Fair Value Measurements

6 Months Ended

Jun. 30, 2011

Fair Value Measurements

19. Fair Value Measurements

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. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). A financial instrument’s categorization within the fair value hierarchy is based upon the lowest level of input that is significant to the instrument’s fair value measurement. The three levels within the fair value hierarchy are described as follows:

Level 1 – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the Bancorp has the ability to access at the measurement date.

Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include: quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not active; inputs other than quoted prices that are observable for the asset or liability; and inputs that are derived principally from or corroborated by observable market data by correlation or other means.

Level 3 – Unobservable inputs for the asset or liability for which there is little, if any, market activity at the measurement date. Unobservable inputs reflect the Bancorp’s own assumptions about what market participants would use to price the asset or liability. The inputs are developed based on the best information available in the circumstances, which might include the Bancorp’s own financial data such as internally developed pricing models, discounted cash flow methodologies, as well as instruments for which the fair value determination requires significant management judgment.

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, including residential mortgage loans held for sale for which the Bancorp has elected the fair value option as of:

	Fair Value Measurements Using
June 30, 2011 ($ in millions)	Level 1		Level 2		Level 3		Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and Government agencies	$	206		—		—		206
U.S. Government sponsored agencies		—		2,259		—		2,259
Obligations of states and political subdivisions		—		115		—		115
Agency mortgage-backed securities		—		10,740		—		10,740
Other bonds, notes and debentures		—		1,146		—		1,146
Other securities(a)		188		7		—		195
Available-for-sale securities(a)		394		14,267		—		14,661
Trading securities:
Obligations of states and political subdivisions		—		37		1		38
Agency mortgage-backed securities		—		33		—		33
Other bonds, notes and debentures		—		11		—		11
Other securities		135		—		—		135
Trading securities		135		81		1		217
Residential mortgage loans held for sale		—		978		—		978
Residential mortgage loans(b)		—		—		59		59
Derivative assets:
Interest rate contracts		6		1,463		9		1,478
Foreign exchange contracts		—		295		—		295
Equity contracts		—		—		106		106
Commodity contracts		—		85		—		85
Derivative assets		6		1,843		115		1,964
Total assets	$	535		17,169		175		17,879
Liabilities:
Derivative liabilities
Interest rate contracts	$	9		762		4		775
Foreign exchange contracts		—		283		—		283
Equity contracts		—		—		21		21
Commodity contracts		—		78		—		78
Derivative liabilities		9		1,123		25		1,157
Short positions		6		6		—		12
Total liabilities	$	15		1,129		25		1,169

	Fair Value Measurements Using
December 31, 2010 ($ in millions)	Level 1		Level 2		Level 3		Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and Government agencies	$	230		—		—		230
U.S. Government sponsored agencies		—		1,645		—		1,645
Obligations of states and political subdivisions		—		172		—		172
Agency mortgage-backed securities		—		10,973		—		10,973
Other bonds, notes and debentures		—		1,342		—		1,342
Other securities(a)		180		4		—		184
Available-for-sale securities(a)		410		14,136		—		14,546
Trading securities:
U.S. Treasury and Government agencies		1		—		—		1
Obligations of states and political subdivisions		—		20		1		21
Agency mortgage-backed securities		—		8		—		8
Other bonds, notes and debentures		—		115		5		120
Other securities		47		97		—		144
Trading securities		48		240		6		294
Residential mortgage loans held for sale		—		1,892		—		1,892
Residential mortgage loans(b)		—		—		46		46
Derivative assets:
Interest rate contracts		90		1,448		13		1,551
Foreign exchange contracts		—		343		—		343
Equity contracts		—		—		81		81
Commodity contracts		—		99		—		99
Derivative assets		90		1,890		94		2,074
Total assets	$	548		18,158		146		18,852
Liabilities:
Derivative liabilities
Interest rate contracts	$	14		846		11		871
Foreign exchange contracts		—		323		—		323
Equity contracts		—		—		28		28
Commodity contracts		—		92		—		92
Derivative liabilities		14		1,261		39		1,314
Short positions		1		1		—		2
Total liabilities	$	15		1,262		39		1,316

