XML 37 R14.htm IDEA: XBRL DOCUMENT v3.3.1.900
Investment Securities
12 Months Ended
Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Investment Securities
Note 5:  Investment Securities
Table 5.1 provides the amortized cost and fair value by major categories of available-for-sale securities, which are carried at fair value, and held-to-maturity debt securities, which are carried at amortized cost. The net unrealized gains (losses) for available-for-sale securities are reported on an after-tax basis as a component of cumulative OCI.

Table 5.1: Amortized Cost and Fair Value
(in millions)
 Amortized Cost 

 
Gross unrealized gains 

 
Gross unrealized losses

 
Fair value

December 31, 2015
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
36,374

 
24

 
(148
)
 
36,250

Securities of U.S. states and political subdivisions
49,167

 
1,325

 
(502
)
 
49,990

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
103,391

 
1,983

 
(828
)
 
104,546

Residential
7,843

 
740

 
(25
)
 
8,558

Commercial
13,943

 
230

 
(85
)
 
14,088

Total mortgage-backed securities
125,177

 
2,953

 
(938
)
 
127,192

Corporate debt securities
15,548

 
312

 
(449
)
 
15,411

Collateralized loan and other debt obligations (1) 
31,210

 
125

 
(368
)
 
30,967

Other (2)
5,842

 
115

 
(46
)
 
5,911

Total debt securities
263,318

 
4,854

 
(2,451
)
 
265,721

Marketable equity securities:
 
 
 
 
 
 
 
Perpetual preferred securities
819

 
112

 
(13
)
 
918

Other marketable equity securities
239

 
482

 
(2
)
 
719

Total marketable equity securities
1,058

 
594

 
(15
)
 
1,637

Total available-for-sale securities
264,376

 
5,448

 
(2,466
)
 
267,358

Held-to-maturity securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
44,660

 
580

 
(73
)
 
45,167

Securities of U.S. states and political subdivisions
2,185

 
65

 

 
2,250

Federal agency mortgage-backed securities
28,604

 
131

 
(314
)
 
28,421

Collateralized loans and other debt obligations (1)
1,405

 

 
(24
)
 
1,381

Other (2)
3,343

 
8

 
(3
)
 
3,348

Total held-to-maturity securities
80,197

 
784

 
(414
)
 
80,567

Total (3) 
$
344,573

 
6,232

 
(2,880
)
 
347,925

December 31, 2014
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
25,898

 
44

 
(138
)
 
25,804

Securities of U.S. states and political subdivisions
43,939

 
1,504

 
(499
)
 
44,944

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
107,850

 
2,990

 
(751
)
 
110,089

Residential
8,213

 
1,080

 
(24
)
 
9,269

Commercial
16,248

 
803

 
(57
)
 
16,994

Total mortgage-backed securities
132,311


4,873

 
(832
)
 
136,352

Corporate debt securities
14,211

 
745

 
(170
)
 
14,786

Collateralized loan and other debt obligations (1)
25,137

 
408

 
(184
)
 
25,361

Other (2)
6,251

 
295

 
(27
)
 
6,519

Total debt securities
247,747

 
7,869

 
(1,850
)
 
253,766

Marketable equity securities:
 
 
 
 
 
 
 
Perpetual preferred securities
1,622

 
148

 
(70
)
 
1,700

Other marketable equity securities
284

 
1,694

 
(2
)
 
1,976

Total marketable equity securities
1,906

 
1,842

 
(72
)
 
3,676

Total available-for-sale-securities
249,653

 
9,711

 
(1,922
)
 
257,442

Held-to-maturity securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
40,886

 
670

 
(8
)
 
41,548

Securities of U.S. states and political subdivisions
1,962

 
27

 

 
1,989

Federal agency mortgage-backed securities
5,476

 
165

 

 
5,641

Collateralized loans and other debt obligations (1)
1,404

 

 
(13
)
 
1,391

Other (2) 
5,755

 
35

 

 
5,790

Total held-to-maturity securities
55,483

 
897

 
(21
)
 
