Securities

Securities Available for Sale

At December 31, 2015 and 2014, the amortized cost, gross unrealized gains, gross unrealized losses, and fair values of securities are presented below.



	December 31, 2015
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Asset Liability Management securities:
U.S. Treasury	$	596	$	1	$	3	$	594
Residential mortgage-backed securities:
U.S. government agency and government-sponsored agencies	7,298		1		98		7,201
Privately issued	150		2		1		151
Privately issued - commercial mortgage-backed securities	1,566		5		25		1,546
Collateralized loan obligations	3,266		1		34		3,233
Other	7		—		—		7
Asset Liability Management securities	12,883		10		161		12,732
Other debt securities:
Direct bank purchase bonds	1,549		45		22		1,572
Other	32		—		—		32
Equity securities	6		2		—		8
Total securities available for sale	$	14,470	$	57	$	183	$	14,344



	December 31, 2014
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Asset Liability Management securities:
Residential mortgage-backed securities:
U.S. government agency and government-sponsored agencies	$	7,649	$	2	$	91	$	7,560
Privately issued	166		3		1		168
Privately issued - commercial mortgage-backed securities	1,689		15		13		1,691
Collateralized loan obligations	2,527		4		37		2,494
Other	8		1		—		9
Asset Liability Management securities	12,039		25		142		11,922
Other debt securities:
Direct bank purchase bonds	1,719		49		27		1,741
Other	53		—		1		52
Equity securities	8		2		1		9
Total securities available for sale	$	13,819	$	76	$	171	$	13,724

The Company's securities available for sale with a continuous unrealized loss position at December 31, 2015 and 2014 are shown below, identified for periods less than 12 months and 12 months or more.



	December 31, 2015
	Less than 12 months				12 months or more				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Asset Liability Management securities:
U.S. Treasury	$	295	$	3	$	—	$	—	$	295	$	3
Residential mortgage-backed securities:
U.S. government agency and government-sponsored agencies	4,692		57		2,278		41		6,970		98
Privately issued	39		—		38		1		77		1
Privately issued - commercial mortgage-backed securities	1,154		24		65		1		1,219		25
Collateralized loan obligations	1,497		11		1,290		23		2,787		34
Asset Liability Management securities	7,677		95		3,671		66		11,348		161
Other debt securities:
Direct bank purchase bonds	157		4		686		18		843		22
Other	2		—		—		—		2		—
Equity securities	—		—		5		—		5		—
Total securities available for sale	$	7,836	$	99	$	4,362	$	84	$	12,198	$	183



	December 31, 2014
	Less than 12 months				12 months or more				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Asset Liability Management securities:
Residential mortgage-backed securities:
U.S. government agency and government-sponsored agencies	$	611	$	1	$	6,258	$	90	$	6,869	$	91
Privately issued	9		—		49		1		58		1
Privately issued - commercial mortgage-backed securities	143		—		842		13		985		13
Collateralized loan obligations	657		6		1,481		31		2,138		37
Other	—		—		1		—		1		—
Asset Liability Management securities	1,420		7		8,631		135		10,051		142
Other debt securities:
Direct bank purchase bonds	75		3		937		24		1,012		27
Other	—		—		22		1		22		1
Equity Securities	1		1		5		—		6		1
Total securities available for sale	$	1,496	$	11	$	9,595	$	160	$	11,091	$	171

At December 31, 2015, the Company did not have the intent to sell any securities in an unrealized loss position before a recovery of the amortized cost, which may be at maturity. The Company also believes that it is more likely than not that it will not be required to sell the securities prior to recovery of amortized cost.

Agency residential mortgage-backed securities consist of securities guaranteed by a U.S. government agency or a government-sponsored agency such as Fannie Mae, Freddie Mac or Ginnie Mae. These securities are collateralized by residential mortgage loans and may be prepaid at par prior to maturity. The unrealized losses on agency residential mortgage-backed securities resulted from changes in interest rates and not from changes in credit quality. At December 31, 2015, the Company expects to recover the entire amortized cost basis of these securities because the Company determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Company from losses.

