Securities (Tables)

9 Months Ended

Sep. 30, 2014

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Fair Value of the Securities Available-for-Sale and Held-to-Maturity

Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following:



September 30, 2014	Amortized Cost		Non-Credit Loss Component of OTTI Securities			Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	13,088	$	—		$	351	$	(34	)	$	13,405
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	506		—			—		(5		)	501
Collateralized mortgage obligations	29		—			—		—			29
Direct agency obligations	3,977		—			251		(8		)	4,220
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	5,887		—			101		(79		)	5,909
Collateralized mortgage obligations	290		—			3		(4		)	289
Obligations of U.S. states and political subdivisions	702		—			11		(7		)	706
Asset backed securities collateralized by:
Residential mortgages	1		—			—		—			1
Commercial mortgages	60		—			—		—			60
Home equity	100		—			—		(8		)	92
Other	106		—			—		(11		)	95
Foreign debt securities⁽²⁾	4,327		—			9		(7		)	4,329
Equity securities	165		—			3		(3		)	165
Total available-for-sale securities	$	29,238	$	—		$	729	$	(166	)	$	29,801
Securities held-to-maturity:⁽⁵⁾
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	4,402	$	—		$	79	$	(1	)	$	4,480
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	3,028		—			9		—			3,037
Collateralized mortgage obligations	4,503		—			26		—			4,529
Obligations of U.S. states and political subdivisions	24		—			1		—			25
Asset-backed securities collateralized by residential mortgages	12		—			1		—			13
Asset-backed securities and other debt securities held by a consolidated VIE⁽⁴⁾	164		(88		)	61		—			137
Total held-to-maturity securities	$	12,133	$	(88	)	$	177	$	(1	)	$	12,221



December 31, 2013	Amortized Cost		Non-Credit Loss Component of OTTI Securities			Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	27,716	$	—		$	391	$	(113	)	$	27,994
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	159		—			—		(14		)	145
Collateralized mortgage obligations	41		—			—		(1		)	40
Direct agency obligations	4,115		—			225		(16		)	4,324
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	10,304		—			40		(342		)	10,002
Collateralized mortgage obligations	6,584		—			17		(154		)	6,447
Obligations of U.S. states and political subdivisions	755		—			12		(25		)	742
Asset backed securities collateralized by:
Residential mortgages	1		—			—		—			1
Commercial mortgages	125		—			1		—			126
Home equity	263		—			—		(36		)	227
Other	100		—			—		(6		)	94
Foreign debt securities⁽²⁾	4,607		—			10		(15		)	4,602
Equity securities	165		—			2		(5		)	162
Total available-for-sale securities	$	54,935	$	—		$	698	$	(727	)	$	54,906
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	845	$	—		$	88	$	—		$	933
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	52		—			8		—			60
Collateralized mortgage obligations	214		—			24		—			238
Obligations of U.S. states and political subdivisions	29		—			1		—			30
Asset-backed securities collateralized by residential mortgages	18		—			1		—			19
Asset-backed securities and other debt securities held by a consolidated VIE⁽⁴⁾	304		(104		)	19		—			219
Total held-to-maturity securities	$	1,462	$	(104	)	$	141	$	—		$	1,499


⁽¹⁾	Includes securities at amortized cost of $507 million and $167 million issued or guaranteed by FNMA at September 30, 2014 and December 31, 2013, respectively, and $28 million and $33 million issued or guaranteed by FHLMC at September 30, 2014 and December 31, 2013, respectively.


⁽²⁾	At September 30, 2014 and December 31, 2013, foreign debt securities consisted of $1,040 million and $1,101 million, respectively, of securities fully backed by foreign governments. The remainder of foreign debt securities represents public sector entity, bank or corporate debt.


⁽³⁾	Includes securities at amortized cost of $2,776 million and $398 million issued or guaranteed by FNMA at September 30, 2014 and December 31, 2013, respectively, and $1,626 million and $447 million issued and guaranteed by FHLMC at September 30, 2014 and December 31, 2013, respectively.


⁽⁴⁾	Relates to securities held by Bryant Park Funding LLC ("Bryant Park"), a variable interest entity which was consolidated in the second quarter of 2013. See Note 16, "Variable Interest Entities" for additional information.

⁽⁵⁾

During the third quarter of 2014, we transferred U.S. government sponsored and U.S. government agency mortgage-backed securities with a fair value of $10,985 million from available-for-sale to held-to-maturity. These securities were transferred to held-to-maturity at fair value as of the transfer date with the fair value amount becoming the amortized cost basis for the transferred securities. The difference between the par value of the securities and their fair value at the date of transfer will be amortized as an adjustment to yield over the remaining contractual life of each security. At the date of the transfer, AOCI included net pretax unrealized losses of $234 million related to the transferred securities which will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount. The transfers reflect our intent to hold the securities to maturity and will reduce the impact of price volatility on AOCI and regulatory capital under Basel III.

