Financial Derivatives

9 Months Ended

Sep. 30, 2014

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Financial Derivatives

Note12Financial Derivatives

We use derivative financial instruments (derivatives) primarily to help manage exposure to interest rate, market and credit risk and reduce the effects that changes in interest rates may have on net income, the fair value of assets and liabilities, and cash flows. We also enter into derivatives with customers to facilitate their risk management activities. Derivatives represent contracts between parties that usually require little or no initial net investment and result in one party delivering cash or another type of asset to the other party based on a notional amount and an underlying as specified in the contract.

For more information regarding derivatives see Note 1 Accounting Policies and Note 17 Financial Derivatives in our Notes To Consolidated Financial Statements under Item 8 of our 2013 Form 10-K.

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

Table 104: Total Gross Derivatives
			September 30, 2014						December 31, 2013
			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		$	43,305	$	1,026	$	233	$	36,197	$	1,189	$	364
Derivatives not designated as hedging instruments under GAAP			299,533		3,325		3,314		345,059		3,604		3,570
Total gross derivatives		$	342,838	$	4,351	$	3,547	$	381,256	$	4,793	$	3,934
(a)	Included in Other assets on our Consolidated Balance Sheet.
(b)	Included in Other liabilities on our Consolidated Balance Sheet.

All derivatives are carried on our Consolidated Balance Sheet at fair value. Credit risk is included in the determination of the estimated net fair value of the derivatives. Derivative balances are presented on the Consolidated Balance Sheet on a net basis taking into consideration the effects of legally enforceable master netting agreements and any related cash collateral exchanged with counterparties.

Derivatives Designated As Hedging Instruments under GAAP

Certain derivatives used to manage interest rate and foreign exchange risk as part of our asset and liability risk management activities are designated as accounting hedges under GAAP. Derivatives hedging the risks associated with changes in the fair value of assets or liabilities are considered fair value hedges, derivatives hedging the variability of expected future cash flows are considered cash flow hedges, and derivatives hedging a net investment in a foreign subsidiary are considered net investment hedges. Designating derivatives as accounting hedges allows for gains and losses on those derivatives, to the extent effective, to be recognized in the income statement in the same period the hedged items affect earnings.

For additional information on derivatives designated as hedging instruments under GAAP see Note 17 Financial Derivatives in our Notes To Consolidated Financial Statements under Item 8 of our 2013 Form 10-K.

Further detail regarding the notional amounts and fair values related to derivatives designated in hedge relationships is presented in the following table:

Table 105: Derivatives Designated As Hedging Instruments under GAAP
					September 30, 2014						December 31, 2013
					Notional/		Asset		Liability		Notional/		Asset		Liability
					Contract		Fair		Fair		Contract		Fair		Fair
In millions					Amount		Value (a)		Value (b)		Amount		Value (a)		Value (b)
	Interest rate contracts:
		Fair value hedges:
			Receive-fixed swaps (c)	$	19,782	$	723	$	108	$	16,446	$	871	$	230
			Pay-fixed swaps (c) (d)		4,457		12		96		4,076		54		66
			Subtotal	$	24,239	$	735	$	204	$	20,522	$	925	$	296
		Cash flow hedges:
			Receive-fixed swaps (c)	$	17,571	$	282	$	29	$	14,737	$	264	$	58
			Forward purchase commitments		550		2
			Subtotal	$	18,121	$	284	$	29	$	14,737	$	264	$	58
	Foreign exchange contracts:
		Net investment hedge			945		7				938				10
Total derivatives designated as hedging instruments				$	43,305	$	1,026	$	233	$	36,197	$	1,189	$	364
(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, 44% were based on 1-month LIBOR and 56% on 3-month LIBOR at September 30, 2014 compared with 43% and 57%, respectively, at December 31, 2013.
(d)		Includes zero-coupon swaps.

Fair Value Hedges

We enter into receive-fixed, pay-variable interest rate swaps to hedge changes in the fair value of outstanding fixed-rate debt and borrowings caused by fluctuations in market interest rates. We also enter into pay-fixed, receive-variable interest rate swaps and zero-coupon swaps to hedge changes in the fair value of fixed rate and zero-coupon investment securities caused by fluctuations in market interest rates. For these hedge relationships, we use statistical regression analysis to assess hedge effectiveness at both the inception of the hedge relationship and on an ongoing basis. There were no components of derivative gains or losses excluded from the assessment of hedge effectiveness.

