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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2019
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
March 31, 2019 ($ 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 agency securities$797--797
Obligations of states and political subdivisions securities-6-6
Mortgage-backed securities:
Agency residential mortgage-backed securities-15,689-15,689
Agency commercial mortgage-backed securities -12,513-12,513
Non-agency commercial mortgage-backed securities -3,375-3,375
Asset-backed securities and other debt securities-2,087-2,087
Available-for-sale debt and other securities(a)79733,670-34,467
Trading debt securities:
U.S. Treasury and federal agency securities16-7
Obligations of states and political subdivisions securities-25-25
Agency residential mortgage-backed securities-66-66
Asset-backed securities and other debt securities-227-227
Trading debt securities1324-325
Equity securities4188-426
Residential mortgage loans held for sale-626-626
Residential mortgage loans(b)--190190
Commercial loans held for sale-22-22
MSRs--1,1411,141
Derivative assets:
Interest rate contracts-83711848
Foreign exchange contracts-139-139
Commodity contracts25165-190
Derivative assets(d)251,141111,177
Total assets$1,24135,7911,34238,374
Liabilities:
Derivative liabilities:
Interest rate contracts$74259441
Foreign exchange contracts-126-126
Equity contracts--143143
Commodity contracts20150-170
Derivative liabilities(e)27701152880
Short positions(e)5553-108
Total liabilities$82754152988

  • Excludes FHLB, FRB and DTCC restricted stock holdings totaling $137, $442 and $2, respectively, at March 31, 2019.
  • Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
  • During the three months ended March 31, 2019, 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, 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 agency 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 agency 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 $2, respectively, at December 31, 2018.
  • Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
  • During the year ended December 31, 2018, no assets or liabilities were transferred between Level 1 and Level 2.
  • Included in other assets in the Condensed Consolidated Balance Sheets.
  • Included in other liabilities in the Condensed Consolidated Balance Sheets.
Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
ResidentialInterest Rate
Mortgage Derivatives,EquityTotal
For the three months ended March 31, 2019 ($ in millions)LoansMSRsNet(a)DerivativesFair Value
Balance, beginning of period$179938(1)(125)991
Total (losses) gains (realized/unrealized):
Included in earnings-(84)24(31)(91)
Purchases/originations/acquisitions-287(1)-286
Settlements(4)-(20)13(11)
Transfers into Level 3(b)15---15
Balance, end of period$1901,1412(143)1,190
The amount of total (losses) gains for the period
included in earnings attributable to the change in unrealized
gains or losses relating to instruments still held at March 31, 2019(c)$-(69)11(31)(89)

  • Net interest rate derivatives include derivative assets and liabilities of $11 and $9, respectively, as of March 31, 2019.
  • 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 three months ended March 31, 2018 ($ in millions)LoansMSRsNet(a)DerivativesFair Value
Balance, beginning of period$1378583(137)861
Total gains (losses) (realized/unrealized):
Included in earnings(2)2814(39)1
Purchases/originations-40(2)-38
Settlements(135)-(11)11(135)
Transfers into Level 3(b)136---136
Balance, end of period$1369264(165)901
The amount of total (losses) gains for the period
included in earnings attributable to the change in unrealized
gains or losses relating to instruments still held at March 31, 2018(c)$(2)2811(39)(2)

  • Net interest rate derivatives include derivative assets and liabilities of $11 and $7, respectively, as of March 31, 2018.
  • Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
  • Includes interest income and expense.
Total Gains and Losses Included in Earnings for Assets and Liabilites Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
The total losses and gains included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Condensed Consolidated Statements of Income as follows:
For the three months ended
March 31,
($ in millions)20192018
Mortgage banking net revenue$(60)39
Corporate banking revenue-1
Other noninterest income(31)(39)
Total (losses) gains$(91)1

The total losses included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at March 31, 2019 and 2018 were recorded in the Condensed Consolidated Statements of Income as follows:
For the three months ended
March 31,
($ in millions)20192018
Mortgage banking net revenue$(58)36
Corporate banking revenue-1
Other noninterest income(31)(39)
Total losses$(89)(2)
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 March 31, 2019 and 2018, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2019 and 2018, 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. The following tables exclude the fair values of assets acquired and liabilities assumed in the acquisition of MB Financial, Inc. on March 22, 2019. Refer to Note 3 for additional information on the acquisition of MB Financial, Inc.
Fair Value Measurements UsingTotal (Losses) Gains
For the three months
As of March 31, 2019 ($ in millions)Level 1Level 2Level 3Totalended March 31, 2019
Commercial and industrial loans$--109109(20)
Commercial mortgage loans--99-
Commercial leases--1313(1)
OREO--1212(2)
Bank premises and equipment--2222(20)
Private equity investments-1782
Total $-1172173(41)

