Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022 ($ 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	$	1,688	—	—	1,688
Obligations of states and political subdivisions securities	—		18	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		10,891	—	10,891
Agency commercial mortgage-backed securities	—		24,593	—	24,593
Non-agency commercial mortgage-backed securities	—		4,969	—	4,969
Asset-backed securities and other debt securities	—		6,155	—	6,155
Available-for-sale debt and other securities(a)	1,688		46,626	—	48,314
Trading debt securities:
U.S. Treasury and federal agencies securities	50		12	—	62
Obligations of states and political subdivisions securities	—		20	—	20
Agency residential mortgage-backed securities	—		9	—	9
Asset-backed securities and other debt securities	—		233	—	233
Trading debt securities	50		274	—	324
Equity securities	346		12	—	358
Residential mortgage loans held for sale	—		858	—	858
Residential mortgage loans(b)	—		—	145	145
Servicing rights	—		—	1,444	1,444
Derivative assets:
Interest rate contracts	41		798	8	847
Foreign exchange contracts	—		367	—	367
Commodity contracts	59		2,997	—	3,056
Derivative assets(c)	100		4,162	8	4,270
Total assets	$	2,184	51,932	1,597	55,713
Liabilities:
Derivative liabilities:
Interest rate contracts	$	7	718	10	735
Foreign exchange contracts	—		357	—	357
Equity contracts	—		—	198	198
Commodity contracts	700		2,251	—	2,951
Derivative liabilities(d)	707		3,326	208	4,241
Short positions:
U.S. Treasury and federal agencies securities	70		—	—	70
Asset-backed securities and other debt securities	—		209	—	209
Short positions(d)	70		209	—	279
Total liabilities	$	777	3,535	208	4,520

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $30, $486 and $2, respectively, at March 31, 2022.

(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, 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	$	86	—	—	86
Obligations of states and political subdivisions securities	—		18	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		8,782	—	8,782
Agency commercial mortgage-backed securities	—		18,951	—	18,951
Non-agency commercial mortgage-backed securities	—		4,479	—	4,479
Asset-backed securities and other debt securities	—		5,275	—	5,275
Available-for-sale debt and other securities(a)	86		37,505	—	37,591
Trading debt securities:
U.S. Treasury and federal agencies securities	72		12	—	84
Obligations of states and political subdivisions securities	—		32	—	32
Agency residential mortgage-backed securities	—		105	—	105
Asset-backed securities and other debt securities	—		291	—	291
Trading debt securities	72		440	—	512
Equity securities	365		11	—	376
Residential mortgage loans held for sale	—		1,023	—	1,023
Residential mortgage loans(b)	—		—	154	154
Servicing rights	—		—	1,121	1,121
Derivative assets:
Interest rate contracts	2		1,245	12	1,259
Foreign exchange contracts	—		323	—	323
Commodity contracts	26		1,300	—	1,326
Derivative assets(c)	28		2,868	12	2,908
Total assets	$	551	41,847	1,287	43,685
Liabilities:
Derivative liabilities:
Interest rate contracts	$	2	231	8	241
Foreign exchange contracts	—		298	—	298
Equity contracts	—		—	214	214
Commodity contracts	285		975	—	1,260
Derivative liabilities(d)	287		1,504	222	2,013
Short positions:
U.S. Treasury and federal agencies securities	96		—	—	96
Asset-backed securities and other debt securities	—		201	—	201
Short positions(d)	96		201	—	297
Total liabilities	$	383	1,705	222	2,310

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $30, $486 and $3, respectively, at December 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.

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, 2022 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	154	1,121	4	(214)	1,065
Total (losses) gains (realized/unrealized):(b)
Included in earnings	(6)		137	2	(11)	122
Purchases/originations	—		186	(2)	—	184
Settlements	(9)		—	(6)	27	12
Transfers into Level 3(c)	6		—	—	—	6
Balance, end of period	$	145	1,444	(2)	(198)	1,389
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, 2022	$	(6)	207	7	(11)	197

(a)Net interest rate derivatives include derivative assets and liabilities of $8 and $10, respectively, as of March 31, 2022.

(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at March 31, 2022.

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

	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):(b)
Included in earnings	(1)		71	35	(13)	92
Purchases/originations	—		57	(1)	—	56
Settlements	(16)		—	(57)	19	(54)
Transfers into Level 3(c)	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	$	(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)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at March 31, 2021.

