XML 97 R67.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
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
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 securities23 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 securities23 391 — 414 
Equity securities306 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 contracts12 1,222 7 1,241 
Foreign exchange contracts— 454 — 454 
Commodity contracts56 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 contracts92 1,258 — 1,350 
Derivative liabilities(d)
99 3,650 203 3,952 
Short positions:
U.S. Treasury and federal agencies securities66 — — 66 
Asset-backed securities and other debt securities— 112 — 112 
Short positions(d)
66 112 — 178 
Total liabilities$165 3,762 203 4,130 
(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $381, $491 and $2, respectively, at December 31, 2022.
(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c)Included in other assets in the Consolidated Balance Sheets.
(d)Included in other liabilities in the Consolidated Balance Sheets.
Fair Value Measurements Using
December 31, 2021 ($ 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 $3, respectively, at December 31, 2021.
(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c)Included in other assets in the Consolidated Balance Sheets.
(d)Included in other liabilities in the Consolidated Balance Sheets.
Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the year ended December 31, 2022 ($ in millions)Residential Mortgage LoansServicing
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 
(a)Net interest rate derivatives include derivative assets and liabilities of $7 and $8, respectively, as of December 31, 2022.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at December 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 year ended December 31, 2021 ($ in millions)Residential Mortgage LoansServicing
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 
(a)Net interest rate derivatives include derivative assets and liabilities of $12 and $8, respectively, as of December 31, 2021.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at December 31, 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 year ended December 31, 2020 ($ in millions)Residential Mortgage LoansServicing
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 earnings3 (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)
(a)Net interest rate derivatives include derivative assets and liabilities of $61 and $8, respectively, as of December 31, 2020.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at December 31, 2020.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
Total Gains and Losses Included in Earnings for Assets and Liabilites Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
The total gains and losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Consolidated Statements of Income for the years ended December 31, 2022, 2021 and 2020 as follows:
($ in millions)202220212020
Mortgage banking net revenue$177 9 (291)
Commercial banking revenue4 3 2 
Other noninterest income(84)(86)(104)
Total gains (losses)$97 (74)(393)

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 December 31, 2022, 2021 and 2020 were recorded in the Consolidated Statements of Income as follows:
($ in millions)202220212020
Mortgage banking net revenue$295 88 (167)
Commercial banking revenue4 3 2 
Other noninterest income(84)(86)(104)
Total gains (losses)$215 5 (269)
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs
The following tables present information about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:
As of December 31, 2022 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable
Inputs		Range of InputsWeighted-Average
Residential mortgage loans$123 Loss rate modelInterest rate risk factor(24.1)-2.4%(12.3)%
(a)
Credit risk factor— -22.9%0.5 %
(a)
(Fixed)5.1 %
(b)
Servicing rights1,746 DCFPrepayment speed— -100.0%(Adjustable)20.3 %
(b)
(Fixed)734
(b)
OAS (bps)542 -1,513(Adjustable)1,204
(b)
IRLCs, net1 DCFLoan closing rates34.7 -97.5%86.6 %
(c)
Swap associated with the sale of Visa, Inc. Class B Shares(195)DCFTiming of the resolution of the Covered LitigationQ1 2024-Q1 2027Q2 2025
(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 December 31, 2021 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable
Inputs		Range of InputsWeighted-Average
Residential mortgage loans$154 Loss rate modelInterest rate risk factor(8.5)-8.8%0.4 %
(a)
Credit risk factor— -28.5%0.3 %
(a)
(Fixed)10.7 %
(b)
Servicing rights1,121 DCFPrepayment speed— -100.0%(Adjustable)20.6 %
(b)
(Fixed)686
(b)
OAS (bps)479 -1,587(Adjustable)1,087
(b)
IRLCs, net12 DCFLoan closing rates8.9 -97.2%80.9 %
(c)
Swap associated with the sale of Visa, Inc. Class B Shares(214)DCFTiming of the resolution of the Covered LitigationQ1 2023-Q2 2025Q1 2024
(d)
(a) Unobservable inputs were weighted by the relative carrying value of the instruments.
