Fifth Third Bank 2014 Annual Report Download - page 155

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
153 Fifth Third Bancorp
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, refer to Note 1.
A
ssets and Liabilities Measured at Fair Value on a Recurring Basi
s
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, 2014 ($ in millions) Level 1(c) Level 2(c) Level 3 Total Fair Value
A
ssets:
Available-for-sale and other securities:
U.S. Treasury and federal agencies $ 25 1,607 - 1,632
Obligations of states and political subdivisions - 192 - 192
Mortgage-backed securities
Agency residential mortgage-backed securities - 12,404 - 12,404
Agency commercial mortgage-backed securities - 4,565 - 4,565
Non-agency commercial mortgage-backed securities - 1,550 - 1,550
Asset-backed securities and other debt securities - 1,362 - 1,362
Equity securities(a) 84 19 - 103
Available-for-sale and other securities(a) 109 21,699 - 21,808
Trading securities:
U.S. Treasury and federal agencies - 14 - 14
Obligations of states and political subdivisions - 8 - 8
Mortgage-backed securities
Agency residential mortgage-backed securities - 9 - 9
Asset-backed securities and other debt securities - 13 - 13
Equity securities 316 - - 316
Trading securities 316 44 - 360
Residential mortgage loans held for sale - 561 - 561
Residential mortgage loans(b) - - 108 108
Derivative assets:
Interest rate contracts - 888 12 900
Foreign exchange contracts - 417 - 417
Equity contracts - - 415 415
Commodity contracts 68 280 - 348
Derivative assets 68 1,585 427 2,080
Total assets $ 493 23,889 535 24,917
Liabilities:
Derivative liabilities:
Interest rate contracts $ 6 276 2 284
Foreign exchange contracts - 372 - 372
Equity contracts - - 49 49
Commodity contracts 58 280 - 338
Derivative liabilities 64 928 51 1,043
Short positions 16 5 - 21
Total liabilities $ 80 933 51 1,064