Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

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
March 31, 2021 ($ in millions)	Level 1		Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities	$	77	—	—	77
Obligations of states and political subdivisions securities	—		18	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		12,095	—	12,095
Agency commercial mortgage-backed securities	—		18,198	—	18,198
Non-agency commercial mortgage-backed securities	—		3,403	—	3,403
Asset-backed securities and other debt securities	—		3,283	—	3,283
Available-for-sale debt and other securities(a)	77		36,997	—	37,074
Trading debt securities:
U.S. Treasury and federal agencies securities	39		3	—	42
Obligations of states and political subdivisions securities	—		30	—	30
Agency residential mortgage-backed securities	—		85	—	85
Asset-backed securities and other debt securities	—		571	—	571
Trading debt securities	39		689	—	728
Equity securities	304		11	—	315
Residential mortgage loans held for sale	—		1,801	—	1,801
Residential mortgage loans(b)	—		—	153	153
Commercial loans held for sale	—		9	—	9
Servicing rights	—		—	784	784
Derivative assets:
Interest rate contracts	59		1,607	39	1,705
Foreign exchange contracts	—		250	—	250
Commodity contracts	22		540	—	562
Derivative assets(c)	81		2,397	39	2,517
Total assets	$	501	41,904	976	43,381
Liabilities:
Derivative liabilities:
Interest rate contracts	$	8	256	9	273
Foreign exchange contracts	—		215	—	215
Equity contracts	—		—	195	195
Commodity contracts	161		383	—	544
Derivative liabilities(d)	169		854	204	1,227
Short positions:
U.S. Treasury and federal agencies securities	174		—	—	174
Asset-backed securities and other debt securities	—		333	—	333
Short positions(d)	174		333	—	507
Total liabilities	$	343	1,187	204	1,734

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $36, $483 and $2, respectively, at March 31, 2021.

(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, 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 agencies securities	$	78	—	—	78
Obligations of states and political subdivisions securities	—		17	—	17
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		11,907	—	11,907
Agency commercial mortgage-backed securities	—		18,221	—	18,221
Non-agency commercial mortgage-backed securities	—		3,590	—	3,590
Asset-backed securities and other debt securities	—		3,176	—	3,176
Available-for-sale debt and other securities(a)	78		36,911	—	36,989
Trading debt securities:
U.S. Treasury and federal agencies securities	81		—	—	81
Obligations of states and political subdivisions securities	—		10	—	10
Agency residential mortgage-backed securities	—		30	—	30
Asset-backed securities and other debt securities	—		439	—	439
Trading debt securities	81		479	—	560
Equity securities	293		20	—	313
Residential mortgage loans held for sale	—		1,481	—	1,481
Residential mortgage loans(b)	—		—	161	161
Servicing rights	—		—	656	656
Derivative assets:
Interest rate contracts	1		2,227	61	2,289
Foreign exchange contracts	—		255	—	255
Commodity contracts	24		351	—	375
Derivative assets(c)	25		2,833	61	2,919
Total assets	$	477	41,724	878	43,079
Liabilities:
Derivative liabilities:
Interest rate contracts	$	16	261	8	285
Foreign exchange contracts	—		227	—	227
Equity contracts	—		—	201	201
Commodity contracts	55		304	—	359
Derivative liabilities(d)	71		792	209	1,072
Short positions:
U.S. Treasury and federal agencies securities	63		—	—	63
Asset-backed securities and other debt securities	—		392	—	392
Short positions(d)	63		392	—	455
Total liabilities	$	134	1,184	209	1,527

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $40, $482 and $2, respectively, at December 31, 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.

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 March 31, 2021 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	161	656	53	(201)	669
Total gains (losses) (realized/unrealized):(d)
Included in earnings	(1)		71	35	(13)	92
Purchases/originations	—		57	(1)	—	56
Settlements	(16)		—	(57)	19	(54)
Transfers into Level 3(b)	9		—	—	—	9
Balance, end of period	$	153	784	30	(195)	772
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 March 31, 2021(c)	$	(1)	138	29	(13)	153

(a)Net interest rate derivatives include derivative assets and liabilities of $39 and $9, respectively, as of March 31, 2021.