56,359

Total (3)
$
305,136

 
10,608

 
(1,943
)
 
313,801

(1)
The available-for-sale portfolio includes collateralized debt obligations (CDOs) with a cost basis and fair value of $247 million and $257 million, respectively, at December 31, 2015, and $364 million and $500 million, respectively, at December 31, 2014. The held-to-maturity portfolio only includes collateralized loan obligations.
(2)
The “Other” category of available-for-sale securities predominantly includes asset-backed securities collateralized by credit cards, student loans, home equity loans and auto leases or loans and cash. Included in the “Other” category of held-to-maturity securities are asset-backed securities collateralized by auto leases or loans and cash with a cost basis and fair value of $1.9 billion each at December 31, 2015, and $3.8 billion each at December 31, 2014. Also included in the “Other” category of held-to-maturity securities are asset-backed securities collateralized by dealer floorplan loans with a cost basis and fair value of $1.4 billion each at December 31, 2015, and $1.9 billion and $2.0 billion, respectively, at December 31, 2014.
(3)
At December 31, 2015 and 2014, we held no securities of any single issuer (excluding the U.S. Treasury and federal agencies and government-sponsored entities (GSEs)) with a book value that exceeded 10% of stockholders’ equity.
Gross Unrealized Losses and Fair Value
Table 5.2 shows the gross unrealized losses and fair value of securities in the investment securities portfolio by length of time that individual securities in each category have been in a continuous loss position. Debt securities on which we have taken credit-related OTTI write-downs are categorized as being "less than 12 months" or "12 months or more" in a continuous loss position based on the point in time that the fair value declined to below the cost basis and not the period of time since the credit-related OTTI write-down.

Table 5.2: Gross Unrealized Losses and Fair Value
 
Less than 12 months 
 
 
12 months or more 
 
 
Total 
 
(in millions)
Gross unrealized losses 

 
Fair value 

 
Gross unrealized losses 

 
Fair value 

 
Gross unrealized losses 

 
Fair value 

December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(148
)
 
24,795

 

 

 
(148
)
 
24,795

Securities of U.S. states and political subdivisions
(26
)
 
3,453

 
(476
)
 
12,377

 
(502
)
 
15,830

Mortgage-backed securities:
 
 
 
 
 
 
 
 


 


Federal agencies
(522
)
 
36,329

 
(306
)
 
9,888

 
(828
)
 
46,217

Residential
(20
)
 
1,276

 
(5
)
 
285

 
(25
)
 
1,561

Commercial
(32
)
 
4,476

 
(53
)
 
2,363

 
(85
)
 
6,839

Total mortgage-backed securities
(574
)
 
42,081

 
(364
)
 
12,536

 
(938
)
 
54,617

Corporate debt securities
(244
)
 
4,941

 
(205
)
 
1,057

 
(449
)
 
5,998

Collateralized loan and other debt obligations
(276
)
 
22,214

 
(92
)
 
4,844

 
(368
)
 
27,058

Other
(33
)
 
2,768

 
(13
)
 
425

 
(46
)
 
3,193

Total debt securities
(1,301
)
 
100,252

 
(1,150
)
 
31,239

 
(2,451
)
 
131,491

Marketable equity securities:
 
 
 
 
 
 
 
 
 
 
 
Perpetual preferred securities
(1
)
 
24

 
(12
)
 
109

 
(13
)
 
133

Other marketable equity securities
(2
)
 
40

 

 

 
(2
)
 
40

Total marketable equity securities
(3
)
 
64

 
(12
)
 
109

 
(15
)
 
173

Total available-for-sale securities
(1,304
)
 
100,316

 
(1,162
)
 
31,348

 
(2,466
)
 
131,664

Held-to-maturity securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(73
)
 
5,264

 

 

 
(73
)
 
5,264

Federal agency mortgage-backed securities
(314
)
 
23,115

 

 

 
(314
)
 
23,115

Collateralized loan and other debt obligations
(20
)
 
1,148

 
(4
)
 
233

 
(24
)
 
1,381

Other
(3
)
 
1,096

 

