The Bancorp measures certain financial assets and liabilities at fair value in accordance with U.S. GAAP, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a fair value hierarchy, which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. For more information regarding the fair value hierarchy and how the Bancorp measures fair value, refer to Note 1.


	Fair Value Measurements Using
December 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	$	2,495	—	—	2,495
Obligations of states and political subdivisions securities	—		18	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		11,237	—	11,237
Agency commercial mortgage-backed securities	—		26,322	—	26,322
Non-agency commercial mortgage-backed securities	—		4,715	—	4,715
Asset-backed securities and other debt securities	—		5,842	—	5,842
Available-for-sale debt and other securities(a)	2,495		48,134	—	50,629
Trading debt securities:
U.S. Treasury and federal agencies securities	23		22	—	45
Obligations of states and political subdivisions securities	—		14	—	14
Agency residential mortgage-backed securities	—		8	—	8
Asset-backed securities and other debt securities	—		347	—	347
Trading debt securities	23		391	—	414
Equity securities	306		11	—	317
Residential mortgage loans held for sale	—		600	—	600
Residential mortgage loans(b)	—		—	123	123
Servicing rights	—		—	1,746	1,746
Derivative assets:
Interest rate contracts	12		1,222	7	1,241
Foreign exchange contracts	—		454	—	454
Commodity contracts	56		1,422	—	1,478
Derivative assets(c)	68		3,098	7	3,173
Total assets	$	2,892	52,234	1,876	57,002
Liabilities:
Derivative liabilities:
Interest rate contracts	$	7	1,970	8	1,985
Foreign exchange contracts	—		422	—	422
Equity contracts	—		—	195	195
Commodity contracts	92		1,258	—	1,350
Derivative liabilities(d)	99		3,650	203	3,952
Short positions:
U.S. Treasury and federal agencies securities	66		—	—	66
Asset-backed securities and other debt securities	—		112	—	112
Short positions(d)	66		112	—	178
Total liabilities	$	165	3,762	203	4,130


	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

Where quoted prices are available in an active market, securities are classified within Level 1 of the valuation hierarchy. Level 1 securities include U.S. Treasury securities and equity securities. If quoted market prices are not available, then fair values are estimated using pricing models which primarily utilize quoted prices of securities with similar characteristics. Level 2 securities may include federal agencies securities, obligations of states and political subdivisions securities, agency residential mortgage-backed securities, agency and non-agency commercial mortgage-backed securities, asset-backed securities and other debt securities and equity securities. These securities are generally valued using a market approach based on observable prices of securities with similar characteristics.

composition, credit spreads of asset-backed securities with similar collateral and market conditions. The anticipated portfolio composition includes the effect of interest rate spreads and discount rates due to loan characteristics such as the state in which the loan was originated, the loan amount and the ARM margin. Residential mortgage loans held for sale that are valued based on mortgage-backed securities prices are classified within Level 2 of the valuation hierarchy as the valuation is based on external pricing for similar instruments. ARM loans classified as held for sale are also classified within Level 2 of the valuation hierarchy due to the use of observable inputs in the DCF model. These observable inputs include interest rate spreads from agency mortgage-backed securities market rates and observable discount rates.

For residential mortgage loans for which the fair value election has been made, and that are reclassified from held for sale to held for investment, the fair value estimation is based on mortgage-backed securities prices, interest rate risk and an internally developed credit component. Therefore, these loans are transferred from Level 2 to Level 3 of the valuation hierarchy. An adverse change in the loss rate or severity assumption would result in a decrease in fair value of the related loans.

MSRs do not trade in an active, open market with readily observable prices. While sales of MSRs do occur, the precise terms and conditions typically are not readily available. Accordingly, the Bancorp estimates the fair value of MSRs using internal OAS models with certain unobservable inputs, primarily prepayment speed assumptions, OAS and weighted-average lives, resulting in a classification within Level 3 of the valuation hierarchy. Refer to Note 13 for further information on the assumptions used in the valuation of the Bancorp’s MSRs.

Exchange-traded derivatives valued using quoted prices and certain over-the-counter derivatives valued using active bids are classified within Level 1 of the valuation hierarchy. Most of the Bancorp’s derivative contracts are valued using DCF or other models that incorporate current market interest rates, credit spreads assigned to the derivative counterparties and other market parameters and, therefore, are classified within Level 2 of the valuation hierarchy. Such derivatives include basic and structured interest rate, foreign exchange and commodity swaps and options. Derivatives that are valued based upon models with significant unobservable market parameters are classified within Level 3 of the valuation hierarchy. As of December 31, 2022 and 2021, derivatives classified as Level 3, which are valued using models containing unobservable inputs, consisted primarily of a total return swap associated with the Bancorp’s sale of Visa, Inc. Class B Shares as well as IRLCs, which utilize internally generated loan closing rate assumptions as a significant unobservable input in the valuation process.

