Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Measurements

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, 2020 ($ in millions)	Level 1		Level 2		Level 3		Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agency securities	$	78		-		-		78
Obligations of states and political subdivisions securities		-		17		-		17
Mortgage-backed securities:
Agency residential mortgage-backed securities		-		14,144		-		14,144
Agency commercial mortgage-backed securities		-		17,798		-		17,798
Non-agency commercial mortgage-backed securities		-		3,315		-		3,315
Asset-backed securities and other debt securities		-		2,677		-		2,677
Available-for-sale debt and other securities(a)		78		37,951		-		38,029
Trading debt securities:
U.S. Treasury and federal agency securities		49		1		-		50
Obligations of states and political subdivisions securities		-		28		-		28
Agency residential mortgage-backed securities		-		55		-		55
Non-agency residential mortgage-backed securities		-		4		-		4
Asset-backed securities and other debt securities		-		296		-		296
Trading debt securities		49		384		-		433
Equity securities		450		9		-		459
Residential mortgage loans held for sale		-		1,565		-		1,565
Residential mortgage loans(b)		-		-		185		185
Commercial loans held for sale		-		8		-		8
Servicing rights		-		-		685		685
Derivative assets:
Interest rate contracts		11		2,659		69		2,739
Foreign exchange contracts		-		345		-		345
Commodity contracts		283		733		-		1,016
Derivative assets(c)		294		3,737		69		4,100
Total assets	$	871		43,654		939		45,464
Liabilities:
Derivative liabilities:
Interest rate contracts	$	72		304		8		384
Foreign exchange contracts		-		291		-		291
Equity contracts		-		-		171		171
Commodity contracts		39		981		-		1,020
Derivative liabilities(d)		111		1,576		179		1,866
Short positions:(d)
U.S. Treasury and federal agency securities		75		-		-		75
Agency residential mortgage-backed securities		-		3		-		3
Asset-backed securities and other debt securities		-		152		-		152
Short positions		75		155		-		230
Total liabilities	$	186		1,731		179		2,096

(a) Excludes FHLB, FRB and DTCC restricted stock holdings totaling $136, $478 and $2, respectively, at March 31, 2020.

(b) Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.

(c) Included in other assets in the Condensed Consolidated Balance Sheets.

(d) Included in other liabilities in the Condensed Consolidated Balance Sheets.

	Fair Value Measurements Using						Total Fair Value
December 31, 2019 ($ in millions)	Level 1		Level 2		Level 3
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agency securities	$	75		-		-		75
Obligations of states and political subdivisions securities		-		18		-		18
Mortgage-backed securities:
Agency residential mortgage-backed securities		-		14,115		-		14,115
Agency commercial mortgage-backed securities		-		15,693		-		15,693
Non-agency commercial mortgage-backed securities		-		3,365		-		3,365
Asset-backed securities and other debt securities		-		2,206		-		2,206
Available-for-sale debt and other securities(a)		75		35,397		-		35,472
Trading debt securities:
U.S. Treasury and federal agency securities		2		-		-		2
Obligations of states and political subdivisions securities		-		9		-		9
Agency residential mortgage-backed securities		-		55		-		55
Asset-backed securities and other debt securities		-		231		-		231
Trading debt securities		2		295		-		297
Equity securities		554		10		-		564
Residential mortgage loans held for sale		-		1,264		-		1,264
Residential mortgage loans(b)		-		-		183		183
Servicing rights		-		-		993		993
Derivative assets:
Interest rate contracts		1		1,218		18		1,237
Foreign exchange contracts		-		165		-		165
Commodity contracts		37		234		-		271
Derivative assets(c)		38		1,617		18		1,673
Total assets	$	669		38,583		1,194		40,446
Liabilities:
Derivative liabilities:
Interest rate contracts	$	5		144		8		157
Foreign exchange contracts		-		151		-		151
Equity contracts		-		-		163		163
Commodity contracts		17		253		-		270
Derivative liabilities(d)		22		548		171		741
Short positions:
U.S. Treasury and federal agency securities		49		-		-		49
Asset-backed securities and other debt securities		-		100		-		100
Short positions(d)		49		100		-		149
Total liabilities	$	71		648		171		890

(a) Excludes FHLB, FRB, and DTCC restricted stock holdings totaling $76, $478 and $2, respectively, at December 31, 2019.

(b) Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.

(c) Included in other assets in the Condensed Consolidated Balance Sheets.

(d) 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		Servicing		Derivatives,		Equity		Total
For the three months ended March 31, 2020 ($ in millions)	Loans		Rights		Net(a)		Derivatives		Fair Value
Balance, beginning of period	$	183		993		10		(163)		1,023
Total (losses) gains (realized/unrealized):(d)
Included in earnings		4		(378)		103		(22)		(293	)
Purchases/originations		-		70		(1)		-		69
Settlements		(9)		-		(51)		14		(46	)
Transfers into Level 3(b)		7		-		-		-		7
Balance, end of period	$	185		685		61		(171)		760
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, 2020(c)	$	4		(341)		70		(22)		(289	)

(a) Net interest rate derivatives include derivative assets and liabilities of $69 and $8, respectively, as of March 31, 2020.

