
$
20,320
$
3,736
$
4,261
$
113
$
141
$
644
$
1,219
$
182
$
255
$
-
$
-
29,099
17,989
-
-
84
109
1
2
-
-
-
-
973
1,036
-
-
-
-
104
74
-
-
-
-
-
-
-
-
14
17
$
30,821
$
20,320
$
182
$
255
$
98
$
126
$
53,796
$
39,830
$
5,516
$
6,108
$
718
$
774
$
25
$
-
$
4,493
$
4,716
$
1,665
$
2,061
$
39
$
68
$
4,493
$
4,716
$
-
$
-
-
-
-
-
7,187
9,583
-
-
-
-
(10
)
(29
)
-
-
-
-
195
196
$
39
$
68
$
4,493
$
4,716
$
7,372
$
9,750
$
-
$
-
$
4,445
$
4,921
$
-
$
-
14
68
-
-
5,701
7,681
-
-
-
-
119
101
$
14
$
68
$
4,445
$
4,921
$
5,820
$
7,782
(1)
(2)
(3)
Table of Contents
Table of Contents
June 30, 2011
December 31, 2010
(Dollars in millions)
Consolidated
Unconsolidated
Total
Consolidated
Unconsolidated
Total
$
2,714
$
2,678
$
5,392
$
2,971
$
3,828
$
6,799
$
2,178
$
554
$
2,732
$
2,485
$
884
$
3,369
469
744
1,213
207
890
1,097
251
-
251
769
338
1,107
74
146
220
24
123
147
$
2,972
$
1,444
$
4,416
$
3,485
$
2,235
$
5,720
$
-
$
17
$
17
$
-
$
58
$
58
3,169
2
3,171
3,162
-
3,162
$
3,169
$
19
$
3,188
$
3,162
$
58
$
3,220
$
2,972
$
36,427
$
39,399
$
3,485
$
43,476
$
46,961
Table of Contents
June 30, 2011
December 31, 2010
(Dollars in millions)
Consolidated
Unconsolidated
Total
Consolidated
Unconsolidated
Total
$
4,634
$
2,112
$
6,746
$
4,449
$
2,735
$
7,184
$
3,932
$
225
$
4,157
$
3,458
$
876
$
4,334
-
747
747
1
722
723
672
-
672
959
-
959
1,980
-
1,980
1,429
-
1,429
$
6,584
$
972
$
7,556
$
5,847
$
1,598
$
7,445
$
1
$
59
$
60
$
1
$
23
$
24
232
-
232
-
-
-
4,379
-
4,379
3,457
-
3,457
1
477
478
-
140
140
$
4,613
$
536
$
5,149
$
3,458
$
163
$
3,621
$
6,584
$
5,878
$
12,462
$
5,847
$
6,090
$
11,937
Table of Contents
June 30, 2011
December 31, 2010
(Dollars in millions)
Consolidated
Unconsolidated
Total
Consolidated
Unconsolidated
Total
$
8,026
$
7,268
$
15,294
$
19,248
$
8,796
$
28,044
$
104
$
-
$
104
$
8,900
$
-
$
8,900
353
197
550
-
228
228
-
61
61
1,832
73
1,905
7,257
557
7,814
7,690
1,122
8,812
(23
)
(7
)
(30
)
(27
)
(22
)
(49
)
144
870
1,014
262
949
1,211
415
5,585
6,000
937
6,440
7,377
$
8,250
$
7,263
$
15,513
$
19,594
$
8,790
$
28,384
$
-
$
-
$
-
$
1,115
$
-
$
1,115
174
-
174
229
-
229
697
1,451
2,148
8,683
1,666
10,349
$
871
$
1,451
$
2,322
$
10,027
$
1,666
$
11,693
$
8,250
$
11,594
$
19,844
$
19,594
$
13,416
$
33,010
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Outstanding Claims by Counterparty and Product Type
June 30
December 31
(Dollars in millions)
2011
2010
$
5,081
$
2,821
3,533
4,799
2,966
3,067
$
11,580
$
10,687
$
3,421
$
2,040
1,938
1,190
2,853
3,658
2,478
2,889
663
734
227
176
$
11,580
$
10,687
(1)
Table of Contents
Loan Repurchases and Indemnification Payments
Three Months Ended June 30
2011
2010
Unpaid
Cash Paid
Unpaid
Cash Paid
Principal
for
Principal
for
(Dollars in millions)
Balance
Repurchases
Loss
Balance
Repurchases
Loss
$
860
$
970
$
419
$
573
$
627
$
267
958
539
539
291
166
165
1,818
1,509
958
864
793
432
3
3
-
24
28
19
45
48
48
38
36
36
48
51
48
62
64
55
$
1,866
$
1,560
$
1,006
$
926
$
857
$
487
Six Months Ended June 30
2011
2010
$
1,194
$
1,333
$
552
$
1,209
$
1,325
$
627
1,292
699
699
801
462
462
2,486
2,032
1,251
2,010
1,787
1,089
18
18
14
42
48
29
85
87
87
79
76
76
103
105
101
121
124
105
$
2,589
$
2,137
$
1,352
$
2,131
$
1,911
$
1,194
Table of Contents
Three Months Ended June 30
Six Months Ended June 30
(Dollars in millions)
2011
2010
2011
2010
$
6,220
$
3,325
$
5,438
$
3,507
3
8
10
16
(2,480
)
(642
)
(2,718
)
(1,360
)
14,037
1,248
15,050
1,774
-
-
-
2
$
17,780
$
3,939
$
17,780
$
3,939
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
June 30
December 31
2011
2010
$
17,875
$
17,875
11,896
11,889
-
2,796
20,668
20,656
10,673
10,671
9,928
9,928
34
46
$
71,074
$
73,861
Table of Contents
June 30, 2011
December 31, 2010
Gross
Accumulated
Gross
Accumulated
(Dollars in millions)
Carrying Value
Amortization
Carrying Value
Amortization
$
7,179
$
4,372
$
7,162
$
4,085
5,394
4,253
5,394
4,094
4,229
1,440
4,232
1,222
1,649
969
1,647
902
3,091
1,332
3,087
1,296
$
21,542
$
12,366
$
21,522
$
11,599
Table of Contents
June 30, 2011
Expire after 1
Expire after 3
Expire in 1
Year through
Years through
Expire after 5
(Dollars in millions)
Year or Less
3 Years
5 Years
Years
Total
$
116,408
$
113,690
$
78,377
$
19,966
$
328,441
1,523
5,387
19,973
45,260
72,143
34,382
18,419
6,710
3,220
62,731
4,350
103
3
166
4,622
156,663
137,599
105,063
68,612
467,937
488,460
-
-
-
488,460
$
645,123
$
137,599
$
105,063
$
68,612
$
956,397
December 31, 2010
$
152,926
$
144,461
$
43,465
$
16,172
$
357,024
1,722
4,290
18,207
55,886
80,105
35,275
18,940
4,144
5,897
64,256
3,698
110
-
874
4,682
193,621
167,801
65,816
78,829
506,067
497,068
-
-
-
497,068
$
690,689
$
167,801
$
65,816
$
78,829
$
1,003,135
(1)
(2)
(3)
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Available-for-
Available-for-
sale Debt
sale Marketable
Employee
Foreign
Securities
Equity Securities
Derivatives
Benefit Plans
Currency
(1)
Total
$
(628
)
$
2,129
$
(2,535
)
$
(4,092
)
$
(493
)
$
(5,619
)
(116
)
-
-
-
-
(116
)
3,678
(1,294
)
(746
)
-
(112
)
1,526
(28
)
(836
)
241
127
258
(238
)
$
2,906
$
(1
)
$
(3,040
)
$
(3,965
)
$
(347
)
$
(4,447
)
$
714
$
6,659
$
(3,236
)
$
(3,947
)
$
(256
)
$
(66
)
1,701
(101
)
(580
)
-
28
1,048
(827
)
(19
)
514
138
5
(189
)
$
1,588
$
6,539
$
(3,302
)
$
(3,809
)
$
(223
)
$
793
(1)
Three Months Ended June 30
Six Months Ended June 30
(Dollars in millions, except per share information; shares in thousands)
2011
2010
2011
2010
$
(8,826
)
$
3,123
$
(6,777
)
$
6,305
(301
)
(340
)
(611
)
(688
)
$
(9,127
)
$
2,783
$
(7,388
)
$
5,617
-
(42
)
(1
)
(286
)
$
(9,127
)
$
2,741
$
(7,389
)
$
5,331
10,094,928
9,956,773
10,085,479
9,570,166
$
(0.90
)
$
0.28
$
(0.73
)
$
0.56
$
(9,127
)
$
2,783
$
(7,388
)
$
5,617
-
(42
)
(1
)
(79
)
$
(9,127
)
$
2,741
$
(7,389
)
$
5,538
10,094,928
9,956,773
10,085,479
9,570,166
-
73,003
-
450,760
10,094,928
10,029,776
10,085,479
10,020,926
$
(0.90
)
$
0.27
$
(0.73
)
$
0.55
(1)
Table of Contents
Table of Contents
Three Months Ended June 30, 2011
Nonqualified and
Postretirement
Qualified Pension
Non-U.S. Pension
Other Pension
Health and Life
Plans
Plans
Plans
(1)
Plans
$
104
$
10
$
1
$
3
185
23
37
19
(324
)
(27
)
(35
)
(2
)
-
-
-
8
4
-
(2
)
-
93
-
3
(10
)
-
-
3
-
$
62
$
6
$
7
$
18
Six Months Ended June 30, 2011
$
212
$
21
$
1
$
7
373
48
76
40
(649
)
(56
)
(70
)
(4
)
-
-
-
16
10
-
(4
)
2
194
-
8
(9
)
-
-
3
-
$
140
$
13
$
14
$
52
Three Months Ended June 30, 2010
$
95
$
7
$
1
$
3
187
20
44
23
(315
)
(23
)
(34
)
(3
)
-
-
-
8
7
-
(2
)
3
92
-
3
(17
)
-
-
3
-
$
66
$
4
$
15
$
17
Six Months Ended June 30, 2010
$
198
$
14
$
2
$
7
374
40
85
45
(631
)
(45
)
(69
)
(5
)
-
-
-
16
14
-
(4
)
3
181
-
3
(25
)
-
-
13
-
$
136
$
9
$
30
$
41
(1)
Table of Contents
Table of Contents
June 30, 2011
Fair Value Measurements
Netting
Assets/Liabilities
(Dollars in millions)
Level 1
(1)
Level 2
(1)
Level 3
Adjustments
(2)
at Fair Value
$
-
$
95,115
$
-
$
-
$
95,115
26,141
19,827
-
-
45,968
1,165
40,692
7,452
-
49,309
28,057
9,082
662
-
37,801
35,309
11,023
391
-
46,723
-
11,619
5,519
-
17,138
90,672
92,243
14,024
-
196,939
3,262
1,410,699
15,214
(1,362,577
)
66,598
46,402
2,867
-
-
49,269
-
181,616
-
-
181,616
-
49,056
55
-
49,111
-
18,481
1,094
-
19,575
-
6,700
18
-
6,718
2,114
2,158
88
-
4,360
-
4,314
224
-
4,538
20
1,629
10,374
-
12,023
-
2,052
1,609
-
3,661
48,536
268,873
13,462
-
330,871
-
-
9,597
-
9,597
-
-
12,372
-
12,372
-
11,131
4,012
-
15,143
29,988
31,670
4,495
-
66,153
$
172,458
$
1,909,731
$
73,176
$
(1,362,577
)
$
792,788
$
-
$
3,334
$
-
$
-
$
3,334
-
42,453
-
-
42,453
22,164
3,388
-
-
25,552
12,993
3,431
-
-
16,424
19,659
2,403
-
-
22,062
277
10,611
63
-
10,951
55,093
19,833
63
-
74,989
2,445
1,388,183
9,796
(1,346,010
)
54,414
-
4,121
744
-
4,865
23,157
1,464
777
-
25,398
-
57,413
3,324
-
60,737
$
80,695
$
1,516,801
$
14,704
$
(1,346,010
)
$
266,190
(1)
(2)
(3)
Table of Contents
December 31, 2010
Fair Value Measurements
Netting
Assets/Liabilities
(Dollars in millions)
Level 1
(1)
Level 2
(1)
Level 3
Adjustments
(2)
at Fair Value
$
-
$
78,599
$
-
$
-
$
78,599
28,237
32,574
-
-
60,811
732
40,869
7,751
-
49,352
23,249
8,257
623
-
32,129
24,934
8,346
243
-
33,523
-
11,948
6,908
-
18,856
77,152
101,994
15,525
-
194,671
2,627
1,516,244
18,773
(1,464,644
)
73,000
46,003
3,102
-
-
49,105
-
191,213
4
-
191,217
-
37,017
-
-
37,017
-
21,649
1,468
-
23,117
-
6,833
19
-
6,852
1,440
2,696
3
-
4,139
-
5,154
137
-
5,291
20
2,354
13,018
-
15,392
-
4,273
1,224
-
5,497
47,463
274,291
15,873
-
337,627
-
-
3,321
-
3,321
-
-
14,900
-
14,900
-
21,802
4,140
-
25,942
32,624
31,051
6,856
-
70,531
$
159,866
$
2,023,981
$
79,388
$
(1,464,644
)
$
798,591
$
-
$
2,732
$
-
$
-
$
2,732
-
37,424
-
-
37,424
23,357
5,983
-
-
29,340
14,568
914
-
-
15,482
14,748
1,065
-
-
15,813
224
11,119
7
-
11,350
52,897
19,081
7
-
71,985
1,799
1,492,963
11,028
(1,449,876
)
55,914
-
6,472
706
-
7,178
31,470
931
828
-
33,229
-
47,998
2,986
-
50,984
$
86,166
$
1,607,601
$
15,555
$
(1,449,876
)
$
259,446
(1)
(2)
(3)
(4)
Table of Contents
Level 3 Fair Value Measurements
Three Months Ended June 30, 2011
Gains
Gains
Gross
Gross
Balance
(Losses)
(Losses)
Transfers
Transfers
Balance
April 1
Consolidation
Included in
Included in
Gross
into
out of
June 30
(Dollars in millions)
2011
(1)
of VIEs
Earnings
OCI
Purchases
Sales
Issuances
Settlements
Level 3
(1)
Level 3
(1)
2011
(1)
$
7,578
$
-
$
181
$
-
$
2,030
$
(2,187
)
$
-
$
(338
)
$
246
$
(58
)
$
7,452
734
-
24
-
75
(136
)
-
(115
)
81
(1
)
662
252
-
80
-
74
(11
)
-
(3
)
3
(4
)
391
6,697
-
80
-
1,066
(2,160
)
-
(164
)
-
-
5,519
15,261
-
365
-
3,245
(4,494
)
-
(620
)
330
(63
)
14,024
6,419
-
1,807
-
384
(512
)
-
(2,390
)
33
(323
)
5,418
56
-
-
-
-
-
-
(1
)
-
-
55
1,203
-
(29
)
(6
)
2
(53
)
-
(27
)
4
-
1,094
19
-
-
-
-
-
-
(1
)
-
-
18
-
-
-
-
-
-
-
-
88
-
88
133
-
-
(2
)
86
-
-
-
7
-
224
11,024
-
23
5
898
(1
)
-
(1,573
)
-
(2
)
10,374
1,146
-
9
(39
)
683
(23
)
-
(205
)
38
-
1,609
13,581
-
3
(42
)
1,669
(77
)
-
(1,807
)
137
(2
)
13,462
3,619
5,194
37
-
21
(267
)
1,821
(828
)
-
-
9,597
15,282
-
(2,447
)
-
-
(234
)
410
(639
)
-
-
12,372
4,259
-
7
-
92
(70
)
-
(469
)
219
(26
)
4,012
4,193
-
180
-
95
(243
)
-
(105
)
375
-
4,495
(102
)
-
-
-
69
(30
)
-
-
-
-
(63
)
(726
)
-
(36
)
-
-
-
-
18
-
-
(744
)
(689
)
-
(79
)
-
-
-
(9
)
-
-
-
(777
)
(3,138
)
-
5
-
131
(55
)
(206
)
149
(393
)
183
(3,324
)
(1)
(2)
(3)
(4)
(5)
Table of Contents
Level 3 Fair Value Measurements
Three Months Ended June 30, 2010
Gains
Gains
Purchases,
Gross
Gross
Balance
(Losses)
(Losses)
Sales,
Transfers
Transfers
Balance
April 1
Included in
Included in
Issuances and
into
out of
June 30
(Dollars in millions)
2010
(1)
Earnings
OCI
Settlements
Level 3
(1)
Level 3
(1)
2010
(1)
$
10,646
$
(52
)
$
-
$
(854
)
$
715
$
(582
)
$
9,873
721
(39
)
-
4
41
(1
)
726
1,064
(73
)
-
(52
)
16
(3
)
952
7,832
182
-
(640
)
367
(233
)
7,508
20,263
18
-
(1,542
)
1,139
(819
)
19,059
8,597
3,588
-
(2,555
)
(520
)
292
9,402
5,376
(282
)
65
(3,594
)
599
(188
)
1,976
138
-
-
-
-
(88
)
50
284
(3
)
(79
)
(25
)
56
-
233
639
-
14
(341
)
11
(19
)
304
16,192
28
(56
)
(2,702
)
439
(1
)
13,900
1,430
(48
)
(17
)
(69
)
-
(59
)
1,237
24,059
(305
)
(73
)
(6,731
)
1,105
(355
)
17,700
4,007
(256
)
-
147
-
-
3,898
18,842
(3,998
)
-
(99
)
-
-
14,745
5,984
131
-
(371
)
237
-
5,981
7,774
998
-
(1,050
)
-
(20
)
7,702
(369
)
2
-
(9
)
-
369
(7
)
(30
)
(5
)
-
8
(46
)
-
(73
)
(399
)
(3
)
-
(1
)
(46
)
369
(80
)
(696
)
(30
)
-
26
-
-
(700
)
(694
)
(23
)
-
(201
)
-
-
(918
)
(4,560
)
586
-
188
(560
)
256
(4,090
)
(1)
(2)
(3)
(4)
Table of Contents
Level 3 Fair Value Measurements
Six Months Ended June 30, 2011
Gains
Gains
Gross
Gross
Balance
(Losses)
(Losses)
Transfers
Transfers
Balance
January 1
Consolidation
Included in
Included in
Gross
into
out of
June 30
(Dollars in millions)
2011
(1)
of VIEs
Earnings
OCI
Purchases
Sales
Issuances
Settlements
Level 3
(1)
Level 3
(1)
2011
(1)
$
7,751
$
-
$
675
$
-
$
3,580
$
(4,537
)
$
-
$
(519
)
$
815
$
(313
)
$
7,452
623
-
67
-
175
(206
)
-
(115
)
120
(2
)
662
243
-
85
-
122
(15
)
-
(3
)
3
(44
)
391
6,908
-
642
-
1,832
(3,246
)
-
(228
)
1
(390
)
5,519
15,525
-
1,469
-
5,709
(8,004
)
-
(865
)
939
(749
)
14,024
7,745
-
2,245
-
886
(1,260
)
-
(4,060
)
340
(478
)
5,418
4
-
-
-
-
-
-
-
-
(4
)
-
-
-
-
-
56
-
-
(1
)
-
-
55
1,468
-
(45
)
(28
)
2
(290
)
-
(289
)
276
-
1,094
19
-
-
-
-
-
-
(1
)
-
-
18
3
-
-
-
-
-
-
-
88
(3
)
88
137
-
2
(1
)
86
(7
)
-
-
7
-
224
13,018
-
52
62
1,450
(53
)
-
(4,155
)
2
(2
)
10,374
1,224
-
6
(33
)
683
(72
)
-
(237
)
38
-
1,609
15,873
-
15
-
2,277
(422
)
-
(4,683
)
411
(9
)
13,462
3,321
5,194
209
-
21
(376
)
2,667
(1,444
)
5
-
9,597
14,900
-
(2,200
)
-
-
(234
)
1,251
(1,345
)
-
-
12,372
4,140
-
185
-
123
(243
)
-
(592
)
441
(42
)
4,012
6,856
-
302
-
172
(1,184
)
-
(393
)
375
(1,633
)
4,495
(7
)
-
-
-
76
(132
)
-
-
-
-
(63
)
(706
)
-
(82
)
-
-
-
-
44
-
-
(744
)
(828
)
-
64
-
-
(4
)
(9
)
-
-
-
(777
)
(2,986
)
-
(143
)
-
215
(55
)
(249
)
388
(1,030
)
536
(3,324
)
(1)
(2)
(3)
(4)
(5)
Table of Contents
Level 3 Fair Value Measurements
Six Months Ended June 30, 2010
Gains
Gains
Purchases,
Gross
Gross
Balance
(Losses)
(Losses)
Sales,
Transfers
Transfers
Balance
January 1
Consolidation
Included in
Included in
Issuances and
into
out of
June 30
(Dollars in millions)
2010
(1)
of VIEs
Earnings
OCI
Settlements
Level 3
(1)
Level 3
(1)
2010
(1)
$
11,080
$
117
$
354
$
-
$
(2,798
)
$
2,189
$
(1,069
)
$
9,873
1,084
-
(33
)
-
(326
)
75
(74
)
726
1,143
-
(155
)
-
(80
)
103
(59
)
952
7,770
175
157
-
(586
)
389
(397
)
7,508
21,077
292
323
-
(3,790
)
2,756
(1,599
)
19,059
7,863
-
4,991
-
(4,451
)
768
231
9,402
7,216
(96
)
(515
)
(310
)
(5,829
)
1,698
(188
)
1,976
258
-
(13
)
(31
)
(128
)
52
(88
)
50
468
-
(124
)
(89
)
(78
)
56
-
233
927
-
(3
)
35
(666
)
30
(19
)
304
9,854
5,812
19
(119
)
(2,742
)
1,119
(43
)
13,900
1,623
-
(25
)
(9
)
(561
)
316
(107
)
1,237
20,346
5,716
(661
)
(523
)
(10,004
)
3,271
(445
)
17,700
4,936
-
(140
)
-
(898
)
-
-
3,898
19,465
-
(4,696
)
-
(24
)
-
-
14,745
6,942
-
67
-
(1,427
)
399
-
5,981
7,821
-
1,537
-
(1,421
)
-
(235
)
7,702
(386
)
-
23
-
(24
)
-
380
(7
)
(10
)
-
(5
)
-
(9
)
(52
)
3
(73
)
(396
)
-
18
-
(33
)
(52
)
383
(80
)
(707
)
-
(41
)
-
48
-
-
(700
)
(891
)
-
50
-
(77
)
-
-
(918
)
(4,660
)
-
788
-
(264
)
(897
)
943
(4,090
)
(1)
(2)
(3)
(4)
Table of Contents
(1)
(2)
Table of Contents
(1)
(2)
Table of Contents
(1)
(2)
Table of Contents
(1)
(2)
Table of Contents
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
June 30, 2011
Gains (Losses)
Three Months Ended
Six Months Ended
(Dollars in millions)
Level 2
Level 3
June 30, 2011
June 30, 2011
$
1,049
$
1,779
$
(12
)
$
52
17
9,437
(1,679
)
(3,097
)
-
2,405
(75
)
(147
)
-
96
(19
)
(23
)
June 30, 2010
Gains (Losses)
Three Months Ended
Six Months Ended
(Dollars in millions)
Level 2
Level 3
June 30, 2010
June 30, 2010
$
1,501
$
8,070
$
307
$
123
45
10,817
(1,736
)
(3,921
)
10
1,251
(59
)
(113
)
4
16
(3
)
(3
)
(1)
(2)
Fair Value Option Elections
June 30, 2011
December 31, 2010
Fair Value
Fair Value
Carrying
Carrying
Fair Value
Contractual
Amount
Fair Value
Contractual
Amount
Carrying
Principal
Less Unpaid
Carrying
Principal
Less Unpaid
(Dollars in millions)
Amount
Outstanding
Principal
Amount
Outstanding
Principal
$
9,597
$
14,039
$
(4,442
)
$
3,269
$
3,638
$
(369
)
15,143
17,262
(2,119
)
25,942
28,370
(2,428
)
137,568
137,196
372
116,023
115,053
970
237
n/a
n/a
310
n/a
n/a
3,334
3,187
147
2,732
2,692
40
744
1,313
(569
)
706
1,356
(650
)
773
n/a
n/a
866
n/a
n/a
4,121
4,121
-
6,472
6,472
-
60,737
67,119
(6,382
)
50,984
54,656
(3,672
)
Table of Contents
Table of Contents
Six Months Ended June 30, 2010
$
2
$
-
$
46
$
48
-
5,127
252
5,379
-
-
98
98
-
-
46
46
-
-
(112
)
(112
)
-
(41
)
-
(41
)
-
-
(67
)
(67
)
(195
)
-
-
(195
)
876
-
1,401
2,277
$
683
$
5,086
$
1,664
$
7,433
Table of Contents
June 30, 2011
December 31, 2010
Carrying
Fair
Carrying
Fair
(Dollars in millions)
Value
Value
Value
Value
$
882,653
$
862,646
$
876,739
$
861,695
1,038,408
1,038,436
1,010,430
1,010,460
426,659
426,645
448,431
441,672
Table of Contents
Three Months Ended
Six Months Ended
June 30
June 30
(Dollars in millions)
2011
2010
2011
2010
$
15,282
$
18,842
$
14,900
$
19,465
176
882
1,017
2,013
(639
)
(981
)
(1,345
)
(2,037
)
(1,094
)
(3,817
)
(385
)
(4,000
)
(1,501
)
(524
)
(2,029
)
(1,076
)
212
(34
)
434
(34
)
303
385
126
427
(367
)
(8
)
(346
)
(13
)
$
12,372
$
14,745
$
12,372
$
14,745
$
1,578
$
1,706
$
1,578
$
1,706
(1)
(2)
(3)
June 30, 2011
December 31, 2010
(Dollars in millions)
Fixed
Adjustable
Fixed
Adjustable
2.28
%
2.21
%
2.21
%
3.25
%
4.86
2.47
4.85
2.29
Table of Contents
June 30, 2011
Change in
Weighted-average Lives
Change in
(Dollars in millions)
Fixed
Adjustable
Fair Value
0.30
years
0.17
years
$
800
0.65
0.37
1,696
(0.27
)
(0.15
)
(719
)
(0.52
)
(0.28
)
(1,370
)
n/a
n/a
$
740
n/a
n/a
1,551
n/a
n/a
(677
)
n/a
n/a
(1,298
)
Table of Contents
Business Segments
Three Months Ended June 30
Total Corporation
(1)
Deposits
Global Card Services
(Dollars in millions)
2011
2010
2011
2010
2011
2010
$
11,493
$
13,197
$
2,281
$
2,144
$
3,611
$
4,442
1,990
16,253
1,020
1,551
1,925
2,506
13,483
29,450
3,301
3,695
5,536
6,948
3,255
8,105
31
61
481
3,796
382
439
39
49
183
203
22,474
16,814
2,560
2,523
1,699
1,649
(12,628
)
4,092
671
1,062
3,173
1,300
(3,802
)
969
241
388
1,138
474
$
(8,826
)
$
3,123
$
430
$
674
$
2,035
$
826
$
2,261,319
$
2,368,384
$
449,123
$
439,770
$
161,756
$
184,213
Consumer Real
Global Commercial
Global Banking &
Estate Services
Banking
Markets
2011
2010
2011
2010
2011
2010
$
579
$
992
$
1,827
$
2,097
$
1,791
$
2,002
(11,894
)
1,712
983
786
5,005
3,902
(11,315
)
2,704
2,810
2,883
6,796
5,904
1,507
2,390
(417
)
623
(82
)
(133
)
4
13
15
18
29
37
8,643
2,725
1,053
956
4,684
4,698
(21,469
)
(2,424
)
2,159
1,286
2,165
1,302
(6,949
)
(882
)
778
471
607
404
$
(14,520
)
$
(1,542
)
$
1,381
$
815
$
1,558
$
898
$
185,398
$
223,998
$
280,289
$
306,234
$
691,249
$
718,563
Global Wealth &
Investment Management
All Other
2011
2010
2011
2010
$
1,571
$
1,443
$
(167
)
$
77
2,919
2,746
2,032
3,050
4,490
4,189
1,865
3,127
72
122
1,663
1,246
112
117
-
2
3,519
3,152
316
1,111
787
798
(114
)
768
281
469
102
(355
)
$
506
$
329
$
(216
)
$
1,123
$
284,294
$
252,507
$
209,210
$
243,099
(1)
(2)
Table of Contents
Business Segments
Six Months Ended June 30
Total Corporation
(1)
Deposits
Global Card Services
(Dollars in millions)
2011
2010
2011
2010
2011
2010
$
23,890
$
27,267
$
4,486
$
4,319
$
7,358
$
9,262
16,688
34,473
2,004
3,094
3,865
4,576
40,578
61,740
6,490
7,413
11,223
13,838
7,069
17,910
64
98
1,442
7,331
767
885
78
98
367
407
42,372
34,143
5,113
5,041
3,484
3,257
(9,630
)
8,802
1,235
2,176
5,930
2,843
(2,853
)
2,497
450
804
2,160
1,049
$
(6,777
)
$
6,305
$
785
$
1,372
$
3,770
$
1,794
$
2,261,319
$
2,368,384
$
449,123
$
439,770
$
161,756
$
184,213
Consumer Real
Global Commercial
Global Banking &
Estate Services
Banking
Markets
2011
2010
2011
2010
2011
2010
$
1,475
$
2,199
$
3,677
$
4,290
$
3,828
$
4,172
(10,727
)
4,038
1,784
1,685
10,854
11,425
(9,252
)
6,237
5,461
5,975
14,682
15,597
2,605
5,990
(338
)
1,559
(284
)
103
11
25
29
37
59
73
13,437
5,960
2,145
1,968
9,376
8,951
(25,305
)
(5,738
)
3,625
2,411
5,531
6,470
(8,370
)
(2,119
)
1,321
891
1,839
2,333
$
(16,935
)
$
(3,619
)
$
2,304
$
1,520
$
3,692
$
4,137
$
185,398
$
223,998
$
280,289
$
306,234
$
691,249
$
718,563
Global Wealth &
Investment Management
All Other
2011
2010
2011
2010
$
3,140
$
2,907
$
(74
)
$
118
5,842
5,323
3,066
4,332
8,982
8,230
2,992
4,450
118
363
3,462
2,466
223
233
-
12
7,007
6,135
1,810
2,831
1,634
1,499
(2,280
)
(859
)
595
731
(848
)
(1,192
)
$
1,039
$
768
$
(1,432
)
$
333
$
284,294
$
252,507
$
209,210
$
243,099
(1)
(2)
Table of Contents
Three Months Ended June 30
Six Months Ended June 30
(Dollars in millions)
2011
2010
2011
2010
$
11,618
$
26,323
$
37,586
$
57,290
1,145
976
910
1,726
1,139
2,253
2,547
2,765
62
444
112
1,048
(247
)
(297
)
(465
)
(618
)
(481
)
(546
)
(577
)
(1,089
)
$
13,236
$
29,153
$
40,113
$
61,122
$
(8,610
)
$
2,000
$
(5,345
)
$
5,972
(535
)
(452
)
(1,945
)
(479
)
718
1,419
1,605
1,742
(9
)
103
(44
)
272
101
320
228
648
(491
)
(267
)
(1,276
)
(1,850
)
$
(8,826
)
$
3,123
$
(6,777
)
$
6,305
(1)
June 30
(Dollars in millions)
2011
2010
$
2,052,109
$
2,125,285
639,220
586,609
30,995
35,450
10,078
33,026
(629,621
)
(603,543
)
158,538
191,557
$
2,261,319
$
2,368,384
Table of Contents
219
220
221
222
223
224
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Shares Purchased as
Common Shares
Weighted-average
Part of Publicly
Remaining Buyback Authority
Repurchased
(1)
Per Share Price
Announced Programs
Amounts
Shares
101,310
$
13.79
-
$
-
-
99,935
13.88
-
-
-
9,925
12.35
-
-
-
211,170
13.76
(1)
Table of Contents
Ratio of Earnings to Fixed Charges and Preferred Dividends
(1)
(1)
(2)
Table of Contents
225
226
Bank of America Corporation
Registrant
Date:
August 4, 2011
/s/ Neil A. Cotty
Neil A. Cotty
Chief Accounting Officer
(Duly Authorized Officer)
Table of Contents
Form 10-Q
Exhibit
Description
Ratio of Earnings to Fixed Charges and Preferred Dividends
(1)
(1)
(2)
Clause | Page | |||
1. Definitions and Interpretation
|
1 | |||
|
||||
2. Amendment of the Original Agreement
|
1 | |||
|
||||
3. Governing Law and Jurisdiction
|
3 | |||
|
||||
4. Counterparts
|
3 | |||
|
||||
Exhibit 1 Terms and Conditions of the Notes
|
5 | |||
|
||||
Exhibit 2 Product Annexes
|
55 |
-i-
(i) | Bank of America Corporation, a Delaware corporation (the Issuer ); |
(ii) | Bank of America, N.A. (operating through its London Branch) (the Principal Agent ); and |
(iii) | Merrill Lynch International Bank Limited (the Transfer Agent and the Registrar , together with the Principal Agent, the Agents , and each of them individually, an Agent ). |
1. | Definitions and Interpretation |
2. | Amendment of the Original Agreement |
(a) | All references to Bank of America, N.A., London Branch in the Original Agreement shall be deleted and replaced by Bank of America, N.A. |
(b) | In Clause 18 ( Copies of Documents Available for Inspection ), after the reference to the Annual Report on Form 10-K of the Issuer for the year ended December 31, 2009 shall be inserted, , the Annual Report on Form 10-K of the Issuer for the year ended December 31, 2010 and after the reference to the Quarterly Report on Form 10-Q of the Issuer for the three months ended March 31, 2010 shall be inserted, , the Quarterly Report on Form 10-Q of the Issuer for the three months ended March 31, 2011. |
-1-
(c) | In Clause 27 ( Notices ), in the section headed The Issuer:, the address and contact details shall be deleted and replaced by the following: |
The Issuer:
|
Bank of America Corporation | |
|
Bank of America Corporate Center | |
|
NC1-007-06-10 | |
|
100 North Tryon Street | |
|
Charlotte, North Carolina 28255-0065 | |
|
U.S.A. | |
Telephone No.:
|
+1 (866) 607-1234 (in the U.S.) or | |
|
+1 (212) 449-6795 (internationally) | |
Facsimile No.:
|
+1 (704) 548-5999 | |
E-mail:
|
transactionmanagement@bankofamerica.com | |
Attention:
|
Corporate Treasury Global Funding Transaction Management | |
|
||
with a copy to:
|
Bank of America Corporation | |
|
Legal Department | |
|
NC1-027-20-05 | |
|
214 North Tryon Street | |
|
Charlotte, North Carolina 28255-0065 | |
|
U.S.A. | |
Facsimile No.:
|
+1 (704) 387-0108 | |
Attention:
|
General Counsel |
(d) | In Clause 27 ( Notices ), in the section headed The Principal Agent:, the address and contact details shall be deleted and replaced by the following: |
The Principal Agent:
|
Bank of America, N.A. | |
|
5 Canada Square | |
|
London E14 5AQ | |
|
United Kingdom | |
Facsimile No:
|
+44 207 174 6510 | |
Attention:
|
GTS Chad Burge / Dominika Wyrebkiewicz |
(e) | In Clause 27 ( Notices ), in the section headed The Registrar and Transfer Agent:, the address and contact details shall be deleted and replaced by the following: |
The Registrar and
|
Merrill Lynch International Bank Limited | |
Transfer Agent:
|
Dublin Road | |
|
Carrick on Shannon | |
|
Ireland | |
Attention:
|
GTS Davida McDermott | |
Email:
|
davida.mcdermott@bankofamerica.com | |
Facsimile:
|
+ 353 71 96 56 599 |
-2-
(f) | the Terms and Conditions of the Notes as set out in Exhibit 1 to this Agreement shall replace the Terms and Conditions of the Notes as set out in Schedule 6-1 to the Original Agreement; and | ||
(g) | the Product Annexes as set out in Exhibit 2 to this Agreement shall replace the Product Annexes as set out in Schedule 6-2 to the Original Agreement. |
3. | Governing Law and Jurisdiction |
4. | Counterparts |
-3-
BANK OF AMERICA CORPORATION
as Issuer |
||||
By: | /s/ ANGELA C. JONES | |||
Name: | Angela C Jones | |||
Title: | Senior Vice President | |||
BANK OF AMERICA, N.A.
as Principal Agent |
||||
By: | /s/ NELLIE PARK | |||
Name: | Nellie Park | |||
Title: | Assistant Vice President | |||
By: | /s/ MICHAEL LEONG | |||
Name: | Michael Leong | |||
Title: | Assistant Vice President | |||
MERRILL LYNCH INTERNATIONAL BANK LIMITED
as Transfer Agent and Registrar |
||||
By: | /s/ DAVIDA MCDERMOTT | |||
Name: | Davida McDermott | |||
Title: | Assistant Vice President | |||
By: | /s/ NELLIE PARK | |||
Name: | Nellie Park | |||
Title: | Assistant Vice President | |||
-4-
-5-
-6-
-7-
-8-
-9-
-10-
-11-
-12-
-13-
-14-
(i) | if Actual/Actual (ICMA) is specified in the applicable Final Terms: |
(A) | for Notes where the Accrual Period (as defined below) is equal to or shorter than the Determination Period (as defined below) during which the Accrual Period ends, the number of days in such Accrual Period divided by the product of (1) the number of days in such Determination Period and (2) the number of determination dates ( Determination Dates ), as specified in the applicable Final Terms, that would occur in one calendar year assuming interest were payable in respect of the whole of that year; or |
(B) | for Notes where the Accrual Period is longer than the Determination Period during which the Accrual Period ends, the sum of: |
(1) | the number of days in such Accrual Period falling in the Determination Period in which the Accrual Period begins divided |
-15-
by the product of (x) the number of days in such Determination Period and (y) the number of Determination Dates, as specified in the applicable Final Terms, that would occur in one calendar year assuming interest were payable in respect of the whole of that year; and |
(2) | the number of days in such Accrual Period falling in the next Determination Period divided by the product of |
(x) | the number of days in such Determination Period; and |
(y) | the number of Determination Dates that would occur in one calendar year assuming interest were payable in respect of the whole of that year; and |
(ii) | if 30/360 is specified in the applicable Final Terms, the number of days in the Accrual Period divided by 360, calculated on a formula basis as follows: |
Day Count Fraction =
|
[360x(
Y
2
-
Y
1
)]+[30x(
M
2
-
M
1
)+(
D
2
-
D
1
)]
|
||||||
|
360 |
-16-
(b) | Interest on Floating-Rate Notes, Index Linked Interest Notes, Share Linked Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest Notes, Commodity Linked Interest Notes, Fund Linked Interest Notes, Inflation Linked Interest Notes, Hybrid Interest Notes, and other Underlying Asset(s) Interest Notes |
(i) | Interest Periods and Interest Payment Dates |
(A) | the specified Interest Payment Dates in each year specified in the applicable Final Terms; or |
(B) | if no dates for the payment of interest are specified in the applicable Final Terms, each date which falls the number of months or other period specified in the applicable Final Terms after the preceding Interest Payment Date, or in the case of the first Interest Payment Date, after the Interest Commencement Date. |
-17-
(1) | the Floating Rate Convention , such Interest Payment Date (or other date) shall be postponed to the next day which is a Business Day. If postponement would cause such date to fall in the next calendar month, then (A) such date shall be brought forward to the immediately preceding Business Day and (B) each subsequent Interest Payment Date (or other date) shall be the last Business Day in the month which falls the number of months or other period specified as the Interest Period in the applicable Final Terms after the preceding applicable Interest Payment Date (or other date) occurred; or |
(2) | the Following Business Day Convention , such Interest Payment Date (or other date) shall be postponed to the next day which is a Business Day; or |
(3) | the Modified Following Business Day Convention , such Interest Payment Date (or other date) shall be postponed to the next day which is a Business Day, unless that date would fall in the next calendar month, in which event such Interest Payment Date (or other such date) shall be brought forward to the immediately preceding Business Day; or |
(4) | the Preceding Business Day Convention , such Interest Payment Date (or other date) shall be brought forward to the immediately preceding Business Day. |
(A) | a day (other than a Saturday or Sunday) on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in London and New York City and any additional business centers specified in the applicable Final Terms (each, an Additional Business Center ); and |
(B) | (1) for any sum payable in a Specified Currency other than euro or CNY, a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in the principal financial center(s) (the Principal Financial Center(s) ) of the country of the relevant Specified Currency (if other than London), (2) for any sum payable in euro, a day on which the Trans-European Automated Real- |
-18-
Time Gross Settlement Express Transfer (TARGET2) System or any successor thereto is operating or (3) for any sum payable in CNY, unless otherwise specified in the applicable Final Terms, a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in the CNY Currency Settlement Center. |
Unless otherwise provided in the applicable Final Terms, the Principal Financial Center of any Specified Currency for the purpose of these Terms and Conditions shall be the relevant financial center (if any) specified for the relevant Specified Currency in Section 1.5 or Section 1.6 of the ISDA Definitions, except that the Principal Financial Centers for Australian Dollars shall be Melbourne and Sydney, the Principal Financial Center for Canadian Dollars shall be Toronto, and the Principal Financial Center for New Zealand Dollars shall be Wellington. |
(ii) | Rate of Interest on Floating-Rate Notes |
(A) | ISDA Determination for Floating-Rate Notes |
Where ISDA Determination is specified in the applicable Final Terms as the manner in which the Rate of Interest is to be determined, the Rate of Interest for each Interest Period will be the relevant ISDA Rate plus or minus (as indicated in the applicable Final Terms) the margin (the Margin ), if any. For purposes of this sub-paragraph (A), the ISDA Rate for an Interest Period means a rate determined by the Principal Agent or such other person specified in the applicable Final Terms that is equal to the Floating Rate under an interest rate swap transaction if the Principal Agent or such other person were acting as Calculation Agent for that swap transaction under the terms of an agreement incorporating the ISDA Definitions and under which: |
