Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables summarize assets and liabilities measured at fair value on a recurring basis as of:

	Fair Value Measurements Using
June 30, 2020 ($ in millions)	Level 1		Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agency securities	$	78	—	—	78
Obligations of states and political subdivisions securities	—		17	—	17
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		13,909	—	13,909
Agency commercial mortgage-backed securities	—		17,891	—	17,891
Non-agency commercial mortgage-backed securities	—		3,441	—	3,441
Asset-backed securities and other debt securities	—		2,715	—	2,715
Available-for-sale debt and other securities(a)	78		37,973	—	38,051
Trading debt securities:
U.S. Treasury and federal agency securities	68		26	—	94
Obligations of states and political subdivisions securities	—		22	—	22
Agency residential mortgage-backed securities	—		42	—	42
Asset-backed securities and other debt securities	—		368	—	368
Trading debt securities	68		458	—	526
Equity securities	263		10	—	273
Residential mortgage loans held for sale	—		840	—	840
Residential mortgage loans(b)	—		—	185	185
Commercial loans held for sale	—		15	—	15
Servicing rights	—		—	676	676
Derivative assets:
Interest rate contracts	4		2,694	98	2,796
Foreign exchange contracts	—		212	—	212
Commodity contracts	114		468	—	582
Derivative assets(c)	118		3,374	98	3,590
Total assets	$	527	42,670	959	44,156
Liabilities:
Derivative liabilities:
Interest rate contracts	$	19	310	9	338
Foreign exchange contracts	—		171	—	171
Equity contracts	—		—	183	183
Commodity contracts	29		573	—	602
Derivative liabilities(d)	48		1,054	192	1,294
Short positions:
U.S. Treasury and federal agency securities	109		—	—	109
Asset-backed securities and other debt securities	—		204	—	204
Short positions(d)	109		204	—	313
Total liabilities	$	157	1,258	192	1,607

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $68, $478 and $2, respectively, at June 30, 2020.

(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.

(c)Included in other assets in the Condensed Consolidated Balance Sheets.

(d)Included in other liabilities in the Condensed Consolidated Balance Sheets.

	Fair Value Measurements Using
December 31, 2019 ($ in millions)	Level 1		Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agency securities	$	75	—	—	75
Obligations of states and political subdivisions securities	—		18	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		14,115	—	14,115
Agency commercial mortgage-backed securities	—		15,693	—	15,693
Non-agency commercial mortgage-backed securities	—		3,365	—	3,365
Asset-backed securities and other debt securities	—		2,206	—	2,206
Available-for-sale debt and other securities(a)	75		35,397	—	35,472
Trading debt securities:
U.S. Treasury and federal agency securities	2		—	—	2
Obligations of states and political subdivisions securities	—		9	—	9
Agency residential mortgage-backed securities	—		55	—	55
Asset-backed securities and other debt securities	—		231	—	231
Trading debt securities	2		295	—	297
Equity securities	554		10	—	564
Residential mortgage loans held for sale	—		1,264	—	1,264
Residential mortgage loans(b)	—		—	183	183
Servicing rights	—		—	993	993
Derivative assets:
Interest rate contracts	1		1,218	18	1,237
Foreign exchange contracts	—		165	—	165
Commodity contracts	37		234	—	271
Derivative assets(c)	38		1,617	18	1,673
Total assets	$	669	38,583	1,194	40,446
Liabilities:
Derivative liabilities:
Interest rate contracts	$	5	144	8	157
Foreign exchange contracts	—		151	—	151
Equity contracts	—		—	163	163
Commodity contracts	17		253	—	270
Derivative liabilities(d)	22		548	171	741
Short positions:
U.S. Treasury and federal agency securities	49		—	—	49
Asset-backed securities and other debt securities	—		100	—	100
Short positions(d)	49		100	—	149
Total liabilities	$	71	648	171	890

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $76, $478 and $2, respectively, at December 31, 2019.

(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.

(c)Included in other assets in the Condensed Consolidated Balance Sheets.

