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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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
September 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	$	77	804	-	881
Obligations of states and political subdivisions securities		-	52	-	52
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,188	-	15,188
Agency commercial mortgage-backed securities		-	8,950	-	8,950
Non-agency commercial mortgage-backed securities		-	2,834	-	2,834
Asset-backed securities and other debt securities		-	2,083	-	2,083
Equity securities^(a)		94	1	-	95
Available-for-sale and other securities^(a)		171	29,912	-	30,083
Trading securities:
U.S. Treasury and federal agencies securities		-	9	-	9
Obligations of states and political subdivisions securities		-	42	-	42
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	13	-	13
Asset-backed securities and other debt securities		-	30	-	30
Equity securities		337	-	-	337
Trading securities		337	94	-	431
Residential mortgage loans held for sale		-	954	-	954
Residential mortgage loans^(b)		-	-	149	149
Derivative assets:
Interest rate contracts		-	1,227	33	1,260
Foreign exchange contracts		-	194	-	194
Equity contracts		-	-	325	325
Commodity contracts		17	94	-	111
Derivative assets^(d)		17	1,515	358	1,890
Total assets	$	525	32,475	507	33,507
Liabilities:
Derivative liabilities:
Interest rate contracts	$	8	392	4	404
Foreign exchange contracts		-	186	-	186
Equity contracts		-	-	103	103
Commodity contracts		13	86	-	99
Derivative liabilities^(e)		21	664	107	792
Short positions^(e)		15	4	-	19
Total liabilities	$	36	668	107	811

Excludes FHLB, FRB and DTCC restricted stock holdings totaling $248, $357 and $1, respectively, at September 30, 2016.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During both the three and nine months ended September 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 September 30, 2016 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	154	30	228		412
Total gains (losses) (realized/unrealized):
Included in earnings		-	42	(14)		28
Purchases		-	(1)	-		(1)
Settlements		(8)	(42)	8		(42)
Transfers into Level 3^(b)		3	-	-		3
Balance, end of period	$	149	29	222		400
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 September 30, 2016^(c)	$	-	33	(14)		19

Net interest rate derivatives include derivative assets and liabilities of $33 and $4, respectively, as of September 30, 2016. Net equity derivatives include derivative assets and liabilities of $325 and $103, respectively, as of September 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 September 30, 2015 ($ in millions)		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	178	10	445		633
Total gains (realized/unrealized):
Included in earnings		1	38	122		161
Settlements		(8)	(32)	5		(35)
Transfers into Level 3^(b)		2	-	-		2
Balance, end of period	$	173	16	572		761
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 September 30, 2015^(c)	$	1	19	122		142

Net interest rate derivatives include derivative assets and liabilities of $19 and $3, respectively, as of September 30, 2015. Net equity derivatives include derivative assets and liabilities of $630 and $58, respectively, as of September 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 nine months ended September 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	127	3		133
Purchases		-	(2)	-		(2)
Settlements		(30)	(108)	18		(120)
Transfers into Level 3^(b)		9	-	-		9
Balance, end of period	$	149	29	222		400
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 September 30, 2016^(c)	$	3	34	3		40

Net interest rate derivatives include derivative assets and liabilities of $33 and $4, respectively, as of September 30, 2016. Net equity derivatives include derivative assets and liabilities of $325 and $103, respectively, as of September 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 nine months ended September 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		2	90	188		280
Purchases		-	(1)	-		(1)
Settlements		(23)	(83)	18		(88)
Transfers into Level 3^(b)		86	-	-		86
Balance, end of period	$	173	16	572		761
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 September 30, 2015^(c)	$	2	20	188		210

Net interest rate derivatives include derivative assets and liabilities of $19 and $3, respectively, as of September 30, 2015. Net equity derivatives include derivative assets and liabilities of $630 and $58, respectively, as of September 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 nine months ended
		September 30,		September 30,
($ in millions)		2016	2015	2016	2015
Mortgage banking net revenue	$	42	39	129	91
Corporate banking revenue		-	-	1	1
Other noninterest income		(14)	122	3	188
Total gains	$	28	161	133	280

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

		For the three months ended		For the nine months ended
		September 30,		September 30,
($ in millions)		2016	2015	2016	2015
Mortgage banking net revenue	$	33	20	36	21
Corporate banking revenue		-	-	1	1
Other noninterest income		(14)	122	3	188
Total gains	$	19	142	40	210

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 September 30, 2016 and 2015 and for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 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 September 30, 2016	For the nine months ended September 30, 2016
As of September 30, 2016 ($ in millions)		Level 1	Level 2	Level 3	Total	For the three months ended September 30, 2016	For the nine months ended September 30, 2016
Commercial loans held for sale	$	-	-	85	85	(21)	(28)
Commercial and industrial loans		-	-	321	321	(52)	(118)
Commercial mortgage loans		-	-	58	58	(1)	(2)
Commercial construction loans		-	-	-	-	-	2
Commercial leases		-	-	-	-	-	(1)
MSRs		-	-	619	619	7	(125)
OREO		-	-	46	46	(5)	(14)
Bank premises and equipment		-	-	67	67	(28)	(31)
Operating lease equipment		-	-	39	39	(4)	(9)
Private equity investments		-	-	63	63	(9)	(9)
Total	$	-	-	1,298	1,298	(113)	(335)


