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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2018

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 as of:

	Fair Value Measurements Using
September 30, 2018 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities	$	95	-	-	95
Obligations of states and political subdivisions securities		-	2	-	2
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,973	-	15,973
Agency commercial mortgage-backed securities		-	10,046	-	10,046
Non-agency commercial mortgage-backed securities		-	3,097	-	3,097
Asset-backed securities and other debt securities		-	2,044	-	2,044
Available-for-sale debt and other securities^(a)		95	31,162	-	31,257
Trading debt securities:
U.S. Treasury and federal agencies securities		5	15	-	20
Obligations of states and political subdivisions securities		-	69	-	69
Agency residential mortgage-backed securities		-	63	-	63
Asset-backed securities and other debt securities		-	117	-	117
Trading debt securities		5	264	-	269
Equity securities		499	1	-	500
Residential mortgage loans held for sale		-	563	-	563
Residential mortgage loans^(b)		-	-	172	172
Commercial loans held for sale		-	6	-	6
MSRs		-	-	1,010	1,010
Derivative assets:
Interest rate contracts		4	534	7	545
Foreign exchange contracts		-	124	-	124
Commodity contracts		34	281	-	315
Derivative assets^(d)		38	939	7	984
Total assets	$	637	32,935	1,189	34,761
Liabilities:
Derivative liabilities:
Interest rate contracts	$	-	355	8	363
Foreign exchange contracts		-	110	-	110
Equity contracts		-	-	144	144
Commodity contracts		104	192	-	296
Derivative liabilities^(e)		104	657	152	913
Short positions^(e)		47	51	-	98
Total liabilities	$	151	708	152	1,011

Excludes FHLB, FRB and DTCC restricted stock holdings totaling $184, $365 and $2, respectively, at September 30, 2018.
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, 2018, 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, 2017 ($ in millions)		Level 1^(c)	Level 2^(c)	Level 3	Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities	$	98	-	-	98
Obligations of states and political subdivisions securities		-	44	-	44
Mortgage-backed securities:
Agency residential mortgage-backed securities		-	15,319	-	15,319
Agency commercial mortgage-backed securities		-	10,167	-	10,167
Non-agency commercial mortgage-backed securities		-	3,293	-	3,293
Asset-backed securities and other debt securities		-	2,218	-	2,218
Available-for-sale debt and other securities^(a)		98	31,041	-	31,139
Trading debt securities:
U.S. Treasury and federal agencies securities		1	11	-	12
Obligations of states and political subdivisions securities		-	22	-	22
Residential mortgage-backed securities		-	395	-	395
Asset-backed securities and other debt securities		-	63	-	63
Trading debt securities		1	491	-	492
Equity securities		438	1	-	439
Residential mortgage loans held for sale		-	399	-	399
Residential mortgage loans^(b)		-	-	137	137
MSRs		-	-	858	858
Derivative assets:
Interest rate contracts		1	505	8	514
Foreign exchange contracts		-	124	-	124
Equity contracts		-	20	-	20
Commodity contracts		39	126	-	165
Derivative assets^(d)		40	775	8	823
Total assets	$	577	32,707	1,003	34,287
Liabilities:
Derivative liabilities:
Interest rate contracts	$	1	172	5	178
Foreign exchange contracts		-	120	-	120
Equity contracts		-	-	137	137
Commodity contracts		38	129	-	167
Derivative liabilities^(e)		39	421	142	602
Short positions^(e)		25	6	-	31
Total liabilities	$	64	427	142	633

Excludes FHLB, FRB, and DTCC restricted stock holdings totaling $248, $362 and $2, respectively, at December 31, 2017.
Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
During the year ended December 31, 2017, 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
		Mortgage		Derivatives,	Equity	Total
For the three months ended September 30, 2018 ($ in millions)		Loans	MSRs	Net^(a)	Derivatives	Fair Value
Balance, beginning of period	$	162	959	4	(164)		961
Total (losses) gains (realized/unrealized):
Included in earnings		(1)	(8)	18	(17)		(8)
Purchases/originations		-	59	(1)	-		58
Settlements		(4)	-	(22)	37		11
Transfers into Level 3^(b)		15	-	-	-		15
Balance, end of period	$	172	1,010	(1)	(144)		1,037
The amount of total (losses) gains for the period
included in earnings attributable to the change in unrealized
gains or losses relating to instruments still held at September 30, 2018^(c)	$	(1)	(8)	7	(17)		(19)

Net interest rate derivatives include derivative assets and liabilities of $7 and $8, respectively, as of September 30, 2018.
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
		Mortgage		Derivatives,	Equity	Total
For the three months ended September 30, 2017 ($ in millions)		Loans	MSRs	Net^(a)	Derivatives	Fair Value
Balance, beginning of period	$	142	849	9	(98)		902
Total (losses) gains (realized/unrealized):
Included in earnings		-	(34)	28	(47)		(53)
Purchases/originations		-	33	(1)	-		32
Settlements		(6)	-	(28)	9		(25)
Transfers into Level 3^(b)		4	-	-	-		4
Balance, end of period	$	140	848	8	(136)		860
The amount of total (losses) gains for the period
included in earnings attributable to the change in unrealized
gains or losses relating to instruments still held at September 30, 2017^(c)	$	-	(34)	13	(47)		(68)

