Investment Securities

12 Months Ended

Dec. 31, 2015

Investment Securities Disclosure [Abstract]

NOTE 6 INVESTMENT SECURITIES
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Table 69: Investment Securities Summary

			Amortized		Unrealized						Fair
In millions			Cost		Gains			Losses			Value
December 31, 2015

Securities Available for Sale
Debt securities
	U.S. Treasury and government agencies		$	9,764		$	152	$	(42)	$	9,874
	Residential mortgage-backed
		Agency		24,698			250		(128)		24,820
		Non-agency		3,992			247		(88)		4,151
	Commercial mortgage-backed
		Agency		1,917			11		(10)		1,918
		Non-agency		4,902			30		(29)		4,903
	Asset-backed			5,417			54		(48)		5,423
	State and municipal			1,982			79		(5)		2,056
	Other debt			2,007			31		(12)		2,026
		Total debt securities		54,679			854		(362)		55,171
Corporate stocks and other				590					(1)		589
	Total securities available for sale		$	55,269		$	854	$	(363)	$	55,760
Securities Held to Maturity (a)
Debt securities
	U.S. Treasury and government agencies		$	258		$	40			$	298
	Residential mortgage-backed
		Agency		9,552			101	$	(65)		9,588
		Non-agency		233			8				241
	Commercial mortgage-backed
		Agency		1,128			40				1,168
		Non-agency		722			6		(1)		727
	Asset-backed			717					(10)		707
	State and municipal			1,954			116				2,070
	Other debt			204					(1)		203
	Total securities held to maturity		$	14,768		$	311	$	(77)	$	15,002

December 31, 2014

Securities Available for Sale
Debt securities
	U.S. Treasury and government agencies		$	5,237		$	186	$	(1)	$	5,422
	Residential mortgage-backed
		Agency		17,646			438		(41)		18,043
		Non-agency		4,723			318		(99)		4,942
	Commercial mortgage-backed
		Agency		2,178			23		(14)		2,187
		Non-agency		4,085			88		(11)		4,162
	Asset-backed			5,141			78		(32)		5,187
	State and municipal			1,953			88		(3)		2,038
	Other debt			1,776			43		(6)		1,813
		Total debt securities		42,739			1,262		(207)		43,794
Corporate stocks and other				442					(1)		441
	Total securities available for sale		$	43,181		$	1,262	$	(208)	$	44,235
Securities Held to Maturity (a)
Debt securities
	U.S. Treasury and government agencies		$	248		$	44			$	292
	Residential mortgage-backed
		Agency		5,736			166	$	(10)		5,892
		Non-agency		270			13				283
	Commercial mortgage-backed
		Agency		1,200			53				1,253
		Non-agency		1,010			19				1,029
	Asset-backed			759			2		(8)		753
	State and municipal			2,042			111				2,153
	Other debt			323			6				329
	Total securities held to maturity		$	11,588		$	414	$	(18)	$	11,984
(a)	Held to maturity securities transferred from available for sale are recorded in held to maturity at fair value at the time of transfer. The amortized cost of held to maturity securities included net unrealized gains of $97 million and $125 million at December 31, 2015 and December 31, 2014, respectively, related to securities transferred, which are offset in Accumulated Other Comprehensive Income, net of tax.

The fair value of investment securities is impacted by interest rates, credit spreads, market volatility and liquidity conditions. Net unrealized gains and losses in the securities available for sale portfolio are included in Shareholders’ equity as Accumulated other comprehensive income or loss, net of tax, unless credit-related. Securities held to maturity are carried at amortized cost. At December 31, 2015, Accumulated other comprehensive income included pretax gains of $98 million from derivatives that hedged the purchase of investment securities classified as held to maturity. The gains will be accreted into interest income as an adjustment of yield on the securities.

Table 70 presents gross unrealized losses on securities available for sale at December 31, 2015 and December 31, 2014. The securities are segregated between investments that have been in a continuous unrealized loss position for less than twelve months and twelve months or more based on the point in time that the fair value declined below the amortized cost basis. The table includes debt securities where a portion of other-than-temporary impairment (OTTI) has been recognized in Accumulated other comprehensive income (loss). The increase in total unrealized losses at December 31, 2015 when compared to December 31, 2014 was primarily due to higher interest rates.

