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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2015

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
March 31, 2015 ($ 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 securities	$	25	1,602	-	1,627
Obligations of states and political subdivisions securities		-	192	-	192
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,025	-	15,025
Agency commercial mortgage-backed securities		-	5,447	-	5,447
Non-agency commercial mortgage-backed securities		-	2,014	-	2,014
Asset-backed securities and other debt securities		-	1,402	-	1,402
Equity securities^(a)		83	19	-	102
Available-for-sale and other securities^(a)		108	25,701	-	25,809

Trading securities:
U.S. Treasury and federal agencies securities		-	19	-	19
Obligations of states and political subdivisions securities		-	55	-	55
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	4	-	4
Asset-backed securities and other debt securities		-	15	-	15
Equity securities		299	-	-	299
Trading securities		299	93	-	392

Residential mortgage loans held for sale		-	689	-	689
Residential mortgage loans^(b)		-	-	126	126
Derivative assets:
Interest rate contracts		2	1,067	19	1,088
Foreign exchange contracts		-	597	-	597
Equity contracts		-	-	485	485
Commodity contracts		58	265	-	323
Derivative assets		60	1,929	504	2,493
Total assets	$	467	28,412	630	29,509

Liabilities:
Derivative liabilities:
Interest rate contracts	$	7	323	2	332
Foreign exchange contracts		-	553	-	553
Equity contracts		-	-	60	60
Commodity contracts		38	268	-	306
Derivative liabilities		45	1,144	62	1,251

Short positions		21	2	-	23
Total liabilities	$	66	1,146	62	1,274

	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 securities	$	25	1,607	-	1,632
Obligations of states and political subdivisions securities		-	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 securities		-	14	-	14
Obligations of states and political subdivisions securities		-	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

Excludes FHLB and FRB restricted stock totaling $248 and $352, respectively, at March 31, 2015 and December 31, 2014.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the three months ended March 31, 2015 and the year ended December 31, 2014, 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 three months ended March 31, 2015		Trading	Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Securities	Loans	Net^(a)	Net^(a)	Fair Value
Beginning balance	$	-	108	10	366		484
Total gains (realized/unrealized):
Included in earnings		-	2	35	53		90
Settlements		-	(7)	(28)	6		(29)
Transfers into Level 3^(b)		-	23	-	-		23
Ending balance	$	-	126	17	425		568
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 March 31, 2015^(c)	$	-	2	19	53		74

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
For the three months ended March 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		-	1	37	(35)		3
Settlements		-	(2)	(32)	4		(30)
Transfers into Level 3^(b)		-	12	-	-		12
Ending balance	$	1	103	13	305		422
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 March 31, 2014^(c)	$	-	1	16	(35)		(18)

Net interest rate derivatives include derivative assets and liabilities of $19 and $2, respectively, as of March 31, 2015 and $16 and $3, respectively, as of March 31, 2014. Net equity derivatives include derivative assets and liabilities of $485 and $60, respectively, as of March 31, 2015, and $348 and $43, respectively, as of March 31, 2014.
Includes certain 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 Condensed Consolidated Statements of Income as follows:

		For the three months ended
		March 31,
($ in millions)		2015	2014
Mortgage banking net revenue	$	36	38
Corporate banking revenue		1	-
Other noninterest income		53	(35)
Total gains	$	90	3

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 March 31, 2015 and 2014 were recorded in the Condensed Consolidated Statements of Income as follows:

		For the three months ended
		March 31,
($ in millions)		2015	2014
Mortgage banking net revenue	$	20	17
Corporate banking revenue		1	-
Other noninterest income		53	(35)
Total gains (losses)	$	74	(18)

Quantitative information about significant unobservable level 3 fair value measurement inputs

The following tables present information as of March 31, 2015 and 2014 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 March 31, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	126	Loss rate model	Interest rate risk factor	(5.7) - 18.3%	5.3%
				Credit risk factor	0 - 47.9%	1.2%
IRLCs, net		19	Discounted cash flow	Loan closing rates	2.3 - 87.6%	67.0%
Stock warrant associated with Vantiv		485	Black-Scholes option	Expected term (years)	2.0 - 14.3	5.9
Holding, LLC			valuation model	Expected volatility^(a)	22.9 - 32.2%	26.5%
				Expected dividend rate	-	-
Swap associated with the sale of Visa, Inc.		(60)	Discounted cash flow	Timing of the resolution	9/30/16 -	NM
Class B shares				of the Covered Litigation	3/31/2021

As of March 31, 2014 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	103	Loss rate model	Interest rate risk factor	(21.8) - 20.1%	3.0%
				Credit risk factor	0 - 62.4%	2.0%
IRLCs, net		16	Discounted cash flow	Loan closing rates	7.3 - 95.0%	67.6%
Stock warrant associated with Vantiv		348	Black-Scholes option	Expected term (years)	2.00 - 15.25	6.0
Holding, LLC			valuation model	Expected volatility^(a)	25.0 - 32.7%	28.1%
				Expected dividend rate	-	-
Swap associated with the sale of Visa, Inc.		(43)	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 Vantiv, Inc. and comparable companies assuming similar expected terms.