Commercial mortgage-backed securities are collateralized by commercial mortgage loans and are generally subject to prepayment penalties. The unrealized losses on commercial mortgage-backed securities resulted from higher market yields since purchase. Cash flow analysis of the underlying collateral provides an estimate of other-than-temporary impairment, which is performed quarterly when the fair value of a security is lower than its amortized cost. Based on the analysis performed as of December 31, 2015, the Company expects to recover the entire amortized cost basis of these securities.

The Company’s CLOs consist of Cash Flow CLOs. A Cash Flow CLO is a structured finance product that securitizes a diversified pool of loan assets into multiple classes of notes. Cash Flow CLOs pay the note holders through the receipt of interest and principal repayments from the underlying loans unlike other types of CLOs that pay note holders through the trading and sale of underlying collateral. Unrealized losses typically arise from widening credit spreads and deteriorating credit quality of the underlying collateral. Cash flow analysis of the underlying collateral provides an estimate of other-than-temporary impairment, which is performed quarterly when the fair value of a security is lower than its amortized cost. Based on the analysis performed as of December 31, 2015, the Company expects to recover the entire amortized cost basis of these securities.

Other debt securities primarily consist of direct bank purchase bonds, which are not rated by external credit rating agencies. The unrealized losses on these bonds resulted from a higher return on capital expected by the secondary market compared with the return on capital required at the time of origination when the bonds were purchased. The Company estimated the unrealized loss for each security by assessing the underlying collateral of each security. The Company estimates the portion of loss attributable to credit based on the expected cash flows of the underlying collateral using estimates of current key assumptions, such as probability of default and loss severity. Cash flow analysis of the underlying collateral provides an estimate of other-than-temporary impairment, which is performed quarterly when the fair value of a security is lower than its amortized cost and potential impairment is identified. Based on the analysis performed as of December 31, 2015, the Company expects to recover the entire amortized cost basis of these securities.

The fair value of debt securities available for sale by contractual maturity are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties.



	December 31, 2015
(Dollars in millions)	One Year or Less		Over One Year Through Five Years		Over Five Years Through Ten Years		Over Ten Years		Total Fair Value
Asset Liability Management securities:
U.S. Treasury	$	—	$	—	$	594	$	—	$	594
Residential mortgage-backed securities:
U.S. government agency and government-sponsored agencies	—		19		388		6,794		7,201
Privately issued	—		3		—		148		151
Privately issued - commercial mortgage-backed securities	—		—		36		1,510		1,546
Collateralized loan obligations	—		16		1,804		1,413		3,233
Other	—		2		5		—		7
Asset Liability Management securities	—		40		2,827		9,865		12,732
Other debt securities:
Direct bank purchase bonds	73		353		665		481		1,572
Other	—		1		—		31		32
Total debt securities available for sale	$	73	$	394	$	3,492	$	10,377	$	14,336

The gross realized gains and losses from sales of available for sale securities for the years ended December 31, 2015, 2014 and 2013 are shown below. The specific identification method is used to calculate realized gains and losses on sales.



	For the Year Ended December 31,
(Dollars in millions)	2015		2014		2013
Gross realized gains	$	22	$	23	$	190
Gross realized losses	1		—		3

Securities Held to Maturity

The securities held to maturity consist of RMBS, CMBS, U.S. Treasury securities and U.S. government-sponsored agency securities. Management has asserted the positive intent and ability to hold these securities to maturity. At December 31, 2015 and 2014, the amortized cost, gross unrealized gains and losses recognized in OCI, carrying amount, gross unrealized gains and losses not recognized in OCI, and fair values of securities held to maturity are presented below.



