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Fair Value Measurements (Tables)

12 Months Ended

Dec. 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
December 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	$	471	78	-	549
Obligations of states and political subdivisions securities		-	45	-	45
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,608	-	15,608
Agency commercial mortgage-backed securities		-	9,055	-	9,055
Non-agency commercial mortgage-backed securities		-	3,112	-	3,112
Asset-backed securities and other debt securities		-	2,116	-	2,116
Equity securities^(a)		90	1	-	91
Available-for-sale and other securities^(a)		561	30,015	-	30,576
Trading securities:
U.S. Treasury and federal agencies securities		-	23	-	23
Obligations of states and political subdivisions securities		-	39	-	39
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	8	-	8
Asset-backed securities and other debt securities		-	15	-	15
Equity securities		325	-	-	325
Trading securities		325	85	-	410
Residential mortgage loans held for sale		-	686	-	686
Residential mortgage loans^(b)		-	-	143	143
Derivative assets:
Interest rate contracts		20	715	13	748
Foreign exchange contracts		-	202	-	202
Commodity contracts		22	85	-	107
Derivative assets^(d)		42	1,002	13	1,057
Total assets	$	928	31,788	156	32,872
Liabilities:
Derivative liabilities:
Interest rate contracts	$	3	257	5	265
Foreign exchange contracts		-	204	-	204
Equity contracts		-	-	91	91
Commodity contracts		27	79	-	106
Derivative liabilities^(e)		30	540	96	666
Short positions^(e)		17	4	-	21
Total liabilities	$	47	544	96	687

Excludes FHLB, FRB and DTCC restricted stock totaling $248, $358 and $1, respectively, at December 31, 2016.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the year ended December 31, 2016, 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, 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.

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, 2016 ($ in millions)	Securities		Loans	Net^(a)	Net^(a)	Fair Value
Balance, beginning of period	$	-	167	12	201		380
Total gains (losses) (realized/unrealized):
Included in earnings		-	(2)	115	17		130
Purchases		-	-	(3)	-		(3)
Sale and exercise of warrant		-	-	-	(334)		(334)
Settlements		-	(40)	(116)	25		(131)
Transfers into Level 3^(b)		-	18	-	-		18
Balance, end of period	$	-	143	8	(91)		60
The amount of total gains (losses) for the period
included in earnings attributable to the change in
unrealized gains or losses relating to instruments
still held at December 31, 2016^(c)	$	-	(2)	13	(56)		(45)

Net interest rate derivatives include derivative assets and liabilities of $13 and $5, respectively, as of December 31, 2016. Net equity derivatives include derivative assets and liabilities of $0 and $91, respectively, as of December 31, 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
	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 (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 instruments
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 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
		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 (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 instruments
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 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 Consolidated Statements of Income for the years ended December 31, 2016, 2015 and 2014 as follows:

($ in millions)		2016	2015	2014
Mortgage banking net revenue	$	112	110	127
Corporate banking revenue		1	1	2
Other noninterest income		17	288	(7)
Total gains	$	130	399	122

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, 2016, 2015 and 2014 were recorded in the Consolidated Statements of Income as follows:

($ in millions)		2016	2015	2014
Mortgage banking net revenue	$	10	16	16
Corporate banking revenue		1	1	1
Other noninterest income		(56)	66	(7)
Total (losses) gains	$	(45)	83	10

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, 2016 and 2015 and for which a nonrecurring fair value adjustment was recorded during the years ended December 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
As of December 31, 2016 ($ in millions)		Level 1	Level 2	Level 3	Total	For the year ended December 31, 2016
Commercial loans held for sale	$	-	-	5	5	(32)
Commercial and industrial loans		-	-	412	412	(166)
Commercial mortgage loans		-	-	15	15	(4)
Commercial construction loans		-	-	-	-	2
Commercial leases		-	-	3	3	(3)
MSRs		-	-	744	744	7
OREO		-	-	42	42	(17)
Bank premises and equipment		-	-	28	28	(31)
Operating lease equipment		-	-	37	37	(9)
Private equity investments		-	-	60	60	(9)
Total	$	-	-	1,346	1,346	(262)


		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 investments				13	13	(1)
Total	$	-	-	1,575	1,575	(340)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs

The following tables present information as of December 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 December 31, 2016 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	143	Loss rate model	Interest rate risk factor	(11.5) - 13.8%	2.3%
				Credit risk factor	0 - 75.6%	1.4%
IRLCs, net		12	Discounted cash flow	Loan closing rates	23.8 - 99.5%	76.8%
Swap associated with the sale of Visa, Inc.		(91)	Discounted cash flow	Timing of the resolution	12/31/2018 -	NM
Class B Shares				of the Covered Litigation	12/31/2022


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%
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

(a) 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, 2016 and 2015 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, 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
Commercial and industrial loans		412	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		15	Appraised value	Collateral value	NM	NM
Commercial construction loans		-	Appraised value	Collateral value	NM	NM
Commercial leases		3	Appraised value	Appraised value	NM	NM
MSRs		744	Discounted cash flow	Prepayment speed	0.7 - 100%	(Fixed) 10.2%(Adjustable) 25.3%
				OAS spread (bps)	100 - 1,515	(Fixed) 654(Adjustable) 738
OREO		42	Appraised value	Appraised value	NM	NM
Bank premises and equipment		28	Appraised value	Appraised value	NM	NM
Operating lease equipment		37	Appraised value	Appraised value	NM	NM
Private equity investments		60	Liquidity discount applied	Liquidity discount	5.0 - 37.5%	12.8%
			to fund's net asset value

As of December 31, 2015 ($ in millions)
				Significant Unobservable	Ranges of
Financial Instrument		Fair Value	Valuation Technique	Inputs	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 investments		13	Liquidity discount applied	Liquidity discount	NM	18.0%
			to fund's net asset value

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, 2016
Residential mortgage loans measured at fair value	$	829	823	6
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

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, 2016 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,392	2,392	-	-	2,392
Other securities		607	-	607	-	607
Held-to-maturity securities		26	-	-	26	26
Other short-term investments		2,754	2,754	-	-	2,754
Loans held for sale		65	-	-	65	65
Portfolio loans and leases:
Commercial and industrial loans		40,958	-	-	41,976	41,976
Commercial mortgage loans		6,817	-	-	6,735	6,735
Commercial construction loans		3,887	-	-	3,853	3,853
Commercial leases		3,959	-	-	3,651	3,651
Residential mortgage loans		14,812	-	-	15,415	15,415
Home equity		7,637	-	-	8,421	8,421
Automobile loans		9,941	-	-	9,640	9,640
Credit card		2,135	-	-	2,503	2,503
Other consumer loans and leases		668	-	-	678	678
Unallocated ALLL		(112)	-	-	-	-
Total portfolio loans and leases, net	$	90,702	-	-	92,872	92,872
Financial liabilities:
Deposits	$	103,821	-	103,811	-	103,811
Federal funds purchased		132	132	-	-	132
Other short-term borrowings		3,535	-	3,535	-	3,535
Long-term debt		14,388	14,288	545	-	14,833


		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 Consolidated Balance Sheet was adjusted to reflect the reclassification of $34 of debt issuance costs from other assets to long-term debt. For further information, refer to Note 1.

- 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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