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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

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
March 31, 2012 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and government agencies	$	51	-	-	51
U.S. Government sponsored agencies		-	1,954	-	1,954
Obligations of states and political subdivisions		-	214	-	214
Agency mortgage-backed securities		-	10,358	-	10,358
Other bonds, notes and debentures		-	2,365	-	2,365
Other securities^(a)		304	5	-	309
Available-for-sale securities^(a)		355	14,896	-	15,251

Trading securities:
Obligations of states and political subdivisions		-	19	1	20
Agency mortgage-backed securities		-	19	-	19
Other bonds, notes and debentures		-	11	-	11
Other securities		145	-	-	145
Trading securities		145	49	1	195

Residential mortgage loans held for sale		-	1,429	-	1,429
Residential mortgage loans^(b)		-	-	67	67
Derivative assets:
Interest rate contracts		22	1,552	21	1,595
Foreign exchange contracts		-	191	-	191
Equity contracts		-	-	159	159
Commodity contracts		-	156	-	156
Derivative assets		22	1,899	180	2,101
Total assets	$	522	18,273	248	19,043

Liabilities:
Derivative liabilities
Interest rate contracts	$	11	678	4	693
Foreign exchange contracts		-	178	-	178
Equity contracts		-	-	24	24
Commodity contracts		-	151	-	151
Derivative liabilities		11	1,007	28	1,046

Short positions		5	1	-	6
Total liabilities	$	16	1,008	28	1,052


	Fair Value Measurements Using
December 31, 2011 ($ in millions)		Level 1	Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and Government agencies	$	171	-	-	171
U.S. Government sponsored agencies		-	1,962	-	1,962
Obligations of states and political subdivisions		-	101	-	101
Agency mortgage-backed securities		-	10,284	-	10,284
Other bonds, notes and debentures		-	1,812	-	1,812
Other securities^(a)		185	5	-	190
Available-for-sale securities^(a)		356	14,164	-	14,520

Trading securities:
Obligations of states and political subdivisions		-	8	1	9
Agency mortgage-backed securities		-	11	-	11
Other bonds, notes and debentures		-	13	-	13
Other securities		144	-	-	144
Trading securities		144	32	1	177

Residential mortgage loans held for sale		-	2,751	-	2,751
Residential mortgage loans^(b)		-	-	65	65
Derivative assets:
Interest rate contracts		8	1,773	34	1,815
Foreign exchange contracts		-	294	-	294
Equity contracts		-	-	113	113
Commodity contracts		-	134	-	134
Derivative assets		8	2,201	147	2,356
Total assets	$	508	19,148	213	19,869

Liabilities:
Derivative liabilities
Interest rate contracts	$	54	802	2	858
Foreign exchange contracts		-	275	-	275
Equity contracts		-	-	81	81
Commodity contracts		-	130	-	130
Derivative liabilities		54	1,207	83	1,344

Short positions		2	4	-	6
Total liabilities	$	56	1,211	83	1,350


	Fair Value Measurements Using
March 31, 2011 ($ in millions)		Level 1	Level 2	Level 3	Total Fair Value
Assets:
Available-for-sale securities:
U.S. Treasury and government agencies	$	228	-	-	228
U.S. Government sponsored agencies		-	1,739	-	1,739
Obligations of states and political subdivisions		-	153	-	153
Agency mortgage-backed securities		-	10,785	-	10,785
Other bonds, notes and debentures		-	1,183	-	1,183
Other securities^(a)		174	5	-	179
Available-for-sale securities^(a)		402	13,865	-	14,267

Trading securities:
Obligations of states and political subdivisions		-	20	1	21
Agency mortgage-backed securities		-	35	-	35
Other bonds, notes and debentures		-	11	-	11
Other securities		50	99	-	149
Trading securities		50	165	1	216

Residential mortgage loans held for sale		-	1,017	-	1,017
Residential mortgage loans^(b)		-	-	54	54
Derivative assets:
Interest rate contracts		3	1,295	12	1,310
Foreign exchange contracts		-	315	-	315
Equity contracts		-	-	78	78
Commodity contracts		-	123	-	123
Derivative assets		3	1,733	90	1,826
Total assets	$	455	16,780	145	17,380

Liabilities:
Derivative liabilities
Interest rate contracts	$	10	710	2	722
Foreign exchange contracts		-	307	-	307
Equity contracts		-	-	38	38
Commodity contracts		-	116	-	116
Derivative liabilities		10	1,133	40	1,183

Short positions		8	2	-	10
Total liabilities	$	18	1,135	40	1,193

(a) Excludes FHLB and FRB restricted stock totaling $497 and $345, respectively, at March 31, 2012 and December 31, 2011, and $524 and $344, respectively at March 31, 2011.

