NOTE 5 – SECURITIES AVAILABLE FOR SALE

Securities Portfolio Composition



	December 31, 2017
(Dollars in millions)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities		$4,361		$2		$32		$4,331
Federal agency securities	257		3		1		259
U.S. states and political subdivisions	618		7		8		617
MBS - agency residential	22,616		222		134		22,704
MBS - agency commercial	2,121		3		38		2,086
MBS - non-agency residential	55		4		—		59
MBS - non-agency commercial	862		7		3		866
ABS	6		2		—		8
Corporate and other debt securities	17		—		—		17
Other equity securities ¹	472		—		3		469
Total securities AFS		$31,385		$250		$219		$31,416

	December 31, 2016
(Dollars in millions)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities		$5,486		$5		$86		$5,405
Federal agency securities	310		5		2		313
U.S. states and political subdivisions	279		5		5		279
MBS - agency residential	22,379		311		254		22,436
MBS - agency commercial	1,263		2		39		1,226
MBS - non-agency residential	71		3		—		74
MBS - non-agency commercial	257		—		5		252
ABS	8		2		—		10
Corporate and other debt securities	34		1		—		35
Other equity securities ¹	642		1		1		642
Total securities AFS		$30,729		$335		$392		$30,672

¹ At December 31, 2017, the fair value of other equity securities was comprised of the following: $15 million of FHLB of Atlanta stock, $403 million of Federal Reserve Bank of Atlanta stock, $49 million of mutual fund investments, and $2 million of other.

At December 31, 2016, the fair value of other equity securities was comprised of the following: $132 million of FHLB of Atlanta stock, $402 million of Federal Reserve Bank of Atlanta stock, $102 million of mutual fund investments, and $6 million of other.

The following table presents interest and dividends on securities AFS:



	Year Ended December 31
(Dollars in millions)	2017		2016		2015
Taxable interest		$743		$630		$552
Tax-exempt interest	13		6		6
Dividends	18		15		35
Total interest and dividends on securities AFS		$774		$651		$593

Securities AFS pledged to secure public deposits, repurchase agreements, trusts, certain derivative agreements, and other funds had a fair value of $4.3 billion and $2.0 billion at December 31, 2017 and 2016, respectively.

The following table presents the amortized cost, fair value, and weighted average yield of investments in debt securities AFS at December 31, 2017, by remaining contractual maturity, with the exception of MBS and ABS, which are based on estimated average life. Receipt of cash flows may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without penalties.



	Distribution of Remaining Maturities
(Dollars in millions)	Due in 1 Year or Less			Due After 1 Year through 5 Years			Due After 5 Years through 10 Years			Due After 10 Years			Total
Amortized Cost:
U.S. Treasury securities		$—			$2,322			$2,039			$—			$4,361
Federal agency securities	121			46			4			86			257
U.S. states and political subdivisions	6			49			149			414			618
MBS - agency residential	2,686			7,937			11,781			212			22,616
MBS - agency commercial	—			315			1,547			259			2,121
MBS - non-agency residential	—			55			—			—			55
MBS - non-agency commercial	—			12			813			37			862
ABS	—			6			—			—			6
Corporate and other debt securities	7			10			—			—			17
Total debt securities AFS		$2,820			$10,752			$16,333			$1,008			$30,913
Fair Value:
U.S. Treasury securities		$—			$2,305			$2,026			$—			$4,331
Federal agency securities	123			47			4			85			259
U.S. states and political subdivisions	6			52			153			406			617
MBS - agency residential	2,748			7,980			11,763			213			22,704
MBS - agency commercial	—			308			1,525			253			2,086
MBS - non-agency residential	—			59			—			—			59
MBS - non-agency commercial	—			12			816			38			866
ABS	—			8			—			—			8
Corporate and other debt securities	7			10			—			—			17
Total debt securities AFS		$2,884			$10,781			$16,287			$995			$30,947
Weighted average yield ¹	3.36		%	2.34		%	2.81		%	3.23		%	2.71		%

¹Weighted average yields are based on amortized cost and presented on an FTE basis.

Securities AFS in an Unrealized Loss Position

The Company held certain investment securities AFS where amortized cost exceeded fair value, resulting in unrealized loss positions. Market changes in interest rates and credit spreads may result in temporary unrealized losses as the market prices of securities fluctuate. At December 31, 2017, the Company did not intend to sell these securities nor was it more-likely-than-not that the Company would be required to sell these securities before their anticipated recovery or maturity. The Company reviewed its portfolio for OTTI in accordance with the accounting policies described in Note 1, "Significant Accounting Policies."

