XML 66 R50.htm IDEA: XBRL DOCUMENT v3.22.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 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
June 30, 2022 ($ in millions)Level 1Level 2Level 3Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities$2,093 — — 2,093 
Obligations of states and political subdivisions securities— 18 — 18 
Mortgage-backed securities:

Agency residential mortgage-backed securities— 11,939 — 11,939 
Agency commercial mortgage-backed securities— 26,873 — 26,873 
Non-agency commercial mortgage-backed securities— 4,770 — 4,770 
Asset-backed securities and other debt securities— 6,338 — 6,338 
Available-for-sale debt and other securities(a)
2,093 49,938 — 52,031 
Trading debt securities:

U.S. Treasury and federal agencies securities9 21 — 30 
Obligations of states and political subdivisions securities— 25 — 25 
Agency residential mortgage-backed securities— 15 — 15 
Asset-backed securities and other debt securities— 223 — 223 
Trading debt securities9 284 — 293 
Equity securities316 10 — 326 
Residential mortgage loans held for sale— 1,406 — 1,406 
Residential mortgage loans(b)
— — 133 133 
Servicing rights— — 1,582 1,582 
Derivative assets:
Interest rate contracts11 789 17 817 
Foreign exchange contracts— 535 — 535 
Commodity contracts49 2,734 — 2,783 
Derivative assets(c)
60 4,058 17 4,135 
Total assets$2,478 55,696 1,732 59,906 
Liabilities:

Derivative liabilities:

Interest rate contracts$9 1,089 9 1,107 
Foreign exchange contracts— 482 — 482 
Equity contracts— — 199 199 
Commodity contracts519 2,072 — 2,591 
Derivative liabilities(d)
528 3,643 208 4,379 
Short positions:

U.S. Treasury and federal agencies securities62 — — 62 
Asset-backed securities and other debt securities— 141 — 141 
Short positions(d)
62 141 — 203 
Total liabilities$590 3,784 208 4,582 
(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $315, $489 and $2, respectively, at June 30, 2022.
(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c)Included in other assets in the Condensed Consolidated Balance Sheets.
(d)Included in other liabilities in the Condensed Consolidated Balance Sheets.
Fair Value Measurements Using
December 31, 2021 ($ in millions)Level 1Level 2Level 3Total 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 securities72 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 securities72 440 — 512 
Equity securities365 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 contracts2 1,245 12 1,259 
Foreign exchange contracts— 323 — 323 
Commodity contracts26 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 contracts285 975 — 1,260 
Derivative liabilities(d)
287 1,504 222 2,013 
Short positions:
U.S. Treasury and federal agencies securities96 — — 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 $3, respectively, at December 31, 2021.
(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c)Included in other assets in the Condensed Consolidated Balance Sheets.
(d)Included in other liabilities in the Condensed Consolidated Balance Sheets.
Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs
The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the three months ended June 30, 2022 ($ in millions)
Residential
Mortgage
Loans		Servicing
Rights
Interest Rate
Derivatives,
Net(a)
Equity
Derivatives		Total
Fair Value
Balance, beginning of period$145 1,444 (2)(198)1,389 
Total gains (losses) (realized/unrealized):(b)
 Included in earnings(7)32 12 (18)19 
Purchases/originations/acquisitions— 106 4 — 110 
Settlements(6)— (6)17 5 
Transfers into Level 3(c)
1 — — — 1 
Balance, end of period$133 1,582 8 (199)1,524 
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, 2022
$(7)65 12 (18)52 
(a)Net interest rate derivatives include derivative assets and liabilities of $17 and $9, respectively, as of June 30, 2022.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 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 June 30, 2021 ($ in millions)
Residential
Mortgage
Loans		Servicing
Rights
Interest Rate
Derivatives,
Net(a)
Equity
Derivatives		Total
Fair Value
Balance, beginning of period$153 784 30 (195)772 
Total (losses) gains (realized/unrealized):(b)
 Included in earnings— (122)57 (37)(102)
Purchases/originations— 156 — — 156 
Settlements(12)— (56)19 (49)
Transfers into Level 3(c)
10 — — — 10 
Balance, end of period$151 818 31 (213)787 
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, 2021
$— (56)37 (37)(56)
(a)Net interest rate derivatives include derivative assets and liabilities of $39 and $8, respectively, as of June 30, 2021.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2021.
(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 six months ended June 30, 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 gains (losses) (realized/unrealized):(b)
 Included in earnings(13)169 13 (29)140 
Purchases/originations/acquisitions— 292 2 — 294 
Settlements(15)— (11)44 18 
Transfers into Level 3(c)
7 — — — 7 
Balance, end of period$133 1,582 8 (199)1,524 
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, 2022
$(13)267 13 (29)238 
(a)Net interest rate derivatives include derivative assets and liabilities of $17 and $9, respectively, as of June 30, 2022.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2022.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the six months ended June 30, 2021 ($ 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 (losses) gains (realized/unrealized):(b)
 Included in earnings(1)(50)91 (50)(10)
Purchases/originations— 212 (1)— 211 
Settlements(29)— (112)38 (103)
Transfers into Level 3(c)
20 — — — 20 
Balance, end of period$151 818 31 (213)787 
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, 2021
$(1)69 40 (50)58 
(a)Net interest rate derivatives include derivative assets and liabilities of $39 and $8, respectively, as of June 30, 2021.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2021.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
Total Gains and Losses Included in Earnings for Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs
The total gains and losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Condensed Consolidated Statements of Income as follows:
For the three months ended
June 30,		For the six months ended
June 30,
($ in millions)2022202120222021
Mortgage banking net revenue$36 (66)167 39 
Commercial banking revenue1 1 2 1 
Other noninterest income(18)(37)(29)(50)
Total gains (losses)$19 (102)140 (10)