(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 March 31, 2021.

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the three months ended March 31, 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	4		(378)	103	(22)	(293)
Purchases/originations	—		70	(1)	—	69
Settlements	(9)		—	(51)	14	(46)
Transfers into Level 3(b)	7		—	—	—	7
Balance, end of period	$	185	685	61	(171)	760
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 March 31, 2020(c)	$	4	(341)	70	(22)	(289)

(a)Net interest rate derivatives include derivative assets and liabilities of $69 and $8, respectively, as of March 31, 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 March 31, 2020.

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 March 31,
($ in millions)	2021		2020
Mortgage banking net revenue	$	104	(271)
Commercial banking revenue	1		—
Other noninterest income	(13)		(22)
Total gains (losses)	$	92	(293)

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 March 31, 2021 and 2020 were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months ended March 31,
($ in millions)	2021		2020
Mortgage banking net revenue	$	165	(267)
Commercial banking revenue	1		—
Other noninterest income	(13)		(22)
Total gains (losses)	$	153	(289)

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

The following tables present information as of March 31, 2021 and 2020 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 March 31, 2021 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	153	Loss rate model	Interest rate risk factor	(9.3)	-	7.8%		0.8	%	(a)
				Credit risk factor	—	-	25.6%		0.4	%	(a)
								(Fixed)	13.0	%	(b)
Servicing rights	784		DCF	Prepayment speed	0.4	-	99.9%	(Adjustable)	21.4	%	(b)
								(Fixed)	645		(b)
				OAS (bps)	536	-	1,587	(Adjustable)	968		(b)
IRLCs, net	38		DCF	Loan closing rates	7.2	-	97.2%		75.9	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(195)		DCF	Timing of the resolution of the Covered Litigation	Q4 2022	-	Q4 2024	Q3 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 March 31, 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	(2.1)	-	13.1 %		2.2	%	(a)
				Credit risk factor	—	-	40.6 %		0.7	%	(a)
								(Fixed)	19.5	%	(b)
Servicing rights	685		DCF	Prepayment speed	0.5	-	97.0 %	(Adjustable)	23.8	%	(b)
								(Fixed)	926		(b)
				OAS (bps)	536	-	1,513	(Adjustable)	932		(b)
IRLCs, net	69		DCF	Loan closing rates	7.3	-	97.2 %		70.1	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(171)		DCF	Timing of the resolution of the Covered Litigation	Q2 2022	-	Q1 2024	Q4 2022			(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.

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 March 31, 2021 and 2020, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2021 and 2020, 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 March 31, 2021 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended March 31, 2021
Commercial loans held for sale	$	—	—	14	14	1
Commercial and industrial loans	—		—	280	280	(6)
Commercial mortgage loans	—		—	28	28	—
Commercial leases	—		—	3	3	1
Consumer loans	—		—	153	153	(2)
OREO	—		—	9	9	(6)
Bank premises and equipment	—		—	7	7	(2)
Operating lease equipment	—		—	35	35	(25)
Private equity investments	—		1	1	2	—
Total	$	—	1	530	531	(39)

	Fair Value Measurements Using					Total (Losses) Gains
As of March 31, 2020 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended March 31, 2020
Commercial loans held for sale	$	—	41	16	57	(3)
Commercial and industrial loans	—		—	141	141	(36)
Commercial mortgage loans	—		—	45	45	(29)
Commercial leases	—		—	8	8	(9)
Consumer loans	—		—	124	124	1
OREO	—		—	17	17	(4)
Bank premises and equipment	—		—	8	8	(3)
Operating lease equipment	—		—	10	10	(3)
Private equity investments	—		—	70	70	(9)
Total	$	—	41	439	480	(95)

