XML 22 R10.htm IDEA: XBRL DOCUMENT v3.7.0.1
Securities
 6 Months Ended
Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]  
Securities
Securities
 
 
Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following:
June 30, 2017
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
 
(in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
U.S. Treasury
$
16,871

 
$
156

 
$
(334
)
 
$
16,693

U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
4,023

 
5

 
(83
)
 
3,945

Collateralized mortgage obligations
648

 
—

 
(25
)
 
623

Direct agency obligations
3,644

 
106

 
(2
)
 
3,748

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
4,785

 
2

 
(73
)
 
4,714

Collateralized mortgage obligations
1,038

 
3

 
(11
)
 
1,030

Direct agency obligations
423

 
9

 
—

 
432

Asset-backed securities collateralized by:
 
 
 
 
 
 
 
Home equity
61

 
—

 
(5
)
 
56

Other
508

 
—

 
—

 
508

Foreign debt securities(1)
413

 
—

 
(1
)
 
412

Equity securities
159

 
—

 
(5
)
 
154

Total available-for-sale securities
$
32,573

 
$
281

 
$
(539
)
 
$
32,315

Securities held-to-maturity:
 
 
 
 
 
 
 
U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
$
2,272

 
$
14

 
$
(6
)
 
$
2,280

Collateralized mortgage obligations
1,429

 
53

 
(10
)
 
1,472

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
2,318

 
6

 
(12
)
 
2,312

Collateralized mortgage obligations
7,396

 
39

 
(41
)
 
7,394

Obligations of U.S. states and political subdivisions
14

 
1

 
—

 
15

Asset-backed securities collateralized by residential mortgages
5

 
—

 
—

 
5

Total held-to-maturity securities
$
13,434

 
$
113

 
$
(69
)
 
$
13,478

December 31, 2016
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
 
(in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
U.S. Treasury
$
21,366

 
$
102

 
$
(559
)
 
$
20,909

U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
4,535

 
4

 
(122
)
 
4,417

Collateralized mortgage obligations
2,139

 
—

 
(36
)
 
2,103

Direct agency obligations
3,709

 
118

 
(10
)
 
3,817

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
3,102

 
2

 
(58
)
 
3,046

Collateralized mortgage obligations
1,370

 
2

 
(15
)
 
1,357

Direct agency obligations
423

 
1

 
(4
)
 
420

Asset-backed securities collateralized by:
 
 
 
 
 
 
 
Home equity
69

 
—

 
(8
)
 
61

Other
108

 
—

 
(3
)
 
105

Foreign debt securities(1)
522

 
—

 
(1
)
 
521

Equity securities
159

 
—

 
(5
)
 
154

Total available-for-sale securities
$
37,502

 
$
229

 
$
(821
)
 
$
36,910

Securities held-to-maturity:
 
 
 
 
 
 
 
U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
$
2,465

 
$
11

 
$
(9
)
 
$
2,467

Collateralized mortgage obligations
1,591

 
59

 
(12
)
 
1,638

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
2,557

 
11

 
(10
)
 
2,558

Collateralized mortgage obligations
6,176

 
34

 
(56
)
 
6,154

Obligations of U.S. states and political subdivisions
15

 
1

 
—

 
16

Asset-backed securities collateralized by residential mortgages
5

 
—

 
—

 
5

Total held-to-maturity securities
$
12,809

 
$
116

 
$
(87
)
 
$
12,838

 
(1) 
Foreign debt securities represent public sector entity, bank or corporate debt.
Net unrealized losses decreased within the available-for-sale portfolio in the six months ended June 30, 2017 due primarily to decreasing yields as well as favorable movements associated with fair value hedged U.S. Treasury securities.

The following table summarizes gross unrealized losses and related fair values at June 30, 2017 and December 31, 2016 classified as to the length of time the losses have existed:
 
One Year or Less
 
Greater Than One Year
June 30, 2017
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
30

 
$
(237
)
 
$
8,869

 
27

 
$
(97
)
 
$
2,970

U.S. Government sponsored enterprises
147

 
(105
)
 
4,231

 
15

 
(5
)
 
432

U.S. Government agency issued or guaranteed
42

 
(78
)
 
5,192

 
6

 
(6
)
 
77

Asset-backed securities
—

 
—

 
—

 
6

 
(5
)
 
105

Foreign debt securities
5

 
—

 
191

 
1

 
(1
)
 
171

Equity securities
—

 
—

 
—

 
1

 
(5
)
 
