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Securities (Tables)
3 Months Ended
Mar. 31, 2014
Investments, Debt and Equity Securities [Abstract]  
Amortized Cost and Fair Value of the Securities Available-for-Sale and Held-to-Maturity
Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following.
March 31, 2014
Amortized
Cost
 
Non-Credit Loss Component of OTTI Securities
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
 
(in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
 
 
U.S. Treasury
$
27,599

 
$

 
$
388

 
$
(73
)
 
$
27,914

U.S. Government sponsored enterprises:(1)
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
164

 

 

 
(8
)
 
156

Collateralized mortgage obligations
40

 

 

 
(1
)
 
39

Direct agency obligations
4,107

 

 
247

 
(12
)
 
4,342

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
10,280

 

 
36

 
(239
)
 
10,077

Collateralized mortgage obligations
5,210

 

 
14

 
(121
)
 
5,103

Obligations of U.S. states and political subdivisions
741

 

 
13

 
(17
)
 
737

Asset backed securities collateralized by:
 
 
 
 
 
 
 
 
 
Residential mortgages
1

 

 

 

 
1

Commercial mortgages
95

 

 
1

 

 
96

Home equity
253

 

 

 
(33
)
 
220

Other
103

 

 

 
(9
)
 
94

Foreign debt securities(2)
4,649

 

 
9

 
(12
)
 
4,646

Equity securities
165

 

 
2

 
(4
)
 
163

Total available-for-sale securities
$
53,407

 
$

 
$
710

 
$
(529
)
 
$
53,588

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises:(3)
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
$
805

 
$

 
$
84

 
$

 
$
889

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
50

 

 
9

 

 
59

Collateralized mortgage obligations
204

 

 
23

 

 
227

Obligations of U.S. states and political subdivisions
28

 

 
1

 

 
29

Asset-backed securities collateralized by residential mortgages
18

 

 
1

 

 
19

Asset-backed securities and other debt securities held by a consolidated VIE(4)
281

 
(101
)
 
30

 

 
210

Total held-to-maturity securities
$
1,386

 
$
(101
)
 
$
148

 
$

 
$
1,433

December 31, 2013
Amortized
Cost
 
Non-Credit Loss Component of OTTI Securities
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
 
(in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
 
 
U.S. Treasury
$
27,716

 
$

 
$
391

 
$
(113
)
 
$
27,994

U.S. Government sponsored enterprises:(1)
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
159

 

 

 
(14
)
 
145

Collateralized mortgage obligations
41

 

 

 
(1
)
 
40

Direct agency obligations
4,115

 

 
225

 
(16
)
 
4,324

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
10,304

 

 
40

 
(342
)
 
10,002

Collateralized mortgage obligations
6,584

 

 
17

 
(154
)
 
6,447

Obligations of U.S. states and political subdivisions
755

 

 
12

 
(25
)
 
742

Asset backed securities collateralized by:
 
 
 
 
 
 
 
 
 
Residential mortgages
1

 

 

 

 
1

Commercial mortgages
125

 

 
1

 

 
126

Home equity
263

 

 

 
(36
)
 
227

Other
100

 

 

 
(6
)
 
94

Foreign debt securities(2)
4,607

 

 
10

 
(15
)
 
4,602

Equity securities
165

 

 
2

 
(5
)
 
162

Total available-for-sale securities
$
54,935

 
$

 
$
698

 
$
(727
)
 
$
54,906

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises:(3)
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
$
845

 
$

 
$
88

 
$

 
$
933

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
52

 

 
8

 

 
60

Collateralized mortgage obligations
214

 

 
24

 

 
238

Obligations of U.S. states and political subdivisions
29

 

 
1

 

 
30

Asset-backed securities collateralized by residential mortgages
18

 

 
1

 

 
19

Asset-backed securities and other debt securities held by a consolidated VIE(4)
304

 
(104
)
 
19

 

 
219

Total held-to-maturity securities
$
1,462

 
$
(104
)
 
$
141

 
$

 
$
1,499

 
(1) 
Includes securities at amortized cost of $171 million and $167 million issued or guaranteed by FNMA at March 31, 2014 and December 31, 2013, respectively, and $33 million and $33 million issued or guaranteed by FHLMC at March 31, 2014 and December 31, 2013, respectively.
(2) 
At March 31, 2014 and December 31, 2013, foreign debt securities consisted of $1,232 million and $1,101 million, respectively, of securities fully backed by foreign governments. The remainder of foreign debt securities represents public sector entity, bank or corporate debt.
(3) 
Includes securities at amortized cost of $378 million and $398 million issued or guaranteed by FNMA at March 31, 2014 and December 31, 2013, respectively, and $427 million and $447 million issued and guaranteed by FHLMC at March 31, 2014 and December 31, 2013, respectively.
(4) 
Relates to securities held by Bryant Park Funding LLC ("Bryant Park"), a variable interest entity which was consolidated in the second quarter of 2013. See Note 16, "Variable Interest Entities" for additional information.
Gross Unrealized Losses and Related Fair Values
The following table summarizes gross unrealized losses and related fair values as of March 31, 2014 and December 31, 2013 classified as to the length of time the losses have existed:
 
One Year or Less
 
Greater Than One Year
March 31, 2014
Number
of
Securities
 
Gross
Unrealized
Losses
 
Aggregate
Fair Value
of Investment
 
Number
of
Securities
 
Gross
Unrealized
Losses
 
Aggregate
Fair Value
of Investment
 
(dollars are in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury
18

 
$
(52
)
 
$
9,246

 
5

 
$
(21
)
 
$
507

U.S. Government sponsored enterprises
19

 
(4
)
 
234

 
24

 
(17
)
 
462

U.S. Government agency issued or guaranteed
138

 
(354
)
 
