Securities (Tables)

12 Months Ended

Dec. 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 Dec. 31, 2015, 2014, and 2013.



Securities at Dec. 31, 2015	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	12,693	$	175	$	36	$	12,832
U.S. Government agencies	386		2		1		387
State and political subdivisions	3,968		91		13		4,046
Agency RMBS	23,549		239		287		23,501
Non-agency RMBS	782		31		20		793
Other RMBS	1,072		10		21		1,061
Commercial MBS	1,400		8		16		1,392
Agency commercial MBS	4,031		24		35		4,020
Asset-backed CLOs	2,363		1		13		2,351
Other asset-backed securities	2,909		1		17		2,893
Foreign covered bonds	2,125		46		3		2,168
Corporate bonds	1,740		26		14		1,752
Sovereign debt/sovereign guaranteed	13,036		211		30		13,217
Other debt securities	2,732		46		3		2,775
Equity securities	3		1		—		4
Money market funds	886		—		—		886
Non-agency RMBS (a)	1,435		362		8		1,789
Total securities available-for-sale (b)	$	75,110	$	1,274	$	517	$	75,867
Held-to-maturity:
U.S. Treasury	$	11,326	$	25	$	51	$	11,300
U.S. Government agencies	1,431		—		6		1,425
State and political subdivisions	20		—		1		19
Agency RMBS	26,036		134		205		25,965
Non-agency RMBS	118		5		2		121
Other RMBS	224		1		10		215
Commercial MBS	9		—		—		9
Agency commercial MBS	503		—		9		494
Foreign covered bonds	76		—		—		76
Sovereign debt/sovereign guaranteed	3,538		22		11		3,549
Other debt securities	31		—		—		31
Total securities held-to-maturity	$	43,312	$	187	$	295	$	43,204
Total securities	$	118,422	$	1,461	$	812	$	119,071


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

(b)

Includes gross unrealized gains of $84 million and gross unrealized losses of $248 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 are 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 are primarily related to Agency RMBS and will be amortized into net interest revenue over the estimated lives of the securities.



Securities at Dec. 31, 2013	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	13,363	$	94	$	605	$	12,852
U.S. Government agencies	937		16		5		948
State and political subdivisions	6,706		60		92		6,674
Agency RMBS	25,564		307		550		25,321
Non-agency RMBS	1,148		44		50		1,142
Other RMBS	2,299		43		57		2,285
Commercial MBS	2,324		60		27		2,357
Agency commercial MBS	1,822		1		34		1,789
Asset-backed CLOs	1,551		11		—		1,562
Other asset-backed securities	2,894		6		9		2,891
Foreign covered bonds	2,798		73		—		2,871
Corporate bonds	1,808		32		25		1,815
Other debt securities	1,793		4		—		1,797
Sovereign debt/sovereign guaranteed	11,284		87		18		11,353
Equity securities	18		1		—		19
Money market funds	938		—		—		938
Non-agency RMBS (a)	2,131		567		3		2,695
Total securities available-for-sale (b)	$	79,378	$	1,406	$	1,475	$	79,309
Held-to-maturity:
U.S. Treasury	$	3,324	$	28	$	84	$	3,268
U.S. Government agencies	419		—		13		406
State and political subdivisions	44		—		—		44
Agency RMBS	14,568		20		236		14,352
Non-agency RMBS	186		10		3		193
Other RMBS	466		3		20		449
Commercial MBS	16		1		—		17
Sovereign debt/sovereign guaranteed	720		—		6		714
Total securities held-to-maturity	$	19,743	$	62	$	362	$	19,443
Total securities	$	99,121	$	1,468	$	1,837	$	98,752


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

(b)

Includes gross unrealized gains of $74 million and gross unrealized losses of $343 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 are 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)	2015			2014			2013
Realized gross gains	$	90		$	114		$	186
Realized gross losses	(2		)	(4		)	(10		)
Recognized gross impairments	(5		)	(19		)	(35		)
Total net securities gains	$	83		$	91		$	141

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 at Dec. 31, 2015, and Dec. 31, 2014.