(1) | the Floating Rate Option is as specified in the applicable Final Terms; |
(2) | the relevant Interest Commencement Date is the Effective Date; |
(3) | the Designated Maturity is a period specified in the applicable Final Terms; |
-19-
(4) | the relevant Reset Date is either (i) the first day of that Interest Period, if the applicable Floating Rate Option is based on the London interbank offered rate ( LIBOR ) or the Euro-Zone interbank offered rate ( EURIBOR ) for a currency, or (ii) in any other case, as specified in the applicable Final Terms; and |
(5) | all other terms are as specified in the applicable Final Terms. |
For purposes of this sub-paragraph (A), Euro-Zone has the meaning set forth below and Floating Rate , Calculation Agent , Floating Rate Option , Effective Date , Designated Maturity , and Reset Date have the meanings given to those terms in the ISDA Definitions. |
(B) | Screen Rate Determination for Floating-Rate Notes |
Where Screen Rate Determination is specified in the applicable Final Terms as the manner in which the Rate of Interest is to be determined, the Rate of Interest for each Interest Period will be, subject as provided below, either: |
(1) | the offered quotation (if there is only one quotation on the relevant screen page specified in the applicable Final Terms (the Relevant Screen Page )); or |
(2) | the arithmetic mean (rounded if necessary to the fifth decimal place, with 0.000005 being rounded upwards) of the offered quotations (if there are two or more quotations on the Relevant Screen Page), |
(in each case expressed as a percentage rate per annum) for the rate or rates (each a Reference Rate ) which appears or appear, as the case may be, on the Relevant Screen Page on which the Reference Rate is for the time being displayed at 11:00 a.m. (London time in the case of LIBOR, or Brussels time in the case of EURIBOR) on the dates on which the Rate of Interest is to be determined (each, an Interest Determination Date ) plus or minus (as indicated in the applicable Final Terms) the Margin, if any, all as determined by the Calculation Agent. |
-20-
-21-
(iii) | Determination of Rate of Interest and Calculation of Interest Amounts |
(iv) |
Notification of Rate of Interest and Interest Amount
The Calculation Agent will notify the Issuer and any stock exchange on which the Notes (other than Fixed-Rate Notes, Zero Coupon Notes, and non-interest bearing Notes) are listed (if the rules of such stock exchange so require) of the Rate of Interest and each Interest Amount for each Interest Period, the relevant Interest Payment Date and any other item or amount determined or calculated by it in accordance with the applicable Final Terms as soon as reasonably practicable after the relevant determination or calculation. The Calculation Agent also shall publish such notice in accordance with Condition 14 as soon as possible after any determination, but in no event later than the fourth London Business Day thereafter. In connection with any such Notes listed on the Luxembourg Stock Exchange, the Calculation Agent will notify the exchange of the Rate of Interest, the Interest Period, and each Interest Amount no later than the first day of the commencement of each new Interest Period. Both the Interest Amount and |
-22-
Interest Payment Dates subsequently may be amended (or appropriate alternative arrangements made by way of adjustment) in the event of an extension or shortening of the Interest Period in accordance with the provisions hereof. Each stock exchange on which such Notes are listed will be notified promptly of any amendment in accordance with Condition 14. For purposes of this sub-paragraph (iv), the expression London Business Day means a day (other than a Saturday or a Sunday) on which commercial banks and foreign exchange markets settle payments in London. |
(v) | Certificates to Be Final |
All certificates, communications, opinions, determinations, calculations, quotations, and decisions given, expressed, made, or obtained for the purposes of the provisions of this Condition 4(b), by the Calculation Agent shall (in the absence of willful default, bad faith, or manifest error) be binding on the Issuer, the Calculation Agent, the other Paying Agents, and all Noteholders, Receiptholders, and Couponholders and (in the absence of the aforesaid) the Calculation Agent shall not be liable to the Issuer, the Noteholders, the Receiptholders, or the Couponholders in connection with the exercise by it of its powers, duties, and discretions pursuant to such provisions. |
(i) | the date on which all amounts due in respect of such Note have been paid; or |
-23-
(ii) | five calendar days after the date on which the Principal Agent has received the full amount of the monies payable and notice to that effect has been given in accordance with Condition 14 or individually. |
-24-
(i) | payments in a Specified Currency (other than euro or CNY) will be made by transfer to an account in the relevant Specified Currency maintained by the payee with, or by a check in such Specified Currency drawn on, a bank in the Principal Financial Center of the country of such Specified Currency; provided, however, that a check may not be delivered to an address in, and an amount may not be transferred to an account at a bank located in, the United States or any of its possessions by any office or agency of the Issuer, the Principal Agent, or any Paying Agent; |
(ii) | payments in euro will be made by credit or transfer to a euro account (or any other account to which euro may be credited or transferred) specified by the payee; provided, however, that a credit or transfer may not be delivered to an address in, and an amount may not be transferred to an account at a bank located in, the United States or any of its possessions by any office or agency of the Issuer, the Principal Agent, or any Paying Agent; and |
(iii) | payments in CNY will be made solely by credit or transfer to a CNY account maintained by the payee with a bank in the CNY Settlement Center in accordance with applicable laws, rules, regulations, and guidelines. |
(i) | Payments of principal (which for the purposes of this Condition 5(b) shall include final Installment Amounts but not other Installment Amounts) in respect of Registered Notes shall be made to the person shown on the Register on the Record Date in the manner provided in Condition 5(b)(ii) below. |
(ii) | Payments of interest and Installment Amounts (other than the final Installment Amount) on Registered Notes shall be paid to the person shown on the Register on the Record Date. Payments in respect of each Registered Note shall be made in the relevant Specified Currency by check drawn on a bank in the Principal Financial Center of the country of such Specified Currency and mailed to the Noteholder (or the first named of joint holders) of such Note at its address appearing in the Register. Upon application by the Noteholder to the specified office of the Registrar or Transfer Agent before the Record Date and subject as provided in Condition 5(a) above, such payment may be made by transfer to an account in the Specified Currency maintained by the payee with a bank in the Principal Financial Center of the country of such Specified Currency. |
-25-
(i) | the Issuer has appointed Paying Agents with specified offices outside the United States and its possessions with the reasonable expectation that such Paying Agents will be able to make payment of the full amount of principal, interest, or any other amounts payable on the Bearer Notes in the manner provided above when due in U.S. Dollars at such specified offices; and |
(ii) | payment of the full amount of such principal, premium, if any, interest, or any other amounts payable, at all such specified offices outside the United States and its possessions is illegal or effectively precluded by exchange controls or other similar restrictions on the full payment or receipt of principal and interest in U.S. Dollars; and |
(iii) | such payment is then permitted under United States law without involving, in the opinion of the Issuer, adverse tax consequences for the Issuer. |
-26-
-27-
(i) | the relevant place of presentation (in the case of Bearer Definitive Notes); |
(ii) | the Principal Financial Center of the country of the relevant Specified Currency (or (A) in the case of an amount payable in euro, a day on which the TARGET2 System or any successor thereto is operating or (B) in the case of an amount payable in CNY, unless otherwise specified in the applicable Final Terms, a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in the CNY Settlement Center); |
(iii) | each additional financial center ( Additional Financial Center ) specified in the applicable Final Terms; and |
(iv) | London and New York City. |
(i) | any Additional Amounts (as defined in Condition 8) which may be payable with respect to principal under Condition 8; |
(ii) | the Final Redemption Amount (as defined in Condition 6(a)) of the Notes; |
(iii) | any Entitlement, Disruption Cash Settlement Price, or Failure to Deliver Settlement Price (as defined in Physical Delivery Condition 5) in respect of the Notes; |
(iv) | the redemption amount (the Early Redemption Amount ) of the Notes payable on redemption for taxation reasons or following an Event of Default and the method, if any, of calculating the same if required to be specified by, or if different from that set out in, Condition 6(f); |
(v) | the redemption amount payable on the occurrence of a Settlement Disruption Event or Failure to Deliver due to Illiquidity (each as defined in the Physical Delivery Conditions); |
(vi) | each redemption amount (the Optional Redemption Amount ), if any, of the Notes; |
(vii) | for Installment Notes, the amount (expressed as a percentage of the principal amount of each Note) of such installment (each, an Installment Amount ); |
(viii) | for Amortizing Notes, the amount of unpaid principal; |
(ix) | for Zero Coupon Notes, the Amortized Face Amount; and |
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(x) | any premium and any other amounts which may be payable by the Issuer under or for the Notes. |
(i) | Occurrence of a Payment Disruption Event or a CNY Payment Disruption Event |
If the applicable Final Terms specifies Payment Disruption Event or CNY Payment Disruption Event to be applicable, then, in the event that the Calculation Agent, at any time and from time to time, determines in its sole discretion that a Payment Disruption Event or a CNY Payment Disruption Event, as the case may be, has occurred or is likely to occur, then the Calculation Agent shall as soon as practicable notify the Noteholders of the relevant Notes of the |
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occurrence of such Payment Disruption or CNY Payment Disruption Event, as the case may be, in accordance with Condition 14. |
(ii) | Consequences of a Payment Disruption Event |
(A) | Obligation to pay postponed |
The Issuers obligation to pay the Interest Amount, Fixed Coupon Amount, Final Redemption Amount or any such other amounts in respect of the relevant Notes shall, subject to Condition 5(i)(v), be postponed until five Business Days (or such other date as may be determined by the Calculation Agent and notified to the Noteholders in accordance with Condition 14) after the date on which the Payment Disruption Event is no longer operating. Noteholders shall not be entitled to further interest or other payment in respect of such postponement. |
(B) | Issuers option to vary settlement |
Notwithstanding the Issuers right to postpone payment in accordance with Condition 5(i)(ii)(A), the Issuer may, if practicable (and to the extent lawful), and at the Issuers sole and absolute discretion: |
(1) | make payments due to be made in the Subject Currency in the Base Currency, converted from the Subject Currency into the Base Currency at a rate reasonably selected by the Calculation Agent; |
(2) | make payments due to be made in the Base Currency in the Subject Currency, disregarding any obligation to convert amounts into the Base Currency; |
(3) | in the case of Share Linked Notes, deliver the Shares in lieu of cash settlement; or |
(4) | in the case of Share Linked Notes which reference a Basket of Shares, elect to satisfy in part its obligation to pay the amounts as may be due and payable under the relevant Notes by making a partial payment(s) or partial deliveries, as the case may be (the Partial Distributions ). Any Partial Distribution made by the Issuer to the Noteholders will be calculated and/or determined by the Calculation Agent in its sole and absolute discretion and shall be paid and/or delivered to the Noteholders pro rata (as far as possible, subject to any necessary adjustments for rounding) to the proportion of the Notes of the same series held by the relevant Noteholder. In the event that any Partial Distribution is made by the Issuer, the Calculation Agent may, in its sole and absolute |
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discretion, make any such corresponding adjustment to any variable relevant to the redemption or payment terms of the relevant Notes as it deems necessary and shall notify the relevant Noteholders thereof in accordance with Condition 14. |
Any payments or deliveries made in accordance with this Condition 5(i)(ii)(B) shall satisfy and discharge in full (in the case of payments or deliveries made in accordance with paragraphs (1) to (3)) and in part (in the case of Partial Distributions made in accordance with paragraph (4)) the Issuers obligation to pay the Interest Amount, Fixed Coupon Amount, Final Redemption Amount or other amount in respect of which the Payment Disruption Event has arisen, and no further amounts shall be due and payable by the Issuer in respect thereof. |
(iii) | Consequences of a CNY Payment Disruption Event |
(A) | Obligation to pay postponed |
Condition 5(i)(ii)(A) shall apply, provided that the reference therein to Payment Disruption Event shall be construed as a reference to CNY Payment Disruption Event. |
(B) | Payment of Equivalent Amount |
If Payment of Equivalent Amount is specified to be applicable in the applicable Final Terms, and the Calculation Agent determines that such CNY Payment Disruption Event is material in relation to the Issuers obligations under the relevant Notes to pay any Interest Amount, Fixed Coupon Amount, Final Redemption Amount, or other amount in respect of the relevant Notes on the relevant Interest Payment Date, Maturity Date, or such other date on which any amount in respect of the relevant Notes shall be due and payable (such date, the Affected Payment Date ), then the Issuer shall, on giving notice to Noteholders prior to the relevant Affected Payment Date, make payment of the Equivalent Amount of the relevant Interest Amount, Fixed Coupon Amount, Final Redemption Amount, or such other amount payable (if applicable) on the relevant Affected Payment Date in full and final settlement of its obligations to pay such Interest Amount, Fixed Coupon Amount, Final Redemption Amount, or other amount in respect of the relevant Notes. |
(iv) | Payments net of expenses |
Notwithstanding any provisions to the contrary, (a) any payments made in accordance with Condition 5(i)(ii) or Condition 5(i)(iii) shall be made after deduction of any costs, expenses or liabilities incurred or to be incurred by the Calculation Agent or Issuer in connection with or arising from the resolution of |
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the relevant Payment Disruption Event(s) or CNY Payment Disruption Event(s), as the case may be, and (b) no interest shall be paid by the Issuer in respect of any delay which may occur in the payment of any amounts due and payable under the Notes as a result of the operation of Condition 5(i)(ii) or Condition 5(i)(iii), as the case may be. |
(v) | Payment Event Cut-Off Date |
In the event that a Payment Disruption Event or a CNY Payment Disruption Event, as the case may be, is still occurring on the Payment Event Cut-Off Date, the Interest Payment Date, the Maturity Date, or any other date on which the Interest Amount, Fixed Coupon Amount, Final Redemption Amount or other amount in respect of the relevant Notes shall be due and payable (as the case may be) for the relevant Notes shall fall on the Payment Event Cut-Off Date. In such circumstances, the Noteholder will not receive any amounts. Thereafter, the Issuer shall have no obligations whatsoever under the Notes. |
For the purposes of this Condition 5(i): |
Base Currency has the meaning given to it in Annex 4 Additional Terms and Conditions for FX Linked Notes; |
CNY means Chinese Renminbi, the lawful currency of the Peoples Republic of China (including any lawful successor currency to the CNY); |
CNY Payment Disruption Event means the occurrence of any of the following events: |
(a) | an event that makes it impossible or impractical for the Issuer to convert any amounts in CNY due in respect of the Notes in the general CNY foreign exchange market in the relevant CNY Settlement Center(s), other than where such impossibility or impracticality is due solely to the failure of the Issuer to comply with any law, rule, or regulation enacted by any Governmental Authority (unless such law, rule, or regulation is enacted after the relevant Trade Date, and it is impossible or impractical for the Issuer, due to an event beyond its control, to comply with such law, rule, or regulation); |
(b) | an event that makes it impossible or impractical for the Issuer to (i) deliver CNY between accounts inside the relevant CNY Settlement Center(s), or (ii) from an account inside the relevant CNY Settlement Center(s) to an account outside the relevant CNY Settlement Center(s) (including, if applicable, to another CNY Settlement Center), other than where such impossibility or impracticality is due solely to the failure of the Issuer to comply with any law, rule, or regulation enacted by any Governmental Authority (unless such law, rule, or regulation is enacted after the Trade Date and it is impossible or impractical for the Issuer, due to an event beyond its control, to comply with such law, rule, or regulation); and |
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(c) | the general CNY foreign exchange market in the relevant CNY Settlement Center becomes illiquid as a result of which the Issuer cannot obtain sufficient CNY in order to satisfy its payment obligations (in whole or in part) under the Notes; |
CNY Settlement Center means the financial Center(s) specified as such in the applicable Final Terms; |
Equivalent Amount means, in respect of the relevant Interest Amount, Fixed Coupon Amount, Final Redemption Amount or other amount payable (if applicable) on the relevant Affected Payment Date (for these purposes, the Relevant Amount ), an amount in the Base Currency determined by the Calculation Agent by converting the Relevant Amount into the Base Currency using the Equivalent Amount Currency Price for the relevant Affected Payment Date; |
Equivalent Amount Settlement Rate means, unless otherwise specified in the applicable Final Terms, in respect of any relevant day, the spot exchange rate on such day between CNY and the Base Currency, determined by the Calculation Agent, taking into account all available information which the Calculation Agent deems relevant (including, but not limited to, pricing information obtained from the CNY non-deliverable market outside the Peoples Republic of China and/or the CNY foreign exchange market in the Peoples Republic of China); |
Governmental Authority means any de facto or de jure government (or any agency or instrumentality thereof), court, tribunal, administrative or other governmental authority or any other entity (private or public) charged with the regulation of the financial markets (including the central bank) of the Peoples Republic of China, the Hong Kong Special Administrative Region and any other CNY Settlement Center; |
impractical or impracticality means, in respect of any action to be taken by the Issuer, that the Issuer and/or its Affiliates would incur a materially increased amount of taxes, duties, expenses, or fees (as compared with circumstances existing on the Trade Date) to perform such action, or the Issuer and/or any Affiliates would be in breach of any law, rule, regulation, guideline, or internal policy of the Issuer and/or its Affiliates, if such action were to be performed; |
Payment Disruption Event means: |
(a) | the occurrence of either (a) an Inconvertibility Event and/or (b) a Non-Transferability Event (each as defined in Annex 4 Additional Terms and Conditions for FX Linked Notes); |
(b) | the imposition by the Subject Currency Jurisdiction (or any political or regulatory authority thereof) of any capital controls, or the publication of any notice of an intention to do so, which the Calculation Agent determines in good faith is likely materially to affect the Notes, and notice |
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thereof is given by the Issuer to the Noteholders in accordance with Condition 14; or |
(c) | the implementation by the Subject Currency Jurisdiction (or any political or regulatory authority thereof) or the publication of any notice of an intention to implement any changes to the laws or regulations relating to foreign investment in the Subject Currency Jurisdiction (including, but not limited to, changes in tax laws and/or laws relating to capital markets and corporate ownership), which the Calculation Agent determines are likely to affect materially the Issuers ability to hedge its obligations under the Notes; |
Payment Event Cut-Off Date means the date which is one year after the Maturity Date, or as determined by the Calculation Agent acting in good faith and notified to Noteholders in accordance with Condition 14; |
Subject Currency has the meaning given to it in Annex 4 Additional Terms and Conditions for FX Linked Notes; and |
Subject Currency Jurisdiction has the meaning given to it in Annex 4 Additional Terms and Conditions for FX Linked Notes. |
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(i) | on the occasion of the next payment due under the Notes, (A) the Issuer has or will become obligated to pay Additional Amounts as discussed in Condition 8 or (B) any payment with respect to the Notes would be treated as a dividend or dividend equivalent for United States tax purposes, in each case as a result of any change in, or amendment to, the laws or regulations of the United States or any political subdivision or any authority thereof or therein having power to tax, or any change in the application or official interpretation of such laws or regulations, which change or amendment becomes effective on or after the Issue Date of the first Tranche of the Notes; and |
(ii) | the Issuer cannot avoid such obligation by taking reasonable measures available to it, provided that no such redemption notice shall be given earlier than 90 calendar days prior to the earliest date on which the Issuer would be obligated to pay such Additional Amounts if a payment in respect of the Notes were then due. |
(i) | redeem the Notes in whole, but not in part, at any time (in the case of Fixed-Rate Notes) or on any Interest Payment Date (in the case of Notes other than Fixed-Rate Notes), at a price equal to the Early Redemption Amount referred to in |
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Condition 6(f) below, together with, if appropriate, interest accrued to but excluding the date fixed for redemption; or |
(ii) | if the conditions of the second succeeding paragraph are satisfied, pay the Additional Amounts specified in such paragraph. |
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(i) | not less than 30 nor more than 60 calendar days notice in accordance with Condition 14 to the Noteholders (or such other period as is specified in the applicable Final Terms); and |
(ii) | not less than seven London Business Days (as defined in Condition 4(b)(iv)) (or such other period as is specified in the applicable Final Terms) before giving notice as referred to in (i), notice to the Principal Agent; |
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(i) | in the case of a Note (other than a Zero Coupon Note, a Dual Currency Note, an Index Linked Redemption Note, a Share Linked Redemption Note, a GDR/ADR Linked Redemption Note, an FX Linked Redemption Note, a Commodity Linked Redemption Note, a Fund Linked Redemption Note, an Inflation Linked Redemption Note, a Hybrid Redemption Note, or an other Underlying Asset(s) |
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Redemption Note) with a Final Redemption Amount equal to 100 per cent. of its outstanding principal amount, at the Final Redemption Amount thereof; or |
(ii) | in the case of a Note (other than those described in Condition 6(f)(i) above or Condition 6(f)(iii) below), the Early Redemption Amount payable shall be the amount per Note of the Specified Denomination specified in the applicable Final Terms, provided that if Market Value less Associated Costs (no floor) or Market Value less Associated Costs (90 per cent. floor) is specified to be the Early Redemption Amount in the applicable Final Terms, the Early Redemption Amount in respect of each Note of the Specified Denomination shall be an amount determined by the Calculation Agent, which on (i) in the case of redemption other than pursuant to Condition 10, the second Business Day immediately preceding the due date for the early redemption of such Note or (ii) in the case of redemption pursuant to Condition 10, the due date for the early redemption of such Note, represents the fair market value of such Note (taking into account all factors which the Calculation Agent determines relevant) less Associated Costs, and provided that no account shall be taken of the financial condition of the Issuer which shall be presumed to be able to perform fully its obligations in respect of the Notes and provided further that, if Market Value less Associated Costs (90 per cent. floor) is specified to be the Early Redemption Amount in the applicable Final Terms, in no event shall the Early Redemption Amount of each Note (in the case of an Installment Note, when aggregated with the sum of any Installment Amounts already paid in respect of such Note and in the case of an Amortizing Note, when aggregated with any amounts of principal already paid in respect of such Note) be less than 90 per cent. of the Specified Denomination of such Note or, in the case of a Partly Paid Note, 90 per cent. of the amount paid up in respect of such Note or, in the case of a Zero Coupon Note, 90 per cent. of the Amortized Face Amount (as defined in Condition 6(f)(iii) below) of such Note; or |
(iii) | in the case of (x) a Zero Coupon Note, which is not a Dual Currency Note, an Index Linked Redemption Note, a Share Linked Redemption Note, a GDR/ADR Linked Note, an FX Linked Redemption Note, a Commodity Linked Redemption Note, a Fund Linked Redemption Note, an Inflation Linked Redemption Note, a Hybrid Redemption Note, or an other Underlying Asset(s) Redemption Note or (y) any other Note to which this Condition 6(f)(iii) is specified in the relevant Final Terms to apply, at an amount (the Amortized Face Amount ) calculated in accordance with the following formula: |
(A) | Early Redemption Amount = RP x (1 + AY) y | ||
where: |
RP means the Reference Price, as set forth in the applicable Final Terms; and |
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AY means the Accrual Yield expressed as a decimal, as set forth in the applicable Final Terms; and |
y is a fraction the numerator of which is equal to the number of days (calculated on the basis of a 360-day year consisting of 12 months of 30 days each) from (and including) the Issue Date of the first Tranche of the Notes to (but excluding) the date fixed for redemption or (as the case may be) the date upon which such Note becomes due and repayable and the denominator of which is 360, |
or on such other calculation basis as may be specified in the applicable Final Terms; |
(B) | if the amount payable with respect to any Zero Coupon Note upon redemption pursuant to Condition 6(b), (c), (d) or (e) above or upon its becoming due and repayable as provided in Condition 10 is not paid or available for payment when due, the amount due and repayable with respect to such Zero Coupon Note shall be the Amortized Face Amount of such Zero Coupon Note calculated as provided above as though the references in the definition of y in the sub-paragraph (A) above to the date fixed for redemption or the date upon which the Zero Coupon Note becomes due and repayable were replaced by references to the date (the Reference Date ) which is the earlier of: |
(1) | the date on which all amounts due with respect to the Zero Coupon Note have been paid; or |
(2) | the date on which the full amount of the monies repayable has been received by the Agent and notice to that effect has been given in accordance with Condition 14. |
The calculation of the Amortized Face Amount in accordance with this sub-paragraph (B) will continue to be made, before, as well as after, judgment, until the Reference Date, unless the Reference Date falls on or after the Maturity Date, in which case the amount due and repayable shall be the principal amount of such Note together with interest at a rate per annum equal to the Accrual Yield. |
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(i) | Dual Currency Notes, Index Linked Redemption Notes, Share Linked Redemption Notes, GDR/ADR Linked Redemption Notes, FX Linked Redemption Notes, Commodity Linked Redemption Notes, Fund Linked Redemption Notes, Inflation Linked Redemption Notes, Hybrid Redemption Notes, and other Underlying Asset(s) Redemption Notes |
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(i) | the Notes and the Receipts shall (unless already so provided by mandatory provisions of applicable law) be deemed to be redenominated in euro in the denomination of euro 0.01 with a nominal amount for each Note and Receipt equal to the nominal amount of that Note and Receipt in the Specified Currency, converted into euro at the rate for conversion established by the Council of the European Union pursuant to the EC Treaty (including compliance with rules relating to rounding in accordance with European Community regulations) provided that, if the Issuer determines, with the agreement of the Agent (which agreement shall not be unreasonably withheld), that the then market practice in respect of the redenomination into euro 0.01 of internationally offered securities is different from the provisions specified above, such provisions shall be deemed to be amended so as to comply with such market practice and the Issuer shall promptly notify the Noteholders, any stock exchange on which the Notes may be listed, and any Paying Agent of such deemed amendment; |
