Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2012

Derivatives Total Notional or Contractual Amounts and Fair Values


Table 115: Derivatives Total Notional or Contractual Amounts and Fair Values

					September 30, 2012						December 31, 2011
					Notional/		Asset		Liability		Notional/		Asset		Liability
					Contract		Fair		Fair		Contract		Fair		Fair
In millions					Amount		Value (a)		Value (b)		Amount		Value (a)		Value (b)
Derivatives designated as hedging instruments under GAAP
	Interest rate contracts:
		Cash flow hedges:
			Receive fixed swaps (c)	$	$13,770	$	562			$	13,902	$	529
			Forward purchase commitments		1,229		32				2,733		43
			Subtotal	$	14,999	$	594			$	16,635	$	572
		Fair value hedges:
			Receive fixed swaps (c)	$	11,000	$	1,428			$	10,476	$	1,316
			Pay fixed swaps (c) (d)		2,233		1	$	154		1,797			$	116
			Subtotal	$	13,233	$	1,429	$	154	$	12,273	$	1,316	$	116
	Foreign exchange contracts:
		Net investment hedge			597				18		326
Total derivatives designated as hedging instruments				$	28,829	$	2,023	$	172	$	29,234	$	1,888	$	116
Derivatives not designated as hedging instruments under GAAP
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts:
		Swaps		$	83,142	$	2,855	$	2,404	$	98,406	$	3,127	$	2,673
		Swaptions			6,309		220		131		10,312		216		167
		Futures			46,281						63,616
		Future options			40,900		17		6		8,000
		Residential mortgage loan commitments			3,749		33		5		5,287		47		14
			Subtotal	$	180,381	$	3,125	$	2,546	$	185,621	$	3,390	$	2,854
Loan sales
	Interest rate contracts:
		Futures		$	820					$	634
		Bond options			1,400	$	2				1,250	$	3
		Residential mortgage loan commitments			13,075		161	$	99		9,486		65	$	39
			Subtotal	$	15,295	$	163	$	99	$	11,370	$	68	$	39
			Subtotal	$	195,676	$	3,288	$	2,645	$	196,991	$	3,458	$	2,893
Derivatives used for commercial mortgage banking activities
	Interest rate contracts:
		Swaps		$	1,222	$	61	$	92	$	1,180	$	43	$	77
		Swaptions									450		3
		Futures			2,000
		Future options			200		2
		Commercial mortgage loan commitments			1,090		13		13		995		8		3
			Subtotal	$	4,512	$	76	$	105	$	2,625	$	54	$	80
	Credit contracts:
		Credit default swaps			95		2				95		5
			Subtotal	$	4,607	$	78	$	105	$	2,720	$	59	$	80
Derivatives used for customer-related activities:
	Interest rate contracts:
		Swaps		$	124,095	$	4,146	$	4,233	$	122,088	$	3,649	$	3,863
		Caps/floors - Sold			4,241				2		5,861				6
		Caps/floors - Purchased			4,151		20				5,601		19
		Swaptions			2,161		97		41		1,713		136		73
		Futures			9,229						6,982
		Residential mortgage loan commitments			2,366		9		11		487				1
			Subtotal	$	146,243	$	4,272	$	4,287	$	142,732	$	3,804	$	3,943
	Foreign exchange contracts				12,732		157		162		11,920		231		222
	Equity contracts				146		1		4		184		5		8
	Credit contracts:
		Risk participation agreements			3,359		7		6		3,259		6		5
			Subtotal	$	162,480	$	4,437	$	4,459	$	158,095	$	4,046	$	4,178
Derivatives used for other risk management activities:
	Interest rate contracts:
		Swaps		$	623	$	4			$	1,704	$	5	$	39
		Swaptions									225		1
		Futures			351						1,740
			Subtotal	$	974	$	4			$	3,669	$	6	$	39
	Foreign exchange contracts				38			$	4		25				4
	Equity contracts				11		3		3
	Credit contracts:
		Credit default swaps			15						209		6
	Other contracts (e)				624				308		386				296
			Subtotal	$	1,662	$	7	$	315	$	4,289	$	12	$	339
Total derivatives not designated as hedging instruments				$	364,425	$	7,810	$	7,524	$	362,095	$	7,575	$	7,490
Total Gross Derivatives				$	393,254	$	9,833	$	7,696	$	391,329	$	9,463	$	7,606
Less: Legally enforceable master netting agreements							6,071		6,071				6,052		6,052
Less: Cash collateral							987		967				1,051		843
Total Net Derivatives						$	2,775	$	658			$	2,360	$	711
(a)		Included in Other assets on our Consolidated Balance Sheet.
(b)		Included in Other liabilities on our Consolidated Balance Sheet.
(c)		The floating rate portion of interest rate contracts is based on money-market indices. As a percent of notional amount, 54% were based on 1-month LIBOR and 46% on 3-month LIBOR at September 30, 2012 compared with 57% and 43%, respectively, at December 31, 2011.
(d)		Includes zero-coupon swaps.
(e)		Includes PNC's obligation to fund a portion of certain BlackRock LTIP programs, a forward purchase commitment for certain loans upon conversion from a variable rate to a fixed rate, and the swap entered into in connection with the sale of a portion of Visa Class B common shares.