Net interest rate derivatives include derivative assets and liabilities of $13 and $5, respectively, as of September 30, 2017.
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
		Mortgage		Derivatives,	Equity	Total
For the nine months ended September 30, 2018 ($ in millions)		Loans	MSRs	Net^(a)	Derivatives	Fair Value
Balance, beginning of period	$	137	858	3	(137)		861
Total (losses) gains (realized/unrealized):
Included in earnings		(5)	8	54	(66)		(9)
Purchases/originations		-	144	(5)	-		139
Settlements		(12)	-	(53)	59		(6)
Transfers into Level 3^(b)		52	-	-	-		52
Balance, end of period	$	172	1,010	(1)	(144)		1,037
The amount of total (losses) gains for the period
included in earnings attributable to the change in unrealized
gains or losses relating to assets still held at September 30, 2018^(c)	$	(5)	8	9	(66)		(54)

Net interest rate derivatives include derivative assets and liabilities of $7 and $8, respectively, as of September 30, 2018.
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
		Mortgage		Derivatives,	Equity	Total
For the nine months ended September 30, 2017 ($ in millions)		Loans	MSRs	Net^(a)	Derivatives	Fair Value
Balance, beginning of period	$	143	744	8	(91)		804
Total (losses) gains (realized/unrealized):
Included in earnings		2	(104)	77	(69)		(94)
Purchases/originations		-	208	(2)	-		206
Settlements		(16)	-	(75)	24		(67)
Transfers into Level 3^(b)		11	-	-	-		11
Balance, end of period	$	140	848	8	(136)		860
The amount of total (losses) gains for the period
included in earnings attributable to the change in unrealized
gains or losses relating to assets still held at September 30, 2017^(c)	$	2	(104)	14	(69)		(157)

Net interest rate derivatives include derivative assets and liabilities of $13 and $5, respectively, as of September 30, 2017.
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 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)		2018	2017	2018	2017
Mortgage banking net revenue	$	9	(6)	56	(27)
Corporate banking revenue		-	-	1	2
Other noninterest income		(17)	(47)	(66)	(69)
Total losses	$	(8)	(53)	(9)	(94)

The total losses included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at September 30, 2018 and 2017 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)		2018	2017	2018	2017
Mortgage banking net revenue	$	(2)	(21)	11	(90)
Corporate banking revenue		-	-	1	2
Other noninterest income		(17)	(47)	(66)	(69)
Total losses	$	(19)	(68)	(54)	(157)

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, 2018 and 2017 and for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 30, 2018 and 2017, 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, 2018	For the nine months ended September 30, 2018
As of September 30, 2018 ($ in millions)		Level 1	Level 2	Level 3	Total	For the three months ended September 30, 2018	For the nine months ended September 30, 2018
Commercial loans held for sale	$	-	-	3	3	(1)	(2)
Commercial and industrial loans		-	-	156	156	(16)	(46)
Commercial mortgage loans		-	-	2	2	-	6
Commercial leases		-	-	14	14	1	(9)
OREO		-	-	21	21	(2)	(6)
Bank premises and equipment		-	-	36	36	-	(41)
Operating lease equipment		-	-	10	10	(1)	(4)
Private equity investments		-	69	3	72	14	44
Total	$	-	69	245	314	(5)	(58)


		Fair Value Measurements Using				Total Losses	Total Losses
						For the three months	For the nine months
As of September 30, 2017 ($ in millions)		Level 1	Level 2	Level 3	Total	ended September 30, 2017	ended September 30, 2017
Commercial loans held for sale	$	-	-	8	8	(1)	(33)
Commercial and industrial loans		-	-	354	354	(10)	(68)
Commercial mortgage loans		-	-	20	20	(1)	(12)
Commercial leases		-	-	1	1	-	(2)
OREO		-	-	20	20	(3)	(8)
Bank premises and equipment		-	-	25	25	(1)	(6)
Operating lease equipment		-	-	56	56	-	(20)
Total	$	-	-	484	484	(16)	(149)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs

The following tables present information as of September 30, 2018 and 2017 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, 2018 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	172	Loss rate model	Interest rate risk factor	(12.7) - 11.0%	-0.6%
				Credit risk factor	0 - 40.3%	0.7%
MSRs		1,010	DCF	Prepayment speed	0.5-97.0%	(Fixed) 9.1%(Adjustable) 23.2%
				OAS spread (bps)	449-1,513	(Fixed) 533(Adjustable) 842
IRLCs, net		7	DCF	Loan closing rates	6.2 - 96.7%	76.6%
Swap associated with the sale of Visa, Inc.		(144)	DCF	Timing of the resolution	1/31/2021 -	9/6/2021
Class B Shares				of the Covered Litigation	11/30/2023