Temporarily impaired securities at Dec. 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	$	6,343	$	36	$	—	$	—	$	6,343	$	36
U.S. Government agencies	148		1		10		—		158		1
State and political subdivisions	143		2		117		11		260		13
Agency RMBS	8,500		44		1,316		243		9,816		287
Non-agency RMBS	72		—		417		20		489		20
Other RMBS	2		—		298		21		300		21
Commercial MBS	567		9		224		7		791		16
Agency commercial MBS	2,551		31		172		4		2,723		35
Asset-backed CLOs	1,599		10		455		3		2,054		13
Other asset-backed securities	2,001		10		546		7		2,547		17
Corporate bonds	338		10		128		4		466		14
Sovereign debt/sovereign guaranteed	2,063		30		43		—		2,106		30
Non-agency RMBS (a)	45		1		52		7		97		8
Other debt securities	505		3		—		—		505		3
Foreign covered bonds	515		3		—		—		515		3
Total securities available-for-sale (b)	$	25,392	$	190	$	3,778	$	327	$	29,170	$	517
Held-to-maturity:
U.S. Treasury	$	9,121	$	51	$	—	$	—	$	9,121	$	51
U.S. Government agencies	1,122		6		—		—		$	1,122	6
State and political subdivisions	4		1		—		—		4		1
Agency RMBS	16,491		171		1,917		34		18,408		205
Non-agency RMBS	40		—		29		2		69		2
Other RMBS	9		—		166		10		175		10
Agency commercial MBS	494		9		—		—		494		9
Sovereign debt/sovereign guaranteed	2,161		11		—		—		2,161		11
Total securities held-to-maturity	$	29,442	$	249	$	2,112	$	46	$	31,554	$	295
Total temporarily impaired securities	$	54,834	$	439	$	5,890	$	373	$	60,724	$	812


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

(b)

Includes gross unrealized losses for less than 12 months of $8 million and gross unrealized losses for 12 months or more of $240 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 Dec. 31, 2015.



Maturity distribution and yield on investment securities at Dec. 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	$	3,766	0.48	%	$	51	2.56	%	$	655	1.99	%	$	4,811	0.90	%	$	—	—	%	$	9,283
Over 1 through 5 years	4,445		1.53		169		1.24		2,002		2.70		12,937		1.11		—		—		19,553
Over 5 through 10 years	1,217		2.09		167		2.45		1,189		3.98		1,963		1.33		—		—		4,536
Over 10 years	3,404		3.11		—		—		200		1.03		201		1.69		—		—		3,805
Mortgage-backed securities	—		—		—		—		—		—		—		—		32,556		2.65		32,556
Asset-backed securities	—		—		—		—		—		—		—		—		5,244		1.30		5,244
Equity securities (b)	—		—		—		—		—		—		—		—		890		—		890
Total	$	12,832	1.69	%	$	387	1.94	%	$	4,046	2.88	%	$	19,912	1.09	%	$	38,690	2.41	%	$	75,867
Securities held-to-maturity:
One year or less	$	1,160	0.71	%	$	—	—	%	$	—	—	%	$	1,442	0.24	%	$	—	—	%	$	2,602
Over 1 through 5 years	7,605		1.10		1,431		1.06		1		7.01		1,473		0.61		—		—		10,510
Over 5 through 10 years	2,561		2.06		—		—		4		6.80		730		0.71		—		—		3,295
Over 10 years	—		—		—		—		15		5.34		—		—		—		—		15
Mortgage-backed securities	—		—		—		—		—		—		—		—		26,890		2.73		26,890
Total	$	11,326	1.28	%	$	1,431	1.06	%	$	20	5.75	%	$	3,645	0.48	%	$	26,890	2.73	%	$	43,312


(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 Dec. 31, 2015 and Dec. 31, 2014.



Projected weighted-average default rates and loss severities
	Dec. 31, 2015				Dec. 31, 2014
	Default rate		Severity		Default rate		Severity
Alt-A	33	%	57	%	38	%	58	%
Subprime	52	%	72	%	55	%	74	%
Prime	18	%	40	%	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)	2015		2014		2013
(in millions)	2015		2014		2013
U.S. Treasury	$	45	$	25	$	60
Non-agency RMBS	7		17		(1		)
Commercial MBS	5		1		16
State and political subdivisions	4		13		13
European floating rate notes	2		1		8
Other	20		34		45
Total net securities gains	$	83	$	91	$	141

Debt Securities Credit Losses Roll Forward Recorded in Earnings

The following tables reflect 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)	2015		2014
Beginning balance as of Jan. 1	$	93	$	119
Add: Initial OTTI credit losses	—		2
Subsequent OTTI credit losses	5		10
Less: Realized losses for securities sold	7		38
Ending balance as of Dec. 31	$	91	$	93