 

 
(3
)
 
1,096

Total held-to-maturity securities
(410
)
 
30,623

 
(4
)
 
233

 
(414
)
 
30,856

Total
$
(1,714
)
 
130,939

 
(1,166
)
 
31,581

 
(2,880
)
 
162,520

December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(16
)
 
7,138

 
(122
)
 
5,719

 
(138
)
 
12,857

Securities of U.S. states and political subdivisions
(198
)
 
10,228

 
(301
)
 
3,725

 
(499
)
 
13,953

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
(16
)
 
1,706

 
(735
)
 
37,854

 
(751
)
 
39,560

Residential
(18
)
 
946

 
(6
)
 
144

 
(24
)
 
1,090

Commercial
(9
)
 
2,202

 
(48
)
 
1,532

 
(57
)
 
3,734

Total mortgage-backed securities
(43
)
 
4,854

 
(789
)
 
39,530

 
(832
)
 
44,384

Corporate debt securities
(102
)
 
1,674

 
(68
)
 
1,265

 
(170
)
 
2,939

Collateralized loan and other debt obligations
(99
)
 
12,755

 
(85
)
 
3,958

 
(184
)
 
16,713

Other
(23
)
 
708

 
(4
)
 
277

 
(27
)
 
985

Total debt securities
(481
)
 
37,357

 
(1,369
)
 
54,474

 
(1,850
)
 
91,831

Marketable equity securities:
 
 
 
 
 
 
 
 
 
 
 
Perpetual preferred securities
(2
)
 
92

 
(68
)
 
633

 
(70
)
 
725

Other marketable equity securities
(2
)
 
41

 

 

 
(2
)
 
41

Total marketable equity securities
(4
)
 
133

 
(68
)
 
633

 
(72
)
 
766

Total available-for-sale securities
(485
)
 
37,490

 
(1,437
)
 
55,107

 
(1,922
)
 
92,597

Held-to-maturity securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(8
)
 
1,889

 

 

 
(8
)
 
1,889

Collateralized loan and other debt obligations
(13
)
 
1,391

 

 

 
(13
)
 
1,391

Total held-to-maturity securities
(21
)
 
3,280

 

 

 
(21
)
 
3,280

Total
$
(506
)
 
40,770

 
(1,437
)
 
55,107

 
(1,943
)
 
95,877


We have assessed each security with gross unrealized losses included in the previous table for credit impairment. As part of that assessment we evaluated and concluded that we do not intend to sell any of the securities and that it is more likely than not that we will not be required to sell prior to recovery of the amortized cost basis. For debt securities, we evaluate, where necessary, whether credit impairment exists by comparing the present value of the expected cash flows to the securities’ amortized cost basis. For equity securities, we consider numerous factors in determining whether impairment exists, including our intent and ability to hold the securities for a period of time sufficient to recover the cost basis of the securities.
For descriptions of the factors we consider when analyzing securities for impairment, see Note 1 (Summary of Significant Accounting Policies) and below.

SECURITIES OF U.S. TREASURY AND FEDERAL AGENCIES AND FEDERAL AGENCY MORTGAGE-BACKED SECURITIES (MBS) The unrealized losses associated with U.S. Treasury and federal agency securities and federal agency MBS are primarily driven by changes in interest rates and not due to credit losses given the explicit or implicit guarantees provided by the U.S. government.

SECURITIES OF U.S. STATES AND POLITICAL SUBDIVISIONS The unrealized losses associated with securities of U.S. states and political subdivisions are primarily driven by changes in the relationship between municipal and term funding credit curves rather than by changes to the credit quality of the underlying securities. Substantially all of these investments are investment grade. The securities were generally underwritten in accordance with our own investment standards prior to the decision to purchase. Some of these securities are guaranteed by a bond insurer, but we did not rely on this guarantee when making our investment decision. These investments will continue to be monitored as part of our ongoing impairment analysis but are expected to perform, even if the rating agencies reduce the credit rating of the bond insurers. As a result, we expect to recover the entire amortized cost basis of these securities.

