Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

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, 2023 ($ 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	$	2,689	—	—	2,689
Obligations of states and political subdivisions securities	—		3	—	3
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		11,073	—	11,073
Agency commercial mortgage-backed securities	—		26,183	—	26,183
Non-agency commercial mortgage-backed securities	—		4,550	—	4,550
Asset-backed securities and other debt securities	—		5,331	—	5,331
Available-for-sale debt and other securities(a)	2,689		47,140	—	49,829
Trading debt securities:
U.S. Treasury and federal agencies securities	669		18	—	687
Obligations of states and political subdivisions securities	—		49	—	49
Agency residential mortgage-backed securities	—		11	—	11
Asset-backed securities and other debt securities	—		427	—	427
Trading debt securities	669		505	—	1,174
Equity securities	311		12	—	323
Residential mortgage loans held for sale	—		599	—	599
Residential mortgage loans(b)	—		—	128	128
Servicing rights	—		—	1,725	1,725
Derivative assets:
Interest rate contracts	3		1,140	11	1,154
Foreign exchange contracts	—		450	—	450
Commodity contracts	125		1,028	—	1,153
Derivative assets(c)	128		2,618	11	2,757
Total assets	$	3,797	50,874	1,864	56,535
Liabilities:
Derivative liabilities:
Interest rate contracts	$	8	1,629	8	1,645
Foreign exchange contracts	—		407	—	407
Equity contracts	—		—	192	192
Commodity contracts	34		1,022	—	1,056
Derivative liabilities(d)	42		3,058	200	3,300
Short positions:
U.S. Treasury and federal agencies securities	74		—	—	74
Asset-backed securities and other debt securities	—		148	—	148
Short positions(d)	74		148	—	222
Total liabilities	$	116	3,206	200	3,522

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $396, $491 and $3, respectively, at March 31, 2023.

(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, 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

(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 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, 2023 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	123	1,746	(1)	(195)	1,673
Total (losses) gains (realized/unrealized):(b)
Included in earnings	3		(53)	14	(31)	(67)
Purchases/originations	—		32	(2)	—	30
Settlements	(2)		—	(8)	34	24
Transfers into Level 3(c)	4		—	—	—	4
Balance, end of period	$	128	1,725	3	(192)	1,664
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, 2023	$	3	(35)	7	(31)	(56)

(a)Net interest rate derivatives include derivative assets and liabilities of $11 and $8, respectively, as of March 31, 2023.

(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at March 31, 2023.

(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, 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	(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.

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 losses and gains 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)	2023		2022
Mortgage banking net revenue	$	(37)	132
Commercial banking revenue	1		1
Other noninterest income	(31)		(11)
Total (losses) gains	$	(67)	122

The total losses and gains included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at March 31, 2023 and 2022 were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months ended March 31,
($ in millions)	2023		2022
Mortgage banking net revenue	$	(26)	207
Commercial banking revenue	1		1
Other noninterest income	(31)		(11)
Total (losses) gains	$	(56)	197

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

The following tables present information as of March 31, 2023 and 2022 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, 2023 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	128	Loss rate model	Interest rate risk factor	(22.2)	-	5.7%		(10.3)	%	(a)
				Credit risk factor	—	-	23.2%		0.5	%	(a)
								(Fixed)	5.6	%	(b)
Servicing rights	1,725		DCF	Prepayment speed	—	-	100.0%	(Adjustable)	20.3	%	(b)
								(Fixed)	629		(b)
				OAS (bps)	477	-	1,447	(Adjustable)	1,204		(b)
IRLCs, net	7		DCF	Loan closing rates	22.3	-	97.5%		82.5	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(192)		DCF	Timing of the resolution    of the Covered Litigation	Q1 2024	-	Q1 2027	Q2 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 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	—	-	100.0 %	(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.

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, 2023 and 2022, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2023 and 2022, 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
As of March 31, 2023 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended March 31, 2023
Commercial loans held for sale	$	—	—	21	21	—
Commercial loans and leases	—		—	160	160	(76)
Consumer and residential mortgage loans	—		—	138	138	(2)
OREO	—		—	2	2	—
Bank premises and equipment	—		—	5	5	(1)
Private equity investments	—		—	2	2	(1)
Total	$	—	—	328	328	(80)

	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)

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

The following tables present information as of March 31, 2023 and 2022 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, 2023 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	21	Comparable company analysis	Market comparable transactions	NM	NM
Commercial loans and leases	160		Appraised value	Collateral value	NM	NM
Consumer and residential mortgage loans	138		Appraised value	Collateral value	NM	NM
OREO	2		Appraised value	Appraised value	NM	NM
Bank premises and equipment	5		Appraised value	Appraised value	NM	NM
Private equity investments	2		Comparable company analysis	Market comparable transactions	NM	NM

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

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, 2023 ($ in millions)	Aggregate Fair Value		Aggregate Unpaid Principal Balance	Difference
Residential mortgage loans measured at fair value	$	727	735	(8)
Nonaccrual loans	3		3	—
December 31, 2022
Residential mortgage loans measured at fair value	$	723	733	(10)
Past due loans of 30-89 days or more	1		1	—
Nonaccrual loans	2		2	—

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, 2023 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	2,780	2,780	—	—	2,780
Other short-term investments	9,794		9,794	—	—	9,794
Other securities	890		—	890	—	890
Held-to-maturity securities	2		—	—	2	2
Loans and leases held for sale	150		—	—	154	154
Portfolio loans and leases:
Commercial loans and leases	76,096		—	—	76,271	76,271
Consumer and residential mortgage loans	44,418		—	—	43,170	43,170
Total portfolio loans and leases, net	$	120,514	—	—	119,441	119,441
Financial liabilities:
Deposits	$	162,975	—	162,924	—	162,924
Federal funds purchased	177		177	—	—	177
Other short-term borrowings	7,364		—	7,362	—	7,362
Long-term debt	12,868		11,900	394	—	12,294

	Net Carrying Amount		Fair Value Measurements Using			Total Fair Value
As of December 31, 2022 ($ in millions)			Level 1	Level 2	Level 3
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