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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016 ($ 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	$	77	1,084	-	1,161
Obligations of states and political subdivisions securities		-	52	-	52
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,129	-	15,129
Agency commercial mortgage-backed securities		-	8,205	-	8,205
Non-agency commercial mortgage-backed securities		-	3,120	-	3,120
Asset-backed securities and other debt securities		-	1,520	-	1,520
Equity securities^(a)		99	1	-	100
Available-for-sale and other securities^(a)		176	29,111	-	29,287
Trading securities:
U.S. Treasury and federal agencies securities		1	17	-	18
Obligations of states and political subdivisions securities		-	54	-	54
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	5	-	5
Agency commercial mortgage-backed securities		-	1	-	1
Asset-backed securities and other debt securities		-	23	-	23
Equity securities		304	-	-	304
Trading securities		305	100	-	405
Residential mortgage loans held for sale		-	600	-	600
Residential mortgage loans^(b)		-	-	160	160
Derivative assets:
Interest rate contracts		1	1,270	29	1,300
Foreign exchange contracts		-	285	-	285
Equity contracts		-	-	308	308
Commodity contracts		37	196	-	233
Derivative assets^(d)		38	1,751	337	2,126
Total assets	$	519	31,562	497	32,578
Liabilities:
Derivative liabilities:
Interest rate contracts	$	9	416	4	429
Foreign exchange contracts		-	272	-	272
Equity contracts		-	-	55	55
Commodity contracts		21	190	-	211
Derivative liabilities^(e)		30	878	59	967
Short positions^(e)		15	9	-	24
Total liabilities	$	45	887	59	991

Excludes FHLB, FRB and DTCC restricted stock holdings totaling $248, $355 and $1 respectively, at March 31, 2016.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the three months ended March 31, 2016, no assets or liabilities were transferred between Level 1 and Level 2.
Included in other assets in the Condensed Consolidated Balance Sheets.
Included in other liabilities in the Condensed Consolidated Balance Sheets.

	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 holdings 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 Condensed Consolidated Balance Sheets.
Included in other liabilities in the Condensed 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
For the three months ended March 31, 2016		Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	167	12	201		380
Total gains (realized/unrealized):
Included in earnings		1	42	48		91
Purchases		-	(1)	-		(1)
Settlements		(11)	(28)	4		(35)
Transfers into Level 3^(b)		3	-	-		3
Balance, end of period	$	160	25	253		438
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, 2016^(c)	$	1	29	48		78

Net interest rate derivatives include derivative assets and liabilities of $29 and $4, respectively, as of March 31, 2016. Net equity derivatives include derivative assets and liabilities of $308 and $55, respectively, as of March 31, 2016.
Includes certain residential mortgage loans originated as 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
For the three months ended March 31, 2015		Mortgage	Derivatives,	Derivatives,	Total
($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	108	10	366		484
Total gains or losses (realized/unrealized):
Included in earnings		2	35	53		90
Settlements		(7)	(28)	6		(29)
Transfers into Level 3^(b)		23	-	-		23
Balance, end of period	$	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

Net interest rate derivatives include derivative assets and liabilities of $19 and $2, respectively, as of March 31, 2015. Net equity derivatives include derivative assets and liabilities of $485 and $60, respectively, as of March 31, 2015.
Includes certain residential mortgage loans originated as 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)		2016	2015
Mortgage banking net revenue	$	43	36
Corporate banking revenue		-	1
Other noninterest income		48	53
Total gains	$	91	90

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, 2016 and 2015 were recorded in the Condensed Consolidated Statements of Income as follows:

		For the three months ended
		March 31,
($ in millions)		2016	2015
Mortgage banking net revenue	$	30	20
Corporate banking revenue		-	1
Other noninterest income		48	53
Total gains	$	78	74

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, 2016 and 2015, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2016 and 2015, 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, 2016 ($ in millions)		Level 1	Level 2	Level 3	Total	ended March 31, 2016
Commercial loans held for sale	$	-	-	5	5	(2)
Commercial and industrial loans		-	-	347	347	(47)
Commercial mortgage loans		-	-	85	85	6
Commercial construction loans		-	-	-	-	2
MSRs		-	-	685	685	(85)
OREO		-	-	27	27	(3)
Bank premises and equipment		-	-	12	12	1
Total	$	-	-	1,161	1,161	(128)


		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	$	-	-	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 and equipment		-	-	5	5	(3)
Operating lease equipment		-	-	39	39	(30)
Total	$	-	-	1,342	1,342	(142)

Quantitative information about significant unobservable level 3 fair value measurement inputs

The following tables present information as of March 31, 2016 and 2015 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:

As of March 31, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	160	Loss rate model	Interest rate risk factor	(6.0) - 16.5%	4.4%
				Credit risk factor	0 - 80.5%	1.4%
IRLCs, net		29	Discounted cash flow	Loan closing rates	5.6 - 94.0%	75.0%
Stock warrant associated with Vantiv		308	Black-Scholes option-	Expected term (years)	2.0 - 13.3	5.8
Holding, LLC			pricing model	Expected volatility^(a)	23.0 - 30.4%	25.9%
Swap associated with the sale of Visa, Inc.		(55)	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 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			pricing model	Expected volatility^(a)	22.9 - 32.2%	26.5%
Swap associated with the sale of Visa, Inc.		(60)	Discounted cash flow	Timing of the resolution	9/30/2016-	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.

The following tables present information as of March 31, 2016 and 2015 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, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	5	Appraised value	Appraised value	NM	NM
				Cost to sell	NM	10.0%
Commercial and industrial loans		347	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		85	Appraised value	Collateral value	NM	NM
Commercial construction loans		0	Appraised value	Collateral value	NM	NM
MSRs		685	Discounted cash flow	Prepayment speed	0 - 100%	(Fixed) 14.1% (Adjustable) 27.8%
				OAS spread (bps)	364-1,515	(Fixed) 603 (Adjustable) 713
OREO		27	Appraised value	Appraised value	NM	NM
Bank premises and equipment		12	Appraised value	Appraised value	NM	NM

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 and equipment		5	Appraised value	Appraised value	NM	NM
Operating lease equipment		39	Appraised value	Appraised value	NM	NM

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
March 31, 2016
Residential mortgage loans measured at fair value	$	760	730	30
Past due loans of 90 days or more		1	1	-
Nonaccrual loans		1	1	-
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	-

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, 2016 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,298	2,298	-	-	2,298
Other securities		604	-	604	-	604
Held-to-maturity securities		64	-	-	64	64
Other short-term investments		1,778	1,778	-	-	1,778
Loans held for sale		203	-	-	203	203
Portfolio loans and leases:
Commercial and industrial loans		42,736	-	-	43,168	43,168
Commercial mortgage loans		6,758	-	-	6,624	6,624
Commercial construction loans		3,404	-	-	3,169	3,169
Commercial leases		3,916	-	-	3,675	3,675
Residential mortgage loans		13,637	-	-	14,588	14,588
Home equity		8,050	-	-	8,855	8,855
Automobile loans		11,087	-	-	10,834	10,834
Credit card		2,039	-	-	2,432	2,432
Other consumer loans and leases		639	-	-	616	616
Unallocated ALLL		(116)	-	-	-	-
Total portfolio loans and leases, net	$	92,150	-	-	93,961	93,961
Financial liabilities:
Deposits	$	102,475	-	102,544	-	102,544
Federal funds purchased		134	134	-	-	134
Other short-term borrowings		3,523	-	3,523	-	3,523
Long-term debt		15,305	15,202	702	-	15,904

		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 ALLL		(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		15,810	15,603	625	-	16,228

- 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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