PNC Bank 2011 Annual Report Download - page 189

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Gains (losses) on derivative instruments and related hedged items follow:
Derivatives Designated in GAAP Hedge Relationships – Fair Value Hedges
December 31, 2011 December 31, 2010
Year ended
In millions
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
Hedged Items Location Amount Amount Amount Amount
Interest rate contracts US Treasury and
Government Agencies
Securities
Investment securities
(interest income)
$(153) $ 162 $ 9 $ (14)
Interest rate contracts Other Debt Securities Investment securities
(interest income) (23) 23 (1) (1)
Interest rate contracts Federal Home Loan
Bank borrowings
Borrowed funds
(interest expense) (66) 64
Interest rate contracts Subordinated debt Borrowed funds
(interest expense) 214 (229) 190 (218)
Interest rate contracts Bank notes and
senior debt
Borrowed funds
(interest expense) 265 (276) 146 (140)
Total $ 303 $(320) $278 $(309)
Derivatives Designated in GAAP Hedge Relationships – Cash Flow Hedges
Year ended
In millions
Gain (Loss) on Derivatives
Recognized in OCI
(Effective Portion)
Gain (Loss) Reclassified from
Accumulated OCI into Income
(Effective Portion)
Gain (Loss) Recognized in
Income on Derivatives
(Ineffective Portion)
Location Amount Location Amount
December 31, 2011 Interest rate contracts $805 Interest income $455 Interest income
Noninterest income 43
December 31, 2010 Interest rate contracts $948 Interest income $339 Interest income
Noninterest income 48
180 The PNC Financial Services Group, Inc. – Form 10-K