Note 4: Investment Securities

The following table provides the amortized cost and fair value by major categories of available-for-sale securities, which are carried at fair value, and held-to-maturity debt securities, which are carried at amortized cost. The net unrealized gains (losses) for available-for-sale securities are reported on an after-tax basis as a component of cumulative OCI.



(in millions)	Amortized Cost		Gross unrealized gains	Gross unrealized losses		Fair value
June 30, 2015
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	$	35,945	127	(128	)	35,944
Securities of U.S. states and political subdivisions	47,736		1,158	(596	)	48,298
Mortgage-backed securities:
Federal agencies	98,542		2,424	(888	)	100,078
Residential	7,580		894	(13	)	8,461
Commercial	14,882		479	(52	)	15,309
Total mortgage-backed securities	121,004		3,797	(953	)	123,848
Corporate debt securities	14,564		586	(176	)	14,974
Collateralized loan and other debt obligations (1)	28,911		467	(55	)	29,323
Other (2)	5,625		182	(14	)	5,793
Total debt securities	253,785		6,317	(1,922	)	258,180
Marketable equity securities:
Perpetual preferred securities	841		129	(12	)	958
Other marketable equity securities	304		1,227	(2	)	1,529
Total marketable equity securities	1,145		1,356	(14	)	2,487
Total available-for-sale securities	254,930		7,673	(1,936	)	260,667
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies	44,645		544	(97	)	45,092
Securities of U.S. states and political subdivisions	2,174		2	(26	)	2,150
Federal agency mortgage-backed securities	27,577		130	(369	)	27,338
Collateralized loans and other debt obligations (1)	1,405		3	(1	)	1,407
Other (2)	4,301		27	—		4,328
Total held-to-maturity securities	80,102		706	(493	)	80,315
Total	$	335,032	8,379	(2,429	)	340,982
December 31, 2014
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	$	25,898	44	(138	)	25,804
Securities of U.S. states and political subdivisions	43,939		1,504	(499	)	44,944
Mortgage-backed securities:
Federal agencies	107,850		2,990	(751	)	110,089
Residential	8,213		1,080	(24	)	9,269
Commercial	16,248		803	(57	)	16,994
Total mortgage-backed securities	132,311		4,873	(832	)	136,352
Corporate debt securities	14,211		745	(170	)	14,786
Collateralized loan and other debt obligations (1)	25,137		408	(184	)	25,361
Other (2)	6,251		295	(27	)	6,519
Total debt securities	247,747		7,869	(1,850	)	253,766
Marketable equity securities:
Perpetual preferred securities	1,622		148	(70	)	1,700
Other marketable equity securities	284		1,694	(2	)	1,976
Total marketable equity securities	1,906		1,842	(72	)	3,676
Total available-for-sale securities	249,653		9,711	(1,922	)	257,442
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies	40,886		670	(8	)	41,548
Securities of U.S. states and political subdivisions	1,962		27	—		1,989
Federal agency mortgage-backed securities	5,476		165	—		5,641
Collateralized loans and other debt obligations (1)	1,404		—	(13	)	1,391
Other (2)	5,755		35	—		5,790
Total held-to-maturity securities	55,483		897	(21	)	56,359
Total	$	305,136	10,608	(1,943	)	313,801


(1)	The available-for-sale portfolio includes collateralized debt obligations (CDOs) with a cost basis and fair value of $272 million and $407 million, respectively, at June 30, 2015, and $364 million and $500 million, respectively, at December 31, 2014. The held-to-maturity portfolio only includes collateralized loan obligations.

(2)

The “Other” category of available-for-sale securities mostly includes asset-backed securities collateralized by credit cards, student loans, home equity loans and auto leases or loans and cash. Included in the “Other” category of held-to-maturity securities are asset-backed securities collateralized by auto leases or loans and cash with both a cost basis and fair value of $2.7 billion at June 30, 2015, and $3.8 billion at December 31, 2014. Also included in the “Other” category of held-to-maturity securities are asset-backed securities collateralized by dealer floorplan loans with a cost basis and fair value of $1.6 billion each at June 30, 2015, and cost basis of $1.9 billion and fair value of $2.0 billion at December 31, 2014.