	Fair Value Measurements Using
June 30, 2010 ($ in millions)	Level 1		Level 2		Level 3		Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and Government agencies	$	482		—		—		482
U.S. Government sponsored agencies		—		1,796		—		1,796
Obligations of states and political subdivisions		—		199		—		199
Agency mortgage-backed securities		—		10,647		—		10,647
Other bonds, notes and debentures		—		959		—		959
Other securities(a)		1,038		6		—		1,044
Available-for-sale securities(a)		1,520		13,607		—		15,127
Trading securities:
Obligations of states and political subdivisions		—		35		1		36
Agency mortgage-backed securities		—		9		—		9
Other bonds, notes and debentures		—		159		4		163
Other securities		42		20		—		62
Trading securities		42		223		5		270
Residential mortgage loans held for sale		—		1,747		—		1,747
Residential mortgage loans(b)		—		—		41		41
Derivative assets:
Interest rate contracts		—		1,834		25		1,859
Foreign exchange contracts		—		307		—		307
Equity contracts		—		—		84		84
Commodity contracts		—		81		—		81
Derivative assets		—		2,222		109		2,331
Total assets	$	1,562		17,799		155		19,516
Liabilities:
Derivative liabilities
Interest rate contracts	$	50		909		1		960
Foreign exchange contracts		—		282		—		282
Equity contracts		—		—		54		54
Commodity contracts		—		72		—		72
Derivative liabilities		50		1,263		55		1,368
Short positions		6		1		—		7
Total liabilities	$	56		1,264		55		1,375

(a) Excludes FHLB and FRB restricted stock totaling $497 and $344, respectively, at June 30, 2011, $524 and $344 at December 31, 2010, and $551 and $343, respectively, at June 30, 2010.

(b) Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.

The following is a description of the valuation methodologies used for significant instruments measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Residential mortgage loans held for sale that are reclassified to held for investment are transferred from Level 2 to Level 3 of the fair value hierarchy as described below. It is the Bancorp’s policy to value any transfers between levels of the fair value hierarchy based on end of period fair values.

Available-for-sale and trading securities

Where quoted prices are available in an active market, securities are classified within Level 1 of the valuation hierarchy. Level 1 securities include government bonds and exchange traded equities. If quoted market prices are not available, then fair values are estimated using pricing models, quoted prices of securities with similar characteristics, or discounted cash flows. Examples of such instruments, which are classified within Level 2 of the valuation hierarchy, include agency and non-agency mortgage-backed securities, other asset-backed securities, obligations of U.S. Government sponsored agencies, and corporate and municipal bonds. Agency mortgage-backed securities, obligations of U.S. Government sponsored agencies, and corporate and municipal bonds are generally valued using a market approach based on observable prices of securities with similar characteristics.

Non-agency mortgage-backed securities and other asset-backed securities are generally valued using an income approach based on discounted cash flows, incorporating prepayment speeds, performance of underlying collateral and specific tranche-level attributes. In certain cases where there is limited activity or less transparency around inputs to the valuation, securities are classified within Level 3 of the valuation hierarchy. Trading securities classified as Level 3 consist of auction rate securities. Due to the illiquidity in the market for these

types of securities at June 30, 2011, December 31, 2010 and June 30, 2010, the Bancorp measured fair value using a discount rate based on the assumed holding period.

Residential mortgage loans held for sale and held for investment

For residential mortgage loans held for sale, fair value is estimated based upon mortgage-backed securities prices and spreads to those prices or, for certain ARM loans, DCF models that may incorporate the anticipated portfolio 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 reclassified from held for sale to held for investment, the fair value estimation is based primarily on the underlying collateral values. Therefore, these loans are classified within Level 3 of the valuation hierarchy.

Derivatives

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 derivative contracts are valued using discounted cash flow 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 swaps and options. Derivatives that are valued based upon models with significant unobservable market parameters are classified within Level 3 of the valuation hierarchy. At June 30, 2011, derivatives classified as Level 3, which are valued using an option-pricing model containing unobservable inputs, consisted primarily of warrants and put rights associated with the sale of Vantiv, LLC (formerly known as FTPS, LLC) to Advent International and a total return swap associated with the Bancorp’s sale of Visa, Inc. Class B shares. Level 3 derivatives also include interest rate lock commitments, which utilize internally generated loan closing rate assumptions as a significant unobservable input in the valuation process.

