XML 60 R45.htm IDEA: XBRL DOCUMENT

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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
June 30, 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	$	78	1,077	-	1,155
Obligations of states and political subdivisions securities		-	52	-	52
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,694	-	15,694
Agency commercial mortgage-backed securities		-	8,926	-	8,926
Non-agency commercial mortgage-backed securities		-	3,079	-	3,079
Asset-backed securities and other debt securities		-	1,849	-	1,849
Equity securities^(a)		94	1	-	95
Available-for-sale and other securities^(a)		172	30,678	-	30,850
Trading securities:
U.S. Treasury and federal agencies securities		-	16	-	16
Obligations of states and political subdivisions securities		-	96	-	96
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	8	-	8
Asset-backed securities and other debt securities		-	17	-	17
Equity securities		264	-	-	264
Trading securities		264	137	-	401
Residential mortgage loans held for sale		-	852	-	852
Residential mortgage loans^(b)		-	-	154	154
Derivative assets:
Interest rate contracts		-	1,402	34	1,436
Foreign exchange contracts		-	279	-	279
Equity contracts		-	-	327	327
Commodity contracts		21	116	-	137
Derivative assets^(d)		21	1,797	361	2,179
Total assets	$	457	33,464	515	34,436
Liabilities:
Derivative liabilities:
Interest rate contracts	$	17	483	4	504
Foreign exchange contracts		-	253	-	253
Equity contracts		-	-	99	99
Commodity contracts		18	105	-	123
Derivative liabilities^(e)		35	841	103	979
Short positions^(e)		14	6	-	20
Total liabilities	$	49	847	103	999

Excludes FHLB, FRB and DTCC restricted stock holdings totaling $248, $356 and $1, respectively, at June 30, 2016.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During both the three and six months ended June 30, 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 and FRB 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 Condensed Consolidated Balance Sheets.
Included in other liabilities in the Condensed Consolidated Balance Sheet

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
		Mortgage	Derivatives,	Derivatives,	Total
For the three months ended June 30, 2016 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	160	25	253		438
Total gains (losses) (realized/unrealized):
Included in earnings		1	43	(31)		13
Settlements		(11)	(38)	6		(43)
Transfers into Level 3^(b)		4	-	-		4
Balance, end of period	$	154	30	228		412
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 June 30, 2016^(c)	$	1	33	(31)		3

Net interest rate derivatives include derivative assets and liabilities of $34 and $4, respectively, as of June 30, 2016. Net equity derivatives include derivative assets and liabilities of $327 and $99, respectively, as of June 30, 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
		Mortgage	Derivatives,	Derivatives,	Total
For the three months ended June 30, 2015 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	126	17	425		568
Total gains (losses) (realized/unrealized):
Included in earnings		(1)	17	13		29
Sales		-	(1)	-		(1)
Settlements		(8)	(23)	7		(24)
Transfers into Level 3^(b)		61	-	-		61
Balance, end of period	$	178	10	445		633
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 June 30, 2015^(c)	$	(1)	13	13		25

Net interest rate derivatives include derivative assets and liabilities of $14 and $4, respectively, as of June 30, 2015. Net equity derivatives include derivative assets and liabilities of $500 and $55, respectively, as of June 30, 2015.
Includes certain 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
		Mortgage	Derivatives,	Derivatives,	Total
For the six months ended June 30, 2016 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	167	12	201		380
Total gains (realized/unrealized):
Included in earnings		3	84	16		103
Purchases		-	(1)	-		(1)
Settlements		(22)	(65)	11		(76)
Transfers into Level 3^(b)		6	-	-		6
Balance, end of period	$	154	30	228		412
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 June 30, 2016^(c)	$	3	34	16		53