Further detail regarding gains (losses) on fair value hedge derivatives and related hedged items is presented in the following table:

Table 106: Gains (Losses) on Derivatives and Related Hedged Items - Fair Value Hedges

Three months ended

Nine months ended

September 30, 2014

September 30, 2013

September 30, 2014

September 30, 2013

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain

on Related

Gain

on Related

Gain

on Related

Gain

on Related

(Loss) on

Hedged

(Loss) on

Hedged

(Loss) on

Hedged

(Loss) on

Hedged

Derivatives

Items

Derivatives

Items

Derivatives

Items

Derivatives

Items

Recognized

Recognized

Recognized

Recognized

Recognized

Recognized

Recognized

Recognized

in Income

in Income

in Income

in Income

in Income

in Income

in Income

in Income

In millions

Hedged Items

Location

Amount

Amount

Amount

Amount

Amount

Amount

Amount

Amount

Interest rate

U.S. Treasury and

Investment

contracts

Government

securities

Agencies Securities

(interest

income)

$

31

$

(31)

$

(1)

$

(52)

$

55

$

62

$

(66)

Interest rate

Other Debt

Investment

contracts

Securities

securities

(interest

income)

2

(2)

1

1

(1)

6

(5)

Interest rate

Subordinated debt

Borrowed funds

contracts

(interest

expense)

(69)

66

(24)

$

13

5

(23)

(287)

269

Borrowed funds

Interest rate

Bank notes and

(interest

contracts

senior debt

expense)

(78)

77

(5)

1

(19)

15

(276)

269

Total (a)

$

(114)

$

110

$

(29)

$

14

$

(65)

$

46

$

(495)

$

467

(a) The ineffective portion of the change in value of our fair value hedge derivatives resulted in net losses of $4 million for the three months ended September 30, 2014 and net losses of $19 million for the nine months ended September 30, 2014 compared with net losses of $15 million for the three months ended September 30, 2013 and net losses of $28 million for the nine months ended September 30, 2013.

Cash Flow Hedges

We enter into receive-fixed, pay-variable interest rate swaps to modify the interest rate characteristics of designated commercial loans from variable to fixed in order to reduce the impact of changes in future cash flows due to market interest rate changes. For these cash flow hedges, any changes in the fair value of the derivatives that are effective in offsetting changes in the forecasted interest cash flows are recorded in Accumulated other comprehensive income and are reclassified to interest income in conjunction with the recognition of interest received on the loans. In the 12 months that follow September 30,2014, we expect to reclassify from the amount currently reported in Accumulated other comprehensive income, net derivative gains of $216 million pretax, or $140 million after-tax, in association with interest received on the hedged loans. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations, and the addition of other hedges subsequent to September 30,2014. The maximum length of time over which forecasted loan cash flows are hedged is 10 years. We use statistical regression analysis to assess the effectiveness of these hedge relationships at both the inception of the hedge relationship and on an ongoing basis.

We also periodically enter into forward purchase and sale contracts to hedge the variability of the consideration that will be paid or received related to the purchase or sale of investment securities. The forecasted purchase or sale is consummated upon gross settlement of the forward contract itself. As a result, hedge ineffectiveness, if any, is typically minimal. Gains and losses on these forward contracts are recorded in Accumulated other comprehensive income and are recognized in earnings when the hedged cash flows affect earnings. In the 12 months that follow September 30,2014, we expect to reclassify from the amount currently reported in Accumulated other comprehensive income, net derivative gains of $13 million pretax, or $8 million after-tax, as adjustments of yield on investment securities. As of September 30,2014, the maximum length of time over which forecasted purchase contracts are hedged is two months.

There were no components of derivative gains or losses excluded from the assessment of hedge effectiveness related to either cash flow hedge strategy.

During the first nine months of2014 and 2013, there were no gains or losses from cash flow hedge derivatives reclassified to earnings because it became probable that the original forecasted transaction would not occur.

