Investment Securities

9 Months Ended

Sep. 30, 2017

5. 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
September 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			44	1	-	45
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		15,750	218	(35)	15,933
		Agency commercial mortgage-backed securities		9,137	130	(35)	9,232
		Non-agency commercial mortgage-backed securities		3,300	62	(4)	3,358
	Asset-backed securities and other debt securities			2,116	41	(14)	2,143
	Equity securities^(b)			698	3	(1)	700
Total available-for-sale and other securities			$	31,114	455	(89)	31,480
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	23	-	-	23
	Asset-backed securities and other debt securities			2	-	-	2
Total held-to-maturity securities			$	25	-	-	25

Includes interest-only mortgage-backed securities of $36 as of September 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, $361 and $2, respectively, at September 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.

Trading securities were $850 million as of September 30, 2017 compared to $410 million at December 31, 2016. The following table presents net realized gains and losses that were recognized in income from available-for-sale and other securities as well as total gains that were recognized in income from trading securities:

			For the three months ended		For the nine months ended
			September 30,		September 30,
($ in millions)			2017	2016	2017	2016
Available-for-sale and other securities:
	Realized gains	$	24	13	53	42
	Realized losses		(21)	(9)	(28)	(16)
	OTTI		(4)	(2)	(28)	(8)
Net realized (losses) gains on available-for sale and other securities^(a)		$	(1)	2	(3)	18
Total trading securities gains^(b)		$	5	2	11	2
Total gains and losses recognized in income from available-for-sale and other securities
	and trading securities	$	4	4	8	20

Excludes net losses on interest-only mortgage-backed securities of $1 and $2 for the three and nine months ended September 30, 2017, respectively, and an immaterial net gain and net losses of $8 for the three and nine months ended September 30, 2016, respectively.
Includes net gains of $1 for both the three and nine months ended September 30, 2017, and an immaterial net loss and net losses of $1 for the three and nine months ended September 30, 2016, respectively, recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.

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)		2017	2016	2017	2016
Available-for-sale and other debt securities	$	(4)	(2)	(28)	(7)
Available-for-sale equity securities		-	-	-	(1)
Total OTTI^(a)	$	(4)	(2)	(28)	(8)

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

At September 30, 2017 and December 31, 2016, securities with a fair value of $7.3 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 September 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	$	148	149	7	7
	1-5 years		8,034	8,117	8	8
	5-10 years		19,631	19,887	8	8
	Over 10 years		2,603	2,627	2	2
Equity securities			698	700	-	-
Total		$	31,114	31,480	25	25

(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
September 30, 2017
Agency residential mortgage-backed securities	$	2,527	(16)	598	(19)	3,125	(35)
Agency commercial mortgage-backed securities		2,266	(30)	135	(5)	2,401	(35)
Non-agency commercial mortgage-backed securities		403	(4)	6	-	409	(4)
Asset-backed securities and other debt securities		181	(2)	407	(12)	588	(14)
Equity securities		-	-	37	(1)	37	(1)
Total	$	5,377	(52)	1,183	(37)	6,560	(89)
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 September 30, 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.