| Securities |
Securities
The Corporation’s debt securities carried at fair value include debt securities purchased for longer term investment purposes and are used as part of ALM and other strategic activities. Generally, debt securities carried at fair value are accounted for as available-for-sale (AFS) debt securities with unrealized gains and losses reported in accumulated OCI. For certain other debt securities purchased for ALM and other strategic purposes, the Corporation has elected to report those securities at fair value with unrealized gains and losses reported in other income (loss) in the Consolidated Statement of Income.
As a result of growth in the portfolio of debt securities carried at fair value with unrealized gains and losses recorded in other income (loss) and to better reflect how such a portfolio is managed as part of the ALM activities, the Corporation changed the presentation of such securities in 2013 to combine debt securities carried at fair value into one line item on the Consolidated Balance Sheet. Previously, the portfolio of debt securities carried at fair value with unrealized gains and losses recorded in other income (loss) was classified in other assets. The Corporation may hedge these debt securities with risk management derivatives with the unrealized gains and losses also reported in other income (loss). Certain debt securities are carried at fair value with unrealized gains and losses reported in other income (loss) to mitigate accounting asymmetry with the risk management derivatives and to achieve operational simplifications. Prior-period amounts have been reclassified to conform to the current period presentation.
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, held-to-maturity (HTM) debt securities and AFS marketable equity securities at December 31, 2013 and 2012.
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Debt Securities and Available-for-Sale Marketable Equity Securities |
|
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|
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|
December 31, 2013 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
8,910 |
|
|
$ |
106 |
|
|
$ |
(62 |
) |
|
$ |
8,954 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
170,112 |
|
|
777 |
|
|
(5,954 |
) |
|
164,935 |
|
Agency-collateralized mortgage obligations |
22,731 |
|
|
76 |
|
|
(315 |
) |
|
22,492 |
|
Non-agency residential (1)
|
6,124 |
|
|
238 |
|
|
(123 |
) |
|
6,239 |
|
Commercial |
2,429 |
|
|
63 |
|
|
(12 |
) |
|
2,480 |
|
Non-U.S. securities |
7,207 |
|
|
37 |
|
|
(24 |
) |
|
7,220 |
|
Corporate/Agency bonds |
860 |
|
|
20 |
|
|
(7 |
) |
|
873 |
|
Other taxable securities, substantially all asset-backed securities |
16,805 |
|
|
30 |
|
|
(5 |
) |
|
16,830 |
|
Total taxable securities |
235,178 |
|
|
1,347 |
|
|
(6,502 |
) |
|
230,023 |
|
Tax-exempt securities |
5,967 |
|
|
10 |
|
|
(49 |
) |
|
5,928 |
|
Total available-for-sale debt securities |
241,145 |
|
|
1,357 |
|
|
(6,551 |
) |
|
235,951 |
|
Other debt securities carried at fair value |
34,145 |
|
|
34 |
|
|
(1,335 |
) |
|
32,844 |
|
Total debt securities carried at fair value |
275,290 |
|
|
1,391 |
|
|
(7,886 |
) |
|
268,795 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
55,150 |
|
|
20 |
|
|
(2,740 |
) |
|
52,430 |
|
Total debt securities |
$ |
330,440 |
|
|
$ |
1,411 |
|
|
$ |
(10,626 |
) |
|
$ |
321,225 |
|
Available-for-sale marketable equity securities (2)
|
$ |
230 |
|
|
$ |
— |
|
|
$ |
(7 |
) |
|
$ |
223 |
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
24,232 |
|
|
$ |
324 |
|
|
$ |
(84 |
) |
|
$ |
24,472 |
|
Mortgage-backed securities: |
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|
|
|
|
|
|
|
|
|
|
Agency |
183,247 |
|
|
5,048 |
|
|
(146 |
) |
|
188,149 |
|
Agency-collateralized mortgage obligations |
36,329 |
|
|
1,427 |
|
|
(218 |
) |
|
37,538 |
|
Non-agency residential (1)
|
9,231 |
|
|
391 |
|
|
(128 |
) |
|
9,494 |
|
Non-agency commercial |
3,576 |
|
|
348 |
|
|
— |
|
|
3,924 |
|
Non-U.S. securities |
5,574 |
|
|
50 |
|
|
(6 |
) |
|
5,618 |
|
Corporate/Agency bonds |
1,415 |
|
|
51 |
|
|
(16 |
) |
|
1,450 |
|
Other taxable securities, substantially all asset-backed securities |
12,089 |
|
|
54 |
|
|
(15 |
) |
|
12,128 |
|
Total taxable securities |
275,693 |
|
|
7,693 |
|
|
(613 |
) |
|
282,773 |
|
Tax-exempt securities |
4,167 |
|
|
13 |
|
|
(47 |
) |
|
4,133 |
|
Total available-for-sale debt securities |
279,860 |
|
|
7,706 |
|
|
(660 |
) |
|
286,906 |
|
Other debt securities carried at fair value |
23,927 |
|
|
120 |
|
|
(103 |
) |
|
23,944 |
|
Total debt securities carried at fair value |
303,787 |
|
|
7,826 |
|
|
(763 |
) |
|
310,850 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
49,481 |
|
|
815 |
|
|
(26 |
) |
|
50,270 |
|
Total debt securities |
$ |
353,268 |
|
|
$ |
8,641 |
|
|
$ |
(789 |
) |
|
$ |
361,120 |
|
Available-for-sale marketable equity securities (2)
|
$ |
780 |
|
|
$ |
732 |
|
|
$ |
— |
|
|
$ |
1,512 |
|
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|
(1) |
At December 31, 2013 and 2012, the underlying collateral type included approximately 89 percent and 91 percent prime, seven percent and six percent Alt-A, and four percent and three percent subprime.
