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Securities
3 Months Ended
Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Securities
Securities
 
 
Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following:
March 31, 2018
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
 
(in millions)
Securities available-for-sale:
 
 
 
 
 
 
 
U.S. Treasury
$
14,847

 
$
147

 
$
(407
)
 
$
14,587

U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
3,779

 
1

 
(159
)
 
3,621

Collateralized mortgage obligations
647

 

 
(38
)
 
609

Direct agency obligations
3,262

 
75

 
(1
)
 
3,336

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
5,312

 
1

 
(167
)
 
5,146

Collateralized mortgage obligations
775

 
16

 
(28
)
 
763

Direct agency obligations
345

 
22

 

 
367

Asset-backed securities collateralized by:
 
 
 
 
 
 
 
Home equity
52

 

 
(3
)
 
49

Other
303

 
4

 

 
307

Foreign debt securities(1)
1,437

 
1

 

 
1,438

Total available-for-sale securities
$
30,759

 
$
267

 
$
(803
)
 
$
30,223

Securities held-to-maturity:
 
 
 
 
 
 
 
U.S. Government sponsored enterprises:
 
 
 
 
 
 
 
Mortgage-backed securities
$
2,008

 
$
1

 
$
(40
)
 
$
1,969

Collateralized mortgage obligations
1,221

 
36

 
(28
)
 
1,229

U.S. Government agency issued or guaranteed:
 
 
 
 
 
 
 
Mortgage-backed securities
2,385

 
3

 
(69
)
 
2,319

Collateralized mortgage obligations
8,645

 
13

 
(186
)
 
8,472

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
$
14,274

 
$
54

 
$
(323
)
 
$
14,005

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

 
(1) 
Foreign debt securities represent public sector entity, bank or corporate debt.
Net unrealized losses were higher within the available-for-sale portfolio in the first quarter of 2018 due primarily to increasing yields on U.S. Treasury securities as well as U.S. Government sponsored and U.S. Government agency mortgage-backed securities.
The following table summarizes gross unrealized losses and related fair values at March 31, 2018 and December 31, 2017 classified as to the length of time the losses have existed:
 
One Year or Less
 
Greater Than One Year
March 31, 2018
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
8

 
$
(13
)
 
$
834

 
42

 
$
(394
)
 
$
9,375

U.S. Government sponsored enterprises
102

 
(33
)
 
1,161

 
84

 
(165
)
 
3,005

U.S. Government agency issued or guaranteed
55

 
(162
)
 
4,994

 
24

 
(33
)
 
666

Asset-backed securities
1

 

 

 
4

 
(3
)
 
49

Foreign debt securities
9

 

 
627

 
1

 

 
47

Securities available-for-sale
175

 
$
(208
)
 
$
7,616

 
155

 
$
(595
)
 
$
13,142

Securities held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
U.S. Government sponsored enterprises
352

 
$
(31
)
 
$
1,860

 
288

 
$
(37
)
 
$
963

U.S. Government agency issued or guaranteed
162

 
(128
)
 
6,087

 
495

 
(127
)
 
3,281

Obligations of U.S. states and political subdivisions
1

 

 

 
1

 

 

Securities held-to-maturity
515

 
$
(159
)
 
$
7,947

 
784

 
$
(164
)

$
4,244

 
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


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 March 31, 2018 and December 31, 2017, 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 2017 Form 10-K. There have been no material changes in our process for assessing impairment during 2018.
During the three months ended March 31, 2018 and 2017, 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 March 31,
2018
 
2017
 
(in millions)
Gross realized gains
$
9

 
$
5

Gross realized losses
(4
)
 

Net realized gains
$
5

 
$
5


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 March 31, 2018 by contractual maturity. Expected maturities differ from contractual maturities because borrowers have the right to prepay obligations without prepayment penalties in certain cases. The table below also reflects the distribution of maturities of debt securities held at March 31, 2018, 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 March 31, 2018. 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
$

 
%
 
$
3,392

 
2.22
%
 
$
8,255

 
2.07
%
 
$
3,200

 
3.04
%
U.S. Government sponsored enterprises
225

 
3.54

 
2,588

 
3.03

 
1,998

 
2.64

 
2,877

 
2.79

U.S. Government agency issued or guaranteed
50

 
1.87

 
67

 
2.06

 
18

 
4.00

 
6,297

 
2.64

Asset-backed securities
200

 
3.17

 

 

 

 

 
155

 
4.22

Foreign debt securities
551

 
.16

 
886

 
1.40

 

 

 

 

Total amortized cost
$
1,026

 
1.57
%
 
$
6,933

 
2.42
%
 
$
10,271

 
2.18
%
 
$
12,529

 
2.80
%
Total fair value
$
1,030

 
 
 
$
6,965

 
 
 
$
9,938

 
 
 
$
12,290

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

 
%
 
$
322

 
2.57
%
 
$
280

 
2.77
%
 
$
2,627

 
2.86
%
U.S. Government agency issued or guaranteed

 

 
20

 
3.86

 
31

 
3.57

 
10,979

 
2.47

Obligations of U.S. states and political subdivisions
1

 
4.25

 
5

 
3.61

 
5

 
4.57

 
1

 
4.41

Asset-backed securities

 

 

 

 

 

 
3

 
6.25

Total amortized cost
$
1

 
4.25
%
 
$
347

 
2.66
%
 
$
316

 
2.87
%
 
$
13,610

 
2.55
%
Total fair value
$
1

 
 
 
$
344

 
 
 
$
313

 
 
 
$
13,347

 
 
Equity Securities As discussed more fully in Note 21, “New Accounting Pronouncements,” beginning January 1, 2018, equity securities (except those accounted for under the equity method or those that result in consolidation) are measured at fair value with changes in fair value recognized in net income (loss).
Included in other assets at March 31, 2018 were $277 million of equity securities which were carried at fair value and $5 million of equity securities without readily determinable fair values which were carried at amortized cost less impairment adjusted for observable price changes.
On a quarterly basis, we perform an assessment to determine whether any equity securities without readily determinable fair values are impaired. In the event an equity security is deemed impaired, the security is written down to fair value with impairment recorded in earnings. At March 31, 2018, none of our equity securities without readily determinable fair values were determined to be impaired.
Also included in other assets were investments in Federal Home Loan Bank stock and Federal Reserve Bank stock of $201 million and $631 million, respectively, at both March 31, 2018 and December 31, 2017.