(d)Included in other liabilities in the Condensed Consolidated Balance Sheets.

Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs

The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the three months ended June 30, 2020 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	185	685	61	(171)	760
Total (losses) gains (realized/unrealized):(d)
Included in earnings	(2)		(70)	83	(29)	(18)
Purchases/originations	—		61	5	—	66
Settlements	(20)		—	(60)	17	(63)
Transfers into Level 3(b)	22		—	—	—	22
Balance, end of period	$	185	676	89	(183)	767
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains or losses relating to instruments still held at June 30, 2020(c)	$	(2)	(23)	85	(29)	31

(a)Net interest rate derivatives include derivative assets and liabilities of $98 and $9, respectively, as of June 30, 2020.

(b)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

(c)Includes interest income and expense.

(d)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2020.

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the three months ended June 30, 2019 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	190	1,141	2	(143)	1,190
Total (losses) gains (realized/unrealized):
Included in earnings	(1)		(161)	34	(22)	(150)
Purchases/originations	—		59	—	—	59
Settlements	(8)		—	(31)	14	(25)
Transfers into Level 3(b)	11		—	—	—	11
Balance, end of period	$	192	1,039	5	(151)	1,085
The amount of total (losses) gains for the period included in earnings attributable to the change in unrealized gains or losses relating to instruments still held at June 30, 2019(c)	$	(1)	(127)	14	(22)	(136)

(a)Net interest rate derivatives include derivative assets and liabilities of $14 and $9, respectively, as of June 30, 2019.

(b)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

(c)Includes interest income and expense.

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the six months ended June 30, 2020 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	183	993	10	(163)	1,023
Total (losses) gains (realized/unrealized):(d)
Included in earnings	2		(448)	186	(51)	(311)
Purchases/originations	—		131	4	—	135
Settlements	(29)		—	(111)	31	(109)
Transfers into Level 3(b)	29		—	—	—	29
Balance, end of period	$	185	676	89	(183)	767
The amount of total (losses) gains for the period included in earnings attributable to the change in unrealized gains or losses relating to instruments still held at June 30, 2020(c)	$	2	(331)	93	(51)	(287)

(a)Net interest rate derivatives include derivative assets and liabilities of $98 and $9, respectively, as of June 30, 2020.

(b)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

(c)Includes interest income and expense.

(d)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2020.

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the six months ended June 30, 2019 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	179	938	(1)	(125)	991
Total (losses) gains (realized/unrealized):
Included in earnings	(1)		(245)	58	(52)	(240)
Purchases/originations	—		346	(1)	—	345
Settlements	(12)		—	(51)	26	(37)
Transfers into Level 3(b)	26		—	—	—	26
Balance, end of period	$	192	1,039	5	(151)	1,085
The amount of total (losses) gains for the period included in earnings attributable to the change in unrealized gains or losses relating to instruments still held at June 30, 2019(c)	$	(1)	(196)	25	(52)	(224)

(a)Net interest rate derivatives include derivative assets and liabilities of $14 and $9, respectively, as of June 30, 2019.

(b)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

(c)Includes interest income and expense.

Total Gains and Losses Included in Earnings for Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs

The total gains and losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months ended June 30,			For the six months ended June 30,
($ in millions)	2020		2019	2020	2019
Mortgage banking net revenue	$	10	(129)	(261)	(189)
Commercial banking revenue	1		1	1	1
Other noninterest income	(29)		(22)	(51)	(52)
Total losses	$	(18)	(150)	(311)	(240)

The total gains and losses included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at June 30, 2020 and 2019 were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months ended June 30,			For the six months ended June 30,
($ in millions)	2020		2019	2020	2019
Mortgage banking net revenue	$	59	(115)	(237)	(173)
Commercial banking revenue	1		1	1	1
Other noninterest income	(29)		(22)	(51)	(52)
Total (losses) gains	$	31	(136)	(287)	(224)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Recurring

The following tables present information as of June 30, 2020 and 2019 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:

