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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2018
Fair Value Measurements  
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
December 31, 2018 ($ in millions)Level 1(c)Level 2(c)Level 3Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities$97--97
Obligations of states and political subdivisions securities-2-2
Mortgage-backed securities:
Agency residential mortgage-backed securities-16,247-16,247
Agency commercial mortgage-backed securities-10,650-10,650
Non-agency commercial mortgage-backed securities-3,267-3,267
Asset-backed securities and other debt securities-2,015-2,015
Available-for-sale debt and other securities(a)9732,181-32,278
Trading debt securities:
U.S. Treasury and federal agencies securities-16-16
Obligations of states and political subdivisions securities-35-35
Agency residential mortgage-backed securities-68-68
Asset-backed securities and other debt securities-168-168
Trading debt securities-287-287
Equity securities452--452
Residential mortgage loans held for sale-537-537
Residential mortgage loans(b)--179179
Commercial loans held for sale-7-7
MSRs--938938
Derivative assets:
Interest rate contracts-6487655
Foreign exchange contracts-152-152
Commodity contracts93214-307
Derivative assets(d)931,01471,114
Total assets$64234,0261,12435,792
Liabilities:
Derivative liabilities:
Interest rate contracts$83138329
Foreign exchange contracts-142-142
Equity contracts--125125
Commodity contracts19259-278
Derivative liabilities(e)27714133874
Short positions(e)11028-138
Total liabilities$1377421331,012

  • Excludes FHLB, FRB and DTCC restricted stock holdings totaling $184, $366 and $2, respectively, at December 31, 2018.
  • Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
  • During the year ended December 31, 2018, 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, 2017 ($ in millions)Level 1(c) Level 2(c) Level 3Total 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)9831,041-31,139
Trading debt securities:
U.S. Treasury and federal agencies securities111-12
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 securities1491-492
Equity securities4381-439
Residential mortgage loans held for sale-399-399
Residential mortgage loans(b)--137137
MSRs--858858
Derivative assets:
Interest rate contracts15058514
Foreign exchange contracts-124-124
Equity contracts-20-20
Commodity contracts39126-165
Derivative assets(d)407758823
Total assets$57732,7071,00334,287
Liabilities:
Derivative liabilities:
Interest rate contracts$11725178
Foreign exchange contracts-120-120
Equity contracts--137137
Commodity contracts38129-167
Derivative liabilities(e)39421142602
Short positions(e)256-31
Total liabilities$64427142633

  • Excludes FHLB, FRB and DTCC restricted stock holdings totaling $248, $362 and $2, respectively, at December 31, 2017.
  • Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
  • During the year ended December 31, 2017, no assets or liabilities were transferred between Level 1 and Level 2.
  • Included in other assets in the Consolidated Balance Sheets.
  • Included in other liabilities in the Consolidated Balance Sheets.
Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
ResidentialInterest Rate
Mortgage Derivatives,EquityTotal
For the year ended December 31, 2018 ($ in millions)LoansMSRsNet(a)DerivativesFair Value
Balance, beginning of period$1378583(137)861
Total (losses) gains (realized/unrealized):
Included in earnings(3)(83)72(59)(73)
Purchases/originations-163(5)-158
Settlements(19)-(71)71(19)
Transfers into Level 3(b)64---64
Balance, end of period$179938(1)(125)991
The amount of total (losses) gains for the period
included in earnings attributable to the change in
unrealized gains or losses relating to instruments
still held at December 31, 2018(c)$(3)(4)9(59)(57)

  • Net interest rate derivatives include derivative assets and liabilities of $7 and $8, respectively, as of December 31, 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)
ResidentialInterest Rate
Mortgage Derivatives,EquityTotal
For the year ended December 31, 2017 ($ in millions)LoansMSRs(d)Net(a)DerivativesFair Value
Balance, beginning of period$1437448(91)804
Total (losses) gains (realized/unrealized):
Included in earnings1(122)94(80)(107)
Purchases/originations-236(2)-234
Settlements(23)-(97)34(86)
Transfers into Level 3(b)16---16
Balance, end of period$1378583(137)861
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 December 31, 2017(c)$1(122)10(80)(191)

  • Net interest rate derivatives include derivative assets and liabilities of $8 and $5, respectively, as of December 31, 2017.
  • Includes certain residential mortgage loans held for sale that were transferred to held for investment.
  • Includes interest income and expense.

Effective January 1, 2017, the Bancorp has elected the fair value measurement method for all existing classes of its residential mortgage servicing rights. The servicing rights were measured at fair value at December 31, 2017 and were measured under the amortization method at December 31, 2016.