RESIDENTIAL AND COMMERCIAL MBS  The unrealized losses associated with private residential MBS and commercial MBS are primarily driven by changes in projected collateral losses, credit spreads and interest rates. We assess for credit impairment by estimating the present value of expected cash flows. The key assumptions for determining expected cash flows include default rates, loss severities and/or prepayment rates. We estimate security losses by forecasting the underlying mortgage loans in each transaction. We use forecasted loan performance to project cash flows to the various tranches in the structure. We also consider cash flow forecasts and, as applicable, independent industry analyst reports and forecasts, sector credit ratings, and other independent market data. Based upon our assessment of the expected credit losses and the credit enhancement level of the securities, we expect to recover the entire amortized cost basis of these securities.
CORPORATE DEBT SECURITIES  The unrealized losses associated with corporate debt securities are primarily related to unsecured debt obligations issued by various corporations. We evaluate the financial performance of each issuer on a quarterly basis to determine if the issuer can make all contractual principal and interest payments. Based upon this assessment, we expect to recover the entire amortized cost basis of these securities.

COLLATERALIZED LOAN AND OTHER DEBT OBLIGATIONS  The unrealized losses associated with collateralized loan and other debt obligations relate to securities primarily backed by commercial, residential or other consumer collateral. The unrealized losses are primarily driven by changes in projected collateral losses, credit spreads and interest rates. We assess for credit impairment by estimating the present value of expected cash flows. The key assumptions for determining expected cash flows include default rates, loss severities and prepayment rates. We also consider cash flow forecasts and, as applicable, independent industry analyst reports and forecasts, sector credit ratings, and other independent market data. Based upon our assessment of the expected credit losses and the credit enhancement level of the securities, we expect to recover the entire amortized cost basis of these securities.

OTHER DEBT SECURITIES  The unrealized losses associated with other debt securities predominantly relate to other asset-backed securities. The losses are primarily driven by changes in projected collateral losses, credit spreads and interest rates. We assess for credit impairment by estimating the present value of expected cash flows. The key assumptions for determining expected cash flows include default rates, loss severities and prepayment rates. Based upon our assessment of the expected credit losses and the credit enhancement level of the securities, we expect to recover the entire amortized cost basis of these securities.

MARKETABLE EQUITY SECURITIES  Our marketable equity securities include investments in perpetual preferred securities, which provide attractive tax-equivalent yields. We evaluate these hybrid financial instruments with investment-grade ratings for impairment using an evaluation methodology similar to the approach used for debt securities. Perpetual preferred securities are not considered to be other-than-temporarily impaired if there is no evidence of credit deterioration or investment rating downgrades of any issuers to below investment grade, and we expect to continue to receive full contractual payments. We will continue to evaluate the prospects for these securities for recovery in their market value in accordance with our policy for estimating OTTI. We have recorded impairment write-downs on perpetual preferred securities where there was evidence of credit deterioration.

OTHER INVESTMENT SECURITIES MATTERS  The fair values of our investment securities could decline in the future if the underlying performance of the collateral for the residential and commercial MBS or other securities deteriorate, and our credit enhancement levels do not provide sufficient protection to our contractual principal and interest. As a result, there is a risk that significant OTTI may occur in the future.
Table 5.3 shows the gross unrealized losses and fair value of debt and perpetual preferred investment securities by those rated investment grade and those rated less than investment grade according to their lowest credit rating by Standard & Poor’s Rating Services (S&P) or Moody’s Investors Service (Moody’s). Credit ratings express opinions about the credit quality of a security. Securities rated investment grade, that is those rated BBB- or higher by S&P or Baa3 or higher by Moody’s, are generally considered by the rating agencies and market participants to be low credit risk. Conversely, securities rated below investment grade, labeled as "speculative grade" by the rating agencies, are considered to be distinctively higher credit risk than investment grade securities. We have also included securities not rated by S&P or Moody’s in the table below based on our internal credit grade of the securities (used for credit risk management purposes) equivalent to the credit rating assigned by major credit agencies. The unrealized losses and fair value of unrated securities categorized as investment grade based on internal credit grades were $17 million and $3.7 billion, respectively, at December 31, 2015, and $25 million and $1.6 billion, respectively, at December 31, 2014. If an internal credit grade was not assigned, we categorized the security as non-investment grade.