As of June 30, 2020 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	185	Loss rate model	Interest rate risk factor	(7.4)	-	11.6%		0.7	%	(a)
				Credit risk factor	—	-	26.4%		0.4	%	(a)
								(Fixed)	20.1	%	(b)
Servicing rights	676		DCF	Prepayment speed	0.5	-	99.6%	(Adjustable)	23.4	%	(b)
								(Fixed)	784		(b)
				OAS (bps)	536	-	1,386	(Adjustable)	934		(b)
IRLCs, net	91		DCF	Loan closing rates	7.2	-	97.2%		65.7	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(183)		DCF	Timing of the resolution of the Covered Litigation	Q3 2022	-	Q2 2024	Q1 2023			(d)

(a)Unobservable inputs were weighted by the relative carrying value of the instruments.

(b)Unobservable inputs were weighted by the relative unpaid principal balance of the instruments.

(c)Unobservable inputs were weighted by the relative notional amount of the instruments.

(d)Unobservable inputs were weighted by the probability of the final funding date of the instruments.

As of June 30, 2019 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	192	Loss rate model	Interest rate risk factor	(9.5)	-	5.3 %		(0.2)	%
				Credit risk factor	—	-	34.5 %		0.6	%
								(Fixed)	13.2	%
Servicing rights	1,039		DCF	Prepayment speed	1	-	97.0 %	(Adjustable)	23.5	%
								(Fixed)	561
				OAS (bps)	441	-	1,513	(Adjustable)	909
IRLCs, net	14		DCF	Loan closing rates	6.6	-	96.6 %		78.4	%
Swap associated with the sale of Visa, Inc. Class B Shares	(151)		DCF	Timing of the resolution of the Covered Litigation	Q2 2021	-	Q4 2023	Q1 2022

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

The following tables provide the fair value hierarchy and carrying amount of all assets that were held as of June 30, 2020 and 2019, and for which a nonrecurring fair value adjustment was recorded during the three and six months ended June 30, 2020 and 2019, and the related gains and losses from fair value adjustments on assets sold during the period as well as assets still held as of the end of the period.

	Fair Value Measurements Using					Total (Losses) Gains
As of June 30, 2020 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended June 30, 2020	For the six months ended June 30, 2020
Commercial loans held for sale	$	—	37	17	54	(1)	(4)
Commercial and industrial loans	—		—	501	501	(107)	(143)
Commercial mortgage loans	—		—	57	57	(4)	(33)
Commercial leases	—		—	11	11	(7)	(16)
Consumer loans	—		—	186	186	2	3
OREO	—		—	18	18	(1)	(6)
Bank premises and equipment	—		—	14	14	(12)	(14)
Operating lease equipment	—		—	10	10	—	(3)
Private equity investments	—		—	70	70	—	(9)
Total	$	—	37	884	921	(130)	(225)

	Fair Value Measurements Using					Total (Losses) Gains
As of June 30, 2019 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended June 30, 2019	For the six months ended June 30, 2019
Commercial and industrial loans	$	—	—	140	140	(14)	(34)
Commercial mortgage loans	—		—	11	11	1	1
Commercial leases	—		—	15	15	(11)	(12)
OREO	—		—	13	13	(1)	(3)
Bank premises and equipment	—		—	27	27	(2)	(22)
Private equity investments	—		17	2	19	4	6
Total	$	—	17	208	225	(23)	(64)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Nonrecurring

The following tables present information as of June 30, 2020 and 2019 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured on a nonrecurring basis:

As of June 30, 2020 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	16	Comparable company analysis	Market comparable transactions	NM	NM
	1		Appraised value	Appraised value	NM	NM
Commercial and industrial loans	501		Appraised value	Collateral value	NM	NM
Commercial mortgage loans	57		Appraised value	Collateral value	NM	NM
Commercial leases	11		Appraised value	Collateral value	NM	NM
Consumer loans	186		Appraised value	Collateral value	NM	NM
OREO	18		Appraised value	Appraised value	NM	NM
Bank premises and equipment	14		Appraised value	Appraised value	NM	NM
Operating lease equipment	10		Appraised value	Appraised value	NM	NM
Private equity investments	70		Comparable company analysis	Market comparable transactions	NM	NM

