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Securities

9 Months Ended

Sep. 30, 2011

4. Securities

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

			Amortized	Unrealized	Unrealized	Fair
September 30, 2011 ($ in millions)			Cost	Gains	Losses	Value
Available-for-sale and other:
	U.S. Treasury and government agencies	$	201	1	-	202
	U.S. Government sponsored agencies		1,808	182	-	1,990
	Obligations of states and political subdivisions		101	4	-	105
	Agency mortgage-backed securities		10,413	605	(1)	11,017
	Other bonds, notes and debentures		1,567	17	(11)	1,573
	Other securities^(a)		1,337	3	-	1,340
Total		$	15,427	812	(12)	16,227
Held-to-maturity:
	Obligations of states and political subdivisions	$	335	-	-	335
	Other debt securities		2	-	-	2
Total		$	337	-	-	337

			Amortized	Unrealized	Unrealized	Fair
December 31, 2010 ($ in millions)			Cost	Gains	Losses	Value
Available-for-sale and other:
	U.S. Treasury and government agencies	$	225	5	0	230
	U.S. Government sponsored agencies		1,564	81	0	1,645
	Obligations of states and political subdivisions		170	2	0	172
	Agency mortgage-backed securities		10,570	435	(32)	10,973
	Other bonds, notes and debentures		1,338	19	(15)	1,342
	Other securities^(a)		1,052	0	0	1,052
Total		$	14,919	542	(47)	15,414
Held-to-maturity:
	Obligations of states and political subdivisions	$	348	0	0	348
	Other debt securities		5	0	0	5
Total		$	353	0	0	353

			Amortized	Unrealized	Unrealized	Fair
September 30, 2010 ($ in millions)			Cost	Gains	Losses	Value
Available-for-sale and other:
	U.S. Treasury and government agencies	$	300	11	-	311
	U.S. Government sponsored agencies		1,691	160	-	1,851
	Obligations of states and political subdivisions		191	4	-	195
	Agency mortgage-backed securities		10,878	473	(4)	11,347
	Other bonds, notes and debentures		995	28	(5)	1,018
	Other securities^(a)		1,253	-	-	1,253
Total		$	15,308	676	(9)	15,975
Held-to-maturity:
	Obligations of states and political subdivisions	$	349	-	-	349
	Other debt securities		5	-	-	5
Total		$	354	-	-	354

(a) Other securities consist of FHLB and FRB restricted stock holdings of $497 and $345, respectively, at September 30, 2011, $524 and $344, respectively, at December 31, 2010, and $551 and $343, respectively, at September 30, 2010, that are carried at cost, and certain mutual fund and equity security holdings.

The following table presents realized gains and losses that were recognized in income from available-for-sale securities:

		Three Months Ended		Nine Months Ended
		September 30,		September 30,
($ in millions)		2011	2010	2011	2010
Realized gains	$	48	3	65	31
Realized losses		(9)	(3)	(9)	(7)
Net realized gains	$	39	0	56	24

Trading securities totaled $189 million as of September 30, 2011, compared to $294 million at December 31, 2010 and $320 million at September 30, 2010. Gross realized gains on trading securities were immaterial for the three months ended September 30, 2011 and September 30, 2010, $1 million for the nine months ended September 30, 2011, and immaterial for the nine months ended September 30, 2010. Gross realized losses were immaterial for the three months ended September 30, 2011 and September 30, 2010, $1 million for the nine months ended September 30, 2011 and immaterial for the nine months ended September 30, 2010. Gross unrealized gains on trading securities were immaterial at September 30, 2011 and September 30, 2010 and were $8 million at December 31, 2010. Gross unrealized losses on trading securities were $8 million at September 30, 2011 and December 31, 2010, and $10 million at September 30, 2010.

At September 30, 2011, December 31, 2010, and September 30, 2010, securities with a fair value of $11.6 billion, $11.3 billion, and $12.0 billion, respectively, were pledged to secure borrowings, public deposits, trust funds, derivative contracts and for other purposes as required or permitted by law.