(b) Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

(c) Includes interest income and expense.

(d) There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at March 31, 2020.

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Residential				Interest Rate
	Mortgage		Servicing		Derivatives,		Equity		Total
For the three months ended March 31, 2019 ($ in millions)	Loans		Rights		Net(a)		Derivatives		Fair Value
Balance, beginning of period	$	179		938		(1)		(125)		991
Total (losses) gains (realized/unrealized):
Included in earnings		-		(84)		24		(31)		(91	)
Purchases/originations		-		287		(1)		-		286
Settlements		(4)		-		(20)		13		(11	)
Transfers into Level 3(b)		15		-		-		-		15
Balance, end of period	$	190		1,141		2		(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	)

(a) Net interest rate derivatives include derivative assets and liabilities of $11 and $9 respectively, as of March 31, 2019.

(b) Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

(c) 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
		March 31,
($ in millions)		2020			2019
Mortgage banking net revenue	$		(271	)		(60)
Other noninterest income			(22	)		(31)
Total losses	$		(293	)		(91)

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, 2020 and 2019 were recorded in the Condensed Consolidated Statements of Income as follows:

		For the three months ended
		March 31,
($ in millions)		2020			2019
Mortgage banking net revenue	$		(267	)		(58)
Other noninterest income			(22	)		(31)
Total losses	$		(289	)		(89)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Recurring

The following tables present information as of March 31, 2020 and 2019 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, 2020 ($ in millions)
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted-Average
Residential mortgage loans	$	185		Loss rate model	Interest rate risk factor		(2.1) - 13.1%				2.2%(a)
					Credit risk factor		0 - 40.6%				0.7%(a)
									(Fixed)		19.5%(b)
Servicing rights		685		DCF	Prepayment speed		0.5 - 97.0%		(Adjustable)		23.8%(b)
									(Fixed	)	926(b)
					OAS (bps)		536 - 1,513		(Adjustable)		932(b)
IRLCs, net		69		DCF	Loan closing rates		7.3 - 97.2%				70.1%(c)
Swap associated with the sale of Visa, Inc. Class B Shares		(171	)	DCF	Timing of the resolution of the Covered Litigation		Q2 2022 - Q1 2024				Q4 2022(d)

(a) Unobservable inputs were weighted by the relative carrying value of the instruments.

(b) Unobservable inputs were weighted by the relative unpaid principal balance of the instruments.

(c) Unobservable inputs were weighted by the relative notional amount of the instruments.

(d) Unobservable inputs were weighted by the probability of the final funding date of the instruments.

As of March 31, 2019 ($ in millions)
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted-Average
Residential mortgage loans	$	190		Loss rate model	Interest rate risk factor		(13.4) - 19.4%			0.6%
					Credit risk factor		0 - 39.9%			0.5%
									(Fixed)	11.2%
Servicing rights		1,141		DCF	Prepayment speed		0 - 100.0%		(Adjustable)	23.1%
									(Fixed)	538
					OAS (bps)		447 - 1,513		(Adjustable)	884
IRLCs, net		11		DCF	Loan closing rates		7.3 - 96.6%			78.9%
Swap associated with the sale of Visa, Inc. Class B Shares		(143	)	DCF	Timing of the resolution of the Covered Litigation		Q1 2021 - Q4 2023	Q1 2022

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, 2020 and 2019, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2020 and 2019, 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 March 31, 2020 ($ in millions)	Level 1		Level 2		Level 3		Total		For the three months ended March 31, 2020
Commercial loans held for sale	$	-		41		16		57		(3)
Commercial and industrial loans		-		-		141		141		(36)
Commercial mortgage loans		-		-		45		45		(29)
Commercial leases		-		-		8		8		(9)
Consumer loans		-		-		124		124		1
OREO		-		-		17		17		(4)
Bank premises and equipment		-		-		8		8		(3)
Operating lease equipment		-		-		10		10		(3)
Private equity investments		-		-		70		70		(9)
Total	$	-		41		439		480		(95	)

	Fair Value Measurements Using								Total (Losses) Gains
As of March 31, 2019 ($ in millions)	Level 1		Level 2		Level 3		Total		For the three months ended March 31, 2019
Commercial and industrial loans	$	-		-		109		109		(20)
Commercial mortgage loans		-		-		9		9		-
Commercial leases		-		-		13		13		(1)
OREO		-		-		12		12		(2)
Bank premises and equipment		-		-		22		22		(20)
Private equity investments		-		1		7		8		2
Total	$	-		1		172		173		(41)

Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Nonrecurring

The following tables present information as of March 31, 2020 and 2019 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, 2020 ($ in millions)
Financial Instrument		Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted-Average
Commercial loans held for sale	$		16	Comparable company analysis	Market comparable transactions		NM		NM
Commercial and industrial loans			141	Appraised value	Collateral value		NM		NM
Commercial mortgage loans			45	Appraised value	Collateral value		NM		NM
Commercial leases			8	Appraised value	Collateral value		NM		NM
Consumer loans			124	Appraised value	Collateral value		NM		NM
OREO			17	Appraised value	Appraised value		NM		NM
Bank premises and equipment			8	Appraised value	Appraised value		NM		NM
Operating lease equipment			10	Appraised value	Appraised value		NM		NM
Private equity investments			70	Comparable company analysis	Market comparable transactions		NM		NM

As of March 31, 2019 ($ in millions)
Financial Instrument		Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted-Average
Commercial and industrial loans	$		109	Appraised value	Collateral value		NM		NM
Commercial mortgage loans			9	Appraised value	Collateral value		NM		NM
Commercial leases			13	Appraised value	Collateral value		NM		NM
OREO			12	Appraised value	Appraised value		NM		NM
Bank premises and equipment			22	Appraised value	Appraised value		NM		NM
Private equity investments			7	Comparable company analysis	Market comparable transactions		NM		NM

Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance for Residential Mortgage and Commercial 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:

March 31, 2020 ($ in millions)	Aggregate Fair Value		Aggregate Unpaid     Principal Balance		Difference
Residential mortgage loans measured at fair value	$	1,750		1,659		91
Past due loans of 90 days or more		2		2		-
Nonaccrual loans		1		1		-
Commercial loans measured at fair value		8		9		(1)
December 31, 2019
Residential mortgage loans measured at fair value	$	1,447		1,410		37
Past due loans of 90 days or more		2		2		-
Nonaccrual loans		1		1		-

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:

As of March 31, 2020 ($ in millions)	Net Carrying Amount		Fair Value Measurements Using						Total Fair Value
			Level 1		Level 2		Level 3
Financial assets:
Cash and due from banks	$	3,282		3,282		-		-		3,282
Other short-term investments		6,319		6,319		-		-		6,319
Other securities		616		-		616		-		616
Held-to-maturity securities		17		-		-		17		17
Loans and leases held for sale		57		-		-		57		57
Portfolio loans and leases:
Commercial and industrial loans		57,273		-		-		56,397		56,397
Commercial mortgage loans		10,923		-		-		10,767		10,767
Commercial construction loans		5,409		-		-		5,579		5,579
Commercial leases		3,077		-		-		2,772		2,772
Residential mortgage loans		16,256		-		-		17,896		17,896
Home equity		5,745		-		-		5,934		5,934
Indirect secured consumer loans		11,921		-		-		11,902		11,902
Credit card		2,111		-		-		2,339		2,339
Other consumer loans		2,789		-		-		3,002		3,002
Total portfolio loans and leases, net	$	115,504		-		-		116,588		116,588
Financial liabilities:
Deposits	$	135,061		-		135,065		-		135,065
Federal funds purchased		1,625		1,625		-		-		1,625
Other short-term borrowings		4,542		-		4,542		-		4,542
Long-term debt		16,282		15,990		885		-		16,875

As of December 31, 2019 ($ in millions)	Net Carrying Amount			Fair Value Measurements Using						Total Fair Value
				Level 1		Level 2		Level 3
Financial assets:
Cash and due from banks	$	3,278			3,278		-		-		3,278
Other short-term investments		1,950			1,950		-		-		1,950
Other securities		556			-		556		-		556
Held-to-maturity securities		17			-		-		17		17
Loans and leases held for sale		136			-		-		136		136
Portfolio loans and leases:
Commercial and industrial loans		49,981			-		-		51,128		51,128
Commercial mortgage loans		10,876			-		-		10,823		10,823
Commercial construction loans		5,045			-		-		5,249		5,249
Commercial leases		3,346			-		-		3,133		3,133
Residential mortgage loans		16,468			-		-		17,509		17,509
Home equity		6,046			-		-		6,315		6,315
Indirect secured consumer loans		11,485			-		-		11,331		11,331
Credit card		2,364			-		-		2,774		2,774
Other consumer loans		2,683			-		-		2,866		2,866
Unallocated ALLL		(121	)		-		-		-		-
Total portfolio loans and leases, net	$	108,173			-		-		111,128		111,128
Financial liabilities:
Deposits	$	127,062			-		127,059		-		127,059
Federal funds purchased		260			260		-		-		260
Other short-term borrowings		1,011			-		1,011		-		1,011
Long-term debt		14,970			15,244		700		-		15,944