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Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2017

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, 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 MSRs		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 for customers		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


				Fair Value
		Notional		Derivative	Derivative
December 31, 2016 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,455		323	12
Total fair value hedges				323	12
Cash flow hedges:
Interest rate swaps related to C&I loans		4,475		22	-
Total cash flow hedges				22	-
Total derivatives designated as qualifying hedging instruments				345	12
Derivatives Not Designated as Qualifying Hedging Instruments
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSRs		10,522		165	39
Forward contracts related to residential mortgage loans held for sale		1,823		20	3
Swap associated with the sale of Visa, Inc. Class B Shares		1,300		-	91
Foreign exchange contracts		111		-	-
Total free-standing derivatives - risk management and other business purposes				185	133
Free-standing derivatives - customer accommodation:
Interest rate contracts for customers		33,431		205	210
Interest rate lock commitments		701		13	1
Commodity contracts		2,095		107	106
Foreign exchange contracts		11,013		202	204
Total free-standing derivatives - customer accommodation				527	521
Total derivatives not designated as qualifying hedging instruments				712	654
Total			$	1,057	666

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)	Consolidated Statements of Income Caption			2017	2016	2015
Change in fair value of interest rate swaps hedging long-term debt		Interest on long-term debt	$	(33)	(59)	(29)
Change in fair value of hedged long-term debt attributable to the risk being hedged		Interest on long-term debt		31	54	25

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


The following table presents the pre-tax net (losses) gains 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)		2017	2016	2015
Amount of pre-tax net (losses) gains recognized in OCI	$	(11)	30	74
Amount of pre-tax net gains reclassified from OCI into net income		19	48	75

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)	Consolidated Statements of Income Caption			2017	2016		2015
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale		Mortgage banking net revenue	$	(17)	14		8
Interest rate contracts related to MSR portfolio		Mortgage banking net revenue		2	24		90
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes		Other noninterest income		(7)	2		23
Equity contracts:
Stock warrant associated with Vantiv Holding, LLC		Other noninterest income		-	73	^(a)	325	^(a)
Stock warrant		Other noninterest income		(1)	-		-
Swap associated with sale of Visa, Inc. Class B Shares		Other noninterest income		(80)	(56)		(37)

(a) The Bancorp recognized a net gain of $9 on the exercise of the remaining warrant during the fourth quarter of 2016 and a net gain of $89 on both the sale and partial exercise of the warrant during the fourth quarter of 2015

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)		2017	2016
Pass	$	2,748	2,447
Special mention		66	14
Substandard		24	6
Total	$	2,838	2,467

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		2017	2016	2015
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	21	22	23
Interest rate contracts for customers (credit losses)	Other noninterest expense		(5)	-	(1)
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		2	1	1
Interest rate lock commitments	Mortgage banking net revenue		93	114	111
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		6	6	5
Commodity contracts for customers (credit losses)	Other noninterest expense		1	(1)	(2)
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		-	1	6
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Corporate banking revenue		48	62	70
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	-

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, 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

(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, 2016 ($ in millions)	Consolidated Balance Sheets^(a)		Derivatives	Collateral^(b)	Net Amount

Assets:
Derivatives	$	1,044	(374)	(377)		293
Total assets		1,044	(374)	(377)		293

Liabilities:
Derivatives		665	(374)	(125)		166
Total liabilities	$	665	(374)	(125)		166

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.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41641-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
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-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624163-113959

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
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-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41678-113959

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-Publisher FASB
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-Topic 815
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-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41638-113959

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-Publisher FASB
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-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5580258-113959

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-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579245-113959

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959

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-Publisher FASB
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-Publisher FASB
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-Publisher FASB
-Name Accounting Standards Codification
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-Subparagraph (SX 210.4-08.(n)(2))
-URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690

+ Details