Securities (Tables)

3 Months Ended

Mar. 31, 2015

Amortized Cost and Fair Values of Securities

The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at March 31, 2015 and Dec. 31, 2014.



Securities at March 31, 2015	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	18,042	$	548	$	4	$	18,586
U.S. Government agencies	383		2		—		385
State and political subdivisions	5,053		106		20		5,139
Agency RMBS	25,029		445		291		25,183
Non-agency RMBS	908		36		24		920
Other RMBS	1,382		23		19		1,386
Commercial MBS	1,812		44		5		1,851
Agency commercial MBS	3,728		64		7		3,785
Asset-backed CLOs	2,250		9		1		2,258
Other asset-backed securities	3,398		6		4		3,400
Foreign covered bonds	2,732		76		—		2,808
Corporate bonds	1,695		52		2		1,745
Sovereign debt/sovereign guaranteed	14,988		258		3		15,243
Other debt securities	2,057		11		—		2,068
Equity securities	91		1		—		92
Money market funds	730		—		—		730
Non-agency RMBS (a)	1,699		442		3		2,138
Total securities available-for-sale (b)	$	85,977	$	2,123	$	383	$	87,717
Held-to-maturity:
U.S. Treasury	10,372		92		2		10,462
U.S. Government agencies	1,168		1		—		1,169
State and political subdivisions	21		—		1		20
Agency RMBS	25,606		326		14		25,918
Non-agency RMBS	144		8		2		150
Other RMBS	267		3		9		261
Commercial MBS	11		—		—		11
Agency commercial MBS	359		4		—		363
Sovereign debt/sovereign guaranteed	3,289		33		—		3,322
Total securities held-to-maturity	$	41,237	$	467	$	28	$	41,676
Total securities	$	127,214	$	2,590	$	411	$	129,393


(a)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.


(b)	Includes gross unrealized gains of $101 million and gross unrealized losses of $296 million recorded in accumulated other comprehensive income related to investment securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains and losses primarily related to Agency RMBS and will be amortized into net interest revenue over the estimated lives of the securities.



Securities at Dec. 31, 2014	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	19,592	$	420	$	15	$	19,997
U.S. Government agencies	342		3		2		343
State and political subdivisions	5,176		95		24		5,247
Agency RMBS	32,568		357		325		32,600
Non-agency RMBS	942		37		26		953
Other RMBS	1,551		25		25		1,551
Commercial MBS	1,927		39		7		1,959
Agency commercial MBS	3,105		36		9		3,132
Asset-backed CLOs	2,128		9		7		2,130
Other asset-backed securities	3,241		5		6		3,240
Foreign covered bonds	2,788		80		—		2,868
Corporate bonds	1,747		45		7		1,785
Sovereign debt/sovereign guaranteed	17,062		224		2		17,284
Other debt securities	2,162		7		—		2,169
Equity securities	94		1		—		95
Money market funds	763		—		—		763
Non-agency RMBS (a)	1,747		471		4		2,214
Total securities available-for-sale (b)	$	96,935	$	1,854	$	459	$	98,330
Held-to-maturity:
U.S. Treasury	5,047		32		16		5,063
U.S. Government agencies	344		—		3		341
State and political subdivisions	24		1		1		24
Agency RMBS	14,006		200		44		14,162
Non-agency RMBS	153		9		2		160
Other RMBS	315		2		8		309
Commercial MBS	13		—		—		13
Sovereign debt/sovereign guaranteed	1,031		24		—		1,055
Total securities held-to-maturity	$	20,933	$	268	$	74	$	21,127
Total securities	$	117,868	$	2,122	$	533	$	119,457


(a)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.


(b)	Includes gross unrealized gains of $60 million and gross unrealized losses of $282 million recorded in accumulated other comprehensive income related to investment securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains and losses primarily related to Agency RMBS and will be amortized into net interest revenue over the estimated lives of the securities.

Schedule of Realized Gain (Loss)

The following table presents the gross securities gains, losses and impairments.



