Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2016

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
June 30, 2016 ($ in millions)		Amount		Assets	Liabilities
Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,705		492	-
Total fair value hedges				492	-
Cash flow hedges:
Interest rate swaps related to C&I loans		4,475		113	-
Total cash flow hedges				113	-
Total derivatives designated as qualifying hedging instruments				605	-
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSRs		8,407		392	73
Forward contracts related to held for sale residential mortgage loans		1,713		-	17
Stock warrant associated with Vantiv Holding, LLC		441		327	-
Swap associated with the sale of Visa, Inc. Class B shares		1,236		-	99
Foreign exchange contracts		214		1	2
Total free-standing derivatives - risk management and other business purposes				720	191
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		31,777		405	414
Interest rate lock commitments		1,185		34	-
Commodity contracts		2,091		137	123
Foreign exchange contracts		13,745		278	251
Total free-standing derivatives - customer accommodation				854	788
Total derivatives not designated as qualifying hedging instruments				1,574	979
Total			$	2,179	979

				Fair Value
		Notional		Derivative	Derivative
December 31, 2015 ($ in millions)		Amount		Assets	Liabilities
Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,705		372	2
Total fair value hedges				372	2
Cash flow hedges:
Interest rate swaps related to C&I loans		5,475		39	-
Total cash flow hedges				39	-
Total derivatives designated as qualifying hedging instruments				411	2
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSRs		11,657		239	9
Forward contracts related to held for sale residential mortgage loans		1,330		3	1
Stock warrant associated with Vantiv Holding, LLC		369		262	-
Swap associated with the sale of Visa, Inc. Class B shares		1,292		-	61
Total free-standing derivatives - risk management and other business purposes				504	71
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		29,889		242	249
Interest rate lock commitments		721		15	-
Commodity contracts		2,464		294	276
Foreign exchange contracts		16,243		386	340
Total free-standing derivatives - customer accommodation				937	865
Total derivatives not designated as qualifying hedging instruments				1,441	936
Total			$	1,852	938

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:
			For the three months		For the six months
	Condensed Consolidated		ended June 30,		ended June 30,
($ in millions)	Statements of Income Caption		2016	2015	2016	2015
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	39	(90)	122	(49)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		(41)	90	(126)	48

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 six months ended
		June 30,		June 30,
($ in millions)		2016	2015	2016	2015
Amount of pretax net gains (losses) recognized in OCI	$	26	(8)	100	44
Amount of pretax net gains reclassified from OCI into net income		12	19	26	35

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:
			For the three months		For the six months
	Condensed Consolidated		ended June 30,		ended June 30,
($ in millions)	Statements of Income Caption		2016	2015	2016	2015
Interest rate contracts:
Forward contracts related to residential mortgage loans
held for sale	Mortgage banking net revenue	$	(9)	11	(19)	12
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		51	(30)	149	35
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		(1)	(1)	(4)	13
Equity contracts:
Stock warrant associated with Vantiv Holding, LLC	Other noninterest income		19	14	66	85
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(50)	(2)	(50)	(19)

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:
		June 30,	December 31,
($ in millions)		2016	2015
Pass	$	2,361	1,650
Special mention		14	7
Substandard		2	7
Total	$	2,377	1,664

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 six months
	Condensed Consolidated		ended June 30,		ended June 30,
($ in millions)	Statements of Income Caption		2016	2015	2016	2015
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	5	4	12	11
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	(2)	-
Interest rate lock commitments	Mortgage banking net revenue		42	17	84	52
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		2	2	3	3
Commodity contracts for customers (credit losses)	Other noninterest expense		(1)	-	(1)	(2)
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		2	1	1	6
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Corporate banking revenue		16	18	32	39
Foreign exchange contracts for customers (credit losses)	Other noninterest expense		(2)	-	(2)	-
Foreign exchange contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		2	1	-	-

Offsetting Derivative Financial Instruments

The following tables provide a summary of offsetting derivative financial instruments:
	Gross Amount		Gross Amounts Not Offset in the
	Recognized in the		Condensed Consolidated Balance Sheets
	Condensed Consolidated
As of June 30, 2016 ($ in millions)	Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	1,818	(674)	(589)		555
Total assets		1,818	(674)	(589)		555
Liabilities:
Derivatives		979	(674)	(145)		160
Total liabilities	$	979	(674)	(145)		160

• Amount does not include the stock warrant associated 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
	Condensed Consolidated
As of December 31, 2015 ($ in millions)	Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	1,575	(512)	(627)		436
Total assets		1,575	(512)	(627)		436
Liabilities:
Derivatives		938	(512)	(173)		253
Total liabilities	$	938	(512)	(173)		253

• Amount does not include the stock warrant associated 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.