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Securities
 12 Months Ended
Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]  
Securities
Securities
 
 
Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following:
December 31, 2017
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
 
(in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
U.S. Treasury
$
15,340

 
$
153

 
$
(329
)
 
$
15,164

U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
3,616

 
—

 
(77
)
 
3,539

Collateralized mortgage obligations
648

 
—

 
(24
)
 
624

Direct agency obligations
3,369

 
85

 
—

 
3,454

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
5,152

 
1

 
(87
)
 
5,066

Collateralized mortgage obligations
792

 
1

 
(18
)
 
775

Direct agency obligations
419

 
19

 
—

 
438

Asset-backed securities collateralized by:
 
 
 
 
 
 
 
Home equity
54

 
—

 
(3
)
 
51

Other
506

 
4

 
—

 
510

Foreign debt securities(1)
902

 
—

 
—

 
902

Equity securities
183

 
—

 
(6
)
 
177

Total available-for-sale securities
$
30,981

 
$
263

 
$
(544
)
 
$
30,700

Securities held-to-maturity:
 
 
 
 
 
 
 
U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
$
2,113

 
$
10

 
$
(12
)
 
$
2,111

Collateralized mortgage obligations
1,281

 
41

 
(18
)
 
1,304

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
2,485

 
4

 
(13
)
 
2,476

Collateralized mortgage obligations
8,083

 
18

 
(106
)
 
7,995

Obligations of U.S. states and political subdivisions
12

 
1

 
—

 
13

Asset-backed securities collateralized by residential mortgages
3

 
—

 
—

 
3

Total held-to-maturity securities
$
13,977

 
$
74

 
$
(149
)
 
$
13,902

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 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 December 31, 2017 and 2016 classified as to the length of time the losses have existed:
 
One Year or Less
 
Greater Than One Year
December 31, 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
3

 
$
(3
)
 
$
463

 
48

 
$
(326
)
 
$
10,285

U.S. Government sponsored enterprises
83

 
(7
)
 
883

 
77

 
(94
)
 
3,109

U.S. Government agency issued or guaranteed
52

 
(85
)
 
5,161

 
23

 
(20
)
 
573

Asset-backed securities
—

 
—

 
—

 
4

 
(3
)
 
51

Foreign debt securities
10

 
—

 
733

 
1

 
—

 
44

Equity securities
—

 
—

 
—

 
1

 
(6
)
 
177

Securities available-for-sale
148

 
$
(95
)
 
$
7,240

 
154

 
$
(449
)
 
$
14,239

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
264

 
$
(5
)
 
$
1,126

 
284

 
$
(25
)
 
$
1,020

U.S. Government agency issued or guaranteed
116

 
(48
)
 
5,973

 
506

 
(71
)
 
2,962

Obligations of U.S. states and political subdivisions
1

 
—

 
—

 
2

 
—

 
—

Securities held-to-maturity
381

 
$
(53
)
 
$
7,099

 
792

 
$
(96
)

$
3,982

 
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 December 31, 2017 and 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 (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. In determining whether a credit loss exists and the period over which the debt security is expected to recover, we considered the following factors:
•
The length of time and the extent to which the fair value has been less than the amortized cost basis;
•
The credit protection features embedded within the instrument, which includes but is not limited to credit subordination positions, payment structure, over collateralization, protective triggers and financial guarantees provided by third parties;
•
Changes in the near term prospects of the issuer or the underlying collateral of a security such as changes in default rates, loss severities given default and significant changes in prepayment assumptions;
•
The level of excess cash flows generated from the underlying collateral supporting the principal and interest payments of the debt securities; and
•
Any adverse change to the credit conditions of the issuer, the monoline insurer or the security such as credit downgrades by the rating agencies.
We use a standard valuation model to measure the credit loss for non-U.S. Government asset-backed securities. The valuation model captures the composition of the underlying collateral and the cash flow structure of the security. We make reference to external forecasts on key economic data and consider internal assessments on credit quality in developing significant inputs to the impairment model. Significant inputs to the model include delinquencies, collateral types and related contractual features, estimated rates of default, loss given default and prepayment assumptions. Using the inputs, the model estimates cash flows generated from the underlying collateral and distributes those cash flows to respective tranches of securities considering credit subordination and other credit enhancement features. The projected future cash flows attributable to the debt security held are discounted using the effective interest rates determined at the original acquisition date if the security bears a fixed rate of return. The discount rate is adjusted for the floating index rate for securities which bear a variable rate of return, such as LIBOR-based instruments.
During 2017, 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.
Other securities gains, net  The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities:
Year Ended December 31,
2017
 
2016
 
2015
 
(in millions)
Gross realized gains
$
65

 
$
142

 
$
126

Gross realized losses
(13
)
 
(72
)
 
(78
)
Net realized gains
$
52

 
$
70

 
$
48


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 December 31, 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 December 31, 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 December 31, 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
$
—

 
—
%
 
$
3,878

 
2.14
%
 
$
7,939

 
1.97
%
 
$
3,523

 
2.88
%
U.S. Government sponsored enterprises
148

 
3.52

 
2,754

 
3.04

 
1,972

 
2.61

 
2,759

 
2.70

U.S. Government agency issued or guaranteed
50

 
1.89

 
131

 
2.14

 
18

 
3.98

 
6,164

 
2.48

Asset-backed securities
400

 
2.64

 
—

 
—

 
—

 
—

 
160

 
4.02

Foreign debt securities
679

 
.13

 
223

 
1.93

 
—

 
—

 
—

 
—

Total amortized cost
$
1,277

 
1.38
%
 
$
6,986

 
2.49
%
 
$
9,929

 
2.10
%
 
$
12,606

 
2.66
%
Total fair value
$
1,278

 
 
 
$
7,060

 
 
 
$
9,706

 
 
 
$
12,479

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

 
—
%
 
$
322

 
2.39
%
 
$
325

 
2.78
%
 
$
2,747

 
2.86
%
U.S. Government agency issued or guaranteed
—

 
—

 
21

 
3.99

 
27

 
2.53

 
10,520

 
2.38

Obligations of U.S. states and political subdivisions
1

 
4.29

 
4

 
4.24

 
6

 
4.26

 
1

 
4.41

Asset-backed securities
—

 
—

 
—

 
—

 
—

 
—

 
3

 
6.57

Total amortized cost
$
1

 
4.29
%
 
$
347

 
2.51
%
 
$
358

 
2.78
%
 
$
13,271

 
2.48
%
Total fair value
$
1

 
 
 
$
349

 
 
 
$
359

 
 
 
$
13,193

 
 

Investments in Federal Home Loan Bank stock and Federal Reserve Bank stock of $201 million and $631 million, respectively, at December 31, 2017 and $338 million and $631 million, respectively, at December 31, 2016 were included in other assets.