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Investment Securities (Tables)

6 Months Ended

Jun. 30, 2017

Available-for-Sale and Other and Held-to-Maturity 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
June 30, 2017 ($ in millions)				Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	69	-	-	69
	Obligations of states and political subdivisions securities			43	2	-	45
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		16,009	223	(55)	16,177
		Agency commercial mortgage-backed securities		9,165	135	(38)	9,262
		Non-agency commercial mortgage-backed securities		3,315	55	(6)	3,364
	Asset-backed securities and other debt securities			2,192	35	(21)	2,206
	Equity securities^(b)			699	2	(1)	700
Total available-for-sale and other securities			$	31,492	452	(121)	31,823
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 $39 as of June 30, 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, $360 and $2, respectively, at June 30, 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.

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 six months ended
		June 30,		June 30,
($ in millions)		2017	2016	2017	2016
Realized gains	$	21	15	30	29
Realized losses		(7)	(4)	(8)	(8)
OTTI		(14)	(3)	(24)	(5)
Net realized (losses) gains^(a)	$	-	8	(2)	16

(a) Excludes net losses on interest-only mortgage-backed securities of $2 and $1 for the three and six months ended June 30, 2017, respectively, and $3 and $8 for the three and six months ended June 30, 2016, respectively.

Trading securities were $842 million as of June 30, 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		For the six months ended
		June 30,		June 30,
($ in millions)		2017	2016	2017	2016
Realized gains^(a)	$	2	4	5	5
Realized losses^(b)		(2)	(2)	(4)	(6)
Net unrealized gains^(c)		4	1	5	1
Total trading securities gains	$	4	3	6	-

Includes realized gains of $2 and $4 for the three and six months ended June 30, 2017, respectively, and $4 and $5 for the three and six months ended June 30, 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 and six months ended June 30, 2017, respectively, and $2 and $6 for the three and six months ended June 30, 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 losses during the three months ended June 30, 2017 and an immaterial amount of net unrealized gains during the six months ended June 30, 2017 and both the three and six months ended June 30, 2016, 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 six months ended
		June 30,		June 30,
($ in millions)		2017	2016	2017	2016
Available-for-sale and other debt securities	$	(14)	(3)	(24)	(4)
Available-for-sale equity securities		-	-	-	(1)
Total OTTI^(a)	$	(14)	(3)	(24)	(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 June 30, 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	$	144	146	6	6
	1-5 years		7,205	7,276	9	9
	5-10 years		20,787	21,023	9	9
	Over 10 years		2,657	2,678	2	2
Equity securities			699	700	-	-
Total		$	31,492	31,823	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.

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
June 30, 2017
Agency residential mortgage-backed securities	$	5,047	(48)	152	(7)	5,199	(55)
Agency commercial mortgage-backed securities		2,263	(38)	-	-	2,263	(38)
Non-agency commercial mortgage-backed securities		710	(6)	-	-	710	(6)
Asset-backed securities and other debt securities		327	(5)	373	(16)	700	(21)
Equity securities		-	-	37	(1)	37	(1)
Total	$	8,347	(97)	562	(24)	8,909	(121)
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)