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(ii) | if Definitive Notes are required to be issued after the Redenomination Date, they shall be issued at the expense of the Issuer in the denominations of 50,000, and such other denominations as the Principal Agent determines and gives notice of to the Noteholders; |
(iii) | if Bearer Definitive Notes have been issued prior to the Redenomination Date, all unmatured Receipts and Coupons denominated in the Specified Currency (whether or not attached to the Notes) will become void from the date on which the Issuer gives the notice (the Exchange Notice ) that replacement euro-denominated Notes, Receipts, and Coupons are available for exchange (provided that such securities are so available) and no payments will be made in respect of them. The payment obligations contained in any Notes and Receipts so issued also will become void on that date although those Notes and Receipts will continue to constitute valid exchange obligations of the Issuer. New certificates in respect of euro-denominated Notes, Receipts and Coupons will be issued in exchange for Notes, Receipts and Coupons denominated in the Specified Currency in such manner as the Principal Agent may specify and shall be stated to Noteholders in the Exchange Notice; |
(iv) | after the Redenomination Date, all payments in respect of the Notes (other than payments of interest in respect of periods commencing before the Redenomination Date) will be made solely in euro, unless the Redenomination Date is on or after such date as the Specified Currency ceases to be a subdivision of the euro. Such payments will be made in euro by credit or transfer to a euro account (or any other account to which euro may be credited or transferred) specified by the payee; |
(v) | the amount of interest in respect of Notes will be calculated by reference to the aggregate nominal amount of Bearer Definitive Notes presented (or, as the case may be, in respect of which Receipts or Coupons are presented) for payment by the relevant holder and the amount of such payment shall be rounded down to the nearest euro 0.01; and |
(vi) | if the Notes are Notes other than Fixed-Rate Notes, Zero Coupon Notes or other non-interest bearing Notes, the applicable Final Terms will specify any relevant changes to the provisions relating to interest. |
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(a) | any tax, assessment, or other governmental charge which would not have been so imposed but for: |
(i) | the existence of any present or former connection between such holder (or between a fiduciary, settlor, beneficiary, member, or stockholder of, or a person holding a power over, such holder, if such holder is an estate, trust, partnership, or corporation) and the United States or any of its possessions, including, without limitation, such holder (or such fiduciary, settlor, beneficiary, member, stockholder, or person holding a power) being or having been a citizen or resident or treated as a resident thereof or being or having been engaged in a trade or business therein or being or having been present therein or having or having had a permanent establishment therein or having or having had a qualified business unit which has the U.S. Dollar as its functional currency; |
(ii) | such holders present or former status as a personal holding company, foreign personal holding company, passive foreign investment company, private foundation, or other tax-exempt entity, or controlled foreign corporation for United States tax purposes or a corporation which accumulates earnings to avoid United States federal income tax; or |
(iii) | such holders status as a bank extending credit pursuant to a loan agreement entered into in the ordinary course of business; |
(b) | any tax, assessment, or governmental charge that would not have been so imposed but for the failure of the holder to comply with certification, identification, or information reporting requirements under United States income tax laws, without regard to any tax treaty, with respect to the payment, concerning the nationality, residence, identity, or connection with the United States or any of its possessions of the holder or a beneficial owner of such Note or Coupon, if such compliance is required by United States income |
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tax laws, without regard to any tax treaty, as a precondition to relief or exemption from such tax, assessment, or governmental charge; |
(c) | any tax, assessment, or governmental charge that would not have been so imposed but for the presentation by the holder of such Note or Coupon for payment on a date more than 30 calendar days after the date on which such payment became due and payable or the date on which payment thereof is duly provided for, whichever occurs later; | |
(d) | any estate, inheritance, gift, sales, transfer, excise, wealth, or personal property tax or any similar tax, assessment, or governmental charge; | |
(e) | any tax, assessment, or governmental charge which is payable otherwise than by withholding by the Issuer or a Paying Agent from the payment of the principal of or interest on any Note or Coupon; | |
(f) | any tax, assessment, or governmental charge imposed solely because the payment is to be made by a particular Paying Agent or a particular office of a Paying Agent and would not be imposed if made by another Agent or by another office of this Agent; | |
(g) | any tax, assessment, or other governmental charge imposed on interest received by a person holding, actually or constructively, 10.00 per cent. or more of the total combined voting power of all classes of stock of the Issuer entitled to vote; | |
(h) | any withholding or deduction imposed on a payment to an individual and required to be made pursuant to European Council Directive 2003/48/EC (the Directive) or any law implementing or complying with, or introduced in order to conform to, such Directive; | |
(i) | any tax, assessment, or other government charge imposed on a payment of principal or interest (or any other payment) on any Note which is (i) a Dual Currency Note or (ii) a Note which is an Index Linked Note, Share Linked Note, GDR/ADR Linked Note, FX Linked Note, Commodity Linked Note, Fund Linked Note, Inflation Linked Note, Hybrid Note, Physical Delivery Note, or Note linked to other Underlying Asset(s) and in respect of which the Holder may not receive at least 90 per cent. of the Specified Denomination per Note (or, in the case of a Partly Paid Note, 90 per cent. of the amount paid up in respect of such Note or, in the case of a Zero Coupon Note, 90 per cent. of the Amortized Face Amount of such Note), unless in each case the applicable Final Terms expressly provide that the Issuer will pay Additional Amounts with respect to such Note; | |
(j) | any Note presented for payment by or on behalf of a Noteholder who would have been able to avoid such withholding or deduction by presenting the relevant Note to another Paying Agent in a member state of the European Union; | |
(k) | any tax, assessment, or other governmental charge that is imposed or withheld by reason of the application of Section 1471 (or any successor provision) or Section 1472 (or any successor provision) of the Code or any related administrative regulation or pronouncement; |
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(l) | any tax, assessment, or other governmental charge that is imposed or withheld by reason of the payment being treated as a dividend or dividend equivalent for United States tax purposes; or | |
(m) | any combination of items (a) through (l), |
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(i) | the Issuer shall fail to pay the principal amount or deliver the Entitlement (if any) of any of such Senior Notes when due whether at maturity or upon early redemption or otherwise; or |
(ii) | the Issuer shall fail to pay any installment of interest, other amounts payable, or Additional Amounts on any of such Senior Notes for a period of 30 calendar days after the due date; or |
(iii) | the Issuer shall fail duly to perform or observe any other term, covenant, or agreement applicable to such Senior Notes contained in any of such Senior Notes or in the Agency Agreement for a period of 90 calendar days after the date on which written notice of such failure, requiring the Issuer to remedy the same, shall first have been given to the Issuer and the Principal Agent by the Noteholders of at least 33.00 per cent. in aggregate principal amount of such Senior Notes at the time outstanding; provided, however, that in the event the Issuer within the aforesaid period of 90 calendar days shall commence legal action in a court of competent jurisdiction seeking a determination that the Issuer had not failed duly to perform or observe the term or terms, covenant or covenants, or agreement or agreements specified in the aforesaid notice, such failure shall not be an Event of Default unless the same continues for a period of ten calendar days after the date of any final determination to the effect that the Issuer had failed to duly perform or observe one or more of such terms, covenants, or agreements; or |
(iv) | a court having jurisdiction in the premises shall enter a decree or order for relief in respect of the Issuer in an involuntary case or proceeding under any applicable bankruptcy, insolvency, reorganization, or other similar law now or hereafter in effect, or appointing a receiver, liquidator, conservator, assignee, custodian, trustee, sequestrator (or similar official) of the Issuer or for any substantial part of its property or ordering the winding-up or liquidation of its affairs and such decree or order shall remain unstayed and in effect for a period of 60 consecutive calendar days; or |
(v) | the Issuer shall commence a voluntary case or proceeding under any applicable bankruptcy, insolvency, liquidation, receivership, reorganization, or other similar law now or hereafter in effect, or shall consent to the entry of an order for relief in an involuntary case under any such law, or shall consent to the appointment of or taking possession by a receiver, liquidator, conservator, assignee, trustee, custodian, sequestrator (or similar official) of the Issuer or for any substantial part of its property, or shall make any general assignment for the benefit of creditors, or shall admit in writing its inability to pay its debts as they become due or shall take any corporate action in furtherance of any of the foregoing. |
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(i) | a court having jurisdiction in the premises shall enter a decree or order for relief in respect of the Issuer in an involuntary case or proceeding under any applicable bankruptcy, insolvency, reorganization, or other similar law now or hereafter in effect, or appointing a receiver, liquidator, conservator, assignee, custodian, trustee, sequestrator (or similar official) of the Issuer or for any substantial part of its property or ordering the winding-up or liquidation of its affairs and such decree or order shall remain unstayed and in effect for a period of 60 consecutive calendar days; or |
(ii) | the Issuer shall commence a voluntary case or proceeding under any applicable bankruptcy, insolvency, liquidation, receivership, reorganization, or other similar law now or hereafter in effect, or shall consent to the entry of an order for relief in an involuntary case under any such law, or shall consent to the appointment of or taking possession by a receiver, liquidator, conservator, assignee, trustee, custodian, sequestrator (or similar official) of the Issuer or for any substantial part of its property, or shall make any general assignment for the benefit of creditors, or shall admit in writing its inability to pay its debts as they become due or shall take any corporate action in furtherance of any of the foregoing. |
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(a) | so long as the Notes are listed on any stock exchange, there will at all times be a Paying Agent with a specified office in such place as may be required by the rules and regulations of the relevant stock exchange; | ||
(b) | there will at all times be a Paying Agent with a specified office in a city in continental Europe; | ||
(c) | there will at all times be a Principal Agent; |
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(d) | the Issuer will maintain a Paying Agent in a member state of the European Union that will not be obliged to withhold or deduct tax pursuant to the Directive (as defined in Condition 8) or any law implementing or complying with, or introduced in order to conform to, such Directive; and | ||
(e) | there will at all times be a Transfer Agent and a Registrar with a specified office in continental Europe (outside the United Kingdom). |
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(a) | to evidence the succession of another entity to the Issuer and the assumption by any such successor of the covenants of the Issuer in the Agency Agreement, the Notes, Receipts, or Coupons; | ||
(b) | to add to the covenants of the Issuer for the benefit of the Noteholders, the Receiptholders, or the Couponholders, or to surrender any right or power herein conferred upon the Issuer; | ||
(c) | to relax or eliminate the restrictions on payment of principal and interest in respect of the Notes, Receipts, or Coupons in the United States or its possessions, provided that such payment is permitted by United States tax laws and regulations then in effect and provided that no adverse tax consequences would result to the Noteholders, the Receiptholders, or the Couponholders; | ||
(d) | to cure any ambiguity, to correct or supplement any defective provision herein or any provision which may be inconsistent with any other provision herein; | ||
(e) | to make any other provisions with respect to matters or questions arising under the Notes, the Receipts, the Coupons, or the Agency Agreement, provided such action pursuant to this subclause (e) shall not adversely affect the interests of the Noteholders, the Receiptholders, or the Couponholders; | ||
(f) | to facilitate the issuance of Notes in accordance with the laws of a particular jurisdiction; and |
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(g) | to permit further issuances of Notes in accordance with the terms of the Program Agreement. |
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(a) | if Omission is specified as applying in the applicable Final Terms, then such date will be deemed not to be an Averaging Date for the purposes of determining the relevant level or price provided that, if through the operation of this provision there would not be an Averaging Date, then the provisions of the definition of Valuation Date will apply for purposes of determining the |
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relevant level or price on the final Averaging Date, as if such final Averaging Date were a Valuation Date that was a Disrupted Day; or |
(b) | if Postponement is specified as applying in the applicable Final Terms, then the provisions of the definition of Valuation Date will apply for the purposes of determining the relevant level or price on that Averaging Date as if such Averaging Date were a Valuation Date that was a Disrupted Day irrespective of whether, pursuant to such determination, that deferred Averaging Date would fall on a day that already is or is deemed to be an Averaging Date; or |
(c) | if Modified Postponement is specified as applying in the applicable Final Terms then: |
(i) | where the Index Linked Notes relate to a single Index, the Averaging Date shall be the first succeeding Valid Date. If the first succeeding Valid Date has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for the Index, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date), and (B) the Calculation Agent shall determine the relevant level or price for that Averaging Date in accordance with subparagraph (a)(ii) of the definition of Valuation Date below; |
(ii) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Averaging Date for each Index not affected by the occurrence of a Disrupted Day shall be the originally designated Averaging Date (following adjustment of such date owing to the original date not being a Scheduled Trading Day, if applicable) (the Scheduled Averaging Date ) and the Averaging Date for an Index affected by the occurrence of a Disrupted Day shall be the first succeeding Valid Date in relation to such Index. If the first succeeding Valid Date in relation to such Index has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for the Index, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date) in relation to such Index, and (B) the Calculation Agent shall determine the relevant level or price for that Averaging Date in accordance with subparagraph (b)(ii) of the definition of Valuation Date below; |
(iii) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Averaging Date |
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for each Index not affected by the occurrence of a Disrupted Day shall be the originally designated Averaging Date (following adjustment of such date owing to the original date not being a Common Scheduled Trading Day, if applicable) (the Scheduled Averaging Date ) and the Averaging Date for an Index affected by the occurrence of a Disrupted Day shall be the first succeeding Valid Date in relation to such Index. If the first succeeding Valid Date in relation to such Index has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day for the Index, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date) in relation to such Index, and (B) the Calculation Agent shall determine the relevant level or price for that Averaging Date in accordance with sub-paragraph (c)(ii) of the definition of Valuation Date below; |
(iv) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Averaging Date for each Index shall be the first succeeding Common Valid Date in relation to such Index. If the first succeeding Common Valid Date has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date), and (B) the Calculation Agent shall determine the relevant level or price for that Averaging Date in accordance with sub-paragraph (d)(ii) of the definition of Valuation Date below, |
and, for the purposes of these Index Linked Conditions Valid Date means a Scheduled Trading Day that is not a Disrupted Day and on which another Averaging Date does not or is deemed not to occur, and Common Valid Date means a Common Scheduled Trading Day that is not a Disrupted Day for any Index, and on which another Averaging Date does not or is deemed not to occur. |
(a) | if the applicable Final Terms provides that the Barrier Event (intraday) provisions shall apply, unless otherwise specified in the applicable Final Terms, each day on which the level of such Index is published and/or disseminated by the Index Sponsor during the relevant Observation Period, regardless of whether or not such day is a Scheduled Trading Day for such Index (and if the Calculation Agent in its sole and absolute discretion determines that a Market |
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Disruption Event is occurring for such Index at any time on any Barrier Event Determination Day, it shall disregard the period during which it determines in its sole and absolute discretion that such Market Disruption Event has occurred and is continuing for the purposes of determining whether or not a Barrier Event (intraday) has occurred); or |
(b) | if the applicable Final Terms provides that the Barrier Event (closing) provisions shall apply, each day specified as such in the applicable Final Terms. |
(a) | in relation to an Index which is specified in the applicable Final Terms as being a Unitary Index, the Scheduled Closing Time on the relevant Exchange on the relevant Barrier Event Determination Day, as the case may be, in relation to each Index to be valued. If the relevant Exchange closes prior to its Scheduled Closing Time and the specified Barrier Event Valuation Time (closing) is after the actual closing time for its regular trading session, then the Barrier Event Valuation Time (closing) shall be such actual closing time; and |
(b) | in relation to an Index which is specified in the applicable Final Terms as being a Multi-Exchange Index, (i) for the purposes of determining whether a Market Disruption Event has occurred: (A) in respect of any Component Security, the Scheduled Closing Time on the relevant Exchange and (B) in respect of any options contracts or futures contracts on the Index, the close of trading on the relevant Related Exchange, and (ii) in all other circumstances, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; and |
(c) | in relation to an Index which is specified in the applicable Final Terms as being a Proprietary Index, the time at which the Index Sponsor calculates and publishes the official closing level of the Index. |
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(a) | in relation to an Index which is specified in the applicable Final Terms as being a Unitary Index, any Scheduled Trading Day on which a relevant Exchange or any Related Exchange fails to open for trading during its regular trading session or on which a Market Disruption Event has occurred; | ||
(b) | in relation to an Index which is specified in the applicable Final Terms as being a Multi-Exchange Index, any Scheduled Trading Day on which (i) the Index Sponsor fails to publish the level of the Index (provided that the Calculation Agent may, in its discretion, determine that such event instead results in the occurrence of an Index Disruption), (ii) the Related Exchange fails to open for trading during its regular trading session or (iii) a Market Disruption Event has occurred; and | ||
(c) | in relation to an Index which is specified in the applicable Final Terms as being a Proprietary Index, any Scheduled Trading Day on which a Market Disruption Event has occurred (provided that the Calculation Agent may, in its discretion, determine that such event instead results in the occurrence of an Index Disruption). |
(a) | in relation to an Index which is specified in the applicable Final Terms as being a Unitary Index, the closure on any Exchange Business Day of any relevant Exchange(s) relating to securities that comprise 20 per cent. or more of the level of the relevant Index or any Related Exchange(s) prior to its Scheduled Closing Time unless such earlier closing time is announced by such Exchange(s) or Related Exchange(s) at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such Exchange(s) or Related Exchange(s) on such Exchange Business Day and (ii) the submission deadline for orders to be entered into the Exchange or Related Exchange system for execution at the Valuation Time on such Exchange Business Day; | ||
(b) | or in relation to an Index which is specified in the applicable Final Terms as being a Multi-Exchange Index, the closure on any Exchange Business Day of the Exchange in respect of any Component Security or the Related Exchange prior to its Scheduled Closing Time unless such earlier closing is announced by such Exchange or Related Exchange, as the case may be, at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such Exchange or Related Exchange, as the case may be, on such Exchange Business Day, or (ii) the submission deadline for orders to be entered into on |
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the relevant Exchange or Related Exchange system for execution at the relevant Valuation Time on such Exchange Business Day. |
(a) | in relation to an Index which is specified in the applicable Final Terms as being a Unitary Index, each exchange or quotation system specified as such for such Index in the applicable Final Terms, any successor to such exchange or quotation system or any substitute exchange or quotation system to which trading in the securities comprising such Index has temporarily relocated (provided that the Calculation Agent has determined that there is comparable liquidity relative to the securities comprising such Index on such temporary substitute exchange or quotation system as on the original Exchange); and | ||
(b) | in relation to an Index which is specified in the applicable Final Terms as being a Multi-Exchange Index, in respect of each Component Security, the principal stock exchange on which such Component Security is principally traded, as determined by the Calculation Agent. |
(a) | in relation to an Index which is specified in the applicable Final Terms as being a Unitary Index, any event (other than an Early Closure) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general (i) to effect transactions in, or obtain market values for, on any relevant Exchange(s) in securities that comprise 20 per cent. or more of the level of the relevant Index, or (ii) to effect transactions in, or obtain market values for, futures or options contracts relating to the relevant Index on any relevant Related Exchange; or | ||
(b) | in relation to an Index which is specified in the applicable Final Terms as being a Multi-Exchange Index, any event (other than an Early Closure) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general to effect transactions in, or obtain market values for: (i) any Component Security on the Exchange in respect of such Component Security; or (ii) futures or options contracts relating to the Index on the relevant Related Exchange. |
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(a) | where the Index Linked Notes relate to a single Index, the Observation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for the Index, (i) the Observation Cut-Off Date shall be deemed to be such Observation Date (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant level or price in the manner set out in the applicable Final Terms or, if not set out or if not practicable, determine the relevant level or price by determining the level of the Index as of the Valuation Time on the Observation Cut-Off Date in accordance with (subject to Index Linked Condition 4 below) the formula for and method of calculating the Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Observation Cut-Off Date of each security comprised in the Index (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Observation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Observation Cut-Off Date); | ||
(b) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Observation Date for each Index not affected by the occurrence of a Disrupted Day shall be the Scheduled Observation Date (or, if earlier, the Observation Cut-Off Date) and the Observation Date for each Index affected (each an Affected Index ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Index, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day relating to the Affected Index. In that case, or if such Observation Date falls on the Observation Cut-Off Date for an Index owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Index, (i) the Observation Cut-Off Date shall |
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be deemed to be the Observation Date for such Index (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant level or price using, in relation to such Index, the level of such Index determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using the level of such Index as of the Valuation Time on the Observation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Observation Cut-Off Date of each security comprised in such Index (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Observation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Observation Cut-Off Date); | |||
(c) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Observation Date for each Index not affected by the occurrence of a Disrupted Day shall be the Scheduled Observation Date (or if the Scheduled Observation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day, or in either case, if earlier, the Observation Cut-Off Date) and the Observation Date for each Index affected (each an Affected Index ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Index, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date (or if such Scheduled Observation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day) up to, and including, the Observation Cut-Off Date is a Disrupted Day relating to the Affected Index. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date for such Index (notwithstanding the fact that such day may be a Disrupted Day for an Index or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant level or price using, in relation to such Index, the level of such Index determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using the level of such Index as of the Valuation Time on the Observation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Observation Cut-Off Date of each security comprised in such Index (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Observation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Observation Cut-Off Date); or |
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(d) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Observation Date shall be the first succeeding Common Scheduled Trading Day that is not a Disrupted Day for any Index, unless each of the Common Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day for one or more Indices. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date (notwithstanding the fact that such day may be a Disrupted Day for an Index or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant level or price using, in relation to each Index for which the Observation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day, the level of such Index determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using the level of such Index as of the Valuation Time on the Observation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Observation Cut-Off Date of each security comprised in each Index for which the Observation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Observation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Observation Cut-Off Date). |
(a) | if the consequence of Extension is specified in the applicable Final Terms to be applicable, each period commencing on the Observation Period Start Date, following adjustment of such date pursuant to these Index Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period Start Date, as specified in the applicable Final Terms) and ending on the immediately following Observation Period End Date, following adjustment of such date pursuant to these Index Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period End Date, as specified in the applicable Final Terms); or | ||
