Fifth Third Bank 2011 Annual Report Download - page 142

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
140 Fifth Third Bancorp
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 Equity
For the year ended December 31, 2011 Trading Mortgage Derivatives, Derivatives, Total
($ in millions) Securities Loans Net(a) Net(a) Fair Value
Beginning balance $ 6 46 2 53 $ 107
Total gains or losses (realized/unrealized):
Included in earnings - 4 205 (43) 166
Purchases - - - 2 2
Sales (5) - - - (5)
Settlements - (9) (175) 20 (164)
Transfers into Level 3(b)
- 24 - - 24
Ending balance $ 1 65 32 32 $ 130
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, 2011(c) $ - 4 32 (43) $ (7)
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Residual Residential Interest Rate Equity
For the year ended December 31, 2010 Interests in Trading Mortgage Derivatives, Derivatives, Total
($ in millions) Securitizations Securities Loans Net(a) Net(a) Fair Value
Beginning balance $ 174 13 26 (2) 11 $ 222
Total gains or losses (realized/unrealized):
Included in earnings - 3 - 187 (14) 176
Purchases, sales, issuances, and settlements, net (174)(d) (10) (6) (183) 56 (317)
Transfers into Level 3(b) - - 26 - - 26
Ending balance $ - 6 46 2 53 $ 107
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, 2010(c) $ - - - 60 (14) $ 46
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Residual Residential
For the year ended December 31, 2009 Interests in Trading Mortgage Derivatives, Total
($ in millions) Securitizations Securities Loans Net(e) 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 into 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
(a) Net interest rate derivatives include derivative assets and liabilities of
$34
and
$2
, respectively, as of
December 31, 2011
and $13 and $11, respectively, as of December 31, 2010. Net equity
derivatives include derivative assets and liabilities of
$113
and
$81
, respectively, as of
December 31, 2011
, and $81 and $28, respectively, as of December 31, 2010.
(b) Includes residential mortgage loans held for sale that were transferred to held for investment.
(c) Includes interest income and expense.
(d) Due to a change in U.S. GAAP adopted by the Bancorp on January 1, 2010, all residual interests in securitizations were eliminated concurrent with the consolidation of the related VIEs.
(e) Net derivatives include derivative assets and liabilities of $84 and $75, respectively, at December 31, 2009.