Investment Securities (Tables)

3 Months Ended

Mar. 31, 2017

Investments, Debt and Equity Securities [Abstract]

The amortized cost, other-than-temporary impairment recorded in other comprehensive income (loss), gross unrealized holding gains and losses, and fair value of held-to-maturity and available-for-sale investment securities were as follows:


	March 31, 2017											December 31, 2016
					Unrealized Losses											Unrealized Losses
(Dollars in Millions)	Amortized Cost		Unrealized Gains		Other-than- Temporary (e)		Other (f)			Fair Value		Amortized Cost		Unrealized Gains		Other-than- Temporary (e)		Other (f)			Fair Value
Held-to-maturity (a)
U.S. Treasury and agencies	$	5,576	$	14	$	–	$	(113	)	$	5,477	$	5,246	$	12	$	–	$	(132	)	$	5,126
Mortgage-backed securities
Residential
Agency		37,774		75		–		(472	)		37,377		37,706		85		–		(529	)		37,262
Non-agency non-prime (d)		1		–		–		–			1		1		–		–		–			1
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		6		–		–			6		–		5		–		–			5
Other		8		2		–		–			10		8		3		–		–			11
Obligations of state and political subdivisions		6		1		–		–			7		6		1		–		–			7
Obligations of foreign governments		13		–		–		–			13		9		–		–		–			9
Other debt securities		15		–		–		–			15		15		–		–		(1	)		14
Total held-to-maturity	$	43,393	$	98	$	–	$	(585	)	$	42,906	$	42,991	$	106	$	–	$	(662	)	$	42,435

(a)

Held-to-maturity investment securities are carried at historical cost or at fair value at the time of transfer from the available-for-sale to held-to-maturity category, adjusted for amortization of premiums and accretion of discounts and credit-related other-than-temporary impairment.

(b)

Available-for-sale investment securities are carried at fair value with unrealized net gains or losses reported within accumulated other comprehensive income (loss) in shareholders’ equity.

(c)

Prime securities are those designated as such by the issuer at origination. When an issuer designation is unavailable, the Company determines at acquisition date the categorization based on asset pool characteristics (such as weighted-average credit score, loan-to-value, loan type, prevalence of low documentation loans) and deal performance (such as pool delinquencies and security market spreads). When the Company determines the designation, prime securities typically have a weighted-average credit score of 725 or higher and a loan-to-value of 80 percent or lower; however, other pool characteristics may result in designations that deviate from these credit score and loan-to-value thresholds.

(d)

Includes all securities not meeting the conditions to be designated as prime.

(e)

Represents impairment not related to credit for those investment securities that have been determined to be other-than-temporarily impaired.

(f)

Represents unrealized losses on investment securities that have not been determined to be other-than-temporarily impaired.

Investment Securities Available-for-Sale


	March 31, 2017											December 31, 2016
					Unrealized Losses											Unrealized Losses
(Dollars in Millions)	Amortized Cost		Unrealized Gains		Other-than- Temporary (e)		Other (f)			Fair Value		Amortized Cost		Unrealized Gains		Other-than- Temporary (e)			Other (f)			Fair Value
Available-for-sale (b)
U.S. Treasury and agencies	$	19,309	$	13	$	–	$	(169	)	$	19,153	$	17,314	$	11	$	–		$	(198	)	$	17,127
Mortgage-backed securities
Residential
Agency		42,492		216		–		(582	)		42,126		43,558		225		–			(645	)		43,138
Non-agency
Prime (c)		–		–		–		–			–		240		6		(3	)		(1	)		242
Non-prime (d)		–		–		–		–			–		178		20		(3	)		–			195
Commercial agency		14		–		–		–			14		15		–		–			–			15
Other asset-backed securities		436		7		–		–			443		475		8		–			–			483
Obligations of state and political subdivisions		5,353		55		–		(152	)		5,256		5,167		55		–			(183	)		5,039
Corporate debt securities		–		–		–		–			–		11		–		–			(2	)		9
Other investments		30		9		–		–			39		27		9		–			–			36
Total available-for-sale	$	67,634	$	300	$	–	$	(903	)	$	67,031	$	66,985	$	334	$	(6	)	$	(1,029	)	$	66,284

(a)

(b)

Available-for-sale investment securities are carried at fair value with unrealized net gains or losses reported within accumulated other comprehensive income (loss) in shareholders’ equity.