As of September 30, 2017 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Residential mortgage loans	$	140	Loss rate model	Interest rate risk factor	(9.2) - 14.9%	3.2%
				Credit risk factor	0 - 46.2%	1.0%
MSRs		848	DCF	Prepayment speed	0.8-98.0%	(Fixed) 11.8%(Adjustable) 25.2%
				OAS spread (bps)	430-1,515	(Fixed) 502(Adjustable) 784
IRLCs, net		13	DCF	Loan closing rates	3.3- 96.5%	72.8%
Swap associated with the sale of Visa, Inc.		(136)	DCF	Timing of the resolution	12/31/2020 -	8/15/2021
Class B Shares				of the Covered Litigation	12/31/2023

The following tables present information as of September 30, 2018 and 2017 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, 2018 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	3	Appraised value	Appraised value	NM	NM
				Costs to sell	NM	10.0%
Commercial and industrial loans		156	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		2	Appraised value	Collateral value	NM	NM
Commercial leases		14	Appraised value	Collateral value	NM	NM
OREO		21	Appraised value	Appraised value	NM	NM
Bank premises and equipment		36	Appraised value	Appraised value	NM	NM
Operating lease equipment		10	Appraised value	Appraised value	NM	NM
Private equity investments		-	Liquidity discount applied	Liquidity discount	0-43.0%	12.9%
			to fund's net asset value
		3	Comparable company analysis	Market comparable transactions	NM	NM

As of September 30, 2017 ($ in millions)
Financial Instrument		Fair Value	Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted-Average
Commercial loans held for sale	$	8	Appraised value	Appraised value	NM	NM
				Costs to sell	NM	10.0%
Commercial and industrial loans		354	Appraised value	Collateral value	NM	NM
Commercial mortgage loans		20	Appraised value	Collateral value	NM	NM
Commercial leases		1	Appraised value	Collateral value	NM	NM
OREO		20	Appraised value	Appraised value	NM	NM
Bank premises and equipment		25	Appraised value	Appraised value	NM	NM
Operating lease equipment		56	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 and commercial loans measured at fair value as of:

		Aggregate	Aggregate Unpaid
September 30, 2018 ($ in millions)		Fair Value	Principal Balance	Difference
Residential mortgage loans measured at fair value	$	735	723	12
Past due loans of 90 days or more		4	4	-
Nonaccrual loans		1	1	-
Commercial loans measured at fair value		6	6	-
December 31, 2017
Residential mortgage loans measured at fair value	$	536	522	14
Past due loans of 90 days or more		5	5	-
Nonaccrual loans		1	1	-

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, 2018 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,100	2,100	-	-	2,100
Other short-term investments		1,429	1,429	-	-	1,429
Other securities		551	-	551	-	551
Held-to-maturity securities		18	-	-	18	18
Loans and leases held for sale		94	-	-	94	94
Portfolio loans and leases:
Commercial and industrial loans		42,098	-	-	43,066	43,066
Commercial mortgage loans		6,622	-	-	6,556	6,556
Commercial construction loans		4,863	-	-	4,920	4,920
Commercial leases		3,676	-	-	3,266	3,266
Residential mortgage loans		15,330	-	-	15,544	15,544
Home equity		6,448	-	-	6,816	6,816
Automobile loans		8,963	-	-	8,687	8,687
Credit card		2,189	-	-	2,599	2,599
Other consumer loans		2,100	-	-	2,205	2,205
Unallocated ALLL		(109)	-	-	-	-
Total portfolio loans and leases, net	$	92,180	-	-	93,659	93,659
Financial liabilities:
Deposits	$	104,342	-	104,279	-	104,279
Federal funds purchased		2,316	2,316	-	-	2,316
Other short-term borrowings		1,114	-	1,114	-	1,114
Long-term debt		14,460	14,200	432	-	14,632

		Net Carrying	Fair Value Measurements Using			Total
As of December 31, 2017 ($ in millions)		Amount	Level 1	Level 2	Level 3	Fair Value
Financial assets:
Cash and due from banks	$	2,514	2,514	-	-	2,514
Other short-term investments		2,753	2,753	-	-	2,753
Other securities		612	-	612	-	612
Held-to-maturity securities		24	-	-	24	24
Loans and leases held for sale		93	-	-	93	93
Portfolio loans and leases:
Commercial and industrial loans		40,519	-	-	41,718	41,718
Commercial mortgage loans		6,539	-	-	6,490	6,490
Commercial construction loans		4,530	-	-	4,560	4,560
Commercial leases		4,054	-	-	3,705	3,705
Residential mortgage loans		15,365	-	-	15,996	15,996
Home equity		6,968	-	-	7,410	7,410
Automobile loans		9,074	-	-	8,832	8,832
Credit card		2,182	-	-	2,616	2,616
Other consumer loans		1,526	-	-	1,621	1,621
Unallocated ALLL		(120)	-	-	-	-
Total portfolio loans and leases, net	$	90,637	-	-	92,948	92,948
Financial liabilities:
Deposits	$	103,162	-	103,123	-	103,123
Federal funds purchased		174	174	-	-	174
Other short-term borrowings		4,012	-	4,012	-	4,012
Long-term debt		14,904	15,045	529	-	15,574