Securities

Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following:



September 30, 2016	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	21,482	$	385	$	(220	)	$	21,647
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	3,318		40		(1		)	3,357
Collateralized mortgage obligations	2,244		8		(7		)	2,245
Direct agency obligations	4,335		159		(20		)	4,474
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	6,385		57		(4		)	6,438
Collateralized mortgage obligations	1,443		20		(2		)	1,461
Asset-backed securities collateralized by:
Commercial mortgages	4		—		—			4
Home equity	74		—		(9		)	65
Other	517		—		(23		)	494
Foreign debt securities⁽²⁾	458		—		(1		)	457
Equity securities	159		—		(1		)	158
Total available-for-sale securities	$	40,419	$	669	$	(288	)	$	40,800
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	2,607	$	77	$	—		$	2,684
Collateralized mortgage obligations	1,625		84		—			1,709
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	2,753		69		—			2,822
Collateralized mortgage obligations	6,424		102		(3		)	6,523
Obligations of U.S. states and political subdivisions	16		1		—			17
Asset-backed securities collateralized by residential mortgages	6		1		—			7
Total held-to-maturity securities	$	13,431	$	334	$	(3	)	$	13,762



December 31, 2015	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	17,026	$	142	$	(270	)	$	16,898
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	1,451		2		(12		)	1,441
Collateralized mortgage obligations	159		—		(5		)	154
Direct agency obligations	4,136		133		(26		)	4,243
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	10,645		9		(145		)	10,509
Collateralized mortgage obligations	1,293		11		(4		)	1,300
Obligations of U.S. states and political subdivisions	340		8		—			348
Asset-backed securities collateralized by:
Commercial mortgages	9		—		—			9
Home equity	83		—		(8		)	75
Other	110		—		(21		)	89
Foreign debt securities⁽²⁾	548		—		(2		)	546
Equity securities	161		3		(3		)	161
Total available-for-sale securities	$	35,961	$	308	$	(496	)	$	35,773
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	2,945	$	20	$	(9	)	$	2,956
Collateralized mortgage obligations	1,755		73		(5		)	1,823
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	3,269		19		(11		)	3,277
Collateralized mortgage obligations	6,029		63		(11		)	6,081
Obligations of U.S. states and political subdivisions	19		1		—			20
Asset-backed securities collateralized by residential mortgages	7		1		—			8
Total held-to-maturity securities	$	14,024	$	177	$	(36	)	$	14,165


⁽¹⁾	Includes securities at amortized cost of $3,076 million and $1,577 million issued or guaranteed by FNMA at September 30, 2016 and December 31, 2015, respectively, and $2,486 million and $33 million issued or guaranteed by FHLMC at September 30, 2016 and December 31, 2015, respectively.


⁽²⁾	Foreign debt securities represent public sector entity, bank or corporate debt.


⁽³⁾	Includes securities at amortized cost of $2,913 million and $3,182 million issued or guaranteed by FNMA at September 30, 2016 and December 31, 2015, respectively, and $1,319 million and $1,518 million issued and guaranteed by FHLMC at September 30, 2016 and December 31, 2015, respectively.

Net unrealized gains increased within the available-for-sale portfolio in the nine months ended September 30, 2016 due primarily to decreasing yields on U.S. Treasury and U.S. Government agency mortgage-backed securities.

The following table summarizes gross unrealized losses and related fair values at September 30, 2016 and December 31, 2015 classified as to the length of time the losses have existed:



	One Year or Less						Greater Than One Year
September 30, 2016	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	15	$	(28	)	$	3,110	28	$	(192	)	$	3,573
U.S. Government sponsored enterprises	13	(4		)	1,683		22	(24		)	818
U.S. Government agency issued or guaranteed	4	—			316		5	(6		)	91
Asset-backed securities	1	—			4		8	(32		)	159
Foreign debt securities	1	—			27		1	(1		)	182
Equity securities	1	(1		)	158		—	—			—
Securities available-for-sale	35	$	(33	)	$	5,298	64	$	(255	)	$	4,823
Securities held-to-maturity:
U.S. Government sponsored enterprises	14	$	—		$	20	46	$	—		$	21
U.S. Government agency issued or guaranteed	114	(2		)	1,251		512	(1		)	71
Obligations of U.S. states and political subdivisions	—	—			—		3	—			—
Securities held-to-maturity	128	$	(2	)	$	1,271	561	$	(1	)	$	92



