Fair value of embedded derivatives

[Table of Contents](#iafeb83384c73449bb49e90c3c5b8201e_7)  


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| Fifth Third Bancorp and SubsidiariesNotes to Condensed Consolidated Financial Statements (unaudited) |

The following table summarizes the difference between the fair value and the unpaid principal balance for residential mortgage loans measured at fair value as of:

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| June 30, 2022 ($ in millions) | AggregateFair Value | Aggregate UnpaidPrincipal Balance | Difference |
| Residential mortgage loans measured at fair value | $ | 1,539  |  | 1,530  |  | 9  |  |
| Past due loans of 90 days or more | —  |  | —  |  | —  |  |
| Nonaccrual loans | 3  |  | 3  |  | —  |  |
| December 31, 2021 |  |  |  |
| Residential mortgage loans measured at fair value | $ | 1,177  |  | 1,149  |  | 28  |  |
| Past due loans of 90 days or more | 3  |  | 3  |  | —  |  |
| Nonaccrual loans | —  |  | —  |  | —  |  |

  
The Bancorp may invest in certain hybrid financial instruments with embedded derivatives that are not clearly and closely related to the host contracts. The Bancorp elected to measure the entire instrument at fair value with changes in fair value recognized in earnings. The Bancorp did not hold these investments as of June 30, 2022 and the carrying value of these investments was $89 million as of December 31, 2021 and the investments were classified as trading debt securities in the Condensed Consolidated Balance Sheets. Fair value changes recognized in earnings included gains of zero and $11 million for the three and six months ended June 30, 2022, respectively, and losses of $8 million and gains of $1 million for the three and six months ended June 30, 2021, respectively, reported in securities (losses) gains, net in the Condensed Consolidated Statements of Income.  
Fair Value of Certain Financial InstrumentsThe following tables summarize the carrying amounts and estimated fair values for certain financial instruments, excluding financial instruments measured at fair value on a recurring basis:

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|  | Net CarryingAmount | Fair Value Measurements Using | TotalFair Value |
| As of June 30, 2022 ($ in millions) | Level 1 | Level 2 | Level 3 |
| Financial assets: |  |  |  |  |  |
| Cash and due from banks | $ | 3,437  |  | 3,437  |  | —  |  | —  |  | 3,437  |  |
| Other short-term investments | 7,419  |  | 7,419  |  | —  |  | —  |  | 7,419  |  |
| Other securities | 806  |  | —  |  | 806  |  | —  |  | 806  |  |
| Held-to-maturity securities | 5  |  | —  |  | —  |  | 5  |  | 5  |  |
| Loans and leases held for sale | 1,136  |  | —  |  | —  |  | 1,144  |  | 1,144  |  |
| Portfolio loans and leases: |  |  |  |  |  |
| Commercial loans and leases | 73,885  |  | —  |  | —  |  | 73,863  |  | 73,863  |  |
| Consumer and residential mortgage loans | 42,791  |  | —  |  | —  |  | 42,252  |  | 42,252  |  |
| Total portfolio loans and leases, net | $ | 116,676  |  | —  |  | —  |  | 116,115  |  | 116,115  |  |
| Financial liabilities: |  |  |  |  |  |
| Deposits | $ | 161,174  |  | —  |  | 161,134  |  | —  |  | 161,134  |  |
| Federal funds purchased | 711  |  | 711  |  | —  |  | —  |  | 711  |  |
| Other short-term borrowings | 7,057  |  | —  |  | 7,050  |  | —  |  | 7,050  |  |
| Long-term debt | 10,857  |  | 10,470  |  | 411  |  | —  |  | 10,881  |  |

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