| Securities |
Securities
The table below presents the amortized cost, gross unrealized gains and losses, and fair value of AFS debt securities, other debt securities carried at fair value, HTM debt securities and AFS marketable equity securities at December 31, 2015 and 2014.
|
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Debt Securities and Available-for-Sale Marketable Equity Securities |
|
|
|
|
|
|
|
December 31, 2015 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
$ |
229,847 |
|
|
$ |
788 |
|
|
$ |
(1,688 |
) |
|
$ |
228,947 |
|
Agency-collateralized mortgage obligations |
10,930 |
|
|
126 |
|
|
(71 |
) |
|
10,985 |
|
Commercial |
7,176 |
|
|
50 |
|
|
(61 |
) |
|
7,165 |
|
Non-agency residential (1)
|
3,031 |
|
|
218 |
|
|
(70 |
) |
|
3,179 |
|
Total mortgage-backed securities |
250,984 |
|
|
1,182 |
|
|
(1,890 |
) |
|
250,276 |
|
U.S. Treasury and agency securities |
25,075 |
|
|
211 |
|
|
(9 |
) |
|
25,277 |
|
Non-U.S. securities |
5,743 |
|
|
27 |
|
|
(3 |
) |
|
5,767 |
|
Corporate/Agency bonds |
243 |
|
|
3 |
|
|
(3 |
) |
|
243 |
|
Other taxable securities, substantially all asset-backed securities |
10,238 |
|
|
50 |
|
|
(86 |
) |
|
10,202 |
|
Total taxable securities |
292,283 |
|
|
1,473 |
|
|
(1,991 |
) |
|
291,765 |
|
Tax-exempt securities |
13,978 |
|
|
63 |
|
|
(33 |
) |
|
14,008 |
|
Total available-for-sale debt securities |
306,261 |
|
|
1,536 |
|
|
(2,024 |
) |
|
305,773 |
|
Other debt securities carried at fair value |
16,678 |
|
|
103 |
|
|
(174 |
) |
|
16,607 |
|
Total debt securities carried at fair value (2)
|
322,939 |
|
|
1,639 |
|
|
(2,198 |
) |
|
322,380 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
84,625 |
|
|
271 |
|
|
(850 |
) |
|
84,046 |
|
Total debt securities |
$ |
407,564 |
|
|
$ |
1,910 |
|
|
$ |
(3,048 |
) |
|
$ |
406,426 |
|
Available-for-sale marketable equity securities (3)
|
$ |
326 |
|
|
$ |
99 |
|
|
$ |
— |
|
|
$ |
425 |
|
|
|
|
|
|
|
|
|
|
December 31, 2014 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
163,592 |
|
|
$ |
2,040 |
|
|
$ |
(593 |
) |
|
$ |
165,039 |
|
Agency-collateralized mortgage obligations |
14,175 |
|
|
152 |
|
|
(79 |
) |
|
14,248 |
|
Commercial |
3,931 |
|
|
69 |
|
|
— |
|
|
4,000 |
|
Non-agency residential (1)
|
4,244 |
|
|
287 |
|
|
(77 |
) |
|
4,454 |
|
Total mortgage-backed securities |
185,942 |
|
|
2,548 |
|
|
(749 |
) |
|
187,741 |
|
U.S. Treasury and agency securities |
69,267 |
|
|
360 |
|
|
(32 |
) |
|
69,595 |
|
Non-U.S. securities |
6,208 |
|
|
33 |
|
|
(11 |
) |
|
6,230 |
|
Corporate/Agency bonds |
361 |
|
|
9 |
|
|
(2 |
) |
|
368 |
|
Other taxable securities, substantially all asset-backed securities |
10,774 |
|
|
39 |
|
|
(22 |
) |
|
10,791 |
|
Total taxable securities |
272,552 |
|
|
2,989 |
|
|
(816 |
) |
|
274,725 |
|
Tax-exempt securities |
9,556 |
|
|
12 |
|
|
(19 |
) |
|
9,549 |
|
Total available-for-sale debt securities |
282,108 |
|
|
3,001 |
|
|
(835 |
) |
|
284,274 |
|
Other debt securities carried at fair value |
36,524 |
|
|
261 |
|
|
(364 |
) |
|
36,421 |
|
Total debt securities carried at fair value (2)
|
318,632 |
|
|
3,262 |
|
|
(1,199 |
) |
|
320,695 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
59,766 |
|
|
486 |
|
|
(611 |
) |
|
59,641 |
|
Total debt securities |
$ |
378,398 |
|
|
$ |
3,748 |
|
|
$ |
(1,810 |
) |
|
$ |
380,336 |
|
Available-for-sale marketable equity securities (3)
|
$ |
336 |
|
|
$ |
27 |
|
|
$ |
— |
|
|
$ |
363 |
|
|
|
(1) |
At December 31, 2015 and 2014, the underlying collateral type included approximately 71 percent and 76 percent prime, 15 percent and 14 percent Alt-A, and 14 percent and 10 percent subprime.