Table 5.3: Gross Unrealized Losses and Fair Value by Investment Grade
 
Investment grade
 
 
Non-investment grade
 
(in millions)
Gross unrealized losses 

 
Fair value 

 
Gross unrealized losses 

 
Fair value 

December 31, 2015
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(148
)
 
24,795

 

 

Securities of U.S. states and political subdivisions
(464
)
 
15,470

 
(38
)
 
360

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
(828
)
 
46,217

 

 

Residential
(12
)
 
795

 
(13
)
 
766

Commercial
(59
)
 
6,361

 
(26
)
 
478

Total mortgage-backed securities
(899
)
 
53,373

 
(39
)
 
1,244

Corporate debt securities
(140
)
 
4,167

 
(309
)
 
1,831

Collateralized loan and other debt obligations
(368
)
 
27,058

 

 

Other
(43
)
 
2,915

 
(3
)
 
278

Total debt securities
(2,062
)
 
127,778

 
(389
)
 
3,713

Perpetual preferred securities
(13
)
 
133

 

 

Total available-for-sale securities
(2,075
)
 
127,911

 
(389
)
 
3,713

Held-to-maturity securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(73
)
 
5,264

 

 

Federal agency mortgage-backed securities
(314
)
 
23,115

 

 

Collateralized loan and other debt obligations
(24
)
 
1,381

 

 

Other
(3
)
 
1,096

 

 

Total held-to-maturity securities
(414
)
 
30,856

 

 

Total
$
(2,489
)
 
158,767

 
(389
)
 
3,713

December 31, 2014
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(138
)
 
12,857

 

 

Securities of U.S. states and political subdivisions
(459
)
 
13,600

 
(40
)
 
353

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
(751
)
 
39,560

 

 

Residential

 
139

 
(24
)
 
951

Commercial
(24
)
 
3,366

 
(33
)
 
368

Total mortgage-backed securities
(775
)
 
43,065

 
(57
)
 
1,319

Corporate debt securities
(39
)
 
1,807

 
(131
)
 
1,132

Collateralized loan and other debt obligations
(172
)
 
16,609

 
(12
)
 
104

Other
(23
)
 
782

 
(4
)
 
203

Total debt securities
(1,606
)
 
88,720

 
(244
)
 
3,111

Perpetual preferred securities
(70
)
 
725

 

 

Total available-for-sale securities
(1,676
)
 
89,445

 
(244
)
 
3,111

Held-to-maturity securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(8
)
 
1,889

 

 

Collateralized loan and other debt obligations
(13
)
 
1,391

 

 

Total held-to-maturity securities
(21
)
 
3,280

 

 

Total
$
(1,697
)
 
92,725

 
(244
)
 
3,111


Contractual Maturities
Table 5.4 shows the remaining contractual maturities and contractual weighted-average yields (taxable-equivalent basis) of available-for-sale debt securities. The remaining contractual principal maturities for MBS do not consider prepayments. Remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature.

Table 5.4: Contractual Maturities
 
 
 
Remaining contractual maturity 
 
 
Total 

 
 
 
Within one year 
 
 
After one year through five years 
 
 
After five years through ten years 
 
 
After ten years 
 
(in millions)
amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
36,250

 
1.49
%
 
$
216

 
0.77
%
 
$
31,602

 
1.44
%
 
$
4,432

 
1.86
%
 
$

 
%
Securities of U.S. states and political subdivisions
49,990

 
5.82

 
1,969

 
2.09

 
7,709

 
2.02

 
3,010

 
5.25

 
37,302

 
6.85

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
104,546

 
3.29

 
3

 
6.55

 
373

 
1.58

 
1,735

 
3.84

 
102,435

 
3.29

Residential
8,558

 
4.17

 

 