Under the terms of the total return swap, the Bancorp will make or receive payments based on subsequent changes in the conversion rate of the Visa, Inc. Class B Shares into Class A Shares. Additionally, the Bancorp will make a quarterly payment based on Visa’s stock price and the conversion rate of the Visa, Inc. Class B Shares into Class A Shares until the date on which the Covered Litigation is settled. The fair value of the total return swap was calculated using a DCF model based on unobservable inputs consisting of management’s estimate of the probability of certain litigation scenarios, the timing of the resolution of the Covered Litigation and Visa litigation loss estimates in excess, or shortfall, of the Bancorp’s proportional share of escrow funds.

An increase in the loss estimate or a delay in the resolution of the Covered Litigation would result in an increase in the fair value of the derivative liability; conversely, a decrease in the loss estimate or an acceleration of the resolution of the Covered Litigation would result in a decrease in the fair value of the derivative liability. Refer to Note 18 for additional information on the Covered Litigation.

The net asset fair value of the Bancorp’s IRLCs at December 31, 2022 was $1 million. Immediate decreases in current interest rates of 25 bps and 50 bps would result in increases in the fair value of the IRLCs of approximately $2 million and $3 million, respectively. Immediate increases of current interest rates of 25 bps and 50 bps would result in decreases in the fair value of the IRLCs of approximately $2 million and $4 million, respectively. Immediate changes in the assumed loan closing rates, either adverse or favorable, of 10% and 20% would result in changes in the fair value of IRLCs of approximately an immaterial amount. These sensitivities are hypothetical and should be used with caution, as changes in fair value based on a variation in assumptions typically cannot be extrapolated because the relationship of the change in assumptions to the change in fair value may not be linear.

Where quoted prices are available in an active market, short positions are classified within Level 1 of the valuation hierarchy. Level 1 securities include U.S. Treasury securities. If quoted market prices are not available, then fair values are estimated using pricing models which primarily utilize quoted prices of securities with similar characteristics and therefore are classified within Level 2 of the valuation hierarchy. Level 2 securities include asset-backed and other debt securities.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the year ended December 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 gains (losses) (realized/unrealized):(b)
Included in earnings	(18)		177	22	(84)	97
Purchases/originations	—		448	1	—	449
Settlements	(23)		—	(28)	103	52
Transfers into Level 3(c)	10		—	—	—	10
Balance, end of period	$	123	1,746	(1)	(195)	1,673
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 December 31, 2022	$	(18)	311	6	(84)	215


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the year ended December 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 (losses) gains (realized/unrealized):(b)
Included in earnings	(2)		(139)	153	(86)	(74)
Purchases/originations	—		604	(3)	—	601
Settlements	(54)		—	(199)	73	(180)
Transfers into Level 3(c)	49		—	—	—	49
Balance, end of period	$	154	1,121	4	(214)	1,065
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 December 31, 2021	$	(2)	78	15	(86)	5


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the year ended December 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):(b)
Included in earnings	3		(565)	272	(103)	(393)
Purchases/originations	—		228	4	—	232
Settlements	(74)		—	(233)	65	(242)
Transfers into Level 3(c)	49		—	—	—	49
Balance, end of period	$	161	656	53	(201)	669
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 December 31, 2020	$	3	(227)	58	(103)	(269)


As of December 31, 2022 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	123	Loss rate model	Interest rate risk factor	(24.1)	-	2.4%		(12.3)	%	(a)
				Credit risk factor	—	-	22.9%		0.5	%	(a)
								(Fixed)	5.1	%	(b)
Servicing rights	1,746		DCF	Prepayment speed	—	-	100.0%	(Adjustable)	20.3	%	(b)
								(Fixed)	734		(b)
				OAS (bps)	542	-	1,513	(Adjustable)	1,204		(b)
IRLCs, net	1		DCF	Loan closing rates	34.7	-	97.5%		86.6	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(195)		DCF	Timing of the resolution of the Covered Litigation	Q1 2024	-	Q1 2027		Q2 2025		(d)


As of December 31, 2021 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	154	Loss rate model	Interest rate risk factor	(8.5)	-	8.8%		0.4	%	(a)
				Credit risk factor	—	-	28.5%		0.3	%	(a)
								(Fixed)	10.7	%	(b)
Servicing rights	1,121		DCF	Prepayment speed	—	-	100.0%	(Adjustable)	20.6	%	(b)
								(Fixed)	686		(b)
				OAS (bps)	479	-	1,587	(Adjustable)	1,087		(b)
IRLCs, net	12		DCF	Loan closing rates	8.9	-	97.2%		80.9	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(214)		DCF	Timing of the resolution of the Covered Litigation	Q1 2023	-	Q2 2025		Q1 2024		(d)