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

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)	2022		2021
Mortgage banking net revenue	$	132	104
Commercial banking revenue	1		1
Other noninterest income	(11)		(13)
Total gains	$	122	92

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, 2022 and 2021 were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months ended March 31,
($ in millions)	2022		2021
Mortgage banking net revenue	$	207	165
Commercial banking revenue	1		1
Other noninterest income	(11)		(13)
Total gains	$	197	153

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

The following tables present information as of March 31, 2022 and 2021 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, 2022 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	145	Loss rate model	Interest rate risk factor	(13.2)	-	5.9%		(3.7)	%	(a)
				Credit risk factor	—	-	20.7%		0.2	%	(a)
								(Fixed)	6.7	%	(b)
Servicing rights	1,444		DCF	Prepayment speed	—	-	100%	(Adjustable)	19.7	%	(b)
								(Fixed)	749		(b)
				OAS (bps)	615	-	1,513	(Adjustable)	1,092		(b)
IRLCs, net	6		DCF	Loan closing rates	42.0	-	98.3%		85.9	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(198)		DCF	Timing of the resolution    of the Covered Litigation	Q1 2023	-	Q2 2025	Q2 2024			(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, 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.

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, 2022 and 2021, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2022 and 2021, 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, 2022 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended March 31, 2022
Commercial loans and leases	$	—	—	178	178	(32)
Consumer and residential mortgage loans	—		—	117	117	—
OREO	—		—	1	1	1
Bank premises and equipment	—		—	1	1	—
Operating lease equipment	—		—	6	6	(2)
Private equity investments	—		9	2	11	(6)
Total	$	—	9	305	314	(39)

	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 loans and leases	—		—	311	311	(5)
Consumer and residential mortgage 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)

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

The following tables present information as of March 31, 2022 and 2021 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, 2022 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans and leases	$	178	Appraised value	Collateral value	NM	NM
Consumer and residential mortgage loans	117		Appraised value	Collateral value	NM	NM
OREO	1		Appraised value	Appraised value	NM	NM
Bank premises and equipment	1		Appraised value	Appraised value	NM	NM
Operating lease equipment	6		Appraised value	Appraised value	NM	NM
Private equity investments	2		Comparable company analysis	Market comparable transactions	NM	NM

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 loans and leases	311		Appraised value	Collateral value	NM	NM
Consumer and residential mortgage 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

Difference Between the Fair Value and the Unpaid Principal Balance for Loans

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

March 31, 2022 ($ in millions)	Aggregate Fair Value		Aggregate Unpaid Principal Balance	Difference
Residential mortgage loans measured at fair value	$	1,003	1,013	(10)
Past due loans of 90 days or more	3		3	—
Nonaccrual loans	1		1	—
December 31, 2021
Residential mortgage loans measured at fair value	$	1,177	1,149	28
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, 2022 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	3,049	3,049	—	—	3,049
Other short-term investments	20,529		20,529	—	—	20,529
Other securities	518		—	518	—	518
Held-to-maturity securities	6		—	—	6	6
Loans and leases held for sale	1,758		—	—	1,767	1,767
Portfolio loans and leases:
Commercial loans and leases	71,828		—	—	72,153	72,153
Consumer and residential mortgage loans	41,984		—	—	41,802	41,802
Total portfolio loans and leases, net	$	113,812	—	—	113,955	113,955
Financial liabilities:
Deposits	$	170,611	—	170,585	—	170,585
Federal funds purchased	250		250	—	—	250
Other short-term borrowings	872		—	872	—	872
Long-term debt	10,571		10,659	376	—	11,035

	Net Carrying Amount		Fair Value Measurements Using			Total Fair Value
As of December 31, 2021 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	2,994	2,994	—	—	2,994
Other short-term investments	34,572		34,572	—	—	34,572
Other securities	519		—	519	—	519
Held-to-maturity securities	8		—	—	8	8
Loans and leases held for sale	3,392		—	—	3,405	3,405
Portfolio loans and leases:
Commercial loans and leases	69,166		—	—	69,924	69,924
Consumer and residential mortgage loans	40,838		—	—	41,632	41,632
Total portfolio loans and leases, net	$	110,004	—	—	111,556	111,556
Financial liabilities:
Deposits	$	169,324	—	169,316	—	169,316
Federal funds purchased	281		281	—	—	281
Other short-term borrowings	980		—	980	—	980
Long-term debt	11,425		12,091	387	—	12,478