Net securities gains (losses)
(in millions)	1Q15			4Q14			1Q14
Realized gross gains	$	25		$	41		$	30
Realized gross losses	—			—			(3		)
Recognized gross impairments	(1		)	(10		)	(5		)
Total net securities gains	$	24		$	31		$	22

Aggregate Fair Value of Investments with Continuous Unrealized Loss Position

The following tables show the aggregate related fair value of investments with a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 months or more.



Temporarily impaired securities at March 31, 2015	Less than 12 months				12 months or more				Total
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Available-for-sale:
U.S. Treasury	$	643	$	4	$	—	$	—	$	643	$	4
State and political subdivisions	260		15		300		5		560		20
Agency RMBS	789		13		1,575		278		2,364		291
Non-agency RMBS	198		1		367		23		565		24
Other RMBS	—		—		392		19		392		19
Commercial MBS	123		—		221		5		344		5
Agency commercial MBS	853		3		410		4		1,263		7
Asset-backed CLOs	806		1		—		—		806		1
Other asset-backed securities	865		1		505		3		1,370		4
Corporate bonds	2		—		192		2		194		2
Sovereign debt/sovereign guaranteed	1,736		3		—		—		1,736		3
Non-agency RMBS (a)	54		1		34		2		88		3
Total securities available-for-sale (b)	$	6,329	$	42	$	3,996	$	341	$	10,325	$	383
Held-to-maturity:
U.S. Treasury	$	1,316	$	2	$	198	$	—	$	1,514	$	2
State and political subdivisions	4		1		—		—		4		1
Agency RMBS	826		3		2,434		11		3,260		14
Non-agency RMBS	44		—		32		2		76		2
Other RMBS	—		—		185		9		185		9
Total securities held-to-maturity	$	2,190	$	6	$	2,849	$	22	$	5,039	$	28
Total temporarily impaired securities	$	8,519	$	48	$	6,845	$	363	$	15,364	$	411


(a)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.


(b)	Includes gross unrealized losses for 12 months or more of $296 million recorded in accumulated other comprehensive income related to investment securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses primarily related to Agency RMBS and will be amortized into net interest revenue over the estimated lives of the securities.



Temporarily impaired securities at Dec. 31, 2014	Less than 12 months				12 months or more				Total
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Available-for-sale:
U.S. Treasury	$	6,049	$	15	$	—	$	—	$	6,049	$	15
U.S. Government agencies	32		—		100		2		132		2
State and political subdivisions	410		18		393		6		803		24
Agency RMBS	3,385		13		5,016		312		8,401		325
Non-agency RMBS	143		1		382		25		525		26
Other RMBS	—		—		449		25		449		25
Commercial MBS	175		1		394		6		569		7
Agency commercial MBS	719		1		550		8		1,269		9
Asset-backed CLOs	1,376		7		—		—		1,376		7
Other asset-backed securities	1,078		2		539		4		1,617		6
Corporate bonds	51		—		230		7		281		7
Sovereign debt/sovereign guaranteed	2,175		2		—		—		2,175		2
Non-agency RMBS (a)	42		1		34		3		76		4
Total securities available-for-sale (b)	$	15,635	$	61	$	8,087	$	398	$	23,722	$	459
Held-to-maturity:
U.S. Treasury	$	1,066	$	6	$	1,559	$	10	$	2,625	$	16
U.S. Government agencies	—		—		340		3		340		3
State and political subdivisions	5		1		—		—		5		1
Agency RMBS	551		3		3,808		41		4,359		44
Non-agency RMBS	40		—		33		2		73		2
Other RMBS	—		—		219		8		219		8
Total securities held-to-maturity	$	1,662	$	10	$	5,959	$	64	$	7,621	$	74
Total temporarily impaired securities	$	17,297	$	71	$	14,046	$	462	$	31,343	$	533


(a)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.


(b)	Includes gross unrealized losses for 12 months or more of $282 million recorded in accumulated other comprehensive income related to investment securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses primarily related to Agency RMBS and will be amortized into net interest revenue over the estimated lives of the securities.

