Securities (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016 and Dec. 31, 2015.



Securities at March 31, 2016	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	12,476	$	500	$	4	$	12,972
U.S. Government agencies	402		8		—		410
State and political subdivisions	3,631		104		14		3,721
Agency RMBS	23,721		318		243		23,796
Non-agency RMBS	746		26		23		749
Other RMBS	993		8		21		980
Commercial MBS	1,258		17		10		1,265
Agency commercial MBS	4,225		81		11		4,295
CLOs	2,441		2		19		2,424
Other asset-backed securities	2,420		3		15		2,408
Foreign covered bonds	2,164		42		1		2,205
Corporate bonds	1,690		49		2		1,737
Sovereign debt/sovereign guaranteed	13,494		293		5		13,782
Other debt securities	2,947		55		1		3,001
Equity securities	2		—		—		2
Money market funds	862		—		—		862
Non-agency RMBS (a)	1,374		322		11		1,685
Total securities available-for-sale (b)	$	74,846	$	1,828	$	380	$	76,294
Held-to-maturity:
U.S. Treasury	$	11,327	$	141	$	—	$	11,468
U.S. Government agencies	1,488		2		—		1,490
State and political subdivisions	20		—		1		19
Agency RMBS	25,747		338		11		26,074
Non-agency RMBS	112		4		3		113
Other RMBS	210		—		13		197
Commercial MBS	9		—		—		9
Agency commercial MBS	562		10		—		572
Foreign covered bonds	80		1		—		81
Sovereign debt/sovereign guaranteed	2,132		46		—		2,178
Other debt securities	30		—		—		30
Total securities held-to-maturity	$	41,717	$	542	$	28	$	42,231
Total securities	$	116,563	$	2,370	$	408	$	118,525


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

(b)

Includes gross unrealized gains of $78 million and gross unrealized losses of $234 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, 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
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 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)	1Q16			4Q15			1Q15
Realized gross gains	$	22		$	24		$	25
Realized gross losses	—			(1		)	—
Recognized gross impairments	(2		)	(2		)	(1		)
Total net securities gains	$	20		$	21		$	24

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 March 31, 2016 and Dec. 31, 2015.



Temporarily impaired securities at March 31, 2016	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	$	749	$	4	$	—	$	—	$	749	$	4
State and political subdivisions	127		—		131		14		258		14
Agency RMBS	3,266		13		803		230		4,069		243
Non-agency RMBS	138		1		364		22		502		23
Other RMBS	30		—		294		21		324		21
Commercial MBS	270		2		253		8		523		10
Agency commercial MBS	1,381		9		124		2		1,505		11
CLOs	1,783		16		273		3		2,056		19
Other asset-backed securities	1,086		8		333		7		1,419		15
Corporate bonds	61		2		22		—		83		2
Sovereign debt/sovereign guaranteed	341		1		227		4		568		5
Non-agency RMBS (a)	78		5		46		6		124		11
Other debt securities	219		1		—		—		219		1
Foreign covered bonds	308		1		—		—		308		1
Total securities available-for-sale (b)	$	9,837	$	63	$	2,870	$	317	$	12,707	$	380
Held-to-maturity:
State and political subdivisions	$	—	$	—	$	4	$	1	$	4	$	1
Agency RMBS	3,229		6		986		5		4,215		11
Non-agency RMBS	42		1		28		2		70		3
Other RMBS	18		1		155		12		173		13
Total securities held-to-maturity	$	3,289	$	8	$	1,173	$	20	$	4,462	$	28
Total temporarily impaired securities	$	13,126	$	71	$	4,043	$	337	$	17,169	$	408


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

(b)

There were no gross unrealized losses for less than 12 months and gross unrealized losses for 12 months or more of $234 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, 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
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.

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, 2016.



Maturity distribution and yield on investment securities at March 31, 2016	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	$	2,641	0.56	%	$	50	2.56	%	$	470	2.32	%	$	4,863	1.01	%	$	—	—	%	$	8,024
Over 1 through 5 years	5,284		1.49		187		1.09		1,970		2.73		13,603		1.02		—		—		21,044
Over 5 through 10 years	1,381		1.93		173		2.46		1,055		4.06		2,036		1.31		—		—		4,645
Over 10 years	3,666		3.11		—		—		226		1.52		223		1.69		—		—		4,115
Mortgage-backed securities	—		—		—		—		—		—		—		—		32,770		3.07		32,770
Asset-backed securities	—		—		—		—		—		—		—		—		4,832		1.55		4,832
Equity securities (b)	—		—		—		—		—		—		—		—		864		—		864
Total	$	12,972	1.80	%	$	410	1.85	%	$	3,721	2.98	%	$	20,725	1.06	%	$	38,466	2.81	%	$	76,294
Securities held-to-maturity:
One year or less	$	1,601	0.98	%	$	25	0.64	%	$	—	—	%	$	218	0.43	%	$	—	—	%	$	1,844
Over 1 through 5 years	7,165		1.08		1,463		1.05		1		7.01		1,267		0.63		—		—		9,896
Over 5 through 10 years	2,561		2.06		—		—		4		6.80		757		0.70		—		—		3,322
Over 10 years	—		—		—		—		15		5.33		—		—		—		—		15
Mortgage-backed securities	—		—		—		—		—		—		—		—		26,640		2.72		26,640
Total	$	11,327	1.29	%	$	1,488	1.05	%	$	20	5.74	%	$	2,242	0.64	%	$	26,640	2.72	%	$	41,717


(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, 2016 and Dec. 31, 2015.



Projected weighted-average default rates and loss severities
	March 31, 2016				Dec. 31, 2015
	Default rate		Severity		Default rate		Severity
Alt-A	32	%	56	%	33	%	57	%
Subprime	52	%	71	%	52	%	75	%
Prime	19	%	39	%	18	%	40	%

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)	1Q16			4Q15		1Q15
Foreign covered bonds	$	10		$	—	$	—
Agency RMBS	8			2		—
U.S. Treasury	1			3		23
Non-agency RMBS	(2		)	10		(1		)
Other	3			6		2
Total net securities gains	$	20		$	21	$	24

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)	1Q16		1Q15
Beginning balance as of Jan. 1	$	91	$	93
Add: Initial OTTI credit losses	—		—
Subsequent OTTI credit losses	2		1
Less: Realized losses for securities sold	—		2
Ending balance as of March 31	$	93	$	92