The following tables provide the fair value hierarchy and carrying amount of all assets that were held as of December 31, 2022 and 2021, and for which a nonrecurring fair value adjustment was recorded during the years ended December 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 December 31, 2022 ($ in millions)	Level 1		Level 2	Level 3	Total	For the year ended December 31, 2022
Commercial loans held for sale	$	—	—	40	40	(1)
Commercial loans and leases	—		—	162	162	(83)
Consumer and residential mortgage loans	—		—	109	109	1
OREO	—		—	3	3	—
Bank premises and equipment	—		—	19	19	(9)
Operating lease equipment	—		—	1	1	(2)
Private equity investments	—		9	1	10	(8)
Total	$	—	9	335	344	(102)

	Fair Value Measurements Using					Total (Losses) Gains
As of December 31, 2021 ($ in millions)	Level 1		Level 2	Level 3	Total	For the year ended December 31, 2021
Commercial loans held for sale	$	—	—	2	2	2
Commercial loans and leases	—		—	236	236	(29)
Consumer and residential mortgage loans	—		—	125	125	(1)
OREO	—		—	7	7	(6)
Bank premises and equipment	—		—	11	11	(6)
Operating lease equipment	—		—	13	13	(21)
Private equity investments	—		1	14	15	38
Total	$	—	1	408	409	(23)

As of December 31, 2022 ($ in millions)

Financial Instrument

Fair Value

Valuation Technique

Significant Unobservable Inputs

Ranges of
Inputs

Weighted-Average

Commercial loans held for sale

Comparable company analysis

Market comparable transactions

Commercial loans and leases

162

Appraised value

Collateral value

Consumer and residential mortgage loans

109

Appraised value

Collateral value

OREO

Appraised value

Bank premises and equipment

Appraised value

Operating lease equipment

Appraised value

Private equity investments

Comparable company analysis

Market comparable transactions

As of December 31, 2021 ($ in millions)

Financial Instrument

Fair Value

Valuation Technique

Significant Unobservable Inputs

Ranges of
Inputs

Weighted-Average

Commercial loans held for sale

Comparable company analysis

Market comparable transactions

Commercial loans and leases

236

Appraised value

Collateral value

Consumer and residential mortgage loans

125

Appraised value

Collateral value

OREO

Appraised value

Bank premises and equipment

Appraised value

Operating lease equipment

Appraised value

Private equity investments

Comparable company analysis

Market comparable transactions

The Bancorp estimated the fair value of certain commercial loans held for sale during the years ended December 31, 2022 and 2021, resulting in a negative fair value adjustment of $1 million and a positive fair value adjustment of $1 million during the years ended December 31, 2022 and 2021, respectively. These valuations were based on quoted prices for similar assets in active markets (Level 2 of the valuation hierarchy), appraisals of the underlying collateral or by applying unobservable inputs such as an estimated market discount to the unpaid principal balance of the loans or the appraised values of the assets (Level 3 of the valuation hierarchy). The Bancorp recognized losses on the sale of

During the years ended December 31, 2022 and 2021, the Bancorp recorded nonrecurring adjustments to certain collateral-dependent portfolio loans and leases. When a loan is collateral-dependent, the fair value of the loan is generally based on the fair value less cost to sell of the underlying collateral supporting the loan and therefore these loans were classified within Level 3 of the valuation hierarchy. In cases where the amortized cost basis of the loan or lease exceeds the estimated net realizable value of the collateral, then an ALLL is recognized, or a charge-off once the remaining amount is considered uncollectible.

During the years ended December 31, 2022 and 2021, the Bancorp recorded nonrecurring adjustments to certain commercial and residential real estate properties and branch-related real estate no longer intended to be used for banking purposes classified as OREO and measured at the lower of carrying amount or fair value. These nonrecurring losses were primarily due to declines in real estate values of the properties recorded in OREO. For the years ended December 31, 2022 and 2021, these losses include an immaterial amount and $5 million in losses, respectively, recorded as charge-offs on new OREO properties transferred from loans during the respective periods and an immaterial amount recorded as positive fair value adjustments and $1 million recorded as negative fair value adjustments for properties subsequent to their transfer into OREO, respectively. The fair value amounts are generally based on appraisals of the property values, resulting in a classification within Level 3 of the valuation hierarchy. In cases where the carrying amount exceeds the fair value, less costs to sell, an impairment loss is recognized. The previous tables reflect the fair value measurements of the properties before deducting the estimated costs to sell.

The Bancorp performs assessments of the recoverability of long-lived assets when events or changes in circumstances indicate that their carrying values may not be recoverable. These properties were written down to their lower of cost or market values. At least annually thereafter, the Bancorp will review these properties for market fluctuations. The fair value amounts were generally based on appraisals of the property values, resulting in a classification within Level 3 of the valuation hierarchy. For further information on bank premises and equipment, refer to Note 7.