(c)

(d)

Includes all securities not meeting the conditions to be designated as prime.

(e)

Represents impairment not related to credit for those investment securities that have been determined to be other-than-temporarily impaired.

(f)

Represents unrealized losses on investment securities that have not been determined to be other-than-temporarily impaired.

Investment Securities

Table 4

Investment Securities


	Available-for-Sale									Held-to-Maturity
At March 31, 2017 (Dollars in Millions)	Amortized Cost		Fair Value		Weighted- Average Maturity in Years		Weighted- Average Yield (e)			Amortized Cost		Fair Value		Weighted- Average Maturity in Years		Weighted- Average Yield (e)
U.S. Treasury and Agencies
Maturing in one year or less	$	4,503	$	4,500		.5		.84	%	$	350	$	350		.3		1.00	%
Maturing after one year through five years		10,730		10,638		2.8		1.25			705		711		2.4		1.78
Maturing after five years through ten years		4,075		4,014		5.9		1.90			4,521		4,416		6.5		1.82
Maturing after ten years		1		1		10.4		4.15			–		–		–		–
Total	$	19,309	$	19,153		2.9		1.29	%	$	5,576	$	5,477		5.6		1.76	%
Mortgage-Backed Securities (a)
Maturing in one year or less	$	144	$	149		.7		4.19	%	$	221	$	223		.6		2.93	%
Maturing after one year through five years		19,242		19,212		4.2		2.10			25,002		24,828		3.8		2.08
Maturing after five years through ten years		20,931		20,584		5.8		1.94			12,313		12,087		5.7		2.04
Maturing after ten years		2,189		2,195		12.1		1.89			239		240		11.4		1.80
Total	$	42,506	$	42,140		5.4		2.02	%	$	37,775	$	37,378		4.4		2.07	%
Asset-Backed Securities (a)
Maturing in one year or less	$	–	$	–		–		–	%	$	–	$	1		.8		1.88	%
Maturing after one year through five years		351		356		3.0		4.33			5		6		2.6		1.60
Maturing after five years through ten years		85		87		5.7		2.64			3		4		6.8		1.75
Maturing after ten years		–		–		–		–			–		5		17.1		1.61
Total	$	436	$	443		3.5		4.00	%	$	8	$	16		4.3		1.67	%
Obligations of State and Political Subdivisions (b) (c)
Maturing in one year or less	$	1,275	$	1,287		.3		7.11	%	$	–	$	–		.1		8.21	%
Maturing after one year through five years		476		501		3.0		6.23			–		–		2.2		8.17
Maturing after five years through ten years		2,246		2,218		8.5		5.41			6		7		8.6		3.28
Maturing after ten years		1,356		1,250		19.0		5.07			–		–		–		–
Total	$	5,353	$	5,256		8.7		5.80	%	$	6	$	7		8.2		3.55	%
Other Debt Securities
Maturing in one year or less	$	–	$	–		–		–	%	$	6	$	6		.2		2.10	%
Maturing after one year through five years		–		–		–		–			22		22		3.3		1.90
Maturing after five years through ten years		–		–		–		–			–		–		–		–
Maturing after ten years		–		–		–		–			–		–		–		–
Total	$	–	$	–		–		–	%	$	28	$	28		2.6		1.94	%
Other Investments	$	30	$	39		–		–	%	$	–	$	–		–		–	%
Total investment securities (d)	$	67,634	$	67,031		4.9		2.12	%	$	43,393	$	42,906		4.6		2.03	%

(a)

Information related to asset and mortgage-backed securities included above is presented based upon weighted-average maturities anticipating future prepayments.

(b)

Information related to obligations of state and political subdivisions is presented based upon yield to first optional call date if the security is purchased at a premium, yield to maturity if purchased at par or a discount.

(c)

Maturity calculations for obligations of state and political subdivisions are based on the first optional call date for securities with a fair value above par and contractual maturity for securities with a fair value equal to or below par.