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|
|
(2) |
The Corporation had debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $146.2 billion and $53.4 billion, and a fair value of $145.5 billion and $53.2 billion at December 31, 2015. Debt securities from FNMA and FHLMC that exceeded 10 percent of shareholders’ equity had an amortized cost of $130.7 billion and $28.3 billion, and a fair value of $131.4 billion and $28.6 billion at December 31, 2014.
|
|
|
(3) |
Classified in other assets on the Consolidated Balance Sheet. |
At December 31, 2015, the accumulated net unrealized loss on AFS debt securities included in accumulated OCI was $300 million, net of the related income tax benefit of $188 million. At December 31, 2015 and 2014, the Corporation had nonperforming AFS debt securities of $188 million and $161 million.
The table below presents the components of other debt securities carried at fair value where the changes in fair value are reported in other income. In 2015, the Corporation recorded unrealized mark-to-market net gains of $43 million and realized net losses of $313 million, compared to unrealized mark-to-market net gains of $1.2 billion and realized net gains of $275 million in 2014. These amounts exclude hedge results.
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|
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|
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Other Debt Securities Carried at Fair Value |
|
|
|
|
|
December 31 |
(Dollars in millions) |
2015 |
|
2014 |
Mortgage-backed securities: |
|
|
|
Agency |
$ |
— |
|
|
$ |
15,704 |
|
Agency-collateralized mortgage obligations |
7 |
|
|
— |
|
Non-agency residential |
3,490 |
|
|
3,745 |
|
Total mortgage-backed securities |
3,497 |
|
|
19,449 |
|
U.S. Treasury and agency securities |
— |
|
|
1,541 |
|
Non-U.S. securities (1)
|
12,843 |
|
|
15,132 |
|
Other taxable securities, substantially all asset-backed securities |
267 |
|
|
299 |
|
Total |
$ |
16,607 |
|
|
$ |
36,421 |
|
|
|
(1) |
These securities are primarily used to satisfy certain international regulatory liquidity requirements. |
The gross realized gains and losses on sales of AFS debt securities for 2015, 2014 and 2013 are presented in the table below.
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|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains and Losses on Sales of AFS Debt Securities |
|
|
|
|
|
|
(Dollars in millions) |
2015 |
|
2014 |
|
2013 |
Gross gains |
$ |
1,118 |
|
|
$ |
1,366 |
|
|
$ |
1,302 |
|
Gross losses |
(27 |
) |
|
(12 |
) |
|
(31 |
) |
Net gains on sales of AFS debt securities |
$ |
1,091 |
|
|
$ |
1,354 |
|
|
$ |
1,271 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
415 |
|
|
$ |
515 |
|
|
$ |
470 |
|
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at December 31, 2015 and 2014.
