Fifth Third Bank 2012 Annual Report Download - page 151

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
149 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, 2012 Trading Mortgage Derivatives, Derivatives, Total
($ in millions) Securities Loans Net(a) Net(a) Fair Value
Beginning balance $ 1 65 32 32 $ 130
Total gains or losses (realized/unrealized):
Included in earnings - - 418 22 440
Purchases - - - - -
Settlements - (15) (393) 90 (318)
Transfers into Level 3(b) - 26 - - 26
Ending balance $ 1 76 57 144 $ 278
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, 2012(c) $ - - 233 22 $ 255
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
(a) Net interest rate derivatives include derivative assets and liabilities of
$60
and
$3
, respectively, as of
December 31, 2012
, $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
$177
and
$33
, respectively, as of
December 31, 2012,
$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.