 
34

 
5.11

 
34

 
6.03

 
8,490

 
4.16

Commercial
14,088

 
5.06

 

 

 
61

 
2.79

 

 

 
14,027

 
5.07

Total mortgage-backed securities
127,192

 
3.54

 
3

 
6.55

 
468

 
1.99

 
1,769

 
3.88

 
124,952

 
3.55

Corporate debt securities
15,411

 
4.57

 
1,960

 
3.84

 
6,731

 
4.47

 
5,459

 
4.76

 
1,261

 
5.47

Collateralized loan and other debt obligations
30,967

 
2.08

 
2

 
0.33

 
804

 
0.90

 
12,707

 
2.01

 
17,454

 
2.19

Other
5,911

 
2.05

 
68

 
2.47

 
1,228

 
2.57

 
953

 
1.94

 
3,662

 
1.89

Total available-for-sale debt securities at fair value
$
265,721

 
3.55
%
 
$
4,218

 
2.84
%
 
$
48,542

 
1.98
%
 
$
28,330

 
2.98
%
 
$
184,631

 
4.07
%
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
25,804

 
1.49
%
 
$
181

 
1.47
%
 
$
22,348

 
1.44
%
 
$
3,275

 
1.83
%
 
$

 
%
Securities of U.S. states and political subdivisions
44,944

 
5.66

 
3,568

 
1.71

 
7,050

 
2.19

 
3,235

 
5.13

 
31,091

 
6.96

Mortgage-backed securities:

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
110,089

 
3.27

 

 

 
276

 
2.86

 
1,011

 
3.38

 
108,802

 
3.27

Residential
9,269

 
4.50

 

 

 
9

 
4.81

 
83

 
5.63

 
9,177

 
4.49

Commercial
16,994

 
5.16

 
1

 
0.28

 
62

 
2.71

 
5

 
1.30

 
16,926

 
5.17

Total mortgage-backed securities
136,352

 
3.59

 
1

 
0.28

 
347

 
2.88

 
1,099

 
3.54

 
134,905

 
3.59

Corporate debt securities
14,786

 
4.90

 
600

 
4.32

 
7,634

 
4.54

 
5,209

 
5.30

 
1,343

 
5.70

Collateralized loan and other debt obligations
25,361

 
1.83

 
23

 
1.95

 
944

 
0.71

 
8,472

 
1.67

 
15,922

 
1.99

Other
6,519

 
1.79

 
274

 
1.55

 
1,452

 
2.56

 
1,020

 
1.32

 
3,773

 
1.64

Total available-for-sale debt securities at fair value
$
253,766

 
3.60
%
 
$
4,647

 
2.03
%
 
$
39,775

 
2.20
%
 
$
22,310

 
3.12
%
 
$
187,034

 
3.99
%
(1)
Weighted-average yields displayed by maturity bucket are weighted based on fair value and predominantly represent contractual coupon rates without effect for any related hedging derivatives.
Table 5.5 shows the amortized cost and weighted-average yields of held-to-maturity debt securities by contractual maturity.

Table 5.5: Amortized Cost by Contractual Maturity
 
 
 
Remaining contractual maturity 
 
 
Total 

 
 
 
Within one year 
 
 
After one year through five years 
 
 
After five years through ten years 
 
 
After ten years 
 
(in millions)
amount

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Held-to-maturity securities (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
44,660

 
2.12
%
 
$

 
%
 
$
1,276

 
1.75
%
 
$
43,384

 
2.13
%
 
$

 
%
Securities of U.S. states and political subdivisions
2,185

 
5.97

 

 

 

 

 
104

 
7.49

 
2,081

 
5.89

Federal agency mortgage-backed securities
28,604

 
3.47

 

 

 

 

 

 

 
28,604

 
3.47

Collateralized loan and other debt obligations
1,405

 
2.03

 

 

 

 

 

 

 
1,405

 
2.03

Other
3,343

 
1.68

 

 

 
2,351

 
1.74

 
992

 
1.53

 

 