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

Table 107: Gains (Losses) on Derivatives and Related Cash Flows - Cash Flow Hedges (a) (b)
				Three months ended				Nine months ended
				September 30				September 30
In millions				2014		2013		2014		2013
Gains (losses) on derivatives recognized in OCI - (effective portion)			$	(17)	$	75	$	193	$	(104)
Less: Gains (losses) reclassified from accumulated OCI into income - (effective portion)
	Interest income			64		79		200		265
	Noninterest income			-		27		(2)		50
Total gains (losses) reclassified from accumulated OCI into income - (effective portion)				64		106		198		315
Net unrealized gains (losses) on cash flow hedge derivatives			$	(81)	$	(31)	$	(5)	$	(419)
(a)		All cash flow hedge derivatives are interest rate contracts as of September 30, 2014 and September 30, 2013.
(b)		The amount of cash flow hedge ineffectiveness recognized in income was not material for the periods presented.

Net Investment Hedges

We enter into foreign currency forward contracts to hedge non-U.S. Dollar (USD) net investments in foreign subsidiaries against adverse changes in foreign exchange rates. We assess whether the hedging relationship is highly effective in achieving offsetting changes in the value of the hedge and hedged item by qualitatively verifying that the critical terms of the hedge and hedged item match at the inception of the hedging relationship and on an ongoing basis. There were no components of derivative gains or losses excluded from the assessment of the hedge effectiveness.

For the first nine months of2014 and2013, there was no net investment hedge ineffectiveness.

Further detail on gains (losses) on net investment hedge derivatives is presented in the following table:

Table 108: Gains (Losses) on Derivatives - Net Investment Hedges
		Three months ended				Nine months ended
		September 30				September 30
In millions			2014		2013		2014		2013
Gains (losses) on derivatives recognized in OCI (effective portion)
	Foreign exchange contracts	$	51	$	(55)	$	18	$	1

Derivatives Not Designated As Hedging Instruments under GAAP

We also enter into derivatives that are not designated as accountinghedges under GAAP.

For additional information on derivatives not designated as hedging instruments under GAAP see Note 17 Financial Derivatives in our Notes To Consolidated Financial Statements under Item 8 of our 2013 Form 10-K.

Further detail regarding the notional amounts and fair values related to derivatives not designated in hedge relationships is presented in the following table:

Table 109: Derivatives Not Designated As Hedging Instruments under GAAP
					September 30, 2014						December 31, 2013
					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 used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts:
		Swaps		$	34,919	$	548	$	266	$	37,424	$	654	$	360
		Swaptions			1,398		25		20		845		18		18
		Futures (c)			25,451						49,250
		Futures options			13,075		2		2		24,000		10		2
		Mortgage-backed securities commitments			525				1		832				3
			Subtotal	$	75,368	$	575	$	289	$	112,351	$	682	$	383
Loan sales
	Interest rate contracts:
		Futures (c)		$	103					$	350
		Bond options			300	$	1				200	$	1
		Mortgage-backed securities commitments			4,507		5	$	9		5,173		26	$	9
		Residential mortgage loan commitments			2,058		20				1,605		13
			Subtotal	$	6,968	$	26	$	9	$	7,328	$	40	$	9
			Subtotal	$	82,336	$	601	$	298	$	119,679	$	722	$	392
Derivatives used for commercial mortgage banking activities:
	Interest rate contracts:
		Swaps		$	3,533	$	34	$	41	$	2,158	$	23	$	52
		Swaptions			439		3		2		125				3
		Futures (c)			20,170						4,598
		Futures options			5,250				1		45,500		15		4
		Commercial mortgage loan commitments			1,038		6		3		673		20		11
			Subtotal	$	30,430	$	43	$	47	$	53,054	$	58	$	70
	Credit contracts:
		Credit default swaps			95				1		95
			Subtotal	$	30,525	$	43	$	48	$	53,149	$	58	$	70
Derivatives used for customer-related activities:
	Interest rate contracts:
		Swaps		$	142,087	$	2,363	$	2,281	$	134,408	$	2,540	$	2,445
		Caps/floors - Sold			4,557				15		4,789				11
		Caps/floors - Purchased			6,033		35				5,519		37
		Swaptions			2,798		60		16		2,354		49		51
		Futures (c)			4,791						1,856
		Mortgage-backed securities commitments			2,566		4		3		1,515		4		3
			Subtotal	$	162,832	$	2,462	$	2,315	$	150,441	$	2,630	$	2,510
	Foreign exchange contracts				13,056		194		159		14,316		192		172
	Credit contracts:
		Risk participation agreements			5,505		2		3		4,777		2		4
			Subtotal	$	181,393	$	2,658	$	2,477	$	169,534	$	2,824	$	2,686
Derivatives used for other risk management activities:
	Interest rate contracts:
		Swaps		$	234					$	511
		Futures (c)			1,585						838
		Mortgage-backed securities commitments			500	$	1
			Subtotal	$	2,319	$	1			$	1,349
	Foreign exchange contracts				1,442		22				8
	Credit contracts:
		Credit default swaps			15
	Other contracts (d)				1,503			$	491		1,340			$	422
			Subtotal	$	5,279	$	23	$	491	$	2,697			$	422
Total derivatives not designated as hedging instruments				$	299,533	$	3,325	$	3,314	$	345,059	$	3,604	$	3,570
(a)		Included in Other assets on our Consolidated Balance Sheet.
(b)		Included in Other liabilities on our Consolidated Balance Sheet.
(c)		Futures contracts settle in cash daily and therefore, no derivative asset or liability is recognized on our Consolidated Balance Sheet.
(d)		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. Refer to Note 8 Fair Value for additional information on the Visa swaps.

Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:

Table 110: Gains (Losses) on Derivatives Not Designated As Hedging Instruments under GAAP
			Three months ended				Nine months ended
			September 30				September 30
In millions				2014		2013		2014		2013
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts		$	15	$	16	$	125	$	(195)
Loan sales
	Interest rate contracts			17		20		5		247
		Gains (losses) included in residential mortgage banking activities (a)	$	32	$	36	$	130	$	52
Derivatives used for commercial mortgage banking activities:
	Interest rate contracts (b) (c)		$	4	$	17	$	47	$	24
	Credit contracts (c)							(1)		(1)
		Gains (losses) from commercial mortgage banking activities	$	4	$	17	$	46	$	23
Derivatives used for customer-related activities:
	Interest rate contracts		$	15	$	21	$	25	$	107
	Foreign exchange contracts			(5)				43		59
	Equity contracts									(3)
	Credit contracts					2				(1)
		Gains (losses) from customer-related activities (c)	$	10	$	23	$	68	$	162
Derivatives used for other risk management activities:
	Interest rate contracts		$	1	$	(7)	$	(14)	$	(3)
	Foreign exchange contracts			80		(1)		73		1
	Other contracts (d)			(52)		(32)		(79)		(109)
		Gains (losses) from other risk management activities (c)	$	29	$	(40)	$	(20)	$	(111)
Total gains (losses) from derivatives not designated as hedging instruments			$	75	$	36	$	224	$	126
(a)		Included in Residential mortgage noninterest income.
(b)		Included in Corporate services noninterest income.
(c)		Included in Other noninterest income.
(d)		Includes BlackRock LTIP funding obligation and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Credit Derivatives

We enter into credit derivatives, specifically credit default swaps and risk participation agreements, as part of our commercial mortgage banking hedging activities and for customer and other risk management purposes. The credit derivative underlying is based on the credit risk of a specific entity, entities, or an index. Detail regarding credit default swaps purchased and risk participations sold follows.

Table 111: Credit Default Swaps (a)
		September 30, 2014					December 31, 2013
						Weighted-			Weighted-
						Average			Average
						Remaining			Remaining
		Notional			Fair	Maturity	Notional		Maturity
Dollars in millions		Amount			Value	In Years	Amount		In Years
Credit Default Swaps – Purchased (b)
Single name		$	50	$	(1)	6.0	$	35	7.3
Index traded			60		1	34.5		60	35.2
Total		$	110	$	-	21.5	$	95	24.9
(a)	There were no credit default swaps sold as of September 30, 2014 and December 31, 2013.
(b)	The fair value of credit default swaps purchased was less than $1 million as of December 31, 2013.

