Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2013

The following tables reflect the notional amounts and fair values for all derivative instruments included in the Condensed Consolidated Balance Sheets as of:

				Fair Value
		Notional		Derivative	Derivative
September 30, 2013 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,205		345	11
Total fair value hedges				345	11
Cash flow hedges:
Interest rate swaps related to C&I loans		1,000		45	-
Total cash flow hedges				45	-
Total derivatives designated as qualifying hedging instruments				390	11
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes
Interest rate contracts related to MSRs		2,992		147	8
Forward contracts related to held for sale mortgage loans		4,068		12	44
Stock warrants associated with Vantiv Holding, LLC		569		293	-
Swap associated with the sale of Visa, Inc. Class B shares		812		-	35
Total free-standing derivatives - risk management and other business purposes				452	87
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		29,128		399	412
Interest rate lock commitments		1,433		25	1
Commodity contracts		3,330		83	82
Foreign exchange contracts		18,299		237	214
Total free-standing derivatives - customer accommodation				744	709
Total derivatives not designated as qualifying hedging instruments				1,196	796
Total			$	1,586	807


				Fair Value
		Notional		Derivative	Derivative
December 31, 2012 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,880		558	-
Total fair value hedges				558	-
Cash flow hedges:
Interest rate floors related to C&I loans		1,500		22	-
Interest rate swaps related to C&I loans		1,000		60	-
Interest rate caps related to long-term debt		500		-	-
Interest rate swaps related to long-term debt		250		-	1
Total cash flow hedges				82	1
Total derivatives designated as qualifying hedging instruments				640	1
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes
Interest rate contracts related to MSRs		10,177		219	-
Forward contracts related to held for sale mortgage loans		5,322		2	14
Stock warrants associated with Vantiv Holding, LLC		416		177	-
Swap associated with the sale of Visa, Inc. Class B shares		644		-	33
Total free-standing derivatives - risk management and other business purposes				398	47
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		27,354		586	602
Interest rate lock commitments		4,894		60	-
Commodity contracts		3,084		87	82
Foreign exchange contracts		17,297		201	183
Derivative instruments related to equity linked CDs		5		-	-
Total free-standing derivatives - customer accommodation				934	867
Total derivatives not designated as qualifying hedging instruments				1,332	914
Total			$	1,972	915

The following table reflects the change in fair value of interest rate contracts, designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Condensed Consolidated Statements of Income:

	Condensed Consolidated		For the three months		For the nine months
	Statements of		ended September 30,		ended September 30,
($ in millions)	Income Caption		2013	2012	2013	2012
Interest rate contracts:
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	(30)	(35)	(223)	(56)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		30	44	220	59

The following table presents the net gains recorded in the Condensed Consolidated Statements of Income and accumulated other comprehensive income in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:

		For the three months		For the nine months
		ended September 30,		ended September 30,
($ in millions)		2013	2012	2013	2012
Amount of net gains recognized in OCI	$	9	10	8	35
Amount of net gains reclassified from OCI into net income		6	22	37	63

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:

	Condensed Consolidated		For the three months		For the nine months
	Statements of		ended September 30,		ended September 30,
($ in millions)	Income Caption		2013	2012	2013	2012
Interest rate contracts:
Forward contracts related to mortgage loans held for sale	Mortgage banking net revenue	$	(191)	(59)	(20)	(42)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		24	32	(13)	75
Interest rate swaps related to long-term debt	Other noninterest income		-	1	-	2
Foreign exchange contracts:
Foreign exchange contracts for trading purposes	Other noninterest income		(2)	(1)	3	(1)
Equity contracts:
Stock warrants associated with Vantiv Holding, LLC	Other noninterest income		6	(16)	116	85
Put options associated with sale of the processing business	Other noninterest income		-	-	-	1
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(2)	(1)	(13)	(30)

Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table:

		September 30,	December 31,
As of ($ in millions)		2013	2012
Pass	$	1,157	993
Special mention		37	-
Substandard		13	13
Doubtful		-	-
Total	$	1,207	1,006

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:

			For the three months		For the nine months
	Condensed Consolidated		ended September 30,		ended September 30,
($ in millions)	Statements of Income Caption		2013	2012	2013	2012
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	8	7	22	20
Interest rate contracts for customers (credit losses)	Other noninterest expense		-	(1)	(3)	(2)
Interest rate contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	2	4	5
Interest rate lock commitments	Mortgage banking net revenue		43	166	41	341
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		1	1	5	6
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	1	-	1
Foreign exchange contracts:
Foreign exchange contracts - customers (contract revenue)	Corporate banking revenue		14	16	52	49
Foreign exchange contracts - customers (credit portion of
fair value adjustment)	Other noninterest expense		-	1	(2)	2