Fifth Third Bank 2014 Annual Report Download - page 156

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
154 Fifth Third Bancorp
Fair Value Measurements Using
December 31, 2013 ($ 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 $ 26 1,644 - 1,670
Obligations of states and political subdivisions - 192 - 192
Mortgage-backed securities:
Agency residential mortgage-backed securities - 12,284 - 12,284
Non-agency commercial mortgage-backed securities - 1,395 - 1,395
Asset-backed securities and other debt securities - 2,187 - 2,187
Equity securities(a) 89 29 - 118
Available-for-sale and other securities(a) 115 17,731 - 17,846
Trading securities:
U.S. Treasury and federal agencies 1 4 - 5
Obligations of states and political subdivisions - 12 1 13
Mortgage-backed securities:
Agency residential mortgage-backed securities - 3 - 3
Asset-backed securities and other debt securities - 7 - 7
Equity securities 315 - - 315
Trading securities 316 26 1 343
Residential mortgage loans held for sale - 890 - 890
Residential mortgage loans(b) - - 92 92
Derivative assets:
Interest rate contracts 13 802 12 827
Foreign exchange contracts - 276 - 276
Equity contracts - - 384 384
Commodity contracts 18 48 - 66
Derivative assets 31 1,126 396 1,553
Total assets $ 462 19,773 489 20,724
Liabilities:
Derivative liabilities:
Interest rate contracts $ 1 384 4 389
Foreign exchange contracts - 252 - 252
Equity contracts - - 48 48
Commodity contracts 9 56 - 65
Derivative liabilities 10 692 52 754
Short positions 4 4 - 8
Total liabilities $ 14 696 52 762
(a) Excludes FHLB and FRB restricted stock totaling
$248
and
$352
, respectively, at
December 31, 2014
and $402 and $349, respectively, at December 31, 2013.
(b) Includes residential mortgage loans originated as held for sale and subsequently transferred to held for investment.
(c) During the years ended December 31, 2014 and 2013, no assets or liabilities were transferred between Level 1 and Level 2.
The following is a description of the valuation methodologies used
for significant instruments measured at fair value, as well as the
general classification of such instruments pursuant to the valuation
hierarchy.
Available-for-sale and other and trading securities
Where quoted prices are available in an active market, securities are
classified within Level 1 of the valuation hierarchy. Level 1 securities
include government bonds and exchange traded equities. If quoted
market prices are not available, then fair values are estimated using
pricing models, quoted prices of securities with similar
characteristics, or DCFs. Examples of such instruments, which are
classified within Level 2 of the valuation hierarchy, include federal
agencies, obligations of states and political subdivisions, agency
residential mortgage-backed securities, agency and non-agency
commercial mortgage-backed securities and asset-backed securities
and other debt securities. Corporate bonds are included in asset-
backed securities and other debt securities in the previous table.
Federal agencies, obligations of states and political subdivisions,
agency residential mortgage-backed securities, agency and non-
agency commercial mortgage-backed securities and asset-backed
securities and other debt securities are generally valued using a
market approach based on observable prices of securities with
similar characteristics.
Residential mortgage loans held for sale
For residential mortgage loans held for sale for which the fair value
election has been made, fair value is estimated based upon
mortgage-backed securities prices and spreads to those prices or, for
certain ARM loans, DCF models that may incorporate the
anticipated portfolio composition, credit spreads of asset-backed
securities with similar collateral and market conditions. The
anticipated portfolio composition includes the effect of interest rate
spreads and discount rates due to loan characteristics such as the
state in which the loan was originated, the loan amount and the
ARM margin. Residential mortgage loans held for sale that are
valued based on mortgage-backed securities prices are classified
within Level 2 of the valuation hierarchy as the valuation is based on