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

Quantitative information about significant unobservable level 3 fair value measurement inputs

The following table presents information as of March 31, 2012 about significant unobservable inputs related to the Bancorp's material categories of Level 3 financial assets and liabilities measured on a recurring basis.

($'s in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	67	Loss rate model	Interest rate risk factor	(88.3) - 16.3%	5.2%
				Credit risk factor	2.3 - 61.1%	4.5%
IRLCs, net		18	Discounted cash flow	Loan closing rates	9.9 - 87.0%	56.5%
			model
Stock warrants associated with the sale		157	Discounted cash flow	Expected term (years)	2.0 - 17.3	5.0
of the processing business			model	Expected volatility^(a)	29.3 - 41.7%	35.5%
				Risk free rate	0.4 - 3.3%	1.0%
				Expected dividend rate	-	-

Swap associated with the sale of Visa, Inc.		(22)	Discounted cash flow	Timing of the resolution	12/31/13 -	NM
Class B shares			model	of the Covered Litigation	12/31/16

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

($'s in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	2	Appraised value	Cost to sell	NM	10.0%

OREO property		120	Appraised value	Cost to sell	NM	10.0%
Commercial and industrial loans		69	Discounted cash flow	Default rates	100%	NM
			model	Loss severities	0 - 84.2%	15.8%
Commercial mortgage loans		81	Discounted cash flow	Default rates	100%	NM
			model	Loss severities	0 - 100%	23.3%
Commercial construction loans		37	Discounted cash flow	Default rates	100%	NM
			model	Loss severities	0 - 100%	40.9%
MSRs		767	Discounted cash flow	Prepayment speed	0 - 100%	(Fixed) 14.4% (Adjustable) 26.5%
			model	Discount rates	9.4 - 18.0%	(Fixed) 10.6% (Adjustable) 11.8%

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 March 31, 2012		Trading	Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Securities	Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	1	65	32	32	$	130
Total gains or losses (realized/unrealized):
Included in earnings		-	(1)	49	28		76
Purchases		-	-	-	-		-
Settlements		-	(3)	(64)	75		8
Transfers into Level 3^(b)		-	6	-	-		6
Ending balance	$	1	67	17	135	$	220
Changes in unrealized gains or losses for the period
included in earnings for assets held at
March 31, 2012^(c)	$	-	(1)	17	28	$	44


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
For the three months ended March 31, 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		-	-	24	(13)		11
Included in other comprehensive income		-	-	-	-		-
Sales		(5)					(5)
Settlements		-	(2)	(16)	-		(18)
Transfers into Level 3^(b)		-	10	-	-		10
Ending balance	$	1	54	10	40	$	105
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 March 31, 2011^(c)	$	-	-	8	(12)	$	(4)

(a) Net interest rate derivatives include derivative assets and liabilities of $21 and $4, respectively, as of March 31, 2012 and $12 and $2, respectively, as of March 31, 2011. Net equity derivatives include derivative assets and liabilities of $159 and $24, respectively, as of March 31, 2012, and $78 and $38, respectively, as of March 31, 2011.

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

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
		March 31,
($ in millions)		2012	2011
Mortgage banking net revenue		49	24
Other noninterest income		27	(13)
Total gains	$	76	11

The total gains and losses included in earnings for the three months ended March 31, 2012 and 2011 attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at March 31, 2012 and 2011 were recorded in the Condensed Consolidated Statements of Income as follows:


		For the three months ended
		March 31,
($ in millions)		2012	2011
Mortgage banking net revenue		16	8
Corporate banking revenue		-	(12)
Other noninterest income		28	-
Total (losses) gains	$	44	(4)

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

The following tables represent those assets that were subject to fair value adjustments during the quarters ended March 31, 2012 and 2011 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
						For the three months
As of March 31, 2012 ($ in millions)		Level 1	Level 2	Level 3	Total	ended March 31, 2012
Commercial loans held for sale^(a)	$	-	-	2	2	(1)
Commercial and industrial loans		-	-	69	69	(30)
Commercial mortgage loans		-	-	81	81	(13)
Commercial construction loans		-	-	37	37	(12)
MSRs		-	-	767	767	11
OREO property		-	-	120	120	(23)
Total	$	-	-	1,076	1,076	(68)