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(2) |
Classified in other assets on the Consolidated Balance Sheet. |
At December 31, 2013, the accumulated net unrealized loss on AFS debt securities included in accumulated OCI was $3.3 billion, net of the related income tax benefit of $1.9 billion. At December 31, 2013 and 2012, the Corporation had nonperforming AFS debt securities of $103 million and $91 million.
The following table presents the components of other debt securities carried at fair value where the changes in fair value are reported in other income (loss) at December 31, 2013 and 2012. In 2013, the Corporation recorded unrealized mark-to-market net losses in other income (loss) of $1.3 billion and realized losses of $1.0 billion on other debt securities carried at fair value, which excludes the benefit of certain hedges the results of which are also reported in other income (loss). Amounts in 2012 were insignificant.
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Other Debt Securities Carried at Fair Value |
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December 31 |
(Dollars in millions) |
2013 |
|
2012 |
U.S. Treasury and agency securities |
$ |
4,062 |
|
|
$ |
491 |
|
Mortgage-backed securities: |
|
|
|
Agency |
16,500 |
|
|
13,073 |
|
Agency-collateralized mortgage obligations |
218 |
|
|
929 |
|
Commercial |
749 |
|
|
— |
|
Non-U.S. securities (1)
|
11,315 |
|
|
9,451 |
|
Total |
$ |
32,844 |
|
|
$ |
23,944 |
|
|
|
(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 2013, 2012 and 2011 are presented in the table below.
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Gains and Losses on Sales of AFS Debt Securities |
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|
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(Dollars in millions) |
2013 |
|
2012 |
|
2011 |
Gross gains |
$ |
1,302 |
|
|
$ |
2,128 |
|
|
$ |
3,685 |
|
Gross losses |
(31 |
) |
|
(466 |
) |
|
(311 |
) |
Net gains on sales of AFS debt securities |
$ |
1,271 |
|
|
$ |
1,662 |
|
|
$ |
3,374 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
470 |
|
|
$ |
615 |
|
|
$ |
1,248 |
|
The amortized cost and fair value of the Corporation’s debt securities carried at fair value and HTM debt securities from Fannie Mae (FNMA), the Government National Mortgage Association (GNMA) and Freddie Mac (FHLMC), where the investment exceeded 10 percent of consolidated shareholders’ equity at December 31, 2013 and 2012, are presented in the table below.
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Selected Securities Exceeding 10 Percent of Shareholders’ Equity |
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|
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|
|
December 31 |
|
2013 |
|
2012 |
(Dollars in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
Fannie Mae |
$ |
123,813 |
|
|
$ |
118,708 |
|
|
$ |
121,522 |
|
|
$ |
123,933 |
|
Government National Mortgage Association |
118,700 |
|
|
115,314 |
|
|
124,348 |
|
|
127,541 |
|
Freddie Mac |
24,908 |
|
|
24,075 |
|
|
22,995 |
|
|
23,502 |
|
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, 2013 and 2012.