Total held-to-maturity debt securities at amortized cost
$
80,197

 
2.69
%
 
$

 
%
 
$
3,627

 
1.74
%
 
$
44,480

 
2.13
%
 
$
32,090

 
3.57
%
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Held-to-maturity securities (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
40,886

 
2.12
%
 
$

 
%
 
$

 
%
 
$
40,886

 
2.12
%
 
$

 
%
Securities of U.S. states and political subdivisions
1,962

 
5.60

 

 

 

 

 
9

 
6.60

 
1,953

 
5.59

Federal agency mortgage-backed securities
5,476

 
3.89

 

 

 

 

 

 

 
5,476

 
3.89

Collateralized loan and other debt obligations
1,404

 
1.96

 

 

 

 

 

 

 
1,404

 
1.96

Other
5,755

 
1.64

 
192

 
1.61

 
4,214

 
1.72

 
1,349

 
1.41

 

 

Total held-to-maturity debt securities at amortized cost
$
55,483

 
2.37
%
 
$
192

 
1.61
%
 
$
4,214

 
1.72
%
 
$
42,244

 
2.10
%
 
$
8,833

 
3.96
%
(1)
Weighted-average yields displayed by maturity bucket are weighted based on amortized cost and predominantly represent contractual coupon rates.

Table 5.6 shows the fair value of held-to-maturity debt securities by contractual maturity.

Table 5.6: Fair Value by Contractual Maturity
 
 
Remaining contractual maturity 
 
 
Total 

 
Within one year 

 
After one year through five years 

 
After five years through ten years 

 
After ten years 

(in millions)
amount

 
Amount

 
Amount

 
Amount

 
Amount

December 31, 2015
 
 
 
 
 
 
 
 
 
Held-to-maturity securities:
 
 
 
 
 
 
 
 
 
Fair value:
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
45,167

 

 
1,298

 
43,869

 

Securities of U.S. states and political subdivisions
2,250

 

 

 
105

 
2,145

Federal agency mortgage-backed securities
28,421

 

 

 

 
28,421

Collateralized loan and other debt obligations
1,381

 

 

 

 
1,381

Other
3,348

 

 
2,353

 
995

 

Total held-to-maturity debt securities at fair value
$
80,567

 

 
3,651

 
44,969

 
31,947

December 31, 2014
 
 
 
 

 

 

Held-to-maturity securities:
 
 
 
 

 

 

Fair Value:
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
41,548

 

 

 
41,548

 

Securities of U.S. states and political subdivisions
1,989

 

 

 
9

 
1,980

Federal agency mortgage-backed securities
5,641

 

 

 

 
5,641

Collateralized loan and other debt obligations
1,391

 

 

 

 
1,391

Other
5,790

 
193

 
4,239

 
1,358

 

Total held-to-maturity debt securities at fair value
$
56,359

 
193

 
4,239

 
42,915

 
9,012

Realized Gains and Losses
Table 5.7 shows the gross realized gains and losses on sales and OTTI write-downs related to the available-for-sale securities portfolio, which includes marketable equity securities, as well as net realized gains and losses on nonmarketable equity investments (see Note 7 (Premises, Equipment, Lease Commitments and Other Assets)).

Table 5.7: Realized Gains and Losses
 
Year ended December 31,
 
(in millions)
2015

 
2014

 
2013

Gross realized gains
$
1,775

 
1,560

 
492

Gross realized losses
(67
)
 
(14
)
 
(24
)
OTTI write-downs
(185
)
 
(52
)
 
(183
)
Net realized gains from available-for-sale securities
1,523

 
1,494

 
285

Net realized gains from nonmarketable equity investments
1,659

 
1,479

 
1,158

Net realized gains from debt securities and equity investments
$
3,182

 
2,973

 
1,443



Other-Than-Temporary Impairment
Table 5.8 shows the detail of total OTTI write-downs included in earnings for available-for-sale debt securities, marketable equity securities and nonmarketable equity investments. There were no OTTI write-downs on held-to-maturity securities during the years ended December 31, 2015, 2014 or 2013.