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
ResidentialInterest RateEquity
Mortgage Derivatives, Derivatives,Total
For the year ended December 31, 2016 ($ in millions)LoansNet(a)Net(a)Fair Value
Balance, beginning of period$16712201380
Total gains (losses) (realized/unrealized):
Included in earnings(2)11517130
Purchases/originations-(3)-(3)
Sales and exercise of warrant--(334)(334)
Settlements(40)(116)25(131)
Transfers into Level 3(b)18--18
Balance, end of period$1438(91)60
The amount of total (losses) gains for the period
included in earnings attributable to the change in
unrealized gains or losses relating to instruments
still held at December 31, 2016(c)$(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 $91, respectively, as of December 31, 2016.
  • Includes certain residential mortgage loans held for sale that were transferred to held for investment.
  • Includes interest income and expense.
Total Gains and Losses Included in Earnings for Assets and Liabilites Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
The total gains and losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Consolidated Statements of Income for the years ended December 31, 2018, 2017 and 2016 as follows:
($ in millions)201820172016
Mortgage banking net revenue$(16)(29)112
Corporate banking revenue221
Other noninterest income(59)(80)17
Total (losses) gains$(73)(107)130

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, 2018, 2017 and 2016 were recorded in the Consolidated Statements of Income as follows:
($ in millions)201820172016
Mortgage banking net revenue$-(113)10
Corporate banking revenue221
Other noninterest income(59)(80)(56)
Total losses$(57)(191)(45)
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, 2018 and 2017 and for which a nonrecurring fair value adjustment was recorded during the years ended December 31, 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 UsingTotal (Losses) Gains
As of December 31, 2018 ($ in millions)Level 1Level 2Level 3TotalFor the year ended December 31, 2018
Commercial loans held for sale$-- 16 16 (3)
Commercial and industrial loans-- 93 93 (41)
Commercial mortgage loans-- 2 2 7
Commercial leases-- 14 14 (11)
OREO-- 20 20 (7)
Bank premises and equipment-- 32 32 (45)
Operating lease equipment-- - - (2)
Private equity investments-67 3 70 43
Other assets-- 2 2 (8)
Total $-67 182 249 (67)

Fair Value Measurements UsingTotal Losses
As of December 31, 2017 ($ in millions)Level 1Level 2Level 3TotalFor the year ended December 31, 2017
Commercial loans held for sale$-- 1 1 (33)
Commercial and industrial loans-- 327 327 (99)
Commercial mortgage loans-- 19 19 (12)
Commercial leases-- 4 4 (6)
OREO-- 27 27 (10)
Bank premises and equipment-- 24 24 (6)
Operating lease equipment-- 60 60 (42)
Private equity investments-- 8 8 (1)
Affordable housing investments-- 1,078 1,078 (57)
Total $-- 1,548 1,548 (266)
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs
The following tables present information as of December 31, 2018 and 2017 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:
As of December 31, 2018 ($ in millions)
Financial Instrument Fair Value Valuation TechniqueSignificant Unobservable Inputs Ranges of Inputs Weighted-Average
Residential mortgage loans $179Loss rate model Interest rate risk factor (13.2) - 9.4%0.5%
Credit risk factor 0 - 39.9%0.7%
MSRs938DCFPrepayment speed0.5 - 100.0%(Fixed) 10.2%(Adjustable) 23.0%
OAS spread (bps)441 - 1,513(Fixed) 534(Adjustable) 863
IRLCs, net 7DCFLoan closing rates 9.5 - 96.7% 86.0%
Swap associated with the sale of Visa, Inc. (125)DCFTiming of the resolution 1/31/2021 - 11/11/2021
Class B Shares of the Covered Litigation 11/30/2023

As of December 31, 2017 ($ in millions)
Financial Instrument Fair ValueValuation TechniqueSignificant Unobservable InputsRanges of InputsWeighted-Average
Residential mortgage loans $137Loss rate model Interest rate risk factor (10.6) - 14.5%3.1%
Credit risk factor 0 - 52.1%1.4%
MSRs858DCFPrepayment speed0 - 98.1%(Fixed) 11.4%(Adjustable) 24.6%
OAS spread (bps)450 - 1,515(Fixed) 549(Adjustable) 785
IRLCs, net 8DCFLoan closing rates 12.5 - 97.7% 71.8%
Swap associated with the sale of Visa, Inc. (137)DCFTiming of the resolution 12/31/2020 - 8/15/2021
Class B Shares of the Covered Litigation12/31/2023