The Bancorp performs assessments of the recoverability of long-lived assets when events or changes in circumstances indicate that their carrying values may not be recoverable. When evaluating whether an individual asset is impaired, the Bancorp considers the current fair value of the asset, the changes in overall market demand for the asset and the rate of change in advancements associated with technological improvements that impact the demand for the specific asset under review. As part of this ongoing assessment, the Bancorp determined that the carrying values of certain operating lease equipment were not recoverable and, as a result, the Bancorp recorded an impairment loss equal to the amount by which the carrying value of the assets exceeded the fair value. The fair value amounts were generally based on appraised values of the assets, resulting in a classification within Level 3 of the valuation hierarchy.

The Bancorp accounts for its private equity investments using the measurement alternative to fair value, except for those accounted for under the equity method of accounting. Under the measurement alternative, the Bancorp carries each investment at its cost basis minus impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for identical or similar investments of the same issuer. The Bancorp recognized gains of $4 million and $41 million during the years ended December 31, 2022 and 2021, respectively, resulting from observable price changes. The carrying value of the Bancorp’s private equity investments still held as of December 31, 2022 includes a cumulative $40 million of positive adjustments as a result of observable price changes since January 1, 2018. Because these adjustments are based on observable transactions in inactive markets, they are classified in Level 2 of the fair value hierarchy.

For private equity investments which are accounted for using the measurement alternative to fair value, the Bancorp qualitatively evaluates each investment quarterly to determine if impairment may exist. If necessary, the Bancorp then measures impairment by estimating the value of its investment and comparing that to the investment’s carrying value, whether or not the Bancorp considers the impairment to be temporary. These valuations are typically developed using a DCF method, but other methods may be used if more appropriate for the circumstances. These valuations are based on unobservable inputs and therefore are classified in Level 3 of the fair value hierarchy. The Bancorp recognized impairments of $12 million and $3 million during the years ended December 31, 2022 and 2021, respectively. The carrying value of the Bancorp’s private equity investments still held as of December 31, 2022 includes a cumulative $34 million of impairment charges recognized since adoption of the measurement alternative to fair value on January 1, 2018.

The Bancorp elected to measure certain residential mortgage loans held for sale under the fair value option as allowed under U.S. GAAP. Electing to measure residential mortgage loans held for sale at fair value reduces certain timing differences and better matches changes in the value of these assets with changes in the value of derivatives used as economic hedges for these assets. Management’s intent to sell residential mortgage loans classified as held for sale may change over time due to such factors as changes in the overall liquidity in markets

Fair value changes recognized in earnings for residential mortgage loans held at December 31, 2022 and 2021 for which the fair value option was elected, as well as the changes in fair value of the underlying IRLCs, included losses of $10 million and gains of $28 million, respectively. These losses and gains are reported in mortgage banking net revenue in the Consolidated Statements of Income.

Valuation adjustments related to instrument-specific credit risk for residential mortgage loans measured at fair value negatively impacted the fair value of those loans by $1 million and an immaterial amount at December 31, 2022 and 2021, respectively. Interest on loans measured at fair value is accrued as it is earned using the effective interest method and is reported as interest income in the Consolidated Statements of Income.

The Bancorp may invest in certain hybrid financial instruments with embedded derivatives that are not clearly and closely related to the host contracts. The Bancorp elected to measure the entire instrument at fair value with changes in fair value recognized in earnings. The Bancorp did not hold these investments as of December 31, 2022 and the carrying value of these investments was $89 million as of December 31, 2021 and the investments were classified as trading debt securities in the Consolidated Balance Sheets. Fair value changes recognized in earnings included gains of $11 million and losses of $3 million for the years ended December 31, 2022 and 2021, respectively, reported in securities (losses) gains, net in the Consolidated Statements of Income.


	Net Carrying		Fair Value Measurements Using			Total
As of December 31, 2022 ($ in millions)	Amount		Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	3,466	3,466	—	—	3,466
Other short-term investments	8,351		8,351	—	—	8,351
Other securities	874		—	874	—	874
Held-to-maturity securities	5		—	—	5	5
Loans and leases held for sale	407		—	—	414	414
Portfolio loans and leases:
Commercial loans and leases	75,262		—	—	75,104	75,104
Consumer and residential mortgage loans	43,901		—	—	42,193	42,193
Total portfolio loans and leases, net	$	119,163	—	—	117,297	117,297
Financial liabilities:
Deposits	$	163,690	—	163,634	—	163,634
Federal funds purchased	180		180	—	—	180
Other short-term borrowings	4,838		—	4,829	—	4,829
Long-term debt	13,778		13,218	411	—	13,629

	Net Carrying		Fair Value Measurements Using			Total
As of December 31, 2021 ($ in millions)	Amount		Level 1	Level 2	Level 3	Fair Value
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