Investment Securities (Tables)
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9 Months Ended |
Sep. 30, 2017 |
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| Securities |
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| 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 | | 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.
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| Realized Gains and Losses Recognized in Income from Securities |
| 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 $1 for the three and nine months ended September 30, 2016, respectively, recorded in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income.
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| Other Than Temporary Impairment Credit Losses Recognized In Earnings |
| The following table provides a summary of OTTI by security type: | | | | | | | | | | | | | For the three months ended | For the nine months ended | | | September 30, | September 30, | | ($ in millions) | | 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. |
| 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, 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. |
| 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, 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) | |
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