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Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2018

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, 2018 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,205		229	4
Total fair value hedges				229	4
Cash flow hedges:
Interest rate swaps related to C&I loans		6,150		1	15
Total cash flow hedges				1	15
Total derivatives designated as qualifying hedging instruments				230	19
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio		11,475		52	13
Forward contracts related to residential mortgage loans held for sale		1,450		-	4
Swap associated with the sale of Visa, Inc. Class B Shares		2,207		-	164
Foreign exchange contracts		153		2	-
Total free-standing derivatives - risk management and other business purposes				54	181
Free-standing derivatives - customer accommodation:
Interest rate contracts		48,949		247	280
Interest rate lock commitments		596		11	-
Commodity contracts		5,087		284	270
TBA securities		58		-	-
Foreign exchange contracts		10,842		119	109
Total free-standing derivatives - customer accommodation				661	659
Total derivatives not designated as qualifying hedging instruments				715	840
Total			$	945	859


				Fair Value
		Notional		Derivative	Derivative
December 31, 2017 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,705		297	5
Total fair value hedges				297	5
Cash flow hedges:
Interest rate swaps related to C&I loans		4,475		-	12
Total cash flow hedges				-	12
Total derivatives designated as qualifying hedging instruments				297	17
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio		11,035		54	15
Forward contracts related to residential mortgage loans held for sale		1,284		1	1
Stock warrant		20		20	-
Swap associated with the sale of Visa, Inc. Class B Shares		1,900		-	137
Foreign exchange contracts		112		-	1
Total free-standing derivatives - risk management and other business purposes				75	154
Free-standing derivatives - customer accommodation:
Interest rate contracts		42,216		154	145
Interest rate lock commitments		446		8	-
Commodity contracts		4,125		165	167
TBA securities		26		-	-
Foreign exchange contracts		12,654		124	119
Total free-standing derivatives - customer accommodation				451	431
Total derivatives not designated as qualifying hedging instruments				526	585
Total			$	823	602

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		2018	2017	2018	2017
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	(18)	14	(81)	(6)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		19	(15)	83	5


The following amounts were recorded in the Condensed Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:

	Condensed Consolidated
($ in millions)	Balance Sheets Caption		June 30, 2018
Carrying amount of the hedged item	Long-term debt	$	3,701
Cumulative amount of fair value hedging adjustments included in the carrying
amount of the hedged items	Long-term debt		(212)

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)		2018	2017^(a)	2018	2017^(a)
Amount of pretax net (losses) gains recognized in OCI	$	4	8	(5)	3
Amount of pretax net gains reclassified from OCI into net income		-	6	1	14

For both the three and six months ended June 30, 2017, the amount of pretax net losses recognized in OCI represented the effective portion of the cumulative gains or losses on cash flow hedges and ineffectiveness was reported within noninterest income. Upon the adoption of ASU 2017-12, the Bancorp recorded a cumulative effect adjustment to retained earnings effective January 1, 2018 related to the elimination of the separate measurement of ineffectiveness. Refer to Note 3 for additional information.

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		2018	2017	2018	2017
Interest rate contracts:
Forward contracts related to residential mortgage loans
held for sale	Mortgage banking net revenue	$	(3)	5	(4)	(16)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		(16)	16	(65)	15
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		3	(3)	5	(4)
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income		(10)	(9)	(49)	(22)

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)		2018	2017
Pass	$	3,590	2,748
Special mention		77	66
Substandard		10	24
Total	$	3,677	2,838

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		2018	2017	2018	2017
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	9	5	16	9
Interest rate lock commitments	Mortgage banking net revenue		22	26	35	48
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		2	1	4	2
Commodity contracts for customers (credit losses)	Other noninterest expense		-	1	-	1
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		(1)	-	(1)	-
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Corporate banking revenue		13	9	27	22
Foreign exchange contracts for customers (contract revenue)	Other noninterest income		7	-	5	-
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		-	-	1	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, 2018 ($ in millions)	Balance Sheets^(a)		Derivatives	Collateral^(b)	Net Amount
Assets:
Derivatives	$	934	(258)	(300)		376
Total assets		934	(258)	(300)		376

Liabilities:
Derivatives		859	(258)	(234)		367
Total liabilities	$	859	(258)	(234)		367

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, 2017 ($ in millions)	Balance Sheets^(a)		Derivatives	Collateral^(b)	Net Amount
Assets:
Derivatives	$	815	(213)	(362)		240
Total assets		815	(213)	(362)		240

Liabilities:
Derivatives		602	(213)	(155)		234
Total liabilities	$	602	(213)	(155)		234

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.

- 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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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