Table 5.8: OTTI Write-downs
 
Year ended December 31,
 
(in millions)
2015

 
2014

 
2013

OTTI write-downs included in earnings
 
 
 
 
 
Debt securities:
 
 
 
 
 
Securities of U.S. states and political subdivisions
$
18

 
11

 
2

Mortgage-backed securities:
 
 
 
 
 
Federal agencies

 

 
1

Residential
54

 
26

 
72

Commercial
4

 
9

 
53

Corporate debt securities (1)
105

 
1

 
4

Collateralized loan and other debt obligations

 
2

 

Other debt securities
2

 

 
26

Total debt securities
183

 
49

 
158

Equity securities:
 
 
 
 
 
Marketable equity securities:
 
 
 
 
 
Other marketable equity securities
2

 
3

 
25

Total marketable equity securities
2

 
3

 
25

Total investment securities
185

 
52

 
183

Nonmarketable equity investments (1)
374

 
270

 
161

Total OTTI write-downs included in earnings (1)
$
559

 
322

 
344


(1)
December 31, 2015, includes $287 million in OTTI write-downs of energy investments, of which $104 million related to corporate debt securities and $183 million related to nonmarketable equity investments.

Other-Than-Temporarily Impaired Debt Securities
Table 5.9 shows the detail of OTTI write-downs on available-for-sale debt securities included in earnings and the related changes in OCI for the same securities.

Table 5.9: OTTI Write-downs Included in Earnings
 
Year ended December 31,
 
(in millions)
2015

 
2014

 
2013

OTTI on debt securities
 
 
 
 
 
Recorded as part of gross realized losses:
 
 
 
 
 
Credit-related OTTI
$
169

 
40

 
107

Intent-to-sell OTTI
14

 
9

 
51

Total recorded as part of gross realized losses
183

 
49

 
158

Changes to OCI for losses (reversal of losses) in non-credit-related OTTI (1):
 
 
 
 
 
Securities of U.S. states and political subdivisions
(1
)
 

 
(2
)
Residential mortgage-backed securities
(42
)
 
(10
)
 
(27
)
Commercial mortgage-backed securities
(16
)
 
(21
)
 
(90
)
Corporate debt securities
12

 

 

Collateralized loan and other debt obligations

 

 
(1
)
Other debt securities

 

 
1

Total changes to OCI for non-credit-related OTTI
(47
)
 
(31
)
 
(119
)
Total OTTI losses recorded on debt securities
$
136

 
18

 
39

(1)
Represents amounts recorded to OCI for impairment, due to factors other than credit, on debt securities that have also had credit-related OTTI write-downs during the period. Increases represent initial or subsequent non-credit-related OTTI on debt securities. Decreases represent partial to full reversal of impairment due to recoveries in the fair value of securities due to non-credit factors.

Table 5.10 presents a rollforward of the OTTI credit loss that has been recognized in earnings as a write-down of available-for-sale debt securities we still own (referred to as "credit-impaired" debt securities) and do not intend to sell. Recognized credit loss represents the difference between the present value of expected future cash flows discounted using the security’s current effective interest rate and the amortized cost basis of the security prior to considering credit loss.

Table 5.10: Rollforward of OTTI Credit Loss
 
Year ended December 31,
 
(in millions)
2015

 
2014

 
2013

Credit loss recognized, beginning of year
$
1,025

 
1,171

 
1,289

Additions:
 
 
 
 
 
For securities with initial credit impairments
102

 
5

 
21

For securities with previous credit impairments
67

 
35

 
86

Total additions
169

 
40

 
107

Reductions:
 
 
 
 
 
For securities sold, matured, or intended/required to be sold
(93
)
 
(169
)
 
(194
)
For recoveries of previous credit impairments (1)
(9
)
 
(17
)
 
(31
)
Total reductions
(102
)
 
(186
)
 
(225
)
Credit loss recognized, end of year
$
1,092

 
1,025

 
1,171

(1)
Recoveries of previous credit impairments result from increases in expected cash flows subsequent to credit loss recognition. Such recoveries are reflected prospectively as interest yield adjustments using the effective interest method.