Financial Derivatives (Tables)

12 Months Ended

Dec. 31, 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 81: Total Gross Derivatives

	December 31, 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)	$	34,059	$	114		$	94		$	34,010	$	551		$	214
Cash flow hedges (d)	23,875		60			6			20,831		313			71
Foreign exchange contracts:
Net investment hedges	1,060					11			945		25
Total derivatives designated for hedging	$	58,994	$	174		$	111		$	55,786	$	889		$	285
Derivatives not used for hedging under GAAP
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps (d)	$	48,335	$	162		$	42		$	49,071	$	783		$	505
Futures (f)	47,494								36,264
Mortgage-backed commitments	8,999		19			9			13,317		96			56
Other	2,530		11			2			31,907		28			4
Subtotal	107,358		192			53			130,559		907			565
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps (d)	194,042		2,079			1,772			173,777		2,373			2,214
Futures (f)	3,453								4,053
Mortgage-backed commitments	2,228		2			2			2,955		10			8
Other	17,775		75			36			16,203		55			53
Subtotal	217,498		2,156			1,810			196,988		2,438			2,275
Foreign exchange contracts and other	27,330		349			332			21,889		342			309
Subtotal	244,828		2,505			2,142			218,877		2,780			2,584
Derivatives used for other risk management activities:
Foreign exchange contracts and other (g)	7,445		3			550			5,581		40			405
Total derivatives not designated for hedging	$	359,631	$	2,700		$	2,745		$	355,017	$	3,727		$	3,554
Total gross derivatives	$	418,625	$	2,874		$	2,856		$	410,803	$	4,616		$	3,839
Less: Impact of legally enforceable master netting agreements (d)			(1,054		)	(1,054		)			(2,460		)	(2,460		)
Less: Cash collateral received/paid (d)			(636		)	(763		)			(657		)	(484		)
Total derivatives			$	1,184		$	1,039				$	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 is treated as a settlement payment on the derivative instrument. The impact at December 31, 2017 was a reduction of gross derivative assets and gross derivative liabilities by $.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 85 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

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

Table 82: Gains (Losses) on Derivatives and Related Hedged Items – Fair Value Hedges (a)

			Year ended
			December 31, 2017						December 31, 2016						December 31, 2015
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
Interest rate contracts	U.S. Treasury and Government Agencies and Other Debt Securities	Investment securities (interest income)	$	48		$	(50	)	$	142		$	(141	)
Interest rate contracts	Subordinated Debt and Bank Notes and Senior Debt	Borrowed funds (interest expense)	(284		)	268			(332		)	299			$	(108	)	$	67
Total (a)			$	(236	)	$	218		$	(190	)	$	158		$	(108	)	$	67

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

	Year ended December 31
In millions	2017			2016			2015
Gains (losses) on derivatives     recognized in OCI – (effective     portion)	$	(90	)	$	100		$	415
Less: Gains (losses) reclassified from     accumulated OCI into income –      (effective portion)
Interest income	$	180		$	253		$	293
Noninterest income	17						(5		)
Total gains (losses) reclassified from     accumulated OCI into income –      (effective portion)	$	197		$	253		$	288
Net unrealized gains (losses) on cash     flow hedge derivatives	$	(287	)	$	(153	)	$	127

(a) All cash flow hedge derivatives are interest rate contracts as of December 31, 2017, December 31, 2016 and December 31, 2015.

(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

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

Table 84: Gains (Losses) on Derivatives Not Designated for Hedging under GAAP

	Year ended December 31
In millions	2017			2016			2015
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	75		$	152		$	220
Derivatives used for customer-related activities:
Interest rate contracts	95			78			71
Foreign exchange contracts and other	146			84			78
Gains (losses) from customer-related activities (b)	241			162			149
Derivatives used for other risk management activities:
Foreign exchange contracts and other (c)	(525		)	(7		)	282
Gains (losses) from other risk management activities (b)	(525		)	(7		)	282
Total gains (losses) from derivatives not designated as hedging instruments	$	(209	)	$	307		$	651

(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 85: Derivative Assets and Liabilities Offsetting

	Gross Fair Value		Amounts Offset on the Consolidated Balance Sheet				Net Fair Value			Securities Collateral Held / (Pledged) Under Master Netting Agreements		Net Amounts
December 31, 2017 In millions			Fair Value Offset Amount		Cash Collateral
Derivative assets
Interest rate contracts:
Over-the-counter cleared (a)	$	827	$	251	$	567	$	9				$	9
Over-the-counter	1,695		668		67		960			$	32	928
Foreign exchange and other contracts	352		135		2		215					215
Total derivative assets	$	2,874	$	1,054	$	636	$	1,184	(b)	$	32	$	1,152
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared (a)	$	260	$	251			$	9				$	9
Over-the-counter	1,703		662		$	669	372					372
Foreign exchange and other contracts	893		141		94		658					658
Total derivative liabilities	$	2,856	$	1,054	$	763	$	1,039	(c)			$	1,039
December 31, 2016 In millions
Derivative assets
Interest rate contracts:
Over-the-counter cleared (a)	$	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 (a)	$	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.