Securities

The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at March 31, 2014 and Dec. 31, 2013.



Securities at March 31, 2014	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	13,814	$	94	$	336	$	13,572
U.S. Government agencies	446		7		4		449
State and political subdivisions	6,630		79		57		6,652
Agency RMBS	25,277		290		482		25,085
Non-agency RMBS	1,097		43		39		1,101
Other RMBS	2,076		47		39		2,084
Commercial MBS	2,144		59		18		2,185
Agency commercial MBS	2,078		7		22		2,063
Asset-backed CLOs	1,438		11		—		1,449
Other asset-backed securities	3,362		8		6		3,364
Foreign covered bonds	2,635		81		—		2,716
Corporate bonds	1,758		38		15		1,781
Other debt securities	14,109		112		9		14,212		(a)
Equity securities	16		1		—		17
Money market funds	849		—		—		849
Non-agency RMBS (b)	2,065		575		3		2,637
Total securities available-for-sale	79,794		1,452		1,030		80,216
Held-to-maturity:
U.S. Treasury	3,325		22		55		3,292
U.S. Government agencies	419		—		9		410
State and political subdivisions	40		1		—		41
Agency RMBS	14,147		71		160		14,058
Non-agency RMBS	178		10		2		186
Other RMBS	381		3		19		365
Commercial MBS	16		—		—		16
Other securities	720		4		—		724
Total securities held-to-maturity	19,226		111		245		19,092
Total securities	$	99,020	$	1,563	$	1,275	$	99,308


(a)	Includes $12.2 billion, at fair value, of government-sponsored and guaranteed entities, and sovereign debt.


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



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	13,077		91		18		13,150		(a)
Equity securities	18		1		—		19
Money market funds	938		—		—		938
Non-agency RMBS (b)	2,131		567		3		2,695
Total securities available-for-sale	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
Other securities	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)	Includes $11.4 billion, at fair value, of government-sponsored and guaranteed entities, and sovereign debt.


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



Net securities gains (losses)
(in millions)	1Q14			4Q13			1Q13
Realized gross gains	$	30		$	49		$	57
Realized gross losses	(3		)	—			(5		)
Recognized gross impairments	(5		)	(10		)	(4		)
Total net securities gains	$	22		$	39		$	48

Temporarily impaired securities

At March 31, 2014, substantially all of the unrealized losses on the investment securities portfolio were attributable to an increase in interest rates and credit spreads widening since purchase. We do not intend to sell these securities and it is not more likely than not that we will have to sell these securities.

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, 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	$	8,750	$	336	$	—	$	—	$	8,750	$	336
U.S. Government agencies	98		4		—		—		98		4
State and political subdivisions	1,875		51		131		6		2,006		57
Agency RMBS	12,657		169		76		313		12,733		482
Non-agency RMBS	22		1		556		38		578		39
Other RMBS	80		12		504		27		584		39
Commercial MBS	455		13		155		5		610		18
Agency commercial MBS	1,364		22		—		—		1,364		22
Other asset-backed securities	1,181		6		35		—		1,216		6
Corporate bonds	313		15		—		—		313		15
Other debt securities	1,531		9		—		—		1,531		9
Non-agency RMBS (a)	36		1		21		2		57		3
Total securities available-for-sale	$	28,362	$	639	$	1,478	$	391	$	29,840	$	1,030
Held-to-maturity:
U.S. Treasury	$	2,301	$	55	$	—	$	—	$	2,301	$	55
U.S. Government agencies	410		9		—		—		410		9
Agency RMBS	7,885		160		—		—		7,885		160
Non-agency RMBS	11		—		36		2		47		2
Other RMBS	—		—		256		19		256		19
Total securities held-to-maturity	$	10,607	$	224	$	292	$	21	$	10,899	$	245
Total temporarily impaired securities	$	38,969	$	863	$	1,770	$	412	$	40,739	$	1,275


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



Temporarily impaired securities at Dec. 31, 2013	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	$	7,719	$	605	$	—	$	—	$	7,719	$	605
U.S. Government agencies	97		5		—		—		97		5
State and political subdivisions	2,374		55		222		37		2,596		92
Agency RMBS	12,011		226		83		324		12,094		550
Non-agency RMBS	102		7		592		43		694		50
Other RMBS	93		14		614		43		707		57
Commercial MBS	517		21		174		6		691		27
Agency commercial MBS	1,390		34		—		—		1,390		34
Other asset-backed securities	1,529		9		38		—		1,567		9
Corporate bonds	612		25		—		—		612		25
Other debt securities	2,976		18		—		—		2,976		18
Non-agency RMBS (a)	59		1		22		2		81		3
Total securities available-for-sale	$	29,479	$	1,020	$	1,745	$	455	$	31,224	$	1,475
Held-to-maturity:
U.S. Treasury	$	2,278	$	84	$	—	$	—	$	2,278	$	84
U.S. Government agencies	406		13		—		—		406		13
Agency RMBS	12,639		236		—		—		12,639		236
Non-agency RMBS	10		—		65		3		75		3
Other RMBS	—		—		261		20		261		20
Other securities	641		6		—		—		641		6
Total securities held-to-maturity	$	15,974	$	339	$	326	$	23	$	16,300	$	362
Total temporarily impaired securities	$	45,453	$	1,359	$	2,071	$	478	$	47,524	$	1,837


