XML 66 R50.htm IDEA: XBRL DOCUMENT v3.24.2.u1
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
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
June 30, 2024 ($ in millions)Level 1Level 2Level 3Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities$3,506 — — 3,506 
Obligations of states and political subdivisions securities— 2 — 2 
Mortgage-backed securities:
Agency residential mortgage-backed securities— 4,757 — 4,757 
Agency commercial mortgage-backed securities— 21,155 — 21,155 
Non-agency commercial mortgage-backed securities— 4,403 — 4,403 
Asset-backed securities and other debt securities— 4,369 — 4,369 
Available-for-sale debt and other securities(a)
3,506 34,686 — 38,192 
Trading debt securities:
U.S. Treasury and federal agencies securities592 9 — 601 
Obligations of states and political subdivisions securities— 84 — 84 
Agency residential mortgage-backed securities— 7 — 7 
Asset-backed securities and other debt securities— 440 — 440 
Trading debt securities592 540 — 1,132 
Equity securities450 26 — 476 
Residential mortgage loans held for sale— 512 — 512 
Residential mortgage loans(b)
— — 109 109 
Servicing rights— — 1,731 1,731 
Derivative assets:
Interest rate contracts2 941 6 949 
Foreign exchange contracts— 1,128 — 1,128 
Commodity contracts69 714 — 783 
Derivative assets(c)
71 2,783 6 2,860 
Total assets$4,619 38,547 1,846 45,012 
Liabilities:
Derivative liabilities:
Interest rate contracts$2 1,246 6 1,254 
Foreign exchange contracts— 1,092 — 1,092 
Equity contracts— — 164 164 
Commodity contracts72 701 — 773 
Derivative liabilities(d)
74 3,039 170 3,283 
Short positions:
U.S. Treasury and federal agencies securities104 — — 104 
Asset-backed securities and other debt securities— 130 — 130 
Short positions(d)
104 130 — 234 
Total liabilities$178 3,169 170 3,517 
(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $293, $499 and $2, respectively, at June 30, 2024.
(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c)Included in other assets in the Condensed Consolidated Balance Sheets.
(d)Included in other liabilities in the Condensed Consolidated Balance Sheets.
Fair Value Measurements Using
December 31, 2023 ($ in millions)Level 1Level 2Level 3Total Fair Value
Assets:
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities$4,336 — — 4,336 
Obligations of states and political subdivisions securities— 2 — 2 
Mortgage-backed securities:
Agency residential mortgage-backed securities— 10,282 — 10,282 
Agency commercial mortgage-backed securities— 25,720 — 25,720 
Non-agency commercial mortgage-backed securities— 4,445 — 4,445 
Asset-backed securities and other debt securities— 4,912 — 4,912 
Available-for-sale debt and other securities(a)
4,336 45,361 — 49,697 
Trading debt securities:
U.S. Treasury and federal agencies securities640 7 — 647 
Obligations of states and political subdivisions securities— 39 — 39 
Agency residential mortgage-backed securities— 6 — 6 
Asset-backed securities and other debt securities— 207 — 207 
Trading debt securities640 259 — 899 
Equity securities600 13 — 613 
Residential mortgage loans held for sale— 334 — 334 
Residential mortgage loans(b)
— — 116 116 
Servicing rights— — 1,737 1,737 
Derivative assets:
Interest rate contracts— 977 6 983 
Foreign exchange contracts— 643 — 643 
Commodity contracts205 846 — 1,051 
Derivative assets(c)
205 2,466 6 2,677 
Total assets$5,781 48,433 1,859 56,073 
Liabilities:
Derivative liabilities:
Interest rate contracts$5 1,202 6 1,213 
Foreign exchange contracts— 600 — 600 
Equity contracts— — 168 168 
Commodity contracts28 990 — 1,018 
Derivative liabilities(d)
33 2,792 174 2,999 
Short positions:
U.S. Treasury and federal agencies securities31 — — 31 
Asset-backed securities and other debt securities— 76 — 76 
Short positions(d)
31 76 — 107 
Total liabilities$64 2,868 174 3,106 
(a)Excludes FHLB, FRB and DTCC restricted stock holdings totaling $224, $496 and $2, respectively, at December 31, 2023.
(b)Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c)Included in other assets in the Condensed Consolidated Balance Sheets.
(d)Included in other liabilities in the Condensed Consolidated Balance Sheets.
