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.