Gross Unrealized Losses and Related Fair Values

The following table summarizes gross unrealized losses and related fair values as of September 30, 2014 and December 31, 2013 classified as to the length of time the losses have existed:



	One Year or Less						Greater Than One Year
September 30, 2014	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	10	$	(14	)	$	3,515	5	$	(20	)	$	1,582
U.S. Government sponsored enterprises	13	(2		)	361		25	(11		)	432
U.S. Government agency issued or guaranteed	6	(80		)	891		10	(3		)	62
Obligations of U.S. states and political subdivisions	23	(2		)	141		29	(5		)	285
Asset backed securities	5	(11		)	129		6	(8		)	93
Foreign debt securities	5	—			696		6	(7		)	2,419
Equity securities	1	(3		)	156		—	—			—
Securities available-for-sale	63	$	(112	)	$	5,889	81	$	(54	)	$	4,873
Securities held-to-maturity:
U.S. Government sponsored enterprises	213	$	(1	)	$	1,200	49	$	—		$	—
U.S. Government agency issued or guaranteed	116	—			1,266		809	—			2
Obligations of U.S. states and political subdivisions	—	—			—		3	—			1
Securities held-to-maturity	329	$	(1	)	$	2,466	861	$	—		$	3



	One Year or Less						Greater Than One Year
December 31, 2013	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	22	$	(82	)	$	16,958	6	$	(31	)	$	630
U.S. Government sponsored enterprises	23	(12		)	400		20	(19		)	356
U.S. Government agency issued or guaranteed	170	(494		)	10,243		5	(2		)	23
Obligations of U.S. states and political subdivisions	42	(19		)	330		5	(6		)	65
Asset backed securities	3	(6		)	115		10	(36		)	237
Foreign debt securities	1	—			50		7	(15		)	2,916
Equity securities	1	(5		)	154		—	—			—
Securities available-for-sale	262	$	(618	)	$	28,250	53	$	(109	)	$	4,227
Securities held-to-maturity:
U.S. Government sponsored enterprises	13	$	—		$	—	48	$	—		$	—
U.S. Government agency issued or guaranteed	79	—			—		859	—			2
Obligations of U.S. states and political subdivisions	7	—			4		2	—			1
Securities held-to-maturity	99	$	—		$	4	909	$	—		$	3

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table summarizes the rollforward of credit losses which have been recognized in income on other-than-temporary impaired securities that we do not intend to sell nor will likely be required to sell:



	Three Months Ended September 30, 2014		Nine Months Ended September 30, 2014
	(in millions)
Beginning balance of credit losses on held-to-maturity debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (loss)	$	68	$	61
Increase in credit losses for which an other-than-temporary impairment was previously recognized	4		11
Ending balance of credit losses on held-to-maturity debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (loss)	$	72	$	72

Realized Gains and Losses on Investment Securities Transactions Attributable to Available-for-Sale Securities

The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2014			2013			2014			2013
	(in millions)
Gross realized gains	$	45		$	68		$	113		$	275
Gross realized losses	(18		)	(33		)	(71		)	(94		)
Net realized gains	$	27		$	35		$	42		$	181

Distribution of Maturities of Debt Securities with the Approximate Yield of the Portfolio

The table below also reflects the distribution of maturities of debt securities held at September 30, 2014, together with the approximate taxable equivalent yield of the portfolio. The yields shown are calculated by dividing annual interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at September 30, 2014. 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	$	275	.35	%	$	9,446	.84	%	$	1,514	3.67	%	$	1,853	3.73	%
U.S. Government sponsored enterprises	—		—		1,074		3.08		2,316		3.26		1,122		3.31
U.S. Government agency issued or guaranteed	—		—		11		4.22		47		3.89		6,119		2.97
Obligations of U.S. states and political subdivisions	—		—		121		3.72		284		3.27		297		3.45
Asset backed securities	—		—		—		—		—		—		267		3.48
Foreign debt securities	454		2.84		3,873		1.95		—		—		—		—
Total amortized cost	$	729	1.90	%	$	14,525	1.33	%	$	4,161	3.42	%	$	9,658	3.18	%
Total fair value	$	729			$	14,595			$	4,455			$	9,857
Held-to-maturity:
U.S. Government sponsored enterprises	$	—	—	%	$	92	1.38	%	$	407	2.86	%	$	3,903	3.22	%
U.S. Government agency issued or guaranteed	—		—		1		7.63		52		2.56		7,478		2.47
Obligations of U.S. states and political subdivisions	5		5.52		9		3.97		5		4.00		5		4.98
Asset backed securities	—		—		—		—		—		—		12		6.41
Asset backed securities issued by consolidated VIE	—		—		76		0.39		—		—		—		—
Total amortized cost	$	5	5.52	%	$	178	1.11	%	$	464	2.84	%	$	11,398	2.73	%
Total fair value	$	5			$	240			$	467			$	11,509

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

+ References+ Details