Financial Derivatives (Tables)

6 Months Ended

Jun. 30, 2013

Derivatives Total Notional or Contractual Amounts and Fair Values

Table 111: Derivatives Total Notional or Contractual Amounts and Fair Values

					June 30, 2013						December 31, 2012
					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)	$	13,799	$	307	$	69	$	13,428	$	504
			Forward purchase commitments		3,480		9		38		250		1
			Subtotal	$	17,279	$	316	$	107	$	13,678	$	505
		Fair value hedges:
			Receive fixed swaps (c)	$	13,856	$	990	$	153	$	12,394	$	1,365
			Pay fixed swaps (c) (d)		1,874		26		69		2,319		2	$	144
			Subtotal	$	15,730	$	1,016	$	222	$	14,713	$	1,367	$	144
	Foreign exchange contracts:
		Net investment hedge			848		48				879				8
Total derivatives designated as hedging instruments				$	33,857	$	1,380	$	329	$	29,270	$	1,872	$	152
Derivatives not designated as hedging instruments under GAAP
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts:
		Swaps		$	61,792	$	1,629	$	1,290	$	59,607	$	2,204	$	1,790
		Swaptions			6,417		33		24		5,890		209		119
		Futures (e)			46,276						49,816
		Future options			25,750		25		5		34,350		5		2
		Mortgage-backed securities commitments			4,467		17		50		3,429		3		1
			Subtotal	$	144,702	$	1,704	$	1,369	$	153,092	$	2,421	$	1,912
Loan sales
	Interest rate contracts:
		Futures (e)		$	485					$	702
		Bond options			400	$	10				900	$	3
		Mortgage-backed securities commitments			11,279		232	$	89		8,033		5	$	14
		Residential mortgage loan commitments			3,738		11		22		4,092		85
			Subtotal	$	15,902	$	253	$	111	$	13,727	$	93	$	14
			Subtotal	$	160,604	$	1,957	$	1,480	$	166,819	$	2,514	$	1,926
Derivatives used for commercial mortgage banking activities
	Interest rate contracts:
		Swaps		$	1,054	$	22	$	49	$	1,222	$	56	$	84
		Swaptions			1,050		5		4
		Futures (e)			1,279						2,030
		Future options			5,200		2		7
		Commercial mortgage loan commitments			1,313		37		24		1,259		12		9
			Subtotal	$	9,896	$	66	$	84	$	4,511	$	68	$	93
	Credit contracts:
		Credit default swaps			95		2				95		2
			Subtotal	$	9,991	$	68	$	84	$	4,606	$	70	$	93
Derivatives used for customer-related activities:
	Interest rate contracts:
		Swaps		$	126,963	$	2,862	$	2,848	$	127,567	$	3,869	$	3,917
		Caps/floors - Sold			4,920				7		4,588				1
		Caps/floors - Purchased			4,716		22				4,187		21
		Swaptions			2,889		61		60		2,285		82		35
		Futures (e)			5,344						9,113
		Mortgage-backed securities commitments			2,689		24		22		1,736		2		2
			Subtotal	$	147,521	$	2,969	$	2,937	$	149,476	$	3,974	$	3,955
	Foreign exchange contracts				12,645		209		164		10,737		126		112
	Equity contracts										105		1		3
	Credit contracts:
		Risk participation agreements			3,769		1		4		3,530		5		6
			Subtotal	$	163,935	$	3,179	$	3,105	$	163,848	$	4,106	$	4,076
Derivatives used for other risk management activities:
	Interest rate contracts:
		Swaps		$	552					$	601	$	4
		Futures (e)			155						274
		Residential mortgage loan commitments			600	$	1	$	1
			Subtotal	$	1,307	$	1	$	1	$	875	$	4
	Foreign exchange contracts				13						17			$	3
	Equity contracts										8		2		2
	Credit contracts:
		Credit default swaps									15
	Other contracts (f)				941				331		898				358
			Subtotal	$	2,261	$	1	$	332	$	1,813	$	6	$	363
Total derivatives not designated as hedging instruments				$	336,791	$	5,205	$	5,001	$	337,086	$	6,696	$	6,458
Total Gross Derivatives				$	370,648	$	6,585	$	5,330	$	366,356	$	8,568	$	6,610
(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, 48% were based on 1-month LIBOR and 52% on 3-month LIBOR at June 30, 2013 compared with 51% and 49%, respectively, at December 31, 2012.
(d)		Includes zero-coupon swaps.
(e)		Futures contracts settle in cash daily and therefore, no derivative asset or liability is recognized on our Consolidated Balance Sheet.
(f)		Includes PNC's 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 in the second quarter of 2013 and second half of 2012. Refer to Note 9 Fair Value for additional information on the Visa swaps.