	One Year or Less						Greater Than One Year
December 31, 2015	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	52	$	(227	)	$	11,046	5	$	(43	)	$	924
U.S. Government sponsored enterprises	164	(30		)	1,451		19	(13		)	282
U.S. Government agency issued or guaranteed	62	(141		)	9,725		3	(8		)	101
Obligations of U.S. states and political subdivisions	4	—			16		3	—			45
Asset-backed securities	1	—			9		8	(29		)	164
Foreign debt securities	3	(2		)	351		—	—			—
Equity securities	1	(3		)	156		—	—			—
Securities available-for-sale	287	$	(403	)	$	22,754	38	$	(93	)	$	1,516
Securities held-to-maturity:
U.S. Government sponsored enterprises	312	$	(14	)	$	1,143	49	$	—		$	—
U.S. Government agency issued or guaranteed	145	(22		)	3,303		657	—			20
Obligations of U.S. states and political subdivisions	1	—			—		3	—			1
Securities held-to-maturity	458	$	(36	)	$	4,446	709	$	—		$	21

Although the fair value of a particular security is below its amortized cost, it does not necessarily result in a credit loss and hence an other-than-temporary impairment. The decline in fair value may be caused by, among other things, the illiquidity of the market. We have reviewed the securities for which there is an unrealized loss for other-than-temporary impairment in accordance with our accounting policies, discussed further below. At September 30, 2016 and December 31, 2015, we do not consider any of our debt securities to be other-than-temporarily impaired as we expect to recover their amortized cost basis and we neither intend nor expect to be required to sell these securities prior to recovery, even if that equates to holding securities until their individual maturities. However, other-than-temporary impairments may occur in future periods if the credit quality of the securities deteriorates.

Other-Than-Temporary Impairment On a quarterly basis, we perform an assessment to determine whether there have been any events or economic circumstances to indicate that a security with an unrealized loss has suffered other-than-temporary impairment. A debt security is considered impaired if its fair value is less than its amortized cost at the reporting date. If impaired, we assess whether the impairment is other-than-temporary.

If we intend to sell the debt security or if it is more-likely-than-not that we will be required to sell the debt security before the recovery of its amortized cost basis, the impairment is considered other-than-temporary and the unrealized loss is recorded in earnings. An impairment is also considered other-than-temporary if a credit loss exists (i.e., the present value of the expected future cash flows is less than the amortized cost basis of the debt security). In the event a credit loss exists, the credit loss component of an other-than-temporary impairment is recorded in earnings while the remaining portion of the impairment loss attributable to factors other than credit loss is recognized, net of tax, in other comprehensive income (loss).

For all securities held in the available-for-sale or held-to-maturity portfolios for which unrealized losses attributed to factors other than credit existed, we do not have the intention to sell and believe we will not be required to sell the securities for contractual, regulatory or liquidity reasons as of the reporting date. For a complete description of the factors considered when analyzing debt securities for impairments, see Note 4, "Securities," in our 2015 Form 10-K. There have been no material changes in our process for assessing impairment during 2016.

During the three and nine months ended September 30, 2016 and 2015, none of our debt securities were determined to have either initial other-than-temporary impairment or changes to previous other-than-temporary impairment estimates relating to the credit component, as such, there were no other-than-temporary impairment losses recognized related to credit loss.

Certain asset-backed securities in the available-for-sale portfolio have an embedded financial guarantee provided by monoline insurers. Because the financial guarantee is not a separate and distinct contract from the asset-backed security, they are considered a single unit of account for fair value measurement and impairment assessment purposes. In evaluating the degree of reliance to be placed on the financial guarantee of a monoline insurer when estimating the cash flows to be collected for the purpose of recognizing and measuring impairment loss, consideration is given to our assessment of the creditworthiness of the monoline and other market factors. Based on the information available, including any actions undertaken by the regulatory agencies over the monoline insurers and their published financial results, we perform both a credit as well as a liquidity analysis on the monoline insurers each quarter. Our analysis also includes a review of market-based credit default spreads, when available, to assess the appropriateness of our assessment of the monoline insurer’s creditworthiness. A credit downgrade to non-investment grade is key but not the only factor in determining the monoline insurer’s ability to fulfill its contractual obligation under the financial guarantee. Although a monoline may have been downgraded by the credit rating agencies or ordered to commute its operations by the insurance commissioners, it may retain the ability and the obligation to continue to pay claims in the near term.