Derivatives Designated in GAAP Hedge Relationships - Fair Value Hedges

Gains (losses) on derivative instruments and related hedged items follow:

Table 116: Derivatives Designated in GAAP Hedge Relationships - Fair Value Hedges

September 30, 2012

September 30, 2011

Gain (Loss)

Gain

on Related

Gain

on Related

(Loss) on

Hedged

(Loss) on

Hedged

Derivatives

Items

Derivatives

Items

Recognized

Nine months ended

in Income

In millions

Hedged Items

Location

Amount

Interest rate contracts

US Treasury and

Investment securities

Government Agencies

(interest income)

Securities

(40)

(154)

161

Interest rate contracts

Other Debt Securities

Investment securities

(interest income)

(3)

(24)

Interest rate contracts

Subordinated debt

Borrowed funds

(interest expense)

(43)

223

(236)

Interest rate contracts

Bank notes and

Borrowed funds

senior debt

(interest expense)

113

(123)

269

(278)

Total

(126)

314

(329)

September 30, 2012

September 30, 2011

Gain (Loss)

Gain

on Related

Gain

on Related

(Loss) on

Hedged

(Loss) on

Hedged

Derivatives

Items

Derivatives

Items

Recognized

Three months ended

in Income

In millions

Hedged Items

Location

Amount

Interest rate contracts

US Treasury and

Investment securities

Government Agencies

(interest income)

Securities

(11)

(129)

135

Interest rate contracts

Other Debt Securities

Investment securities

(interest income)

(1)

(15)

Interest rate contracts

Subordinated debt

Borrowed funds

(interest expense)

(19)

193

(193)

Interest rate contracts

Bank notes and

Borrowed funds

senior debt

(interest expense)

(43)

221

(220)

Total

(50)

270

(263)

Derivatives Designated in GAAP Hedge Relationships - Cash Flow Hedges

Table 117: Derivatives Designated in GAAP Hedge Relationships - Cash Flow Hedges

		Gain (Loss) on Derivatives		Gain (Loss) Reclassified from Accumulated			Gain (Loss) Recognized in Income
Nine months ended		Recognized in OCI		OCI into Income			on Derivatives
In millions		(Effective Portion)		(Effective Portion)			(Ineffective Portion)
				Location	Amount		Location	Amount
September 30, 2012	Interest rate contracts	$	310	Interest income	$	345	Interest income
				Noninterest income		72
September 30, 2011	Interest rate contracts	$	703	Interest income	$	332	Interest income
				Noninterest income		41

		Gain (Loss) on Derivatives		Gain (Loss) Reclassified from Accumulated			Gain (Loss) Recognized in Income
Three months ended		Recognized in OCI		OCI into Income			on Derivatives
In millions		(Effective Portion)		(Effective Portion)			(Ineffective Portion)
				Location	Amount		Location	Amount
September 30, 2012	Interest rate contracts	$	103	Interest income	$	113	Interest income
				Noninterest income		13
September 30, 2011	Interest rate contracts	$	423	Interest income	$	120	Interest income
				Noninterest income		8

Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss) [Table Text Block]

Table 118: Derivatives Designated in GAAP Hedge Relationships - Net Investment Hedges

		Gain (Loss) on Derivatives
Nine months ended		Recognized in OCI
In millions		(Effective Portion)

September 30, 2012	Foreign exchange contracts		$	(18)


		Gain (Loss) on Derivatives
Three months ended		Recognized in OCI
In millions		(Effective Portion)

September 30, 2012	Foreign exchange contracts		$	(18)

