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Fair Value Measurements (Tables)

12 Months Ended

Dec. 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
December 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	$	100	1,087	-	1,187
Obligations of states and political subdivisions securities		-	52	-	52
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,081	-	15,081
Agency commercial mortgage-backed securities		-	7,862	-	7,862
Non-agency commercial mortgage-backed securities		-	2,804	-	2,804
Asset-backed securities and other debt securities		-	1,355	-	1,355
Equity securities^(a)		98	1	-	99
Available-for-sale and other securities^(a)		198	28,242	-	28,440

Trading securities:
U.S. Treasury and federal agencies securities		-	19	-	19
Obligations of states and political subdivisions securities		-	9	-	9
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	6	-	6
Asset-backed securities and other debt securities		-	19	-	19
Equity securities		333	-	-	333
Trading securities		333	53	-	386

Residential mortgage loans held for sale		-	519	-	519
Residential mortgage loans^(b)		-	-	167	167
Derivative assets:
Interest rate contracts		3	892	15	910
Foreign exchange contracts		-	386	-	386
Equity contracts		-	-	262	262
Commodity contracts		54	240	-	294
Derivative assets^(d)		57	1,518	277	1,852
Total assets	$	588	30,332	444	31,364

Liabilities:
Derivative liabilities:
Interest rate contracts	$	1	257	3	261
Foreign exchange contracts		-	340	-	340
Equity contracts		-	-	61	61
Commodity contracts		37	239	-	276
Derivative liabilities^(e)		38	836	64	938

Short positions^(e)		22	7	-	29
Total liabilities	$	60	843	64	967

Excludes FHLB, FRB and DTCC restricted stock totaling $248, $355 and $1, respectively, at December 31, 2015.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the year ended December 31, 2015, no assets or liabilities were transferred between Level 1 and Level 2.
Included in other assets in the Consolidated Balance Sheets.
Included in other liabilities in the Consolidated Balance Sheets

	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^(d)		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^(e)		64	928	51	1,043

Short positions^(e)		16	5	-	21
Total liabilities	$	80	933	51	1,064

Excludes FHLB and FRB restricted stock totaling $248 and $352, respectively, at December 31, 2014.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the year ended December 31, 2014, no assets or liabilities were transferred between Level 1 and Level 2.
Included in other assets in the Consolidated Balance Sheets.
Included in other liabilities in the Consolidated Balance Sheets

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
	Trading		Mortgage	Derivatives,	Derivatives,	Total
For the year ended December 31, 2015 ($ in millions)	Securities		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	-	108	10	366		484
Total gains or losses (realized/unrealized):
Included in earnings		-	-	111	288		399
Purchases		-	-	(2)	-		(2)
Sale and exercise of warrant		-	-	-	(477)		(477)
Settlements		-	(28)	(107)	24		(111)
Transfers into Level 3^(b)		-	87	-	-		87
Balance, end of period	$	-	167	12	201		380
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, 2015^(c)	$	-	-	17	66		83

Net interest rate derivatives include derivative assets and liabilities of $15 and $3, respectively, as of December 31, 2015. Net equity derivatives include derivative assets and liabilities of $262 and $61, respectively, as of December 31, 2015.
Includes residential mortgage loans held for sale that were transferred to held for investment.
Includes interest income and expense.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
	Trading		Mortgage	Derivatives,	Derivatives,	Total
For the year ended December 31, 2014 ($ in millions)	Securities		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	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
Balance, end of period	$	-	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

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


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
			Residential	Interest Rate	Equity
		Trading	Mortgage	Derivatives,	Derivatives,	Total
For the year ended December 31, 2013 ($ in millions)		Securities	Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	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
Balance, end of period	$	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

Net interest rate derivatives include derivative assets and liabilities of $12 and $4, respectively, as of December 31, 2013. Net equity derivatives include derivative assets and liabilities of $384 and $48, respectively, as of December 31, 2013.
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 during the years ended December 31, 2015, 2014 and 2013 as follows:

($ in millions)		2015	2014	2013
Mortgage banking net revenue	$	110	127	57
Corporate banking revenue		1	2	1
Other noninterest income		288	(7)	175
Total gains	$	399	122	233

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, 2015, 2014 and 2013 were recorded in the Consolidated Statements of Income as follows:

($ in millions)		2015	2014	2013
Mortgage banking net revenue	$	16	16	10
Corporate banking revenue		1	1	-
Other noninterest income		66	(7)	175
Total gains	$	83	10	185

Quantitative information about significant unobservable level 3 fair value measurement inputs

The following tables present information as of December 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 December 31, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	167	Loss rate model	Interest rate risk factor	(9.2) - 16.5%	3.1%
				Credit risk factor	0 - 80.5%	1.3%
IRLCs, net		15	Discounted cash flow	Loan closing rates	5.8 - 94.0%	76.3%
Stock warrant associated with Vantiv Holding, LLC		262	Black-Scholes option-	Expected term (years)	2.0 - 13.5	5.9
			pricing model	Expected volatility^(a)	22.6 - 31.2%	25.9%
				Expected dividend rate	-	-
Swap associated with the sale of Visa, Inc.		(61)	Discounted cash flow	Timing of the resolution	12/31/2016 -	NM
Class B shares				of the Covered Litigation	3/31/2021

Based on historical and implied volatilities of Vantiv, Inc. and comparable companies assuming similar expected terms.