The notional amount of these credit default swaps by credit rating is presented in the following table:

Table 112: Credit Ratings of Credit Default Swaps (a)
In millions		September 30, 2014		December 31, 2013
Credit Default Swaps – Purchased
Investment grade (b)		$	95	$	95
Subinvestment grade (c)			15
Total		$	110	$	95
(a)	There were no credit default swaps sold as of September 30, 2014 and December 31, 2013.
(b)	Investment grade with a rating of BBB-/Baa3 or above based on published rating agency information.
(c)	There were no subinvestment grade credit default swaps purchased as of December 31, 2013. Subinvestment grade represents a rating below BBB-/Baa3 based on published rating agency information.

The referenced/underlying assets for these credit default swaps are presented in the following table:

Table 113: Referenced/Underlying Assets of Credit Default Swaps
	September 30, 2014		December 31, 2013
Corporate debt		45%	37%
Commercial mortgage-backed securities		55%	63%

Risk Participation Agreements

We also periodically enter into risk participation agreements to share some of the credit exposure with other counterparties related to interest rate derivative contracts or to take on credit exposure to generate revenue. We will make/receive payments under these agreements if a customer defaults on its obligation to perform under certain derivative swap contracts. Risk participation agreements purchased and sold are included in these derivative tables: Tables 109 and 110.

Further detail regarding the notional amount, fair value and weighted average remaining maturities in years for risk participation agreements sold is presented in the following table:

Table 114: Risk Participation Agreements Sold
		September 30, 2014					December 31, 2013
					Weighted-					Weighted-
					Average					Average
					Remaining					Remaining
	Notional		Fair		Maturity	Notional		Fair		Maturity
Dollars in millions	Amount		Value		In Years	Amount		Value		In Years
Risk Participation Agreements Sold	$	2,863	$	(3)	5.6	$	2,770	$	(4)	6.1

Based on our internal risk rating process of the underlying third parties to the swap contracts, the percentages of the exposure amount of risk participation agreements sold by internal credit rating follow:

Table 115: Internal Credit Ratings of Risk Participation Agreements Sold
		September 30, 2014		December 31, 2013
Pass (a)		99	%	98	%
Below pass (b)		1	%	2	%
(a)	Indicates the expected risk of default is currently low.
(b)	Indicates a higher degree of risk of default.

We have sold risk participation agreements with terms ranging from less than 1 year to 22 years. We will be required to make payments under these agreements if a customer defaults on its obligation to perform under certain derivative swap contracts with third parties. Assuming all underlying swap counterparties defaulted at September 30,2014, the exposure from these agreements would be $100million based on the fair value of the underlying swaps, compared with $77million at December 31, 2013.

Offsetting, Counterparty Credit Risk, and Contingent Features

We, generally, utilize a net presentation on the Consolidated Balance Sheet for those derivative financial instruments entered into with counterparties under legally enforceable master netting agreements. The master netting agreements reduce credit risk by permitting the closeout netting of various types of derivative instruments with the same counterparty upon the occurrence of an event of default.

For additional information on derivative offsetting, counterparty credit risk, and contingent features see Note 17 Financial Derivatives in our Notes To Consolidated Financial Statements under Item 8 of our 2013 Form 10-K.Refer to Note 17Commitments and Guarantees in this Report for additional information related to resale and repurchase agreements offsetting.

The following derivative Table 116shows the impact legally enforceable master netting agreements had on our derivative assets and derivative liabilities as ofSeptember 30,2014and December 31, 2013. The table also includes the fair value of any securities collateral held or pledged under legally enforceable master netting agreements. Cash and securities collateral amounts are included in the table only to the extent of the related net derivative fair values.