The following tables present information as of December 31, 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 December 31, 2018 ($ in millions)
Financial Instrument Fair Value Valuation TechniqueSignificant Unobservable Inputs Ranges of Inputs Weighted-Average
Commercial loans held for sale $16 Appraised valueAppraised value NM NM
Costs to sellNM 10.0%
Commercial and industrial loans93 Appraised valueCollateral value NM NM
Commercial mortgage loans 2 Appraised valueCollateral value NM NM
Commercial leases14 Appraised valueCollateral value NM NM
OREO20 Appraised valueAppraised value NM NM
Bank premises and equipment32 Appraised valueAppraised value NM NM
Operating lease equipment-Appraised valueAppraised value NM NM
Private equity investments-Liquidity discount appliedLiquidity discount0 - 43.0%12.9%
to fund's NAV
3 Comparable company analysisMarket comparable transactionsNM NM
Other assets2 Appraised valueAppraised value NM NM

As of December 31, 2017 ($ in millions)
Significant UnobservableRanges of
Financial Instrument Fair Value Valuation TechniqueInputsInputsWeighted-Average
Commercial loans held for sale $1 Appraised valueAppraised valueNM NM
Costs to sellNM 10.0%
Commercial and industrial loans327 Appraised valueCollateral value NM NM
Commercial mortgage loans 19 Appraised valueCollateral value NM NM
Commercial leases4 Appraised valueCollateral value NM NM
OREO27 Appraised valueAppraised value NM NM
Bank premises and equipment24 Appraised valueAppraised value NM NM
Operating lease equipment60 Appraised valueAppraised value NM NM
Private equity investments8 Liquidity discount appliedLiquidity discount2.5 - 15.0%5.8%
to fund's NAV
Affordable housing investments1,078Appraised valueAppraised value NM NM
Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance for Residential Mortgage Loans Measured at Fair Value
The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage loans measured at fair value as of:
AggregateAggregate Unpaid
($ in millions)Fair ValuePrincipal BalanceDifference
December 31, 2018
Residential mortgage loans measured at fair value$71669620
Past due loans of 90 days or more22-
Nonaccrual loans22-
Commercial loans measured at fair value77-
December 31, 2017
Residential mortgage loans measured at fair value$53652214
Past due loans of 90 days or more55-
Nonaccrual loans11-
Carrying Amounts and Estimated Fair Values for Certain Financial Instruments
The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:
Net CarryingFair Value Measurements Using Total
As of December 31, 2018 ($ in millions)AmountLevel 1Level 2Level 3Fair Value
Financial assets:
Cash and due from banks$2,6812,681--2,681
Other short-term investments1,8251,825--1,825
Other securities552-552-552
Held-to-maturity securities18--1818
Loans and leases held for sale63--6363
Portfolio loans and leases:
Commercial and industrial loans43,825--44,66844,668
Commercial mortgage loans6,894--6,8516,851
Commercial construction loans4,625--4,6884,688
Commercial leases3,582--3,1803,180
Residential mortgage loans15,244--15,68815,688
Home equity6,366--6,7196,719
Automobile loans8,934--8,7178,717
Credit card2,314--2,7592,759
Other consumer loans2,309--2,4282,428
Unallocated ALLL(110)----
Total portfolio loans and leases, net$93,983--95,69895,698
Financial liabilities:
Deposits$108,835-108,782-108,782
Federal funds purchased1,9251,925--1,925
Other short-term borrowings573-573-573
Long-term debt14,42614,287445-14,732

Net CarryingFair Value Measurements UsingTotal
As of December 31, 2017 ($ in millions)AmountLevel 1Level 2Level 3Fair Value
Financial assets:
Cash and due from banks$2,5142,514--2,514
Other short-term investments2,7532,753--2,753
Other securities612-612-612
Held-to-maturity securities24--2424
Loans and leases held for sale93--9393
Portfolio loans and leases:
Commercial and industrial loans40,519--41,71841,718
Commercial mortgage loans6,539--6,4906,490
Commercial construction loans4,530--4,5604,560
Commercial leases4,054--3,7053,705
Residential mortgage loans15,365--15,99615,996
Home equity6,968--7,4107,410
Automobile loans9,074--8,8328,832
Credit card2,182--2,6162,616
Other consumer loans1,526--1,6211,621
Unallocated ALLL(120)----
Total portfolio loans and leases, net$90,637--92,94892,948
Financial liabilities:
Deposits$103,162-103,123-103,123
Federal funds purchased174174--174
Other short-term borrowings4,012-4,012-4,012
Long-term debt14,90415,045529-15,574