Company: FITBI
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000035527-25-000079
Chunk: 109

Company: FIFTH THIRD BANCORP
Filing Date: 2025-02-24
Form: 10-K
Item: Item 7A
Chunk 109
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 As of December 31, 2024 and 2023, respectively, $654 million and $372 million of net deferred losses, net of tax, on cash flow hedges were recorded in AOCI in the Consolidated Balance Sheets. As of December 31, 2024, $134 million in net unrealized losses, net of tax, recorded in AOCI are expected to be reclassified into earnings during the next 12 months. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations or the addition of other hedges subsequent to December 31, 2024.During both the years ended December 31, 2024 and 2023, there were no gains or losses reclassified from AOCI into earnings associated with the discontinuance of cash flow hedges because it was probable that the original forecasted transaction would no longer occur by the end of the originally specified time period or within the additional period of time as defined by U.S. GAAP.The following table presents the pre-tax net (losses) gains recorded in the Consolidated Statements of Income and in the Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:For the years ended December 31 ($ in millions)202420232022Amount of pre-tax net losses recognized in OCI$(724)(171)(1,006)Amount of pre-tax net (losses) gains reclassified from OCI into net income(351)(334)99 

158 Fifth Third Bancorp

Table of ContentsNOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Free-Standing Derivative Instruments – Risk Management and Other Business PurposesAs part of its overall risk management strategy relative to its mortgage banking activity, the Bancorp may enter into various free-standing derivatives (principal-only swaps, interest rate swaptions, interest rate floors, mortgage options, TBA securities and interest rate swaps) to economically hedge changes in fair value of its largely fixed-rate MSR portfolio. Principal-only swaps hedge the spread between mortgage rates and benchmark rates because these swaps appreciate in value as a result of tightening spreads. Principal-only swaps also provide prepayment protection by increasing in value when prepayment speeds increase, as opposed to MSRs that lose value in a faster prepayment environment. Receive-fixed/pay-floating interest rate swaps and swaptions increase in value when interest rates do not increase as quickly as expected.The Bancorp enters into forward contracts and mortgage options to economically hedge the changes in fair value of certain residential mortgage loans held