Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2011

Derivatives Total Notional or Contractual Amounts and Estimated Net Fair Values

Derivatives Total Notional or Contractual Amounts and Estimated Net Fair Values

					Asset Derivatives								Liability Derivatives
					September 30, 2011				December 31, 2010				September 30, 2011			December 31, 2010
					Notional/				Notional/				Notional/				Notional/
					Contract		Fair		Contract		Fair		Contract		Fair		Contract		Fair
In millions					Amount		Value (a)		Amount		Value (a)		Amount		Value (b)		Amount		Value (b)
Derivatives designated as hedging
	instruments under GAAP
	Interest rate contracts:
		Cash flow hedges		$	14,683	$	642	$	13,635	$	377	$	1,180	$	5	$	3,167	$	53
		Fair value hedges			9,394		1,322		9,878		878		3,083		127		1,594		32
Total derivatives designated as
	hedging instruments			$	24,077	$	1,964	$	23,513	$	1,255	$	4,263	$	132	$	4,761	$	85
Derivatives not designated as hedging
	instruments under GAAP
Derivatives used for residential
	mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts			$	122,737	$	3,393	$	112,236	$	1,490	$	69,383	$	2,853	$	66,476	$	1,419
Loan sales
	Interest rate contracts				8,036		76		11,765		119		4,400		45		3,585		31
			Subtotal	$	130,773	$	3,469	$	124,001	$	1,609	$	73,783	$	2,898	$	70,061	$	1,450
Derivatives used for commercial
	mortgage banking activities:
	Interest rate contracts			$	1,685	$	69	$	1,159	$	75	$	896	$	90	$	1,813	$	111
	Credit contracts:
		Credit default swaps			95		6		210		8
			Subtotal	$	1,780	$	75	$	1,369	$	83	$	896	$	90	$	1,813	$	111
Derivatives used for
	customer-related activities:
	Interest rate contracts			$	62,607	$	3,778	$	54,060	$	2,611	$	59,434	$	3,869	$	49,619	$	2,703
	Foreign exchange contracts				6,206		285		3,659		149		5,249		204		4,254		155
	Equity contracts				201		16		195		16		142		18		139		19
	Credit contracts:
		Risk participation agreements			1,411		7		1,371		5		1,668		5		1,367		2
			Subtotal	$	70,425	$	4,086	$	59,285	$	2,781	$	66,493	$	4,096	$	55,379	$	2,879
Derivatives used for other risk
	management activities:
	Interest rate contracts			$	1,459	$	6	$	3,420	$	20	$	2,024	$	36	$	1,099	$	9
	Foreign exchange contracts												27		2		32		4
	Credit contracts:
		Credit default swaps			258		8		376		9		140		1		175		1
	Other contracts (c)												111		174		209		396
			Subtotal	$	1,717	$	14	$	3,796	$	29	$	2,302	$	213	$	1,515	$	410
Total derivatives not designated
	as hedging instruments			$	204,695	$	7,644	$	188,451	$	4,502	$	143,474	$	7,297	$	128,768	$	4,850
Total Gross Derivatives				$	228,772	$	9,608	$	211,964	$	5,757	$	147,737	$	7,429	$	133,529	$	4,935
Less: Legally enforceable master
	netting agreements						5,664				3,203				5,664				3,203
Less: Cash collateral							809				659				773				674
Total Net Derivatives						$	3,135			$	1,895			$	992			$	1,058
(a)		Included in Other Assets on our Consolidated Balance Sheet.
(b)		Included in Other Liabilities on our Consolidated Balance Sheet.
(c)		Includes PNC's obligation to fund a portion of certain BlackRock LTIP programs.

Derivatives Designated in GAAP Hedge Relationships - Fair Value Hedges

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

Derivatives Designated in GAAP Hedge Relationships – Fair Value Hedges

September 30, 2011

September 30, 2010

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

(154)

161

(75)

Interest rate contracts

Other Debt Securities

Investment securities

(interest income)

(24)

Interest rate contracts

Federal Home Loan

Borrowed funds

Bank borrowings

(interest expense)

(65)

Interest rate contracts

Subordinated debt

Borrowed funds

(interest expense)

223

(236)

395

(409)

Interest rate contracts

Bank notes and

Borrowed funds

senior debt

(interest expense)

269

(278)

359

(347)

Total

314

(329)

614

(622)

September 30, 2011

September 30, 2010

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

(129)

135

(48)

Interest rate contracts

Other Debt Securities

Investment securities

(interest income)

(15)

Interest rate contracts

Federal Home Loan

Borrowed funds

Bank borrowings

(interest expense)

(17)

Interest rate contracts

Subordinated debt

Borrowed funds

(interest expense)

193

(193)

135

(137)

Interest rate contracts

Bank notes and

Borrowed funds

senior debt

(interest expense)

221

(220)

