XML 201 R64.htm IDEA: XBRL DOCUMENT

Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2014

Assets and Liabilities Measured at Fair Value on a Recurring Basis

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
December 31, 2014 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale and other securities:
U.S. Treasury and federal agencies	$	25	1,607	-	1,632
Obligations of states and political subdivisions		-	192	-	192
Mortgage-backed securities
Agency residential mortgage-backed securities		-	12,404	-	12,404
Agency commercial mortgage-backed securities		-	4,565	-	4,565
Non-agency commercial mortgage-backed securities		-	1,550	-	1,550
Asset-backed securities and other debt securities		-	1,362	-	1,362
Equity securities^(a)		84	19	-	103
Available-for-sale and other securities^(a)		109	21,699	-	21,808

Trading securities:
U.S. Treasury and federal agencies		-	14	-	14
Obligations of states and political subdivisions		-	8	-	8
Mortgage-backed securities
Agency residential mortgage-backed securities		-	9	-	9
Asset-backed securities and other debt securities		-	13	-	13
Equity securities		316	-	-	316
Trading securities		316	44	-	360

Residential mortgage loans held for sale		-	561	-	561
Residential mortgage loans^(b)		-	-	108	108
Derivative assets:
Interest rate contracts		-	888	12	900
Foreign exchange contracts		-	417	-	417
Equity contracts		-	-	415	415
Commodity contracts		68	280	-	348
Derivative assets		68	1,585	427	2,080
Total assets	$	493	23,889	535	24,917

Liabilities:
Derivative liabilities:
Interest rate contracts	$	6	276	2	284
Foreign exchange contracts		-	372	-	372
Equity contracts		-	-	49	49
Commodity contracts		58	280	-	338
Derivative liabilities		64	928	51	1,043

Short positions		16	5	-	21
Total liabilities	$	80	933	51	1,064

	Fair Value Measurements Using
December 31, 2013 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale and other securities:
U.S. Treasury and federal agencies	$	26	1,644	-	1,670
Obligations of states and political subdivisions		-	192	-	192
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	12,284	-	12,284
Non-agency commercial mortgage-backed securities		-	1,395	-	1,395
Asset-backed securities and other debt securities		-	2,187	-	2,187
Equity securities^(a)		89	29	-	118
Available-for-sale and other securities^(a)		115	17,731	-	17,846

Trading securities:
U.S. Treasury and federal agencies		1	4	-	5
Obligations of states and political subdivisions		-	12	1	13
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	3	-	3
Asset-backed securities and other debt securities		-	7	-	7
Equity securities		315	-	-	315
Trading securities		316	26	1	343

Residential mortgage loans held for sale		-	890	-	890
Residential mortgage loans^(b)		-	-	92	92
Derivative assets:
Interest rate contracts		13	802	12	827
Foreign exchange contracts		-	276	-	276
Equity contracts		-	-	384	384
Commodity contracts		18	48	-	66
Derivative assets		31	1,126	396	1,553
Total assets	$	462	19,773	489	20,724

Liabilities:
Derivative liabilities:
Interest rate contracts	$	1	384	4	389
Foreign exchange contracts		-	252	-	252
Equity contracts		-	-	48	48
Commodity contracts		9	56	-	65
Derivative liabilities		10	692	52	754

Short positions		4	4	-	8
Total liabilities	$	14	696	52	762

Excludes FHLB and FRB restricted stock totaling $248 and $352, respectively, at December 31, 2014 and $402 and $349, respectively, at December 31, 2013.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the years ended December 31, 2014 and 2013, no assets or liabilities were transferred between Level 1 and Level 2.

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 year ended December 31, 2014	Trading		Mortgage	Derivatives,	Derivatives,	Total
($ in millions)	Securities		Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	1	92	8	336	$	437
Total gains or losses (realized/unrealized):
Included in earnings		-	4	125	(7)		122
Purchases		-	-	(1)	-		(1)
Sales		(1)	-	-	-		(1)
Settlements		-	(17)	(122)	37		(102)
Transfers into Level 3^(b)		-	29	-	-		29
Ending balance	$	-	108	10	366	$	484
The amount of total gains (losses) for the period
included in earnings attributable to the change in
unrealized gains or losses relating to assets
still held at December 31, 2014^(c)	$	-	4	13	(7)	$	10

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
For the year ended December 31, 2013	Trading		Mortgage	Derivatives,	Derivatives,		Total
($ in millions)	Securities		Loans	Net^(a)	Net^(a)		Fair Value
Beginning balance	$	1	76	57	144	$	278
Total gains or losses (realized/unrealized):
Included in earnings		-	(1)	59	175		233
Purchases		-	-	(2)	-		(2)
Settlements		-	(17)	(106)	17		(106)
Transfers into Level 3^(b)		-	34	-	-		34
Ending balance	$	1	92	8	336	$	437
The amount of total gains (losses) for the period
included in earnings attributable to the change in
unrealized gains or losses relating to assets
still held at December 31, 2013^(c)	$	-	(1)	11	175	$	185

