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INVESTMENT SECURITIES
 9 Months Ended
Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]  
INVESTMENT SECURITIES
INVESTMENT SECURITIES
Investment securities classified as current and long-term were as follows at September 30, 2016 and December 31, 2015, respectively:
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
(in millions)
September 30, 2016
 
 
 
 
 
 
 
U.S. Treasury and other U.S. government
corporations and agencies:
 
 
 
 
 
 
 
U.S. Treasury and agency obligations
$
659

 
$
2

 
$
—

 
$
661

Mortgage-backed securities
1,512

 
24

 
(1
)
 
1,535

Tax-exempt municipal securities
3,157

 
73

 
(4
)
 
3,226

Mortgage-backed securities:
 
 
 
 
 
 
 
Residential
10

 
—

 
—

 
10

Commercial
498

 
13

 
(8
)
 
503

Asset-backed securities
187

 
1

 
—

 
188

Corporate debt securities
3,223

 
268

 
(12
)
 
3,479

Total debt securities
$
9,246

 
$
381

 
$
(25
)
 
$
9,602

 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
U.S. Treasury and other U.S. government
corporations and agencies:
 
 
 
 
 
 
 
U.S. Treasury and agency obligations
$
331

 
$
2

 
$
(1
)
 
$
332

Mortgage-backed securities
1,902

 
12

 
(23
)
 
1,891

Tax-exempt municipal securities
2,611

 
61

 
(4
)
 
2,668

Mortgage-backed securities:
 
 
 
 
 
 
 
Residential
13

 
—

 
—

 
13

Commercial
1,024

 
2

 
(41
)
 
985

Asset-backed securities
264

 
1

 
(2
)
 
263

Corporate debt securities
2,873

 
140

 
(55
)
 
2,958

Total debt securities
$
9,018

 
$
218

 
$
(126
)
 
$
9,110


Gross unrealized losses and fair values aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position were as follows at September 30, 2016 and December 31, 2015, respectively:
 
Less than 12 months
 
12 months or more
 
Total
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
(in millions)
September 30, 2016
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and other U.S.
government corporations
and agencies:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
obligations
$
190

 
$
—

 
$
3

 
$
—

 
$
193

 
$
—

Mortgage-backed
securities
67

 
—

 
3

 
(1
)
 
70

 
(1
)
Tax-exempt municipal
securities
1,069

 
(4
)
 
24

 
—

 
1,093

 
(4
)
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Residential
—

 
—

 
5

 
—

 
5

 
—

Commercial
35

 
—

 
81

 
(8
)
 
116

 
(8
)
Asset-backed securities
35

 
—

 
68

 
—

 
103

 
—

Corporate debt securities
536

 
(6
)
 
81

 
(6
)
 
617

 
(12
)
Total debt securities
$
1,932

 
$
(10
)
 
$
265

 
$
(15
)
 
$
2,197

 
$
(25
)
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and other U.S.
government corporations
and agencies:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
obligations
$
195

 
$
(1
)
 
$
14

 
$
—

 
$
209

 
$
(1
)
Mortgage-backed
securities
1,484

 
(20
)
 
86

 
(3
)
 
1,570

 
(23
)
Tax-exempt municipal
securities
843

 
(3
)
 
52

 
(1
)
 
895

 
(4
)
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Residential
2

 
—

 
4

 
—

 
6

 
—

Commercial
626

 
(13
)
 
265

 
(28
)
 
891

 
(41
)
Asset-backed securities
258

 
(2
)
 
—

 
—

 
258

 
(2
)
Corporate debt securities
918

 
(45
)
 
63

 
(10
)
 
981

 
(55
)
Total debt securities
$
4,326

 
$
(84
)
 
$
484

 
$
(42
)
 
$
4,810

 
$
(126
)

Approximately 98% of our debt securities were investment-grade quality, with a weighted average credit rating of AA by S&P at September 30, 2016. Most of the debt securities that were below investment-grade were rated BB, the higher end of the below investment-grade rating scale. At September 30, 2016, 8% of our tax-exempt municipal securities were pre-refunded, generally with U.S. government and agency securities. Tax-exempt municipal securities that were not pre-refunded were diversified among general obligation bonds of states and local municipalities in the United States as well as special revenue bonds. General obligation bonds, which are backed by the taxing power and full faith of the issuer, accounted for 45% of the tax-exempt municipals that were not pre-refunded in the portfolio. Special revenue bonds, issued by a municipality to finance a specific public works project such as utilities, water and sewer, transportation, or education, and supported by the revenues of that project, accounted for the remaining 55% of these municipals. Our general obligation bonds are diversified across the United States with no individual state exceeding 11%. In addition, 5% of our tax-exempt securities were insured by bond insurers and had an equivalent weighted average S&P credit rating of AA exclusive of the bond insurers’ guarantee. Our investment policy limits investments in a single issuer and requires diversification among various asset types.
Residential mortgage-backed securities comprised approximately 99% of our agency mortgage-backed securities at September 30, 2016 and 98% at December 31, 2015.

The recoverability of our non-agency commercial mortgage-backed securities is supported by factors such as seniority, underlying collateral characteristics and credit enhancements. At September 30, 2016, these commercial mortgage-backed securities primarily were composed of senior tranches having higher credit support than junior tranches. The weighted average credit rating of all commercial mortgage-backed securities was AA+ at September 30, 2016.
The percentage of corporate securities associated with the financial services industry was 22% at September 30, 2016 and 25% at December 31, 2015.
Our unrealized losses from all securities were generated from approximately 300 positions out of a total of approximately 2,100 positions at September 30, 2016. All issuers of securities we own that were trading at an unrealized loss at September 30, 2016 remain current on all contractual payments. After taking into account these and other factors previously described, we believe these unrealized losses primarily were caused by an increase in market interest rates in the current markets since the time the securities were purchased. At September 30, 2016, we did not intend to sell the securities with an unrealized loss position in accumulated other comprehensive income, and it is not likely that we will be required to sell these securities before recovery of their amortized cost basis. As a result, we believe that the securities with an unrealized loss were not other-than-temporarily impaired at September 30, 2016.
The detail of realized gains (losses) related to investment securities and included within investment income was as follows for the three and nine months ended September 30, 2016 and 2015:
 
Three months ended
September 30,
 
Nine months ended
September 30,
 
2016
 
2015
 
2016
 
2015
 
(in millions)
Gross realized gains
$
37

 
$
62

 
$
88

 
$
108

Gross realized losses
(11
)
 
(11
)
 
(23
)
 
(20
)
Net realized capital gains
$
26

 
$
51


$
65


$
88


There were no material other-than-temporary impairments for the three and nine months ended September 30, 2016 or 2015.
The contractual maturities of debt securities available for sale at September 30, 2016, regardless of their balance sheet classification, are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
 
Amortized
Cost
 
Fair
Value
 
(in millions)
Due within one year
$
611

 
$
610

Due after one year through five years
2,152

 
2,200

Due after five years through ten years
1,647

 
1,698

Due after ten years
2,629

 
2,858

Mortgage and asset-backed securities
2,207

 
2,236

Total debt securities
$
9,246

 
$
9,602