Derivative Assets And Liabilities Offsetting

Table 112: Derivative Assets and Liabilities Offsetting


					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Held Under
June 30, 2013			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Assets		Offset Amount		Collateral		Assets			Agreements		Amounts
Derivative assets
	Interest rate contracts	$	6,325	$	3,534	$	635	$	2,156		$	233	$	1,923
	Foreign exchange contracts		257		146		23		88					88
	Credit contracts		3		3
	Total derivative assets	$	6,585	$	3,683	$	658	$	2,244	(a)	$	233	$	2,011


					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Pledged Under
June 30, 2013			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Liabilities		Offset Amount		Collateral		Liabilities			Agreements		Amounts
Derivative liabilities
	Interest rate contracts	$	4,831	$	3,625	$	573	$	633		$		$	633
	Foreign exchange contracts		164		55		9		100					100
	Credit contracts		4		3				1					1
	Other contracts		331						331					331
	Total derivative liabilities	$	5,330	$	3,683	$	582	$	1,065	(b)	$		$	1,065


					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Held Under
December 31, 2012			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Assets		Offset Amount		Collateral		Assets			Agreements		Amounts
Derivative assets
	Interest rate contracts	$	8,432	$	5,041	$	1,024	$	2,367		$	135	$	2,232
	Foreign exchange contracts		126		61		7		58					58
	Equity contracts		3		3
	Credit contracts		7		2				5					5
	Total derivative assets	$	8,568	$	5,107	$	1,031	$	2,430	(a)	$	135	$	2,295


					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Pledged Under
December 31, 2012			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Liabilities		Offset Amount		Collateral		Liabilities			Agreements		Amounts
Derivative liabilities
	Interest rate contracts	$	6,118	$	5,060	$	908	$	150		$	18	$	132
	Foreign exchange contracts		123		47		6		70					70
	Equity contracts		5						5					5
	Credit contracts		6						6					6
	Other contracts		358						358					358
	Total derivative liabilities	$	6,610	$	5,107	$	914	$	589	(b)	$	18	$	571
(a) Represents the net amount of derivative assets included in Other Assets on our Consolidated Balance Sheet.
(b) Represents the net amount of derivative liabilities included in Other Liabilities on our Consolidated Balance Sheet.

Derivatives Designated in GAAP Hedge Relationships - Fair Value Hedges

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

Table 113: Derivatives Designated in GAAP Hedge Relationships - Fair Value Hedges

June 30, 2013

June 30, 2012

Gain (Loss)

Gain

on Related

Gain

on Related

(Loss) on

Hedged

(Loss) on

Hedged

Derivatives

Items

Derivatives

Items

Recognized

Six months ended

in Income

In millions

Hedged Items

Location

Amount

Interest rate contracts

U.S. Treasury and

Investment securities

Government Agencies

(interest income)

Securities

(66)

(29)

Interest rate contracts

Other Debt Securities

Investment securities

(interest income)

(5)

(2)

Interest rate contracts

Subordinated debt

Borrowed funds

(interest expense)

(263)

256

(24)

Interest rate contracts

Bank notes and

Borrowed funds

senior debt

(interest expense)

(271)

268

(80)

Total

(466)

453

(76)

June 30, 2013

June 30, 2012

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

U.S. Treasury and

Investment securities

Government Agencies

(interest income)

Securities

(43)

(48)

Interest rate contracts

Other Debt Securities

Investment securities

(interest income)

(3)

(2)

Interest rate contracts

Subordinated debt

Borrowed funds

(interest expense)

(195)

190

(50)

Interest rate contracts

Bank notes and

Borrowed funds

senior debt

(interest expense)

(206)

204

127

(128)

Total

(357)

348

121

(126)

