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Investment Securities

6 Months Ended

Jun. 30, 2019

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 debt and other securities and held-to-maturity investment securities portfolios as of:

				Amortized		Unrealized		Unrealized		Fair
June 30, 2019 ($ in millions)				Cost		Gains		Losses		Value
Available-for-sale debt and other securities:
	U.S. Treasury and federal agency securities		$	74		1		-		75
	Obligations of states and political subdivisions securities			3		-		-		3
	Mortgage-backed securities:
		Agency residential mortgage-backed securities		14,466		344		(8)		14,802
		Agency commercial mortgage-backed securities		14,290		533		(3)		14,820
		Non-agency commercial mortgage-backed securities		3,257		123		-		3,380
	Asset-backed securities and other debt securities			2,095		44		(12)		2,127
	Other securities^(a)			546		-		-		546
Total available-for-sale debt and other securities			$	34,731		1,045		(23)		35,753
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	16		-		-		16
	Asset-backed securities and other debt securities			5		-		-		5
Total held-to-maturity securities			$	21		-		-		21

Other securities consist of FHLB, FRB and DTCC restricted stock holdings of $100, $444 and $2, respectively, at June 30, 2019, that are carried at cost.

				Amortized		Unrealized		Unrealized		Fair
December 31, 2018 ($ in millions)				Cost		Gains		Losses		Value
Available-for-sale debt and other securities:
	U.S. Treasury and federal agency securities		$	98		-		(1)		97
	Obligations of states and political subdivisions securities			2		-		-		2
	Mortgage-backed securities:
		Agency residential mortgage-backed securities		16,403		86		(242)		16,247
		Agency commercial mortgage-backed securities		10,770		44		(164)		10,650
		Non-agency commercial mortgage-backed securities		3,305		9		(47)		3,267
	Asset-backed securities and other debt securities			1,998		27		(10)		2,015
	Other securities^(a)			552		-		-		552
Total available-for-sale debt and other securities			$	33,128		166		(464)		32,830
Held-to-maturity securities:
	Obligations of states and political subdivisions securities		$	16		-		-		16
	Asset-backed securities and other debt securities			2		-		-		2
Total held-to-maturity securities			$	18		-		-		18
(a)	Other securities consist of FHLB, FRB and DTCC restricted stock holdings of $184, $366 and $2, respectively, at December 31, 2018, that are carried at cost.

The following table provides the fair value of trading debt securities and equity securities as of:

			June 30,		December 31,
($ in millions)			2019		2018
Trading debt securities		$	322		287
Equity securities			485		452

The Bancorp uses investment securities as a means of managing interest rate risk, providing collateral for pledging purposes and for liquidity to satisfy regulatory requirements. As part of managing interest rate risk, the Bancorp acquires securities as a component of its MSR non-qualifying hedging strategy, with net gains or losses recorded in securities gains (losses), net – non-qualifying hedges on MSRs in the Condensed Consolidated Statements of Income.

The following table presents securities gains (losses) recognized in the Condensed Consolidated Statements of Income:

			For the three months ended				For the six months ended
			June 30,				June 30,
($ in millions)			2019		2018		2019		2018
Available-for-sale debt and other securities:
	Realized gains	$	34		22		47		57
	Realized losses		(33)		(22)		(47)		(65)
	OTTI		(1)		-		(1)		-
Net realized (losses) gains on available-for sale debt and other securities		$	-		-		(1)		(8)
Total trading debt securities gains (losses)		$	2		(4)		5		(16)
Total equity securities gains (losses)^(a)		$	8		(5)		26		(8)
Total gains (losses) recognized in income from available-for-sale debt and other
	securities, trading debt securities and equity securities^(b)	$	10		(9)		30		(32)

Includes net unrealized gains of $4 and $23 for the three and six months ended June 30, 2019, respectively, and net unrealized losses of $5 and $6 for the three and six months ended June 30, 2018, respectively.Excludes an insignificant amount of securities gains (losses) included in corporate banking revenue and wealth and asset management revenue in the Condensed Consolidated Statements of Income related to securities held by FTS to facilitate the timely execution of customer transactions.At June 30, 2019 and December 31, 2018, investment securities with a fair value of $7.1 billion and $7.0 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 debt and other securities and held-to-maturity investment securities as of June 30, 2019 are shown in the following table:

			Available-for-Sale Debt and Other				Held-to-Maturity
($ in millions)			Amortized Cost		Fair Value		Amortized Cost		Fair Value
Debt securities:^(a)
	Less than 1 year	$	213		220		2		2
	1-5 years		11,842		12,161		14		14
	5-10 years		17,347		17,899		-		-
	Over 10 years		4,783		4,927		5		5
Other securities			546		546		-		-
Total		$	34,731		35,753		21		21

(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 debt 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, 2019
Obligations of states and political subdivisions	$	1		-		-		-		1		-
Agency residential mortgage-backed securities		6		-		1,427		(8)		1,433		(8)
Agency commercial mortgage-backed securities		149		(1)		259		(2)		408		(3)
Non-agency commercial mortgage-backed securities		-		-		5		-		5		-
Asset-backed securities and other debt securities		345		(7)		181		(5)		526		(12)
Total	$	501		(8)		1,872		(15)		2,373		(23)
December 31, 2018
U.S. Treasury and federal agency securities	$	-		-		97		(1)		97		(1)
Agency residential mortgage-backed securities		3,235		(21)		7,892		(221)		11,127		(242)
Agency commercial mortgage-backed securities		2,022		(37)		5,260		(127)		7,282		(164)
Non-agency commercial mortgage-backed securities		884		(6)		1,621		(41)		2,505		(47)
Asset-backed securities and other debt securities		314		(6)		241		(4)		555		(10)
Total	$	6,455		(70)		15,111		(394)		21,566		(464)

At both June 30, 2019 and December 31, 2018, an immaterial amount of unrealized losses in the available-for-sale debt and other securities portfolio were represented by non-rated securities.