Investment Securities

9 Months Ended

Sep. 30, 2022

Investments, Debt and Equity Securities [Abstract]

The following tables provide the amortized cost, unrealized gains and losses and fair value for the major categories of the available-for-sale debt and other securities and held-to-maturity securities portfolios as of:


September 30, 2022 ($ in millions)	Amortized Cost		Unrealized Gains	Unrealized Losses	Fair Value
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities	$	2,581	—	(204)	2,377
Obligations of states and political subdivisions securities	18		—	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	12,573		—	(1,341)	11,232
Agency commercial mortgage-backed securities	29,440		1	(3,552)	25,889
Non-agency commercial mortgage-backed securities	5,256		—	(548)	4,708
Asset-backed securities and other debt securities	6,630		5	(444)	6,191
Other securities(a)	874		—	—	874
Total available-for-sale debt and other securities	$	57,372	6	(6,089)	51,289
Held-to-maturity securities:
Obligations of states and political subdivisions securities	$	3	—	—	3
Asset-backed securities and other debt securities	2		—	—	2
Total held-to-maturity securities	$	5	—	—	5

(a)Other securities consist of FHLB, FRB and DTCC restricted stock holdings of $382, $490 and $2, respectively, at September 30, 2022, that are carried at cost.


December 31, 2021 ($ in millions)	Amortized Cost		Unrealized Gains	Unrealized Losses	Fair Value
Available-for-sale debt and other securities:
U.S. Treasury and federal agencies securities	$	85	1	—	86
Obligations of states and political subdivisions securities	18		—	—	18
Mortgage-backed securities:
Agency residential mortgage-backed securities	8,432		368	(18)	8,782
Agency commercial mortgage-backed securities	18,236		784	(69)	18,951
Non-agency commercial mortgage-backed securities	4,364		128	(13)	4,479
Asset-backed securities and other debt securities	5,287		32	(44)	5,275
Other securities(a)	519		—	—	519
Total available-for-sale debt and other securities	$	36,941	1,313	(144)	38,110
Held-to-maturity securities:
Obligations of states and political subdivisions securities	$	6	—	—	6
Asset-backed securities and other debt securities	2		—	—	2
Total held-to-maturity securities	$	8	—	—	8

(a)Other securities consist of FHLB, FRB and DTCC restricted stock holdings of $30, $486 and $3, respectively, at December 31, 2021, that are carried at cost.

The following table provides the fair value of trading debt securities and equity securities as of:


($ in millions)	September 30, 2022		December 31, 2021
Trading debt securities	$	414	512
Equity securities	315		376

The amounts reported in the preceding tables exclude accrued interest receivable on investment securities of $132 million and $82 million at September 30, 2022 and December 31, 2021, respectively, which is presented as a component of other assets in the Condensed Consolidated Balance Sheets.

The Bancorp uses investment securities as a means of managing interest rate risk, providing collateral for pledging purposes and for liquidity risk management. As part of managing interest rate risk, the Bancorp acquires securities as a component of its MSR non-qualifying hedging strategy, with net gains or losses recorded in securities losses, net – non-qualifying hedges on mortgage servicing rights in the Condensed Consolidated Statements of Income.

The following table presents the components of net securities gains and losses recognized in the Condensed Consolidated Statements of Income, including those recognized related to the Bancorp’s non-qualifying hedging strategy for MSRs:


	For the three months ended September 30,			For the nine months ended September 30,
($ in millions)	2022		2021	2022	2021
Available-for-sale debt and other securities:
Realized gains	$	3	16	15	24
Realized losses	(3)		(3)	(12)	(14)
Impairment losses	—		(12)	—	(19)
Net realized gains (losses) on available-for-sale debt and other securities	$	—	1	3	(9)
Trading debt securities:
Net realized losses	(1)		—	(2)	(1)
Net unrealized gains (losses)	—		(1)	11	—
Net trading debt securities gains (losses)	$	(1)	(1)	9	(1)
Equity securities:
Net realized gains	1		2	1	6
Net unrealized (losses) gains	(39)		(3)	(99)	14
Net equity securities (losses) gains	$	(38)	(1)	(98)	20
Total (losses) gains recognized in income from available-for-sale debt and other securities, trading debt securities and equity securities(a)	$	(39)	(1)	(86)	10

(a)Excludes $1 and $4 of net securities losses for the three and nine months ended September 30, 2022, respectively, and $1 and $4 of net securities losses for the three and nine months ended September 30, 2021, respectively, related to securities held by FTS to facilitate the timely execution of customer transactions. These losses are included in commercial banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.