Table 116: Derivative Assets and Liabilities Offsetting
					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Held Under
September 30, 2014			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Assets		Offset Amount		Collateral		Assets			Agreements		Amounts
Derivative assets
	Interest rate contracts	$	4,126	$	2,006	$	373	$	1,747		$	112	$	1,635
	Foreign exchange contracts		223		118		19		86			1		85
	Credit contracts		2		1				1					1
	Total derivative assets (a) (b)	$	4,351	$	2,125	$	392	$	1,834	(c)	$	113	$	1,721
					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Pledged Under
September 30, 2014			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Liabilities		Offset Amount		Collateral		Liabilities			Agreements		Amounts
Derivative liabilities
	Interest rate contracts	$	2,893	$	2,070	$	403	$	420				$	420
	Foreign exchange contracts		159		52		11		96					96
	Credit contracts		4		3		1
	Other contracts		491						491					491
	Total derivative liabilities (a) (b)	$	3,547	$	2,125	$	415	$	1,007	(d)			$	1,007
					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Held Under
December 31, 2013			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Assets		Offset Amount		Collateral		Assets			Agreements		Amounts
Derivative assets
	Interest rate contracts	$	4,599	$	2,468	$	556	$	1,575		$	115	$	1,460
	Foreign exchange contracts		192		64		9		119					119
	Credit contracts		2		1				1					1
	Total derivative assets (a) (b)	$	4,793	$	2,533	$	565	$	1,695	(c)	$	115	$	1,580
					Amounts							Securities
			Gross		Offset on the				Net			Collateral
			Fair Value		Consolidated Balance Sheet				Fair Value			Pledged Under
December 31, 2013			Derivative		Fair Value		Cash		Derivative			Master Netting		Net
In millions			Liabilities		Offset Amount		Collateral		Liabilities			Agreements		Amounts
Derivative liabilities
	Interest rate contracts	$	3,326	$	2,447	$	473	$	406				$	406
	Foreign exchange contracts		182		83		23		76					76
	Credit contracts		4		3		1
	Other contracts		422						422					422
	Total derivative liabilities (a) (b)	$	3,934	$	2,533	$	497	$	904	(d)			$	904
(a)	There were no derivative assets and liabilities equity contracts as of September 30, 2014 and December 31, 2013.
(b)	Included derivative assets and derivative liabilities as of September 30, 2014 totaling $375 million and $319 million, respectively, related to interest rate contracts executed bilaterally with counterparties in the OTC market and novated to and cleared through a central clearing house. The comparable amounts as of December 31, 2013 totaled $331 million and $224 million, respectively. Derivative assets and liabilities as of September 30, 2014 and December 31, 2013 related to exchange-traded interest rate contracts were not material. As of September 30, 2014 and December 31, 2013, these contracts were not subject to offsetting. The remaining gross and net derivative assets and liabilities relate to contracts executed bilaterally with counterparties that are not settled through an organized exchange or central clearing house.
(c)	Represents the net amount of derivative assets included in Other assets on our Consolidated Balance Sheet.
(d)	Represents the net amount of derivative liabilities included in Other liabilities on our Consolidated Balance Sheet.

In addition to using master netting and related collateral agreements to reduce credit risk associated with derivative instruments, we also seek to manage credit risk by entering into transactions with counterparties with high credit ratings, by taking collateral and by using internal credit analysis, limits, and monitoring procedures. Collateral may also be exchanged under certain derivative agreements that are not considered master netting agreements.

At September 30,2014, we held cash, U.S. government securities and mortgage-backed securities totaling $641 million under master netting and other collateral agreements to collateralize net derivative assets due from counterparties, and we have pledged cash totaling $446 millionunder these agreements to collateralize net derivative liabilities owed to counterparties. These totals may differ from the amounts presented in the preceding offsetting table because they may include collateral exchanged under an agreement that does not qualify as a master netting agreement or because the total amount of collateral held or pledged exceeds the net derivative fair value with the counterparty as of the balance sheet date due to timing or other factors. To the extent not netted against the derivative fair value under a master netting agreement, the receivable for cash pledged is included in Other assets and the obligation for cash held is included in Other borrowed funds on our Consolidated Balance Sheet. Securities held from counterparties are not recognized on our balance sheet. Likewise securities we have pledged to counterparties remain on our balance sheet.

Certain of the master netting agreements and certain other derivative agreements also contain provisions that require PNC’s debt to maintain an investment grade credit rating from each of the major credit rating agencies. If PNC’s debt ratings were to fall below investment grade, we would be in violation of these provisions and the counterparties to the derivative instruments could request immediate payment or demand immediate and ongoing full overnight collateralization on derivative instruments in net liability positions. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net liability position on September 30,2014was $581 million for which PNC had posted collateral of $432 million in the normal course of business. The maximum additional amount of collateral PNC would have been required to post if the credit-risk-related contingent features underlying these agreements had been triggered on September 30,2014 would be $149 million.