Investment Securities

3 Months Ended

Mar. 31, 2016

Investment Securities Disclosure [Abstract]

NOTE 6 INVESTMENT SECURITIES

Table 60: Investment Securities Summary

			Amortized		Unrealized						Fair
In millions			Cost		Gains			Losses			Value
March 31, 2016

Securities Available for Sale
Debt securities
	U.S. Treasury and government agencies		$	10,237		$	263	$	(28)	$	10,472
	Residential mortgage-backed
		Agency		25,241			466		(22)		25,685
		Non-agency		3,836			216		(101)		3,951
	Commercial mortgage-backed
		Agency		1,851			22		(3)		1,870
		Non-agency		4,727			51		(35)		4,743
	Asset-backed			5,634			45		(54)		5,625
	State and municipal			1,954			91		(3)		2,042
	Other debt			2,562			57		(5)		2,614
		Total debt securities		56,042			1,211		(251)		57,002
Corporate stocks and other				413							413
	Total securities available for sale		$	56,455		$	1,211	$	(251)	$	57,415
Securities Held to Maturity (a)
Debt securities
	U.S. Treasury and government agencies		$	260		$	57			$	317
	Residential mortgage-backed
		Agency		10,109			194	$	(7)		10,296
		Non-agency		227			11				238
	Commercial mortgage-backed
		Agency		1,121			48				1,169
		Non-agency		683			18				701
	Asset-backed			711					(11)		700
	State and municipal			1,943			145				2,088
	Other debt			100					(1)		99
	Total securities held to maturity		$	15,154		$	473	$	(19)	$	15,608

December 31, 2015

Securities Available for Sale
Debt securities
	U.S. Treasury and government agencies		$	9,764		$	152	$	(42)	$	9,874
	Residential mortgage-backed
		Agency		24,698			250		(128)		24,820
		Non-agency		3,992			247		(88)		4,151
	Commercial mortgage-backed
		Agency		1,917			11		(10)		1,918
		Non-agency		4,902			30		(29)		4,903
	Asset-backed			5,417			54		(48)		5,423
	State and municipal			1,982			79		(5)		2,056
	Other debt			2,007			31		(12)		2,026
		Total debt securities		54,679			854		(362)		55,171
Corporate stocks and other				590					(1)		589
	Total securities available for sale		$	55,269		$	854	$	(363)	$	55,760
Securities Held to Maturity (a)
Debt securities
	U.S. Treasury and government agencies		$	258		$	40			$	298
	Residential mortgage-backed
		Agency		9,552			101	$	(65)		9,588
		Non-agency		233			8				241
	Commercial mortgage-backed
		Agency		1,128			40				1,168
		Non-agency		722			6		(1)		727
	Asset-backed			717					(10)		707
	State and municipal			1,954			116				2,070
	Other debt			204					(1)		203
	Total securities held to maturity		$	14,768		$	311	$	(77)	$	15,002
(a)	Held to maturity securities transferred from available for sale are recorded in held to maturity at fair value at the time of transfer. The amortized cost of held to maturity securities included net unrealized gains of $90 million and $97 million at March 31, 2016 and December 31, 2015, respectively, related to securities transferred, which are offset in Accumulated Other Comprehensive Income, net of tax.

The fair value of investment securities is impacted by interest rates, credit spreads, market volatility and liquidity conditions. Net unrealized gains and losses in the securities available for sale portfolio are included in Shareholders’ equity as Accumulated other comprehensive income or loss, net of tax, unless credit-related. Securities held to maturity are carried at amortized cost. At March 31, 2016, Accumulated other comprehensive income included pretax gains of $100 million from derivatives that hedged the purchase of investment securities classified as held to maturity. The gains will be accreted into interest income as an adjustment of yield on the securities.

