Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

The following table presents the notional amounts and gross fair values of all derivative assets and liabilities held by us.

Table 59: Total Gross Derivatives

	September 30, 2017								December 31, 2016
In millions	Notional / Contract Amount		Asset Fair Value (a)			Liability Fair Value (b)			Notional / Contract Amount		Asset Fair Value (a)			Liability Fair Value (b)
Derivatives used for hedging under GAAP
Interest rate contracts (c):
Fair value hedges (d)	$	32,820	$	165		$	62		$	34,010	$	551		$	214
Cash flow hedges (d)	22,383		83			2			20,831		313			71
Foreign exchange contracts:
Net investment hedges	1,038					51			945		25
Total derivatives designated for hedging	$	56,241	$	248		$	115		$	55,786	$	889		$	285
Derivatives not used for hedging under GAAP
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps (d)	$	50,902	$	337		$	141		$	49,071	$	783		$	505
Futures (f)	37,396								36,264
Mortgage-backed commitments	10,074		27			20			13,317		96			56
Other	25,031		13			9			31,907		28			4
Subtotal	123,403		377			170			130,559		907			565
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps (d)	190,003		2,125			1,730			173,777		2,373			2,214
Futures (f)	3,670								4,053
Mortgage-backed commitments	2,649		4			3			2,955		10			8
Other	19,189		83			33			16,203		55			53
Subtotal	215,511		2,212			1,766			196,988		2,438			2,275
Foreign exchange contracts and other	24,569		246			244			21,889		342			309
Subtotal	240,080		2,458			2,010			218,877		2,780			2,584
Derivatives used for other risk management activities:
Foreign exchange contracts and other (g)	6,785		10			313			5,581		40			405
Total derivatives not designated for hedging	$	370,268	$	2,845		$	2,493		$	355,017	$	3,727		$	3,554
Total gross derivatives	$	426,509	$	3,093		$	2,608		$	410,803	$	4,616		$	3,839
Less: Impact of legally enforceable master netting agreements (d)			(1,373		)	(1,373		)			(2,460		)	(2,460		)
Less: Cash collateral received/paid (d)			(397		)	(691		)			(657		)	(484		)
Total derivatives			$	1,323		$	544				$	1,499		$	895

(a) Included in Other assets on our Consolidated Balance Sheet.

(b) Included in Other liabilities on our Consolidated Balance Sheet.

(c) Represents primarily swaps.

(d) In the first quarter of 2017, PNC changed its accounting treatment for variation margin related to certain derivative instruments cleared through a central clearing house. Previously, variation margin was treated as collateral subject to offsetting. As a result of changes made by the clearing house to its rules governing such instruments with its counterparties, effective for the first quarter of 2017, variation margin will be treated as a settlement payment on the derivative instrument. The impact at September 30, 2017 was a reduction of gross derivative assets and gross derivative liabilities of $.8 billion and $.7 billion, respectively. The accounting change had no impact on the net fair value of the derivative assets and liabilities that otherwise would have been reported on our Consolidated Balance Sheet. See Table 63 for more information.

(e) Includes both residential and commercial mortgage banking activities.

(f) Futures contracts settle in cash daily and, therefore, no derivative asset or derivative liability is recognized on our Consolidated Balance Sheet.

(g) Includes our obligation to fund a portion of certain BlackRock LTIP programs and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Gains (Losses) on Derivatives and Related Hedged Items - Fair Value Hedges

Table 60: Gains (Losses) on Derivatives and Related Hedged Items – Fair Value Hedges

			Three months ended												Nine months ended
			September 30, 2017						September 30, 2016						September 30, 2017					September 30, 2016
In millions	Hedged Items	Location	Gain (Loss) on Derivatives Recognized in Income			Gain (Loss) on Related Hedged Items Recognized in Income			Gain (Loss) on Derivatives Recognized in Income			Gain (Loss) on Related Hedged Items Recognized in Income			Gain (Loss) on Derivatives Recognized in Income			Gain (Loss) on Related Hedged Items Recognized in Income		Gain (Loss) on Derivatives Recognized in Income			Gain (Loss) on Related Hedged Items Recognized in Income
Interest rate     contracts	U.S. Treasury and Government  Agencies and Other Debt Securities	Investment securities (interest income)	$	9		$	(8	)	$	51		$	(53	)	$	(3	)	$	4	$	(158	)	$	161
Interest rate     contracts	Subordinated Debt and Bank Notes and Senior Debt	Borrowed funds (interest expense)	(56		)	50			(232		)	231			(84		)	61		330			(369		)
Total (a)			$	(47	)	$	42		$	(181	)	$	178		$	(87	)	$	65	$	172		$	(208	)

(a) The difference between the gains (losses) recognized in income on derivatives and their related hedged items represents the ineffective portion of the change in value of our fair value hedge derivatives.