145

(149)

Total

270

(263)

215

(225)

Derivatives Designated in GAAP Hedge Relationships - Cash Flow Hedges

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, 2011	Interest rate contracts	$	703	Interest income	$	332	Interest income
				Noninterest income		41
September 30, 2010	Interest rate contracts	$	1,066	Interest income	$	259	Interest income
				Noninterest income		33

		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, 2011	Interest rate contracts	$	423	Interest income	$	120	Interest income
				Noninterest income		8
September 30, 2010	Interest rate contracts	$	341	Interest income	$	84	Interest income	$	(2)
				Noninterest income		8

Derivatives Not Designated as Hedging Instruments under GAAP

Derivatives Not Designated as Hedging Instruments under GAAP

				Three months ended			Nine months ended
				September 30				September 30
In millions				2011		2010		2011		2010
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
	Interest rate contracts		$	339	$	231	$	504	$	652
Loan sales
	Interest rate contracts			(12)		(15)		(15)		(92)
		Gains (losses) included in residential mortgage banking activities (a)	$	327	$	216	$	489	$	560
Derivatives used for commercial mortgage banking activities:
	Interest rate contracts		$	(7)	$	(17)	$	(12)	$	(88)
	Credit contracts			4		(9)		8		(18)
		Gains (losses) from commercial mortgage banking activities (b)	$	(3)	$	(26)	$	(4)	$	(106)
Derivatives used for customer-related activities:
	Interest rate contracts		$	6	$	(12)	$	46	$	(39)
	Foreign exchange contracts			42		22		64		28
	Equity contracts			1		(1)		(2)
	Credit contracts			2				4		(2)
		Gains (losses) from customer-related activities (b)	$	51	$	9	$	112	$	(13)
Derivatives used for other risk management activities:
	Interest rate contracts		$	(40)		(2)	$	(42)	$	(16)
	Foreign exchange contracts			3		(5)				(3)
	Credit contracts			1		1		(1)		5
	Other contracts (c)			80		(56)		50		128
		Gains (losses) from other risk management activities (b)	$	44	$	(62)	$	7	$	114
Total gains (losses) from derivatives not designated as hedging instruments			$	419	$	137	$	604	$	555
(a)		Included in residential mortgage noninterest income.
(b)		Included in other noninterest income.
(c)		Relates to BlackRock LTIP.

Credit Default Swaps

Credit Default Swaps

			September 30, 2011					December 31, 2010
						Weighted-					Weighted-
						Average					Average
				Estimated		Remaining			Estimated		Remaining
		Notional		Net Fair		Maturity	Notional		Net Fair		Maturity
Dollars in millions		Amount		Value		In Years	Amount		Value		In Years
Credit Default Swaps – Sold
Single name		$	45	$	1	2.1	$	45	$	4	2.8
Index traded			118			1.9		189		2	2.0
	Total	$	163	$	1	1.9	$	234	$	6	2.2
Credit Default Swaps – Purchased
Single name		$	270	$	6	3.3	$	317	$	2	2.6
Index traded			60		6	37.5		210		8	38.8
	Total	$	330	$	12	9.5	$	527	$	10	17.0
Total		$	493	$	13	7.0	$	761	$	16	12.5

Credit Ratings of Credit Default Swaps

Credit Ratings of Credit Default Swaps

		September 30,			December 31,
Dollars in millions			2011			2010
Credit Default Swaps – Sold
Investment grade (a)			$	139		$	220
Subinvestment grade (b)				24			14
	Total		$	163		$	234
Credit Default Swaps – Purchased
Investment grade (a)			$	235		$	385
Subinvestment grade (b)				95			142
	Total		$	330		$	527
Total			$	493		$	761
(a)	Investment grade with a rating of BBB-/Baa3 or above based on published rating agency information.
(b)	Subinvestment grade with a rating below BBB-/Baa3 based on published rating agency information.

Referenced/Underlying Assets of Credit Default Swaps

Referenced/Underlying Assets of Credit Default Swaps

		Commercial
	Corporate	mortgage-backed
	Debt	securities	Loans
September 30, 2011	75%	12%	13%
December 31, 2010	62%	28%	10%

Risk Participation Agreements Sold

Risk Participation Agreements Sold

					Weighted-Average
	Notional		Estimated		Remaining Maturity
Dollars in millions	Amount		Net Fair Value		In Years
September 30, 2011	$	1,668	$	(5)	7.3
December 31, 2010	$	1,367	$	(2)	2.0

Internal Credit Ratings of Risk Participation Agreements Sold

Internal Credit Ratings of Risk Participation Agreements Sold

		September 30, 2011		December 31, 2010
Pass (a)		99	%	95	%
Below pass (b)		1	%	5	%
(a)	Indicates the expected risk of default is currently low.
(b)	Indicates a higher degree of risk of default.