(b) | if the consequence of No Extension is specified in the applicable Final Terms to be applicable, each period commencing on the Observation Period Start Date, prior to any adjustment of such date pursuant to these Index Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period Start Date, as specified in the applicable Final Terms) and ending on the immediately following Observation |
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Period End Date, prior to any adjustment of such date pursuant to these Index Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period End Date, as specified in the applicable Final Terms). |
(a) | any Unitary Index, any day on which each Exchange and each Related Exchange for the Index are scheduled to be open for trading for their respective regular trading sessions; |
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(b) | any Multi-Exchange Index, any day on which (i) the Index Sponsor is scheduled to publish the level of the Index, and (ii) the Related Exchange for the Index is scheduled to be open for trading for its regular trading session; and | ||
(c) | any Proprietary Index, any day on, or, as the case may be, in respect of, which the Index Sponsor is scheduled to publish the level of such Index. |
(a) | in respect of any Unitary Index, any suspension of, or limitation imposed on, trading by any relevant Exchange or Related Exchange or otherwise and whether by reason of movements in price exceeding limits permitted by the relevant Exchange or Related Exchange or otherwise, (i) relating to securities that comprise 20 per cent. or more of the level of such Index on any relevant Exchange, or (ii) in futures or options contracts relating to such Index on any relevant Related Exchange; and | ||
(b) | in respect of any Multi-Exchange Index, any suspension or limitation imposed on trading by any relevant Exchange or Related Exchange or otherwise, and whether by reason of movements in price exceeding limits permitted by the relevant Exchange or Related Exchange or otherwise, (i) relating to any Component Security on the Exchange in respect of such Component Security, or (ii) in futures or options contracts relating to the Index on the Related Exchange. |
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(a) | where the Index Linked Notes relate to a single Index, the Valuation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for the Index, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant level or price in the manner set out in the applicable Final Terms or, if not set out or if not practicable, determine the relevant level or price by determining the level of the Index as of the Valuation Time on the Valuation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating the Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Valuation Cut-Off Date of each security comprised in the Index (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Valuation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Valuation Cut-Off Date); | ||
(b) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Valuation Date for each Index not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date (or, if earlier, the Valuation Cut-Off Date) and the Valuation Date for each Index affected (each an Affected Index ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Index, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day relating to the Affected Index. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Index, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date for such Index (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant level or price using, in relation to such Index, the level of such Index determined in the manner set out in the applicable Final Terms or, if not set out or if not |
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practicable, using the level of such Index as of the Valuation Time on the Valuation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Valuation Cut-Off Date of each security comprised in that Index (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Valuation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Valuation Cut-Off Date); | |||
(c) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Valuation Date for each Index not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date (or if the Scheduled Valuation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day, or in either case, if earlier, the Valuation Cut-Off Date) and the Valuation Date for each Index affected (each an Affected Index ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Index, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date (or if the Scheduled Valuation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day) up to, and including, the Valuation Cut-Off Date is a Disrupted Day relating to the Affected Index. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date for such Index (notwithstanding the fact that such day may be a Disrupted Day for an Index or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant level or price using, in relation to such Index, the level of such Index determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using the level of such Index as of the Valuation Time on the Valuation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Valuation Cut-Off Date of each security comprised in such Index (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Valuation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Valuation Cut-Off Date); or | ||
(d) | where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Valuation Date shall be the first |
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succeeding Common Scheduled Trading Day that is not a Disrupted Day for any Index, unless each of the Common Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day for one or more Indices. In that case, or if the Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date (notwithstanding the fact that such day may be a Disrupted Day for an Index or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant level or price using, in relation to each Index for which the Valuation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day, the level of such Index determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using the level of such Index as of the Valuation Time on the Valuation Cut-Off Date in accordance with (subject to Index Linked Condition 4) the formula for and method of calculating such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on the Valuation Cut-Off Date of each security comprised in each Index for which the Valuation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day (or, if an event giving rise to a Disrupted Day (as defined in the Share Linked Conditions in relation to a share) has occurred in respect of the relevant security on the Valuation Cut-Off Date, its good faith estimate of the value for the relevant security as of the Valuation Time on the Valuation Cut-Off Date). |
(a) | in respect of any Unitary Index, (i) for the purposes of determining whether an Early Closure, an Exchange Disruption or a Trading Disruption has occurred in respect of (A) any Exchange, the Scheduled Closing Time of the Exchange (provided that, if the relevant Exchange closes prior to its Scheduled Closing Time, then the Valuation Time shall be such actual closing time), and (B) any options contracts or futures contracts on such Index, the close of trading on the Related Exchange, and (ii) in all other circumstances, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; | ||
(b) | in respect of any Multi-Exchange Index, (i) for the purposes of determining whether an Early Closure, an Exchange Disruption or a Trading Disruption has occurred in respect of (I) any Component Security, the Scheduled Closing Time on the Exchange in respect of such Component Security (provided that, if the relevant Exchange closes prior to its Scheduled Closing Time, then the Valuation Time shall be such actual closing time), and (II) any options contracts or futures contracts on the Index, the close of trading on the Related Exchange, and (ii) in all other circumstances, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; and |
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(c) | in respect of any Proprietary Index, the time at which the Index Sponsor calculates and publishes the official closing level of the Index. |
(a) | in respect of any Unitary Index, the occurrence or existence of (i) a Trading Disruption, (ii) an Exchange Disruption, which in either case the Calculation Agent determines is material, at any time during the one hour period that ends at the relevant Valuation Time, or (iii) an Early Closure. |
(b) | in respect of any Multi-Exchange Index either: |
(i) | (A) the occurrence or existence, in respect of any Component Security, of: |
(1) | a Trading Disruption, which the Calculation Agent determines is material, at any time during the one hour period that ends at the relevant Valuation Time in respect of the Exchange on which such Component Security is principally traded; |
(2) | an Exchange Disruption, which the Calculation Agent determines is material, at any time during the one hour period that ends at the relevant Valuation Time in respect of the Exchange on which such Component Security is principally traded; or | ||
(3) | an Early Closure; and |
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(B) | the aggregate of all Component Securities in respect of which a Trading Disruption, an Exchange Disruption or an Early Closure occurs or exists, comprises 20 per cent. or more of the level of the Index; or |
(ii) | the occurrence or existence, in respect of futures or options contracts relating to the Index, of (1) a Trading Disruption, (2) an Exchange Disruption which in either case the Calculation Agent determines is material, at any time during the one hour period that ends at the Valuation Time in respect of the Related Exchange or (3) an Early Closure. |
For the purposes of determining whether a Market Disruption Event in respect of a Multi-Exchange Index exists at any time, if a Market Disruption Event (as defined in the Share Linked Conditions in relation to a share) occurs in respect of a Component Security at that time, then the relevant percentage contribution of such Component Security, to the level of the Index shall be based on a comparison of (x) the portion of the level of the Index attributable to that Component Security and (y) the overall level of the Index, in each case using the official opening weightings as published by the Index Sponsor as part of the market opening data. |
(c) | in respect of any Proprietary Index, the failure by the Index Sponsor to calculate and publish the level of the Index on any Scheduled Trading Day or in respect of such Scheduled Trading Day within the scheduled timeframe for publication. |
(a) | A Barrier Event (intraday) means (and a Barrier Event (intraday) shall be deemed to occur if), in respect of an Index, the Calculation Agent determines that the Index Level of such Index as of the Barrier Event Valuation Time (intraday) on any Barrier Event Determination Day is less than or equal to the corresponding Barrier Level for such Index and such Barrier Event Determination Day. |
For the purpose of determining whether a Barrier Event (intraday) has occurred on any day in respect of a Unitary Index and a Multi-Exchange Index, the definition of Market Disruption Event specified in Index Linked Condition 2 shall be amended such that (i) all references to during the one hour period that ends at the relevant Valuation Time shall be deleted, and (ii) in the definitions of Early Closure, Exchange Disruption and Trading Disruption appearing in Index Linked Condition 1, each reference to Valuation Time and Scheduled Closing Time shall be construed as a reference to Barrier Event Valuation Time (intraday). |
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(b) | A Barrier Event (closing) means (and a Barrier Event (closing) shall be deemed to occur if), in respect of an Index, the Calculation Agent determines that the Index Closing Level of such Index as of the Barrier Event Valuation Time (closing) on any Barrier Event Determination Day is less than or equal to the corresponding Barrier Level for such Index and such Barrier Event Determination Day. |
(a) | Consequences of a Successor Index Sponsor or a Successor Index |
(b) | Modification and Cessation of Calculation of an Index |
(A) | require the Calculation Agent to determine if such Index Adjustment Event has a material effect on the Index Linked Notes and, if so, calculate the relevant level or price using, in lieu of a published level for such Index, the level for such Index as at the Valuation Time on that Valuation Date, Observation Date or Averaging Date, as the case may be, as determined by the Calculation Agent in accordance with the formula for and method of calculating such Index last in effect prior to the change, failure or cancellation, but using only those securities that comprised such Index immediately prior to that Index Adjustment Event; or |
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(B) | on giving notice to the Noteholders in accordance with Condition 14, redeem all (but not less than all) of the Notes, each Note being redeemed at the Early Redemption Amount; or |
(c) | Corrections to an Index |
5. | Additional Disruption Events | |
(a) | Additional Disruption Event means any of Change in Law, Hedging Disruption and/or Increased Cost of Hedging, in each case if specified in the applicable Final Terms. | |
Change in Law means that, on or after the Trade Date (as specified in the applicable Final Terms) (i) due to the adoption of or any change in any applicable law or regulation (including, without limitation, any tax law), or (ii) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing authority), the Calculation Agent determines in its sole and absolute discretion that (A) it has become illegal to hold, acquire or dispose of any relevant security comprised in an Index or (B) the Issuer will incur a materially increased cost in performing its obligations in relation to the Index Linked Notes (including, without limitation, due to any increase in tax liability, decrease in tax benefit, or other adverse effect on the tax position of the Issuer and/or any of its Affiliates). | ||
Hedging Disruption means that the Issuer and/or any of its Affiliates or agents is unable, after using commercially reasonable efforts, to (i) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Issuer issuing and performing its |
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obligations with respect to the Index Linked Notes, or (ii) realize, recover or remit the proceeds of any such transaction(s) or asset(s). |
Increased Cost of Hedging means that the Issuer and/or any of its Affiliates or agents acting on its behalf would incur a materially increased (as compared with circumstances existing on the Trade Date) amount of tax, duty, expense, or fee (other than brokerage commissions) to (i) acquire, establish, re-establish, substitute, maintain, unwind, or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Issuer issuing and performing its obligations with respect to the Index Linked Notes, or (ii) realize, recover, or remit the proceeds of any such transaction(s) or asset(s), provided that any such materially increased amount that is incurred solely due to the deterioration of the creditworthiness of the Issuer and/or any of its Affiliates or agents shall not be deemed an Increased Cost of Hedging. |
(b) | If Additional Disruption Events are specified as applicable in the applicable Final Terms, then if an Additional Disruption Event occurs, the Issuer in its sole and absolute discretion may take the action described in (i) or (ii) below: |
(i) | require the Calculation Agent to determine in its sole and absolute discretion the appropriate adjustment, if any, to be made to any one or more of the terms of these Terms and Conditions and/or the applicable Final Terms to account for the Additional Disruption Event and determine the effective date of that adjustment; or |
(ii) | give notice to Noteholders in accordance with Condition 14 and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount. |
(c) | Upon the occurrence of an Additional Disruption Event, the Issuer shall give notice as soon as practicable to the Noteholders stating the occurrence of the Additional Disruption Event, giving details thereof and the action proposed to be taken in relation thereto provided that any failure to give, or non-receipt of, such notice will not affect the validity of the Additional Disruption Event. |
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(a) | if Omission is specified as applying in the applicable Final Terms, then such date will be deemed not to be an Averaging Date for the purposes of determining the relevant price; provided that, if through the operation of this provision there would not be an Averaging Date, then the provisions of the definition of Valuation Date will apply for purposes of determining the relevant price on the final Averaging Date, as if such final Averaging Date were a Valuation Date that was a Disrupted Day; or |
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(b) | if Postponement is specified as applying in the applicable Final Terms, then the provisions of the definition of Valuation Date will apply for the purposes of determining the relevant price on that Averaging Date as if such Averaging Date were a Valuation Date that was a Disrupted Day irrespective of whether, pursuant to such determination, that deferred Averaging Date would fall on a day that already is or is deemed to be an Averaging Date; or | ||
(c) | if Modified Postponement is specified as applying in the applicable Final Terms then: |
(i) | where the Share Linked Notes relate to a single Share, the Averaging Date shall be the first succeeding Valid Date. If the first succeeding Valid Date has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for the Share, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date), and (B) the Calculation Agent shall determine the relevant price for that Averaging Date in accordance with sub-paragraph (a)(ii) of the definition of Valuation Date below; |
(ii) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Averaging Date for each Share not affected by the occurrence of a Disrupted Day shall be the originally designated Averaging Date (following adjustment of such date owing to the original date not being a Scheduled Trading Day, if applicable) (the Scheduled Averaging Date ) and the Averaging Date for a Share affected by the occurrence of a Disrupted Day shall be the first succeeding Valid Date in relation to such Share. If the first succeeding Valid Date in relation to such Share has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Share, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date) in relation to such Share, and (B) the Calculation Agent shall determine the relevant price for that Averaging Date in accordance with sub-paragraph (b)(ii) of the definition of Valuation Date below; |
(iii) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Averaging Date for each Share not affected by the occurrence of a Disrupted Day shall be the originally designated Averaging Date (following adjustment of such date owing to the original date not being a Common Scheduled Trading |
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Day, if applicable) (the Scheduled Averaging Date ) and the Averaging Date for a Share affected by the occurrence of a Disrupted Day shall be the first succeeding Valid Date in relation to such Share. If the first succeeding Valid Date in relation to such Share has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date) in relation to such Share, and (B) the Calculation Agent shall determine the relevant price for that Averaging Date in accordance with sub-paragraph (c)(ii) of the definition of Valuation Date below; or |
(iv) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Averaging Date for each Share shall be the first succeeding Common Valid Date in relation to such Share. If the first succeeding Common Valid Date has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date), and (B) the Calculation Agent shall determine the relevant level or price for that Averaging Date in accordance with sub-paragraph (d)(ii) of the definition of Valuation Date below, |
(a) | if the applicable Final Terms provides that the Barrier Event (intraday) provisions shall apply, unless otherwise specified in the applicable Final Terms, each day on which the price of such Share is quoted on the relevant Exchange during the relevant Observation Period, regardless of whether or not such day is a Scheduled Trading Day for such Share (and, for the avoidance of doubt, if the Calculation Agent in its sole and absolute discretion determines that a Market Disruption Event is occurring at any time on any Barrier Event Determination Day, it shall disregard the period during which it determines in its sole and absolute discretion that such Market Disruption Event has occurred and is |
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continuing for the purposes of determining whether or not a Barrier Event (intraday) has occurred); or | |||
(b) | if the applicable Final Terms provides that the Barrier Event (closing) provisions shall apply, each day specified as such in the applicable Final Terms. |
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(a) | where the Share Linked Notes relate to a single Share, the Observation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Share, (i) the Observation Cut-Off Date shall be deemed to be such Observation Date (notwithstanding |
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the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price in the manner set out in the applicable Final Terms or, if not set out or if not practicable, determine the relevant price in accordance with its good faith estimate of the relevant price as of the Valuation Time on the Observation Cut-Off Date; | |||
(b) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Observation Date for each Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Observation Date (or, if earlier, the Observation Cut-Off Date) and the Observation Date for each Share affected (each an Affected Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Share, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day relating to the Affected Share. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Share, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date for such Share (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Share as of the Valuation Time on the Observation Cut-Off Date, and otherwise in accordance with the above provisions; | ||
(c) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Observation Date for each Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Observation Date (or if the Scheduled Observation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day, or in either case, if earlier, the Observation Cut-Off Date) and the Observation Date for each Share affected (each an Affected Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Share, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date (or if the Scheduled Observation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day) up to, and including, the Observation Cut-Off Date is a Disrupted Day relating to the Affected Share. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date for such Share (notwithstanding the fact that such day may be a Disrupted Day for a Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall |
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determine the relevant price using, in relation to such Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Share as of the Valuation Time on the Observation Cut-Off Date, and otherwise in accordance with the above provisions; or | |||
(d) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Observation Date shall be the first succeeding Common Scheduled Trading Day that is not a Disrupted Day for any Share, unless each of the Common Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day for one or more Shares. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date (notwithstanding the fact that such day may be a Disrupted Day for a Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to each Share for which the Observation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Share as of the Valuation Time on the Observation Cut-Off Date, and otherwise in accordance with the above provisions. |
(a) | if the consequence of Extension is specified in the applicable Final Terms to be applicable, each period commencing on the Observation Period Start Date, following adjustment of such date pursuant to these Share Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period Start Date, as specified in the applicable Final Terms) and ending on the immediately following Observation Period End Date, following adjustment of such date pursuant to these Share Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period End Date, as specified in the applicable Final Terms); or | ||
(b) | if the consequence of No Extension is specified in the applicable Final Terms to be applicable, each period commencing on the Observation Period Start Date, prior to any adjustment of such date pursuant to these Share Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period Start Date, as specified in the applicable Final Terms) and ending on the immediately following Observation Period End Date, prior to any adjustment of such date pursuant to these Share Linked Conditions or as specified in the applicable Final Terms, if applicable |
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(and including or excluding such Observation Period End Date, as specified in the applicable Final Terms). |
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(a) | the relevant issuer of such other relevant share belongs to a similar economic sector as the Share Company of such Share; and | ||
(b) | the relevant issuer of such other relevant share has a comparable market capitalization and international standing as the Share Company in respect of such Share. |
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(a) | where the Share Linked Notes relate to a single Share, the Valuation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the Scheduled Trading Days up to, and including, the Valuation Cut-Off Date is a Disrupted Day. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Share, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price in the manner set out in the applicable Final Terms or, if not set out or if not practicable, determine the relevant price in accordance with its good faith estimate of the relevant price as of the Valuation Time on the Valuation Cut-Off Date; |
(b) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Valuation Date for each Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date (or, if earlier, the Valuation Cut-Off Date) and the Valuation Date for each Share affected (each an Affected Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Share, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day relating to the Affected Share. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Share, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date for such Share (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Share as of the Valuation Time on the Valuation Cut-Off Date, and otherwise in accordance with the above provisions; |
(c) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Valuation Date for each Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date (or if the Scheduled Valuation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day, or in either case, if earlier, the Valuation Cut-Off Date) and the Valuation Date for each Share affected (each an Affected Share ) by the occurrence of a Disrupted |
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Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Share, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date (or if the Scheduled Valuation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day) up to, and including, the Valuation Cut-Off Date is a Disrupted Day relating to the Affected Share. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date for such Share (notwithstanding the fact that such day may be a Disrupted Day for a Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Share as of the Valuation Time on the Valuation Cut-Off Date, and otherwise in accordance with the above provisions; or |
(d) | where the Share Linked Notes relate to a Basket of Shares and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Valuation Date shall be the first succeeding Common Scheduled Trading Day that is not a Disrupted Day for any Share, unless each of the Common Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day for one or more Shares. In that case, or if the Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date (notwithstanding the fact that such day may be a Disrupted Day for a Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to each Share for which the Valuation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Share as of the Valuation Time on the Valuation Cut-Off Date, and otherwise in accordance with the above provisions. |
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2. | Barrier Event |
(a) | A Barrier Event (intraday) means (and a Barrier Event (intraday) shall be deemed to occur if), in respect of a Share, the Calculation Agent determines that the Share Price of such Share as of the Barrier Event Valuation Time (intraday) on any Barrier Event Determination Day is less than or equal to the corresponding Barrier Level for such Share and such Barrier Event Determination Day. |
(b) | A Barrier Event (closing) means (and a Barrier Event (closing) shall be deemed to occur if), in respect of a Share, the Calculation Agent determines that the Share Closing Price of any Share as of the Barrier Event Valuation Time (closing) on any Barrier Event Determination Day is less than or equal to the corresponding Barrier Level for such Share and such Barrier Event Determination Day. |
3. | Market Disruption |
4. | Correction to Share Prices |
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5. | Potential Adjustment Events, Merger Event, Tender Offer, De-listing, Nationalization and Insolvency |
(a) | Potential Adjustment Event means any of the following: |
(i) | a subdivision, consolidation or reclassification of relevant Shares (unless resulting in a Merger Event or, if Tender Offer is specified as applying in the applicable Final Terms, a Tender Offer) or a free distribution or dividend of any such Shares to existing holders by way of bonus, capitalization or similar issue; |
