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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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
September 30, 2011 ($ in millions)		Level 1	Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and Government agencies	$	202	-	-	202
U.S. Government sponsored agencies		-	1,990	-	1,990
Obligations of states and political subdivisions		-	105	-	105
Agency mortgage-backed securities		-	11,017	-	11,017
Other bonds, notes and debentures		-	1,573	-	1,573
Other securities^(a)		491	7	-	498
Available-for-sale securities^(a)		693	14,692	-	15,385

Trading securities:
Obligations of states and political subdivisions		-	11	1	12
Agency mortgage-backed securities		-	20	-	20
Other bonds, notes and debentures		-	15	-	15
Other securities		142	-	-	142
Trading securities		142	46	1	189

Residential mortgage loans held for sale		-	1,593	-	1,593
Residential mortgage loans^(b)		-	-	62	62
Derivative assets:
Interest rate contracts		3	1,872	39	1,914
Foreign exchange contracts		-	471	-	471
Equity contracts		-	-	103	103
Commodity contracts		-	112	-	112
Derivative assets		3	2,455	142	2,600
Total assets	$	838	18,786	205	19,829

Liabilities:
Derivative liabilities
Interest rate contracts	$	59	862	2	923
Foreign exchange contracts		-	447	-	447
Equity contracts		-	-	30	30
Commodity contracts		-	105	-	105
Derivative liabilities		59	1,414	32	1,505

Short positions		7	1	-	8
Total liabilities	$	66	1,415	32	1,513

	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
September 30, 2010 ($ in millions)		Level 1	Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and Government agencies	$	311	-	-	311
U.S. Government sponsored agencies		-	1,851	-	1,851
Obligations of states and political subdivisions		-	195	-	195
Agency mortgage-backed securities		-	11,347	-	11,347
Other bonds, notes and debentures		-	1,018	-	1,018
Other securities^(a)		353	6	-	359
Available-for-sale securities^(a)		664	14,417	-	15,081

Trading securities:
Obligations of states and political subdivisions		-	50	1	51
Agency mortgage-backed securities		-	15	-	15
Other bonds, notes and debentures		-	133	4	137
Other securities		43	74	-	117
Trading securities		43	272	5	320

Residential mortgage loans held for sale		-	1,879	-	1,879
Residential mortgage loans^(b)		-	-	42	42
Derivative assets:
Interest rate contracts		3	2,045	39	2,087
Foreign exchange contracts		-	273	-	273
Equity contracts		-	-	77	77
Commodity contracts		-	105	-	105
Derivative assets		3	2,423	116	2,542
Total assets	$	710	18,991	163	19,864

Liabilities:
Derivative liabilities
Interest rate contracts	$	32	1,011	2	1,045
Foreign exchange contracts		-	249	-	249
Equity contracts		-	-	57	57
Commodity contracts		-	97	-	97
Derivative liabilities		32	1,357	59	1,448

Short positions		6	1	-	7
Total liabilities	$	38	1,358	59	1,455

(a) Excludes FHLB and FRB restricted stock totaling $497 and $345, respectively, at September 30, 2011, $524 and $344 at December 31, 2010, and $551 and $343, respectively, at September 30, 2010.

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

Fair Value And Fair Value Assumptions For Options Granted [Text Block]

The assumptions utilized in the models are summarized in the following table as of:

	September 30, 2011							December 31, 2010								September 30, 2010
	Warrants				Put Options (b)			Warrants				Put Options				Warrants				Put Options
Expected term (years)	7.8	-	17.8			2.3		8.5	-	18.5		0.5	-	3.0		8.8	-	18.8		0.8	-	3.3
Expected volatility^(a)	35.7	-	35.9	%		33.0	%	36.0	-	37.0	%	25.6	-	44.6	%	36.5	-	38.0	%	31.1	-	45.4	%
Risk free rate	1.65	-	2.97	%		0.35	%	3.06	-	4.18	%	0.23	-	1.05	%	2.44	-	3.42	%	0.22	-	0.71	%
Expected dividend rate			0	%		0	%			0	%			0	%			0	%			0	%

