Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024 ($ 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	$	2,774	—	—	2,774
Obligations of states and political subdivisions securities	—		2	—	2
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		4,851	—	4,851
Agency commercial mortgage-backed securities	—		21,283	—	21,283
Non-agency commercial mortgage-backed securities	—		4,434	—	4,434
Asset-backed securities and other debt securities	—		4,647	—	4,647
Available-for-sale debt and other securities(a)	2,774		35,217	—	37,991
Trading debt securities:
U.S. Treasury and federal agencies securities	608		22	—	630
Obligations of states and political subdivisions securities	—		65	—	65
Agency residential mortgage-backed securities	—		11	—	11
Asset-backed securities and other debt securities	—		445	—	445
Trading debt securities	608		543	—	1,151
Equity securities	348		32	—	380
Residential mortgage loans held for sale	—		307	—	307
Residential mortgage loans(b)	—		—	113	113
Servicing rights	—		—	1,756	1,756
Derivative assets:
Interest rate contracts	1		987	6	994
Foreign exchange contracts	—		784	—	784
Commodity contracts	127		872	—	999
Derivative assets(c)	128		2,643	6	2,777
Total assets	$	3,858	38,742	1,875	44,475
Liabilities:
Derivative liabilities:
Interest rate contracts	$	—	1,306	6	1,312
Foreign exchange contracts	—		750	—	750
Equity contracts	—		—	162	162
Commodity contracts	88		911	—	999
Derivative liabilities(d)	88		2,967	168	3,223
Short positions:
U.S. Treasury and federal agencies securities	133		—	—	133
Asset-backed securities and other debt securities	—		107	—	107
Short positions(d)	133		107	—	240
Total liabilities	$	221	3,074	168	3,463

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $301, $496 and $3, respectively, at March 31, 2024.

(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, 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	$	4,336	—	—	4,336
Obligations of states and political subdivisions securities	—		2	—	2
Mortgage-backed securities:
Agency residential mortgage-backed securities	—		10,282	—	10,282
Agency commercial mortgage-backed securities	—		25,720	—	25,720
Non-agency commercial mortgage-backed securities	—		4,445	—	4,445
Asset-backed securities and other debt securities	—		4,912	—	4,912
Available-for-sale debt and other securities(a)	4,336		45,361	—	49,697
Trading debt securities:
U.S. Treasury and federal agencies securities	640		7	—	647
Obligations of states and political subdivisions securities	—		39	—	39
Agency residential mortgage-backed securities	—		6	—	6
Asset-backed securities and other debt securities	—		207	—	207
Trading debt securities	640		259	—	899
Equity securities	600		13	—	613
Residential mortgage loans held for sale	—		334	—	334
Residential mortgage loans(b)	—		—	116	116
Servicing rights	—		—	1,737	1,737
Derivative assets:
Interest rate contracts	—		977	6	983
Foreign exchange contracts	—		643	—	643
Commodity contracts	205		846	—	1,051
Derivative assets(c)	205		2,466	6	2,677
Total assets	$	5,781	48,433	1,859	56,073
Liabilities:
Derivative liabilities:
Interest rate contracts	$	5	1,202	6	1,213
Foreign exchange contracts	—		600	—	600
Equity contracts	—		—	168	168
Commodity contracts	28		990	—	1,018
Derivative liabilities(d)	33		2,792	174	2,999
Short positions:
U.S. Treasury and federal agencies securities	31		—	—	31
Asset-backed securities and other debt securities	—		76	—	76
Short positions(d)	31		76	—	107
Total liabilities	$	64	2,868	174	3,106

(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $224, $496 and $2, respectively, at December 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.

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, 2024 ($ in millions)	Residential Mortgage Loans		Servicing Rights	Interest Rate Derivatives, Net(a)	Equity Derivatives	Total Fair Value
Balance, beginning of period	$	116	1,737	—	(168)	1,685
Total (losses) gains (realized/unrealized):(b)
Included in earnings	(2)		8	9	(17)	(2)
Purchases/originations	—		11	—	—	11
Settlements	(3)		—	(9)	23	11
Transfers into Level 3(c)	2		—	—	—	2
Balance, end of period	$	113	1,756	—	(162)	1,707
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, 2024	$	(2)	25	5	(17)	11

(a)Net interest rate derivatives include $6 for both derivative assets and liabilities as of March 31, 2024.

(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at March 31, 2024.

(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, 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.