(b) Unobservable inputs were weighted by the relative unpaid principal balance of the instruments.
(c) Unobservable inputs were weighted by the relative notional amount of the instruments.
(d) Unobservable inputs were weighted by the probability of the final funding date of the instruments.
The following tables present information as of December 31, 2022 and 2021 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured on a nonrecurring basis:
As of December 31, 2022 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable InputsRanges of
Inputs		Weighted-Average
Commercial loans held for sale$40 Comparable company analysisMarket comparable transactionsNMNM
Commercial loans and leases162 Appraised valueCollateral valueNMNM
Consumer and residential mortgage loans109 Appraised valueCollateral valueNMNM
OREO3 Appraised valueAppraised valueNMNM
Bank premises and equipment19 Appraised valueAppraised valueNMNM
Operating lease equipment1 Appraised valueAppraised valueNMNM
Private equity investments1 Comparable company analysisMarket comparable transactionsNMNM
As of December 31, 2021 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable InputsRanges of  
Inputs  		Weighted-Average
Commercial loans held for sale$2 Comparable company analysisMarket comparable transactionsNMNM
Commercial loans and leases236 Appraised valueCollateral valueNMNM
Consumer and residential mortgage loans125 Appraised valueCollateral valueNMNM
OREO7 Appraised valueAppraised valueNMNM
Bank premises and equipment11 Appraised valueAppraised valueNMNM
Operating lease equipment13 Appraised valueAppraised valueNMNM
Private equity investments14 Comparable company analysisMarket comparable transactionsNMNM
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
The following tables provide the fair value hierarchy and carrying amount of all assets that were held as of December 31, 2022 and 2021, and for which a nonrecurring fair value adjustment was recorded during the years ended December 31, 2022 and 2021, and the related gains and losses from fair value adjustments on assets sold during the period as well as assets still held as of the end of the period.
Fair Value Measurements UsingTotal (Losses) Gains
As of December 31, 2022 ($ in millions)Level 1  Level 2Level 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 UsingTotal (Losses) Gains
As of December 31, 2021 ($ in millions)Level 1Level 2Level 3TotalFor 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)
Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance for Residential Mortgage Loans Measured at Fair Value
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:
($ in millions)Aggregate  Fair ValueAggregate Unpaid Principal BalanceDifference
December 31, 2022
Residential mortgage loans measured at fair value$723 733 (10)
Past due loans of 30-89 days1 1 — 
Nonaccrual loans2 2 — 
December 31, 2021
Residential mortgage loans measured at fair value$1,177 1,149 28 
Past due loans of 90 days or more3 3 — 
Carrying Amounts and Estimated Fair Values for Certain Financial Instruments
The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:
Net CarryingFair Value Measurements Using        Total
As of December 31, 2022 ($ in millions)AmountLevel 1Level 2Level 3Fair Value
Financial assets:
Cash and due from banks$3,466 3,466 — — 3,466 
Other short-term investments8,351 8,351 — — 8,351 
Other securities874 — 874 — 874 
Held-to-maturity securities5 — — 5 5 
Loans and leases held for sale407 — — 414 414 
Portfolio loans and leases:
Commercial loans and leases75,262 — — 75,104 75,104 
Consumer and residential mortgage loans43,901 — — 42,193 42,193 
Total portfolio loans and leases, net$119,163 — — 117,297 117,297 
Financial liabilities:
Deposits$163,690 — 163,634 — 163,634 
Federal funds purchased180 180 — — 180 
Other short-term borrowings4,838 — 4,829 — 4,829 
Long-term debt13,778 13,218 411 — 13,629 
Net CarryingFair Value Measurements Using        Total
As of December 31, 2021 ($ in millions)AmountLevel 1Level 2Level 3Fair Value
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