Table 70: Gross Unrealized Loss and Fair Value of Securities Available for Sale

				Unrealized loss position less					Unrealized loss position 12
In millions				than 12 months					months or more				Total
				Unrealized			Fair		Unrealized		Fair		Unrealized		Fair
				Loss			Value		Loss		Value		Loss		Value
December 31, 2015
Debt securities
	U.S. Treasury and government agencies				$	(40)	$	5,885	$	(2)	$	120	$	(42)	$	6,005
	Residential mortgage-backed
		Agency				(103)		11,799		(25)		1,094		(128)		12,893
		Non-agency				(3)		368		(85)		1,527		(88)		1,895
	Commercial mortgage-backed
		Agency				(7)		745		(3)		120		(10)		865
		Non-agency				(22)		2,310		(7)		807		(29)		3,117
	Asset-backed					(30)		3,477		(18)		494		(48)		3,971
	State and municipal					(3)		326		(2)		60		(5)		386
	Other debt					(8)		759		(4)		188		(12)		947
			Total debt securities			(216)		25,669		(146)		4,410		(362)		30,079
	Corporate stocks and other					(a)		46		(1)		15		(1)		61
			Total		$	(216)	$	25,715	$	(147)	$	4,425	$	(363)	$	30,140

December 31, 2014
Debt securities
	U.S. Treasury and government agencies				$	(1)	$	1,426					$	(1)	$	1,426
	Residential mortgage-backed
		Agency				(4)		644	$	(37)	$	1,963		(41)		2,607
		Non-agency				(5)		276		(94)		1,487		(99)		1,763
	Commercial mortgage-backed
		Agency				(2)		681		(12)		322		(14)		1,003
		Non-agency				(4)		928		(7)		335		(11)		1,263
	Asset-backed					(4)		913		(28)		1,133		(32)		2,046
	State and municipal					(a)		41		(3)		77		(3)		118
	Other debt					(2)		314		(4)		186		(6)		500
			Total debt securities			(22)		5,223		(185)		5,503		(207)		10,726
	Corporate stocks and other									(1)		15		(1)		15
			Total		$	(22)	$	5,223	$	(186)	$	5,518	$	(208)	$	10,741
(a)	The unrealized loss on these securities was less than $.5 million.

The gross unrealized loss on debt securities held to maturity was $82 million at December 31, 2015, with $59 million of the loss related to securities with a fair value of $5.5 billion that had been in a continuous loss position less than 12 months and $23 million of the loss related to securities with a fair value of $ 953 million that had been in a continuous loss position for more than 12 months. The gross unrealized loss on debt securities held to maturity was $22 million at December 31, 2014, with $1 million of the loss related to securities with a fair value of $134 million that had been in a continuous loss position less than 12 months and $21 million of the loss related to securities with a fair value of $1.6 billion that had been in a continuous loss position for more than 12 months. For securities transferred to held to maturity from available for sale, the unrealized loss for purposes of this analysis is determined by comparing the security’s original amortized cost to its current estimated fair value.

Evaluating Investment Securities for Other-than-Temporary Impairments

For the securities in the preceding Table 70, as of December 31, 2015 we do not intend to sell and believe we will not be required to sell the securities prior to recovery of the amortized cost basis.

At least quarterly, we conduct a comprehensive security-level assessment on all securities. For those securities in an unrealized loss position we determine if OTTI exists. An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. An OTTI loss must be recognized for a debt security in an unrealized loss position if we intend to sell the security or it is more likely than not we will be required to sell the security prior to recovery of its amortized cost basis. In this situation, the amount of loss recognized in income is equal to the difference between the fair value and the amortized cost basis of the security. Even if we do not expect to sell the security, we must evaluate the expected cash flows to be received to determine if we believe a credit loss has occurred. In the event of a credit loss, only the amount of impairment associated with the credit loss is recognized in income. The portion of the unrealized loss relating to other factors, such as liquidity conditions in the market or changes in market interest rates, is recorded in accumulated other comprehensive income (loss).

The security-level assessment is performed on each investment security. Our assessment considers the security structure, recent security collateral performance metrics if applicable, external credit ratings, failure of the issuer to make scheduled interest or principal payments, our judgment and expectations of future performance, and relevant independent industry research, analysis and forecasts. Results of the periodic assessment are reviewed by a cross-functional senior management team representing Asset & Liability Management, Finance, and Market Risk Management. The senior management team considers the results of the assessments, as well as other factors, in determining whether the impairment is other-than-temporary.