Table 61 presents gross unrealized losses on securities available for sale at March 31, 2016 and December 31, 2015. The securities are segregated between investments that have been in a continuous unrealized loss position for less than twelve months and twelve months or more based on the point in time that the fair value declined below the amortized cost basis. The table includes debt securities where a portion of other-than-temporary impairment (OTTI) has been recognized in Accumulated other comprehensive income (loss). The decrease in total unrealized losses at March 31, 2016 when compared to December 31, 2015 was due to a decline in market interest rates.

Table 61: Gross Unrealized Loss and Fair Value of Securities Available for Sale

				Unrealized loss position less					Unrealized loss position 12
In millions				than 12 months					months or more				Total
				Unrealized			Fair		Unrealized		Fair		Unrealized		Fair
				Loss			Value		Loss		Value		Loss		Value
March 31, 2016
Debt securities
	U.S. Treasury and government agencies				$	(21)	$	3,195	$	(7)	$	637	$	(28)	$	3,832
	Residential mortgage-backed
		Agency				(6)		1,451		(16)		1,153		(22)		2,604
		Non-agency				(8)		392		(93)		1,516		(101)		1,908
	Commercial mortgage-backed
		Agency				(a)		71		(3)		241		(3)		312
		Non-agency				(20)		1,839		(15)		693		(35)		2,532
	Asset-backed					(36)		3,341		(18)		477		(54)		3,818
	State and municipal					(2)		219		(1)		64		(3)		283
	Other debt					(3)		160		(2)		144		(5)		304
			Total debt securities			(96)		10,668		(155)		4,925		(251)		15,593
	Corporate stocks and other									(a)		15		(a)		15
			Total		$	(96)	$	10,668	$	(155)	$	4,940	$	(251)	$	15,608

December 31, 2015
Debt securities
	U.S. Treasury and government agencies				$	(40)	$	5,885	$	(2)	$	120	$	(42)	$	6,005
	Residential mortgage-backed
		Agency				(103)		11,799		(25)		1,094		(128)		12,893
		Non-agency				(3)		368		(85)		1,527		(88)		1,895
	Commercial mortgage-backed
		Agency				(7)		745		(3)		120		(10)		865
		Non-agency				(22)		2,310		(7)		807		(29)		3,117
	Asset-backed					(30)		3,477		(18)		494		(48)		3,971
	State and municipal					(3)		326		(2)		60		(5)		386
	Other debt					(8)		759		(4)		188		(12)		947
			Total debt securities			(216)		25,669		(146)		4,410		(362)		30,079
	Corporate stocks and other					(a)		46		(1)		15		(1)		61
			Total		$	(216)	$	25,715	$	(147)	$	4,425	$	(363)	$	30,140
(a)	The unrealized loss on these securities was less than $.5 million.

The gross unrealized loss on debt securities held to maturity was $19 million at March 31, 2016, with $6 million of the loss related to securities with a fair value of $.6 billion that had been in a continuous loss position less than 12 months and $13 million of the loss related to securities with a fair value of $1.7 billion that had been in a continuous loss position for more than 12 months. The gross unrealized loss on debt securities held to maturity was $82 million at December 31, 2015, with $59 million of the loss related to securities with a fair value of $5.5 billion that had been in a continuous loss position less than 12 months and $23 million of the loss related to securities with a fair value of $953 million that had been in a continuous loss position for more than 12 months. For securities transferred to held to maturity from available for sale, the unrealized loss for purposes of this analysis is determined by comparing the security’s original amortized cost to its current estimated fair value.

Evaluating Investment Securities for Other-than-Temporary Impairments

For the securities in the preceding Table 61, as of March 31, 2016 we do not intend to sell and believe we will not be required to sell the securities prior to recovery of the amortized cost basis.

As more fully described in Note 6 Investment Securities in our 2015 Form 10-K, at least quarterly, we conduct a comprehensive security-level assessment on all securities. For those securities in an unrealized loss position we determine if OTTI exists. An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. An OTTI loss must be recognized for a debt security in an unrealized loss position if we intend to sell the security or it is more likely than not we will be required to sell the security prior to recovery of its amortized cost basis. Even if we do not expect to sell the security, we must evaluate the expected cash flows to be received to determine if we believe a credit loss has occurred. In the event of a credit loss, only the amount of impairment associated with the credit loss is recognized in income. The portion of the unrealized loss relating to other factors, such as liquidity conditions in the market or changes in market interest rates, is recorded in accumulated other comprehensive income (loss). See Note 6 Investment Securities in our 2015 Form 10-K for additional details on this quarterly assessment.