	December 31, 2015
			Recognized in OCI						Not Recognized in OCI
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Amount		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury	$	489	$	—	$	—	$	489	$	4	$	—	$	493
U.S. government-sponsored agencies	220		—		—		220		—		4		216
U.S. government agency and government-sponsored agencies - residential mortgage-backed securities	7,831		4		53		7,782		49		41		7,790
U.S. government agency and government-sponsored agencies - commercial mortgage-backed securities	1,740		—		73		1,667		46		5		1,708
Total securities held to maturity	$	10,280	$	4	$	126	$	10,158	$	99	$	50	$	10,207



	December 31, 2014
			Recognized in OCI						Not Recognized in OCI
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Amount		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury	$	486	$	—	$	—	$	486	$	3	$	—	$	489
U.S. government-sponsored agencies	125		—		—		125		—		—		125
U.S. government agency and government-sponsored agencies - residential mortgage-backed securities	6,002		6		66		5,942		76		5		6,013
U.S. government agency and government-sponsored agencies - commercial mortgage-backed securities	1,820		—		82		1,738		53		6		1,785
Total securities held to maturity	$	8,433	$	6	$	148	$	8,291	$	132	$	11	$	8,412

Amortized cost is defined as the original purchase cost, adjusted for any accretion or amortization of a purchase discount or premium, less principal payments and any impairment previously recognized in earnings. The carrying amount is the difference between the amortized cost and the amount recognized in OCI. The amount recognized in OCI primarily reflects the unrealized gain or loss at date of transfer from available for sale to the held to maturity classification, net of amortization, which is recorded in interest income on securities.

The Company's securities held to maturity with a continuous unrealized loss position at December 31, 2015 and 2014 are shown below, separately for periods less than 12 months and 12 months or more.



	December 31, 2015
	Less than 12 months						12 months or more						Total
			Unrealized Losses						Unrealized Losses						Unrealized Losses
(Dollars in millions)	Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI
U.S. government-sponsored agencies	$	196	$	—	$	4	$	—	$	—	$	—	$	196	$	—	$	4
U.S. government agency and government-sponsored agencies—residential mortgage backed securities	3,297		—		39		1,705		53		2		5,002		53		41
U.S. government agency and government-sponsored agencies - commercial mortgage-backed securities	197		—		1		1,428		73		4		1,625		73		5
Total securities held to maturity	$	3,690	$	—	$	44	$	3,133	$	126	$	6	$	6,823	$	126	$	50



	December 31, 2014
	Less than 12 months						12 months or more						Total
			Unrealized Losses						Unrealized Losses						Unrealized Losses
(Dollars in millions)	Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI
U.S. government agency and government-sponsored agencies - residential mortgage-backed securities	$	399	$	—	$	1	$	2,341	$	66	$	4	$	2,740	$	66	$	5
U.S. government agency and government-sponsored agencies - commercial mortgage-backed securities	134		—		—		1,552		82		6		1,686		82		6
Total securities held to maturity	$	533	$	—	$	1	$	3,893	$	148	$	10	$	4,426	$	148	$	11

The carrying amount and fair value of securities held to maturity by contractual maturity are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties.



	December 31, 2015
	Over One Year Through Five Years				Over Five Years Through Ten Years				Over Ten Years				Total
(Dollars in millions)	Carrying Amount		Fair Value		Carrying Amount		Fair Value		Carrying Amount		Fair Value		Carrying Amount		Fair Value
U.S. Treasury	$	489	$	493	$	—	$	—	$	—	$	—	$	489	$	493
U.S. government-sponsored agencies	—		—		220		216		—		—		220		216
U.S. government agency and government-sponsored agencies - residential mortgage-backed securities	—		—		99		100		7,683		7,690		7,782		7,790
U.S. government agency and government-sponsored agencies - commercial mortgage-backed securities	49		50		799		835		819		823		1,667		1,708
Total securities held to maturity	$	538	$	543	$	1,118	$	1,151	$	8,502	$	8,513	$	10,158	$	10,207

Securities Pledged as Collateral

At December 31, 2015, the Company had $2.7 billion of securities available for sale pledged as collateral to secure public and trust department deposits, where the secured party cannot resell or repledge such securities. At December 31, 2015 and December 31, 2014, the Company accepted securities as collateral for reverse repurchase agreements that it is permitted by contract to sell or repledge of $24 million and $61 million, respectively, none of which has been sold or repledged. These securities received as collateral are not recognized on the Company's balance sheet. For further information related to the Company's significant accounting policies on securities pledged as collateral, see Note 1 to the Consolidated Financial Statements in Part II, Item 8. "Financial Statements and Supplementary Data" of this Form 10-K.