Gross Unrealized Losses and Fair Value

The following table shows the gross unrealized losses and fair value of securities in the investment securities portfolio by length of time that individual securities in each category have been in a continuous loss position. Debt securities on which we have taken credit-related OTTI write-downs are categorized as being “less than 12 months” or “12 months or more” in a continuous loss position based on the point in time that the fair value declined to below the cost basis and not the period of time since the credit-related OTTI write-down.



	Less than 12 months				12 months or more			Total
(in millions)	Gross unrealized losses			Fair value	Gross unrealized losses		Fair value	Gross unrealized losses		Fair value
June 30, 2015
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	$	(78	)	11,458	(50	)	3,994	(128	)	15,452
Securities of U.S. states and political subdivisions	(312		)	13,364	(284	)	3,668	(596	)	17,032
Mortgage-backed securities:
Federal agencies	(549		)	25,808	(339	)	11,040	(888	)	36,848
Residential	(5		)	754	(8	)	256	(13	)	1,010
Commercial	(14		)	3,287	(38	)	1,547	(52	)	4,834
Total mortgage-backed securities	(568		)	29,849	(385	)	12,843	(953	)	42,692
Corporate debt securities	(113		)	2,953	(63	)	797	(176	)	3,750
Collateralized loan and other debt obligations	(12		)	5,233	(43	)	3,779	(55	)	9,012
Other	(11		)	1,018	(3	)	277	(14	)	1,295
Total debt securities	(1,094		)	63,875	(828	)	25,358	(1,922	)	89,233
Marketable equity securities:
Perpetual preferred securities	—			—	(12	)	124	(12	)	124
Other marketable equity securities	(2		)	44	—		—	(2	)	44
Total marketable equity securities	(2		)	44	(12	)	124	(14	)	168
Total available-for-sale securities	(1,096		)	63,919	(840	)	25,482	(1,936	)	89,401
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies	(97		)	7,137	—		—	(97	)	7,137
Securities of U.S. states and political subdivisions	(26		)	1,731	—		—	(26	)	1,731
Federal agency mortgage-backed securities	(369		)	22,509	—		—	(369	)	22,509
Collateralized loan and other debt obligations	(1		)	1,006	—		—	(1	)	1,006
Total held-to-maturity securities	(493		)	32,383	—		—	(493	)	32,383
Total	$	(1,589	)	96,302	(840	)	25,482	(2,429	)	121,784
December 31, 2014
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	$	(16	)	7,138	(122	)	5,719	(138	)	12,857
Securities of U.S. states and political subdivisions	(198		)	10,228	(301	)	3,725	(499	)	13,953
Mortgage-backed securities:
Federal agencies	(16		)	1,706	(735	)	37,854	(751	)	39,560
Residential	(18		)	946	(6	)	144	(24	)	1,090
Commercial	(9		)	2,202	(48	)	1,532	(57	)	3,734
Total mortgage-backed securities	(43		)	4,854	(789	)	39,530	(832	)	44,384
Corporate debt securities	(102		)	1,674	(68	)	1,265	(170	)	2,939
Collateralized loan and other debt obligations	(99		)	12,755	(85	)	3,958	(184	)	16,713
Other	(23		)	708	(4	)	277	(27	)	985
Total debt securities	(481		)	37,357	(1,369	)	54,474	(1,850	)	91,831
Marketable equity securities:
Perpetual preferred securities	(2		)	92	(68	)	633	(70	)	725
Other marketable equity securities	(2		)	41	—		—	(2	)	41
Total marketable equity securities	(4		)	133	(68	)	633	(72	)	766
Total available-for-sale securities	(485		)	37,490	(1,437	)	55,107	(1,922	)	92,597
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies	(8		)	1,889	—		—	(8	)	1,889
Collateralized loan and other debt obligations	(13		)	1,391	—		—	(13	)	1,391
Total held-to-maturity securities	(21		)	3,280	—		—	(21	)	3,280
Total	$	(506	)	40,770	(1,437	)	55,107	(1,943	)	95,877