In connection with the sale of Vantiv, LLC, the Bancorp provided Advent International with certain put options that are exercisable in the event of certain circumstances. In addition, the associated warrants allow the Bancorp to purchase an incremental 10% nonvoting interest in Vantiv, LLC under certain defined conditions involving change of control. The fair values of the warrants and put options are calculated applying Black-Scholes option valuation models using probability weighted scenarios. The assumptions utilized in the models are summarized in the following table as of:

	June 30, 2011								December 31, 2010										June 30, 2010
	Warrants					Put Options (b)			Warrants					Put Options					Warrants					Put Options
Expected term (years)		8.0	-	18.0			2.5			8.5	-	18.5			0.5	-	3.0			9.0	-	19.0			1.0	-	3.5
Expected volatility(a)		34.6	-	35.5	%		35.3	%		36.0	-	37.0	%		25.6	-	44.6	%		36.6	-	39.4	%		31.5	-	44.4	%
Risk free rate		2.76	-	4.13	%		0.68	%		3.06	-	4.18	%		0.23	-	1.05	%		3.03	-	3.89	%		0.35	-	1.28	%
Expected dividend rate				—	%		—	%				—	%				—	%				—	%				—	%

(a) Based on historical and implied volatilities of comparable companies assuming similar expected terms.

(b) A total of three scenarios have historically been used to estimate the fair value of the put options. Two of the scenarios’ terms expired as of June 30, 2011. Therefore, the assumptions for the current quarter only include one scenario.

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 Class B shares into Class A shares. The fair value of the total return swap was calculated using a discounted cash flow model based on unobservable inputs consisting of management’s estimate of the probability of certain litigation scenarios, timing of litigation settlements and payments related to the swap.

The net fair value of the interest rate lock commitments at June 30, 2011 was $4 million. At June 30, 2011, immediate decreases in current interest rates of 25 bp and 50 bp would result in increases in the fair value of the interest rate lock commitments of $10 million and $18 million, respectively. Immediate increases of current interest rates of 25 bp and 50 bp would result in decreases in the fair value of the interest rate lock commitments of $11 million and $24 million, respectively, at June 30, 2011. The decrease in fair value of interest rate lock commitments at June 30, 2011 due to immediate 10% and 20% adverse changes in the assumed loan closing rates would be less than $1 million and $1 million, respectively, and the increase in fair value due to immediate 10% and 20% favorable changes in the assumed loan closing rates would be less than $1 million and $1 million, respectively. 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.

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)
	Trading Securities			Residential Mortgage Loans			Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)			Total Fair Value
For the three months ended June 30, 2011
($ in millions)
Beginning balance	$	1			54			10			40			105
Total gains or losses (realized/unrealized):
Included in earnings		—			1			31			26			58
Purchases		—			—			—			—			—
Settlements		—			(1	)		(36	)		19			(18	)
Transfers into Level 3(b)		—			5			—			—			5
Ending balance	$	1			59			5			85			150
The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets still held at June 30, 2011(c)	$	—			1			4			26			31
	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Trading Securities			Residential Mortgage Loans			Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)			Total Fair Value
For the three months ended June 30, 2010
($ in millions)
Beginning balance	$	7			36			7			(1	)		49
Total gains or losses (realized/unrealized):
Included in earnings		—			—			72			11			83
Purchases, sales, issuances, and settlements, net		(2	)		(2	)		(55	)		20			(39	)
Transfers into Level 3(b)		—			7			—			—			7
Ending balance	$	5			41			24			30			100
The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets still held at June 30, 2010(c)	$	—			—			21			11			32
	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Trading Securities			Residential Mortgage Loans			Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)			Total Fair Value
For the six months ended June 30, 2011
($ in millions)
Beginning balance	$	6			46			2			53			107
Total gains or losses (realized/unrealized):
Included in earnings		—			1			55			13			69
Purchases		—			—			—			—			—
Sales		(5	)		—			—			—			(5	)
Settlements		—			(3	)		(52	)		19			(36	)
Transfers into Level 3(b)		—			15			—			—			15
Ending balance	$	1			59			5			85			150
The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets still held at June 30, 2011(c)	$	—			1			4			13			18