Based on historical and implied volatilities of comparable companies assuming similar expected terms.
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)
			Residential	Interest Rate	Equity
For the three months ended September 30, 2011		Trading	Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Securities	Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	1	59	5	85	150
Total gains or losses (realized/unrealized):
Included in earnings		-	3	100	(14)	89
Purchases		-	-	-	2	2
Settlements		-	(2)	(68)	-	(70)
Transfers into Level 3^(b)		-	2	-	-	2
Ending balance	$	1	62	37	73	173
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 September 30, 2011^(c)	$	-	3	37	(14)	26

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
For the three months ended September 30, 2010		Trading	Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Securities	Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	5	41	24	30	100
Total gains or losses (realized/unrealized):
Included in earnings		-	-	102	(10)	92
Purchases, sales, issuances, and settlements, net		-	(2)	(89)	-	(91)
Transfers into Level 3^(b)		-	3	-	-	3
Ending balance	$	5	42	37	20	104
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 September 30, 2010^(c)	$	-	-	35	(10)	25

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
For the nine months ended September 30, 2011		Trading	Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Securities	Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	6	46	2	53	107
Total gains or losses (realized/unrealized):
Included in earnings		-	4	154	-	158
Purchases		-	-	-	2	2
Sales		(5)	-	-	-	(5)
Settlements		-	(5)	(119)	18	(106)
Transfers into Level 3^(b)		-	17	-	-	17
Ending balance	$	1	62	37	73	173
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 September 30, 2011^(c)	$	-	4	41	-	45

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Residual		Residential	Interest Rate	Equity
For the nine months ended September 30, 2010		Interests in	Trading	Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Securitizations	Securities	Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	174	13	26	(2)	11	222
Total gains or losses (realized/unrealized):
Included in earnings		-	3	-	210	(11)	202
Purchases, sales, issuances, and settlements, net		(174)^(d)	(11)	(2)	(171)	20	(338)
Transfers into Level 3^(b)		-	-	18	-	-	18
Ending balance	$	-	5	42	37	20	104
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 September 30, 2010^(c)	$	-	-	-	61	(11)	50

(a) Net interest rate derivatives include derivative assets and liabilities of $39 and $2 respectively, as of September 30, 2011 and $39 and $2, respectively, as of September 30, 2010. Net equity derivatives include derivative assets and liabilities of $103 and $30, respectively, as of September 30, 2011, and $77 and $57, respectively, as of September 30, 2010.

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

(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.

Fair Value Assets And Liabilities Measured On Recurring Basis Using Unobservable Inputs Gains Losses Included In Earnings [Text Block]

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 nine months
		ended September 30,		ended September 30,
($ in millions)		2011	2010	2011	2010
Mortgage banking net revenue	$	104	101	159	210
Corporate banking revenue		-	1	1	1
Other noninterest income		(15)	(10)	(2)	(12)
Securities gains (losses), net		-	-	-	3
Total	$	89	92	158	202

Fair Value Assets And Liabilities Measured On Recurring Basis Using Unobservable Inputs Unrealized Gains Losses Included In Earnings [Text Block]

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 September 30, 2011 and 2010 were recorded in the Condensed Consolidated Statements of Income as follows:

		For the three months		For the nine months
		ended September 30,		ended September 30,
($ in millions)		2011	2010	2011	2010
Mortgage banking net revenue	$	41	34	46	60
Corporate banking revenue		-	1	1	1
Other noninterest income		(15)	(10)	(2)	(11)
Total	$	26	25	45	50