We have assessed each security with gross unrealized losses included in the previous table for credit impairment. As part of that assessment we evaluated and concluded that we do not intend to sell any of the securities and that it is more likely than not that we will not be required to sell prior to recovery of the amortized cost basis. For debt securities, we evaluate, where necessary, whether credit impairment exists by comparing the present value of the expected cash flows to the securities’ amortized cost basis. For equity securities, we consider numerous factors in determining whether impairment exists, including our intent and ability to hold the securities for a period of time sufficient to recover the cost basis of the securities.

For descriptions of the factors we consider when analyzing securities for impairment, see Note 1 (Summary of Significant Accounting Policies) and Note 5 (Investment Securities) to Financial Statements in our 2014 Form 10-K. There have been no material changes to our methodologies for assessing impairment in the first half of 2015.

The following table shows the gross unrealized losses and fair value of debt and perpetual preferred investment securities by those rated investment grade and those rated less than investment grade, according to their lowest credit rating by Standard & Poor’s Rating Services (S&P) or Moody’s Investors Service (Moody’s). Credit ratings express opinions about the credit quality of a security. Securities rated investment grade, that is those rated BBB- or higher by S&P or Baa3 or higher by Moody’s, are generally considered by the rating agencies and market participants to be low credit risk. Conversely, securities rated below investment grade, labeled as “speculative grade” by the rating agencies, are considered to be distinctively higher credit risk than investment grade securities. We have also included securities not rated by S&P or Moody’s in the table below based on our internal credit grade of the securities (used for credit risk management purposes) equivalent to the credit rating assigned by major credit agencies. The unrealized losses and fair value of unrated securities categorized as investment grade based on internal credit grades were $24 million and $1.6 billion, respectively, at June 30, 2015, and $25 million and $1.6 billion, respectively, at December 31, 2014. If an internal credit grade was not assigned, we categorized the security as non-investment grade.



	Investment grade				Non-investment grade
(in millions)	Gross unrealized losses			Fair value	Gross unrealized losses		Fair value
June 30, 2015
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	$	(128	)	15,452	—		—
Securities of U.S. states and political subdivisions	(549		)	16,567	(47	)	465
Mortgage-backed securities:
Federal agencies	(888		)	36,848	—		—
Residential	(3		)	516	(10	)	494
Commercial	(28		)	4,461	(24	)	373
Total mortgage-backed securities	(919		)	41,825	(34	)	867
Corporate debt securities	(46		)	2,382	(130	)	1,368
Collateralized loan and other debt obligations	(54		)	8,976	(1	)	36
Other	(12		)	1,106	(2	)	189
Total debt securities	(1,708		)	86,308	(214	)	2,925
Perpetual preferred securities	(12		)	124	—		—
Total available-for-sale securities	(1,720		)	86,432	(214	)	2,925
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies	(97		)	7,137	—		—
Securities of U.S. states and political subdivisions	(26		)	1,731	—		—
Federal agency mortgage-backed securities	(369		)	22,509	—		—
Collateralized loan and other debt obligations	(1		)	1,006	—		—
Total held-to-maturity securities	(493		)	32,383	—		—
Total	$	(2,213	)	118,815	(214	)	2,925
December 31, 2014
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	$	(138	)	12,857	—		—
Securities of U.S. states and political subdivisions	(459		)	13,600	(40	)	353
Mortgage-backed securities:
Federal agencies	(751		)	39,560	—		—
Residential	—			139	(24	)	951
Commercial	(24		)	3,366	(33	)	368
Total mortgage-backed securities	(775		)	43,065	(57	)	1,319
Corporate debt securities	(39		)	1,807	(131	)	1,132
Collateralized loan and other debt obligations	(172		)	16,609	(12	)	104
Other	(23		)	782	(4	)	203
Total debt securities	(1,606		)	88,720	(244	)	3,111
Perpetual preferred securities	(70		)	725	—		—
Total available-for-sale securities	(1,676		)	89,445	(244	)	3,111
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies	(8		)	1,889	—		—
Collateralized loan and other debt obligations	(13		)	1,391	—		—
Total held-to-maturity securities	(21		)	3,280	—		—
Total	$	(1,697	)	92,725	(244	)	3,111