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Residual Interests in Securitizations			Trading Securities			Residential Mortgage Loans		Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)			Total Fair Value
For the six months ended June 30, 2010
($ in millions)
Beginning balance	$	174			13			26		(2	)		11			222
Total gains or losses (realized/unrealized):
Included in earnings		—			3			—		108			(1	)		110
Purchases, sales, issuances, and settlements, net		(174	)(d)		(11	)		—		(82	)		20			(247	)
Transfers into Level 3(b)		—			—			15		—			—			15
Ending balance	$	—			5			41		24			30			100
The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets still held at June 30, 2010(c)	$	—			(1	)		1		26			(1	)		25

(a) Net interest rate derivatives include derivative assets and liabilities of $9 and $4, respectively, as of June 30, 2011 and $25 and $1, respectively, as of June 30, 2010. Net equity derivatives include derivative assets and liabilities of $106 and $21, respectively, as of June 30, 2011, and $84 and $54, respectively, as of June 30, 2010.

(b) Includes residential mortgage loans held for sale that were transferred to held for investment.

(c) Includes interest income and expense.

(d) Due to a change in U.S. GAAP adopted by the Bancorp on January 1, 2010, all residual interests in securitizations were eliminated concurrent with the consolidation of the related VIEs.

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				For the six months
	ended June 30,				ended June 30,
($ in millions)	2011		2010		2011		2010
Mortgage banking net revenue	$	33		72		57		108
Other noninterest income		25		11		12		(1	)
Securities gains (losses), net		—		—		—		3
Total	$	58		83		69		110

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, 2011 and 2010 were recorded in the Condensed Consolidated Statements of Income as follows:

	For the three months				For the six months
	ended June 30,				ended June 30,
($ in millions)	2011		2010		2011		2010
Mortgage banking net revenue	$	6		22		6		26
Corporate banking revenue		—		—		—		1
Other noninterest income		25		10		12		(1	)
Securities gains (losses), net		—		—		—		(1	)
Total	$	31		32		18		25

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis. These assets and liabilities are not measured at fair value on an ongoing basis; however, they are subject to fair value adjustments in certain circumstances, such as when there is evidence of impairment. The following tables represent those assets and liabilities that were subject to fair value adjustments during the quarters ended June 30, 2011 and 2010 and still held as of the end of the period, and the related losses from fair value adjustments on loans sold during the period as well as loans still held as of the end of the period.

	Fair Value Measurements Using						Total		Total Losses
									Three Months Ended			Six Months Ended
June 30, 2011 ($ in millions)	Level 1		Level 2		Level 3				June 30, 2011			June 30, 2011
Commercial loans held for sale(a)	$	—		—		17		17		(9	)		(25	)
Commercial and industrial loans		—		—		115		115		(114	)		(199	)
Commercial mortgage loans		—		—		109		109		(22	)		(53	)
Commercial construction loans		—		—		35		35		(19	)		(38	)
MSRs		—		—		847		847		(63	)		(27	)
OREO property		—		—		153		153		(32	)		(109	)
Total	$	—		—		1,276		1,276		(259	)		(451	)

	Fair Value Measurements Using								Total Losses
									Three Months Ended			Six Months Ended
June 30, 2010 ($ in millions)	Level 1		Level 2		Level 3		Total		June 30, 2010			June 30, 2010
Commercial loans held for sale(a)	$	—		—		26		26		(9	)		(15	)
Commercial and industrial loans		10		—		96		106		(125	)		(261	)
Commercial mortgage loans		13		—		130		143		(67	)		(132	)
Commercial construction loans		6		—		80		86		(55	)		(108	)
MSRs		—		—		646		646		(100	)		(106	)
OREO property		—		—		200		200		(45	)		(94	)
Total	$	29		—		1,178		1,207		(401	)		(716	)

(a) Includes commercial nonaccrual loans held for sale.