(ii) | a distribution, issue or dividend to existing holders of the relevant Shares of (A) such Shares or (B) other share capital or securities granting the right to payment of dividends and/or the proceeds of liquidation of the Share Company equally or proportionately with such payments to holders of such Shares or (C) share capital or other securities of another issuer acquired or owned (directly or indirectly) by the Share Company as a result of a spin-off or other similar transaction or (D) any other type of securities, rights or warrants or other assets, in any case for payment (in cash or otherwise) at less than the prevailing market price as determined by the Calculation Agent; |
(iii) | an extraordinary dividend as determined by the Calculation Agent; |
(iv) | a call by a Share Company in respect of relevant Shares that are not fully paid; |
(v) | a repurchase by the Share Company or any of its subsidiaries, as the case may be, of relevant Shares whether out of profits or capital and whether the consideration for such repurchase is cash, securities or otherwise; |
(vi) | in respect of a Share Company an event that results in any shareholder rights being distributed or becoming separated from shares of common stock or other shares of the capital stock of such Share Company pursuant to a shareholder rights plan or arrangement directed against hostile takeovers that provides upon the occurrence of certain events for a distribution of preferred stock, warrants, debt instruments or stock rights at a price below their market value as determined by the Calculation Agent, provided that any adjustment effected as a result of such an event shall be readjusted upon any redemption of such rights; or |
(vii) | any other event having, in the opinion of the Calculation Agent, a diluting or concentrative effect on the theoretical value of the relevant Shares. |
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(b) | De-listing means, in respect of any relevant Shares: |
(i) | in the case where the Exchange is not located in the United States, such Exchange announces that pursuant to the rules of such Exchange, such Shares cease (or will cease) to be listed, traded or publicly quoted on the Exchange for any reason (other than a Merger Event or, if Tender Offer is specified as applying in the applicable Final Terms, a Tender Offer) and are not immediately re-listed, re-traded or re-quoted on an exchange or quotation system located in the same country as the Exchange (or, where the Exchange is within the European Union, in a member state of the European Union); or |
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(ii) | in the case where the Exchange is located in the United States, such Exchange announces that pursuant to the rules of such Exchange, such Shares cease (or will cease) to be listed, traded or publicly quoted on the Exchange for any reason (other than a Merger Event or, if Tender Offer is specified as applying in the applicable Final Terms, a Tender Offer) and are not immediately re-listed, re-traded or re-quoted on any of the New York Stock Exchange, the American Stock Exchange, the NASDAQ Global Select Market or the NASDAQ Global Market (or their respective successors). |
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(c) | If (x) a Merger Event, De-listing, Nationalization, or Insolvency occurs in relation to a Share and/or (y) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute discretion may take the action described in (i), (ii), (iii) or (iv) below: |
(i) | require the Calculation Agent to determine in its sole and absolute discretion the appropriate adjustment, if any, to be made to any terms of the Terms and Conditions and/or the applicable Final Terms to account for the De-listing, Merger Event, Tender Offer, Nationalization, or Insolvency, as the case may be, and determine the effective date of that adjustment. The Calculation Agent may (but need not) determine the appropriate adjustment by reference to the adjustment in respect of the Merger Event, Tender Offer, De-listing, Nationalization, or Insolvency made by any options exchange to options on the Shares traded on that options exchange and the relevant adjustments may in the case of adjustments following a Merger Event or Tender Offer include, without limitation, adjustments to account for changes in volatility, expected dividends, stock loan rate or liquidity relevant to the Shares; or |
(ii) | give notice to the Noteholders in accordance with Condition 14 and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount; or |
(iii) | following such adjustment to the settlement terms of options on the Shares traded on such exchange(s) or quotation system(s) as the Issuer in its sole discretion shall select (the Options Exchange ), require the Calculation Agent to make a corresponding adjustment to any one or more of the terms of the Terms and Conditions and/or the applicable Final Terms which adjustment will be effective as of the date determined by the Calculation Agent to be the effective date of the corresponding adjustment made by the Options Exchange. If options on the Shares are not traded on |
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the Options Exchange, the Calculation Agent will make such adjustment, if any, to any one or more of the terms of the Terms and Conditions and/or the applicable Final Terms as the Calculation Agent in its sole and absolute discretion determines appropriate, with reference to the rules and precedents (if any) set by the Options Exchange to account for the Merger Event, Tender Offer, De-listing, Nationalization, or Insolvency, as the case may be, that in the determination of the Calculation Agent would have given rise to an adjustment by the Options Exchange if such options were so traded; or |
(iv) | unless the applicable Final Terms provides that Share Substitution shall not be applicable, then on or after the relevant Merger Date, Tender Offer Date, or the date of the Nationalization, Insolvency, or De-listing (as the case may be): |
(A) | where the Share Linked Notes relate to a single Share, the Calculation Agent may substitute the share (the Substitute Share ) selected by it in accordance with the Share Substitution Criteria in place of such Share (the Affected Share ) which is affected by such Merger Event, Tender Offer, Nationalization, Insolvency, or De-listing and the Substitute Share will be deemed to be Share and the relevant issuer of such shares, a Share Company for the purposes of the Notes, and the Calculation Agent will make such adjustment, if any, to any of the terms of the Terms and Conditions and/or the applicable Final Terms as the Calculation Agent in its sole and absolute discretion determines appropriate, provided that in the event that any amount payable under the Notes was to be determined by reference to the price of the Affected Share on the Trade Date (or any such other historical date specified in the applicable Final Terms), the relevant price of each Substitute Share will be determined by the Calculation Agent in accordance with the following formula: |
Where: |
A | is the official closing price of the relevant Substitute Share on the relevant exchange, as determined by the Calculation Agent, on the date that the substitution is effected; | ||
B | is the price of the Affected Share on the Trade Date (or any such other historical date specified in the applicable Final Terms) where such price is defined in the applicable Final Terms for the purposes of calculating any value or |
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determining any amount payable in respect of the Notes; and |
C | is the official closing price of the relevant Affected Share on the relevant Exchange on the date that the substitution is effected. |
(B) | where the Share Linked Notes relate to a Basket of Shares, the Calculation Agent may adjust the Basket of Shares to include a share or shares (the Substitute Shares ) selected by it in accordance with the Share Substitution Criteria in place of the Share(s) (the Affected Share(s) ) which are affected by such Merger Event, Tender Offer, Nationalization, Insolvency, or De-listing and the Substitute Shares will be deemed to be Shares and the relevant issuer of each such share, a Share Company for the purposes of the Notes, and the Calculation Agent will make such adjustment, if any, to any of the terms of the Terms and Conditions and/or the applicable Final Terms as the Calculation Agent in its sole and absolute discretion determines appropriate, provided that in the event that any amount payable under the Notes was to be determined by reference to the price of the Affected Share on the Trade Date (or any such other historical date specified in the applicable Final Terms), the relevant price of each Substitute Share will be determined by the Calculation Agent in accordance with the following formula: |
Where: |
A | is the official closing price of the relevant Substitute Share on the relevant exchange, as determined by the Calculation Agent on the date that the substitution is effected; | ||
B | is the price of the Affected Share on the Trade Date (or any such other historical date specified in the applicable Final Terms) where such price is defined in the applicable Final Terms for the purposes of calculating any value or determining any amount payable in respect of the Notes; and | ||
C | is the official closing price of the relevant Affected Share on the relevant Exchange on the date that the substitution is effected. |
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The weighting of each Substitute Share in the basket will be equal to the weighting of the relevant Affected Share. |
Upon the occurrence of a Merger Event, De-listing, Nationalization, Insolvency, or, if applicable, Tender Offer, the Issuer shall give notice as soon as practicable to the Noteholders in accordance with Condition 14 stating the occurrence of the Merger Event, Tender Offer, Nationalization, or Insolvency, as the case may be, giving details thereof and the action proposed to be taken in relation thereto provided that any failure to give, or non-receipt of, such notice will not affect the validity of any such Merger Event, Tender Offer, De-listing, Nationalization or Insolvency, as the case may be. |
6. | Non-euro Quoted Shares |
7. | Additional Disruption Events |
(a) | Additional Disruption Event means any of Change in Law, Hedging Disruption, Increased Cost of Hedging, Increased Cost of Stock Borrow, Loss of Stock Borrow, and/or Insolvency Filing, in each case if specified in the applicable Final Terms. | ||
Change in Law means that, on or after the Trade Date (as specified in the applicable Final Terms) (i) due to the adoption of or any change in any applicable law or regulation (including, without limitation, any tax law), or (ii) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing authority), the Calculation Agent determines in its sole and absolute discretion that (A) it has become illegal to hold, acquire or dispose of any relevant Share or (B) it will incur a materially increased cost in performing its obligations in relation to the Share Linked Notes (including, without limitation, due to any increase in tax liability, decrease in tax benefit, or other adverse effect on the tax position of the Issuer and/or any of its affiliates). |
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Hedging Disruption means that the Issuer and/or any of its Affiliates or agents is unable, after using commercially reasonable efforts, to (i) acquire, establish, re-establish, substitute, maintain, unwind, or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Issuer issuing and performing its obligations with respect to the Share Linked Notes, or (ii) realize, recover, or remit the proceeds of any such transaction(s) or asset(s). |
Hedging Shares means the number of Shares that the Calculation Agent deems necessary to hedge the equity or other price risk of entering into and performing its obligations with respect to the Share Linked Notes. |
Increased Cost of Hedging means that the Issuer and/or any of its Affiliates or agents would incur a materially increased (as compared with circumstances existing on the Trade Date) amount of tax, duty, expense or fee (other than brokerage commissions) to (i) acquire, establish, re-establish, substitute, maintain, unwind, or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Issuer issuing and performing its obligations with respect to the Share Linked Notes, or (ii) realize, recover, or remit the proceeds of any such transaction(s) or asset(s), provided that any such materially increased amount that is incurred solely due to the deterioration of the creditworthiness of the Issuer and/or any of its Affiliates or agents shall not be deemed an Increased Cost of Hedging. |
Increased Cost of Stock Borrow means that the Issuer and/or any of its affiliates would incur a rate to borrow Shares that is greater than the Initial Stock Loan Rate. |
Initial Stock Loan Rate means, in respect of a Share, the Initial Stock Loan Rate specified in relation to such Share in the applicable Final Terms. |
Insolvency Filing means that a Share Company institutes or has instituted against it by a regulator, supervisor or any similar official with primary insolvency, rehabilitative, or regulatory jurisdiction over it in the jurisdiction of its incorporation or organization or the jurisdiction of its head or home office, or it consents to a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors rights, or a petition is presented for its winding-up or liquidation by it or such regulator, supervisor or similar official or it consents to such a petition, provided that proceedings instituted or petitions presented by creditors and not consented to by the Share Company shall not be deemed an Insolvency Filing. |
Loss of Stock Borrow means that the Issuer and/or any Affiliate is unable, after using commercially reasonable efforts, to borrow (or maintain a borrowing of) any Share in an amount equal to the Hedging Shares at a rate equal to or less than the Maximum Stock Loan Rate. |
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Maximum Stock Loan Rate means in respect of a Share, the Maximum Stock Loan Rate specified in the applicable Final Terms. |
(b) | If an Additional Disruption Event occurs, the Issuer in its sole and absolute discretion may take the action described in (i) or (ii) below: |
(i) | require the Calculation Agent to determine in its sole and absolute discretion the appropriate adjustment, if any, to be made to any of the other terms of the Terms and Conditions and/or the applicable Final Terms to account for the Additional Disruption Event and determine the effective date of that adjustment; or |
(ii) | give notice to Noteholders in accordance with Condition 14 and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount. |
(c) | Upon the occurrence of an Additional Disruption Event, the Issuer shall give notice as soon as practicable to the Noteholders in accordance with Condition 14 stating the occurrence of the Additional Disruption Event giving details thereof and the action proposed to be taken in relation thereto provided that any failure to give, or non-receipt of, such notice will not affect the validity of the Additional Disruption Event. |
(d) | If the applicable Final Terms provides that Share Substitution is applicable upon the occurrence of an Additional Disruption Event, the provisions of Share Linked Condition 5(c)(iv)(A) or 5(c)(iv)(B) (as is applicable) shall apply in respect of an Additional Disruption Event where any reference to Merger Event, Tender Offer, Nationalization, Insolvency or De-listing in Share Linked Conditions 5(c)(iv)(A) and 5(c)(iv)(B) shall be replaced by Additional Disruption Event, and any other relevant references shall be construed accordingly. |
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1. | General |
(a) | where the applicable Final Terms specifies that Partial Lookthrough shall apply to a GDR or ADR as applicable, then the provisions set out in GDR/ADR Linked Condition 3 ( Partial Lookthrough ) shall apply, and, in relation to such GDR or ADR respectively, the provisions of the Share Linked Conditions shall be deemed to be amended and modified as set out in GDR/ADR Linked Condition 3 ( Partial Lookthrough ); or |
(b) | where the applicable Final Terms specifies that Full Lookthrough shall apply to a GDR or ADR as applicable, then the provisions set out in GDR/ADR Linked Condition 4 ( Full Lookthrough ) shall apply, and, in relation to such GDR or ADR respectively, the provisions of the Share Linked Conditions shall be deemed to be amended and modified as set out in GDR/ADR Linked Condition 4 ( Full Lookthrough ). |
2. | Definitions |
(a) | if GDR/ADR Linked Condition 3 (Partial Lookthrough) is applicable, the Share Company of the Shares; or |
(b) | if GDR/ADR Linked Condition 4 (Full Lookthrough) is applicable, the Share Company in respect of the Shares or any successor issuer of the Shares from time to time. |
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3. | Partial Lookthrough |
(a) | The definition of Potential Adjustment Event in Share Linked Condition 5(a) shall be amended as follows: |
(i) | the DR Amendment shall be made, provided that an event under (i) to (vii) of the definition of Potential Adjustment Event in respect of the Underlying Shares shall not constitute a Potential Adjustment Event unless, in the opinion of the Calculation Agent, such event has a diluting or concentrative effect on the theoretical value of the Shares; |
(ii) | . shall be deleted where it appears at the end of (vii) in the definition of Potential Adjustment Event and replaced with ; or ; and |
(iii) | the following shall be inserted as provision (viii): (viii) the making of any amendment or supplement to the terms of the Deposit Agreement.. |
(b) | In making any adjustment following any Potential Adjustment Event, the Calculation Agent may (amongst other factors) have reference to any adjustment made by the Depository under the Deposit Agreement. If the Calculation Agent determines that no adjustment that it could make will produce a commercially reasonable result, it shall notify the Issuer and the Noteholders that the relevant consequence shall be the early redemption of the Notes, in which case the Issuer shall, on giving notice to the Noteholders in accordance with Condition 14, redeem all (but not less than all) of the Notes, each Note being redeemed at the Early Redemption Amount. |
(c) | If a Potential Adjustment Event specified under (viii) of the definition of Potential Adjustment Event (as amended by (a) above) has occurred, then the following amendments shall be deemed to be made to the Share Linked Conditions in respect of such Potential Adjustment Event: |
(i) | the words has a diluting or concentrative effect on the theoretical value of the Shares shall be deleted and replaced with the words has an economic effect on the Notes; and |
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(ii) | the words determines appropriate to account for that diluting or concentrative effect shall be deleted and replaced with the words determines appropriate to account for such economic effect on the Notes. |
(d) | The definitions of Merger Event and Tender Offer shall be amended in accordance with the DR Amendment. | ||
(e) | If (i) a Merger Event occurs in relation to a Share and/or (ii) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute discretion may take the action described in Share Linked Condition 5(c). | ||
(f) | Following the declaration by the Underlying Shares Issuer of the terms of any Merger Event or Tender Offer, then in each case where the Calculation Agent makes an adjustment to the Notes the Calculation Agent may (amongst other factors) have reference to any adjustment made by the Depository under the Deposit Agreement. | ||
(g) | The definitions of Nationalization, Insolvency and De-listing shall be amended in accordance with the DR Amendment. | ||
(h) | Notwithstanding anything to the contrary in the definition of De-listing, a De-listing shall not occur in respect of the Underlying Shares if the Underlying Shares are immediately relisted, re-traded, or re-quoted on an exchange or quotation system regardless of the location of such exchange or quotation system. | ||
(i) | If a De-listing Nationalization or Insolvency occurs in relation to the Underlying Shares or the Underlying Shares Issuer, the Issuer in its sole and absolute discretion may take the action described in Share Linked Condition 5(c). | ||
(j) | The paragraph in Share Linked Condition 5(c) which provides as follows: If (x) a Merger Event, De-listing, Nationalization, or Insolvency occurs in relation to a Share and/or (y) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute discretion may take the action described in (i), (ii), (iii), or (iv) below: shall be deemed to be replaced by If (x) a Merger Event, the announcement by the Depository that the Deposit Agreement is (or will be) terminated, De-listing, Nationalization, or Insolvency occurs in relation to a Share and/or (y) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute discretion may take the action described in (i), (ii), (iii), or (iv) below:. | ||
(k) | Each reference to Merger Event in Share Linked Condition 5(c)(i), (ii), (iii), and (iv) shall be deemed to replaced with a reference to Merger Event, the |
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announcement by the Depository that the Deposit Agreement is (or will be) terminated,. |
(l) | If Hedging Disruption and Increased Cost of Hedging are specified as being applicable in the applicable Final Terms, the definitions of Hedging Disruption and Increased Cost of Hedging in Share Linked Condition 7(a) shall each be amended as follows: |
(i) | the words any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Issuer issuing and performing its obligations with respect to the Share Linked Notes shall be deleted and replaced with the words any Share(s); and |
(ii) | the words any such transaction(s) or asset(s) shall be deleted and replaced with the words any Share(s). |
(m) | If Insolvency Filing is specified as being applicable in the applicable Final Terms, the definition of Insolvency Filing in Share Linked Condition 7(a) shall be amended in accordance with the DR Amendment. |
(n) | For the avoidance of doubt, where a provision is amended pursuant to this GDR/ADR Linked Condition 3 ( Partial Lookthrough ) in accordance with the DR Amendment, if the event described in such provision occurs in respect of the Underlying Shares or the Underlying Shares Issuer, then the consequence of such event shall be interpreted consistently with the DR Amendment and such event. |
4. | Full Lookthrough |
(a) | The definition of Potential Adjustment Event shall be amended as follows: |
(i) | the DR Amendment shall be made, provided that an event under (i) to (vii) of the definition of Potential Adjustment Event in respect of the Underlying Shares shall not constitute a Potential Adjustment Event unless, in the opinion of the Calculation Agent, such event has a diluting or concentrative effect on the theoretical value of the Shares; |
(ii) | . shall be deleted where it appears at the end of (vii) in the definition of Potential Adjustment Event and replaced with ; or; and |
(iii) | the following shall be inserted as provision (viii): (viii) the making of any amendment or supplement to the terms of the Deposit Agreement.. |
(b) | In making any adjustment following any Potential Adjustment Event, the Calculation Agent may (amongst other factors) have reference to any adjustment made by the Depository under the Deposit Agreement. If the Calculation Agent determines that no adjustment that it could make will |
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produce a commercially reasonable result, it shall notify the Issuer and the Noteholders that the relevant consequence shall be the early redemption of the Notes, in which case the Issuer shall, on giving notice to the Noteholders in accordance with Condition 14, redeem all (but not less than all) of the Notes, each Note being redeemed at the Early Redemption Amount. |
(c) | If a Potential Adjustment Event specified under (viii) of the definition of Potential Adjustment Event (as amended by (a) above) has occurred, then the following amendments shall be deemed to be made to Share Linked Condition 3 in respect of such Potential Adjustment Event: |
(i) | the words determine whether such Potential Adjustment Event has a diluting or concentrative effect on the theoretical value of the Shares shall be deleted and replaced with the words determine whether such Potential Adjustment Event has an economic effect on the Notes; and |
(ii) | the words determines appropriate to account for that diluting or concentrative effect shall be deleted and replaced with the words determines appropriate to account for such economic effect on the Notes. |
(d) | The definitions of Merger Event and Tender Offer shall be amended in accordance with the DR Amendment. | ||
(e) | If (i) a Merger Event occurs in relation to a Share and/or (ii) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute discretion may take the action described in Share Linked Condition 5(c). | ||
(f) | Following the declaration by the Underlying Shares Issuer of the terms of any Merger Event or Tender Offer in relation to the Underlying Shares, then in each case where the Calculation Agent makes an adjustment to the Notes the Calculation Agent shall (amongst other factors) have reference to any adjustment made by the Depository under the Deposit Agreement. | ||
(g) | The definitions of Nationalization, Insolvency, and De-listing shall be amended in accordance with the DR Amendment. | ||
(h) | If a De-listing, Nationalization, or Insolvency occurs in relation to the Underlying Shares or the Underlying Shares Issuer, the Issuer in its sole and absolute discretion may take the action described in Share Linked Condition 5(c). | ||
(i) | The paragraph in Share Linked Condition 5(c) which provides as follows: If (x) a Merger Event, De-listing, Nationalization or Insolvency occurs in relation to a Share and/or (y) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute |
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discretion may take the action described in (i), (ii), (iii) or (iv) below: shall be deemed to be replaced by If (x) a Merger Event, the announcement by the Depository that the Deposit Agreement is (or will be) terminated, De-listing, Nationalization or Insolvency occurs in relation to a Share and/or (y) if Tender Offer is specified as applicable in the applicable Final Terms, a Tender Offer occurs, the Issuer in its sole and absolute discretion may take the action described in (i), (ii), (iii), or (iv) below:. | |||
(j) | Each reference to Merger Event in Share Linked Condition 5(c) shall be deemed to replaced with a reference to Merger Event, the announcement by the Depository that the Deposit Agreement is (or will be) terminated,. | ||
(k) | The definition of any Additional Disruption Event specified as applicable in the applicable Final Terms shall be amended in accordance with the DR Amendment. | ||
(l) | If applicable, the definition of Hedging Shares in Share Linked Condition 7(a) shall be amended in accordance with the DR Amendment. | ||
(m) | For the purpose of determining whether a Market Disruption Event has occurred in respect of the Share, the following amendments shall be deemed to be made to the Share Linked Conditions: |
(i) | each reference to the Exchange in the definitions of Exchange Business Day, Scheduled Closing Time, Scheduled Trading Day, Trading Disruption, Exchange Disruption, and Early Closure shall be deemed to include a reference to the primary exchange or quotation system on which the Underlying Shares are traded, as determined by the Calculation Agent; and |
(ii) | the definitions of Market Disruption Event, Trading Disruption, Exchange Disruption, and Related Exchange shall be amended in accordance with the DR Amendment. |
(n) | For the avoidance of doubt, where a provision is amended pursuant to this GDR/ADR Linked Condition 4 (Full Lookthrough) in accordance with the DR Amendment, if the event described in such provision occurs in respect of the Underlying Shares or the Underlying Shares Issuer, then the consequence of such event shall be interpreted consistently with the DR Amendment and such event. |
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1. | Definitions |
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(a) | in respect of a Currency Price, the occurrence or existence, as determined by the Calculation Agent in its sole and absolute discretion, of any FX Price Source Disruption and/or any FX Trading Suspension or Limitation and/or, if specified as applicable in the Final Terms, any Inconvertibility Event and/or any other event specified as applicable in the applicable Final Terms; and |
(b) | if the applicable Final Terms provides that the EM Currency Provisions shall apply to a Currency Price, in respect of such Currency Price, the occurrence or existence, as determined by the Calculation Agent in its sole and absolute discretion, of any FX Price Source Disruption, Price Materiality Event and/or, |
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if specified as applicable in the Final Terms, any Inconvertibility Event and/or Non-Transferability Event and/or any other event specified as applicable in the applicable Final Terms. |
(a) | has the direct or indirect effect of hindering, limiting or restricting (i) the convertibility of the relevant Subject Currency into the Base Currency, or (ii) the transfer of the Subject Currency or the Base Currency to countries other than the countries for which the Subject Currency or the Base Currency, as the case may be, is the lawful currency (including without limitation, by way of any delays, increased costs or discriminatory rates of exchange or any current or future restrictions); and | ||
(b) | results in the unavailability of any relevant Base Currency or Subject Currency in the interbank foreign exchange market in any Specified Financial Center(s) in accordance with normal commercial practice. |
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(a) | where the FX Linked Notes relate to a single Currency Price, such Valuation Date or Averaging Date, as the case may be, shall be the first succeeding FX Business Day that is not an FX Disrupted Day, unless the Calculation Agent determines that each of the consecutive FX Business Days equal in number to the Maximum Days of Postponement immediately following such Scheduled Valuation Date or Scheduled Averaging Date, as the case may be, is an FX Disrupted Day. In that case, (i) that last consecutive FX Business Day shall be deemed to be the Valuation Date or the Averaging Date, as the case may be (notwithstanding the fact that such day may be an FX Disrupted Day) and (ii) the next applicable Disruption Fallback shall apply; or | ||