7,557

 
12

 
(6
)
 
137

Obligations of U.S. states and political subdivisions
40

 
(11
)
 
324

 
9

 
(6
)
 
106

Asset backed securities
4

 
(9
)
 
115

 
10

 
(33
)
 
230

Foreign debt securities
2

 

 
245

 
7

 
(12
)
 
2,863

Equity securities
1

 
(4
)
 
155

 

 

 

Securities available-for-sale
222

 
$
(434
)
 
$
17,876

 
67

 
$
(95
)
 
$
4,305

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
15

 
$

 
$

 
49

 
$

 
$

U.S. Government agency issued or guaranteed
74

 

 

 
843

 

 
2

Obligations of U.S. states and political subdivisions
1

 

 
1

 
4

 

 
2

Securities held-to-maturity
90

 
$

 
$
1

 
896

 
$


$
4

 
One Year or Less
 
Greater Than One Year
December 31, 2013
Number
of
Securities
 
Gross
Unrealized
Losses
 
Aggregate
Fair Value
of Investment
 
Number
of
Securities
 
Gross
Unrealized
Losses
 
Aggregate
Fair Value
of Investment
 
(dollars are in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury
22

 
$
(82
)
 
$
16,958

 
6

 
$
(31
)
 
$
630

U.S. Government sponsored enterprises
23

 
(12
)
 
400

 
20

 
(19
)
 
356

U.S. Government agency issued or guaranteed
170

 
(494
)
 
10,243

 
5

 
(2
)
 
23

Obligations of U.S. states and political subdivisions
42

 
(19
)
 
330

 
5

 
(6
)
 
65

Asset backed securities
3

 
(6
)
 
115

 
10

 
(36
)
 
237

Foreign debt securities
1

 

 
50

 
7

 
(15
)
 
2,916

     Equity securities
1

 
(5
)
 
154

 

 

 

Securities available-for-sale
262

 
$
(618
)
 
$
28,250

 
53

 
$
(109
)

$
4,227

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
13

 
$

 
$

 
48

 
$

 
$

U.S. Government agency issued or guaranteed
79

 

 

 
859

 

 
2

Obligations of U.S. states and political subdivisions
7

 

 
4

 
2

 

 
1

Securities held-to-maturity
99

 
$

 
$
4

 
909

 
$

 
$
3

Other than Temporary Impairment, Credit Losses Recognized in Earnings
The following table summarizes the rollforward of credit losses on debt securities that were other-than-temporarily impaired which have previously been recognized in income that we do not intend to sell nor will likely be required to sell:
Three Months Ended March 31,
2014
 
2013
 
(in millions)
Credit losses at the beginning of the period
$
61

 
$

Increase in credit losses for which an other-than-temporary impairment was previously recognized
2

 

Ending balance of credit losses on held-to-maturity debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (loss)
$
63

 
$

Realized Gains and Losses on Investment Securities Transactions Attributable to Available-for-Sale Securities
The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities:
Three Months Ended March 31,
2014
 
2013
 
(in millions)
Gross realized gains
$
43

 
$
124

Gross realized losses
(21
)
 
(1
)
Net realized gains
$
22

 
$
123

Distribution of Maturities of Debt Securities with the Approximate Yield of the Portfolio
The table below also reflects the distribution of maturities of debt securities held at March 31, 2014, together with the approximate taxable equivalent yield of the portfolio. The yields shown are calculated by dividing annual interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at March 31, 2014. Yields on tax-exempt obligations have been computed on a taxable equivalent basis using applicable statutory tax rates.
 
Within
One Year
 
After One
But Within
Five Years
 
After Five
But Within
Ten Years
 
After Ten
Years
Taxable Equivalent Basis
Amount
 
Yield
 
Amount
 
Yield
 
Amount
 
Yield
 
Amount
 
Yield
 
(dollars are in millions)
Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury
$
1,224

 
.34
%
 
$
21,867

 
.71
%
 
$
2,723

 
2.82
%
 
$
1,785

 
3.98
%
U.S. Government sponsored enterprises

 

 
980

 
2.42

 
2,597

 
3.37

 
734

 
3.88

U.S. Government agency issued or guaranteed

 

 
13

 
4.23

 
85

 
2.40

 
15,392

 
2.83

Obligations of U.S. states and political subdivisions

 

 
101

 
3.98

 
305

 
3.31

 
335

 
3.46

Asset backed securities

 

 
1

 
1.86

 
10

 
.37

 
441

 
2.49

Foreign debt securities
636

 
3.01

 
4,013

 
1.94

 

 

 

 

Total amortized cost
$
1,860

 
1.26
%
 
$
26,975

 
.97
%
 
$
5,720

 
3.09
%
 
$
18,687

 
2.99
%
Total fair value
$
1,863

 
 
 
$
27,009

 
 
 
$
6,023

 
 
 
$
18,530

 
 
Held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
$
1

 
7.79
%
 
$

 
%
 
$
2

 
8.03
%
 
$
802

 
6.14
%
U.S. Government agency issued or guaranteed

 

 
1

 
7.62

 
2

 
7.73

 
251

 
6.50

Obligations of U.S. states and political subdivisions
5

 
5.30

 
10

 
4.56

 
6

 
3.95

 
7

 
5.05

Asset backed securities

 

 

 

 

 

 
18

 
6.20

Asset backed securities issued by consolidated VIE

 

 

 

 
63

 
.33

 
117

 
.33

Total amortized cost
$
6

 
5.63
%
 
$
11

 
4.92
%
 
$
73

 
1.02
%
 
$
1,195

 
5.64
%
Total fair value
$
5

 
 
 
$
12

 
 
 
$
76

 
 
 
$
1,340