The amortized cost and fair value of available-for-sale and held-to-maturity securities at September 30, 2011, by contractual maturity, are shown in the following table:

			Available-for-Sale & Other		Held-to-Maturity
($ in millions)			Amortized Cost	Fair Value	Amortized Cost	Fair Value
Debt securities:^(a)
	Under 1 year	$	898	918	59	59
	1-5 years		11,387	11,999	244	244
	5-10 years		1,768	1,935	18	18
	Over 10 years		37	35	16	16
Other securities			1,337	1,340	0	0
Total		$	15,427	16,227	337	337

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

The following table provides the fair value and gross unrealized losses on available-for-sale 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
			Unrealized		Unrealized		Unrealized
($ in millions)		Fair Value	Losses	Fair Value	Losses	Fair Value	Losses
September 30, 2011
U.S. Treasury and government agencies	$	100	-	-	-	100	-
U.S. Government sponsored agencies		-	-	-	-	-	-
Obligations of states and political subdivisions		-	-	3	-	3	-
Agency mortgage-backed securities		27	-	11	(1)	38	(1)
Other bonds, notes and debentures		622	(6)	45	(5)	667	(11)
Other securities		-	-	-	-	-	-
Total	$	749	(6)	59	(6)	808	(12)

December 31, 2010
U.S. Treasury and government agencies	$	-	-	1	-	1	-
U.S. Government sponsored agencies		-	-	-	-	-	-
Obligations of states and political subdivisions		11	-	4	-	15	-
Agency mortgage-backed securities		1,555	(32)	-	-	1,555	(32)
Other bonds, notes and debentures		563	(10)	47	(5)	610	(15)
Other securities		-	-	-	-	-	-
Total	$	2,129	(42)	52	(5)	2,181	(47)

September 30, 2010
U.S. Treasury and government agencies	$	75	-	1	-	76	-
U.S. Government sponsored agencies		-	-	-	-	-	-
Obligations of states and political subdivisions		1	-	3	-	4	-
Agency mortgage-backed securities		995	(4)	-	-	995	(4)
Other bonds, notes and debentures		1	-	50	(5)	51	(5)
Other securities		-	-	-	-	-	-
Total	$	1,072	(4)	54	(5)	1,126	(9)

Other-Than-Temporary Impairments

If the fair value of an available-for-sale or held-to-maturity security is less than its amortized cost basis, the Bancorp must determine whether an OTTI has occurred. Under U.S. GAAP, the recognition and measurement requirements related to OTTI differ for debt and equity securities.

For debt securities, if the Bancorp intends to sell the debt security or will more likely than not be required to sell the debt security before recovery of the entire amortized cost basis, then an OTTI has occurred and the Bancorp must recognize through earnings the entire OTTI, which is calculated as the difference between the fair value of the debt security and its amortized cost basis. However, even if the Bancorp does not intend to sell the debt security and will not likely be required to sell the debt security before recovery of its entire amortized cost basis, the Bancorp must evaluate expected cash flows to be received and determine if a credit loss has occurred. In the event of a credit loss, the credit component of the impairment is recognized within noninterest income and the non-credit component is recognized through accumulated other comprehensive income. The Bancorp recognized $9 million of OTTI on its available-for-sale securities during the three and nine months ended September 30, 2011 and no OTTI was recognized on held-to-maturity debt securities. The Bancorp recognized $3 million of OTTI on its available-for-sale debt securities during the three and nine months ended September 30, 2010 and no OTTI was recognized on held-to-maturity debt securities. Additionally, at September 30, 2011 an immaterial percent of unrealized losses in the available-for-sale securities portfolio were represented by non-rated securities, compared to approximately one percent at December 31, 2010 and three percent at September 30, 2010.

For equity securities, the Bancorp's management evaluates the securities in an unrealized loss position in the available-for-sale portfolio for OTTI on the basis of the duration of the decline in value of the security and severity of that decline as well as the Bancorp's intent and ability to hold these securities for a period of time sufficient to allow for any anticipated recovery in the fair value. If it is determined that the impairment on an equity security is other than temporary, an impairment loss equal to the difference between the carrying value of the security and its fair value is recognized within noninterest income in the Condensed Consolidated Statements of Income. During the three and nine months ended September 30, 2011 and 2010, the Bancorp did not recognize OTTI on any of its available-for-sale equity securities.

- Definition

Tabular disclosure of investments in certain debt and equity securities (and certain other trading assets) which include all debt and equity securities (other than those equity securities accounted for under the equity or cost methods of accounting) with readily determinable fair values. Other trading assets include assets that are carried on the balance sheet at fair value and held for trading purposes. A debt security represents a creditor relationship with an enterprise that is in the form of a security. Debt securities include, among other items, US Treasury securities, US government securities, municipal securities, corporate bonds, convertible debt, commercial paper, and all securitized debt instruments. An equity security represents an ownership interest in an enterprise or the right to acquire or dispose of an ownership interest in an enterprise at fixed or determinable prices. Equity securities include, among other things, common stock, certain preferred stock, warrant rights, call options, and put options, but do not include convertible debt. An entity may opt to provide the reader with additional narrative text to better understand the nature of investments in debt and equity securities (and other trading assets).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

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-Name Accounting Standards Codification

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