Contractual Maturities

The following table shows the remaining contractual maturities and contractual weighted-average yields (taxable-equivalent basis) of available-for-sale debt securities. The remaining contractual principal maturities for MBS do not consider prepayments. Remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature.



					Remaining contractual maturity
	Total				Within one year				After one year through five years				After five years through ten years				After ten years
(in millions)	amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield
June 30, 2015
Available-for-sale securities (1):
Securities of U.S. Treasury and federal agencies	$	35,944	1.50	%	$	120	0.67	%	$	31,348	1.46	%	$	4,476	1.83	%	$	—	—	%
Securities of U.S. states and political subdivisions	48,298		5.69		2,733		1.73		7,550		2.14		3,062		5.37		34,953		6.79
Mortgage-backed securities:
Federal agencies	100,078		3.29		5		6.51		368		1.80		807		3.98		98,898		3.29
Residential	8,461		4.47		—		—		30		5.05		50		5.87		8,381		4.46
Commercial	15,309		5.23		—		—		60		2.64		—		—		15,249		5.24
Total mortgage-backed securities	123,848		3.61		5		6.51		458		2.12		857		4.09		122,528		3.62
Corporate debt securities	14,974		4.84		728		4.63		8,023		4.58		4,902		5.09		1,321		5.59
Collateralized loan and other debt obligations	29,323		1.96		—		—		862		0.76		11,946		1.85		16,515		2.11
Other	5,793		1.71		280		1.52		1,175		2.50		883		1.39		3,455		1.54
Total available-for-sale debt securities at fair value	$	258,180	3.55	%	$	3,866	2.23	%	$	49,416	2.09	%	$	26,126	2.92	%	$	178,772	4.07	%
December 31, 2014
Available-for-sale securities (1):									`
Securities of U.S. Treasury and federal agencies	$	25,804	1.49	%	$	181	1.47	%	$	22,348	1.44	%	$	3,275	1.83	%	$	—	—	%
Securities of U.S. states and political subdivisions	44,944		5.66		3,568		1.71		7,050		2.19		3,235		5.13		31,091		6.96
Mortgage-backed securities:
Federal agencies	110,089		3.27		—		—		276		2.86		1,011		3.38		108,802		3.27
Residential	9,269		4.50		—		—		9		4.81		83		5.63		9,177		4.49
Commercial	16,994		5.16		1		0.28		62		2.71		5		1.30		16,926		5.17
Total mortgage-backed securities	136,352		3.59		1		0.28		347		2.88		1,099		3.54		134,905		3.59
Corporate debt securities	14,786		4.90		600		4.32		7,634		4.54		5,209		5.30		1,343		5.70
Collateralized loan and other debt obligations	25,361		1.83		23		1.95		944		0.71		8,472		1.67		15,922		1.99
Other	6,519		1.79		274		1.55		1,452		2.56		1,020		1.32		3,773		1.64
Total available-for-sale debt securities at fair value	$	253,766	3.60	%	$	4,647	2.03	%	$	39,775	2.20	%	$	22,310	3.12	%	$	187,034	3.99	%


(1)	Weighted-average yields displayed by maturity bucket are weighted based on fair value and predominantly represent contractual coupon rates without effect for any related hedging derivatives.

