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Derivative Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2017
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
NotionalDerivativeDerivative
March 31, 2017 ($ in millions)AmountAssetsLiabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt$2,955305-
Total fair value hedges305-
Cash flow hedges:
Interest rate swaps related to C&I loans4,475-18
Total cash flow hedges-18
Total derivatives designated as qualifying hedging instruments30518
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio10,60212922
Forward contracts related to residential mortgage loans held for sale1,63015
Swap associated with the sale of Visa, Inc. Class B Shares1,481-97
Foreign exchange contracts110--
Total free-standing derivatives - risk management and other business purposes130124
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers35,882190144
Interest rate lock commitments78016-
Commodity contracts2,1457980
TBAs36--
Foreign exchange contracts10,024126123
Total free-standing derivatives - customer accommodation411347
Total derivatives not designated as qualifying hedging instruments541471
Total$846489

Fair Value
NotionalDerivativeDerivative
December 31, 2016 ($ in millions)AmountAssetsLiabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt$3,45532312
Total fair value hedges32312
Cash flow hedges:
Interest rate swaps related to C&I loans4,47522-
Total cash flow hedges22-
Total derivatives designated as qualifying hedging instruments34512
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio10,52216539
Forward contracts related to residential mortgage loans held for sale1,823203
Swap associated with the sale of Visa, Inc. Class B Shares1,300-91
Foreign exchange contracts111--
Total free-standing derivatives - risk management and other business purposes185133
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers33,431205210
Interest rate lock commitments701131
Commodity contracts2,095107106
Foreign exchange contracts11,013202204
Total free-standing derivatives - customer accommodation527521
Total derivatives not designated as qualifying hedging instruments712654
Total$1,057666
Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships
The following table reflects the change in fair value of interest rate contracts, designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Condensed Consolidated Statements of Income:
Condensed ConsolidatedFor the three months
Statements of ended March 31,
($ in millions)Income Caption20172016
Change in fair value of interest rate swaps hedging long-term debtInterest on long-term debt$(21)83
Change in fair value of hedged long-term debt attributable to the risk being hedgedInterest on long-term debt21(85)
Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges
The following table presents the pretax net gains (losses) recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
For the three months ended
March 31,
($ in millions)20172016
Amount of pretax net (losses) gains recognized in OCI$(5)74
Amount of pretax net gains reclassified from OCI into net income814
Schedule of Price Risk Derivatives
The net (losses) gains recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:
Condensed ConsolidatedFor the three months
Statements ofended March 31,
($ in millions)Income Caption20172016
Interest rate contracts:
Forward contracts related to residential mortgage loans held for saleMortgage banking net revenue$(21)(11)
Interest rate contracts related to MSR portfolioMortgage banking net revenue(1)96
Foreign exchange contracts:
Foreign exchange contracts for risk management purposesOther noninterest income(1)(4)
Equity contracts:
Stock warrant associated with Vantiv Holding, LLCOther noninterest income-47
Swap associated with sale of Visa, Inc. Class B SharesOther noninterest income(13)1
Risk Ratings of the Notional Amount of Risk Participation Agreements
Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table as of:
March 31,December 31,
($ in millions)20172016
Pass$2,6042,447
Special mention814
Substandard116
Total$2,6232,467
Net Gains (Losses) Recognized in the Income Statement Related to Free-Standing Derivative Instruments Used For Customer Accomodation
The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:
For the three months
Condensed Consolidated ended March 31,
($ in millions)Statements of Income Caption20172016
Interest rate contracts:
Interest rate contracts for customers (contract revenue)Corporate banking revenue$57
Interest rate contracts for customers (credit portion of fair value adjustment)Other noninterest expense-(1)
Interest rate lock commitmentsMortgage banking net revenue2242
Commodity contracts:
Commodity contracts for customers (contract revenue)Corporate banking revenue11
Commodity contracts for customers (credit portion of fair value adjustment)Other noninterest expense1(1)
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)Corporate banking revenue1316
Foreign exchange contracts for customers (credit portion of fair value adjustment)Other noninterest expense1(2)
Offsetting Derivative Financial Instruments
The following tables provide a summary of offsetting derivative financial instruments:
Gross Amount Gross Amounts Not Offset in the
Recognized in the Condensed Consolidated Balance Sheets
Condensed Consolidated
As of March 31, 2017 ($ in millions) Balance Sheets(a)Derivatives Collateral(b) Net Amount
Assets:
Derivatives$830(225)(345)260
Total assets830(225)(345)260
Liabilities:
Derivatives489(225)(115)149
Total liabilities $489(225)(115)149

  • Amount does not include 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, 2016 ($ in millions)Balance Sheets(a)DerivativesCollateral(b) Net Amount
Assets:
Derivatives$1,044(374)(377)293
Total assets1,044(374)(377)293
Liabilities:
Derivatives665(374)(125)166
Total liabilities $665(374)(125)166

  • 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.