Investment Securities

12 Months Ended

Dec. 31, 2017

4. INVESTMENT SECURITIES

The following table provides 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 December 31:

				2017				2016
				Amortized	Unrealized	Unrealized	Fair	Amortized	Unrealized	Unrealized	Fair
($ in millions)				Cost	Gains	Losses	Value	Cost	Gains	Losses	Value
Available-for-sale and other securities:
	U.S. Treasury and federal agencies securities		$	98	-	-	98	547	2	-	549
	Obligations of states and political subdivisions securities			43	1	-	44	44	1	-	45
	Mortgage-backed securities:
		Agency residential mortgage-backed securities^(a)		15,281	118	(80)	15,319	15,525	178	(95)	15,608
		Agency commercial mortgage-backed securities		10,113	92	(38)	10,167	9,029	87	(61)	9,055
		Non-agency commercial mortgage-backed securities		3,247	51	(5)	3,293	3,076	51	(15)	3,112
	Asset-backed securities and other debt securities			2,183	46	(11)	2,218	2,106	28	(18)	2,116
	Equity securities^(b)			679	4	(2)	681	697	3	(2)	698
Total available-for-sale and other securities			$	31,644	312	(136)	31,820	31,024	350	(191)	31,183
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	22	-	-	22	24	-	-	24
	Asset-backed securities and other debt securities			2	-	-	2	2	-	-	2
Total held-to-maturity securities			$	24	-	-	24	26	-	-	26

Includes interest-only mortgage-backed securities of $34 and $60 as of December 31, 2017 and 2016, respectively, recorded at fair value with fair value changes recorded in securities gains, net, in the Consolidated Statements of Income.
Equity securities consist of FHLB, FRB and DTCC restricted stock holdings of $248, $362, and $2, respectively, at December 31, 2017 and $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 $862 million as of December 31, 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 and losses that were recognized in income from trading securities for the years ended December 31:


($ in millions)			2017	2016	2015
Available-for-sale and other securities:
	Realized gains	$	85	72	97
	Realized losses		(34)	(45)	(76)
	OTTI		(54)	(16)	(5)
Net realized (losses) gains on available-for-sale and other securities^(a)		$	(3)	11	16
Total trading securities gains (losses)^(b)		$	10	-	(7)
Total gains and losses recognized in income from available-for-sale and other securities and trading securities		$	7	11	9

Excludes net losses on interest-only mortgage-backed securities of $2, $4 and $4 for the years ended December 31, 2017, 2016 and 2015, respectively

Includes a net gain of $1 and net losses of $3 and $4 for the years ended December 31, 2017, 2016 and 2015, respectively, recorded in corporate banking revenue and wealth and asset management revenue in the Consolidated Statements of Income.

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

($ in millions)		2017	2016	2015
Available-for-sale and other debt securities	$	(54)	(15)	(5)
Available-for-sale equity securities		-	(1)	-
Total OTTI^(a)	$	(54)	(16)	(5)

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

At December 31, 2017 and 2016, securities with a fair value of $7.8 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 December 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	$	140	141	5	5
	1-5 years		9,695	9,707	13	13
	5-10 years		17,592	17,734	4	4
	Over 10 years		3,538	3,557	2	2
Equity securities			679	681	-	-
Total		$	31,644	31,820	24	24

(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 December 31:

		Less than 12 months		12 months or more		Total
			Unrealized		Unrealized		Unrealized
($ in millions)		Fair Value	Losses	Fair Value	Losses	Fair Value	Losses
2017
U.S. Treasury and federal agencies securities	$	98	-	-	-	98	-
Agency residential mortgage-backed securities		7,337	(59)	479	(21)	7,816	(80)
Agency commercial mortgage-backed securities		2,900	(22)	526	(16)	3,426	(38)
Non-agency commercial mortgage-backed securities		449	(2)	145	(3)	594	(5)
Asset-backed securities and other debt securities		317	(2)	386	(9)	703	(11)
Equity securities		-	-	37	(2)	37	(2)
Total	$	11,101	(85)	1,573	(51)	12,674	(136)
2016
U.S. Treasury and federal agencies securities		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 December 31, 2017 and 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.

+ References + Details