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
For the year ended December 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		-	-	418	22		440
Settlements		-	(15)	(393)	90		(318)
Transfers into Level 3^(b)		-	26	-	-		26
Ending balance	$	1	76	57	144	$	278
The amount of total gains for the period
included in earnings attributable to the change in
unrealized gains or losses relating to assets
still held at December 31, 2012^(c)	$	-	-	233	22	$	255

Net interest rate derivatives include derivative assets and liabilities of $12 and $2, respectively, as of December 31, 2014, $12 and $4, respectively as of December 31, 2013 and $60 and $3, respectively, as of December 31, 2012. Net equity derivatives include derivative assets and liabilities of $415 and $49, respectively, as of December 31, 2014, $384 and $48, respectively, as of December 31, 2013, and $177 and $33, respectively, as of December 31, 2012.
Includes residential mortgage loans held for sale that were transferred to held for investment.
Includes interest income and expense.

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 Consolidated Statements of Income as follows:

($ in millions)		2014	2013	2012
Mortgage banking net revenue	$	127	57	418
Corporate banking revenue		2	1	1
Other noninterest income		(7)	175	21
Total gains	$	122	233	440

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 December 31, 2014, 2013 and 2012 were recorded in the Consolidated Statements of Income as follows:

($ in millions)		2014	2013	2012
Mortgage banking net revenue	$	16	10	233
Corporate banking revenue		1	-	1
Other noninterest income		(7)	175	21
Total gains	$	10	185	255

Quantitative information about significant unobservable level 3 fair value measurement inputs

The following tables present information as of December 31, 2014 and 2013 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured on a recurring basis:

As of December 31, 2014 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	108	Loss rate model	Interest rate risk factor	(7.2) - 17.7%	5.0%
				Credit risk factor	0 - 46.6%	1.8%
IRLCs, net		12	Discounted cash flow	Loan closing rates	8.8 - 86.7%	65.2%
Stock warrant associated with Vantiv Holding, LLC		415	Black-Scholes option	Expected term (years)	2.0 - 14.5	6.0
			valuation model	Expected volatility^(a)	22.9 - 32.2%	26.5%
				Expected dividend rate	-	-
Swap associated with the sale of Visa, Inc.		(49)	Discounted cash flow	Timing of the resolution	12/31/2015 -	NM
Class B shares				of the Covered Litigation	6/30/2020


As of December 31, 2013 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	92	Loss rate model	Interest rate risk factor	(23.7) - 16.5%	2.3%
				Credit risk factor	0 - 63.4%	2.6%
IRLCs, net		11	Discounted cash flow	Loan closing rates	14.9 - 98.7%	68.5%
Stock warrant associated with Vantiv Holding, LLC		384	Black-Scholes option	Expected term (years)	2.0 - 15.5	5.1
			valuation model	Expected volatility^(a)	18.5 - 33.2%	25.4%
				Expected dividend rate	-	-
Swap associated with the sale of Visa, Inc.		(48)	Discounted cash flow	Timing of the resolution	12/31/2014 -	NM
Class B shares				of the Covered Litigation	12/31/2019

Based on historical and implied volatilities of comparable companies assuming similar expected terms

The following tables present information as of December 31, 2014 and 2013 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 December 31, 2014 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	33	Appraised value	Appraised value	NM	NM
				Cost to sell	NM	10.0%
Residential mortgage loans held for sale		554	Comparable transactions	Estimated sales proceeds from	NM	15.0%
				comparable transactions
Commercial and industrial loans		456	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		110	Appraised value	Collateral value	NM	NM
Commercial construction loans		23	Appraised value	Collateral value	NM	NM
MSRs		856	Discounted cash flow	Prepayment speed	0 - 100%	(Fixed) 12.0% (Adjustable) 26.2%
				Discount rates	9.6 - 13.2%	(Fixed) 9.9% (Adjustable) 11.8%
OREO		90	Appraised value	Appraised value	NM	NM
Bank Premises		22	Appraised value	Appraised value	NM	NM


As of December 31, 2013 ($ in millions)
				Significant Unobservable	Ranges of
Financial Instrument		Fair Value	Valuation Technique	Inputs	Inputs	Weighted-Average
Commercial loans held for sale	$	3	Appraised value	Appraised value	NM	NM
				Cost to sell	NM	10.0%
Commercial and industrial loans		443	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		61	Appraised value	Collateral value	NM	NM
Commercial construction loans		16	Appraised value	Collateral value	NM	NM
MSRs		967	Discounted cash flow	Prepayment speed	0 - 100%	(Fixed) 10.3% (Adjustable) 25.6%
				Discount rates	9.4 - 18.0%	(Fixed) 10.4% (Adjustable) 11.6%
OREO		87	Appraised value	Appraised value	NM	NM
Bank premises		8	Appraised value	Appraised value	NM	NM
Private equity investment funds		44^(a)	Liquidity discount applied
			to fund's net asset value	Liquidity discount	0-18.0%	3.0%

Includes funds the Bancorp will be prohibited from retaining after the July 21, 2016 end of the conformance period for the final rules, adopted under the BHCA, that implemented the provision of the Dodd-Frank Wall Street Reform and Consumer Protection Act, commonly referred to as the Volcker Rule.

