Investment Securities

3 Months Ended

Mar. 31, 2017

4. Investment Securities

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

				Amortized	Unrealized	Unrealized	Fair
March 31, 2017 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	435	2	-	437
	Obligations of states and political subdivisions securities			44	1	-	45
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		16,140	195	(90)	16,245
		Agency commercial mortgage-backed securities		8,647	88	(63)	8,672
		Non-agency commercial mortgage-backed securities		3,269	46	(16)	3,299
	Asset-backed securities and other debt securities			2,115	36	(17)	2,134
	Equity securities^(b)			698	3	(2)	699
Total available-for-sale and other securities			$	31,348	371	(188)	31,531
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	24	-	-	24
	Asset-backed securities and other debt securities			2	-	-	2
Total held-to-maturity securities			$	26	-	-	26

Includes interest-only mortgage-backed securities of $42 as of March 31, 2017, 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, $359 and $1, respectively, at March 31, 2017, that are carried at cost, and certain mutual fund and equity security holdings.

				Amortized	Unrealized	Unrealized	Fair
December 31, 2016 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	547	2	-	549
	Obligations of states and political subdivisions securities			44	1	-	45
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		15,525	178	(95)	15,608
		Agency commercial mortgage-backed securities		9,029	87	(61)	9,055
		Non-agency commercial mortgage-backed securities		3,076	51	(15)	3,112
	Asset-backed securities and other debt securities			2,106	28	(18)	2,116
	Equity securities^(b)			697	3	(2)	698
Total available-for-sale and other securities			$	31,024	350	(191)	31,183
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	24	-	-	24
	Asset-backed securities and other debt securities			2	-	-	2
Total held-to-maturity securities			$	26	-	-	26

Includes interest-only mortgage-backed securities of $60 as of December 31, 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, $358, and $1, respectively, at December 31, 2016, 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
		March 31,
($ in millions)		2017	2016
Realized gains	$	9	15
Realized losses		(1)	(4)
OTTI		(10)	(3)
Net realized (losses) gains^(a)	$	(2)	8

(a) Excludes net gains of $1 and net losses of $6 on interest-only mortgage-backed securities for the three months ended March 31, 2017 and 2016, respectively.

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

		For the three months ended
		March 31,
($ in millions)		2017	2016
Available-for-sale and other debt securities	$	(10)	(2)
Available-for-sale equity securities		-	(1)
Total OTTI^(a)	$	(10)	(3)

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

Trading securities were $689 million as of March 31, 2017, compared to $410 million at December 31, 2016. The following table presents total gains and losses that were recognized in income from trading securities:

		For the three months ended
		March 31,
($ in millions)		2017	2016
Realized gains^(a)	$	3	2
Realized losses^(b)		(2)	(4)
Net unrealized gains^(c)		1	1
Total trading securities gains (losses)	$	2	(1)

Includes realized gains of $3 and $2 for the three months ended March 31, 2017 and 2016, respectively, recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.
Includes realized losses of $2 and $4 for the three months ended March 31, 2017 and 2016, 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 gains for both the three months ended March 31, 2017 and 2016 recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.

At March 31, 2017 and December 31, 2016, securities with a fair value of $8.3 billion and $10.1 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 March 31, 2017 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	$	187	189	2	2
	1-5 years		6,316	6,362	12	12
	5-10 years		21,358	21,481	10	10
	Over 10 years		2,789	2,800	2	2
Equity securities			698	699	-	-
Total		$	31,348	31,531	26	26

(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 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
March 31, 2017
U.S. Treasury and federal agencies	$	101	-	-	-	101	-
Agency residential mortgage-backed securities		5,144	(82)	161	(8)	5,305	(90)
Agency commercial mortgage-backed securities		2,931	(63)	-	-	2,931	(63)
Non-agency commercial mortgage-backed securities		1,283	(16)	-	-	1,283	(16)
Asset-backed securities and other debt securities		322	(6)	364	(11)	686	(17)
Equity securities		-	-	37	(2)	37	(2)
Total	$	9,781	(167)	562	(21)	10,343	(188)
December 31, 2016
U.S. Treasury and federal agencies	$	199	-	-	-	199	-
Agency residential mortgage-backed securities		6,223	(88)	172	(7)	6,395	(95)
Agency commercial mortgage-backed securities		3,183	(61)	-	-	3,183	(61)
Non-agency commercial mortgage-backed securities		1,052	(15)	-	-	1,052	(15)
Asset-backed securities and other debt securities		422	(8)	336	(10)	758	(18)
Equity securities		-	-	37	(2)	37	(2)
Total	$	11,079	(172)	545	(19)	11,624	(191)

At both March 31, 2017 and December 31, 2016, an immaterial amount of unrealized losses in the available-for-sale and other securities portfolio were represented by non-rated securities.

- Definition

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

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