The Bancorp recognized impairment losses on available-for-sale debt and other securities of $12 million and $19 million during the three and nine months ended September 30, 2021, respectively. These losses were included in securities (losses) gains, net, in the Condensed Consolidated Statements of Income. These losses related to certain securities in unrealized loss positions that the Bancorp intended to sell prior to recovery of their amortized cost bases. The Bancorp did not consider these losses to be credit-related.

At both September 30, 2022 and December 31, 2021, the Bancorp completed its evaluation of the available-for-sale debt and other securities in an unrealized loss position and did not recognize an allowance for credit losses. The Bancorp did not recognize provision expense related to available-for-sale debt and other securities in an unrealized loss position during both the three and nine months ended September 30, 2022 and 2021.

At September 30, 2022 and December 31, 2021, investment securities with a fair value of $10.3 billion and $11.2 billion, respectively, were pledged to secure borrowings, public deposits, trust funds, derivative contracts and for other purposes as required or permitted by law.

The expected maturity distribution of the Bancorp’s mortgage-backed securities and the contractual maturity distribution of the remainder of the Bancorp’s available-for-sale debt and other securities and held-to-maturity securities as of September 30, 2022 are shown in the following table:


($ in millions)	Available-for-Sale Debt and Other			Held-to-Maturity
	Amortized Cost		Fair Value	Amortized Cost	Fair Value
Debt securities:(a)
Due in 1 year or less	$	264	261	—	—
Due after 1 year through 5 years	12,971		12,086	3	3
Due after 5 years through 10 years	30,793		27,259	—	—
Due after 10 years	12,470		10,809	2	2
Other securities	874		874	—	—
Total	$	57,372	51,289	5	5

(a)Actual maturities may differ from contractual maturities when a right to call or prepay obligations exists with or without call or prepayment penalties.

The following table provides the fair value and gross unrealized losses on available-for-sale debt and other securities in an unrealized loss position, aggregated by investment category and length of time the individual securities have been in a continuous unrealized loss position as of:


	Less than 12 months			12 months or more		Total
($ in millions)	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses
September 30, 2022
U.S. Treasury and federal agencies securities	$	2,377	(204)	—	—	2,377	(204)
Obligations of states and political subdivisions securities	1		—	—	—	1	—
Agency residential mortgage-backed securities	10,719		(1,231)	509	(110)	11,228	(1,341)
Agency commercial mortgage-backed securities	24,048		(3,020)	1,806	(532)	25,854	(3,552)
Non-agency commercial mortgage-backed securities	4,155		(421)	485	(127)	4,640	(548)
Asset-backed securities and other debt securities	4,521		(317)	1,332	(127)	5,853	(444)
Total	$	45,821	(5,193)	4,132	(896)	49,953	(6,089)
December 31, 2021
Agency residential mortgage-backed securities	$	935	(10)	161	(8)	1,096	(18)
Agency commercial mortgage-backed securities	2,886		(49)	424	(20)	3,310	(69)
Non-agency commercial mortgage-backed securities	1,052		(13)	—	—	1,052	(13)
Asset-backed securities and other debt securities	2,870		(34)	367	(10)	3,237	(44)
Total	$	7,743	(106)	952	(38)	8,695	(144)

At September 30, 2022 and December 31, 2021, $75 million and $2 million, respectively, of unrealized losses in the available-for-sale debt and other securities portfolio were related to non-rated securities.