The following tables present information as of March 31, 2015 and 2014 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 March 31, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	1	Appraised value	Appraised value	NM	NM
				Cost to sell	NM	10.0%
Commercial and industrial loans		366	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		52	Appraised value	Collateral value	NM	NM
Residential mortgage loans		55	Appraised value	Appraised value	NM	NM
MSRs		788	Discounted cash flow	Prepayment speed	0.6 - 100%	(Fixed) 10.0% (Adjustable) 32.2%
				OAS spread (bps)	430-1,700	(Fixed) 920 (Adjustable) 640
OREO		36	Appraised value	Appraised value	NM	NM
Bank premises		5	Appraised value	Appraised value	NM	NM
Operating lease equipment		39	Appraised value	Appraised value	NM	NM

As of March 31, 2014 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
				Cost to sell	NM	10.0%
Commercial and industrial loans	$	22	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		31	Appraised value	Collateral value	NM	NM
Commercial construction loans		2	Appraised value	Collateral value	NM	NM
MSRs		972	Discounted cash flow	Prepayment speed	0 - 100%	(Fixed) 10.6% (Adjustable) 26.1%
				Discount rates	9.6 - 13.2%	(Fixed) 9.9% (Adjustable) 11.8%
OREO		95	Appraised value	Appraised value	NM	NM

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 March 31, 2015 and 2014, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2015 and 2014, 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) Gains
						For the three months
As of March 31, 2015 ($ in millions)		Level 1	Level 2	Level 3	Total	ended March 31, 2015
Commercial loans held for sale^(a)	$	-	-	1	1	4
Commercial and industrial loans		-	-	366	366	(43)
Commercial mortgage loans		-	-	52	52	(13)
Residential mortgage loans		-	-	55	55	(1)
MSRs		-	-	788	788	(48)
OREO		-	-	36	36	(8)
Bank premises		-	-	5	5	(3)
Operating lease equipment		-	-	39	39	(30)
Total	$	-	-	1,342	1,342	(142)


		Fair Value Measurements Using				Total (Losses) Gains
						For the three months
As of March 31, 2014 ($ in millions)		Level 1	Level 2	Level 3	Total	ended March 31, 2014
Commercial and industrial loans	$	-	-	22	22	(41)
Commercial mortgage loans		-	-	31	31	(11)
Commercial construction loans		-	-	2	2	-
MSRs		-	-	972	972	4
OREO		-	-	95	95	(13)
Total	$	-	-	1,122	1,122	(61)

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 tables summarize 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, 2015
Residential mortgage loans measured at fair value	$	815	785	30
Past due loans of 90 days or more		2	2	-
Nonaccrual loans		2	2	-

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	-

Carrying Amounts and Estimated Fair Values for Certain Financial Instruments

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:

		Net Carrying	Fair Value Measurements Using			Total
As of March 31, 2015 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,920	2,920	-	-	2,920
Other securities		600	-	600	-	600
Held-to-maturity securities		177	-	-	177	177
Other short-term investments		4,919	4,919	-	-	4,919
Loans held for sale		35	-	-	35	35
Portfolio loans and leases:
Commercial and industrial loans		41,385	-	-	42,250	42,250
Commercial mortgage loans		7,085	-	-	6,694	6,694
Commercial construction loans		2,283	-	-	1,934	1,934
Commercial leases		3,744	-	-	3,539	3,539
Residential mortgage loans		12,340	-	-	12,638	12,638
Home equity		8,629	-	-	9,192	9,192
Automobile loans		11,834	-	-	11,594	11,594
Credit card		2,187	-	-	2,487	2,487
Other consumer loans and leases		435	-	-	443	443
Unallocated ALLL		(104)	-	-	-	-
Total portfolio loans and leases, net	$	89,818	-	-	90,771	90,771
Financial liabilities:
Deposits	$	103,415	-	103,477	-	103,477
Federal funds purchased		200	200	-	-	200
Other short-term borrowings		1,413	-	1,415	-	1,415
Long-term debt		14,055	14,103	696	-	14,799

		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 ALLL		(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

- 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.

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- 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.

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- 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.

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