Substantially all of the credit impairment we have recognized relates to non-agency residential mortgage-backed securities and asset-backed securities collateralized by first-lien and second-lien non-agency residential mortgage loans. Potential credit losses on these securities are evaluated on a security-by-security basis. Collateral performance assumptions are developed for each security after reviewing collateral composition and collateral performance statistics. This includes analyzing recent delinquency roll rates, loss severities, voluntary prepayments and various other collateral and performance metrics. This information is then combined with general expectations on the housing market, employment and other macroeconomic factors to develop estimates of future performance.

Security level assumptions for prepayments, loan defaults and loss given default are applied to each non-agency residential mortgage-backed security and asset-backed security collateralized by first-lien and second-lien non-agency residential mortgage loans using a third-party cash flow model. The third-party cash flow model then generates projected cash flows according to the structure of each security. Based on the results of the cash flow analysis, we determine whether we expect that we will recover the amortized cost basis of our security.

For those securities on our balance sheet where we determined losses represented OTTI, we have recorded cumulative credit losses of $1.1 billion at December 31, 2015. During 2015 and 2014, the OTTI credit losses recognized in noninterest income and the OTTI noncredit losses recognized in accumulated other comprehensive income (loss), net of tax, on securities were not significant.

Information relating to gross realized securities gains and losses from the sales of securities is set forth in the following table.

Table 71: Gains (Losses) on Sales of Securities Available for Sale

			Gross		Gross		Net		Tax
In millions	Proceeds		Gains		Losses		Gains		Expense
For the year ended December 31
2015	$	6,829	$	56	$	(13)	$	43	$	15
2014		4,480		33		(29)		4		1
2013		8,178		146		(47)		99		35

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at December 31, 2015.

Table 72: Contractual Maturity of Debt Securities

December 31, 2015					After 1 Year			After 5 Years			After 10
Dollars in millions		1 Year or Less			through 5 Years			through 10 Years			Years			Total
Securities Available for Sale
U.S. Treasury and government agencies		$	586		$	4,172		$	4,234		$	772		$	9,764
Residential mortgage-backed
	Agency					99			986			23,613			24,698
	Non-agency					3						3,989			3,992
Commercial mortgage-backed
	Agency		22			109			232			1,554			1,917
	Non-agency		50			28			8			4,816			4,902
Asset-backed			9			1,526			1,787			2,095			5,417
State and municipal			1			127			336			1,518			1,982
Other debt			186			1,377			289			155			2,007
Total debt securities available for sale		$	854		$	7,441		$	7,872		$	38,512		$	54,679
Fair value		$	861		$	7,497		$	7,926		$	38,887		$	55,171
Weighted-average yield, GAAP basis			2.76	%		2.23	%		2.28	%		2.91	%		2.73	%
Securities Held to Maturity
U.S. Treasury and government agencies											$	258		$	258
Residential mortgage-backed
	Agency				$	4		$	321			9,227			9,552
	Non-agency											233			233
Commercial mortgage-backed
	Agency	$	119			810			142			57			1,128
	Non-agency											722			722
Asset-backed						3			590			124			717
State and municipal						62			938			954			1,954
Other debt						204									204
Total debt securities held to maturity		$	119		$	1,083		$	1,991		$	11,575		$	14,768
Fair value		$	119		$	1,112		$	2,059		$	11,712		$	15,002
Weighted-average yield, GAAP basis			3.02	%		3.41	%		3.18	%		3.46	%		3.42	%

Weighted-average yields are based on historical cost with effective yields weighted for the contractual maturity of each security. At December 31, 2015, there were no securities of a single issuer, other than FHLMC and FNMA, that exceeded 10% of Total shareholders’ equity. The FHLMC investments had a total amortized cost of $4.9 billion and fair value of $5.0 billion. The FNMA investments had a total amortized cost of $21.0 billion and fair value of $21.1 billion.

The following table presents the fair value of securities that have been either pledged to or accepted from others to collateralize outstanding borrowings.

Table 73: Fair Value of Securities Pledged and Accepted as Collateral

		December 31			December 31
In millions		2015			2014
Pledged to others			$	9,674		$	10,874
Accepted from others:
	Permitted by contract or custom to sell or repledge			1,100			1,658
	Permitted amount repledged to others			943			1,488

The securities pledged to others include positions held in our portfolio of investment securities, trading securities, and securities accepted as collateral from others that we are permitted by contract or custom to sell or repledge, and were used to secure public and trust deposits, repurchase agreements, and for other purposes.