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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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, 2016 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,455		473	-
Total fair value hedges				473	-
Cash flow hedges:
Interest rate swaps related to C&I loans		4,475		83	-
Total cash flow hedges				83	-
Total derivatives designated as qualifying hedging instruments				556	-
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSRs		10,397		332	50
Forward contracts related to residential mortgage loans held for sale		2,033		-	8
Stock warrant associated with Vantiv Holding, LLC		438		325	-
Swap associated with the sale of Visa, Inc. Class B shares		1,378		-	103
Foreign exchange contracts		168		-	-
Total free-standing derivatives - risk management and other business purposes				657	161
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		32,218		339	346
Interest rate lock commitments		1,215		33	-
Commodity contracts		1,800		111	99
Foreign exchange contracts		12,545		194	186
Total free-standing derivatives - customer accommodation				677	631
Total derivatives not designated as qualifying hedging instruments				1,334	792
Total			$	1,890	792


				Fair Value
		Notional		Derivative	Derivative
December 31, 2015 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as 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 residential mortgage loans held for sale		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 nine months
	Condensed Consolidated		ended September 30,		ended September 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	$	(19)	64	103	15
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		17	(65)	(109)	(18)

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)		2016	2015	2016	2015
Amount of pretax net gains (losses) recognized in OCI	$	(23)	65	77	109
Amount of pretax net gains reclassified from OCI into net income		11	20	37	55

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 nine months
	Condensed Consolidated		ended September 30,		ended September 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	(15)	(10)	(4)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		(16)	85	133	119
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		2	6	(3)	19
Equity contracts:
Stock warrant associated with Vantiv Holding, LLC	Other noninterest income		(2)	130	64	215
Swap associated with sale of Visa, Inc. Class B shares	Other noninterest income		(12)	(8)	(61)	(27)

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)		2016	2015
Pass	$	2,463	1,650
Special mention		8	7
Substandard		2	7
Total	$	2,473	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 nine months
	Condensed Consolidated		ended September 30,		ended September 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	7	17	18
Interest rate contracts for customers (credit losses)	Other noninterest expense		-	-	-	(1)
Interest rate contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		1	(1)	(2)	(1)
Interest rate lock commitments	Mortgage banking net revenue		42	38	126	90
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		1	1	4	4
Commodity contracts for customers (credit losses)	Other noninterest expense		-	-	(1)	(2)
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	-	1	6
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Corporate banking revenue		13	17	44	55
Foreign exchange contracts for customers (credit losses)	Other noninterest expense		-	-	(2)	-

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 September 30, 2016 ($ in millions)	Balance Sheets^(a)		Derivatives	Collateral^(b)	Net Amount
Assets:
Derivatives	$	1,532	(517)	(551)		464
Total assets		1,532	(517)	(551)		464

Liabilities:
Derivatives		792	(517)	(173)		102
Total liabilities	$	792	(517)	(173)		102

Amount does not include the stock warrant associated with Vantiv Holding, LLC and IRLCs 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 and IRLCs 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.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41641-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624163-113959

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41678-113959

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41638-113959

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5580258-113959

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579245-113959

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579240-113959

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41620-113959

Reference 10: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08.(n)(2))
-URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690

+ Details