Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,455		203	9
Total fair value hedges				203	9
Cash flow hedges:
Interest rate swaps related to C&I loans		6,150		2	17
Total cash flow hedges				2	17
Total derivatives designated as qualifying hedging instruments				205	26
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio		13,745		49	15
Forward contracts related to residential mortgage loans held for sale		955		4	-
Swap associated with the sale of Visa, Inc. Class B Shares		2,473		-	144
Total free-standing derivatives - risk management and other business purposes				53	159
Free-standing derivatives - customer accommodation:
Interest rate contracts		53,651		280	322
Interest rate lock commitments		397		7	-
Commodity contracts		5,818		315	296
TBA securities		20		-	-
Foreign exchange contracts		12,940		124	110
Total free-standing derivatives - customer accommodation				726	728
Total derivatives not designated as qualifying hedging instruments				779	887
Total			$	984	913

				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 nine months
	Condensed Consolidated		ended September 30,		ended September 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	$	(29)	(6)	(110)	(13)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		31	5	113	11

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		September 30, 2018
Carrying amount of the hedged item	Long-term debt	$	3,917
Cumulative amount of fair value hedging adjustments included in the carrying
amount of the hedged items	Long-term debt		(182)

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

The following table presents the pretax net (losses) gains 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)		2018	2017(a)	2018	2017(a)
Amount of pretax net (losses) gains recognized in OCI	$	(25)	-	(31)	3
Amount of pretax net (losses) gains reclassified from OCI into net income		(2)	3	(2)	17

For both the three and nine months ended September 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 nine months
	Condensed Consolidated		ended September 30,		ended September 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	$	7	(1)	4	(17)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		(24)	1	(89)	16
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		(1)	(4)	3	(8)
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income		(17)	(47)	(66)	(69)

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)		2018	2017
Pass	$	3,852	2,748
Special mention		69	66
Substandard		10	24
Total	$	3,931	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 nine months
	Condensed Consolidated		ended September 30,		ended September 30,
($ in millions)	Statements of Income Caption		2018	2017	2018	2017
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	7	5	23	15
Interest rate lock commitments	Mortgage banking net revenue		17	27	52	76
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		3	1	7	4
Commodity contracts for customers (credit losses)	Other noninterest expense		-	-	-	1
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	-	(1)	-
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Corporate banking revenue		16	11	43	33
Foreign exchange contracts for customers (contract revenue)	Other noninterest income		3	-	8	-
Foreign exchange contracts for customers (credit losses)	Other noninterest expense		-	-	-	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 September 30, 2018 ($ in millions)	Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	977	(287)	(260)		430
Total assets		977	(287)	(260)		430
Liabilities:
Derivatives		913	(287)	(232)		394
Total liabilities	$	913	(287)	(232)		394

• 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.