Fifth Third Bank 2011 Annual Report Download - page 139

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Fifth Third Bancorp 137
27. FAIR VALUE MEASUREMENTS
The Bancorp measures certain financial assets and liabilities at fair
value in accordance with U.S. GAAP, which defines fair value as the
price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the
measurement date. U.S. GAAP also establishes a fair value
hierarchy, which prioritizes the inputs to valuation techniques used
to measure fair value into three broad levels. The fair value
hierarchy gives the highest priority to quoted prices in active
markets for identical assets or liabilities (Level 1) and the lowest
priority to unobservable inputs (Level 3). A financial instrument’s
categorization within the fair value hierarchy is based upon the
lowest level of input that is significant to the instrument’s fair value
measurement. For more information regarding the fair value
hierarchy and how the Bancorp measures fair value, see Note 1.
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, including residential mortgage loans
held for sale for which the Bancorp has elected the fair value option
as of:
Fair Value Measurements Using
December 31, 2011 ($ in millions) Level 1 Level 2 Level 3 Total Fair Value
A
ssets:
Available-for-sale securities:
U.S. Treasury and Government agencies $ 171 - - 171
U.S. Government sponsored agencies - 1,962 - 1,962
Obligations of states and political subdivisions - 101 - 101
Agency mortgage-backed securities - 10,284 - 10,284
Other bonds, notes and debentures - 1,812 - 1,812
Other securities(a) 185 5 - 190
Available-for-sale securities(a) 356 14,164 - 14,520
Trading securities:
Obligations of states and political subdivisions - 8 1 9
Agency mortgage-backed securities - 11 - 11
Other bonds, notes and debentures - 13 - 13
Other securities 144 - - 144
Trading securities 144 32 1 177
Residential mortgage loans held for sale - 2,751 - 2,751
Residential mortgage loans(b) - - 65 65
Derivative assets:
Interest rate contracts 8 1,773 34 1,815
Foreign exchange contracts - 294 - 294
Equity contracts - - 113 113
Commodity contracts - 134 - 134
Derivative assets 8 2,201 147 2,356
Total assets $ 508 19,148 213 19,869
Liabilities:
Derivative liabilities
Interest rate contracts $ 54 802 2 858
Foreign exchange contracts - 275 - 275
Equity contracts - - 81 81
Commodity contracts - 130 - 130
Derivative liabilities 54 1,207 83 1,344
Short positions 2 4 - 6
Total liabilities $ 56 1,211 83 1,350