Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 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 Consolidated Balance Sheets as of:
				Fair Value
		Notional		Derivative	Derivative
December 31, 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		262	2
Total fair value hedges				262	2
Cash flow hedges:
Interest rate floors related to C&I loans		3,000		69	-
Interest rate swaps related to C&I loans		8,000		15	27
Total cash flow hedges				84	27
Total derivatives designated as qualifying hedging instruments				346	29
Derivatives Not Designated as Qualifying Hedging Instruments
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio		10,045		40	14
Forward contracts related to residential mortgage loans held for sale		926		-	8
Swap associated with the sale of Visa, Inc. Class B Shares		2,174		-	125
Foreign exchange contracts		133		4	-
Total free-standing derivatives - risk management and other business purposes				44	147
Free-standing derivatives - customer accommodation:
Interest rate contracts		55,012		262	278
Interest rate lock commitments		407		7	-
Commodity contracts		6,511		307	278
TBA securities		18		-	-
Foreign exchange contracts		13,205		148	142
Total free-standing derivatives - customer accommodation				724	698
Total derivatives not designated as qualifying hedging instruments				768	845
Total			$	1,114	874

				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 Consolidated Statements of Income:
	Consolidated Statements of Income Caption
For the years ended December 31 ($ in millions)				2018	2017	2016
Change in fair value of interest rate swaps hedging long-term debt		Interest on long-term debt	$	(36)	(33)	(59)
Change in fair value of hedged long-term debt attributable to the risk being hedged		Interest on long-term debt		41	31	54

The following amounts were recorded in the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:
($ in millions)	Consolidated Balance Sheets Caption		December 31, 2018
Carrying amount of the hedged items	Long-term debt	$	3,991
Cumulative amount of fair value hedging adjustments included in the carrying
amount of the hedged items	Long-term debt		(254)

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

The following table presents the pre-tax net gains (losses) recorded in the Consolidated Statements of Income and in the Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
For the years ended December 31 ($ in millions)		2018	2017(a)	2016(a)
Amount of pre-tax net gains (losses) recognized in OCI	$	214	(11)	30
Amount of pre-tax net (losses) gains reclassified from OCI into net income		(2)	19	48

For both the years ended December 31, 2017 and 2016, the amount of pre-tax net losses recognized in OCI represented the effective portion of thecumulative gains or losses on cash flow hedges and ineffectiveness was reported within noninterest income. Upon the adoption of ASU 2017-12, the Bancorprecorded a cumulative effect adjustment to retained earnings effective January 1, 2018 related to the elimination of the separate measurement of ineffectiveness.Refer to Note 1 for additional information.

Net Gains (Losses) Relating to Free-Standing Derivative Instruments Used for Risk Management and Other Business Purposes

The net gains (losses) recorded in the Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:
	Consolidated Statements of Income Caption
For the years ended December 31 ($ in millions)				2018	2017	2016
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale		Mortgage banking net revenue	$	(8)	(17)	14
Interest rate contracts related to MSR portfolio		Mortgage banking net revenue		(21)	2	24
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes		Other noninterest income		10	(7)	2
Equity contracts:
Stock warrant associated with Worldpay Holding, LLC		Other noninterest income		-	-	73	(a)
Stock warrant		Other noninterest income		-	(1)	-
Swap associated with sale of Visa, Inc. Class B Shares		Other noninterest income		(59)	(80)	(56)

(a) The Bancorp recognized a net gain of $9 on the exercise of the remaining warrant during the fourth quarter of 2016

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:
At December 31 ($ in millions)		2018	2017
Pass	$	3,919	2,748
Special mention		79	66
Substandard		4	24
Total	$	4,002	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 Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:
	Consolidated Statements of
For the years ended December 31 ($ in millions)	Income Caption		2018	2017	2016
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	32	21	22
Interest rate contracts for customers (credit losses)	Other noninterest expense		-	(5)	-
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		-	2	1
Interest rate lock commitments	Mortgage banking net revenue		70	93	114
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		9	6	6
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		55	48	62
Foreign exchange contracts for customers (contract revenue)	Other noninterest income		14	-	-
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	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		Consolidated Balance Sheets
As of December 31, 2018 ($ in millions)	Consolidated Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	1,107	(410)	(348)		349
Total assets		1,107	(410)	(348)		349
Liabilities:
Derivatives		874	(410)	(123)		341
Total liabilities	$	874	(410)	(123)		341

(a) Amount does not include IRLCs because these instruments are not subject to master netting or similar arrangements.

(b) 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 Consolidated Balance Sheets were excluded from this table.

	Gross Amount		Gross Amounts Not Offset in the
	Recognized in the		Consolidated Balance Sheets
As of December 31, 2017 ($ in millions)	Consolidated 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 Consolidated Balance Sheets were excluded from this table.