Fifth Third Bank 2013 Annual Report Download - page 161

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
159 Fifth Third Bancorp
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) 2013 2012 2011
Mortgage banking net revenue 57 418 210
Corporate banking revenue 1 1 2
Other noninterest income 175 21 (46)
Total gains $ 233 440 166
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 December 31, 2013, 2012 and 2011 were recorded in the Consolidated Statements of Income as follows:
($ in millions) 2013 2012 2011
Mortgage banking net revenue 10 233 37
Corporate banking revenue - 1 1
Other noninterest income 175 21 (45)
Total (losses) gains $ 185 255 (7)
The following table presents information as of December 31, 2013 about significant unobservable inputs related to the Bancorp’s material
categories of Level 3 financial assets and liabilities measured on a recurring basis:
($ in millions)
Financial Instrument Fair Value Valuation Technique
Significant Unobservable
Inputs
Ranges of
Inputs Weighted-Average
Residential mortgage loans $ 92 Loss rate model Interest rate risk factor (23.7) - 16.5% 2.3%
Credit risk factor 0 - 63.4% 2.6%
IRLCs, net 11 Discounted cash flow Loan closing rates 14.9 - 98.7% 68.5%
Stock warrant associated with Vantiv Holding, LLC 384 Black-Scholes option Expected term (years) 2.00 - 15.50 5.1
v
aluation model Expected volatility(a) 18.5 - 33.2% 25.4%
Expected dividend rate - -
Swap associated with the sale of Visa, Inc. (48) Discounted cash flow Timing of the resolution 12/31/2014 - NM
Class B shares of the Covered Litigation 12/31/2019
(a) Based on historical and implied volatilities of comparable companies assuming similar expected terms.
The following table presents information as of December 31, 2012 about significant unobservable inputs related to the Bancorp’s material
categories of Level 3 financial assets and liabilities measured on a recurring basis:
($ in millions)
Financial Instrument Fair Value Valuation Technique
Significant Unobservable
Inputs
Ranges of
Inputs Weighted-Average
Residential mortgage loans $ 76 Loss rate model Interest rate risk factor (91.2) - 17.0% 5.8%
Credit risk factor 0 - 68.4% 4.3%
IRLCs, net 60 Discounted cash flow Loan closing rates 9.9 - 95.0% 58.3%
Stock warrant associated with Vantiv Holding, LLC 177 Black-Scholes option Expected term (years) 2.00 - 16.50 6.2
v
aluation model Expected volatility(a) 27.2 - 40.0% 33.8%
Expected dividend rate - -
Swap associated with the sale of Visa, Inc. (33) Discounted cash flow Timing of the resolution 12/31/2013 - NM
Class B shares of the Covered Litigation 12/31/2016
(a) Based on historical and implied volatilities of comparable companies assuming similar expected terms.