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 September 30, 2011 and 2010 and still held as of the end of the period, and the related 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
						Three Months Ended	Nine Months Ended
September 30, 2011 ($ in millions)		Level 1	Level 2	Level 3	Total	September 30, 2011	September 30, 2011
Commercial loans held for sale^(a)	$	-	-	60	60	(23)	(48)
Commercial and industrial loans		-	-	155	155	(84)	(283)
Commercial mortgage loans		-	-	145	145	(46)	(99)
Commercial construction loans		-	-	59	59	(14)	(52)
MSRs		-	-	662	662	(201)	(228)
OREO property		-	-	181	181	(30)	(139)
Total	$	-	-	1,262	1,262	(398)	(849)

		Fair Value Measurements Using				Total Losses
						Three Months Ended	Nine Months Ended
September 30, 2010 ($ in millions)		Level 1	Level 2	Level 3	Total	September 30, 2010	September 30, 2010
Commercial loans held for sale^(a)	$	33	-	541	574	(398)	(413)
Commercial and industrial loans		-	-	122	122	(112)	(373)
Commercial mortgage loans		-	-	94	94	(52)	(184)
Commercial construction loans		-	-	45	45	(44)	(152)
Residential mortgage loans		-	-	3	3	(6)	(6)
Other consumer loans		-	71	10	81	(12)	(12)
MSRs		-	-	599	599	(83)	(189)
OREO property		-	-	254	254	(102)	(196)
Total	$	33	71	1,668	1,772	(809)	(1,525)

(a) Includes commercial nonaccrual loans held for sale.

Aggregate Fair Values And Principal Balances On Residential Mortgage Loans [Text Block]

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
September 30, 2011
Residential mortgage loans measured at fair value	$	1,655	1,578	77
Past due loans of 90 days or more		4	4	-
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	-

September 30, 2010
Residential mortgage loans measured at fair value	$	1,921	1,832	89
Past due loans of 90 days or more		5	6	(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.

		Carrying
As of September 30, 2011 ($ in millions)		Amount	Fair Value
Financial assets:
Cash and due from banks	$	2,348	2,348
Other securities		842	842
Held-to-maturity securities		337	337
Other short-term investments		2,028	2,028
Loans held for sale		247	247
Portfolio loans and leases:
Commercial and industrial loans		28,245	29,538
Commercial mortgage loans		9,857	9,167
Commercial construction loans		1,134	889
Commercial leases		3,284	3,131
Residential mortgage loans^(a)		9,954	9,516
Home equity		10,711	9,765
Automobile loans		11,536	11,575
Credit card		1,759	1,831
Other consumer loans and leases		384	430
Unallocated allowance for loan and lease losses		(149)	-
Total portfolio loans and leases, net^(a)		76,715	75,842
Financial liabilities:
Deposits		82,047	82,196
Federal funds purchased		427	427
Other short-term borrowings		4,894	4,894
Long-term debt		9,800	10,199

(a) Excludes $62 of residential mortgage loans measured at fair value on a recurring basis.

		Carrying
As of December 31, 2010 ($ in millions)		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 September 30, 2010 ($ in millions)		Amount	Fair Value
Financial assets:
Cash and due from banks	$	2,215	2,215
Other securities		894	894
Held-to-maturity securities		354	354
Other short-term investments		3,271	3,271
Loans held for sale		854	854
Portfolio loans and leases:
Commercial and industrial loans		25,080	26,481
Commercial mortgage loans		10,328	9,745
Commercial construction loans		2,131	1,742
Commercial leases		3,198	2,957
Residential mortgage loans^(a)		7,637	7,009
Home equity		11,513	9,450
Automobile loans		10,654	10,919
Credit card		1,664	1,721
Other consumer loans and leases		729	750
Unallocated allowance for loan and lease losses		(161)	-
Total portfolio loans and leases, net^(a)		72,773	70,774
Financial liabilities:
Deposits		81,362	81,648
Federal funds purchased		368	368
Other short-term borrowings		1,775	1,775
Long-term debt		10,953	11,374

(a) Excludes $42 of residential mortgage loans measured at fair value on a recurring basis.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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