(b) | where the FX Linked Notes relate to a Basket of Currency Prices, such Valuation Date or Averaging Date, as the case may be, for each Currency Price not affected by the occurrence of an FX Disrupted Day shall be the Scheduled Valuation Date or Scheduled Averaging Date, as the case may be, and the Valuation Date for each Currency Price affected (each an Affected Currency Price ) by the occurrence of an FX Disrupted Day shall be the first succeeding FX Business Day that is not an FX Disrupted Day relating to the Affected Currency Price, unless the Calculation Agent determines that each of the consecutive FX Business Days equal in number to the Maximum Days of Postponement immediately following such Scheduled Valuation Date or Scheduled Averaging Date, as the case may be, is an FX Disrupted Day. In that case for each Affected Currency Price, (i) that last consecutive FX Business Day shall be deemed to be the Valuation Date or the Averaging Date, as the case may be (notwithstanding the fact that such day may be an FX Disrupted Day) and (ii) the next applicable Disruption Fallback shall apply. |
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(a) | if the applicable Final Terms specifies that the EM Currency Provisions shall not apply to a Currency Price, each Valuation Date specified in the applicable Final Terms or if that is not an FX Business Day the first following day which is an FX Business Day, or, if earlier, the Valuation Cut-Off Date (such day, the Scheduled Valuation Date corresponding to such Valuation Date). If a Valuation Date falls on the Valuation Cut-Off Date, then, subject to the applicable Final Terms, the first applicable Disruption Fallback specified as a consequence of an FX Market Disruption Event shall apply (as if an FX Market Disruption Event had occurred), or, if none is specified, Calculation Agent Determination shall be deemed to apply; or |
(b) | if the applicable Final Terms specifies that the EM Currency Provisions shall apply to a Currency Price, each Valuation Date specified in the applicable Final Terms (the Scheduled Valuation Date in respect of such Currency Price, if such day is an FX Business Day for such Currency Price, or if such day is not an FX Business Day only by reason of being an Unscheduled Holiday for such Currency Price), or the immediately preceding FX Business Day for such |
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Currency Price, as determined by the Calculation Agent (the Scheduled Valuation Date in respect of such Currency Price, if such day is not an FX Business Day and is not an Unscheduled Holiday for such Currency Price), provided that such Valuation Date shall be subject to adjustment in accordance with paragraph 2 ( Consequences of an FX Disrupted Day ) and paragraph 3 ( EM Currency Provisions: Unscheduled Holiday ) below. |
2. | Consequences of an FX Disrupted Day |
3. | EM Currency Provisions: Unscheduled Holiday |
(a) | If the applicable Final Terms provides that the EM Currency Provisions shall apply to a Currency Price or Fallback Reference Price, as applicable, and any Valuation Date or Averaging Date, and that Unscheduled Holidays shall be applicable, then, if the Calculation Agent determines that the relevant Scheduled Valuation Date or Scheduled Averaging Date, as applicable (each, a Scheduled Reference Date ) is an Unscheduled Holiday for such Currency Price or Fallback Reference Price, then the Valuation Date or Averaging Date shall be postponed to the first FX Business Day falling after the Scheduled Reference Date (the Adjusted Scheduled Reference Date ), provided that if such first FX Business Day has not occurred on or before the last day of the Maximum Days of Deferral, then the next day after the Last Deferred Day that would have been an FX Business Day but for an Unscheduled Holiday shall be deemed to be the Adjusted Scheduled Reference Date. | ||
(b) | The following terms and expressions shall have the following meanings: |
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4. | EM Currency Provisions: EM Valuation Postponement |
5. | EM Currency Provisions: EM Fallback Valuation Postponement |
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(a) | if an FX Market Disruption Event has occurred or exists in respect of the Currency Price throughout the Maximum Days of EM Valuation Postponement, the first FX Business Day following the end of the Maximum Days of EM Valuation Postponement; or | ||
(b) | if the Adjusted Scheduled Reference Date falls after the Last Deferred Day, the Adjusted Scheduled Reference Date, |
6. | EM Currency Provisions: Cumulative Events |
7. | Corrections to Published and Displayed Rates |
(a) | In any case where a Currency Price is based on information obtained from the Reuters Monitor Money Rates Service, or any other financial information |
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service, the Currency Price will be subject to the corrections, if any, to that information subsequently displayed by that source within one hour of the time when such rate is first displayed by such source, unless the Calculation Agent determines in its sole and absolute discretion that it is not practicable to take into account such correction. | |||
(b) | Notwithstanding FX Linked Condition 7(a), in any case where the Currency Price is based on information published or announced by any governmental authority in a relevant country, the Currency Price will be subject to the corrections, if any, to that information subsequently published or announced by that source within five calendar days of the relevant date, unless the Calculation Agent determines in its sole and absolute discretion that it is not practicable to take into account such correction. |
8. | Successor Currency |
(a) | each Subject Currency and Base Currency will be deemed to include any lawful successor currency to the Subject Currency or Base Currency (the Successor Currency ); | ||
(b) | if the Calculation Agent determines that on or after the Issue Date (or such other date as specified in the applicable Final Terms) but on or before any relevant date under the Notes on which an amount may be payable, a country has lawfully eliminated, converted, redenominated or exchanged its currency in effect on the Issue Date or any Successor Currency, as the case may be (the Original Currency ) for a Successor Currency, then for the purposes of calculating any amounts of the Original Currency or effecting settlement thereof, any Original Currency amounts will be converted to the Successor Currency by multiplying the amount of Original Currency by a ratio of Successor Currency to Original Currency, which ratio will be calculated on the basis of the exchange rate set forth by the relevant country of the Original Currency for converting the Original Currency into the Successor Currency on the date on which the elimination, conversion, redenomination or exchange took place, as determined by the Calculation Agent. If there is more than one such date, the date closest to such relevant date will be selected (or such other date as may be selected by the Calculation Agent in its sole and absolute discretion); | ||
(c) | notwithstanding paragraph (b) above but subject to paragraph (d) below, the Calculation Agent may (to the extent permitted by the applicable law), in good faith and in its sole and absolute discretion, select such other exchange rate or other basis for the conversion of an amount of the Original Currency to the Successor Currency, and will make such adjustment(s) that it determines to be appropriate, if any, to any variable, calculation methodology, valuation, |
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settlement, payment terms, or any other terms in respect of the Notes to account for such elimination, conversion, redenomination, or exchange of the Subject Currency or Base Currency, as the case may be; and | |||
(d) | notwithstanding the foregoing provisions, with respect to any Subject Currency or Base Currency that is substituted or replaced by the Euro, the consequences of such substitution or replacement will be determined in accordance with applicable law. |
9. | Rebasing of Notes |
10. | Consequences of an Additional Disruption Event |
(a) | following the determination by the Calculation Agent that an Additional Disruption Event has occurred, the Issuer in its sole and absolute discretion may take the action described in (i) or (ii) below: |
(i) | require the Calculation Agent to determine in its sole and absolute discretion the appropriate adjustment, if any, to be made to any of the other terms of the Terms and Conditions and/or the applicable Final Terms to account for the Additional Disruption Event and determine the effective date of that adjustment; or |
(ii) | give notice to Noteholders in accordance with Condition 14 and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount; |
(b) | upon the occurrence of an Additional Disruption Event, the Issuer shall give notice as soon as practicable to the Noteholders in accordance with Condition 14 stating the occurrence of the Additional Disruption Event giving details thereof and the action proposed to be taken in relation thereto provided that any failure to give, or non-receipt of, such notice will not affect the validity of the Additional Disruption Event; and |
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(c) | the following terms and expressions shall have the following meanings: |
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(i) | with respect to a single Commodity or a Basket of Commodities; and: |
(A) | where the Commodity Reference Price for a Commodity is a price announced or published by an Exchange, a day that is (or, but for the occurrence of a Market Disruption Event, would have been) a day on which such Exchange is open for trading during its regular trading session, notwithstanding any such Exchange closing prior to its scheduled closing time; and |
(B) | where the Commodity Reference Price for a Commodity is not a price announced or published by an Exchange, a day in respect of which the relevant Price Source published (or, but for the occurrence of a Market Disruption Event, would have published) a price; |
(ii) | with respect to a single Commodity Index or a Basket of Commodity Indices, as specified in the applicable Final Terms. |
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(i) | a suspension of the trading in the Futures Contract or the Commodity on any Commodity Business Day shall be deemed to be material only if: |
(A) | all trading in the Futures Contract or the Commodity is suspended for the entire Pricing Date; or |
(B) | all trading in the Futures Contract or the Commodity is suspended subsequent to the opening of trading on the Pricing Date, trading does not recommence prior to the regularly scheduled close of trading in such Futures Contract or such Commodity on such Pricing Date and such suspension is announced less than one hour preceding its commencement; and |
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(ii) | a limitation of trading in the Futures Contract or the Commodity on any Commodity Business Day shall be deemed to be material only if the relevant Exchange establishes limits on the range within which the price of the Futures Contract or the Commodity may fluctuate and the closing or settlement price of the Futures Contract or the Commodity on such day is at the upper or lower limit of that range. |
(i) | the permanent discontinuation of trading, in the relevant Futures Contract on the relevant Exchange; |
(ii) | the disappearance of, or of trading in, the Commodity; or |
(iii) | the disappearance or permanent discontinuance or unavailability of a Commodity Reference Price, |
notwithstanding the availability of the related Price Source or the status of trading in the relevant Futures Contract or the Commodity. |
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(i) | the failure of the Price Source to announce or publish the Specified Price (or the information necessary for determining the Specified Price) for the relevant |
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Commodity Reference Price (or, if there is no Specified Price for a Commodity Reference Price, such Commodity Reference Price); or |
(ii) | the temporary or permanent discontinuance or unavailability of the Price Source. |
(a) | Common Pricing |
(i) | Applicable, then, if any Scheduled Pricing Date is not a day on which all referenced Commodity Reference Prices (for which such date would otherwise be a Pricing Date) are scheduled to be published or announced, as determined on the Trade Date of the Notes then the Pricing Date shall be the next following day on which all referenced Commodity Reference Prices (for which such date would otherwise be a Pricing Date) are |
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scheduled to be published or announced, as determined on the Trade Date of the Notes; or |
(ii) | Not Applicable, then this Commodity Linked Condition 2(a) shall not apply. |
If the Calculation Agent determines that a Market Disruption Event has occurred or exists on any Pricing Date in respect of any relevant Commodity (an Affected Commodity ) and/or Commodity Index (an Affected Commodity Index ), the Relevant Price of each Commodity and/or Commodity Index within the basket which is not affected by the occurrence of a Market Disruption Event shall be determined on the Scheduled Pricing Date and the Relevant Price for each Affected Commodity or Affected Commodity Index shall be determined in accordance with the first applicable Disruption Fallback that provides a Relevant Price. |
All determinations made by the Calculation Agent pursuant to this Condition will be conclusive and binding on the Noteholders and the Issuer, except in the case of manifest error. | |||
(b) | Correction to Published Prices |
For purposes of determining or calculating the Relevant Price (or any price or value published or announced on any date which is utilized for any calculation or determination in connection with the Commodity Linked Notes), if the price published or announced on a given day and used or to be used by the Calculation Agent to determine a Relevant Price (or any price or value published or announced on any date which is utilized for any calculation or determination in connection with the Commodity Linked Notes) is subsequently corrected and the correction is published or announced by the person responsible for that publication or announcement within 30 calendar days after the original publication or announcement (or, if earlier the day falling two Business Days preceding the date on which payment of any amount or delivery of any assets may have to be made, in each case calculated by reference to such Relevant Price (or any price or value published or announced on any date which is utilized for any calculation or determination in connection with the Commodity Linked Notes)), the Calculation Agent may, in its sole discretion, use such corrected price in such calculation. |
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(a) | Market Disruption Event |
(i) | with respect to all Commodities: |
(A) | Price Source Disruption; | ||
(B) | Commodity Trading Disruption; | ||
(C) | Disappearance of Commodity Reference Price; and |
(ii) | with respect to all Commodities other than gold, silver, platinum or palladium: |
(A) | Material Change in Formula; | ||
(B) | Material Change in Content; and | ||
(C) | any additional Market Disruption Events as specified in the applicable Final Terms; and |
(iii) | with respect to a Commodity Index: |
(A) | a temporary or permanent failure by the applicable exchange or other price source to announce or publish (I) the Commodity Reference Price (provided that the Calculation Agent may, in its sole and absolute discretion, determine that such failure (aa) shall not be a Market Disruption Event and shall instead be dealt with under paragraph (a) of the proviso to the definition of Price Source specified in Commodity Linked Condition 1 (Definitions), or (bb) shall instead amount to a Commodity Index Adjustment Event in respect of such Commodity Index, and proceed in accordance with Commodity Linked Condition 4 (Adjustments to a Commodity Index)) or (II) the closing price for any futures contract included in the Commodity Index; |
(B) | a material limitation, suspension or disruption of trading in one or more of the futures contracts included in the Commodity Index which results in a failure by the exchange on which each applicable futures contract is traded to report a closing price for such contract on the day on which such event occurs or any succeeding day on which it continues; or |
(C) | the closing price for any futures contract included in the Commodity Index is a limit price, which means that the closing |
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price for such contract for a day has increased or decreased from the previous days closing price by the maximum amount permitted under applicable exchange rules. |
(A) | with respect to a relevant Commodity (in the following order): |
(I) | Fallback Reference Price (if applicable); |
(II) | Delayed Publication or Announcement and Postponement (each to operate concurrently with the other and each subject to a period of two consecutive Commodity Business Days (measured from and including the original day that would otherwise have been the Pricing Date (or, if applicable, measured from and including the day that is the original date that would otherwise have been the Pricing Date, following any adjustment on account of such original date not being a Commodity Business Day)), or, if shorter, the period commencing on, and including, the original day that would otherwise have been the Pricing Date and ending on, and including, the Commodity Cut-Off Date) provided, however, that the price determined by Postponement shall be the Relevant Price only if Delayed Publication or Announcement does not yield a Relevant Price within those two consecutive Commodity Business Days (or, if applicable, the number of Commodity Business Days (if any) falling within the period ending on the Commodity Cut-Off Date); and |
(III) | Calculation Agent Determination; |
(B) | with respect to a Commodity Index, the Calculation Agent shall determine the Relevant Price using (unless otherwise specified in the applicable Final Terms): |
(I) | with respect to each futures contract included in the Commodity Index which is not affected by the Market Disruption Event, the closing prices of each such contract on the applicable determination date; |
(II) | with respect to each futures contract included in the Commodity Index which is affected by the Market Disruption Event, but for which a Market Disruption Event ceased to exist on or prior to the Commodity Index Cut-Off Date, the closing prices of each such contract on the first day |
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following the applicable determination date on which no Market Disruption Event is occurring with respect to such contract; and |
(III) | with respect to each futures contract included in the Commodity Index which is affected by the Market Disruption Event, where a Market Disruption Event continues to exist as of the Commodity Index Cut-Off Date, the Calculation Agents good faith estimate of the closing price of each such contract on the Commodity Index Cut-Off Date. |
Subject as provided below, the Calculation Agent shall determine the Relevant Price by reference to the closing prices determined in (I), (II) and (III) above or as specified in the applicable Final Terms above using the then current method for calculating the Commodity Reference Price. |
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(A) | calculate the Commodity Reference Price using in lieu of the published level for that Commodity Index, the level for that Commodity Index as at the relevant determination date as determined by the Calculation Agent in accordance with the formula for and method of calculating that Commodity Index last in effect prior to the relevant Commodity Index Adjustment Event, but using only those futures contracts that comprised that Commodity Index immediately prior to the relevant Commodity Index Adjustment Event (other than those futures contracts that have ceased to be listed on any relevant exchange); | ||
(B) | if the Calculation Agent determines that it is not reasonably practicable (taking into account the costs involved) to calculate or continue to calculate such Commodity Index pursuant to (A) above, the Calculation Agent may rebase the Notes against another index or basket of indices, as applicable, determined by the Calculation Agent, in its sole and absolute discretion, to be comparable to such Commodity Index, and, following such rebasing, the Calculation Agent may make such adjustment(s) that it determines to be appropriate, if any, to any one or more of the terms of the Terms and Conditions and/or the applicable Final Terms as the Calculation Agent determines appropriate to account for such rebasing; | ||
(C) | on giving notice to the Noteholders in accordance with Condition 14, redeem all (but not less than all) of the Notes, each Note being redeemed at the Early Redemption Amount. |
(a) | Following the determination by the Calculation Agent that an Additional Disruption Event has occurred in respect of a Commodity Index, the Issuer in its sole and absolute discretion may take the action described in (i) or (ii) below: |
(i) | require the Calculation Agent to determine in its sole and absolute discretion the appropriate adjustment, if any, to be made to any of the other terms of the Terms and Conditions and/or the applicable Final Terms |
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to account for the Additional Disruption Event and determine the effective date of that adjustment; or |
(ii) | give notice to Noteholders in accordance with Condition 14 and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount. |
(b) | Upon the occurrence of an Additional Disruption Event, the Issuer shall give notice as soon as practicable to the Noteholders in accordance with Condition 14 stating the occurrence of the Additional Disruption Event giving details thereof and the action proposed to be taken in relation thereto provided that any failure to give, or non-receipt of, such notice will not affect the validity of the Additional Disruption Event. |
(c) | The following terms and expressions shall have the following meanings: |
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1. | General Definitions |
2. | Provisions relating to Funds other than Exchange Traded Funds | |
Fund Linked Conditions 3, 4, and 5 apply in respect of Funds other than Exchange Traded Funds. | ||
3. | Definitions (Funds other than Exchange Traded Funds) |
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4. | Fund Events |
(a) | Additional Fund Disruption Event means each of Change in Law, Fund Hedging Disruption or Increased Cost of Hedging. |
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(b) | Fund Disruption Event means at any time the occurrence or continuance of any of the following events, as determined by the Calculation Agent in its sole and absolute discretion, if the Calculation Agent determines any such event is material: |
(i) | Fund Valuation Disruption: Fund Valuation Disruption means (A) any continued postponement of any Scheduled Valuation Date due to such Scheduled Valuation Date not being a Scheduled Fund Redemption Valuation Date, (B) the failure of a Scheduled Fund Redemption Valuation Date in respect of a Fund Interest to be a Fund Redemption Valuation Date in respect of such Fund Interest or any continued postponement of such Fund Redemption Valuation Date, or (C) the failure of a Scheduled Fund Valuation Date in respect of a Fund Interest to be a Fund Valuation Date in respect of such Fund Interest or any continued postponement of such Fund Valuation Date; |
(ii) | Fund Settlement Disruption: Fund Settlement Disruption means a failure by a Fund on any day to pay the full amount (whether expressed as a percentage or otherwise) of any fund redemption proceeds with respect to any Fund Interest scheduled to have been paid on or by such day according to the relevant Fund Documents (without giving effect to any gating, deferral, suspension or other provisions permitting the Fund to delay or refuse redemption of Fund Interests). |
(c) | Fund Extraordinary Event means each of the following events: |
(i) | Nationalization: Nationalization means that all the Fund Interests or all or substantially all the assets of a Fund are nationalized, expropriated, or are otherwise required to be |
transferred to any governmental agency, authority, entity, or instrumentality thereof; |
(ii) | Insolvency: Insolvency means that by reason of the voluntary or involuntary liquidation, bankruptcy, insolvency, dissolution or winding-up of, or any analogous proceeding affecting a Fund, (A) all the Fund Interests of that Fund are required to be transferred to a trustee, liquidator or other similar official or (B) holders of the Fund Interests of that Fund become legally prohibited from transferring or redeeming them; |
(iii) | Fund Insolvency Event: Fund Insolvency Event means a Fund or relevant Fund Service Provider (A) is dissolved or has a resolution passed |
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for its dissolution, winding-up or official liquidation (other than pursuant to a consolidation, amalgamation or merger); (B) makes a general assignment or arrangement with or for the benefit of its creditors; (C) (I) institutes or has instituted against it, by a regulator, supervisor, or any similar official with primary insolvency, rehabilitative or regulatory jurisdiction over it in the jurisdiction of its incorporation or organization or the jurisdiction of its head or home office, a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors rights, or a petition is presented for its winding-up or liquidation by it or such regulator, supervisor, or similar official, or (II) has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors rights, or a petition is presented for its winding-up or liquidation, and such proceeding or petition is instituted or presented by a person or entity not described in clause (I) above and either (aa) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (bb) is not dismissed, discharged, stayed, or restrained in each case within fifteen calendar days of the institution or presentation thereof; (D) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian, or other similar official for it or for all or substantially all its assets; (E) has a secured party take possession of all or substantially all its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all of its assets and such secured party maintains possession, or any such process is not dismissed, discharged, stayed or restrained, in each case within fifteen calendar days thereafter; or (F) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an analogous effect to any of the events specified in paragraphs (E) and (F) above; | |||
(iv) | NAV Trigger Event: NAV Trigger Event means that (A) the aggregate net asset value of a Fund has decreased by an amount equal to or greater than 30 per cent. since the Trade Date or, in respect of a Replacement Fund Interest, the relevant replacement date; or (B) a Fund has violated any leverage restriction that is applicable to, or affecting, it or its assets by operation of any law, any order, or judgment of any court or other agency of government applicable to it or any of its assets, the relevant Fund Documents or any contractual restriction binding on or affecting the Fund or any of its assets; | ||
(v) | Adviser Resignation Event: Adviser Resignation Event means the resignation, termination of appointment, or replacement of a Funds Fund Adviser; |
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(vi) | Fund Modification: Fund Modification means any change or modification of the relevant Fund Documents that could reasonably be expected to affect the value of a Fund Interest or the rights or remedies of any holders thereof (in each case, as determined by the Calculation Agent) from those prevailing on the Trade Date or, in respect of a Replacement Fund Interest, the relevant replacement date; or the imposition of any fees or charges in relation to redemptions, subscriptions, or transfers of Fund Interests; | ||
(vii) | Strategy Breach: Strategy Breach means any breach or violation of any strategy or investment guidelines stated in the relevant Fund Documents that is reasonably likely to affect the value of a Fund Interest or the rights or remedies of any holders thereof (in each case, as determined by the Calculation Agent); or any change of the nature of a Fund, including but not limited to the type of investments, the duration, the credit risk, and diversification of the investments to which that Fund is exposed, which, in the opinion of the Calculation Agent, results in a material deterioration of the risk profile of that Fund; | ||
(viii) | Regulatory Action: Regulatory Action means (A) the cancellation, suspension or revocation of the registration or approval of a Fund Interest or the related Fund by any governmental, legal or regulatory entity with authority over such Fund Interest or Fund, (B) any change in the legal, tax, accounting, or regulatory treatments of a Fund or its Fund Adviser that is reasonably likely to have an adverse impact on the value of the related Fund Interest or on any investor therein (as determined by the Calculation Agent), or (C) a Fund or any of its Fund Administrator or Fund Adviser becoming subject to investigation, proceeding, or litigation by any relevant governmental, legal, or regulatory authority involving the alleged violation of applicable law for any activities relating to or resulting from the operation of such Fund, Fund Administrator, or Fund Adviser; | ||
(ix) | Reporting Disruption: Reporting Disruption means (A) the occurrence of any event affecting a Fund Interest that, in the determination of the Calculation Agent, would make it impossible or impracticable for the Calculation Agent to determine the value of such Fund Interest in respect of a Scheduled Fund Valuation Date or a Scheduled Fund Redemption Valuation Date, and such event continues for at least two consecutive Scheduled Fund Valuation Dates or Scheduled Fund Redemption Valuation Dates, as the case may be; (B) any failure of a Fund to deliver, or cause to be delivered, (I) information that such Fund has agreed to deliver, or cause to be delivered to the Calculation Agent, including, but not limited to, information to determine the occurrence of a Fund Event and the annual audited financial report and semi-annual financial report, if any, in relation to the related Fund Interests, or (II) information that has been previously delivered to the Calculation Agent, in accordance with |