		Fair Value Measurements Using				Total Losses
						For the three months
As of March 31, 2011 ($ in millions)		Level 1	Level 2	Level 3	Total	ended March 31, 2011
Commercial loans held for sale^(a)	$	-	-	48	48	(16)
Commercial and industrial loans		-	-	104	104	(85)
Commercial mortgage loans		-	-	80	80	(31)
Commercial construction loans		-	-	48	48	(19)
MSRs		-	-	894	894	37
OREO property		-	-	173	173	(77)
Total	$	-	-	1,347	1,347	(191)

(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 fair value and the principal balance for residential mortgage loans measured at fair value as of:

		Aggregate	Aggregate Unpaid
($ in millions)		Fair Value	Principal Balance	Difference
March 31, 2012
Residential mortgage loans measured at fair value	$	1,496	1,443	53
Past due loans of 90 days or more		4	4	-
Nonaccrual loans		-	-	-

December 31, 2011
Residential mortgage loans measured at fair value		2,816	2,693	123
Past due loans of 90 days or more		4	5	(1)

March 31, 2011
Residential mortgage loans measured at fair value	$	1,071	1,040	31
Past due loans of 90 days or more		4	4	-
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.


		Net Carrying	Fair Value Measurements Using			Total
As of March 31, 2012 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,235	2,235	-	-	2,235
Other securities		842	-	842	-	842
Held-to-maturity securities		321	-	-	321	321
Other short-term investments		1,628	1,628	-	-	1,628
Loans held for sale		155	-	-	155	155
Portfolio loans and leases:
Commercial and industrial loans		31,269	-	-	32,075	32,075
Commercial mortgage loans		9,507	-	-	8,697	8,697
Commercial construction loans		838	-	-	689	689
Commercial leases		3,439	-	-	3,203	3,203
Residential mortgage loans^(a)		10,794	-	-	10,627	10,627
Home equity		10,309	-	-	9,866	9,866
Automobile loans		11,792	-	-	11,755	11,755
Credit card		1,798	-	-	1,903	1,903
Other consumer loans and leases		302	-	-	319	319
Unallocated allowance for loan and lease losses		(128)	-	-	-	-
Total portfolio loans and leases, net^(a)		79,920	-	-	79,134	79,134
Financial liabilities:
Deposits		85,791		85,912	-	85,912
Federal funds purchased		319	319	-	-	319
Other short-term borrowings		2,877	-	2,877	-	2,877
Long-term debt		9,648	8,305	1,861	-	10,166

(a) Excludes $67 of residential mortgage loans measured at fair value on a recurring basis.

		Net Carrying
As of December 31, 2011 ($ in millions)		Amount	Fair Value
Financial assets:
Cash and due from banks	$	2,663	2,663
Other securities		842	842
Held-to-maturity securities		322	322
Other short-term investments		1,781	1,781
Loans held for sale		203	203
Portfolio loans and leases:
Commercial and industrial loans		29,854	30,300
Commercial mortgage loans		9,697	8,870
Commercial construction loans		943	791
Commercial leases		3,451	3,237
Residential mortgage loans^(a)		10,380	9,978
Home equity		10,524	9,737
Automobile loans		11,784	11,747
Credit card		1,872	1,958
Other consumer loans and leases		329	346
Unallocated allowance for loan and lease losses		(136)	-
Total portfolio loans and leases, net^(a)		78,698	76,964
Financial liabilities:
Deposits		85,710	85,599
Federal funds purchased		346	346
Other short-term borrowings		3,239	3,239
Long-term debt		9,682	10,197

(a) Excludes $65 of residential mortgage loans measured at fair value on a recurring basis.


		Net Carrying
As of March 31, 2011 ($ in millions)		Amount	Fair Value
Financial assets:
Cash and due from banks	$	2,121	2,121
Other securities		868	868
Held-to-maturity securities		346	346
Other short-term investments		2,481	2,481
Loans held for sale		274	274
Portfolio loans and leases:
Commercial and industrial loans		26,251	27,690
Commercial mortgage loans		9,984	9,053
Commercial construction loans		1,840	1,309
Commercial leases		3,271	2,926
Residential mortgage loans^(a)		9,190	8,250
Home equity		10,981	9,575
Automobile loans		11,059	11,077
Credit card		1,668	1,771
Other consumer loans and leases		507	559
Unallocated allowance for loan and lease losses		(145)	-
Total portfolio loans and leases, net^(a)		74,606	72,210
Financial liabilities:
Deposits		82,317	82,511
Federal funds purchased		332	332
Other short-term borrowings		1,297	1,297
Long-term debt		10,555	11,088

(a) Excludes $54 million of residential mortgage loans measured at fair value on a recurring basis

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

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- Definition

Tabular disclosure of assets and liabilities by class, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- 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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