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|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015 |
|
Less than Twelve Months |
|
Twelve Months or Longer |
|
Total |
(Dollars in millions) |
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
131,511 |
|
|
$ |
(1,245 |
) |
|
$ |
14,895 |
|
|
$ |
(443 |
) |
|
$ |
146,406 |
|
|
$ |
(1,688 |
) |
Agency-collateralized mortgage obligations |
1,271 |
|
|
(9 |
) |
|
1,637 |
|
|
(62 |
) |
|
2,908 |
|
|
(71 |
) |
Commercial |
4,066 |
|
|
(61 |
) |
|
— |
|
|
— |
|
|
4,066 |
|
|
(61 |
) |
Non-agency residential |
553 |
|
|
(5 |
) |
|
723 |
|
|
(32 |
) |
|
1,276 |
|
|
(37 |
) |
Total mortgage-backed securities |
137,401 |
|
|
(1,320 |
) |
|
17,255 |
|
|
(537 |
) |
|
154,656 |
|
|
(1,857 |
) |
U.S. Treasury and agency securities |
1,172 |
|
|
(5 |
) |
|
190 |
|
|
(4 |
) |
|
1,362 |
|
|
(9 |
) |
Non-U.S. securities |
— |
|
|
— |
|
|
134 |
|
|
(3 |
) |
|
134 |
|
|
(3 |
) |
Corporate/Agency bonds |
107 |
|
|
(3 |
) |
|
— |
|
|
— |
|
|
107 |
|
|
(3 |
) |
Other taxable securities, substantially all asset-backed securities |
5,071 |
|
|
(69 |
) |
|
792 |
|
|
(17 |
) |
|
5,863 |
|
|
(86 |
) |
Total taxable securities |
143,751 |
|
|
(1,397 |
) |
|
18,371 |
|
|
(561 |
) |
|
162,122 |
|
|
(1,958 |
) |
Tax-exempt securities |
4,400 |
|
|
(12 |
) |
|
1,877 |
|
|
(21 |
) |
|
6,277 |
|
|
(33 |
) |
Total temporarily impaired AFS debt securities |
148,151 |
|
|
(1,409 |
) |
|
20,248 |
|
|
(582 |
) |
|
168,399 |
|
|
(1,991 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
481 |
|
|
(19 |
) |
|
98 |
|
|
(14 |
) |
|
579 |
|
|
(33 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
148,632 |
|
|
$ |
(1,428 |
) |
|
$ |
20,346 |
|
|
$ |
(596 |
) |
|
$ |
168,978 |
|
|
$ |
(2,024 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014 |
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
1,366 |
|
|
$ |
(8 |
) |
|
$ |
43,118 |
|
|
$ |
(585 |
) |
|
$ |
44,484 |
|
|
$ |
(593 |
) |
Agency-collateralized mortgage obligations |
2,242 |
|
|
(19 |
) |
|
3,075 |
|
|
(60 |
) |
|
5,317 |
|
|
(79 |
) |
Non-agency residential |
307 |
|
|
(3 |
) |
|
809 |
|
|
(41 |
) |
|
1,116 |
|
|
(44 |
) |
Total mortgage-backed securities |
3,915 |
|
|
(30 |
) |
|
47,002 |
|
|
(686 |
) |
|
50,917 |
|
|
(716 |
) |
U.S. Treasury and agency securities |
10,121 |
|
|
(22 |
) |
|
667 |
|
|
(10 |
) |
|
10,788 |
|
|
(32 |
) |
Non-U.S. securities |
157 |
|
|
(9 |
) |
|
32 |
|
|
(2 |
) |
|
189 |
|
|
(11 |
) |
Corporate/Agency bonds |
43 |
|
|
(1 |
) |
|
93 |
|
|
(1 |
) |
|
136 |
|
|
(2 |
) |
Other taxable securities, substantially all asset-backed securities |
575 |
|
|
(3 |
) |
|
1,080 |
|
|
(19 |
) |
|
1,655 |
|
|
(22 |
) |
Total taxable securities |
14,811 |
|
|
(65 |
) |
|
48,874 |
|
|
(718 |
) |
|
63,685 |
|
|
(783 |
) |
Tax-exempt securities |
980 |
|
|
(1 |
) |
|
680 |
|
|
(18 |
) |
|
1,660 |
|
|
(19 |
) |
Total temporarily impaired AFS debt securities |
15,791 |
|
|
(66 |
) |
|
49,554 |
|
|
(736 |
) |
|
65,345 |
|
|
(802 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
555 |
|
|
(33 |
) |
|
— |
|
|
— |
|
|
555 |
|
|
(33 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
16,346 |
|
|
$ |
(99 |
) |
|
$ |
49,554 |
|
|
$ |
(736 |
) |
|
$ |
65,900 |
|
|
$ |
(835 |
) |
|
|
(1) |
Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss, primarily related to changes in interest rates, remains in accumulated OCI. |
The Corporation recorded OTTI losses on AFS debt securities in 2015, 2014 and 2013 as presented in the Net Credit-related Impairment Losses Recognized in Earnings table. Substantially all OTTI losses in 2015, 2014 and 2013 consisted of credit losses on non-agency residential mortgage-backed securities (RMBS) and were recorded in other income in the Consolidated Statement of Income. The credit losses on the RMBS in 2015 were driven by decreases in the estimated RMBS cash flows primarily due to a model change resulting in the refinement of expected cash flows.