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, 2022 and 2021 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)2022202120222021
Mortgage banking net revenue$69 (20)265 107 
Commercial banking revenue1 1 2 1 
Other noninterest income(18)(37)(29)(50)
Total gains (losses)$52 (56)238 58 
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Recurring
The following tables present information as of June 30, 2022 and 2021 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:
As of June 30, 2022 ($ in millions)
Financial InstrumentFair ValueValuation
Technique		Significant
Unobservable Inputs		Range of Inputs
Weighted-Average
Residential mortgage loans$133 Loss rate modelInterest rate risk factor(19.2)-4.4%(8.3)%
(a)
Credit risk factor— -23.3%0.2 %
(a)
(Fixed)
5.3 %
(b)
Servicing rights1,582 DCFPrepayment speed— -100%
(Adjustable)
20.3 %
(b)
(Fixed)
796 
(b)
OAS (bps)615 -1,513
(Adjustable)
1,204 
(b)
IRLCs, net11 DCFLoan closing rates34.5 -98.5%86.9 %
(c)
Swap associated with the sale of Visa, Inc. Class B Shares(199)DCFTiming of the resolution
   of the Covered Litigation		Q3 2023-Q3 2026Q4 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 June 30, 2021 ($ in millions)
Financial InstrumentFair ValueValuation
Technique		Significant
Unobservable Inputs		Range of InputsWeighted-Average
Residential mortgage loans$151 Loss rate modelInterest rate risk factor(9.2)-9.0 %1.1 %
(a)
Credit risk factor— -24.8 %0.5 %
(a)
(Fixed)14.5 %
(b)
Servicing rights818 DCFPrepayment speed— -100.0 %(Adjustable)21.6 %
(b)
(Fixed)542 
(b)
OAS (bps)406-1,587(Adjustable)978 
(b)
IRLCs, net39 DCFLoan closing rates10.0 -97.2 %76.5 %
(c)
Swap associated with the sale of Visa, Inc. Class B Shares
(213)DCFTiming of the resolution
   of the Covered Litigation		Q1 2023-Q1 2025Q4 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 June 30, 2022 and 2021, and for which a nonrecurring fair value adjustment was recorded during the three and six months ended June 30, 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 UsingTotal (Losses) Gains
As of June 30, 2022 ($ in millions)Level 1Level 2Level 3Total
For the three months ended June 30, 2022
For the six months ended June 30, 2022
Commercial loans and leases$— — 180 180 (15)(47)
Consumer and residential mortgage loans— — 115 115 — — 
OREO— — 2 2 — 1 
Bank premises and equipment— — 2 2 (1)(1)
Operating lease equipment— — 5 5 — (2)
Private equity investments— 9 — 9 (1)(7)
Total$— 9 304 313 (17)(56)
Fair Value Measurements UsingTotal (Losses) Gains
As of June 30, 2021 ($ in millions)Level 1Level 2Level 3Total
For the three months ended June 30, 2021
For the six months ended June 30, 2021
Commercial loans held for sale$— — 2 2 — 1 
Commercial loans and leases— — 313 313 (39)(44)
Consumer and residential mortgage loans— — 140 140 1 (1)
OREO— — 6 6 — (6)
Bank premises and equipment— — 7 7 (1)(2)
Operating lease equipment— — 34 34 — (25)
Private equity investments— 1 — 1 — — 
Total$— 1 502 503 (39)(77)
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Nonrecurring
The following tables present information as of June 30, 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 June 30, 2022 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable InputsRanges of
Inputs		Weighted-Average
Commercial loans and leases$180 Appraised valueCollateral valueNMNM
Consumer and residential mortgage loans115 Appraised valueCollateral valueNMNM
OREO2 Appraised valueAppraised valueNMNM
Bank premises and equipment2 Appraised valueAppraised valueNMNM
Operating lease equipment5 Appraised valueAppraised valueNMNM