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|
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Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
|
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 available-for-sale debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
5,770 |
|
|
$ |
(61 |
) |
|
$ |
19 |
|
|
$ |
(1 |
) |
|
$ |
5,789 |
|
|
$ |
(62 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
132,032 |
|
|
(5,457 |
) |
|
9,324 |
|
|
(497 |
) |
|
141,356 |
|
|
(5,954 |
) |
Agency-collateralized mortgage obligations |
13,438 |
|
|
(210 |
) |
|
2,661 |
|
|
(105 |
) |
|
16,099 |
|
|
(315 |
) |
Non-agency residential |
819 |
|
|
(15 |
) |
|
1,237 |
|
|
(106 |
) |
|
2,056 |
|
|
(121 |
) |
Commercial |
286 |
|
|
(12 |
) |
|
— |
|
|
— |
|
|
286 |
|
|
(12 |
) |
Non-U.S. securities |
— |
|
|
— |
|
|
45 |
|
|
(24 |
) |
|
45 |
|
|
(24 |
) |
Corporate/Agency bonds |
106 |
|
|
(3 |
) |
|
282 |
|
|
(4 |
) |
|
388 |
|
|
(7 |
) |
Other taxable securities, substantially all asset-backed securities |
116 |
|
|
(2 |
) |
|
280 |
|
|
(3 |
) |
|
396 |
|
|
(5 |
) |
Total taxable securities |
152,567 |
|
|
(5,760 |
) |
|
13,848 |
|
|
(740 |
) |
|
166,415 |
|
|
(6,500 |
) |
Tax-exempt securities |
1,789 |
|
|
(30 |
) |
|
990 |
|
|
(19 |
) |
|
2,779 |
|
|
(49 |
) |
Total temporarily impaired available-for-sale debt securities |
154,356 |
|
|
(5,790 |
) |
|
14,838 |
|
|
(759 |
) |
|
169,194 |
|
|
(6,549 |
) |
Other-than-temporarily impaired available-for-sale debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
2 |
|
|
(1 |
) |
|
1 |
|
|
(1 |
) |
|
3 |
|
|
(2 |
) |
Total temporarily impaired and other-than-temporarily impaired available-for-sale securities (2)
|
$ |
154,358 |
|
|
$ |
(5,791 |
) |
|
$ |
14,839 |
|
|
$ |
(760 |
) |
|
$ |
169,197 |
|
|
$ |
(6,551 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
Temporarily impaired available-for-sale debt securities |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
— |
|
|
$ |
— |
|
|
$ |
5,608 |
|
|
$ |
(84 |
) |
|
$ |
5,608 |
|
|
$ |
(84 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
15,593 |
|
|
(133 |
) |
|
735 |
|
|
(13 |
) |
|
16,328 |
|
|
(146 |
) |
Agency-collateralized mortgage obligations |
5,135 |
|
|
(121 |
) |
|
4,994 |
|
|
(97 |
) |
|
10,129 |
|
|
(218 |
) |
Non-agency residential |
592 |
|
|
(13 |
) |
|
1,555 |
|
|
(110 |
) |
|
2,147 |
|
|
(123 |
) |
Non-U.S. securities |
1,715 |
|
|
(1 |
) |
|
563 |
|
|
(5 |
) |
|
2,278 |
|
|
(6 |
) |
Corporate/Agency bonds |
— |
|
|
— |
|
|
277 |
|
|
(16 |
) |
|
277 |
|
|
(16 |
) |
Other taxable securities, substantially all asset-backed securities |
1,678 |
|
|
(1 |
) |
|
1,436 |
|
|
(14 |
) |
|
3,114 |
|
|
(15 |
) |
Total taxable securities |
24,713 |
|
|
(269 |
) |
|
15,168 |
|
|
(339 |
) |
|
39,881 |
|
|
(608 |
) |
Tax-exempt securities |
1,609 |
|
|
(9 |
) |
|
1,072 |
|
|
(38 |
) |
|
2,681 |
|
|
(47 |
) |
Total temporarily impaired available-for-sale debt securities |
26,322 |
|
|
(278 |
) |
|
16,240 |
|
|
(377 |
) |
|
42,562 |
|
|
(655 |
) |
Other-than-temporarily impaired available-for-sale debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
14 |
|
|
(1 |
) |
|
74 |
|
|
(4 |
) |
|
88 |
|
|
(5 |
) |
Total temporarily impaired and other-than-temporarily impaired available-for-sale securities (2)
|
$ |
26,336 |
|
|
$ |
(279 |
) |
|
$ |
16,314 |
|
|
$ |
(381 |
) |
|
$ |
42,650 |
|
|
$ |
(660 |
) |
|
|
(1) |
Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss remains in accumulated OCI. |
|
|
(2)
|
At December 31, 2013 and 2012, the amortized cost of approximately 4,700 and 2,600 AFS debt securities exceeded their fair value by $6.6 billion and $660 million.