A debt security is impaired when its fair value is less than its amortized cost. If the Corporation intends or will more-likely-than-not be required to sell a debt security prior to recovery, the entire impairment loss is recorded in the Consolidated Statement of Income. For AFS debt securities the Corporation does not intend or will not more-likely-than-not be required to sell, an analysis is performed to determine if any of the impairment is due to credit or whether it is due to other factors (e.g., interest rate). Credit losses are considered unrecoverable and are recorded in the Consolidated Statement of Income with the remaining unrealized losses recorded in OCI. In certain instances, the credit loss on a debt security may exceed the total impairment, in which case, the excess of the credit loss over the total impairment is recorded as an unrealized gain in OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Credit-related Impairment Losses Recognized in Earnings |
|
|
|
|
|
|
(Dollars in millions) |
2015 |
|
2014 |
|
2013 |
Total OTTI losses |
$ |
(111 |
) |
|
$ |
(30 |
) |
|
$ |
(21 |
) |
Less: non-credit portion of total OTTI losses recognized in OCI |
30 |
|
|
14 |
|
|
1 |
|
Net credit-related impairment losses recognized in earnings |
$ |
(81 |
) |
|
$ |
(16 |
) |
|
$ |
(20 |
) |
The table below presents a rollforward of the credit losses recognized in earnings in 2015, 2014 and 2013 on AFS debt securities that the Corporation does not have the intent to sell or will not more-likely-than-not be required to sell.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rollforward of OTTI Credit Losses Recognized |
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
2015 |
|
2014 |
|
2013 |
Balance, January 1 |
$ |
200 |
|
|
$ |
184 |
|
|
$ |
243 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
52 |
|
|
14 |
|
|
6 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
29 |
|
|
2 |
|
|
14 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
(15 |
) |
|
— |
|
|
(79 |
) |
Balance, December 31 |
$ |
266 |
|
|
$ |
200 |
|
|
$ |
184 |
|
The Corporation estimates the portion of a loss on a security that is attributable to credit using a discounted cash flow model and estimates the expected cash flows of the underlying collateral using internal credit, interest rate and prepayment risk models that incorporate management’s best estimate of current key assumptions such as default rates, loss severity and prepayment rates. Assumptions used for the underlying loans that support the MBS can vary widely from loan to loan and are influenced by such factors as loan interest rate, geographic location of the borrower, borrower characteristics and collateral type. Based on these assumptions, the Corporation then determines how the underlying collateral cash flows will be distributed to each MBS issued from the applicable special purpose entity. Expected principal and interest cash flows on an impaired AFS debt security are discounted using the effective yield of each individual impaired AFS debt security.
Significant assumptions used in estimating the expected cash flows for measuring credit losses on non-agency RMBS were as follows at December 31, 2015.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
|
|
|
|
|
|
Range (1)
|
|
Weighted-
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
12.6 |
% |
|
3.8 |
% |
|
25.5 |
% |
Loss severity |
32.6 |
|
|
12.9 |
|
|
34.8 |
|
Life default rate |
26.0 |
|
|
0.8 |
|
|
86.1 |
|
|
|
(1) |
Represents the range of inputs/assumptions based upon the underlying collateral. |
|
|
(2) |
The value of a variable below which the indicated percentile of observations will fall. |
Constant prepayment speed and loss severity rates are projected considering collateral characteristics such as LTV, creditworthiness of borrowers as measured using FICO scores, and geographic concentrations. The weighted-average severity by collateral type was 29.2 percent for prime, 31.4 percent for Alt-A and 42.9 percent for subprime at December 31, 2015. Additionally, default rates are projected by considering collateral characteristics including, but not limited to, LTV, FICO and geographic concentration. Weighted-average life default rates by collateral type were 16.1 percent for prime, 28.0 percent for Alt-A and 27.2 percent for subprime at December 31, 2015.
