Investment Securities

12 Months Ended

Dec. 31, 2015

Investment Securities

Investment Securities

4. INVESTMENT 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 other and held-to-maturity investment securities portfolios as of December 31:
				2015				2014
				Amortized	Unrealized	Unrealized	Fair	Amortized	Unrealized	Unrealized	Fair
($ in millions)				Cost	Gains	Losses	Value	Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	1,155	32	-	1,187	1,545	87	-	1,632
	Obligations of states and political subdivisions securities			50	2	-	52	185	7	-	192
	Mortgage-backed securities:
		Agency residential mortgage-backed securities(a)		14,811	283	(13)	15,081	11,968	437	(1)	12,404
		Agency commercial mortgage-backed securities		7,795	100	(33)	7,862	4,465	101	(1)	4,565
		Non-agency commercial mortgage-backed securities		2,801	35	(32)	2,804	1,489	61	-	1,550
	Asset-backed securities and other debt securities			1,363	13	(21)	1,355	1,324	40	(2)	1,362
	Equity securities(b)			703	2	(2)	703	701	3	(1)	703
Total available-for-sale and other securities			$	28,678	467	(101)	29,044	21,677	736	(5)	22,408
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	68	-	-	68	186	-	-	186
	Asset-backed securities and other debt securities			2	-	-	2	1	-	-	1
Total held-to-maturity securities			$	70	-	-	70	187	-	-	187

• Includes interest-only mortgage-backed securities of $50and $175as of December 31, 2015 and 2014, respectively, recorded at fair value with fair value changes recorded in securities gains, net,in the Consolidated Statements of Income.
• Equity securities consist of FHLB, FRB and DTCC restricted stock holdings of $248, $355, and $1, respectively, at December 31, 2015 and $248, $352 and $0, 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 years ended December 31:
($ in millions)		2015	2014	2013
Realized gains	$	97	70	77
Realized losses		(76)	(9)	(102)
OTTI		(5)	(24)	(74)
Net realized gains (losses)(a)	$	16	37	(99)

• Excludes net losses on interest-only mortgage-backed securities of $4and$17for the years ended December 31, 2015 and 2014, respectively, and net gains on interest-only mortgage-backed securities of $129for the year ended December 31, 2013.

Trading securities were $386 million as of December 31, 2015, compared to $360 million at December 31, 2014. The following table presents total gains and losses that were recognized in income from trading securities for the years ended December 31:
($ in millions)		2015	2014	2013
Realized gains(a)	$	6	8	5
Realized losses(b)		(10)	(7)	(8)
Net unrealized (losses) gains(c)		(3)	(3)	3
Total trading securities losses	$	(7)	(2)	-

• Includes realized gains of $6, $4 and $4for the years ended December 31, 2015, 2014 and 2013, respectively, recorded in corporate banking revenue and investment advisory revenue in the Consolidated Statements of Income.
• Includes realized losses of $10, $7and $8for the years ended December 31, 2015, 2014 and 2013, respectively, recorded in corporate banking revenue and investment advisory revenue in the Consolidated Statements of Income.
• Includesan immaterial amount of net unrealized gains for the years ended December 31, 2015, 2014 and 2013 recorded in corporate banking revenue and investment advisory revenue in the Consolidated Statements of Income.

At December 31, 2015 and 2014,securities with a fair value of $11.0billion 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 December 31, 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	$	695	707	43	43
	1-5 years		7,277	7,441	12	12
	5-10 years		18,191	18,372	13	13
	Over 10 years		1,812	1,821	2	2
Equity securities			703	703	-	-
Total		$	28,678	29,044	70	70

• 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 December 31:
		Less than 12 months		12 months or more		Total
			Unrealized		Unrealized		Unrealized
($ in millions)		Fair Value	Losses	Fair Value	Losses	Fair Value	Losses
2015
Agency residential mortgage-backed securities	$	2,903	(13)	-	-	2,903	(13)
Agency commercial mortgage-backed securities		3,111	(33)	-	-	3,111	(33)
Non-agency commercial mortgage-backed securities		1,610	(32)	-	-	1,610	(32)
Asset-backed securities and other debt securities		623	(11)	226	(10)	849	(21)
Equity securities		1	(1)	37	(1)	38	(2)
Total	$	8,248	(90)	263	(11)	8,511	(101)
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 recognized $5 million,$24 million and $74 millionof OTTI on its available-for-sale and other debt securities, included in securities gains, netand securities gains, net – non-qualifying hedges on mortgage servicing rights in the Consolidated Statements of Income during the years ended December 31, 2015,2014 and 2013, respectively. The Bancorp did not recognizeOTTI on any of itsavailable-for-sale equity securities or held-to-maturity debt securities during the years ended December 31, 2015, 2014and 2013. At December 31, 2015, 1% 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.