Fifth Third Bank 2014 Annual Report Download - page 159

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
157 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) 2014 2013 2012
Mortgage banking net revenue $ 127 57 418
Corporate banking revenue 2 1 1
Other noninterest income (7) 175 21
Total gains $ 122 233 440
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, 2014, 2013 and 2012 were recorded in the Consolidated Statements of Income as follows:
($ in millions) 2014 2013 2012
Mortgage banking net revenue $ 16 10 233
Corporate banking revenue 1 - 1
Other noninterest income (7) 175 21
Total gains $ 10 185 255
The following tables present information as of December 31, 2014 and 2013 about significant unobservable inputs related to the Bancorp’s
material categories of Level 3 financial assets and liabilities measured on a recurring basis:
A
s of December 31, 2014 ($ in millions)
Financial Instrument Fair Value Valuation Technique
Significant Unobservable
Inputs
Ranges of
Inputs Weighted-Average
Residential mortgage loans $ 108 Loss rate model Interest rate risk factor (7.2) - 17.7% 5.0%
Credit risk factor 0 - 46.6% 1.8%
IRLCs, net 12 Discounted cash flow Loan closing rates 8.8 - 86.7% 65.2%
Stock warrant associated with Vantiv Holding, LLC 415 Black-Scholes option Expected term (years) 2.0 - 14.5 6.0
v
aluation model Expected volatility(a) 22.9 - 32.2% 26.5%
Expected dividend rate - -
Swap associated with the sale of Visa, Inc. (49) Discounted cash flow Timing of the resolution 12/31/2015 - NM
Class B shares of the Covered Litigation 6/30/2020
A
s of December 31, 2013 ($ 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) 2.0 - 15.5 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.
Assets and Liabilities Measured at Fair Value on a
Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a
nonrecurring basis. These assets and liabilities are not measured at
fair value on an ongoing basis; however, they are subject to fair
value adjustments in certain circumstances, such as when there is
evidence of impairment.