During the second quarter of 2011, the Bancorp transferred $1 million of commercial loans from the portfolio to loans held for sale that were measured at fair value. These loans were fair valued based on discounted cash flow models incorporating appraisals of the underlying collateral, as well as assumptions about investor return requirements and amounts and timing of expected cash flows, and, therefore, classified within Level 3 of the valuation hierarchy. In addition, existing loans held for sale with a fair value of $16 million were further adjusted based on discounted cash flow models incorporating appraisals of the underlying collateral, as well as assumptions about investor return requirements and amounts and timing of expected cash flows, and, therefore, classified within Level 3 of the valuation hierarchy.

During the first half of 2011 and 2010, the Bancorp recorded nonrecurring impairment adjustments to certain commercial and industrial, commercial mortgage and commercial construction loans held for investment. Such amounts are generally based on the fair value of the underlying collateral supporting the loan and were classified within Level 3 of the valuation hierarchy. In cases where the carrying value exceeds the fair value, an impairment loss is recognized. The fair values and recognized impairment losses are reflected in the previous table.

During the first half of 2011 and 2010, the Bancorp recognized temporary impairments in certain classes of the MSR portfolio in which the carrying value was adjusted to fair value as of June 30, 2011 and 2010. 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 discounted cash flow models with certain unobservable inputs, primarily prepayment speed assumptions, resulting in a classification within Level 3 of the valuation hierarchy. Refer to Note 9 for further information on the Bancorp’s MSRs.

During the first half of 2011 and 2010, the Bancorp recorded nonrecurring adjustments to certain commercial and residential real estate properties classified as OREO and measured at the lower of carrying amount or fair value, less costs to sell. Such 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.

Fair Value Option

The Bancorp has elected to measure certain residential mortgage loans held for sale under the fair value option as allowed under U.S. GAAP. 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 or changes in characteristics specific to certain loans held for sale. Consequently, these loans may be reclassified to loans held for investment and maintained in the Bancorp’s loan portfolio. In such cases, the loans will continue to be measured at fair value. Residential loans with fair values of $5 million and $7 million were transferred to the Bancorp’s portfolio during the three months ended June 30, 2011 and 2010, respectively. Residential loans with fair values of $15 million were transferred to the Bancorp’s portfolio during the six months ended June 30, 2011 and 2010. The net impact related to fair value adjustments on these loans was $1 million during the three and six months ended June 30, 2011 and 2010.

Fair value changes included in earnings for instruments for which the fair value option was elected included losses of $33 million and $2 million during the three months ended June 30, 2011 and 2010, respectively. Fair value changes included in earnings for instruments for which the fair value option was elected included losses of $40 million and $27 million during the six months ended June 30, 2011 and 2010, respectively. These losses are reported in mortgage banking net revenue in the Condensed 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 $4 million at June 30, 2011 and $5 million at December 31, 2010 and June 30, 2010. Interest on residential mortgage loans measured at fair value is accrued as it is earned using the effective interest method and is reported as interest income in the Condensed Consolidated Statements of Income.

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for residential mortgage loans measured at fair value as of:

($ in millions)	Fair Value		Principal Balance		Difference
June 30, 2011
Residential mortgage loans measured at fair value	$	1,037		1,002		35
Past due loans of 90 days or more		3		4		(1	)
Nonaccrual loans		—		—		—
December 31, 2010
Residential mortgage loans measured at fair value	$	1,938		1,913		25
Past due loans of 90 days or more		5		6		(1	)
Nonaccrual loans		1		1		—
June 30, 2010
Residential mortgage loans measured at fair value	$	1,788		1,702		86
Past due loans of 90 days or more		6		7		(1	)
Nonaccrual loans		1		1		—

Fair Value of 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.

As of June 30, 2011 ($ in millions)	Carrying Amount			Fair Value
Financial assets:
Cash and due from banks	$	2,380			2,380
Other securities		841			841
Held-to-maturity securities		344			344
Other short-term investments		1,370			1,370
Loans held for sale		207			207
Portfolio loans and leases:
Commercial and industrial loans		27,022			28,447
Commercial mortgage loans		9,748			9,252
Commercial construction loans		1,670			1,328
Commercial leases		3,232			2,917
Residential mortgage loans(a)		9,522			8,617
Home equity		10,817			9,660
Automobile loans		11,254			11,301
Credit card		1,720			1,795
Other consumer loans and leases		439			482
Unallocated allowance for loan and lease losses		(130	)		—
Total portfolio loans and leases, net(a)		75,294			73,799
Financial liabilities:
Deposits		80,598			80,770
Federal funds purchased		403			403
Other short-term borrowings		2,702			2,702
Long-term debt		10,152			10,675

(a) Excludes $59 of residential mortgage loans measured at fair value on a recurring basis.