Derivatives Designated in GAAP Hedge Relationships - Cash Flow Hedges

Table 114: Derivatives Designated in GAAP Hedge Relationships - Cash Flow Hedges

		Gain (Loss) on Derivatives		Gain (Loss) Reclassified from Accumulated			Gain (Loss) Recognized in Income
Six months ended		Recognized in OCI		OCI into Income			on Derivatives
In millions		(Effective Portion)		(Effective Portion)			(Ineffective Portion)
			Amount	Location	Amount		Location	Amount (a)
June 30, 2013	Interest rate contracts	$	(179)	Interest income	$	186	Interest income
				Noninterest income		23
June 30, 2012	Interest rate contracts	$	207	Interest income	$	232	Interest income
				Noninterest income		59

		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)
			Amount	Location	Amount		Location	Amount (a)
June 30, 2013	Interest rate contracts	$	(193)	Interest income	$	80	Interest income
				Noninterest income		8
June 30, 2012	Interest rate contracts	$	154	Interest income	$	116	Interest income
				Noninterest income		32
(a) The amount of cash flow hedge ineffectiveness recognized in income was not material for the periods presented.

Derivatives Designated in GAAP Hedge Relationships - Net Investment Hedges

Table 115: Derivatives Designated in GAAP Hedge Relationships - Net Investment Hedges

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

June 30, 2013	Foreign exchange contracts		$	56

June 30, 2012	Foreign exchange contracts			0


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

June 30, 2013	Foreign exchange contracts		$	(1)

June 30, 2012	Foreign exchange contracts			12

Derivatives Not Designated as Hedging Instruments under GAAP

Table 116: Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP

				Three months ended			Six months ended
				June 30				June 30
In millions				2013		2012		2013		2012
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts		$	(172)	$	123	$	(211)	$	206
Loan sales
	Interest rate contracts			142		14		176		36
		Gains (losses) included in residential mortgage banking activities (a)	$	(30)	$	137	$	(35)	$	242
Derivatives used for commercial mortgage banking activities:
	Interest rate contracts (b) (c)		$	1	$	19	$	7	$	21
	Credit contracts (c)							(1)		(1)
		Gains (losses) from commercial mortgage banking activities	$	1	$	19	$	6	$	20
Derivatives used for customer-related activities:
	Interest rate contracts		$	67	$	(9)	$	86	$	27
	Foreign exchange contracts			(2)		39		21		56
	Equity contracts					(3)		(3)		(5)
	Credit contracts			(2)		(1)		(3)		(2)
		Gains (losses) from customer-related activities (c)	$	63	$	26	$	101	$	76
Derivatives used for other risk management activities:
	Interest rate contracts		$	4	$	(8)	$	4	$	(7)
	Foreign exchange contracts			2		(1)		2		(1)
	Credit contracts									(1)
	Other contracts (d)			(18)		44		(77)		(10)
		Gains (losses) from other risk management activities (c)	$	(12)	$	35	$	(71)	$	(19)
Total gains (losses) from derivatives not designated as hedging instruments			$	22	$	217	$	1	$	319
(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 117: Credit Default Swaps (a)

			June 30, 2013					December 31, 2012
						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 – Purchased
Single name		$	35			7.8	$	50			5.8
Index traded			60	$	2	35.7		60	$	2	36.1
Total		$	95	$	2	25.4	$	110	$	2	22.4
(a)	There were no credit default swaps sold as of June 30, 2013 and December 31, 2012 .

Credit Ratings of Credit Default Swaps

Table 118: Credit Ratings of Credit Default Swaps (a)

		June 30			December 31
Dollars in millions			2013			2012
Credit Default Swaps – Purchased
Investment grade (b)			$	95		$	95
Subinvestment grade (c)							15
Total			$	95		$	110
(a)	There were no credit default swaps sold as of June 30, 2013 and December 31, 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 119: Referenced/Underlying Assets of Credit Default Swaps

		Commercial
	Corporate	mortgage-backed
	Debt	securities	Loans
June 30, 2013	37%	63%	0%
December 31, 2012	32%	54%	14%

Risk Participation Agreements Sold

Table 120: Risk Participation Agreements Sold

					Weighted-Average
	Notional				Remaining Maturity
Dollars in millions	Amount		Fair Value		In Years
June 30, 2013	$	2,240	$	(4)	6.3
December 31, 2012	$	2,053	$	(6)	6.6

Internal Credit Ratings of Risk Participation Agreements Sold

Table 121: Internal Credit Ratings of Risk Participation Agreements Sold

		June 30, 2013		December 31, 2012
Pass (a)		98	%	99	%
Below pass (b)		2	%	1	%
(a)	Indicates the expected risk of default is currently low.
(b)	Indicates a higher degree of risk of default.