At September 30, 2016, we held 12 individual asset-backed securities in the available-for-sale portfolio, of which 5 were also wrapped by a monoline insurance company. The asset-backed securities backed by a monoline wrap comprised $159 million of the total aggregate fair value of asset-backed securities of $563 million at September 30, 2016. The gross unrealized losses on these monoline wrapped securities were $32 million at September 30, 2016. We did not take into consideration the value of the monoline wrap of any non-investment grade monoline insurers at September 30, 2016 and, therefore, we only considered the financial guarantee of investment grade monoline insurers for purposes of evaluating other-than-temporary impairment on securities with a fair value of $65 million.

At December 31, 2015, we held 12 individual asset-backed securities in the available-for-sale portfolio, of which 5 were also wrapped by a monoline insurance company. The asset-backed securities backed by a monoline wrap comprised $164 million of the total aggregate fair value of asset-backed securities of $173 million at December 31, 2015. The gross unrealized losses on these monoline wrapped securities were $29 million at December 31, 2015. We did not take into consideration the value of the monoline wrap of any non-investment grade monoline insurers at December 31, 2015 and, therefore, we only considered the financial guarantee of investment grade monoline insurers for purposes of evaluating other-than-temporary impairment on securities with a fair value of $75 million.

Other securities gains (losses), net The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
	(in millions)
Gross realized gains	$	25		$	13		$	112		$	86
Gross realized losses	(9		)	(2		)	(31		)	(17		)
Net realized gains	$	16		$	11		$	81		$	69

Contractual Maturities and Yields The following table summarizes the amortized cost and fair values of securities available-for-sale and securities held-to-maturity at September 30, 2016 by contractual maturity. Expected maturities differ from contractual maturities because borrowers have the right to prepay obligations without prepayment penalties in certain cases. Securities available-for-sale amounts exclude equity securities as they do not have stated maturities. The table below also reflects the distribution of maturities of debt securities held at September 30, 2016, together with the approximate taxable equivalent yield of the portfolio. The yields shown are calculated by dividing annualized interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at September 30, 2016. 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	$	—	—	%	$	5,733	1.20	%	$	10,427	2.12	%	$	5,322	2.56	%
U.S. Government sponsored enterprises	198		3.26		3,281		2.83		1,331		2.35		5,087		2.13
U.S. Government agency issued or guaranteed	—		—		3		4.21		27		3.81		7,798		2.37
Asset-backed securities	400		1.67		—		—		—		—		195		3.24
Foreign debt securities	197		1.21		261		.87		—		—		—		—
Total amortized cost	$	795	1.95	%	$	9,278	1.77	%	$	11,785	2.15	%	$	18,402	2.37	%
Total fair value	$	799			$	9,488			$	12,025			$	18,330
Held-to-maturity:
U.S. Government sponsored enterprises	$	—	—	%	$	213	2.05	%	$	484	2.70	%	$	3,535	2.88	%
U.S. Government agency issued or guaranteed	—		—		8		1.56		36		3.24		9,133		2.32
Obligations of U.S. states and political subdivisions	3		3.71		4		3.51		5		3.73		4		5.61
Asset-backed securities	—		—		—		—		—		—		6		6.41
Total amortized cost	$	3	3.71	%	$	225	2.06	%	$	525	2.75	%	$	12,678	2.48	%
Total fair value	$	3			$	229			$	550			$	12,980

Investments in Federal Home Loan Bank stock and Federal Reserve Bank stock of $383 million and $632 million, respectively, were included in other assets at September 30, 2016. Investments in Federal Home Loan Bank stock and Federal Reserve Bank stock of $323 million and $632 million, respectively, were included in other assets at December 31, 2015.