As of December 31, 2010 ($ in millions)	Carrying Amount			Fair Value
Financial assets:
Cash and due from banks	$	2,159			2,159
Other securities		868			868
Held-to-maturity securities		353			353
Other short-term investments		1,515			1,515
Loans held for sale		324			324
Portfolio loans and leases:
Commercial and industrial loans		26,068			27,322
Commercial mortgage loans		10,248			9,513
Commercial construction loans		1,890			1,471
Commercial leases		3,267			2,934
Residential mortgage loans(a)		8,600			7,577
Home equity		11,248			9,366
Automobile loans		10,910			10,975
Credit card		1,738			1,786
Other consumer loans and leases		622			682
Unallocated allowance for loan and lease losses		(150	)		—
Total portfolio loans and leases, net(a)		74,441			71,626
Financial liabilities:
Deposits		81,648			81,860
Federal funds purchased		279			279
Other short-term borrowings		1,574			1,574
Long-term debt		9,558			9,921

(a) Excludes $46 of residential mortgage loans measured at fair value on a recurring basis.

	Carrying
As of June 30, 2010 ($ in millions)	Amount			Fair Value
Financial assets:
Cash and due from banks	$	2,216			2,216
Other securities		894			894
Held-to-maturity securities		354			354
Other short-term investments		4,322			4,322
Loans held for sale		403			403
Portfolio loans and leases:
Commercial and industrial loans		24,688			26,138
Commercial mortgage loans		10,681			9,901
Commercial construction loans		2,657			2,119
Commercial leases		3,166			2,882
Residential mortgage loans(a)		7,304			6,675
Home equity		11,703			9,712
Automobile loans		10,173			10,407
Credit card		1,650			1,722
Other consumer loans and leases		663			687
Unallocated allowance for loan and lease losses		(187	)		—
Total portfolio loans and leases, net(a)		72,498			70,243
Financial liabilities:
Deposits		82,115			82,308
Federal funds purchased		240			240
Other short-term borrowings		1,556			1,556
Long-term debt		10,989			10,961

(a) Excludes $41 of residential mortgage loans measured at fair value on a recurring basis.

Cash and due from banks, other securities, other short-term investments, deposits, federal funds purchased and other short-term borrowings

For financial instruments with a short-term or no stated maturity, prevailing market rates and limited credit risk, carrying amounts approximate fair value. Those financial instruments include cash and due from banks, FHLB and FRB restricted stock, other short-term investments, certain deposits (demand, interest checking, savings, money market and foreign office deposits), and federal funds purchased. Fair values for other time deposits, certificates of deposit $100,000 and over and other short-term borrowings were estimated using a discounted cash flow calculation that applied prevailing LIBOR/swap interest rates for the same maturities.

Held-to-maturity securities

The Bancorp’s held-to-maturity securities are primarily composed of instruments that provide income tax credits as the economic return on the investment. The fair value of these instruments is estimated based on current U.S. Treasury tax credit rates.

Loans held for sale

Fair values for commercial loans held for sale were valued based on executable bids when available, or on discounted cash flow models incorporating appraisals of the underlying collateral, as well as assumptions about investor return requirements and amounts and timing of expected cash flows. Fair values for other consumer loans held for sale are based on contractual values upon which the loans may be sold to a third party, and approximate their carrying value.

Portfolio loans and leases, net

Fair values were estimated by discounting future cash flows using the current market rates of loans to borrowers with similar credit characteristics and similar remaining maturities.

Long-term debt

Fair value of long-term debt was based on quoted market prices, when available, or a discounted cash flow calculation using LIBOR/swap interest rates and, in some cases, a spread for new issues for borrowings of similar terms.