		Fair Value Measurements Using				Total Losses	Total (Losses) Gains
						For the three months	For the nine months
As of September 30, 2015 ($ in millions)		Level 1	Level 2	Level 3	Total	ended September 30, 2015	ended September 30, 2015
Commercial loans held for sale	$	-	-	14	14	-	3
Residential mortgage loans held for sale		-	-	96	96	-	(2)
Automobile loans held for sale		-	-	2	2	-	-
Credit cards held for sale		-	-	4	4	(1)	(1)
Commercial and industrial loans		-	-	290	290	(57)	(98)
Commercial mortgage loans		-	-	112	112	(19)	(36)
Commercial construction loans		-	-	9	9	(2)	(2)
Residential mortgage loans		-	-	55	55	-	(1)
MSRs		-	-	756	756	(77)	(38)
OREO		-	-	64	64	(3)	(16)
Bank premises and equipment		-	-	79	79	(1)	(102)
Operating lease equipment		-	-	53	53	(2)	(36)
Total	$	-	-	1,534	1,534	(162)	(329)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs

The following tables present information as of September 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 September 30, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	149	Loss rate model	Interest rate risk factor	(5.0) - 15.7%	5.1%
				Credit risk factor	0 - 80.3%	1.2%
IRLCs, net		33	Discounted cash flow	Loan closing rates	6.5 - 94.0%	76.2%
Stock warrant associated with Vantiv		325	Black-Scholes option-	Expected term (years)	2.0 - 12.8	5.8
Holding, LLC			pricing model	Expected volatility^(a)	20.2 - 26.6%	23.6%
Swap associated with the sale of Visa, Inc.		(103)	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 September 30, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	173	Loss rate model	Interest rate risk factor	(8.0) - 16.3%	4.0%
				Credit risk factor	0 - 80.5%	0.9%
IRLCs, net		19	Discounted cash flow	Loan closing rates	14.9 - 87.6%	61.3%
Stock warrant associated with Vantiv		630	Black-Scholes option-	Expected term (years)	2.0 - 13.8	5.9
Holding, LLC			pricing model	Expected volatility^(a)	22.7 - 32.4%	26.7%
Swap associated with the sale of Visa, Inc.		(58)	Discounted cash flow	Timing of the resolution	12/31/2016 -	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 September 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 September 30, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	85	Appraised value	Appraised value	NM	NM
				Cost to sell	NM	10.0%
Commercial and industrial loans		321	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		58	Appraised value	Collateral value	NM	NM
MSRs		619	Discounted cash flow	Prepayment speed	0-100%	(Fixed) 14.9%(Adjustable) 27.1%
				OAS spread (bps)	100-1,515	(Fixed) 615(Adjustable) 724
OREO		46	Appraised value	Appraised value	NM	NM
Bank premises and equipment		67	Appraised value	Appraised value	NM	NM
Operating lease equipment		39	Appraised value	Appraised value	NM	NM
Private equity investments		63	Liquidity discount applied	Liquidity discount	5.0-37.5%	12.6%
			to fund's net asset value

As of September 30, 2015 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	14	Discounted cash flow	Discount spread	NM	4.4%
Residential mortgage loans held for sale		96	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		290	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		112	Appraised value	Collateral value	NM	NM
Commercial construction loans		9	Appraised value	Collateral value	NM	NM
Residential mortgage loans		55	Appraised value	Appraised value	NM	NM
MSRs		756	Discounted cash flow	Prepayment speed	1.0-100%	(Fixed) 11.7%(Adjustable) 32.7%
				OAS spread (bps)	304-1,525	(Fixed) 706(Adjustable) 668
OREO		64	Appraised value	Appraised value	NM	NM
Bank premises and equipment		79	Appraised value	Appraised value	NM	NM
Operating lease equipment		53	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
September 30, 2016
Residential mortgage loans measured at fair value	$	1,103	1,054	49
Past due loans of 90 days or more		2	2	-
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 September 30, 2016 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,164	2,164	-	-	2,164
Other securities		606	-	606	-	606
Held-to-maturity securities		56	-	-	56	56
Other short-term investments		2,995	2,995	-	-	2,995
Loans held for sale		106	-	-	106	106
Portfolio loans and leases:
Commercial and industrial loans		41,987	-	-	43,257	43,257
Commercial mortgage loans		6,770	-	-	6,714	6,714
Commercial construction loans		3,891	-	-	3,629	3,629
Commercial leases		3,981	-	-	3,718	3,718
Residential mortgage loans		14,398	-	-	15,282	15,282
Home equity		7,806	-	-	8,636	8,636
Automobile loans		10,307	-	-	10,037	10,037
Credit card		2,075	-	-	2,450	2,450
Other consumer loans and leases		630	-	-	642	642
Unallocated ALLL		(115)	-	-	-	-
Total portfolio loans and leases, net	$	91,730	-	-	94,365	94,365
Financial liabilities:
Deposits	$	101,271	-	101,309	-	101,309
Federal funds purchased		126	126	-	-	126
Other short-term borrowings		3,494	-	3,494	-	3,494
Long-term debt		16,890	16,927	720	-	17,647

		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^(a)		15,810	15,603	625	-	16,228

(a) Upon adoption of ASU 2015-03 on January 1, 2016, the December 31, 2015 Condensed Consolidated Balance Sheet was adjusted to reflect the classification of $34 of debt issuance costs from other assets to long-term debt. For further information, refer to Note 3.

- 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