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

The following tables present information as of March 31, 2021 and 2020 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 March 31, 2021 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	14	Comparable company analysis	Market comparable transactions	NM	NM
Commercial and industrial loans	280		Appraised value	Collateral value	NM	NM
Commercial mortgage loans	28		Appraised value	Collateral value	NM	NM
Commercial leases	3		Appraised value	Collateral value	NM	NM
Consumer loans	153		Appraised value	Collateral value	NM	NM
OREO	9		Appraised value	Appraised value	NM	NM
Bank premises and equipment	7		Appraised value	Appraised value	NM	NM
Operating lease equipment	35		Appraised value	Appraised value	NM	NM
Private equity investments	1		Comparable company analysis	Market comparable transactions	NM	NM

As of March 31, 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
Commercial and industrial loans	141		Appraised value	Collateral value	NM	NM
Commercial mortgage loans	45		Appraised value	Collateral value	NM	NM
Commercial leases	8		Appraised value	Collateral value	NM	NM
Consumer loans	124		Appraised value	Collateral value	NM	NM
OREO	17		Appraised value	Appraised value	NM	NM
Bank premises and equipment	8		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

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:

March 31, 2021 ($ in millions)	Aggregate Fair Value		Aggregate Unpaid Principal Balance	Difference
Residential mortgage loans measured at fair value	$	1,954	1,924	30
Past due loans of 90 days or more	3		3	—
Nonaccrual loans	—		—	—
Commercial loans measured at fair value	9		9	—
December 31, 2020
Residential mortgage loans measured at fair value	$	1,642	1,567	75
Past due loans of 90 days or more	3		3	—
Nonaccrual loans	—		—	—

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 March 31, 2021 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	3,122	3,122	—	—	3,122
Other short-term investments	34,187		34,187	—	—	34,187
Other securities	521		—	521	—	521
Held-to-maturity securities	10		—	—	10	10
Loans and leases held for sale	3,667		—	—	3,677	3,677
Portfolio loans and leases:
Commercial and industrial loans	48,289		—	—	48,868	48,868
Commercial mortgage loans	10,092		—	—	9,851	9,851
Commercial construction loans	6,087		—	—	6,266	6,266
Commercial leases	3,231		—	—	3,197	3,197
Residential mortgage loans	15,376		—	—	16,338	16,338
Home equity	4,650		—	—	4,894	4,894
Indirect secured consumer loans	14,224		—	—	13,960	13,960
Credit card	1,584		—	—	1,753	1,753
Other consumer loans	2,961		—	—	3,180	3,180
Total portfolio loans and leases, net	$	106,494	—	—	108,307	108,307
Financial liabilities:
Deposits	$	162,393	—	162,398	—	162,398
Federal funds purchased	302		302	—	—	302
Other short-term borrowings	1,106		—	1,106	—	1,106
Long-term debt	14,743		15,200	798	—	15,998

	Net Carrying Amount		Fair Value Measurements Using			Total Fair Value
As of December 31, 2020 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	3,147	3,147	—	—	3,147
Other short-term investments	33,399		33,399	—	—	33,399
Other securities	524		—	524	—	524
Held-to-maturity securities	11		—	—	11	11
Loans and leases held for sale	3,260		—	—	3,269	3,269
Portfolio loans and leases:
Commercial and industrial loans	48,764		—	—	49,140	49,140
Commercial mortgage loans	10,200		—	—	9,968	9,968
Commercial construction loans	5,691		—	—	5,860	5,860
Commercial leases	2,886		—	—	2,842	2,842
Residential mortgage loans	15,473		—	—	16,884	16,884
Home equity	4,982		—	—	5,275	5,275
Indirect secured consumer loans	13,522		—	—	13,331	13,331
Credit card	1,755		—	—	1,934	1,934
Other consumer loans	2,895		—	—	3,098	3,098
Total portfolio loans and leases, net	$	106,168	—	—	108,332	108,332
Financial liabilities:
Deposits	$	159,081	—	159,094	—	159,094
Federal funds purchased	300		300	—	—	300
Other short-term borrowings	1,192		—	1,192	—	1,192
Long-term debt	14,973		15,606	923	—	16,529