Investment Securities

6 Months Ended

Jun. 30, 2016

Investment Securities Disclosure [Abstract]

NOTE 5 INVESTMENT SECURITIES

Table 58: Investment Securities Summary

			Amortized		Unrealized						Fair
In millions			Cost		Gains			Losses			Value
June 30, 2016

Securities Available for Sale
Debt securities
	U.S. Treasury and government agencies		$	9,794		$	323	$	(19)	$	10,098
	Residential mortgage-backed
		Agency		25,216			568		(16)		25,768
		Non-agency		3,555			214		(80)		3,689
	Commercial mortgage-backed
		Agency		1,740			26		(3)		1,763
		Non-agency		4,559			70		(25)		4,604
	Asset-backed			5,682			55		(40)		5,697
	State and municipal			1,984			119		(3)		2,100
	Other debt			2,616			69		(4)		2,681
		Total debt securities		55,146			1,444		(190)		56,400
Corporate stocks and other				483			1				484
	Total securities available for sale		$	55,629		$	1,445	$	(190)	$	56,884
Securities Held to Maturity (a)
Debt securities
	U.S. Treasury and government agencies		$	263		$	68			$	331
	Residential mortgage-backed
		Agency		10,058			245	$	(3)		10,300
		Non-agency		217			14				231
	Commercial mortgage-backed
		Agency		1,109			46				1,155
		Non-agency		612			26				638
	Asset-backed			705					(8)		697
	State and municipal			1,931			175				2,106
	Other debt			22							22
	Total securities held to maturity		$	14,917		$	574	$	(11)	$	15,480

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 $84 million and $97 million at June 30, 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 June 30, 2016, Accumulated other comprehensive income included pretax gains of $98 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 59 presents gross unrealized losses on securities available for sale at June 30, 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 June 30, 2016 when compared to December 31, 2015 was due to a decline in market interest rates.

Table 59: 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
June 30, 2016
Debt securities
	U.S. Treasury and government agencies				$	(6)	$	1,030	$	(13)	$	2,445	$	(19)	$	3,475
	Residential mortgage-backed
		Agency				(3)		662		(13)		879		(16)		1,541
		Non-agency				(6)		344		(74)		1,292		(80)		1,636
	Commercial mortgage-backed
		Agency				(2)		122		(1)		186		(3)		308
		Non-agency				(5)		1,006		(20)		1,169		(25)		2,175
	Asset-backed					(8)		1,081		(32)		1,567		(40)		2,648
	State and municipal					(3)		239		(a)		55		(3)		294
	Other debt					(2)		79		(2)		102		(4)		181
			Total debt securities			(35)		4,563		(155)		7,695		(190)		12,258
	Corporate stocks and other									(a)		15		(a)		15
			Total		$	(35)	$	4,563	$	(155)	$	7,710	$	(190)	$	12,273

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 $10 million at June 30, 2016, with less than $.5 million of the loss related to securities with a fair value of $.2 billion that had been in a continuous loss position less than 12 months and $10 million of the loss related to securities with a fair value of $.9 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 59, as of June 30, 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 June 30, 2016. During the first six months of 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 60: Gains (Losses) on Sales of Securities Available for Sale

Six months ended June 30			Gross		Gross		Net		Tax
In millions	Proceeds		Gains		Losses		Gains		Expense
2016	$	2,093	$	14	$	(1)	$	13	$	5
2015	$	2,441	$	51	$	(1)	$	50	$	17

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at June 30, 2016.

Table 61: Contractual Maturity of Debt Securities

June 30, 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		$	445		$	5,014		$	3,260		$	1,075		$	9,794
Residential mortgage-backed
	Agency					129			849			24,238			25,216
	Non-agency					3						3,552			3,555
Commercial mortgage-backed
	Agency		6			122			282			1,330			1,740
	Non-agency		50			21			8			4,480			4,559
Asset-backed			13			1,801			1,833			2,035			5,682
State and municipal			2			147			349			1,486			1,984
Other debt			272			1,910			303			131			2,616
Total debt securities available for sale		$	788		$	9,147		$	6,884		$	38,327		$	55,146
Fair value		$	794		$	9,305		$	7,033		$	39,268		$	56,400
Weighted-average yield, GAAP basis			2.44	%		2.21	%		2.31	%		2.89	%		2.70	%
Securities Held to Maturity
U.S. Treasury and government agencies											$	263		$	263
Residential mortgage-backed
	Agency				$	11		$	382			9,665			10,058
	Non-agency											217			217
Commercial mortgage-backed
	Agency	$	157			774			121			57			1,109
	Non-agency											612			612
Asset-backed						2			589			114			705
State and municipal			4			57			979			891			1,931
Other debt						22									22
Total debt securities held to maturity		$	161		$	866		$	2,071		$	11,819		$	14,917
Fair value		$	161		$	901		$	2,184		$	12,234		$	15,480
Weighted-average yield, GAAP basis			3.25	%		3.47	%		3.27	%		3.40	%		3.39	%

Weighted-average yields are based on historical cost with effective yields weighted for the contractual maturity of each security. At June 30, 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 $4.7 billion and fair value of $4.8 billion. The FNMA investments had a total amortized cost of $23.3 billion and fair value of $23.8 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 62: Fair Value of Securities Pledged and Accepted as Collateral

		June 30			December 31
In millions		2016			2015
Pledged to others			$	9,699		$	9,674
Accepted from others:
	Permitted by contract or custom to sell or repledge		$	1,183		$	1,100
	Permitted amount repledged to others		$	1,023		$	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.