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Investment Securities (Tables)

9 Months Ended

Sep. 30, 2016

Available-for-Sale and Other and Held-to-Maturity 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, 2016 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	866	15	-	881
	Obligations of states and political subdivisions securities			49	3	-	52
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		14,671	519	(2)	15,188
		Agency commercial mortgage-backed securities		8,449	502	(1)	8,950
		Non-agency commercial mortgage-backed securities		2,683	151	-	2,834
	Asset-backed securities and other debt securities			2,069	31	(17)	2,083
	Equity securities^(b)			699	3	(1)	701
Total available-for-sale and other securities			$	29,486	1,224	(21)	30,689
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	55	-	-	55
	Asset-backed securities and other debt securities			1	-	-	1
Total held-to-maturity securities			$	56	-	-	56

Includes interest-only mortgage-backed securities of $33 as of September 30, 2016, 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, FRB and DTCC restricted stock holdings of $248, $357 and $1, respectively, at September 30, 2016, that are carried at cost, and certain mutual fund and equity security holdings.

				Amortized	Unrealized	Unrealized	Fair
December 31, 2015 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	1,155	32	-	1,187
	Obligations of states and political subdivisions securities			50	2	-	52
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		14,811	283	(13)	15,081
		Agency commercial mortgage-backed securities		7,795	100	(33)	7,862
		Non-agency commercial mortgage-backed securities		2,801	35	(32)	2,804
	Asset-backed securities and other debt securities			1,363	13	(21)	1,355
	Equity securities^(b)			703	2	(2)	703
Total available-for-sale and other securities			$	28,678	467	(101)	29,044
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	68	-	-	68
	Asset-backed securities and other debt securities			2	-	-	2
Total held-to-maturity securities			$	70	-	-	70

Includes interest-only mortgage-backed securities of $50 as of December 31, 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, FRB and DTCC restricted stock holdings of $248, $355, and $1, respectively, at December 31, 2015, that are carried at cost, and certain mutual fund and equity security holdings.

Realized Gains and Losses Recognized in Income from Securities

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)		2016	2015	2016	2015
Realized gains	$	13	35	42	79
Realized losses		(9)	(25)	(16)	(58)
OTTI		(2)	-	(8)	(5)
Net realized gains^(a)	$	2	10	18	16

(a) Excludes net gains on interest-only mortgage-backed securities of an immaterial amount and net losses of $8 for the three and nine months ended September 30, 2016, respectively, and net losses on interest-only mortgage-backed securities of $7 and $4 for the three and nine months ended September 30, 2015, respectively.

Trading securities were $431 million as of September 30, 2016, compared to $386 million at December 31, 2015. 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)		2016	2015	2016	2015
Realized gains^(a)	$	2	1	7	4
Realized losses^(b)		(2)	(2)	(8)	(7)
Net unrealized gains (losses)^(c)		2	(3)	3	(4)
Total trading securities gains (losses)	$	2	(4)	2	(7)

Includes realized gains of $1 and $6 for the three and nine months ended September 30, 2016, respectively, and $1 and $3 for the three and nine months ended September 30, 2015, respectively, recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.
Includes realized losses of $1 and $7 for the three and nine months ended September 30, 2016, respectively, and $2 and $7 for the three and nine months ended September 30, 2015, respectively, recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.
Includes an immaterial amount of net unrealized losses during the three months ended September 30, 2016 and an immaterial amount of net unrealized gains during the nine months ended September 30, 2016 and the three and nine months ended September 30, 2015, recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.

Other Than Temporary Impairment Credit Losses Recognized In Earnings

The following table provides a summary of OTTI by security type:

		For the three months ended		For the nine months ended
		September 30,		September 30,
($ in millions)		2016	2015	2016	2015
Available-for-sale and other debt securities	$	(2)	-	(7)	(5)
Available-for-sale equity securities		-	-	(1)	-
Total OTTI^(a)	$	(2)	-	(8)	(5)

(a) Included in securities gains, net, in the Condensed Consolidated Statements of Income.

Amortized Cost and Fair Value of Available-for-Sale and Other and Held-to-Maturity Securities

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, 2016 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	$	1,011	1,026	30	30
	1-5 years		12,264	12,695	12	12
	5-10 years		13,556	14,284	12	12
	Over 10 years		1,956	1,983	2	2
Equity securities			699	701	-	-
Total		$	29,486	30,689	56	56

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

Fair Value and Gross Unrealized Loss of Securities Available for Sale

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, 2016
Agency residential mortgage-backed securities	$	-	-	193	(2)	193	(2)
Agency commercial mortgage-backed securities		106	(1)	-	-	106	(1)
Asset-backed securities and other debt securities		445	(8)	272	(9)	717	(17)
Equity securities		-	-	31	(1)	31	(1)
Total	$	551	(9)	496	(12)	1,047	(21)
December 31, 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)