Securities (Tables)

9 Months Ended

Sep. 30, 2014

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 Sept. 30, 2014 and Dec. 31, 2013.



Securities at Sept. 30, 2014	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	21,078	$	112	$	89	$	21,101
U.S. Government agencies	360		4		3		361
State and political subdivisions	5,321		108		25		5,404
Agency RMBS	30,286		327		405		30,208
Non-agency RMBS	990		41		26		1,005
Other RMBS	1,851		33		25		1,859
Commercial MBS	1,993		43		12		2,024
Agency commercial MBS	2,883		18		14		2,887
Asset-backed CLOs	1,984		12		—		1,996
Other asset-backed securities	3,024		7		6		3,025
Foreign covered bonds	2,863		87		1		2,949
Corporate bonds	1,636		44		10		1,670
Other debt securities	17,571		171		7		17,735		(a)
Equity securities	96		1		—		97
Money market funds	789		—		—		789
Non-agency RMBS (b)	1,916		537		4		2,449
Total securities available-for-sale (c)	94,641		1,545		627		95,559
Held-to-maturity:
U.S. Treasury	4,166		27		44		4,149
U.S. Government agencies	344		—		6		338
State and political subdivisions	29		1		—		30
Agency RMBS	14,127		131		94		14,164
Non-agency RMBS	157		10		2		165
Other RMBS	337		4		11		330
Commercial MBS	14		—		—		14
Other securities	963		14		—		977
Total securities held-to-maturity	20,137		187		157		20,167
Total securities	$	114,778	$	1,732	$	784	$	115,726


(a)	Includes $15.7 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.


(c)	Includes gross unrealized gains of $64 million and gross unrealized losses of $296 million recorded in accumulated other comprehensive income primarily related to Agency RMBS that were transferred from available-for-sale to held-to-maturity in 2013. The unrealized gains and losses 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	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 (c)	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.


(c)	Includes gross unrealized gains of $74 million and gross unrealized losses of $343 million recorded in accumulated other comprehensive income primarily related to Agency RMBS that were transferred from available-for-sale to held-to-maturity in 2013. The unrealized gains and losses 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)	3Q14			2Q14			3Q13			YTD14			YTD13
Realized gross gains	$	23		$	20		$	29		$	73		$	137
Realized gross losses	(1		)	—			(4		)	(4		)	(10		)
Recognized gross impairments	(2		)	(2		)	(3		)	(9		)	(25		)
Total net securities gains	$	20		$	18		$	22		$	60		$	102

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 Sept. 30, 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	$	8,717	$	20	$	2,870	$	69	$	11,587	$	89
U.S. Government agencies	—		—		98		3		98		3
State and political subdivisions	126		18		471		7		597		25
Agency RMBS	6,492		26		7,136		379		13,628		405
Non-agency RMBS	48		—		400		26		448		26
Other RMBS	159		—		512		25		671		25
Commercial MBS	208		1		441		11		649		12
Agency commercial MBS	631		2		592		12		1,223		14
Other asset-backed securities	636		1		586		5		1,222		6
Foreign covered bonds	342		1		—		—		342		1
Corporate bonds	22		—		236		10		258		10
Other debt securities	1,568		1		326		6		1,894		7
Non-agency RMBS (a)	25		1		45		3		70		4
Total securities available-for-sale (b)	$	18,974	$	71	$	13,713	$	556	$	32,687	$	627
Held-to-maturity:
U.S. Treasury	$	1,009	$	9	$	1,782	$	35	$	2,791	$	44
U.S. Government agencies	—		—		337		6		337		6
Agency RMBS	1,651		8		5,260		86		6,911		94
Non-agency RMBS	1		—		25		2		26		2
Other RMBS	—		—		233		11		233		11
Total securities held-to-maturity	$	2,661	$	17	$	7,637	$	140	$	10,298	$	157
Total temporarily impaired securities	$	21,635	$	88	$	21,350	$	696	$	42,985	$	784


(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 primarily related to Agency RMBS that were transferred from available-for-sale to held-to-maturity in 2013. The unrealized gains and losses will be amortized into net interest revenue over the estimated lives of the securities.



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 (b)	$	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.


(b)	Includes gross unrealized losses for 12 months or more of $343 million recorded in accumulated other comprehensive income primarily related to Agency RMBS that were transferred from available-for-sale to held-to-maturity in 2013. The unrealized gains and losses 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 Sept. 30, 2014.



Maturity distribution and yield on investment securities at Sept. 30, 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	$	2,418	0.21	%	$	135	1.75	%	$	243	1.30	%	$	7,227	0.81	%	$	—	—	%	$	10,023
Over 1 through 5 years	13,176		0.86		137		2.09		3,079		2.15		12,934		1.09		—		—		29,326
Over 5 through 10 years	1,358		2.83		89		1.52		1,783		3.51		2,183		2.38		—		—		5,413
Over 10 years	4,149		3.12		—		—		299		2.76		10		3.16		—		—		4,458
Mortgage-backed securities	—		—		—		—		—		—		—		—		40,432		2.35		40,432
Asset-backed securities	—		—		—		—		—		—		—		—		5,021		1.09		5,021
Equity securities (b)	—		—		—		—		—		—		—		—		886		—		886
Total	$	21,101	1.35	%	$	361	1.82	%	$	5,404	2.59	%	$	22,354	1.13	%	$	46,339	2.17	%	$	95,559
Securities held-to-maturity:
One year or less	$	150	0.28	%	$	—	—	%	$	1	3.80	%	$	3	0.03	%	$	—	—	%	$	154
Over 1 through 5 years	2,858		1.27		233		1.03		—		—		739		0.62		—		—		3,830
Over 5 through 10 years	1,158		2.21		111		1.61		10		6.92		221		0.94		—		—		1,500
Over 10 years	—		—		—		—		18		4.34		—		—		—		—		18
Mortgage-backed securities	—		—		—		—		—		—		—		—		14,635		2.69		14,635
Total	$	4,166	1.49	%	$	344	1.21	%	$	29	5.16	%	$	963	0.69	%	$	14,635	2.69	%	$	20,137


(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 Sept. 30, 2014 and Dec. 31, 2013.



Projected weighted-average default rates and loss severities
	Sept. 30, 2014				Dec. 31, 2013
	Default rate		Severity		Default rate		Severity
Alt-A	38	%	58	%	40	%	57	%
Subprime	55	%	74	%	58	%	71	%
Prime	23	%	42	%	22	%	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)	3Q14		2Q14			3Q13			YTD14		YTD13
State and political subdivisions	$	7	$	7		$	—		$	13	$	—
U.S. Treasury	1		1			22			12		49
U.S. Government agencies	—		—			—			7		—
Foreign covered bonds	—		3			—			3		8
European floating rate notes	2		—			3			1		(3		)
Commercial MBS	1		—			—			1		15
Non-agency RMBS	4		(2		)	(4		)	—		(3		)
Other	5		9			1			23		36
Total net securities gains	$	20	$	18		$	22		$	60	$	102

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)	3Q14		3Q13
Beginning balance as of June 30	$	107	$	164
Add: Initial OTTI credit losses	—		—
Subsequent OTTI credit losses	2		3
Less: Realized losses for securities sold	7		2
Ending balance as of Sept. 30	$	102	$	165



Debt securities credit loss roll forward	Year-to-date
(in millions)	2014		2013
Beginning balance as of Jan. 1	$	119	$	288
Add: Initial OTTI credit losses	2		16
Subsequent OTTI credit losses	7		10
Less: Realized losses for securities sold	26		149
Ending balance as of Sept. 30	$	102	$	165

- 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.

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