The expected maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2015 are summarized in the table below. Actual maturities may differ from the contractual or expected maturities since borrowers may have the right to prepay obligations with or without prepayment penalties.
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Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities |
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December 31, 2015 |
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Due in One
Year or Less
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Due after One Year
through Five Years
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Due after Five Years
through Ten Years
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Due after
Ten Years
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Total |
(Dollars in millions) |
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
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Amortized cost of debt securities carried at fair value |
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Mortgage-backed securities: |
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
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Agency |
$ |
57 |
|
|
4.40 |
% |
|
$ |
28,943 |
|
|
2.40 |
% |
|
$ |
197,797 |
|
|
2.80 |
% |
|
$ |
3,050 |
|
|
2.90 |
% |
|
$ |
229,847 |
|
|
2.75 |
% |
Agency-collateralized mortgage obligations |
157 |
|
|
1.10 |
|
|
3,077 |
|
|
2.20 |
|
|
7,702 |
|
|
2.80 |
|
|
— |
|
|
— |
|
|
10,936 |
|
|
2.61 |
|
Commercial |
205 |
|
|
2.16 |
|
|
615 |
|
|
2.10 |
|
|
6,356 |
|
|
2.70 |
|
|
— |
|
|
— |
|
|
7,176 |
|
|
2.63 |
|
Non-agency residential |
320 |
|
|
5.00 |
|
|
1,123 |
|
|
4.99 |
|
|
1,165 |
|
|
4.18 |
|
|
3,989 |
|
|
7.90 |
|
|
6,597 |
|
|
6.60 |
|
Total mortgage-backed securities |
739 |
|
|
3.31 |
|
|
33,758 |
|
|
2.46 |
|
|
213,020 |
|
|
2.80 |
|
|
7,039 |
|
|
5.73 |
|
|
254,556 |
|
|
3.03 |
|
U.S. Treasury and agency securities |
516 |
|
|
0.19 |
|
|
23,103 |
|
|
1.70 |
|
|
1,454 |
|
|
3.14 |
|
|
2 |
|
|
4.57 |
|
|
25,075 |
|
|
1.75 |
|
Non-U.S. securities |
16,707 |
|
|
0.82 |
|
|
1,864 |
|
|
3.08 |
|
|
6 |
|
|
2.79 |
|
|
— |
|
|
— |
|
|
18,577 |
|
|
1.04 |
|
Corporate/Agency bonds |
40 |
|
|
3.97 |
|
|
69 |
|
|
4.20 |
|
|
131 |
|
|
3.41 |
|
|
3 |
|
|
3.67 |
|
|
243 |
|
|
3.93 |
|
Other taxable securities, substantially all asset-backed securities |
2,918 |
|
|
1.11 |
|
|
4,596 |
|
|
1.28 |
|
|
2,268 |
|
|
2.38 |
|
|
728 |
|
|
3.96 |
|
|
10,510 |
|
|
1.67 |
|
Total taxable securities |
20,920 |
|
|
0.94 |
|
|
63,390 |
|
|
2.13 |
|
|
216,879 |
|
|
2.81 |
|
|
7,772 |
|
|
5.57 |
|
|
308,961 |
|
|
2.61 |
|
Tax-exempt securities |
836 |
|
|
1.27 |
|
|
5,127 |
|
|
1.31 |
|
|
5,879 |
|
|
1.35 |
|
|
2,136 |
|
|
1.55 |
|
|
13,978 |
|
|
1.36 |
|
Total amortized cost of debt securities carried at fair value |
$ |
21,756 |
|
|
0.95 |
|
|
$ |
68,517 |
|
|
2.06 |
|
|
$ |
222,758 |
|
|
2.77 |
|
|
$ |
9,908 |
|
|
4.70 |
|
|
$ |
322,939 |
|
|
2.56 |
|
Amortized cost of HTM debt securities (2)
|
$ |
568 |
|
|
0.01 |
|
|
$ |
18,325 |
|
|
2.30 |
|
|
$ |
62,978 |
|
|
2.50 |
|
|
$ |
2,754 |
|
|
2.82 |
|
|
$ |
84,625 |
|
|
2.45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
59 |
|
|
|
|
|
$ |
29,150 |
|
|
|
|
|
$ |
196,720 |
|
|
|
|
|
$ |
3,018 |
|
|
|
|
|
$ |
228,947 |
|
|
|
|
Agency-collateralized mortgage obligations |
157 |
|
|
|
|
|
3,056 |
|
|
|
|
|
7,779 |
