Securities (Tables)

12 Months Ended

Dec. 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:



December 31, 2014	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	11,793	$	276	$	(58	)	$	12,011
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	520		5		(1		)	524
Collateralized mortgage obligations	35		—		—			35
Direct agency obligations	3,995		217		(6		)	4,206
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	7,985		101		(27		)	8,059
Collateralized mortgage obligations	329		3		(2		)	330
Obligations of U.S. states and political subdivisions	661		10		(4		)	667
Asset backed securities collateralized by:
Commercial mortgages	43		—		—			43
Home equity	97		—		(8		)	89
Other	110		—		(16		)	94
Foreign debt securities⁽²⁾	3,921		6		(12		)	3,915
Equity securities	165		3		(1		)	167
Total available-for-sale securities	$	29,654	$	621	$	(135	)	$	30,140
Securities held-to-maturity:⁽⁵⁾
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	4,868	$	120	$	(1	)	$	4,987
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	3,700		53		(1		)	3,752
Collateralized mortgage obligations	4,867		54		(1		)	4,920
Obligations of U.S. states and political subdivisions	23		1		—			24
Asset-backed securities collateralized by residential mortgages	11		1		—			12
Total held-to-maturity securities	$	13,469	$	229	$	(3	)	$	13,695



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 $521 million and $167 million issued or guaranteed by FNMA at December 31, 2014 and 2013, respectively, and $34 million and $33 million issued or guaranteed by FHLMC at December 31, 2014 and 2013, respectively.


⁽²⁾	At December 31, 2014 and 2013, foreign debt securities consisted of $689 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 $3,185 million and $398 million issued or guaranteed by FNMA at December 31, 2014 and 2013, respectively, and $1,683 million and $447 million issued and guaranteed by FHLMC at December 31, 2014 and 2013, respectively.


⁽⁴⁾	Relates to securities held by Bryant Park Funding LLC ("Bryant Park"), a variable interest entity which was consolidated in 2013. During the fourth quarter of 2014, the securities underlying Bryant Park were sold and the related agreements were terminated. See Note 25, "Variable Interest Entities" for additional information.

⁽⁵⁾

During the third quarter of 2014, we transferred U.S. government sponsored and U.S. government agency mortgage-backed securities with a fair value of $10,985 million from available-for-sale to held-to-maturity. These securities were transferred to held-to-maturity at fair value as of the transfer date with the fair value amount becoming the amortized cost basis for the transferred securities. The difference between the par value of the securities and their fair value at the date of transfer will be amortized as an adjustment to yield over the remaining contractual life of each security. At the date of the transfer, AOCI included net pretax unrealized losses of $234 million related to the transferred securities which will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount. The transfers reflect our intent to hold the securities to maturity and will reduce the impact of price volatility on AOCI and regulatory capital under Basel III.

Gross Unrealized Losses and Related Fair Values

The following table summarizes gross unrealized losses and related fair values as of December 31, 2014 and 2013 classified as to the length of time the losses have existed:



	One Year or Less						Greater Than One Year
December 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	6	$	(47	)	$	3,459	4	$	(11	)	$	1,546
U.S. Government sponsored enterprises	2	(1		)	128		24	(6		)	391
U.S. Government agency issued or guaranteed	30	(20		)	2,046		10	(9		)	213
Obligations of U.S. states and political subdivisions	34	(2		)	146		23	(2		)	194
Asset backed securities	1	—			3		9	(24		)	199
Foreign debt securities	5	(9		)	1,805		3	(3		)	898
Equity securities	1	(1		)	158		—	—			—
Securities available-for-sale	79	$	(80	)	$	7,745	73	$	(55	)	$	3,441
Securities held-to-maturity:
U.S. Government sponsored enterprises	144	$	(1	)	$	394	47	$	—		$	—
U.S. Government agency issued or guaranteed	103	(2		)	985		800	—			2
Obligations of U.S. states and political subdivisions	—	—			—		3	—			1
Securities held-to-maturity	247	$	(3	)	$	1,379	850	$	—		$	3



	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 which have been recognized in income on other-than-temporary impaired securities that we do not intend to sell nor will likely be required to sell:



Year Ended December 31,	2014			2013
	(in millions)
Beginning 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)	$	61		$	—
Credit losses previously recognized on held-to-maturity debt securities of a VIE consolidated during 2013	—			61
Increase in credit losses for which an other-than-temporary impairment was previously recognized	11			—
Reduction of credit losses previously recognized on held-to-maturity debt securities due to closure of a VIE	(72		)	—
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)	$	—		$	61

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:



Year Ended December 31,	2014			2013			2012
	(in millions)
Gross realized gains	$	201		$	314		$	260
Gross realized losses	(79		)	(120		)	(115		)
Net realized gains	$	122		$	194		$	145

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 December 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 December 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	$	1,155	.87	%	$	7,387	.84	%	$	1,457	3.20	%	$	1,794	3.41	%
U.S. Government sponsored enterprises	—		—		1,944		3.16		1,417		3.24		1,189		3.19
U.S. Government agency issued or guaranteed	—		—		10		4.22		44		3.89		8,260		2.81
Obligations of U.S. states and political subdivisions	—		—		113		4.13		298		2.99		250		3.69
Asset backed securities	—		—		—		—		—		—		250		3.33
Foreign debt securities	108		2.92		3,813		1.60		—		—		—		—
Total amortized cost	$	1,263	1.05	%	$	13,267	1.43	%	$	3,216	3.21	%	$	11,743	2.97	%
Total fair value	$	1,270			$	13,341			$	3,428			$	11,934
Held-to-maturity:
U.S. Government sponsored enterprises	$	—	—	%	$	92	1.38	%	$	406	2.85	%	$	4,370	3.10	%
U.S. Government agency issued or guaranteed	—		—		2		7.64		49		2.64		8,516		2.42
Obligations of U.S. states and political subdivisions	3		5.00		10		3.95		6		3.83		4		5.35
Asset backed securities	—		—		—		—		—		—		11		6.39
Total amortized cost	$	3	5.02	%	$	104	1.66	%	$	461	2.84	%	$	12,901	2.66	%
Total fair value	$	3			$	103			$	472			$	13,117

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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