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such Funds, or its authorized representatives, normal practice and that the Calculation Agent deems necessary to monitor such Funds compliance with any investment guidelines, asset allocation methodologies or any other similar policies relating to the related Fund Interests; | |||
(x) | Fund Service Provider Cessation: Fund Service Provider Cessation means that one or more Fund Service Provider(s) in respect of a Fund ceases to provide the service as outlined in the relevant Fund Documents prevailing on the Trade Date or, where the related Fund Interest is a Replacement Fund Interest, the relevant replacement date, and any such Fund Service Provider is not immediately replaced by another service provider acceptable to the Calculation Agent; | ||
(xi) | Fund Administrator Disruption: Fund Administrator Disruption means any event or circumstances compromising the independence of a Fund Administrator performing services for a Fund from the relevant Fund Adviser; or | ||
(xii) | Related Agreement Termination: Related Agreement Termination means a Fund or any of its Fund Administrator or Fund Adviser is in breach of or has terminated any existing agreement with the Calculation Agent in respect of, but not limited to, retrocession, dealing fees, liquidity, and licensing. |
(i) | require the Calculation Agent to make such determinations and/or adjustments to the Terms and Conditions and/or the applicable Final Terms as it determines appropriate to account for the Fund Event, which may include, without limitation, |
(A) | delaying any determination date (including any Valuation Date or Averaging Date) and/ or any date on which payment might otherwise have to be made under the terms of the applicable Final Terms until it determines that no Fund Event exists; | ||
(B) | determining that, in the sole and absolute discretion of the Calculation Agent, one or more Fund Events may continue until or after any scheduled determination dates and/or payment dates as set out in the applicable Final Terms, and thereafter determining to fix any determination date (including any Valuation or Averaging Date) and/or date on which payment should be made, and making payment on such date of such amount as is appropriate, as determined in the sole and absolute discretion of the Calculation Agent, taking into account the Fund Event, and which may be |
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based solely on any amounts of cash that a Hypothetical Investor in the Fund actually received from the Fund during the relevant period or periods (and which may be less than any relevant net asset value published for the Fund, and may be as low as zero); | |||
(C) | calculating the value of a Fund Interest and/or replacing a Fund Interest (the Affected Fund Interest ) with a replacement fund interest (the Replacement Fund Interest ) with a value as determined by the Calculation Agent equal to the Removal Value for the Affected Fund Interest and in a fund which in the determination of the Calculation Agent has similar characteristics, investment objectives and policies to those applicable to the Fund in respect of the Affected Fund Interest immediately prior to the occurrence of the Fund Event; or |
(ii) | on giving notice to the Noteholders in accordance with Condition 14, redeem all (but not less than all) of the Notes, each Note being redeemed at the Early Redemption Amount. |
(i) | a subdivision, consolidation or reclassification of relevant Fund Interests or a free distribution or dividend of any such Fund Interests to existing holders by way of bonus, capitalization or similar issue; | ||
(ii) | a distribution, issue or dividend to existing holders of relevant Fund Interests of (I) such Fund Interests or (II) other share capital or securities granting the right to payment of dividends and/or the proceeds of liquidation of the related Fund equally or proportionately with such payments to holders of such Fund Interests or (III) share capital or other securities of another issuer acquired or owned (directly or indirectly) by the related Fund as a result of a spin-off or other similar transaction or (IV) any other type of securities, rights, warrants, or other assets, in any case for payment (in cash or in other consideration) at less than the prevailing market price as determined by the Calculation Agent; | ||
(iii) | an extraordinary dividend as determined by the Calculation Agent; |
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(iv) | a repurchase by a Fund of relevant Fund Interests whether out of profits or capital and whether the consideration for such repurchase is cash, securities or otherwise other than where such repurchase is a redemption of Fund Interests initiated by an investor in such Fund Interests and consistent with the relevant Fund Documents; or | ||
(v) | any other event that may have, in the opinion of the Calculation Agent, a diluting, concentrative or other effect on the theoretical value of relevant Fund Interests. |
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(a) | if Omission is specified as applying in the applicable Final Terms, then such date will be deemed not to be an Averaging Date for the purposes of determining the relevant price; provided that, if through the operation of this provision there would not be an Averaging Date, then the provisions of the definition of Valuation Date will apply for purposes of determining the relevant price on the final Averaging Date, as if such final Averaging Date were a Valuation Date that was a Disrupted Day; or | ||
(b) | if Postponement is specified as applying in the applicable Final Terms, then the provisions of the definition of Valuation Date will apply for the purposes of determining the relevant price on that Averaging Date as if such Averaging Date were a Valuation Date that was a Disrupted Day irrespective of whether, pursuant to such determination, that deferred Averaging Date would fall on a day that already is or is deemed to be an Averaging Date; or | ||
(c) | if Modified Postponement is specified as applying in the applicable Final Terms then: |
(i) | where the Fund Linked Notes relate to a single Fund, the Averaging Date shall be the first succeeding Valid Date. If the first succeeding Valid Date has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for the Fund, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date), and (B) the Calculation Agent shall determine the relevant price for that Averaging Date in accordance with sub-paragraph (a)(ii) of the definition of Valuation Date below; | ||
(ii) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Averaging Date for each Fund Share not affected by the occurrence of a Disrupted Day shall be the originally designated Averaging Date (following adjustment of such date owing to the original date not being a Scheduled Trading Day, if applicable) (the Scheduled Averaging Date ) and the Averaging Date for a Fund Share affected by the occurrence of a Disrupted Day shall be the first succeeding Valid Date in relation to such Fund Share. If the first succeeding Valid Date in relation to such Fund Share has not occurred as of the Valuation |
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Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Fund Share, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date) in relation to such Fund Share, and (B) the Calculation Agent shall determine the relevant price for that Averaging Date in accordance with sub-paragraph (b)(ii) of the definition of Valuation Date below; | |||
(iii) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Averaging Date for each Fund Share not affected by the occurrence of a Disrupted Day shall be the originally designated Averaging Date (following adjustment of such date owing to the original date not being a Common Scheduled Trading Day, if applicable) (the Scheduled Averaging Date ) and the Averaging Date for a Fund Share affected by the occurrence of a Disrupted Day shall be the first succeeding Valid Date in relation to such Fund Share. If the first succeeding Valid Date in relation to such Fund Share has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date) in relation to such Fund Share, and (B) the Calculation Agent shall determine the relevant price for that Averaging Date in accordance with sub-paragraph (c)(ii) of the definition of Valuation Date below; or | ||
(iv) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Averaging Date for each Fund Share shall be the first succeeding Common Valid Date in relation to such Fund Share. If the first succeeding Common Valid Date has not occurred as of the Valuation Time on the Averaging Cut-Off Date or if such Averaging Date falls on the Averaging Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, then (A) the Averaging Cut-Off Date shall be deemed to be the Averaging Date (irrespective of whether the Averaging Cut-Off Date is already an Averaging Date), and (B) the Calculation Agent shall determine the relevant level or price for that Averaging Date in accordance with sub-paragraph (d)(ii) of the definition of Valuation Date below, |
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and, for the purposes of these Fund Linked Conditions Valid Date means a Scheduled Trading Day that is not a Disrupted Day and on which another Averaging Date does not or is deemed not to occur, and Common Valid Date means a Common Scheduled Trading Day that is not a Disrupted Day for any Fund Share and on which another Averaging Date does not or is deemed not to occur. |
(a) | if the applicable Final Terms provides that the Barrier Event (intraday) provisions shall apply, unless otherwise specified in the applicable Final Terms, each day on which the price of such Fund Share is quoted on the relevant Exchange during the relevant Observation Period, regardless of whether or not such day is a Scheduled Trading Day for such Fund Share (and, for the avoidance of doubt, if the Calculation Agent in its sole and absolute discretion determines that a Market Disruption Event is occurring at any time on any Barrier Event Determination Day, it shall disregard the period during which it determines in its sole and absolute discretion that such Market Disruption Event has occurred and is continuing for the purposes of determining whether or not a Barrier Event (intraday) has occurred); or | ||
(b) | if the applicable Final Terms provides that the Barrier Event (closing) provisions shall apply, each day specified as such in the applicable Final Terms. |
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(a) | where the Fund Linked Notes relate to a single Fund, the Observation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Fund Share, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price in the manner set out in the applicable Final Terms or, if not set out or if not practicable, determine the relevant price in accordance with its good faith estimate of the relevant price as of the Valuation Time on the Observation Cut-Off Date; | ||
(b) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Observation Date for each Fund Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Observation Date (or, if earlier, the Observation Cut-Off Date) and the Observation Date for each Fund Share affected (each an Affected Fund Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Fund Share, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day relating to the Affected Fund Share. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Fund Share, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date for such Fund Share (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such Fund Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good |
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faith estimate of the price for such Fund Share as of the Valuation Time on the Observation Cut-Off Date, and otherwise in accordance with the above provisions; | |||
(c) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Observation Date for each Fund Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Observation Date (or if the Scheduled Observation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day, or in either case, if earlier, the Observation Cut-Off Date) and the Observation Date for each Fund Share affected (each an Affected Fund Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Fund Share, unless each of the Scheduled Trading Days immediately following the Scheduled Observation Date (or if the Scheduled Observation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day) up to, and including, the Observation Cut-Off Date is a Disrupted Day relating to the Affected Fund Share. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date for such Fund Share (notwithstanding the fact that such day may be a Disrupted Day for a Fund Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such Fund Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Fund Share as of the Valuation Time on the Observation Cut-Off Date, and otherwise in accordance with the above provisions; or | ||
(d) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Observation Date shall be the first succeeding Common Scheduled Trading Day that is not a Disrupted Day for any Fund Share, unless each of the Common Scheduled Trading Days immediately following the Scheduled Observation Date up to, and including, the Observation Cut-Off Date is a Disrupted Day for one or more Fund Shares. In that case, or if such Observation Date falls on the Observation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation Cut-Off Date shall be deemed to be the Observation Date (notwithstanding the fact that such day may be a Disrupted Day for a Fund Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to each Fund Share for which the Observation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Fund Share as of |
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the Valuation Time on the Observation Cut-Off Date, and otherwise in accordance with the above provisions. |
(a) | if the consequence of Extension is specified in the applicable Final Terms to be applicable, each period commencing on the Observation Period Start Date, following adjustment of such date pursuant to these Fund Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period Start Date, as specified in the applicable Final Terms) and ending on the immediately following Observation Period End Date, following adjustment of such date pursuant to these Fund Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period End Date, as specified in the applicable Final Terms); or | ||
(b) | if the consequence of No Extension is specified in the applicable Final Terms to be applicable, each period commencing on the Observation Period Start Date, prior to any adjustment of such date pursuant to these Fund Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period Start Date, as specified in the applicable Final Terms) and ending on the immediately following Observation Period End Date, prior to any adjustment of such date pursuant to these Fund Linked Conditions or as specified in the applicable Final Terms, if applicable (and including or excluding such Observation Period End Date, as specified in the applicable Final Terms). |
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(a) | where the Fund Linked Notes relate to a single Fund, the Valuation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the Scheduled Trading Days up to, and including, the Valuation Cut-Off Date is a Disrupted Day. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Fund Share, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the |
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Calculation Agent shall determine the relevant price in the manner set out in the applicable Final Terms or, if not set out or if not practicable, determine the relevant price in accordance with its good faith estimate of the relevant price as of the Valuation Time on the Valuation Cut-Off Date; or | |||
(b) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days shall not be applicable, the Valuation Date for each Fund Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date (or, if earlier, the Valuation Cut-Off Date) and the Valuation Date for each Fund Share affected (each an Affected Fund Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Fund Share, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day relating to the Affected Fund Share. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Scheduled Trading Day for such Fund Share, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date for such Fund Share (notwithstanding the fact that such day may be a Disrupted Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such Fund Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for the Affected Fund Share as of the Valuation Time on the Valuation Cut-Off Date, and otherwise in accordance with the above provisions; or | ||
(c) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days and Individual Disrupted Days shall be applicable, the Valuation Date for each Fund Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date (or if the Scheduled Valuation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day, or in either case, if earlier, the Valuation Cut-Off Date) and the Valuation Date for each Fund Share affected (each an Affected Fund Share ) by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to the Affected Fund Share, unless each of the Scheduled Trading Days immediately following the Scheduled Valuation Date (or if the Scheduled Valuation Date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day) up to, and including, the Valuation Cut-Off Date is a Disrupted Day relating to the Affected Fund Share. In that case, or if such Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date for such Fund Share (notwithstanding the fact that such day may be a Disrupted Day for a Fund Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to such |
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Fund Share, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Fund Share as of the Valuation Time on the Valuation Cut-Off Date, and otherwise in accordance with the above provisions; or | |||
(d) | where the Fund Linked Notes relate to a Basket of Funds and the applicable Final Terms provides that Common Scheduled Trading Days and Common Disrupted Days shall be applicable, the Valuation Date shall be the first succeeding Common Scheduled Trading Day that is not a Disrupted Day for any Fund Share, unless each of the Common Scheduled Trading Days immediately following the Scheduled Valuation Date up to, and including, the Valuation Cut-Off Date is a Disrupted Day for one or more Fund Shares. In that case, or if the Valuation Date falls on the Valuation Cut-Off Date owing to the original date on which it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Valuation Cut-Off Date shall be deemed to be the Valuation Date (notwithstanding the fact that such day may be a Disrupted Day for a Fund Share or not a Common Scheduled Trading Day) and (ii) the Calculation Agent shall determine the relevant price using, in relation to each Fund Share for which the Valuation Cut-Off Date is a Disrupted Day or is not a Common Scheduled Trading Day, a price determined in the manner set out in the applicable Final Terms or, if not set out or if not practicable, using its good faith estimate of the price for such Fund Share as of the Valuation Time on the Valuation Cut-Off Date, and otherwise in accordance with the above provisions. |
(a) | A Barrier Event (intraday) means (and a Barrier Event (intraday) shall be deemed to occur if), in respect of a Fund Share, the Calculation Agent determines that the Fund Share Price of such Fund Share as of the Barrier Event Valuation Time (intraday) on any Barrier Event Determination Day is |
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less than or equal to the corresponding Barrier Level for such Fund Share and such Barrier Event Determination Day. |
For the purpose of determining whether a Barrier Event (intraday) has occurred on any day, the definition of Market Disruption Event specified in Fund Linked Condition 9 shall be amended such that (i) all references to during the one hour period that ends at the relevant Valuation Time shall be deleted, and (ii) in sub-paragraph (b) each reference to Valuation Time and Scheduled Closing Time shall be construed as a reference to Barrier Event Valuation Time (intraday). |
(b) | A Barrier Event (closing) means (and a Barrier Event (closing) shall be deemed to occur if), in respect of a Fund Share, the Calculation Agent determines that the Fund Share Closing Price of any Fund Share as of the Barrier Event Valuation Time (closing) on any Barrier Event Determination Day is less than or equal to the corresponding Barrier Level for such Fund Share and such Barrier Event Determination Day. |
(a) | the occurrence or existence at any time during the one hour period that ends at the relevant Valuation Time: |
(i) | of any suspension of or limitation imposed on trading by the relevant Exchange or Related Exchange or otherwise and whether by reason of movements in price exceeding limits permitted by the relevant Exchange or Related Exchange or otherwise: |
(A) | relating to the relevant Fund Share on such Exchange; or | ||
(B) | relating to securities that comprise 20 per cent. or more of the level of the relevant Underlying Index or any relevant successor index; or | ||
(C) | in futures or options contracts relating to such Fund Shares or the relevant Underlying Index on any relevant Related Exchange; or |
(ii) | of any event (other than an event described in (b) below) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general to (A) effect transactions in, or obtain market values for, the Fund Shares on the Exchange, (B) effect transactions in, or obtain market values for, securities that comprise 20 per cent. or more of the level of the relevant Underlying Index, or (C) to effect transactions in, or obtain market values for, futures or options contracts relating to such Fund Shares or the relevant Underlying Index on any relevant Related Exchange; or |
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(b) | the closure on any Exchange Business Day of any relevant Exchange(s) or any Related Exchange(s) prior to its Scheduled Closing Time unless such earlier closing time is announced by such Exchange(s) or such Related Exchange(s), as the case may be, at least one hour prior to (i) the actual closing time for the regular trading session on such Exchange(s) or such Related Exchange on such Exchange Business Day or, if earlier, (ii) the submission deadline for orders to be entered into such Exchange or Related Exchange system for execution at the Valuation Time on such Exchange Business Day, |
which in any such case the Calculation Agent determines is material. | ||
For the purpose of determining whether a Market Disruption Event exists in respect of a Fund Share at any time, if an event giving rise to a Market Disruption Event occurs in respect of a security included in the relevant Underlying Index at that time, then the relevant percentage contribution of that security, to the level of the relevant Underlying Index shall be based on a comparison of (a) the portion of the level of the relevant Underlying Index attributable to that security, and (b) the overall level of the relevant Underlying Index immediately before the occurrence of such Market Disruption Event. |
(a) | a subdivision, consolidation, or reclassification of relevant Fund Shares (unless resulting in a Merger Event or Tender Offer), or a free distribution or dividend of any such Fund Shares to existing holders by way of bonus, capitalization, or similar issue; | ||
(b) | a distribution, issue, or dividend to existing holders of the relevant Fund Shares of (i) such Fund Shares or (ii) other share capital or securities granting the right to payment of dividends and/ or the proceeds of liquidation of the ETF equally or proportionately with such payments to holders of such Fund Shares or (iii) share capital or other securities of another issuer acquired or owned (directly or indirectly) by the ETF as a result of a spin-off or other similar transaction, or (iv) any other type of securities, rights or warrants or other assets in any case for payment (cash or other consideration) at less than the prevailing market price as determined by the Calculation Agent; | ||
(c) | an extraordinary dividend as determined by the Calculation Agent; | ||
(d) | a call by the ETF in respect of relevant Fund Shares that are not fully paid; |
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(e) | a repurchase by the ETF or any of its subsidiaries of relevant Fund Shares, whether out of profits or capital and whether the consideration for such repurchase is cash, securities or otherwise; | ||
(f) | in respect of an ETF, an event that results in any shareholder rights being distributed or becoming separated from Fund Shares of common stock or other shares of the capital stock of the ETF pursuant to a shareholder rights plan or arrangement directed against hostile takeovers that provides upon the occurrence of certain events for a distribution of preferred stock, warrants, debt instruments or stock rights at a price below their market value, as determined by the Calculation Agent, provided that any adjustment effected as a result of such an event shall be readjusted upon any redemption of such rights; or | ||
(g) | any other event that may have a diluting or concentrative effect on the theoretical value of the relevant Fund Shares. |
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(a) | the investment objectives and/or policies in respect of the ETF are materially changed; | ||
(b) | an illegality occurs or a relevant authorization or license is revoked in respect of the ETF and/ or the ETF is required by a competent authority (other than any holder of the Fund Shares) to redeem any Fund Shares; | ||
(c) | there is a change in any relevant jurisdiction in respect of any payments made by the ETF in respect of any Fund Share as a result of which the amounts paid or to be paid by the Issuer in connection with hedging arrangements relating to the Notes are materially reduced or otherwise adversely affected; and/or | ||
(d) | any other event occurs in relation to the ETF and/or the Fund Shares which is materially prejudicial to the Issuer in connection with the issue of the Notes or any hedging arrangements relating to the Notes, | ||
as determined by the Calculation Agent. |
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(a) | require the Calculation Agent, in its sole and absolute discretion, to determine the appropriate adjustment(s), if any, to be made to any one or more of the terms of the Terms and Conditions and/or the applicable Final Terms to account for the De-Listing, Merger Event, Tender Offer, Nationalization, Insolvency, or Material Underlying Event, as the case may be, and determine the effective date(s) of that adjustment(s). The Calculation Agent may (but need not) determine the appropriate adjustment(s) by reference to the adjustment(s) in respect of the De-Listing, Merger Event, Tender Offer, Nationalization, Insolvency, or Material Underlying Event made by any options exchange to options on the relevant Fund Share traded on that options exchange; | ||
(b) | give notice to the Noteholders in accordance with Condition 14, and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount; or | ||
(c) | following such adjustment to the settlement terms of options on the Fund Shares traded on such exchange(s) or quotation system(s) as the Issuer in its sole discretion shall select (the Options Exchange ), require the Calculation Agent to make a corresponding adjustment to any one or more of the terms of the Terms and Conditions and/or the applicable Final Terms, which adjustment will be effective as of the date determined by the Calculation Agent to be the effective date of the corresponding adjustment made by the Options Exchange. If options on the Fund Shares are not traded on the Options Exchange, the Calculation Agent will make such adjustment, if any, to any one or more of the terms of the Terms and Conditions and/or the applicable Final Terms as the Calculation Agent in its sole and absolute discretion determines appropriate, with reference to the rules and precedents (if any) set by the Options Exchange to account for the Merger Event, Tender Offer, De-listing, Nationalization, Insolvency, or Material Underlying Event, as the case may be, that in the determination of the Calculation Agent would have given rise to an adjustment by the Options Exchange if such options were so traded. |
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12. | Additional Disruption Events |
(a) | Additional Disruption Event means any of Change in Law, Hedging Disruption, and/or Increased Cost of Hedging, in each case if specified in the applicable Final Terms. |
(a) | If an Additional Disruption Event occurs, the Issuer, in its sole and absolute discretion, may take the action described in (i) or (ii) below: |
(i) | require the Calculation Agent to determine in its sole and absolute discretion the appropriate adjustment, if any, to be made to any of the |
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other terms of the Terms and Conditions and/or the applicable Final Terms to account for the Additional Disruption Event and determine the effective date of that adjustment; or |
(ii) | give notice to Noteholders in accordance with Condition 14 and redeem all, but not less than all, of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount. |
(b) | Upon the occurrence of an Additional Disruption Event, the Issuer shall give notice as soon as practicable to the Noteholders in accordance with Condition 14 stating the occurrence of the Additional Disruption Event giving details thereof and the action proposed to be taken in relation thereto provided that any failure to give, or non-receipt of, such notice will not affect the validity of the Additional Disruption Event. |
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1. | Definitions |
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2. | Inflation Index Adjustments |
(a) | Delay in Publication |
(i) | if Related Bond is specified as applicable for such Inflation Index in the applicable Final Terms, the Calculation Agent shall determine the Substitute Index Level by reference to the corresponding index level determined under the terms and conditions of the relevant Related Bond; or | ||