Fair Value Measurements UsingTotal (Losses) Gains
For the three months
As of March 31, 2018 ($ in millions)Level 1Level 2Level 3Totalended March 31, 2018
Commercial loans held for sale$--55(1)
Commercial and industrial loans--277277(44)
Commercial mortgage loans--446
Commercial leases--22(2)
OREO--1717(3)
Bank premises and equipment--44(8)
Operating lease equipment--1212(2)
Private equity investments-50338319
Total $-50354404(35)
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Inputs
The following tables present information as of March 31, 2019 and 2018 about significant unobservable inputs related to the Bancorp’s material categories of Level 3 financial assets and liabilities measured at fair value on a recurring basis:
As of March 31, 2019 ($ in millions)
Financial Instrument Fair Value Valuation TechniqueSignificant Unobservable Inputs Ranges of Inputs Weighted-Average
Residential mortgage loans $190Loss rate model Interest rate risk factor (13.4) - 19.4%0.6%
Credit risk factor 0 - 39.9%0.5%
MSRs1,141DCFPrepayment speed0-100.0%(Fixed) 11.2%(Adjustable) 23.1%
OAS spread (bps)447-1,513(Fixed) 538(Adjustable) 884
IRLCs, net 11 DCFLoan closing rates 7.3 - 96.6% 78.9%
Swap associated with the sale of Visa, Inc. (143)DCFTiming of the resolution 3/31/2021 - 1/6/2022
Class B Shares of the Covered Litigation11/30/2023

As of March 31, 2018 ($ in millions)
Financial Instrument Fair Value Valuation TechniqueSignificant Unobservable Inputs Ranges of Inputs Weighted-Average
Residential mortgage loans $136Loss rate model Interest rate risk factor (12.6) - 14.1%1.3%
Credit risk factor 0 - 46.2%1.5%
MSRs926DCFPrepayment speed0.5-98.1%(Fixed) 10.0%(Adjustable) 24.6%
OAS spread (bps)446-1,515(Fixed) 548(Adjustable) 797
IRLCs, net 11 DCFLoan closing rates 9.5- 102.7% 76.6%
Swap associated with the sale of Visa, Inc. (165)DCFTiming of the resolution 2/28/2021 -9/8/2021
Class B Shares of the Covered Litigation12/31/2023

The following tables present information as of March 31, 2019 and 2018 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 March 31, 2019 ($ in millions)
Financial Instrument Fair Value Valuation TechniqueSignificant Unobservable Inputs Ranges of Inputs Weighted-Average
Commercial and industrial loans$109Appraised valueCollateral value NM NM
Commercial mortgage loans 9Appraised valueCollateral value NM NM
Commercial leases13Appraised valueCollateral value NM NM
OREO12Appraised valueAppraised value NM NM
Bank premises and equipment22Appraised valueAppraised value NM NM
Private equity investments7Comparable company analysisMarket comparable transactionsNMNM

As of March 31, 2018 ($ in millions)
Financial Instrument Fair Value Valuation TechniqueSignificant Unobservable Inputs Ranges of Inputs Weighted-Average
Commercial loans held for sale $5Appraised valueAppraised valueNM NM
Costs to sellNM 10.0%
Commercial and industrial loans277Appraised valueCollateral value NM NM
Commercial mortgage loans 4Appraised valueCollateral value NM NM
Commercial leases2Appraised valueCollateral value NM NM
OREO17Appraised valueAppraised value NM NM
Bank premises and equipment4Appraised valueAppraised value NM NM
Operating lease equipment12Appraised valueAppraised value NM NM
Private equity investments29Liquidity discount appliedLiquidity discount0-43.0%10.5%
to fund's NAV
4Comparable company analysisMarket comparable transactionsNM NM
Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance for Residential Mortgage Loans Measured at Fair Value
The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage and commercial loans measured at fair value as of:
AggregateAggregate Unpaid
March 31, 2019 ($ in millions)Fair ValuePrincipal BalanceDifference
Residential mortgage loans measured at fair value$81679323
Past due loans of 90 days or more22-
Nonaccrual loans11-
Commercial loans measured at fair value2222-
December 31, 2018
Residential mortgage loans measured at fair value$71669620
Past due loans of 90 days or more22-
Nonaccrual loans22-
Commercial loans measured at fair value77-
Carrying Amounts and Estimated Fair Values for Certain Financial Instruments
Fair Value of Certain Financial Instruments
The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:
Net CarryingFair Value Measurements Using Total
As of March 31, 2019 ($ in millions)AmountLevel 1Level 2Level 3Fair Value
Financial assets:
Cash and due from banks$2,7492,749--2,749
Other short-term investments3,5563,556--3,556
Other securities581-581-581
Held-to-maturity securities21--2121
Loans and leases held for sale44--4444
Portfolio loans and leases:
Commercial and industrial loans51,345--52,13852,138
Commercial mortgage loans10,603--10,58710,587
Commercial construction loans5,197--5,2635,263
Commercial leases3,889--3,5593,559
Residential mortgage loans16,542--17,21917,219
Home equity6,396--6,7226,722
Indirect secured consumer loans9,983--9,8719,871
Credit card2,238--2,6682,668
Other consumer loans2,456--2,6102,610
Unallocated ALLL(112)----
Total portfolio loans and leases, net$108,537--110,637110,637
Financial liabilities:
Deposits$123,664-123,627-123,627
Federal funds purchased2,6302,630--2,630
Other short-term borrowings1,329-1,329-1,329
Long-term debt15,48315,229816-16,045

Net CarryingFair Value Measurements UsingTotal
As of December 31, 2018 ($ in millions)AmountLevel 1 Level 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
Indirect secured consumer 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