Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2011

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.

Assumptions Utilized in the Models

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.

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 three months ended June 30, 2011 ($ in millions)	Trading Securities		Residential Mortgage Loans			Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)		Total Fair Value
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)
For the three months ended June 30, 2010 ($ in millions)	Trading Securities			Residential Mortgage Loans			Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)			Total Fair Value
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)
For the six months ended June 30, 2011 ($ in millions)	Trading Securities			Residential Mortgage Loans			Interest Rate Derivatives, Net(a)			Equity Derivatives, Net(a)		Total Fair Value
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			14		19

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the six months ended June 30, 2010 ($ in millions)	Residual Interests in Securitizations			Trading Securities			Residential Mortgage Loans		Interest  Rate Derivatives, Net(a)			Equity Derivatives, Net(a)			Total Fair Value
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.

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 Condensed Consolidated Statements of Income as follows:

	For the three months ended June 30,				For the six months 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

Total Gains and Losses Included in Earning Attributable to Changes in Unrealized Gains and Losses Related to Level 3 Assets and Liabilites Still Held at Year End

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 ended June 30,				For the six months 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

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 Losses
June 30, 2011 ($ in millions)	Level 1		Level 2		Level 3		Total		Three Months Ended June 30, 2011			Six Months Ended 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
June 30, 2010 ($ in millions)	Level 1		Level 2		Level 3		Total		Three Months Ended June 30, 2010			Six Months Ended 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.

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 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		—

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.

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.

As of June 30, 2010 ($ in millions)	Carrying 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.