(ii) | if (A) Related Bond is specified as not applicable for such Inflation Index in the applicable Final Terms, or (B) the Calculation Agent is not able to determine a Substitute Index Level under (i) above, the Calculation Agent shall determine the Substitute Index Level by reference to the following formula: |
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Base Level means, in respect of an Inflation Index, the level of such Inflation Index (excluding any flash estimates) published or announced by the relevant Inflation Index Sponsor in respect of the month which is 12 calendar months prior to the month for which the Substitute Index Level is being determined. | ||
Latest Level means, in respect of an Inflation Index, the latest level of such Inflation Index (excluding any flash estimates) published or announced by the relevant Inflation Index Sponsor prior to the month in respect of which the Substitute Index Level is being determined. | ||
Reference Level means, in respect of an Inflation Index, the level of such Inflation Index (excluding any flash estimates) published or announced by the relevant Inflation Index Sponsor in respect of the month that is 12 calendar months before the month in respect of the Latest Level. |
(b) | Cessation of Publication |
(i) | if at any time, a successor index has been designated by the Calculation Agent pursuant to the terms and conditions of the Related Bond, such successor index shall be designated a Successor Index notwithstanding that any other Successor Index may previously have been determined under paragraphs (ii), (iii) or (iv) below; or | ||
(ii) | if a Successor Index has not been determined pursuant to Inflation Linked Condition 2(b)(i) and a notice has been given or an announcement has been made by the Inflation Index Sponsor, specifying that the Inflation Index will be superseded by a replacement Inflation Index specified by the Inflation Index Sponsor, and the Calculation Agent determines that such replacement index is calculated using the same or substantially similar formula or method of calculation as used in the calculation of the previously applicable Inflation Index, such replacement index shall be the Inflation Index for purposes of the Inflation Linked Notes from the date that such replacement Inflation Index comes into effect; or | ||
(iii) | if a Successor Index has not been determined pursuant to Inflation Linked Condition 2(b)(i) or Inflation Linked Condition 2(b)(ii), the Calculation Agent shall ask five leading independent dealers to state what the replacement index for the Inflation Index should be. If four or five responses are received, and of those |
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four or five responses, three or more leading independent dealers state the same index, this index will be deemed the Successor Inflation Index. If three responses are received, and two or more leading independent dealers state the same index, this index will be deemed the Successor Inflation Index. If fewer than three responses are received, the Calculation Agent will proceed to Inflation Linked Condition 2(b)(iv); or |
(iv) | if no replacement index or Successor Inflation Index has been deemed under Inflation Linked Conditions 2(b)(i), 2(b)(ii) or 2(b)(iii) by the next occurring Cut-Off Date, the Calculation Agent will determine an appropriate alternative index from such Cut-Off Date, and such index will be deemed a Successor Inflation Index; or | ||
(v) | if the Calculation Agent determines that there is no appropriate alternative index, the Issuer shall give notice to the Noteholders in accordance with Condition 14 and redeem all (but not less than all) of the Notes, each nominal amount of Notes equal to the Specified Denomination being redeemed at the Early Redemption Amount. |
(c) | Rebasing of the Inflation Index |
(d) | Material Modification Prior to Last Occurring Cut-Off |
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1. | Delivery of Entitlement and Asset Transfer Notices | |
In order to obtain delivery of the Entitlement(s) in respect of any Note: |
(a) | if such Note is represented by a Global Note, the relevant Noteholder must deliver to the Relevant Clearing System, with a copy to the Principal Agent and the Issuer not later than the close of business in each place of receipt on the Cut-Off Date, a duly completed Asset Transfer Notice substantially in the form set out in the Agency Agreement (the Asset Transfer Notice ); and | ||
(b) | if such Note is in definitive form, the relevant Noteholder must deliver to any Paying Agent (in case of Bearer Notes) or any Transfer Agent (in case of Registered Notes), in each case with a copy to the Principal Agent and the Issuer not later than the close of business in each place of receipt on the Cut-Off Date, a duly completed Asset Transfer Notice. |
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(a) | specify the name, address outside the United States and its possessions, and contact telephone number of the relevant Noteholder or Couponholder, as the case may be, and the person from whom the Issuer may obtain details for the delivery of the Entitlement if such delivery is to be made otherwise than in the manner specified in the applicable Final Terms; | ||
(b) | in the case of Notes represented by a Global Note, specify the nominal amount of Notes which are the subject of such notice and the number of the Noteholders account at the Relevant Clearing System to be debited with such Notes and irrevocably instruct and authorize the Relevant Clearing System to debit the relevant Noteholders account with such Notes on or before the Maturity Delivery Date (as defined below); | ||
(c) | include an undertaking to pay all Expenses and, in the case of Notes represented by a Global Note, an authority to debit a specified account of the Noteholder at the Relevant Clearing System in respect thereof and to pay such Expenses; | ||
(d) | include such details as are required by the applicable Final Terms for delivery of the Entitlement which may include account details of an account outside the United States and its possession and/or the name and address outside the United States and its possessions of any person(s) into whose name evidence of the Entitlement is to be registered and/or any bank, broker, or agent outside the United States and its possessions to whom documents evidencing the Entitlement are to be delivered and specify the name and number of the Noteholders account with the Relevant Clearing System to be credited with any cash payable by the Issuer, in respect of any cash amount constituting the Entitlement or any dividends relating to the Entitlement, as a result of the occurrence of a Settlement Disruption Event or a Failure to Deliver due to Illiquidity and the Issuer electing to pay the Disruption Cash Settlement Price or Failure to Deliver Settlement Price, as applicable, or in respect of any Partial Cash Settlement Amounts; | ||
(e) | certify that the beneficial owner of each Note is not a U.S. person (as defined in Regulation S under the Securities Act), the Note is not being redeemed within the United States or its possessions or on behalf of a U.S. person and no cash, securities or other property have been or will be delivered within the United States or its possessions or to, or for the account or benefit of, a U.S. person in connection with any redemption thereof; and | ||
(f) | authorize the production of such notice in any applicable administrative or legal proceedings. |
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2. | Settlement Disruption Event |
3. | Failure to Deliver due to Illiquidity |
(a) | subject as provided elsewhere in these Physical Delivery Conditions and/or the applicable Final Terms, any Relevant Assets, which are not Affected Relevant Assets, will be delivered on the originally designated Maturity Delivery Date in accordance with these Physical Delivery Conditions; and | ||
(b) | in respect of any Affected Relevant Assets, notwithstanding any other provision hereof, the Issuer may elect in its sole discretion, in lieu of delivery of the Affected Relevant Assets, to pay to the relevant Noteholder the Failure to Deliver Settlement Price (as defined below) on the fifth Business Day |
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following the date the Failure to Deliver Notice (as defined below) is given to the Noteholders in accordance with Condition 14. The Issuer shall give notice (such notice a Failure to Deliver Notice ) as soon as reasonably practicable to the Noteholders in accordance with Condition 14 that the provisions of this Physical Delivery Condition 3 apply. |
4. | Option to Vary Settlement |
5. | Definitions |
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GRANTED TO | AWARD DATE |
NUMBER OF
SHARES |
FAIR MARKET VALUE
PER SHARE |
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1. | The award of the Shares is subject to the terms and conditions of the Plan and this Agreement. You acknowledge having read the Prospectus and agree to be bound by all the terms and conditions of the Plan and this Agreement. | |
2. | You agree that, upon request, you will furnish a letter agreement providing that you will not distribute or resell any of said Shares in violation of the U.S. Securities Act of 1933, as amended, that you will indemnify and hold Bank of America harmless against all liability for any such violation and that you will accept all liability for any such violation. Notwithstanding anything to the contrary herein, the grant, vesting and settlement of this award are conditioned on the receipt of any necessary [___] regulatory approval. | |
3. | The Shares shall not become vested until the first anniversary of the Award Date stated above (or, if earlier, the date of the next annual meeting of the stockholders of Bank of America) (the Vesting Date). If you cease to serve as a Nonemployee Director before the Vesting Date due to your death, or if there is a Change in Control prior to the Vesting Date, then the Shares shall become fully vested as of the date of such death or Change in Control, as applicable. If you cease to serve as a Nonemployee Director at any time for any reason other than death before the earlier of the Vesting Date or a Change in Control, then the Shares shall become vested pro rata (based on the number of days between the Award Date and the date of cessation of services divided by 365 days), and to the extent the Shares are not thereby vested they shall be forfeited as of the date |
of such cessation of services. Until they become vested, the Shares shall be held by Bank of America. Vested Shares shall be delivered to you as soon as practicable following the applicable Vesting Date. In that regard, you agree that you shall comply with (or provide adequate assurance as to future compliance with) all applicable securities laws as determined by Bank of America as a condition precedent to the delivery of the Shares. While the Shares are held by Bank of America, you shall not have the right to sell or otherwise dispose of such Shares or any interest therein. | ||
4. | In accordance with Section 5(c) of the Plan, you shall have the right to receive dividends on the Shares and to vote the Shares prior to vesting. | |
5. | You acknowledge and agree that upon your cessation of services as a Nonemployee Director resulting in the forfeiture of any unvested Shares in accordance with paragraph 3 above, (i) your right to vote and to receive cash dividends on, and all other rights, title or interest in, to or with respect to, unvested Shares shall automatically, without further act, terminate and (ii) the unvested Shares shall be returned to Bank of America. You hereby irrevocably appoint (which appointment is coupled with an interest) Bank of America as your agent and attorney-in-fact to take any necessary or appropriate action to cause the Shares to be returned to Bank of America, including without limitation executing and delivering stock powers and instruments of transfer, making endorsements and/or making, initiating or issuing instructions or entitlement orders, all in your name and on your behalf. You hereby ratify and approve all acts done by Bank of America as such attorney-in-fact. Without limiting the foregoing, you expressly acknowledge and agree that any transfer agent for the Shares is fully authorized and protected in relying on, and shall incur no liability in acting on, any documents, instruments, endorsements, instructions, orders or communications from Bank of America in connection with the Shares or the transfer thereof, and that any such transfer agent is a third party beneficiary of this Agreement. | |
6. | The existence of this award shall not affect in any way the right or power of Bank of America or its stockholders to make or authorize any or all adjustments, recapitalizations, reorganizations or other changes in Bank of Americas capital structure or its business, or any merger or consolidation of Bank of America, or any issue of bonds, debentures, preferred or prior preference stocks ahead of or convertible into, or otherwise affecting the Common Stock or the rights thereof, or the dissolution or liquidation of Bank of America, or any sale or transfer of all or any part of its assets or business, or any other corporate act or proceeding, whether of a similar character or otherwise. | |
7. | Any notice which either party hereto may be required or permitted to give to the other shall be in writing and may be delivered personally, by fax or by mail to such address and directed to such person(s) as Bank of America may notify you from time to time; and to you, at your address as shown on the records of Bank of America, or at such other address as you, by notice to Bank of America, may designate in writing from time to time. | |
8. | Regardless of any action Bank of America takes with respect to any or all income tax or other tax-related withholding (Tax-Related Items), you acknowledge that the ultimate liability for all Tax-Related Items owed by you is and remains your responsibility and may exceed the amount (if any) withheld by Bank of America. You acknowledge that Bank of America (a) makes no representations or undertakings regarding the treatment of any Tax-Related Items in connection with any aspect of the award of Shares, including the grant and vesting of the Shares, the release and delivery of Shares to you, the subsequent sale of Shares acquired upon the delivery of the |
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Shares and the receipt of any dividends, and (b) does not commit to structure the terms of the award or any aspect of the Shares to reduce or eliminate your liability for Tax-Related Items. Further, if you have become subject to Tax-Related Items in connection with the Shares in more than one jurisdiction, you acknowledge that Bank of America may be required to withhold or account for Tax-Related Items in more than one jurisdiction. | ||
In the event Bank of America determines that it must withhold any Tax-Related Items as a result of your participation in the Plan, you agree as a condition of the award of the Shares to make arrangements satisfactory to Bank of America to enable it to satisfy all withholding requirements by all legal means, including, but not limited to, withholding any applicable Tax-Related Items from the Shares, withholding Tax-Related Items from other compensation (if any) Bank of America pays to you and/or withholding Tax-Related Items from the cash proceeds (if any) received upon any sale of any Shares. Bank of America may refuse to deliver any Shares if you fail to comply with any withholding obligation. | ||
Bank of America is not providing any tax, legal or financial advice, nor is Bank of America making any recommendations regarding the Shares and you have been advised to consult with your personal tax, legal and financial advisors regarding the Shares before taking any action in relation thereto. | ||
9. | You hereby explicitly and unambiguously consent to the collection, use and transfer, in electronic or other form, of your personal data, as described in this Agreement, by Bank of America for the exclusive purpose of implementing, administering and managing the award of Shares and your participation in the Plan. You understand that Bank of America holds certain personal information about you, including, but not limited to, your name, home address and telephone number, date of birth, social insurance number or other identification number, salary, nationality, job title, any shares of stock or directorships held in Bank of America, details of any entitlement to shares of stock awarded, canceled, exercised, vested, unvested or outstanding in your favor, for the exclusive purpose of implementing, administering and managing the award of Shares and your participation in the Plan (Data). | |
You understand that Data may be transferred to any third parties assisting in the implementation, administration and management of the award, that these recipients may be located in your country or elsewhere, and that the recipients country may have different data privacy laws and protections from your country. You understand that you may request a list with the names and addresses of any potential recipients of Data by contacting Executive Compensation. You authorize the recipients to receive, possess, use, retain and transfer the Data, in electronic or other form, for the purpose of implementing, administering and managing the award. You understand that Data will be held only as long as is necessary to implement, administer and manage the award and your participation in the Plan. You understand that you may, at any time, view Data, request additional information about the storage and processing of Data, require any necessary amendments to Data or refuse or withdraw the consents herein, in any case without cost, by contacting in writing Executive Compensation. You understand, however, that refusing or withdrawing your consent may affect your ability to benefit from the award of Shares evidenced by this Agreement. For more information on the consequences of your refusal to consent or withdrawal of consent, you understand that you may contact Executive Compensation. |
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10. | The validity, construction and effect of this Agreement are governed by, and subject to, the laws of the United States and the laws of the State of Delaware, as provided in the Plan. For purposes of litigating any dispute that arises directly or indirectly from the relationship of the parties evidenced by this award or this Agreement, the parties hereby submit to and consent to the exclusive jurisdiction of North Carolina and agree that such litigation shall be conducted solely in the courts of Mecklenburg County, North Carolina or the federal courts of the United States for the Western District of North Carolina, where this award is made and/or to be performed, and no other courts. |
11. | In the event any provision of this Agreement shall be held illegal or invalid for any reason, the illegality or invalidity shall not affect the remaining parts of the Agreement, and the Agreement shall be construed and enforced as if the illegal or invalid provision had not been included. This Agreement constitutes the final understanding between you and Bank of America regarding the Shares. Any prior agreements, commitments or negotiations concerning the Shares are superseded. |
12. | If you move to a country other than the one in which you are currently residing prior to the delivery of the Shares to you, additional terms and conditions may apply to the Shares. Bank of America reserves the right to impose other requirements on the Shares to the extent Bank of America determines it is necessary or advisable in order to comply with local laws or facilitate the administration of the Shares and to require you to sign any additional agreements or understandings that may be necessary to accomplish the foregoing. |
BANK OF AMERICA CORPORATION
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NONEMPLOYEE DIRECTOR: | |
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Chief Executive Officer and President
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Bank of America Corporation and Subsidiaries | Exhibit 12 | |
Ratio of Earnings to Fixed Charges | ||
Ratio of Earnings to Fixed Charges and Preferred Dividends |
Six Months Ended | Year Ended December 31 | |||||||||||||||||||||||
(Dollars in millions)
|
June 30, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Excluding Interest on Deposits
|
||||||||||||||||||||||||
|
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Income (loss) before income taxes
|
$ | (10,095 | ) | $ | (1,323 | ) | $ | 4,360 | $ | 4,428 | $ | 20,924 | $ | 31,973 | ||||||||||
Equity in undistributed earnings (loss) of
unconsolidated subsidiaries
|
(2,764 | ) | 1,285 | (1,833 | ) | (144 | ) | (95 | ) | (315 | ) | |||||||||||||
Fixed charges:
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||||||||||||||||||||||||
Interest expense
|
9,863 | 19,977 | 23,000 | 25,074 | 34,778 | 29,514 | ||||||||||||||||||
1/3 of net rent expense
(1)
|
547 | 1,099 | 1,110 | 791 | 669 | 609 | ||||||||||||||||||
Total fixed charges
|
10,410 | 21,076 | 24,110 | 25,865 | 35,447 | 30,123 | ||||||||||||||||||
Preferred dividend requirements
(2)
|
910 | n/m | 5,921 | 1,461 | 254 | 33 | ||||||||||||||||||
Fixed charges and preferred dividends
|
11,320 | 21,076 | 30,031 | 27,326 | 35,701 | 30,156 | ||||||||||||||||||
Earnings (loss)
|
$ | (2,449 | ) | $ | 21,038 | $ | 26,637 | $ | 30,149 | $ | 56,276 | $ | 61,781 | |||||||||||
Ratio of earnings to fixed charges
|
n/m | 1.00 | 1.10 | 1.17 | 1.59 | 2.05 | ||||||||||||||||||
Ratio of earnings to fixed charges and
preferred dividends
(2, 3, 4)
|
n/m | n/m | 0.89 | 1.10 | 1.58 | 2.05 | ||||||||||||||||||
Six Months Ended | Year Ended December 31 | |||||||||||||||||||||||
(Dollars in millions)
|
June 30, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Including Interest on Deposits
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Income (loss) before income taxes
|
$ | (10,095 | ) | $ | (1,323 | ) | $ | 4,360 | $ | 4,428 | $ | 20,924 | $ | 31,973 | ||||||||||
Equity in undistributed earnings (loss) of
unconsolidated subsidiaries
|
(2,764 | ) | 1,285 | (1,833 | ) | (144 | ) | (95 | ) | (315 | ) | |||||||||||||
Fixed charges:
|
||||||||||||||||||||||||
Interest expense
|
11,545 | 23,974 | 30,807 | 40,324 | 52,871 | 43,994 | ||||||||||||||||||
1/3 of net rent expense
(1)
|
547 | 1,099 | 1,110 | 791 | 669 | 609 | ||||||||||||||||||
Total fixed charges
|
12,092 | 25,073 | 31,917 | 41,115 | 53,540 | 44,603 | ||||||||||||||||||
Preferred dividend requirements
(2)
|
910 | n/m | 5,921 | 1,461 | 254 | 33 | ||||||||||||||||||
Fixed charges and preferred dividends
|
13,002 | 25,073 | 37,838 | 42,576 | 53,794 | 44,636 | ||||||||||||||||||
Earnings (loss)
|
$ | (767 | ) | $ | 25,035 | $ | 34,444 | $ | 45,399 | $ | 74,369 | $ | 76,261 | |||||||||||
Ratio of earnings to fixed charges
|
n/m | 1.00 | 1.08 | 1.10 | 1.39 | 1.71 | ||||||||||||||||||
Ratio of earnings to fixed charges and
preferred dividends
(2, 3, 4)
|
n/m | n/m | 0.90 | 1.07 | 1.38 | 1.71 | ||||||||||||||||||
(1) | Represents an appropriate interest factor. | |
(2) | Reflects the impact of $12.4 billion of goodwill impairment charges during 2010 which resulted in a negative preferred dividend requirement. | |
(3) | The earnings for the six months ended June 30, 2011 were inadequate to cover fixed charges and preferred stock dividends. The earnings deficiency reflects the impact of $12.6 billion of mortgage banking losses. The coverage deficiency for fixed charges and preferred dividends was $13.8 billion. | |
(4) | The ratio for 2009 was less than 1.00, and accordingly, the earnings for 2009 were inadequate to cover fixed charges and preferred stock dividends. The earnings deficiency is a result of the accelerated accretion of $4.0 billion recorded as a result of the repurchase of TARP Preferred Stock. The coverage deficiency for fixed charges and preferred dividends was $3.4 billion. | |
n/m = not meaningful |
1. |
I have reviewed this Quarterly Report on Form 10-Q of Bank of America Corporation;
|
||
2. |
Based on my knowledge, this report does not contain any untrue statement of a material
fact or omit to state a material fact necessary to make the statements made, in light of
the circumstances under which such statements were made, not misleading with respect to the
period covered by this report;
|
||
3. |
Based on my knowledge, the financial statements, and other financial information
included in this report, fairly present in all material respects the financial condition,
results of operations and cash flows of the registrant as of, and for, the periods
presented in this report;
|
||
4. |
The registrants other certifying officer(s) and I are responsible for establishing and
maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e)
and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act
Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a) |
Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to ensure
that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which this report is being prepared;
|
||
b) |
Designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision, to
provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with
generally accepted accounting principles;
|
||
c) |
Evaluated the effectiveness of the registrants disclosure controls and
procedures and presented in this report our conclusions about the effectiveness of
the disclosure controls and procedures, as of the end of the period covered by this
report based on such evaluation; and
|
||
d) |
Disclosed in this report any change in the registrants internal control
over financial reporting that occurred during the registrants most recent fiscal
quarter (the registrants fourth quarter fiscal quarter in the case of an annual
report) that has materially affected, or is reasonably likely to materially affect,
the registrants internal control over financial reporting; and
|
5. |
The registrants other certifying officer(s) and I have disclosed, based on our most
recent evaluation of internal control over financial reporting, to the registrants
auditors and the audit committee of the registrants board of directors (or persons
performing the equivalent functions):
|
a) |
All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably likely
to adversely affect the registrants ability to record, process, summarize and
report financial information; and
|
b) |
Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrants internal control over
financial reporting.
|
Date:
August 4, 2011
|
/s/ Brian T. Moynihan
Brian T. Moynihan Chief Executive Officer and President |
1. |
I have reviewed this Quarterly Report on Form 10-Q of Bank of America Corporation;
|
||
2. |
Based on my knowledge, this report does not contain any untrue statement of a material
fact or omit to state a material fact necessary to make the statements made, in light of
the circumstances under which such statements were made, not misleading with respect to the
period covered by this report;
|
||
3. |
Based on my knowledge, the financial statements, and other financial information
included in this report, fairly present in all material respects the financial condition,
results of operations and cash flows of the registrant as of, and for, the periods
presented in this report;
|
||
4. |
The registrants other certifying officer(s) and I are responsible for establishing and
maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e)
and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act
Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a) |
Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to ensure
that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which this report is being prepared;
|
||
b) |
Designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision, to
provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with
generally accepted accounting principles;
|
||
c) |
Evaluated the effectiveness of the registrants disclosure controls and
procedures and presented in this report our conclusions about the effectiveness of
the disclosure controls and procedures, as of the end of the period covered by this
report based on such evaluation; and
|
||
d) |
Disclosed in this report any change in the registrants internal control
over financial reporting that occurred during the registrants most recent fiscal
quarter (the registrants fourth quarter fiscal quarter in the case of an annual
report) that has materially affected, or is reasonably likely to materially affect,
the registrants internal control over financial reporting; and
|
5. |
The registrants other certifying officer(s) and I have disclosed, based on our most
recent evaluation of internal control over financial reporting, to the registrants
auditors and the audit committee of the registrants board of directors (or persons
performing the equivalent functions):
|
a) |
All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably likely
to adversely affect the registrants ability to record, process, summarize and
report financial information; and
|
||
b) |
Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrants internal control over
financial reporting.
|
Date:
August 4, 2011
|
/s/ Bruce R. Thompson
Bruce R. Thompson Chief Financial Officer |
1. |
I am the Chief Executive Officer of Bank of America
Corporation (the registrant).
|
||
2. |
I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section
906 of the Sarbanes-Oxley Act of 2002, that:
|
|
the Quarterly Report on Form 10-Q of the registrant for the quarter ended June
30, 2011 (the periodic report) containing financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934
(15 U.S.C. 78m or 78o(d)); and
|
||
|
the information contained in the periodic report fairly presents, in all material
respects, the financial condition and results of operations of the registrant as of,
and for, the periods presented.
|
Date:
August 4, 2011
|
/s/ Brian T. Moynihan
Brian T. Moynihan Chief Executive Officer and President |
1. |
I am the Chief Financial Officer of Bank of America Corporation (the registrant).
|
||
2. |
I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section
906 of the Sarbanes-Oxley Act of 2002, that:
|
|
the Quarterly Report on Form 10-Q of the registrant for the quarter ended June
30, 2011 (the periodic report) containing financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934
(15 U.S.C. 78m or 78o(d)); and
|
||
|
the information contained in the periodic report fairly presents, in all material
respects, the financial condition and results of operations of the registrant as of,
and for, the periods presented.
|
Date:
August 4, 2011
|
/s/ Bruce R. Thompson | |
|
Bruce R. Thompson | |
|
Chief Financial Officer |