Net interest rate derivatives include derivative assets and liabilities of $34 and $4, respectively, as of June 30, 2016. Net equity derivatives include derivative assets and liabilities of $327 and $99, respectively, as of June 30, 2016.
Includes certain 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
		Mortgage	Derivatives,	Derivatives,	Total
For the six months ended June 30, 2015 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	108	10	366		484
Total gains (realized/unrealized):
Included in earnings		1	52	66		119
Sales		-	(1)	-		(1)
Settlements		(15)	(51)	13		(53)
Transfers into Level 3^(b)		84	-	-		84
Balance, end of period	$	178	10	445		633
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 June 30, 2015^(c)	$	1	14	66		81

Net interest rate derivatives include derivative assets and liabilities of $14 and $4, respectively, as of June 30, 2015. Net equity derivatives include derivative assets and liabilities of $500 and $55, respectively, as of June 30, 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		For the six months ended
		June 30,		June 30,
($ in millions)		2016	2015	2016	2015
Mortgage banking net revenue	$	44	16	86	52
Corporate banking revenue		-	-	1	1
Other noninterest income		(31)	13	16	66
Total gains	$	13	29	103	119

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 June 30, 2016 and 2015 were recorded in the Condensed Consolidated Statements of Income as follows:

		For the three months ended		For the six months ended
		June 30,		June 30,
($ in millions)		2016	2015	2016	2015
Mortgage banking net revenue	$	34	12	36	14
Corporate banking revenue		-	-	1	1
Other noninterest income		(31)	13	16	66
Total gains	$	3	25	53	81

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 June 30, 2016 and 2015 and for which a nonrecurring fair value adjustment was recorded during the three and six months ended June 30, 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	Total (Losses) Gains
						For the three months ended June 30, 2016	For the six months ended June 30, 2016
As of June 30, 2016 ($ in millions)		Level 1	Level 2	Level 3	Total	For the three months ended June 30, 2016	For the six months ended June 30, 2016
Commercial loans held for sale	$	-	-	20	20	(5)	(7)
Commercial and industrial loans		-	-	426	426	(19)	(66)
Commercial mortgage loans		-	-	67	67	(7)	(1)
Commercial construction loans		-	-	-	-	-	2
Commercial leases		-	-	3	3	(1)	(1)
MSRs		-	-	621	621	(45)	(131)
OREO		-	-	38	38	(6)	(9)
Bank premises and equipment		-	-	20	20	2	2
Operating lease equipment		-	-	38	38	(5)	(5)
Total	$	-	-	1,233	1,233	(86)	(216)


		Fair Value Measurements Using				Total (Losses) Gains	Total (Losses) Gains
						For the three months	For the six months
As of June 30, 2015 ($ in millions)		Level 1	Level 2	Level 3	Total	ended June 30, 2015	ended June 30, 2015
Commercial loans held for sale	$	-	-	15	15	(1)	3
Residential mortgage loans held for sale		-	-	91	91	(2)	(2)
Automobile loans held for sale		-	-	3	3	-	-
Commercial and industrial loans		-	-	397	397	2	(41)
Commercial mortgage loans		-	-	85	85	(4)	(17)
Residential mortgage loans		-	-	55	55	-	(1)
MSRs		-	-	854	854	87	39
OREO		-	-	46	46	(5)	(13)
Bank premises and equipment		-	-	130	130	(98)	(101)
Operating lease equipment		-	-	57	57	(4)	(34)
Total	$	-	-	1,733	1,733	(25)	(167)

Quantitative information about significant unobservable level 3 fair value measurement inputs

The following tables present information as of June 30, 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 June 30, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	154	Loss rate model	Interest rate risk factor	(5.2) - 16.3%	5.0%
				Credit risk factor	0 - 80.5%	1.1%
IRLCs, net		34	Discounted cash flow	Loan closing rates	5.3 - 94.0%	75.5%
Stock warrant associated with Vantiv		327	Black-Scholes option-	Expected term (years)	2.0 - 13.0	5.8
Holding, LLC			pricing model	Expected volatility^(a)	21.6 - 27.4%	24.3%
Swap associated with the sale of Visa, Inc.		(99)	Discounted cash flow	Timing of the resolution	12/31/2018 -	NM
Class B shares				of the Covered Litigation	12/31/2022