As of June 30, 2021 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable InputsRanges of
Inputs		Weighted-Average
Commercial loans held for sale$2 Comparable company analysisMarket comparable transactionsNMNM
Commercial loans and leases313 Appraised valueCollateral valueNMNM
Consumer and residential mortgage loans140 Appraised valueCollateral valueNMNM
OREO6 Appraised valueAppraised valueNMNM
Bank premises and equipment7 Appraised valueAppraised valueNMNM
Operating lease equipment34 Appraised valueAppraised valueNMNM
Difference Between the Fair Value and the Unpaid Principal Balance for Loans
The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage loans measured at fair value as of:
June 30, 2022 ($ in millions)
Aggregate
Fair Value
Aggregate Unpaid
Principal Balance

Difference
Residential mortgage loans measured at fair value
$1,539 1,530 9 
Past due loans of 90 days or more
— — — 
Nonaccrual loans
3 3 — 
December 31, 2021

Residential mortgage loans measured at fair value
$1,177 1,149 28 
Past due loans of 90 days or more
3 3 — 
Nonaccrual loans
— — — 
Carrying Amounts and Estimated Fair Values for Certain Financial Instruments
The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:
Net Carrying
Amount		Fair Value Measurements UsingTotal
Fair Value
As of June 30, 2022 ($ in millions)Level 1Level 2Level 3
Financial assets:
Cash and due from banks$3,437 3,437 — — 3,437 
Other short-term investments7,419 7,419 — — 7,419 
Other securities806 — 806 — 806 
Held-to-maturity securities5 — — 5 5 
Loans and leases held for sale1,136 — — 1,144 1,144 
Portfolio loans and leases:

Commercial loans and leases73,885 — — 73,863 73,863 
Consumer and residential mortgage loans42,791 — — 42,252 42,252 
Total portfolio loans and leases, net$116,676 — — 116,115 116,115 
Financial liabilities:

Deposits$161,174 — 161,134 — 161,134 
Federal funds purchased711 711 — — 711 
Other short-term borrowings7,057 — 7,050 — 7,050 
Long-term debt10,857 10,470 411 — 10,881 
Net Carrying
Amount		Fair Value Measurements UsingTotal
Fair Value
As of December 31, 2021 ($ in millions)Level 1Level 2Level 3
Financial assets:
Cash and due from banks$2,994 2,994 — — 2,994 
Other short-term investments34,572 34,572 — — 34,572 
Other securities519 — 519 — 519 
Held-to-maturity securities8 — — 8 8 
Loans and leases held for sale3,392 — — 3,405 3,405 
Portfolio loans and leases:
Commercial loans and leases69,166 — — 69,924 69,924 
Consumer and residential mortgage loans40,838 — — 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 purchased281 281 — — 281 
Other short-term borrowings980 — 980 — 980 
Long-term debt11,425 12,091 387 — 12,478