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 December 31, 2014 and 2013, and for which a nonrecurring fair value adjustment was recorded during the years ended December 31, 2014 and 2013, 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
As of December 31, 2014 ($ in millions)		Level 1	Level 2	Level 3	Total	2014
Commercial loans held for sale^(a)	$	-	-	33	33	(12)
Residential mortgage loans held for sale		-	-	554	554	(87)
Commercial and industrial loans		-	-	456	456	(382)
Commercial mortgage loans		-	-	110	110	(36)
Commercial construction loans		-	-	23	23	(1)
MSRs		-	-	856	856	(65)
OREO		-	-	90	90	(26)
Bank premises				22	22	(20)
Total	$	-	-	2,144	2,144	(629)

		Fair Value Measurements Using				Total Losses
As of December 31, 2013 ($ in millions)		Level 1	Level 2	Level 3	Total	2013
Commercial loans held for sale^(a)	$	-	-	3	3	(7)
Commercial and industrial loans		-	-	443	443	(281)
Commercial mortgage loans		-	-	61	61	(41)
Commercial construction loans		-	-	16	16	(10)
MSRs		-	-	967	967	192
OREO		-	-	87	87	(45)
Bank premises		-	-	8	8	(6)
Private equity investment funds		-	-	181	181	(4)
Total	$	-	-	1,766	1,766	(202)

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 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
December 31, 2014
Residential mortgage loans measured at fair value	$	669	643	26
Past due loans of 90 days or more		2	2	-
Nonaccrual loans		3	3	-

December 31, 2013
Residential mortgage loans measured at fair value	$	982	962	20
Past due loans of 90 days or more		1	2	(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	Fair Value Measurements Using			Total
As of December 31, 2014 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	3,091	3,091	-	-	3,091
Other securities		600	-	600	-	600
Held-to-maturity securities		187	-	-	187	187
Other short-term investments		7,914	7,914	-	-	7,914
Loans held for sale		700	-	-	700	700
Portfolio loans and leases:
Commercial and industrial loans		40,092	-	-	40,781	40,781
Commercial mortgage loans		7,259	-	-	6,878	6,878
Commercial construction loans		2,052	-	-	1,735	1,735
Commercial leases		3,675	-	-	3,426	3,426
Residential mortgage loans		12,177	-	-	12,249	12,249
Home equity		8,799	-	-	9,224	9,224
Automobile loans		12,004	-	-	11,748	11,748
Credit card		2,297	-	-	2,586	2,586
Other consumer loans and leases		405	-	-	414	414
Unallocated allowance for loan and lease losses		(106)	-	-	-	-
Total portfolio loans and leases, net		88,654	-	-	89,041	89,041
Financial liabilities:
Deposits		101,712	-	101,715	-	101,715
Federal funds purchased		144	144	-	-	144
Other short-term borrowings		1,556	-	1,561	-	1,561
Long-term debt		14,967	14,993	655	-	15,648

		Net Carrying	Fair Value Measurements Using			Total
As of December 31, 2013 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	3,178	3,178	-	-	3,178
Other securities		751	-	751	-	751
Held-to-maturity securities		208	-	-	208	208
Other short-term investments		5,116	5,116	-	-	5,116
Loans held for sale		54	-	-	54	54
Portfolio loans and leases:
Commercial and industrial loans		38,549	-	-	39,804	39,804
Commercial mortgage loans		7,854	-	-	7,430	7,430
Commercial construction loans		1,013	-	-	856	856
Commercial leases		3,572	-	-	3,261	3,261
Residential mortgage loans		12,399	-	-	11,541	11,541
Home equity		9,152	-	-	9,181	9,181
Automobile loans		11,961	-	-	11,748	11,748
Credit card		2,202	-	-	2,380	2,380
Other consumer loans and leases		348	-	-	361	361
Unallocated allowance for loan and lease losses		(110)	-	-	-	-
Total portfolio loans and leases, net		86,940	-	-	86,562	86,562
Financial liabilities:
Deposits		99,275	-	99,288	-	99,288
Federal funds purchased		284	284	-	-	284
Other short-term borrowings		1,380	-	1,380	-	1,380
Long-term debt		9,633	9,645	577	-	10,222

- 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 (loss), 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, issues, 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.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References+ Details

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References+ Details