Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Financial Instruments

Notional Amounts and Fair Values for All Derivative Instruments Included in the Consolidated Balance Sheets

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, 2015 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,705		414	-
Total fair value hedges				414	-
Cash flow hedges:
Interest rate swaps related to C&I loans		5,475		94	-
Total cash flow hedges				94	-
Total derivatives designated as qualifying hedging instruments				508	-
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSRs		7,657		294	34
Forward contracts related to held for sale residential mortgage loans		1,392		1	10
Stock warrant associated with Vantiv Holding, LLC		915		630	-
Swap associated with the sale of Visa, Inc. Class B shares		1,161		-	58
Total free-standing derivatives - risk management and other business purposes				925	102
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		29,480		327	335
Interest rate lock commitments		831		19	-
Commodity contracts		3,121		309	299
Foreign exchange contracts		18,500		464	409
Total free-standing derivatives - customer accommodation				1,119	1,043
Total derivatives not designated as qualifying hedging instruments				2,044	1,145
Total			$	2,552	1,145

				Fair Value
		Notional		Derivative	Derivative
December 31, 2014 ($ in millions)		Amount		Assets	Liabilities
Qualifying hedging instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,205		399	-
Total fair value hedges				399	-
Cash flow hedges:
Interest rate swaps related to C&I loans		3,150		36	-
Total cash flow hedges				36	-
Total derivatives designated as qualifying hedging instruments				435	-
Derivatives not designated as qualifying hedging instruments
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSRs		4,487		181	-
Forward contracts related to held for sale residential mortgage loans		999		-	6
Stock warrant associated with Vantiv Holding, LLC		691		415	-
Swap associated with the sale of Visa, Inc. Class B shares		1,092		-	49
Total free-standing derivatives - risk management and other business purposes				596	55
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		29,558		272	278
Interest rate lock commitments		613		12	-
Commodity contracts		3,558		348	338
Foreign exchange contracts		16,745		417	372
Total free-standing derivatives - customer accommodation				1,049	988
Total derivatives not designated as qualifying hedging instruments				1,645	1,043
Total			$	2,080	1,043

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships

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		2015	2014	2015	2014
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	64	(16)	15	48
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		(65)	16	(18)	(51)

Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges

The following table presents the pretax net gains (losses) recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
		For the three months ended		For the nine months ended
		September 30,		September 30,
($ in millions)		2015	2014	2015	2014
Amount of pretax net gains (losses) recognized in OCI	$	65	(4)	109	30
Amount of pretax net gains reclassified from OCI into net income		20	10	55	31

Schedule of Price Risk Derivatives

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		2015	2014	2015	2014
Interest rate contracts:
Forward contracts related to residential mortgage loans
held for sale	Mortgage banking net revenue	$	(15)	9	(4)	(14)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		85	(22)	119	40
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		6	9	19	8
Equity contracts:
Stock warrant associated with Vantiv Holding, LLC	Other noninterest income		130	(53)	215	(25)
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(8)	(3)	(27)	(18)

Risk Ratings of the Notional Amount of Risk Participation Agreements

Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table as of:
		September 30,	December 31,
($ in millions)		2015	2014
Pass	$	1,700	1,052
Special mention		5	59
Substandard		7	2
Total	$	1,712	1,113

Net Gains (Losses) Recognized in the Income Statement Related to Free-Standing Derivative Instruments Used For Customer Accomodation

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		2015	2014	2015	2014
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	7	5	18	14
Interest rate contracts for customers (credit losses)	Other noninterest expense		-	-	(1)	(1)
Interest rate contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		(1)	1	(1)	2
Interest rate lock commitments	Mortgage banking net revenue		38	18	90	92
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		1	2	4	5
Commodity contracts for customers (credit losses)	Other noninterest expense		-	-	(2)	-
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	1	6	-
Foreign exchange contracts:
Foreign exchange contracts - customers (contract revenue)	Corporate banking revenue		17	19	55	51
Foreign exchange contracts - customers (credit portion of
fair value adjustment)	Other noninterest expense		-	(1)	-	1

Offsetting Derivative Financial Instruments

	Gross Amount		Gross Amounts Not Offset in the
	Recognized in the		Condensed Consolidated Balance Sheets
As of September 30, 2015 ($ in millions)	Condensed Consolidated Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets
Derivatives	$	1,903	(604)	(750)		549
Total assets		1,903	(604)	(750)		549
Liabilities
Derivatives		1,145	(604)	(234)		307
Total liabilities	$	1,145	(604)	(234)		307

• Amount does not include the stock warrantassociated with Vantiv Holding, LLC andIRLCs because these instruments are not subject to master netting or similar arrangements.
• Amount of collateral received as an offset to asset positions or pledged as an offset to liability positions. Collateral values in excess of related derivative amounts recognized in the Condensed Consolidated Balance Sheets were excluded from this table.

	Gross Amount		Gross Amounts Not Offset in the
	Recognized in the		Condensed Consolidated Balance Sheets
As of December 31, 2014 ($ in millions)	Condensed Consolidated Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets
Derivatives	$	1,653	(440)	(684)		529
Total assets		1,653	(440)	(684)		529
Liabilities
Derivatives		1,043	(440)	(293)		310
Total liabilities	$	1,043	(440)	(293)		310

• Amount does not include the stock warrantassociated with Vantiv Holding, LLC andIRLCs because these instruments are not subject to master netting or similar arrangements.
• Amount of collateral received as an offset to asset positions or pledged as an offset to liability positions. Collateral values in excess of related derivative amounts recognized in the Condensed Consolidated Balance Sheets were excluded from this table.