Reconciliation of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs
The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the three months ended June 30, 2024 ($ in millions)
Residential
Mortgage
Loans		Servicing
Rights
Interest Rate
Derivatives,
Net(a)
Equity
Derivatives		Total
Fair Value
Balance, beginning of period$113 1,756 — (162)1,707 
Total (losses) gains (realized/unrealized):(b)
 Included in earnings(1)(30)12 (23)(42)
Purchases/originations— 10 — — 10 
Sales— (5)— — (5)
Settlements(4)— (12)21 5 
Transfers into Level 3(c)
1 — — — 1 
Balance, end of period$109 1,731 — (164)1,676 
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 June 30, 2024
$(1)7 5 (23)(12)
(a)Net interest rate derivatives include $6 for both derivative assets and liabilities as of June 30, 2024.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2024.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the three months ended June 30, 2023 ($ in millions)
Residential
Mortgage
Loans		Servicing
Rights
Interest Rate
Derivatives,
Net(a)
Equity
Derivatives		Total
Fair Value
Balance, beginning of period$128 1,725 3 (192)1,664 
Total (losses) gains (realized/unrealized):(b)
 Included in earnings(1)13 11 (30)(7)
Purchases/originations— 26 — — 26 
Settlements(3)— (12)18 3 
Transfers into Level 3(c)
— — — — — 
Balance, end of period$124 1,764 2 (204)1,686 
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 June 30, 2023
$(1)33 6 (30)8 
(a)Net interest rate derivatives include derivative assets and liabilities of $10 and $8, respectively, as of June 30, 2023.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2023.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the six months ended June 30, 2024 ($ in millions)
Residential
Mortgage
Loans		Servicing
Rights
Interest Rate
Derivatives,
Net(a)
Equity
Derivatives		Total
Fair Value
Balance, beginning of period$116 1,737 — (168)1,685 
Total (losses) gains (realized/unrealized):(b)
 Included in earnings(3)(22)21 (40)(44)
Purchases/originations— 21 (1)— 20 
Sales— (5)— — (5)
Settlements(6)— (20)44 18 
Transfers into Level 3(c)
2 — — — 2 
Balance, end of period$109 1,731 — (164)1,676 
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 June 30, 2024
$(3)35 6 (40)(2)
(a)Net interest rate derivatives include $6 for both derivative assets and liabilities as of June 30, 2024.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2024.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the six months ended June 30, 2023 ($ in millions)
Residential
Mortgage
Loans		Servicing
Rights
Interest Rate
Derivatives,
Net(a)
Equity
Derivatives		Total
Fair Value
Balance, beginning of period$123 1,746 (1)(195)1,673 
Total (losses) gains (realized/unrealized):(b)
 Included in earnings1 (40)25 (61)(75)
Purchases/originations— 58 (2)— 56 
Settlements(5)— (20)52 27 
Transfers into Level 3(c)
5 — — — 5 
Balance, end of period$124 1,764 2 (204)1,686 
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 June 30, 2023
$1 (3)6 (61)(57)
(a)Net interest rate derivatives include derivative assets and liabilities of $10 and $8, respectively, as of June 30, 2023.
(b)There were no unrealized gains or losses for the period included in other comprehensive income for instruments still held at June 30, 2023.
(c)Includes certain residential mortgage loans originated as held for sale that were transferred to held for investment.
Total Gains and Losses Included in Earnings for Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs
The total losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were recorded in the Condensed Consolidated Statements of Income as follows:
For the three months ended
June 30,		For the six months ended
June 30,
($ in millions)2024202320242023
Mortgage banking net revenue$(20)22 (5)(16)
Commercial banking revenue1 1 1 2 
Other noninterest income(23)(30)(40)(61)
Total losses$(42)(7)(44)(75)

The total losses and gains included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still held at June 30, 2024 and 2023 were recorded in the Condensed Consolidated Statements of Income as follows:
For the three months ended
June 30,		For the six months ended
June 30,
($ in millions)2024202320242023
Mortgage banking net revenue$10 37 37 2 
Commercial banking revenue1 1 1 2 
Other noninterest income(23)(30)(40)(61)
Total (losses) gains$(12)8 (2)(57)
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Recurring
The following tables present information as of June 30, 2024 and 2023 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 June 30, 2024 ($ in millions)
Financial InstrumentFair ValueValuation
Technique		Significant
Unobservable Inputs		Range of Inputs
Weighted-Average
Residential mortgage loans$109 Loss rate modelInterest rate risk factor(26.0)-5.0%(14.1)%
(a)
Credit risk factor— -0.6%0.1 %
(a)
Servicing rights1,731 DCFPrepayment speed— -100.0%
(Fixed)
5.6 %
(b)
(Adjustable)
22.1 %
(b)
OAS (bps)420 -1,833
(Fixed)
448
(b)
(Adjustable)
693
(b)
IRLCs, net5 DCFLoan closing rates18.8 -96.0%82.3 %
(c)
Swap associated with the sale of Visa, Inc. Class B Shares(164)DCFTiming of the resolution
   of the Covered Litigation		Q4 2026-Q1 2028Q2 2027
(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 June 30, 2023 ($ in millions)
Financial InstrumentFair ValueValuation
Technique		Significant
Unobservable Inputs		Range of InputsWeighted-Average
Residential mortgage loans$124 Loss rate modelInterest rate risk factor(23.5)-5.5 %(11.8)%
(a)
Credit risk factor— -1.1 %0.2 %
(a)
Servicing rights1,764 DCFPrepayment speed— -100.0 %(Fixed)5.2 %
(b)
(Adjustable)20.3 %
(b)
OAS (bps)477-1,447(Fixed)628
(b)
(Adjustable)1,204
(b)
IRLCs, net8 DCFLoan closing rates30.2 -97.5 %82.9 %
(c)
Swap associated with the sale of Visa, Inc. Class B Shares
(204)DCFTiming of the resolution
   of the Covered Litigation		Q3 2024-Q1 2027Q3 2025
(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.