The following table shows the amortized cost and weighted-average yields of held-to-maturity debt securities by contractual maturity.



					Remaining contractual maturity
	Total				Within one year				After one year through five years				After five years through ten years				After ten years
(in millions)	amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield
June 30, 2015
Held-to-maturity securities (1):
Amortized cost:
Securities of U.S. Treasury and federal agencies	$	44,645	2.12	%	$	—	—	%	$	—	—	%	$	44,645	2.12	%	$	—	—	%
Securities of U.S. states and political subdivisions	2,174		5.71		—		—		—		—		65		7.70		2,109		5.65
Federal agency mortgage-backed securities	27,577		3.48		—		—		—		—		—		—		27,577		3.48
Collateralized loan and other debt obligations	1,405		2.00		—		—		—		—		—		—		1,405		2.00
Other	4,301		1.60		183		1.64		2,911		1.68		1,207		1.40		—		—
Total held-to-maturity debt securities at amortized cost	$	80,102	2.65	%	$	183	1.64	%	$	2,911	1.68	%	$	45,917	2.11	%	$	31,091	3.56	%
December 31, 2014
Held-to-maturity securities (1):
Amortized cost:
Securities of U.S. Treasury and federal agencies	$	40,886	2.12	%	$	—	—	%	$	—	—	%	$	40,886	2.12	%	$	—	—	%
Securities of U.S. states and political subdivisions	1,962		5.60		—		—	%	—		—		9		6.60		1,953		5.59
Federal agency mortgage-backed securities	5,476		3.89		—		—	%	—		—		—		—		5,476		3.89
Collateralized loan and other debt obligations	1,404		1.96		—		—		—		—		—		—		1,404		1.96
Other	5,755		1.64		192		1.61		4,214		1.72		1,349		1.41		—		—
Total held-to-maturity debt securities at amortized cost	$	55,483	2.37	%	$	192	1.61	%	$	4,214	1.72	%	$	42,244	2.10	%	$	8,833	3.96	%


(1)	Weighted-average yields displayed by maturity bucket are weighted based on amortized cost and predominantly represent contractual coupon rates.

The following table shows the fair value of held-to-maturity debt securities by contractual maturity.



			Remaining contractual maturity
	Total		Within one year	After one year through five years	After five years through ten years	After ten years
(in millions)	amount		Amount	Amount	Amount	Amount
June 30, 2015
Held-to-maturity securities:
Fair value:
Securities of U.S. Treasury and federal agencies	$	45,092	—	—	45,092	—
Securities of U.S. states and political subdivisions	2,150		—	—	64	2,086
Federal agency mortgage-backed securities	27,338		—	—	—	27,338
Collateralized loan and other debt obligations	1,407		—	—	—	1,407
Other	4,328		183	2,929	1,216	—
Total held-to-maturity debt securities at fair value	$	80,315	183	2,929	46,372	30,831
December 31, 2014
Held-to-maturity securities:
Fair value:
Securities of U.S. Treasury and federal agencies	$	41,548	—	—	41,548	—
Securities of U.S. states and political subdivisions	1,989		—	—	9	1,980
Federal agency mortgage-backed securities	5,641		—	—	—	5,641
Collateralized loan and other debt obligations	1,391		—	—	—	1,391
Other	5,790		193	4,239	1,358	—
Total held-to-maturity debt securities at fair value	$	56,359	193	4,239	42,915	9,012

Realized Gains and Losses

The following table shows the gross realized gains and losses on sales and OTTI write-downs related to the available-for-sale securities portfolio, which includes marketable equity securities,

as well as net realized gains and losses on nonmarketable equity investments (see Note 6 (Other Assets)).