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
			pricing 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

Based on historical and implied volatilities of Vantiv, Inc. and comparable companies assuming similar expected terms.


The following tables present information as of December 31, 2015 and 2014 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets measured on a nonrecurring basis:

As of December 31, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	13	Discounted cash flow	Discount spread	NM	4.4%

Residential mortgage loans held for sale		68	Loss rate model	Interest rate risk factor	(7.5) - 0.1%	(1.6%)
				Credit risk factor	NM	0.1%
Automobile loans held for sale		2	Discounted cash flow	Discount spread	NM	3.1%
Credit cards held for sale		4	Comparable transactions	Estimated sales proceeds from	NM	NM
				comparable transactions
Commercial and industrial loans		344	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		103	Appraised value	Collateral value	NM	NM
Commercial construction loans		6	Appraised value	Collateral value	NM	NM
Residential mortgage loans		55	Appraised value	Appraised value	NM	NM
MSRs		784	Discounted cash flow	Prepayment speed	1.0 - 100%	(Fixed) 11.8% (Adjustable) 27.0%
				OAS spread (bps)	364-1,515	(Fixed) 618 (Adjustable) 703
OREO		58	Appraised value	Appraised value	NM	NM
Bank premises and equipment		83	Appraised value	Appraised value	NM	NM
Operating lease equipment		42	Appraised value	Appraised value	NM	NM
Private equity investment funds		13	Liquidity discount applied
			to fund's net asset value	Liquidity discount	NM	18.0%

As of December 31, 2014 ($ in millions)
				Significant Unobservable	Ranges of
Financial Instrument		Fair Value	Valuation Technique	Inputs	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 and equipment		22	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 December 31, 2015 and 2014, and for which a nonrecurring fair value adjustment was recorded during the years ended December 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
As of December 31, 2015 ($ in millions)		Level 1	Level 2	Level 3	Total	For the year ended December 31, 2015
Commercial loans held for sale	$	-	-	13	13	3
Residential mortgage loans held for sale		-	-	68	68	(2)
Automobile loans held for sale		-	-	2	2	-
Credit cards held for sale		-	-	4	4	(2)
Commercial and industrial loans		-	-	344	344	(137)
Commercial mortgage loans		-	-	103	103	(41)
Commercial construction loans		-	-	6	6	(5)
Residential mortgage loans		-	-	55	55	(1)
MSRs		-	-	784	784	4
OREO		-	-	58	58	(24)
Bank premises and equipment		-	-	83	83	(101)
Operating lease equipment		-	-	42	42	(33)
Private equity investment funds		-	-	13	13	(1)
Total	$	-	-	1,575	1,575	(340)


		Fair Value Measurements Using				Total Losses
As of December 31, 2014 ($ in millions)		Level 1	Level 2	Level 3	Total	For the year ended December 31, 2014
Commercial loans held for sale	$	-	-	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 and equipment		-	-	22	22	(20)
Total	$	-	-	2,144	2,144	(629)

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, 2015
Residential mortgage loans measured at fair value	$	686	669	17
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

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, 2015 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,540	2,540	-	-	2,540
Other securities		604	-	604	-	604
Held-to-maturity securities		70	-	-	70	70
Other short-term investments		2,671	2,671	-	-	2,671
Loans held for sale		384	-	-	384	384
Portfolio loans and leases:
Commercial and industrial loans		41,479	-	-	41,802	41,802
Commercial mortgage loans		6,840	-	-	6,656	6,656
Commercial construction loans		3,190	-	-	2,918	2,918
Commercial leases		3,807	-	-	3,533	3,533
Residential mortgage loans		13,449	-	-	14,061	14,061
Home equity		8,234	-	-	8,948	8,948
Automobile loans		11,453	-	-	11,170	11,170
Credit card		2,160	-	-	2,551	2,551
Other consumer loans and leases		646	-	-	643	643
Unallocated allowance for loan and lease losses		(115)	-	-	-	-
Total portfolio loans and leases, net		91,143	-	-	92,282	92,282
Financial liabilities:
Deposits		103,205	-	103,219	-	103,219
Federal funds purchased		151	151	-	-	151
Other short-term borrowings		1,507	-	1,507	-	1,507
Long-term debt		15,844	15,637	625	-	16,262


		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

- 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