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

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, 2014.



Maturity distribution and yield on investment securities at March 31, 2014	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	$	387	0.47	%	$	171	1.64	%	$	514	1.54	%	$	6,357	1.00	%	$	—	—	%	$	7,429
Over 1 through 5 years	7,991		0.68		180		2.06		3,208		1.98		9,914		1.19		—		—		21,293
Over 5 through 10 years	1,313		2.85		98		1.49		2,561		3.41		2,432		2.42		—		—		6,404
Over 10 years	3,881		3.12		—		—		369		3.41		6		2.82		—		—		4,256
Mortgage-backed securities	—		—		—		—		—		—		—		—		35,155		2.43		35,155
Asset-backed securities	—		—		—		—		—		—		—		—		4,813		1.09		4,813
Equity securities (b)	—		—		—		—		—		—		—		—		866		—		866
Total	$	13,572	1.58	%	$	449	1.78	%	$	6,652	2.57	%	$	18,709	1.29	%	$	40,834	2.22	%	$	80,216
Securities held-to-maturity:
One year or less	$	—	—	%	$	—	—	%	$	1	4.00	%	$	3	0.14	%	$	—	—	%	$	4
Over 1 through 5 years	2,429		1.22		308		1.18		—		—		717		0.54		—		—		3,454
Over 5 through 10 years	896		2.24		111		1.61		16		6.82		—		—		—		—		1,023
Over 10 years	—		—		—		—		23		4.86		—		—		—		—		23
Mortgage-backed securities	—		—		—		—		—		—		—		—		14,722		2.70		14,722
Total	$	3,325	1.49	%	$	419	1.29	%	$	40	5.61	%	$	720	0.54	%	$	14,722	2.70	%	$	19,226


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


(b)	Includes money market funds.

Other-than-temporary impairment

We routinely conduct periodic reviews of all securities using economic models to identify and evaluate each investment security to determine whether OTTI has occurred. Various inputs to the economic models are used to determine if an unrealized loss on securities is other-than-temporary. For example, the most significant inputs related to non-agency RMBS are:


•	Default rate - the number of mortgage loans expected to go into default over the life of the transaction, which is driven by the roll rate of loans in each performance bucket that will ultimately migrate to default; and


•	Severity - the loss expected to be realized when a loan defaults.

To determine if an unrealized loss is other-than-temporary, we project total estimated defaults of the underlying assets (mortgages) and multiply that calculated amount by an estimate of realizable value upon sale of these assets in the marketplace (severity) in order to determine the projected collateral loss. In determining estimated default rate and severity assumptions, we review the performance of the underlying securities, industry studies, market forecasts, as well as our view of the economic outlook affecting collateral. We also evaluate the current credit enhancement underlying the bond to determine the impact on cash flows. If we determine that a given security will be subject to a write-down or loss, we record the expected credit loss as a charge to earnings.

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, 2014 and Dec. 31, 2013.



Projected weighted-average default rates and loss severities
	March 31, 2014				Dec. 31, 2013
	Default rate		Severity		Default rate		Severity
Alt-A	40	%	58	%	40	%	57	%
Subprime	58	%	74	%	58	%	71	%
Prime	24	%	42	%	22	%	42	%

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



Net securities gains (losses)
(in millions)	1Q14			4Q13		1Q13
U.S. Treasury	$	10		$	11	$	(4	)
U.S. Government agency debt	7			—		—
Commercial MBS	—			1		8
Foreign covered bonds	—			—		8
State and political subdivisions	(1		)	13		—
European floating rate notes	(1		)	11		4
Non-agency RMBS	(2		)	2		4
Other	9			1		28
Total net securities gains	$	22		$	39	$	48

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)	1Q14		1Q13
Beginning balance as of Jan. 1	$	119	$	288
Add: Initial OTTI credit losses	2		—
Subsequent OTTI credit losses	3		4
Less: Realized losses for securities sold	18		118
Ending balance as of March 31	$	106	$	174