As of June 30, 2019 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial and industrial loans	$	140	Appraised value	Collateral value	NM	NM
Commercial mortgage loans	11		Appraised value	Collateral value	NM	NM
Commercial leases	15		Appraised value	Collateral value	NM	NM
OREO	13		Appraised value	Appraised value	NM	NM
Bank premises and equipment	27		Appraised value	Appraised value	NM	NM
Private equity investments	2		Comparable company analysis	Market comparable transactions	NM	NM

Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance for Residential Mortgage and Commercial Loans Measured at Fair Value

The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage and commercial loans measured at fair value as of:

June 30, 2020 ($ in millions)	Aggregate Fair Value		Aggregate Unpaid Principal Balance	Difference
Residential mortgage loans measured at fair value	$	1,025	980	45
Past due loans of 90 days or more	3		3	—
Nonaccrual loans	1		1	—
Commercial loans measured at fair value	15		15	—
December 31, 2019
Residential mortgage loans measured at fair value	$	1,447	1,410	37
Past due loans of 90 days or more	2		2	—
Nonaccrual loans	1		1	—

Carrying Amounts and Estimated Fair Values for Certain Financial Instruments

The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:

	Net Carrying Amount		Fair Value Measurements Using			Total Fair Value
As of June 30, 2020 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	3,221	3,221	—	—	3,221
Other short-term investments	28,243		28,243	—	—	28,243
Other securities	548		—	548	—	548
Held-to-maturity securities	16		—	—	16	16
Loans and leases held for sale	57		—	—	57	57
Portfolio loans and leases:
Commercial and industrial loans	54,672		—	—	54,431	54,431
Commercial mortgage loans	10,860		—	—	10,713	10,713
Commercial construction loans	5,381		—	—	5,538	5,538
Commercial leases	3,019		—	—	2,796	2,796
Residential mortgage loans	15,945		—	—	17,551	17,551
Home equity	5,442		—	—	5,895	5,895
Indirect secured consumer loans	12,224		—	—	12,168	12,168
Credit card	1,884		—	—	2,034	2,034
Other consumer loans	2,745		—	—	2,962	2,962
Total portfolio loans and leases, net	$	112,172	—	—	114,088	114,088
Financial liabilities:
Deposits	$	156,946	—	156,959	—	156,959
Federal funds purchased	262		262	—	—	262
Other short-term borrowings	1,285		—	1,285	—	1,285
Long-term debt	16,327		16,829	965	—	17,794

	Net Carrying Amount		Fair Value Measurements Using			Total Fair Value
As of December 31, 2019 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	3,278	3,278	—	—	3,278
Other short-term investments	1,950		1,950	—	—	1,950
Other securities	556		—	556	—	556
Held-to-maturity securities	17		—	—	17	17
Loans and leases held for sale	136		—	—	136	136
Portfolio loans and leases:
Commercial and industrial loans	49,981		—	—	51,128	51,128
Commercial mortgage loans	10,876		—	—	10,823	10,823
Commercial construction loans	5,045		—	—	5,249	5,249
Commercial leases	3,346		—	—	3,133	3,133
Residential mortgage loans	16,468		—	—	17,509	17,509
Home equity	6,046		—	—	6,315	6,315
Indirect secured consumer loans	11,485		—	—	11,331	11,331
Credit card	2,364		—	—	2,774	2,774
Other consumer loans	2,683		—	—	2,866	2,866
Unallocated ALLL	(121)		—	—	—	—
Total portfolio loans and leases, net	$	108,173	—	—	111,128	111,128
Financial liabilities:
Deposits	$	127,062	—	127,059	—	127,059
Federal funds purchased	260		260	—	—	260
Other short-term borrowings	1,011		—	1,011	—	1,011
Long-term debt	14,970		15,244	700	—	15,944