unobservable input in the valuation process. In connection with the Processing Business Sale, the Bancorp  provided Advent International with certain put options that are  exercisable in the event of certain circumstances. In addition, the  warrants associated with the Processing Business Sale allow the  Bancorp to purchase an incremental 10% nonvoting interest in  FTPS under certain defined conditions involving change of  control. The fair values of the warrants and put options are  calculated applying Black-Scholes option valuation models using  probability weighted scenarios. interest rate swaps and options. Derivatives that are valued based  upon models with significant unobservable market parameters are  classified within Level 3 of the valuation hierarchy. At December  31, 2010, derivatives classified as Level 3, which are valued using  an option-pricing model containing unobservable inputs, consisted  primarily of warrants and put rights associated with the Processing  Business Sale and a total return swap associated with the  Bancorp’s sale of Visa, Inc. Class B shares. Level 3 derivatives also  include interest rate lock commitments, which utilize internally  generated loan closing rate assumptions as a significant NOTES TO CONSOLIDATED FINANCIAL STATEMENTS The assumptions utilized in the models are summarized in the following table as of December 31:  (a) Based on historical and implied volatilities of comparable companies assuming similar expected terms.  respectively. Immediate increases of current interest rates of 25 bp  and 50 bp would result in decreases in the fair value of the interest  rate lock commitments of $16 million and $33 million, respectively, at December 31, 2010. The change in fair value of  interest rate lock commitments at December 31, 2010 due to  immediate 10% and 20% favorable and adverse changes in the  assumed loan closing rates would be immaterial to the Bancorp.  These sensitivities are hypothetical and should be used with  caution, as changes in fair value based on a variation in  assumptions typically cannot be extrapolated because the relationship of the change in assumptions to the change in fair  value may not be linear.  $^{ }$Under the terms of the total return swap, the Bancorp will make  or receive payments based on subsequent changes in the  conversion rate of the Visa Class B shares into Class A shares. The  fair value of the total return swap was calculated using a DCF  model based on unobservable inputs consisting of management’s  estimate of the probability of certain litigation scenarios, timing of  litigation settlements and payments related to the swap.  The net fair value of the interest rate lock commitments at  December 31, 2010 was immaterial to the Bancorp. At December  31, 2010, immediate decreases in current interest rates of 25 bp  and 50 bp would result in increases in the fair value of the interest  rate lock commitments of $14 million and $27 million, The following tables are a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable  inputs (Level 3):  For the year ended December 31, 2010 ($ in millions)  Residual  Interests in  Securitizations Trading  Securities  Residential  Mortgage  Loans  Interest Rate  Derivatives,  Net  (a) Equity  Derivatives,  Net  (a) Total   Fair Value  Beginning balance $174 13 26 (2) 11 $222 Total gains or losses (realized/unrealized):  Included in earnings - 3 - 187 (14) 176 Included in other comprehensive income  - - - - - - Purchases, sales, issuances and settlements, net (174)(b) (10) (6) (183) 56 (317) Transfers in and/or out of Level 3  (c) - 26 - - 26 Ending balance  $ - 6 46 2 53 $107 The amount of total gains or losses for the period  included in earnings attributable to the change in  unrealized gains or losses relating to assets still held  at December 31, 2010  (d) $ -  -  - 60 (14) $46 Fair Value Measurements Using Significant Unobservable Inputs (Level 3)  Fair Value Measurements Using Significant Unobservable Inputs (Level 3)  2010 2009 Warrants  Put Options  Warrants  Put Options  Expected term  8.5 - 18.5 years .5 - 3.0 years 9.5 - 19.5 years .5 - 4.0 years Expected volatility  (a) 36.0 - 37.0% 25.6 - 44.6% 36.7 - 41.1% 31.3 - 50.2% Risk free rate  3.06 - 4.18% 0.23 - 1.05% 3.96 - 4.68% 0.27 - 2.23% Expected dividend rate  0% 0% 0% 0% For the year ended December 31, 2009 ($ in millions)  Residual  Interests in  Securitizations Trading  Securities  Residential  Mortgage  Loans Derivatives,  Net  (e) Total   Fair Value  Beginning balance  $146   -  7  24  $177  Total gains or losses (realized/unrealized):  Included in earnings 10  (4)  (2)  145  149  Included in other comprehensive income  3  -  -  -  3  Purchases, sales, issuances and settlements, net  15  17  (8)  (160)  (136)  Transfers in and/or out of Level 3  (c) - 29 - 29 Ending balance  $174  13  26  9  $222  The amount of total gains or losses for the period included in  earnings attributable to the change in unrealized gains or losses  relating to assets still held at December 31, 2009  (d) $6 (4) (2)  16 $16 Fifth Third Bancorp 119