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)	2024		2023
Mortgage banking net revenue	$	14	(37)
Commercial banking revenue	1		1
Other noninterest income	(17)		(31)
Total losses	$	(2)	(67)

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, 2024 and 2023 were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months ended March 31,
($ in millions)	2024		2023
Mortgage banking net revenue	$	27	(26)
Commercial banking revenue	1		1
Other noninterest income	(17)		(31)
Total gains (losses)	$	11	(56)

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

The following tables present information as of March 31, 2024 and 2023 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, 2024 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Range of Inputs			Weighted-Average
Residential mortgage loans	$	113	Loss rate model	Interest rate risk factor	(25.2)	-	3.7%		(13.4)	%	(a)
				Credit risk factor	—	-	0.6%		0.1	%	(a)
Servicing rights	1,756		DCF	Prepayment speed	—	-	100.0%	(Fixed)	5.8	%	(b)
								(Adjustable)	22.9	%	(b)
				OAS (bps)	448	-	1,833	(Fixed)	460		(b)
								(Adjustable)	702		(b)
IRLCs, net	5		DCF	Loan closing rates	20.0	-	96.0%		79.4	%	(c)
Swap associated with the sale of Visa, Inc. Class B Shares	(162)		DCF	Timing of the resolution    of the Covered Litigation	Q2 2026	-	Q1 2028	Q4 2026			(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, 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)
Servicing rights	1,725		DCF	Prepayment speed	—	-	100.0 %	(Fixed)	5.6	%	(b)
								(Adjustable)	20.3	%	(b)
				OAS (bps)	477	-	1,447	(Fixed)	629		(b)
								(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.

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, 2024 and 2023, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2024 and 2023, 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, 2024 ($ in millions)	Level 1		Level 2	Level 3	Total	For the three months ended March 31, 2024
Commercial loans held for sale	$	—	—	25	25	—
Commercial loans and leases	—		—	130	130	(60)
Consumer and residential mortgage loans	—		—	197	197	(3)
OREO	—		—	1	1	—
Bank premises and equipment	—		—	1	1	—
Private equity investments	—		—	—	—	9
Total	$	—	—	354	354	(54)

	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)

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

The following tables present information as of March 31, 2024 and 2023 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, 2024 ($ in millions)
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	25	Comparable company analysis	Market comparable transactions	NM	NM
Commercial loans and leases	130		Appraised value	Collateral value	NM	NM
Consumer and residential mortgage loans	197		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
Private equity investments	—		Comparable company analysis	Market comparable transactions	NM	NM

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

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, 2024 ($ in millions)	Aggregate Fair Value		Aggregate Unpaid Principal Balance	Difference
Residential mortgage loans measured at fair value	$	420	431	(11)
Past due loans of 30-89 days	1		1	—
Nonaccrual loans	2		2	—
December 31, 2023
Residential mortgage loans measured at fair value	$	450	456	(6)
Past due loans of 30-89 days	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, 2024 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	2,796	2,796	—	—	2,796
Other short-term investments	22,840		22,840	—	—	22,840
Other securities	800		—	800	—	800
Held-to-maturity securities	11,520		2,292	9,047	2	11,341
Loans and leases held for sale	32		—	—	32	32
Portfolio loans and leases:
Commercial loans and leases	70,775		—	—	70,952	70,952
Consumer and residential mortgage loans	43,279		—	—	40,037	40,037
Total portfolio loans and leases, net	$	114,054	—	—	110,989	110,989
Financial liabilities:
Deposits	$	169,587	—	169,529	—	169,529
Federal funds purchased	247		247	—	—	247
Other short-term borrowings	2,866		—	2,871	—	2,871
Long-term debt	15,573		13,077	2,439	—	15,516

	Net Carrying Amount		Fair Value Measurements Using			Total Fair Value
As of December 31, 2023 ($ in millions)			Level 1	Level 2	Level 3
Financial assets:
Cash and due from banks	$	3,142	3,142	—	—	3,142
Other short-term investments	22,082		22,082	—	—	22,082
Other securities	722		—	722	—	722
Held-to-maturity securities	2		—	—	2	2
Loans and leases held for sale	44		—	—	44	44
Portfolio loans and leases:
Commercial loans and leases	71,616		—	—	71,766	71,766
Consumer and residential mortgage loans	43,180		—	—	41,410	41,410
Total portfolio loans and leases, net	$	114,796	—	—	113,176	113,176
Financial liabilities:
Deposits	$	168,912	—	168,873	—	168,873
Federal funds purchased	193		193	—	—	193
Other short-term borrowings	2,861		—	2,872	—	2,872
Long-term debt	16,418		14,481	1,903	—	16,384