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 June 30, 2024 and 2023, and for which a nonrecurring fair value adjustment was recorded during the three and six months ended June 30, 2024 and 2023, 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 June 30, 2024 ($ in millions)Level 1Level 2Level 3Total
For the three months ended June 30, 2024
For the six
months ended June 30, 2024
Commercial loans held for sale$— — 4 4 — — 
Commercial loans and leases— — 67 67 (44)(104)
Consumer and residential mortgage loans— — 196 196 — (3)
OREO— — 5 5 (1)(1)
Bank premises and equipment— — 3 3 — — 
Private equity investments— — — — — 9 
Total$— — 275 275 (45)(99)
Fair Value Measurements UsingTotal Losses
As of June 30, 2023 ($ in millions)Level 1Level 2Level 3Total
For the three months ended
 June 30, 2023
For the six
months ended
June 30, 2023
Commercial loans held for sale$— — 7 7 — — 
Commercial loans and leases— — 171 171 (21)(97)
Consumer and residential mortgage loans— — 193 193 (6)(8)
OREO— — 5 5 (1)(1)
Bank premises and equipment— — 4 4 — (1)
Private equity investments— — — — (1)(2)
Total$— — 380 380 (29)(109)
Quantitative Information About Significant Unobservable Level 3 Fair Value Measurement Input, Nonrecurring
The following tables present information as of June 30, 2024 and 2023 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 June 30, 2024 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable InputsRanges of
Inputs		Weighted-Average
Commercial loans held for sale$4 Comparable company analysisMarket comparable transactionsNMNM
Commercial loans and leases67 Appraised valueCollateral valueNMNM
Consumer and residential mortgage loans196 Appraised valueCollateral valueNMNM
OREO5 Appraised valueAppraised valueNMNM
Bank premises and equipment3 Appraised valueAppraised valueNMNM
Private equity investments— Comparable company analysisMarket comparable transactionsNMNM

As of June 30, 2023 ($ in millions)
Financial InstrumentFair ValueValuation TechniqueSignificant Unobservable InputsRanges of
Inputs		Weighted-Average
Commercial loans held for sale$7 Comparable company analysisMarket comparable transactionsNMNM
Commercial loans and leases171 Appraised valueCollateral valueNMNM
Consumer and residential mortgage loans193 Appraised valueCollateral valueNMNM
OREO5 Appraised valueAppraised valueNMNM
Bank premises and equipment4 Appraised valueAppraised valueNMNM
Private equity investments— Comparable company analysisMarket comparable transactionsNMNM
Difference Between the Fair Value and the Unpaid Principal Balance for Loans
The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage loans measured at fair value as of:
June 30, 2024 ($ in millions)
Aggregate
Fair Value
Aggregate Unpaid
Principal Balance

Difference
Residential mortgage loans measured at fair value$621 628 (7)
Past due loans of 30-89 days1 1 — 
Nonaccrual loans2 2 — 
December 31, 2023

Residential mortgage loans measured at fair value
$450 456 (6)
Past due loans of 30-89 days1 1 — 
Nonaccrual loans
2 2 — 
Carrying Amounts and Estimated Fair Values for Certain Financial Instruments
The following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:
Net Carrying
Amount		Fair Value Measurements UsingTotal
Fair Value
As of June 30, 2024 ($ in millions)Level 1Level 2Level 3
Financial assets:
Cash and due from banks$2,837 2,837 — — 2,837 
Other short-term investments21,085 21,085 — — 21,085 
Other securities794 — 794 — 794 
Held-to-maturity securities11,443 2,299 8,886 2 11,187 
Loans and leases held for sale25 — — 25 25 
Portfolio loans and leases:
Commercial loans and leases70,670 — — 70,953 70,953 
Consumer and residential mortgage loans43,512 — — 40,440 40,440 
Total portfolio loans and leases, net$114,182 — — 111,393 111,393 
Financial liabilities:
Deposits$166,768 — 166,709 — 166,709 
Federal funds purchased194 194 — — 194 
Other short-term borrowings3,370 — 3,376 — 3,376 
Long-term debt16,445 12,926 3,437 — 16,363 
Net Carrying
Amount		Fair Value Measurements UsingTotal
Fair Value
As of December 31, 2023 ($ in millions)Level 1Level 2Level 3
Financial assets:
Cash and due from banks$3,142 3,142 — — 3,142 
Other short-term investments22,082 22,082 — — 22,082 
Other securities722 — 722 — 722 
Held-to-maturity securities2 — — 2 2 
Loans and leases held for sale44 — — 44 44 
Portfolio loans and leases:
Commercial loans and leases71,616 — — 71,766 71,766 
Consumer and residential mortgage loans43,180 — — 41,410 41,410 
Total portfolio loans and leases, net$114,796 — — 113,176 113,176 
Financial liabilities:
Deposits$168,912 — 168,873 — 168,873 
Federal funds purchased193 193 — — 193 
Other short-term borrowings2,861 — 2,872 — 2,872 
Long-term debt16,418 14,481 1,903 — 16,384