(d)

The weighted-average maturity of the available-for-sale investment securities was 5.1 years at December 31, 2016, with a corresponding weighted-average yield of 2.06 percent. The weighted-average maturity of the held-to-maturity investment securities was 4.6 years at December 31, 2016, with a corresponding weighted-average yield of 1.93 percent.

(e)

Weighted-average yields are presented on a fully-taxable equivalent basis under a tax rate of 35 percent. Yields on available-for-sale and held-to-maturity investment securities are computed based on amortized cost balances, excluding any premiums or discounts recorded related to the transfer of investment securities at fair value from available-for-sale to held-to-maturity. Weighted-average yield and maturity calculations exclude equity securities that have no stated yield or maturity.


	March 31, 2017					December 31, 2016
(Dollars in Millions)	Amortized Cost		Percent of Total			Amortized Cost		Percent of Total
U.S. Treasury and agencies	$	24,885		22.4	%	$	22,560		20.5	%
Mortgage-backed securities		80,281		72.3			81,698		74.3
Asset-backed securities		444		.4			483		.4
Obligations of state and political subdivisions		5,359		4.8			5,173		4.7
Other debt securities and investments		58		.1			62		.1
Total investment securities	$	111,027		100.0	%	$	109,976		100.0	%

Amount of Interest Income from Taxable and Non-Taxable Investment Securities

The following table provides information about the amount of interest income from taxable and non-taxable investment securities:


Three Months Ended March 31, (Dollars in Millions)	2017		2016
Taxable	$	483	$	465
Non-taxable		47		52
Total interest income from investment securities	$	530	$	517

Amount of Gross Gains and Losses Realized through Sales of Available-for-Sale Investment Securities

The following table provides information about the amount of gross gains and losses realized through the sales of available-for-sale investment securities:


Three Months Ended March 31, (Dollars in Millions)	2017			2016
Realized gains	$	47		$	3
Realized losses		(18	)		–
Net realized gains (losses)	$	29		$	3
Income tax (benefit) on net realized gains (losses)	$	11		$	1

Changes in Credit Losses on Debt Securities

Changes in the credit losses on debt securities are summarized as follows:


Three Months Ended March 31, (Dollars in Millions)	2017			2016
Balance at beginning of period	$	75		$	84
Realized losses (a)		–			(3	)
Credit losses on security sales		(75	)		–
Balance at end of period	$	-		$	81

(a)

Primarily represents principal losses allocated to mortgage and asset-backed securities in the Company’s portfolio under the terms of the securitization transaction documents.

Gross Unrealized Losses and Fair Value of Company's Investment Securities

The following table shows the gross unrealized losses and fair value of the Company’s investment securities with unrealized losses, aggregated by investment category and length of time the individual investment securities have been in continuous unrealized loss positions, at March 31, 2017:


	Less Than 12 Months					12 Months or Greater					Total
(Dollars in Millions)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Held-to-maturity
U.S. Treasury and agencies	$	3,841	$	(113	)	$	–	$	–		$	3,841	$	(113	)
Residential agency mortgage-backed securities		26,372		(410	)		2,142		(62	)		28,514		(472	)
Other asset-backed securities		–		–			5		–			5		–
Other debt securities		15		–			–		–			15		–
Total held-to-maturity	$	30,228	$	(523	)	$	2,147	$	(62	)	$	32,375	$	(585	)
Available-for-sale
U.S. Treasury and agencies	$	15,616	$	(169	)	$	–	$	–		$	15,616	$	(169	)
Residential agency mortgage-backed securities		27,465		(486	)		4,149		(96	)		31,614		(582	)
Commercial agency mortgage-backed securities		9		–			–		–			9		–
Obligations of state and political subdivisions		2,222		(152	)		4		–			2,226		(152	)
Other investments		–		–			1		–			1		–
Total available-for-sale	$	45,312	$	(807	)	$	4,154	$	(96	)	$	49,466	$	(903	)

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

+ References + Details

- Definition

Tabular disclosure of all investments in certain debt and equity securities for which the entity has the positive intent and ability to hold until maturity.

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