Derivatives Not Designated as Hedging Instruments under GAAP

Table 119: Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP

				Three months ended			Nine months ended
				September 30				September 30
In millions				2012		2011		2012		2011
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts		$	67	$	339	$	273	$	504
Loan sales
	Interest rate contracts			21		(12)		57		(15)
		Gains (losses) included in residential mortgage banking activities (a)	$	88	$	327	$	330	$	489
Derivatives used for commercial mortgage banking activities:
	Interest rate contracts (b) (c)		$	(4)	$	(7)	$	17	$	(12)
	Credit contracts (c)			(2)		4		(3)		8
		Gains (losses) from commercial mortgage banking activities	$	(6)	$	(3)	$	14	$	(4)
Derivatives used for customer-related activities:
	Interest rate contracts		$	37	$	6	$	64	$	46
	Foreign exchange contracts			13		42		69		64
	Equity contracts			1		1		(4)		(2)
	Credit contracts					2		(2)		4
		Gains (losses) from customer-related activities (c)	$	51	$	51	$	127	$	112
Derivatives used for other risk management activities:
	Interest rate contracts		$	(5)	$	(40)	$	(12)	$	(42)
	Foreign exchange contracts					3		(1)
	Credit contracts					1		(1)		(1)
	Other contracts (d)			(34)		80		(44)		50
		Gains (losses) from other risk management activities (c)	$	(39)	$	44	$	(58)	$	7
Total gains (losses) from derivatives not designated as hedging instruments			$	94	$	419	$	413	$	604
(a)		Included in Residential mortgage noninterest income.
(b)		Included in Corporate services noninterest income.
(c)		Included in Other noninterest income.
(d)		Includes BlackRock LTIP, a forward purchase commitment for certain loans upon conversion from a variable rate to a fixed rate, and the swap entered into in connection with the sale of a portion of Visa Class B common shares.

Credit Default Swaps

Table 120: Credit Default Swaps

			September 30, 2012					December 31, 2011
						Weighted-					Weighted-
						Average					Average
						Remaining					Remaining
		Notional		Fair		Maturity	Notional		Fair		Maturity
Dollars in millions		Amount		Value		In Years	Amount		Value		In Years
Credit Default Swaps – Sold (a)
Single name							$	45	$	2	1.8
Index traded								49			2.0
	Total						$	94	$	2	1.9
Credit Default Swaps – Purchased
Single name		$	50			6.1	$	150	$	5	3.8
Index traded			60	$	2	36.4		60		4	37.2
	Total	$	110	$	2	22.6	$	210	$	9	13.3
Total		$	110	$	2	22.6	$	304	$	11	9.8
(a)	There were no credit default swaps sold as of September 30, 2012.

Credit Ratings of Credit Default Swaps

Table 121: Credit Ratings of Credit Default Swaps

		September 30			December 31
Dollars in millions			2012			2011
Credit Default Swaps – Sold (a)
Investment grade (b)						$	84
Subinvestment grade (c)							10
	Total					$	94
Credit Default Swaps – Purchased
Investment grade (b)			$	95		$	145
Subinvestment grade (c)				15			65
	Total		$	110		$	210
Total			$	110		$	304
(a)	There were no credit default swaps sold as of September 30, 2012.
(b)	Investment grade with a rating of BBB-/Baa3 or above based on published rating agency information.
(c)	Subinvestment grade with a rating below BBB-/Baa3 based on published rating agency information.

Referenced/Underlying Assets of Credit Default Swaps

Table 122: Referenced/Underlying Assets of Credit Default Swaps

		Commercial
	Corporate	mortgage-backed
	Debt	securities	Loans
September 30, 2012	32%	54%	14%
December 31, 2011	59%	20%	21%

Risk Participation Agreements Sold

Table 123: Risk Participation Agreements Sold

					Weighted-Average
	Notional				Remaining Maturity
Dollars in millions	Amount		Fair Value		In Years
September 30, 2012	$	1,770	$	(6)	6.9
December 31, 2011	$	1,568	$	(5)	7.5

Internal Credit Ratings of Risk Participation Agreements Sold

Table 124: Internal Credit Ratings of Risk Participation Agreements Sold

		September 30, 2012		December 31, 2011
Pass (a)		99	%	99	%
Below pass (b)		1	%	1	%
(a)	Indicates the expected risk of default is currently low.
(b)	Indicates a higher degree of risk of default.