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

As of June 30, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	178	Loss rate model	Interest rate risk factor	(9.7) - 20.0%	2.7%
				Credit risk factor	0 - 85.5%	0.9%
IRLCs, net		13	Discounted cash flow	Loan closing rates	34.3 - 88.9%	70.6%
Stock warrant associated with Vantiv		500	Black-Scholes option-	Expected term (years)	2.0 - 14.0	5.9
Holding, LLC			pricing model	Expected volatility^(a)	22.1 - 31.9%	25.9%
Swap associated with the sale of Visa, Inc.		(55)	Discounted cash flow	Timing of the resolution	9/30/2016 -	NM
Class B shares				of the Covered Litigation	3/31/2021

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

The following tables present information as of June 30, 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 June 30, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	20	Appraised value	Appraised value	NM	NM
				Cost to sell	NM	10.0%
Commercial and industrial loans		426	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		67	Appraised value	Collateral value	NM	NM
Commercial construction loans		-	Appraised value	Collateral value	NM	NM
Commercial leases		3	Appraised value	Collateral value	NM	NM
MSRs		621	Discounted cash flow	Prepayment speed	0-100%	(Fixed) 15.0%(Adjustable) 26.9%
				OAS spread (bps)	404-1,515	(Fixed) 648(Adjustable) 762
OREO		38	Appraised value	Appraised value	NM	NM
Bank premises and equipment		20	Appraised value	Appraised value	NM	NM
Operating lease equipment		38	Appraised value	Appraised value	NM	NM

As of June 30, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	15	Discounted cash flow	Discount spread	NM	4.4%
Residential mortgage loans held for sale		91	Loss rate model	Interest rate risk factor	(7.5)-0.1%	(1.6)%
				Credit risk factor	NM	0.1%
Automobile loans held for sale		3	Discounted cash flow	Discount spread	NM	3.1%
Commercial and industrial loans		397	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		85	Appraised value	Collateral value	NM	NM
Residential mortgage loans		55	Appraised value	Appraised value	NM	NM
MSRs		854	Discounted cash flow	Prepayment speed	1.0-100%	(Fixed) 7.6%(Adjustable) 32.7%
				OAS spread (bps)	430-1,750	(Fixed) 930(Adjustable) 651
OREO		46	Appraised value	Appraised value	NM	NM
Bank premises and equipment		130	Appraised value	Appraised value	NM	NM
Operating lease equipment		57	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 unpaid principal balance for residential mortgage loans measured at fair value as of:

		Aggregate	Aggregate Unpaid
($ in millions)		Fair Value	Principal Balance	Difference
June 30, 2016
Residential mortgage loans measured at fair value	$	1,006	961	45
Past due loans of 90 days or more		1	2	(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 June 30, 2016 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,359	2,359	-	-	2,359
Other securities		605	-	605	-	605
Held-to-maturity securities		62	-	-	62	62
Other short-term investments		1,818	1,818	-	-	1,818
Loans held for sale		25	-	-	25	25
Portfolio loans and leases:
Commercial and industrial loans		42,800	-	-	43,981	43,981
Commercial mortgage loans		6,789	-	-	6,692	6,692
Commercial construction loans		3,692	-	-	3,436	3,436
Commercial leases		3,963	-	-	3,739	3,739
Residential mortgage loans		14,055	-	-	14,937	14,937
Home equity		7,927	-	-	8,790	8,790
Automobile loans		10,633	-	-	10,392	10,392
Credit card		2,077	-	-	2,437	2,437
Other consumer loans and leases		637	-	-	649	649
Unallocated ALLL		(117)	-	-	-	-
Total portfolio loans and leases, net	$	92,456	-	-	95,053	95,053
Financial liabilities:
Deposits	$	101,871	-	101,940	-	101,940
Federal funds purchased		108	108	-	-	108
Other short-term borrowings		3,979	-	3,979	-	3,979
Long-term debt		16,231	16,283	734	-	17,017

		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.

+ References + Details