For those securities on our balance sheet where we determined losses represented OTTI, we have recorded cumulative credit losses of $1.1 billion at March 31, 2016. During 2016 and 2015, the OTTI credit losses recognized in noninterest income and the OTTI noncredit losses recognized in accumulated other comprehensive income (loss), net of tax, on securities were not significant.

Information relating to gross realized securities gains and losses from the sales of securities is set forth in the following table.

Table 62: Gains (Losses) on Sales of Securities Available for Sale

			Gross		Gross		Net		Tax
In millions	Proceeds		Gains		Losses		Gains		Expense
Three months ended March 31
2016	$	788	$	9	$	-	$	9	$	3
2015	$	1,804	$	43	$	(1)	$	42	$	15

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at March 31, 2016.

Table 63: Contractual Maturity of Debt Securities

March 31, 2016					After 1 Year			After 5 Years			After 10
Dollars in millions		1 Year or Less			through 5 Years			through 10 Years			Years			Total
Securities Available for Sale
U.S. Treasury and government agencies		$	953		$	4,466		$	3,756		$	1,062		$	10,237
Residential mortgage-backed
	Agency					128			919			24,194			25,241
	Non-agency					3						3,833			3,836
Commercial mortgage-backed
	Agency		21			124			252			1,454			1,851
	Non-agency		50			28			8			4,641			4,727
Asset-backed			18			1,622			1,814			2,180			5,634
State and municipal			2			127			348			1,477			1,954
Other debt			206			1,916			298			142			2,562
Total debt securities available for sale		$	1,250		$	8,414		$	7,395		$	38,983		$	56,042
Fair value		$	1,256		$	8,529		$	7,510		$	39,707		$	57,002
Weighted-average yield, GAAP basis			2.79	%		2.19	%		2.32	%		2.90	%		2.71	%
Securities Held to Maturity
U.S. Treasury and government agencies											$	260		$	260
Residential mortgage-backed
	Agency				$	7		$	376			9,726			10,109
	Non-agency											227			227
Commercial mortgage-backed
	Agency	$	118			824			122			57			1,121
	Non-agency											683			683
Asset-backed						2			589			120			711
State and municipal						62			948			933			1,943
Other debt						100									100
Total debt securities held to maturity		$	118		$	995		$	2,035		$	12,006		$	15,154
Fair value		$	118		$	1,030		$	2,128		$	12,332		$	15,608
Weighted-average yield, GAAP basis			3.02	%		3.48	%		3.26	%		3.44	%		3.42	%

Weighted-average yields are based on historical cost with effective yields weighted for the contractual maturity of each security. At March 31, 2016, there were no securities of a single issuer, other than FHLMC and FNMA, that exceeded 10% of Total shareholders’ equity. The FHLMC investments had a total amortized cost of $4.8 billion and fair value of $4.9 billion. The FNMA investments had a total amortized cost of $22.8 billion and fair value of $23.2 billion.

The following table presents the fair value of securities that have been either pledged to or accepted from others to collateralize outstanding borrowings.

Table 64: Fair Value of Securities Pledged and Accepted as Collateral

		March 31			December 31
In millions		2016			2015
Pledged to others			$	11,047		$	9,674
Accepted from others:
	Permitted by contract or custom to sell or repledge			1,003			1,100
	Permitted amount repledged to others			843			943

The securities pledged to others include positions held in our portfolio of investment securities, trading securities, and securities accepted as collateral from others that we are permitted by contract or custom to sell or repledge, and were used to secure public and trust deposits, repurchase agreements, and for other purposes.