Securities

9 Months Ended

Sep. 30, 2015

4. Investment Securities

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

				Amortized	Unrealized	Unrealized	Fair
September 30, 2015 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	1,077	46	-	1,123
	Obligations of states and political subdivisions securities			137	5	-	142
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		14,423	460	(4)	14,879
		Agency commercial mortgage-backed securities		7,609	229	-	7,838
		Non-agency commercial mortgage-backed securities		2,693	71	(7)	2,757
	Asset-backed securities and other debt securities			1,345	21	(10)	1,356
	Equity securities^(b)			702	3	(1)	704
Total available-for-sale and other securities			$	27,986	835	(22)	28,799
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	155	-	-	155
	Asset-backed securities and other debt securities			2	-	-	2
Total held-to-maturity securities			$	157	-	-	157

Includes interest-only mortgage-backed securities of $53 as of September 30, 2015 recorded at fair value with fair value changes recorded in securities gains, net, in the Condensed Consolidated Statements of Income.
Equity securities consist of FHLB and FRB restricted stock holdings of $248 and $354, respectively, at September 30, 2015, that are carried at cost, and certain mutual fund and equity security holdings.


				Amortized	Unrealized	Unrealized	Fair
December 31, 2014 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	1,545	87	-	1,632
	Obligations of states and political subdivisions securities			185	7	-	192
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		11,968	437	(1)	12,404
		Agency commercial mortgage-backed securities		4,465	101	(1)	4,565
		Non-agency commercial mortgage-backed securities		1,489	61	-	1,550
	Asset-backed securities and other debt securities			1,324	40	(2)	1,362
	Equity securities^(b)			701	3	(1)	703
Total available-for-sale and other securities			$	21,677	736	(5)	22,408
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	186	-	-	186
	Asset-backed securities and other debt securities			1	-	-	1
Total held-to-maturity securities			$	187	-	-	187

Includes interest-only mortgage-backed securities of $175 as of December 31, 2014, recorded at fair value with fair value changes recorded in securities gains, net, in the Condensed Consolidated Statements of Income.
Equity securities consist of FHLB and FRB restricted stock holdings of $248 and $352, respectively, at December 31, 2014, 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:

		For the three months ended		For the nine months ended
		September 30,		September 30,
($ in millions)		2015	2014	2015	2014
Realized gains	$	35	16	79	58
Realized losses		(25)	(4)	(58)	(9)
OTTI		-	(7)	(5)	(24)
Net realized gains^(a)	$	10	5	16	25

Excludes net losses on interest-only mortgage-backed securities of $7 and $4 for the three and nine months ended September 30, 2015, respectively, and net losses on interest-only mortgage-backed securities of $1 and $9 for the three and nine months ended September 30, 2014, respectively.


Trading securities were $374 million as of September 30, 2015, compared to $360 million at December 31, 2014. The following table presents total gains and losses that were recognized in income from trading securities:

		For the three months ended		For the nine months ended
		September 30,		September 30,
($ in millions)		2015	2014	2015	2014
Realized gains^(a)	$	1	4	4	6
Realized losses^(b)		(2)	(1)	(7)	(4)
Net unrealized losses^(c)		(3)	(4)	(4)	(2)
Total trading securities losses	$	(4)	(1)	(7)	-

Includes realized gains of $1 and $3 for the three and nine months ended September 30, 2015, respectively, and $1 and $2 for the three and nine months ended September 30, 2014, respectively, recorded in corporate banking revenue in the Condensed Consolidated Statements of Income.
Includes realized losses of $2 and $7 for the three and nine months ended September 30, 2015, respectively, and $1 and $4 for the three and nine months ended September 30, 2014, respectively, recorded in corporate banking revenue in the Condensed Consolidated Statements of Income.
Includes an immaterial amount of net unrealized gains for both the three and nine months ended September 30, 2015 recorded in corporate banking revenue in the Condensed Consolidated Statements of Income. Includes an immaterial amount of net unrealized losses for the three months ended September 30, 2014 and an immaterial amount of net unrealized gains for the nine months ended September 30, 2014 recorded in corporate banking revenue in the Condensed Consolidated Statements of Income.

At September 30, 2015 and December 31, 2014, securities with a fair value of $11.3 billion and $14.2 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 and other and held-to-maturity investment securities as of September 30, 2015 are shown in the following table:

			Available-for-Sale and Other		Held-to-Maturity
($ in millions)			Amortized Cost	Fair Value	Amortized Cost	Fair Value
Debt securities:^(a)
	Less than 1 year	$	423	431	99	99
	1-5 years		6,078	6,347	41	41
	5-10 years		19,333	19,836	15	15
	Over 10 years		1,450	1,481	2	2
Equity securities			702	704	-	-
Total		$	27,986	28,799	157	157

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 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
			Unrealized		Unrealized		Unrealized
($ in millions)		Fair Value	Losses	Fair Value	Losses	Fair Value	Losses
September 30, 2015
Agency residential mortgage-backed securities	$	1,321	(4)	-	-	1,321	(4)
Non-agency commercial mortgage-backed securities		497	(7)	-	-	497	(7)
Asset-backed securities and other debt securities		258	(5)	164	(5)	422	(10)
Equity securities		-	-	30	(1)	30	(1)
Total	$	2,076	(16)	194	(6)	2,270	(22)
December 31, 2014
Agency residential mortgage-backed securities	$	73	(1)	-	-	73	(1)
Agency commercial mortgage-backed securities		355	(1)	-	-	355	(1)
Asset-backed securities and other debt securities		286	(1)	74	(1)	360	(2)
Equity securities		-	-	30	(1)	30	(1)
Total	$	714	(3)	104	(2)	818	(5)

Other-Than-Temporary Impairments

The Bancorp did not recognize OTTI on any of its available-for-sale and other debt securities and recognized $5 million of OTTI on its available-for-sale and other debt securities, included in securities gains, net, in the Condensed Consolidated Statements of Income, during the three and nine months ended September 30, 2015, respectively. During the three and nine months ended September 30, 2014, the Bancorp recognized $7 million and $24 million of OTTI on its available-for-sale and other debt securities, respectively. The Bancorp did not recognize OTTI on any of its available-for-sale equity securities or held-to-maturity debt securities during both the three and nine months ended September 30, 2015 and 2014. At September 30, 2015, 4% of unrealized losses in the available-for-sale and other securities portfolio were represented by non-rated securities, compared to less than 1% at December 31, 2014.

- Definition

The entire disclosure for investments in certain debt and equity securities.

+ References + Details