	Quarter ended June 30,					Six months ended June 30,
(in millions)	2015			2014		2015		2014
Gross realized gains	$	255		154		603		545
Gross realized losses	(15		)	(2	)	(35	)	(5	)
OTTI write-downs	(21		)	(13	)	(52	)	(22	)
Net realized gains from available-for-sale securities	219			139		516		518
Net realized gains from nonmarketable equity investments	479			381		830		932
Net realized gains from debt securities and equity investments	$	698		520		1,346		1,450

Other-Than-Temporary Impairment

The following table shows the detail of total OTTI write-downs included in earnings for available-for-sale debt securities, marketable equity securities and nonmarketable equity investments. There were no OTTI write-downs on held-to-maturity securities during the first half of 2015 and 2014.



	Quarter ended June 30,			Six months ended June 30,
(in millions)	2015		2014	2015	2014
OTTI write-downs included in earnings
Debt securities:
Securities of U.S. states and political subdivisions	$	—	2	16	2
Mortgage-backed securities:
Residential	19		5	34	10
Commercial	—		4	—	6
Corporate debt securities	1		—	1	—
Collateralized loan and other debt obligations	—		2	—	2
Total debt securities	20		13	51	20
Equity securities:
Marketable equity securities:
Other marketable equity securities	1		—	1	2
Total marketable equity securities	1		—	1	2
Total investment securities	21		13	52	22
Nonmarketable equity investments	75		69	117	195
Total OTTI write-downs included in earnings	$	96	82	169	217

Other-Than-Temporarily Impaired Debt Securities

The following table shows the detail of OTTI write-downs on available-for-sale debt securities included in earnings and the related changes in OCI for the same securities.



	Quarter ended June 30,					Six months ended June 30,
(in millions)	2015			2014		2015		2014
OTTI on debt securities
Recorded as part of gross realized losses:
Credit-related OTTI	$	19		9		39		16
Intent-to-sell OTTI	1			4		12		4
Total recorded as part of gross realized losses	20			13		51		20
Changes to OCI for losses (reversal of losses) in non-credit-related OTTI (1):
Securities of U.S. states and political subdivisions	—			1		(1	)	1
Residential mortgage-backed securities	(10		)	(4	)	(31	)	(13	)
Commercial mortgage-backed securities	—			(7	)	(15	)	(19	)
Other debt securities	—			(1	)	—		—
Total changes to OCI for non-credit-related OTTI	(10		)	(10	)	(47	)	(31	)
Total OTTI losses (reversal of losses) recorded on debt securities	$	10		3		4		(11	)


(1)	Represents amounts recorded to OCI for impairment, due to factors other than credit, on debt securities that have also had credit-related OTTI write-downs during the period. Increases represent initial or subsequent non-credit-related OTTI on debt securities. Decreases represent partial to full reversal of impairment due to recoveries in the fair value of securities due to non-credit factors.

The following table presents a rollforward of the OTTI credit loss that has been recognized in earnings as a write-down of available-for-sale debt securities we still own (referred to as "credit-impaired" debt securities) and do not intend to sell. Recognized credit loss represents the difference between the present value of expected future cash flows discounted using the security’s current effective interest rate and the amortized cost basis of the security prior to considering credit loss.



	Quarter ended June 30,					Six months ended June 30,
(in millions)	2015			2014		2015		2014
Credit loss recognized, beginning of period	$	1,029		1,143		1,025		1,171
Additions:
For securities with initial credit impairments	—			3		—		3
For securities with previous credit impairments	19			6		39		13
Total additions	19			9		39		16
Reductions:
For securities sold, matured, or intended/required to be sold	(52		)	(40	)	(66	)	(69	)
For recoveries of previous credit impairments (1)	(3		)	(5	)	(5	)	(11	)
Total reductions	(55		)	(45	)	(71	)	(80	)
Credit loss recognized, end of period	$	993		1,107		993		1,107


(1)	Recoveries of previous credit impairments result from increases in expected cash flows subsequent to credit loss recognition. Such recoveries are reflected prospectively as interest yield adjustments using the effective interest method.