Fifth Third Bank 2009 Annual Report Download - page 108

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
106 Fifth Third Bancorp
interest rate lock commitments of approximately $15 million and
$32 million, respectively, at December 31, 2009. The decrease in
fair value of interest rate lock commitments at December 31,
2009 due to immediate 10% and 20% adverse changes in the
assumed loan closing rates would be approximately $.5 million
and $1 million, respectively, and the increase in fair value due to
immediate 10% and 20% favorable changes in the assumed loan
closing rates would be approximately $.5 million and $1 million,
respectively. These sensitivities are hypothetical and should be
used with caution, as changes in fair value based on a variation in
assumptions typically cannot be extrapolated because the
relationship of the change in assumptions to the change in fair
value may not be linear.
The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable
inputs (Level 3):
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the year ended December 31, 2009 ($ in millions)
Residual
Interests in
Securitizations
Trading
Securities
Residential
Mortgage
Loans
Derivatives,
Net (a)
Total
Fair Value
Beginning balance $146 $ - 7 24 $177
Total gains or losses (realized/unrealized):
Included in earnings 10 (4) (2) 145 149
Included in other comprehensive income 3 - - - 3
Purchases, sales, issuances and settlements, net 15 17 (8) (160) (136)
Transfers in and/or out of Level 3 (b) - 29 - 29
Ending balance $174 $13 26 9 $222
The amount of total gains or losses for the period included in
earnings attributable to the change in unrealized gains or losses
relating to assets still held at December 31, 2009 (c) $6 (4) (2) 16 $16
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the year ended December 31, 2008 ($ in millions)
Residual
Interests in
Securitizations
Residential
Mortgage
Loans
Derivatives,
Net (a)
Total
Fair Value
Beginning balance $10 - (4) $6
Total gains or losses (realized/unrealized):
Included in earnings (15) (1) 54 38
Included in other comprehensive income 1 - - 1
Purchases, sales, issuances and settlements, net 150 - (26) 124
Transfers in and/or out of Level 3 (b) - 8 - 8
Ending balance $146 7 24 $177
The amount of total gains or losses for the period included in earnings
attributable to the change in unrealized gains or losses relating to assets still
held at December 31, 2008 (c) ($15) (1) 27 $11
(a) Net derivatives include derivative assets and liabilities of $84 million and $75 million, respectively, at December 31, 2009, and derivative assets and liabilities
of $30 million and $6 million, respectively, at December 31, 2008.
(b) Includes residential mortgage loans held for sale that were transferred to held for investment.
(c) Includes interest income and expense.
The total gains and losses included in earnings for assets and liabilities measured at fair value on a recurring basis using significant
unobservable inputs (Level 3) were recorded in the Consolidated Statements of Income as follows:
($ in millions) 2009 2008
Interest income $15 7
Corporate banking revenue 1 (4)
Mortgage banking net revenue 127 53
Other noninterest income 15 5
Securities losses, net (5) (23)
Other noninterest expense (4) -
Total gains $149 38
The total gains and losses included in earnings attributable to changes in unrealized gains and losses related to Level 3 assets and liabilities still
held at year end were recorded in the Consolidated Statements of Income as follows:
($ in millions) 2009 2008
Interest income $11 $7
Corporate banking revenue 1 1
Mortgage banking net revenue (7) 21
Other noninterest income 20 5
Securities losses, net (5) (23)
Other noninterest expense (4) -
Total gains $16 $11