|
|
|
|
|
— |
|
|
|
|
|
10,992 |
|
|
|
|
Commercial |
223 |
|
|
|
|
|
618 |
|
|
|
|
|
6,324 |
|
|
|
|
|
— |
|
|
|
|
|
7,165 |
|
|
|
|
Non-agency residential |
354 |
|
|
|
|
|
1,102 |
|
|
|
|
|
1,263 |
|
|
|
|
|
3,950 |
|
|
|
|
|
6,669 |
|
|
|
|
Total mortgage-backed securities |
793 |
|
|
|
|
33,926 |
|
|
|
|
212,086 |
|
|
|
|
6,968 |
|
|
|
|
253,773 |
|
|
|
U.S. Treasury and agency securities |
516 |
|
|
|
|
23,266 |
|
|
|
|
1,493 |
|
|
|
|
2 |
|
|
|
|
25,277 |
|
|
|
Non-U.S. securities |
16,720 |
|
|
|
|
|
1,884 |
|
|
|
|
|
6 |
|
|
|
|
|
— |
|
|
|
|
|
18,610 |
|
|
|
|
Corporate/Agency bonds |
41 |
|
|
|
|
|
70 |
|
|
|
|
|
128 |
|
|
|
|
|
4 |
|
|
|
|
|
243 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
3,102 |
|
|
|
|
|
4,349 |
|
|
|
|
|
2,296 |
|
|
|
|
|
722 |
|
|
|
|
|
10,469 |
|
|
|
|
Total taxable securities |
21,172 |
|
|
|
|
|
63,495 |
|
|
|
|
|
216,009 |
|
|
|
|
|
7,696 |
|
|
|
|
|
308,372 |
|
|
|
|
Tax-exempt securities |
836 |
|
|
|
|
|
5,161 |
|
|
|
|
|
5,882 |
|
|
|
|
|
2,129 |
|
|
|
|
|
14,008 |
|
|
|
|
Total debt securities carried at fair value |
$ |
22,008 |
|
|
|
|
|
$ |
68,656 |
|
|
|
|
|
$ |
221,891 |
|
|
|
|
|
$ |
9,825 |
|
|
|
|
|
$ |
322,380 |
|
|
|
|
Fair value of HTM debt securities (2)
|
$ |
569 |
|
|
|
|
$ |
18,356 |
|
|
|
|
$ |
62,360 |
|
|
|
|
$ |
2,761 |
|
|
|
|
$ |
84,046 |
|
|
|
|
|
(1) |
Average yield is computed using the effective yield of each security at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and excludes the effect of related hedging derivatives. |
|
|
(2) |
Substantially all U.S. agency MBS. |
Certain Corporate and Strategic Investments
The Corporation’s 49 percent investment in a merchant services joint venture, which is recorded in other assets on the Consolidated Balance Sheet and in All Other, had a carrying value of $3.0 billion and $3.1 billion at December 31, 2015 and 2014. For additional information, see Note 12 – Commitments and Contingencies.
In 2013, the Corporation sold its remaining investment in China Construction Bank Corporation (CCB) and realized a pretax gain of $753 million in All Other reported in equity investment income in the Consolidated Statement of Income. The strategic assistance agreement between the Corporation and CCB, which includes cooperation in specific business areas, extends through 2016.
The Corporation holds investments in partnerships that construct, own and operate real estate projects that qualify for low income housing tax credits. The Corporation earns a return primarily through the receipt of tax credits allocated to the real estate projects.
Total low income housing tax credit investments were $7.1 billion and $6.6 billion at December 31, 2015 and 2014. These investments are reported in other assets on the Consolidated Balance Sheet. The Corporation had unfunded commitments to provide capital contributions of $2.4 billion and $2.2 billion to these partnerships at December 31, 2015 and 2014, which are expected to be paid over the next five years. These commitments are reported in accrued expenses and other liabilities on the Consolidated Balance Sheet. During 2015 and 2014, the Corporation recognized tax credits and other tax benefits from investments in affordable housing partnerships of $928 million and $920 million, partially offset by pretax losses recognized in other income of $629 million and $601 million.
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