Maturity Distribution by Carrying Amount and Yield (on Tax Equivalent Basis) of Investment Securities Portfolio

The following table shows the maturity distribution by carrying amount and yield (on a tax equivalent basis) of our investment securities portfolio at March 31, 2015.



Maturity distribution and yield on investment securities at March 31, 2015	U.S. Treasury				U.S. Government agencies				State and political subdivisions				Other bonds, notes and debentures				Mortgage/ asset-backed and equity securities
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Total
Securities available-for-sale:
One year or less	$	1,759	0.95	%	$	126	1.86	%	$	462	1.40	%	$	7,208	0.58	%	$	—	—	%	$	9,555
Over 1 through 5 years	10,914		0.89		259		1.66		2,938		2.26		11,783		1.03		—		—		25,894
Over 5 through 10 years	2,223		2.52		—		—		1,506		3.80		2,608		2.19		—		—		6,337
Over 10 years	3,690		3.11		—		—		233		1.81		265		1.45		—		—		4,188
Mortgage-backed securities	—		—		—		—		—		—		—		—		35,263		2.69		35,263
Asset-backed securities	—		—		—		—		—		—		—		—		5,658		1.07		5,658
Equity securities (b)	—		—		—		—		—		—		—		—		822		—		822
Total	$	18,586	1.53	%	$	385	1.73	%	$	5,139	2.62	%	$	21,864	1.02	%	$	41,743	2.42	%	$	87,717
Securities held-to-maturity:
One year or less	$	150	0.28	%	$	—	—	%	$	—	—	%	$	1,461	0.24	%	$	—	—	%	$	1,611
Over 1 through 5 years	7,760		1.07		968		1.05		1		7.32		1,323		0.58		—		—		10,052
Over 5 through 10 years	2,462		2.06		200		1.19		5		6.95		505		0.88		—		—		3,172
Over 10 years	—		—		—		—		15		3.77		—		—		—		—		15
Mortgage-backed securities	—		—		—		—		—		—		—		—		26,387		2.65		26,387
Total	$	10,372	1.30	%	$	1,168	1.07	%	$	21	4.74	%	$	3,289	0.48	%	$	26,387	2.65	%	$	41,237


(a)	Yields are based upon the amortized cost of securities.


(b)	Includes money market funds.

Projected Weighted-Average Default Rates and Loss Severities

The table below shows the projected weighted-average default rates and loss severities for the 2007, 2006 and late 2005 non-agency RMBS and the securities previously held in the Grantor Trust that we established in connection with the restructuring of our investment securities portfolio in 2009, at March 31, 2015 and Dec. 31, 2014.



Projected weighted-average default rates and loss severities
	March 31, 2015				Dec. 31, 2014
	Default rate		Severity		Default rate		Severity
Alt-A	38	%	58	%	38	%	58	%
Subprime	54	%	73	%	55	%	74	%
Prime	24	%	41	%	23	%	42	%

Pre-Tax Securities Gains (Losses) by Type

The following table provides net pre-tax securities gains (losses) by type.



Net securities gains (losses)
(in millions)	1Q15			4Q14		1Q14
U.S. Treasury	$	23		$	13	$	10
Non-agency RMBS	(1		)	17		(2		)
Other	2			1		14
Total net securities gains	$	24		$	31	$	22

Debt Securities Credit Losses Roll Forward Recorded in Earnings

The following table reflects investment securities credit losses recorded in earnings. The beginning balance represents the credit loss component for which OTTI occurred on debt securities in prior periods. The additions represent the first time a debt security was credit impaired or when subsequent credit impairments have occurred. The deductions represent credit losses on securities that have been sold, are required to be sold, or for which it is our intention to sell.



Debt securities credit loss roll forward
(in millions)	1Q15		1Q14
Beginning balance as of Jan. 1	$	93	$	119
Add: Initial OTTI credit losses	—		2
Subsequent OTTI credit losses	1		3
Less: Realized losses for securities sold	2		18
Ending balance as of March 31	$	92	$	106

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

+ References+ Details