Securities AFS in an unrealized loss position at period end are presented in the following tables:



	December 31, 2017
	Less than twelve months				Twelve months or longer				Total
(Dollars in millions)	Fair Value		Unrealized Losses ²		Fair Value		Unrealized Losses ²		Fair Value		Unrealized Losses ²
Temporarily impaired securities AFS:
U.S. Treasury securities		$1,993		$12		$841		$20		$2,834		$32
Federal agency securities	23		—		60		1		83		1
U.S. states and political subdivisions	267		3		114		5		381		8
MBS - agency residential	8,095		38		4,708		96		12,803		134
MBS - agency commercial	887		9		915		29		1,802		38
MBS - non-agency commercial	134		1		93		2		227		3
ABS	—		—		4		—		4		—
Corporate and other debt securities	10		—		—		—		10		—
Other equity securities	—		—		2		3		2		3
Total temporarily impaired securities AFS	11,409		63		6,737		156		18,146		219
OTTI securities AFS ¹:
ABS	—		—		1		—		1		—
Total OTTI securities AFS	—		—		1		—		1		—
Total impaired securities AFS		$11,409		$63		$6,738		$156		$18,147		$219

¹OTTI securities AFS are impaired securities for which OTTI credit losses have been previously recognized in earnings.

²Unrealized losses less than $0.5 million are presented as zero within the table.



	December 31, 2016
	Less than twelve months				Twelve months or longer				Total
(Dollars in millions)	Fair Value		Unrealized Losses ²		Fair Value		Unrealized Losses ²		Fair Value		Unrealized Losses ²
Temporarily impaired securities AFS:
U.S. Treasury securities		$4,380		$86		$—		$—		$4,380		$86
Federal agency securities	96		2		3		—		99		2
U.S. states and political subdivisions	149		5		—		—		149		5
MBS - agency residential	13,505		247		436		7		13,941		254
MBS - agency commercial	1,117		38		15		1		1,132		39
MBS - non-agency commercial	184		5		—		—		184		5
ABS	—		—		5		—		5		—
Corporate and other debt securities	12		—		—		—		12		—
Other equity securities	—		—		4		1		4		1
Total temporarily impaired securities AFS	19,443		383		463		9		19,906		392
OTTI securities AFS ¹:
MBS - non-agency residential	16		—		—		—		16		—
ABS	—		—		1		—		1		—
Total OTTI securities AFS	16		—		1		—		17		—
Total impaired securities AFS		$19,459		$383		$464		$9		$19,923		$392

¹OTTI securities AFS are impaired securities for which OTTI credit losses have been previously recognized in earnings.

²Unrealized losses less than $0.5 million are presented as zero within the table.

At December 31, 2017, temporarily impaired securities AFS that have been in an unrealized loss position for twelve months or longer included residential and commercial agency MBS, U.S. Treasury securities, municipal securities, commercial non-agency MBS, federal agency securities, one ABS collateralized by 2004 vintage home equity loans, and one equity security. Unrealized losses on temporarily impaired securities were due to market interest rates being higher than the securities' stated coupon rates. Unrealized losses on securities AFS that relate to factors other than credit are recorded in AOCI, net of tax.

Realized Gains and Losses and Other-Than-Temporarily Impaired Securities AFS



	Year Ended December 31
(Dollars in millions)	2017			2016		2015
Gross realized gains		$3			$4		$25
Gross realized losses	(110		)	—		(3		)
OTTI credit losses recognized in earnings	(1		)	—		(1		)
Net securities (losses)/gains		($108	)		$4		$21

Securities AFS in an unrealized loss position are evaluated quarterly for other-than-temporary credit impairment, which is determined using cash flow analyses that take into account security specific collateral and transaction structure. Future expected credit losses are determined using various assumptions, the most significant of which include default rates, prepayment rates, and loss severities. If, based on this analysis, a security is in an unrealized loss position and the Company does not expect to recover the entire amortized cost basis of the security, the expected cash flows are then discounted at the security’s initial effective interest rate to arrive at a present value amount. Credit losses on the OTTI security are recognized in earnings and reflect the difference between the present value of cash flows expected to be collected and the amortized cost basis of the security. See Note 1, "Significant Accounting Policies," for additional information regarding the Company's policy on securities AFS and related impairments.

The Company seeks to reduce existing exposure on OTTI securities primarily through paydowns. In certain instances, the amount of credit losses recognized in earnings on a debt security exceeds the total unrealized losses on the security, which may result in unrealized gains relating to factors other than credit recorded in AOCI, net of tax.

During the years ended December 31, 2017, 2016, and 2015, credit impairment losses recognized on securities AFS held at the end of each period were immaterial. The accumulated balance of OTTI credit losses recognized in earnings on securities AFS held at period end was $23 million, $23 million, and $25 million at December 31, 2017, 2016, and 2015, respectively. Subsequent credit losses may be recorded on securities without a corresponding further decline in fair value when there has been a decline in expected cash flows.

The following table presents a summary of the significant inputs used in determining the measurement of OTTI credit losses recognized in earnings for non-agency MBS for the years ended December 31:



	2017 ¹	2016 ²	2015 ¹
Default rate	3%	N/A	9%
Prepayment rate	19%	N/A	13%
Loss severity	41%	N/A	56%

¹ OTTI credit losses recognized in earnings relate to one non-agency MBS with a fair value of $12 million and $20 million at December 31, 2017 and 2015, respectively.

²"N/A" - Not applicable as there were no OTTI credit losses recognized in earnings for the year ended December 31, 2016.

Significant inputs represent lifetime average estimates of each security for which credit losses were recognized in earnings. Inputs may vary from period to period as the securities for which credit losses are recognized vary. Additionally, severity may vary widely when losses are few and large.