Gains (Losses) on Derivatives and Related Cash Flows - Cash Flow Hedges

Further detail regarding gains (losses) on derivatives and related cash flows is presented in the following table:

Table 61: Gains (Losses) on Derivatives and Related Cash Flows – Cash Flow Hedges (a) (b)

	Three months ended September 30						Nine months ended September 30
In millions	2017			2016			2017			2016
Gains (losses) on derivatives     recognized in OCI – (effective     portion)	$	(2	)	$	(63	)	$	15		$	328
Less: Gains (losses) reclassified     from accumulated OCI into     income – (effective portion)
Interest income	43			61			144			190
Noninterest income	2			1			5
Total gains (losses) reclassified     from accumulated OCI into     income – (effective portion)	$	45		$	62		$	149		$	190
Net unrealized gains (losses)     on cash flow hedge derivatives	$	(47	)	$	(125	)	$	(134	)	$	138

(a) All cash flow hedge derivatives are interest rate contracts as of September 30, 2017 and September 30, 2016.

(b) The amount of cash flow hedge ineffectiveness recognized in income was not significant for the periods presented.

Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP

Table 62: Gains (Losses) on Derivatives Not Designated for Hedging under GAAP

	Three months ended September 30					Nine months ended September 30
In millions	2017			2016		2017			2016
Derivatives used for mortgage     banking activities:
Interest rate contracts (a)	$	19		$	18	$	92		$	431
Derivatives used for customer-     related activities:
Interest rate contracts	$	10		$	23	$	63		$	20
Foreign exchange contracts and     other	38			26		110			72
Gains (losses) from customer-     related activities (b)	$	48		$	49	$	173		$	92
Derivatives used for other risk     management activities:
Foreign exchange contracts and     other (c)	$	(101	)	$	4	$	(257	)	$	(91	)
Gains (losses) from other risk     management activities (b)	$	(101	)	$	4	$	(257	)	$	(91	)
Total gains (losses) from     derivatives not designated as     hedging instruments	$	(34	)	$	71	$	8		$	432

(a) Included in Residential mortgage, Corporate services and Other noninterest income.

(b) Included in Other noninterest income.

(c) Includes BlackRock LTIP funding obligation and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Derivative Assets And Liabilities Offsetting

Table 63: Derivative Assets and Liabilities Offsetting

September 30, 2017 In millions			Amounts Offset on the Consolidated Balance Sheet							Securities Collateral Held / (Pledged) Under Master Netting Agreements
	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Fair Value					Net Amounts
Derivative assets
Interest rate contracts:
Over-the-counter cleared (a)	$	472	$	177	$	261	$	34				$	34
Exchange-traded	3						3					3
Over-the-counter	2,362		1,080		133		1,149			$	65	1,084
Foreign exchange and other contracts	256		116		3		137					137
Total derivative assets	$	3,093	$	1,373	$	397	$	1,323	(b)	$	65	$	1,258
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared (a)	$	196	$	177			$	19				$	19
Exchange-traded
Over-the-counter	1,804		1,027		$	590	187					187
Foreign exchange and other contracts	608		169		101		338					338
Total derivative liabilities	$	2,608	$	1,373	$	691	$	544	(c)			$	544
December 31, 2016
In millions
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	1,498	$	940	$	480	$	78				$	78
Exchange-traded	9						9					9
Over-the-counter	2,702		1,358		164		1,180			$	62	1,118
Foreign exchange and other contracts	407		162		13		232					232
Total derivative assets	$	4,616	$	2,460	$	657	$	1,499	(b)	$	62	$	1,437
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	1,060	$	940	$	25	$	95				$	95
Exchange-traded	1						1					1
Over-the-counter	2,064		1,395		431		238					238
Foreign exchange and other contracts	714		125		28		561					561
Total derivative liabilities	$	3,839	$	2,460	$	484	$	895	(c)			$	895

(a) Reflects our first quarter 2017 change in accounting treatment for variation margin for certain derivative instruments cleared through a central clearing house. The accounting change reduced the asset and liability gross fair values with corresponding reductions to the fair value and cash collateral offsets, resulting in no changes to the net fair value amounts.

(b) Represents the net amount of derivative assets included in Other assets on our Consolidated Balance Sheet.

(c) Represents the net amount of derivative liabilities included in Other liabilities on our Consolidated Balance Sheet.