154

Securities available-for-sale
224

 
$
(420
)
 
$
18,483

 
56

 
$
(119
)
 
$
3,909

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
416

 
$
(16
)
 
$
1,696

 
46

 
$
—

 
$
3

U.S. Government agency issued or guaranteed
144

 
(51
)
 
4,891

 
485

 
(2
)
 
380

Obligations of U.S. states and political subdivisions
—

 
—

 
—

 
3

 
—

 
—

Securities held-to-maturity
560

 
$
(67
)
 
$
6,587

 
534

 
$
(2
)

$
383

 
One Year or Less
 
Greater Than One Year
December 31, 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
40

 
$
(378
)
 
$
13,707

 
32

 
$
(181
)
 
$
3,908

U.S. Government sponsored enterprises
316

 
(155
)
 
6,474

 
18

 
(13
)
 
427

U.S. Government agency issued or guaranteed
57

 
(66
)
 
3,941

 
7

 
(11
)
 
252

Asset-backed securities
—

 
—

 
—

 
8

 
(11
)
 
166

Foreign debt securities
7

 
—

 
343

 
1

 
(1
)
 
178

Equity securities
1

 
(5
)
 
154

 
—

 
—

 
—

Securities available-for-sale
421

 
$
(604
)
 
$
24,619

 
66

 
$
(217
)

$
4,931

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
434

 
$
(21
)
 
$
2,013

 
45

 
$
—

 
$
21

U.S. Government agency issued or guaranteed
179

 
(65
)
 
4,734

 
503

 
(1
)
 
112

Obligations of U.S. states and political subdivisions
1

 
—

 
—

 
3

 
—

 
—

Securities held-to-maturity
614

 
$
(86
)
 
$
6,747

 
551

 
$
(1
)
 
$
133


Although the fair value of a particular security may be 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 June 30, 2017 and December 31, 2016, 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.
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 2016 Form 10-K. There have been no material changes in our process for assessing impairment during 2017.
During the three and six months ended June 30, 2017 and 2016, 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.
Other securities gains, net  The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities:

Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
 
(in millions)
Gross realized gains
$
28

 
$
56

 
$
33

 
$
87

Gross realized losses
(9
)
 
(20
)
 
(9
)
 
(22
)
Net realized gains
$
19

 
$
36

 
$
24

 
$
65


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 June 30, 2017 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 June 30, 2017, 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 June 30, 2017. 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
$
—

 
—
%
 
$
4,209

 
1.98
%
 
$
8,821

 
1.94
%
 
$
3,841

 
2.87
%
U.S. Government sponsored enterprises
178

 
3.26

 
3,118

 
2.89

 
1,520

 
2.52

 
3,499

 
2.73

U.S. Government agency issued or guaranteed
—

 
—

 
115

 
2.90

 
91

 
2.42

 
6,040

 
2.77

Asset-backed securities
—

 
—

 
400

 
2.38

 
—

 
—

 
169

 
3.76

Foreign debt securities
121

 
.02

 
292

 
1.23

 
—

 
—

 
—

 
—

Total amortized cost
$
299

 
1.96
%
 
$
8,134

 
2.33
%
 
$
10,432

 
2.03
%
 
$
13,549

 
2.80
%
Total fair value
$
301

 
 
 
$
8,260

 
 
 
$
10,245

 
 
 
$
13,355

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

 
—
%
 
$
298

 
2.32
%
 
$
356

 
2.76
%
 
$
3,047

 
2.85
%
U.S. Government agency issued or guaranteed
—

 
—

 
33

 
3.64

 
6

 
2.15

 
9,675

 
2.32

Obligations of U.S. states and political subdivisions
2

 
4.04

 
3

 
3.77

 
5

 
3.40

 
4

 
5.66

Asset-backed securities
—

 
—

 
—

 
—

 
—

 
—

 
5

 
6.69

Total amortized cost
$
2

 
4.04
%
 
$
334

 
2.46
%
 
$
367

 
2.76
%
 
$
12,731

 
2.45
%
Total fair value
$
2

 
 
 
$
337

 
 
 
$
371

 
 
 
$
12,768

 
 

Investments in Federal Home Loan Bank stock and Federal Reserve Bank stock of $295 million and $631 million, respectively, were included in other assets at June 30, 2017. Investments in Federal Home Loan Bank stock and Federal Reserve Bank stock of $338 million and $631 million, respectively, were included in other assets at December 31, 2016.