|
The Corporation recorded other-than-temporary impairment (OTTI) losses on AFS debt securities in 2013, 2012 and 2011 as presented in the table below. 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 accumulated OCI. In certain instances, the credit loss on a debt security may exceed the total impairment, in which case, the portion of the credit loss that exceeds the total impairment is recorded as an unrealized gain in accumulated OCI.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Impairment Losses Recognized in Earnings |
|
|
|
|
|
|
|
|
|
|
|
|
2013 |
(Dollars in millions) |
Non-agency
Residential
MBS |
|
Non-agency
Commercial
MBS |
|
Other
Taxable
Securities |
|
Total |
Total OTTI losses (unrealized and realized) |
$ |
(21 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(21 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Net impairment losses recognized in earnings |
$ |
(20 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(20 |
) |
|
|
|
|
|
|
|
|
|
2012 |
Total OTTI losses (unrealized and realized) |
$ |
(50 |
) |
|
$ |
(7 |
) |
|
$ |
— |
|
|
$ |
(57 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
Net impairment losses recognized in earnings |
$ |
(46 |
) |
|
$ |
(7 |
) |
|
$ |
— |
|
|
$ |
(53 |
) |
|
|
|
|
|
|
|
|
|
2011 |
Total OTTI losses (unrealized and realized) |
$ |
(348 |
) |
|
$ |
(10 |
) |
|
$ |
(2 |
) |
|
$ |
(360 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
61 |
|
|
— |
|
|
— |
|
|
61 |
|
Net impairment losses recognized in earnings |
$ |
(287 |
) |
|
$ |
(10 |
) |
|
$ |
(2 |
) |
|
$ |
(299 |
) |
The Corporation’s net impairment losses recognized in earnings consist of credit losses in 2013, 2012 and 2011. Also included in 2011 were write-downs to fair value on AFS debt securities the Corporation had the intent to sell.
The table below presents a rollforward of the credit losses recognized in earnings in 2013, 2012 and 2011 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 Credit Losses Recognized |
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
2013 |
|
2012 |
|
2011 |
|
Balance, January 1 |
$ |
243 |
|
|
$ |
310 |
|
|
$ |
2,148 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
6 |
|
|
7 |
|
|
72 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
14 |
|
|
46 |
|
|
149 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
(51 |
) |
|
(120 |
) |
|
(2,059 |
) |
Balance, December 31 |
$ |
212 |
|
|
$ |
243 |
|
|
$ |
310 |
|
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 mortgage-backed securities (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 residential mortgage-backed securities (RMBS) were as follows at December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
|
|
|
|
|
|
Range (1)
|
|
Weighted-
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
11.6 |
% |
|
1.8 |
% |
|
23.6 |
% |
Loss severity |
41.3 |
|
|
14.7 |
|
|
52.1 |
|
Life default rate |
39.4 |
|
|
0.9 |
|
|
99.6 |
|
|
|
(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. |
Annual constant prepayment speed and loss severity rates are projected considering collateral characteristics such as loan-to-value (LTV), creditworthiness of borrowers as measured using FICO scores, and geographic concentrations. The weighted-average severity by collateral type was 38.1 percent for prime, 42.0 percent for Alt-A and 49.9 percent for subprime at December 31, 2013. 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 27.7 percent for prime, 49.1 percent for Alt-
A and 34.1 percent for subprime at December 31, 2013.
The expected maturity distribution of the Corporation’s MBS, the contractual maturity distribution of the Corporation’s debt securities carried at fair value and HTM debt securities, and the yields on the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2013 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
|
Due in One
Year or Less
|
|
Due after One Year
through Five Years
|
|
Due after Five Years
through Ten Years
|
|
Due after
Ten Years
|
|
Total |
(Dollars in millions) |
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
Amortized cost of debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
535 |
|
|
0.62 |
% |
|
$ |
2,337 |
|
|
1.71 |
% |
|
$ |
8,844 |
|
|
2.44 |
% |
|
$ |
1,339 |
|
|
3.84 |
% |
|
$ |
13,055 |
|
|
2.38 |
% |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
11 |
|
|
4.44 |
|
|
9,649 |
|
|
2.93 |
|
|
90,407 |
|
|
3.10 |
|
|
87,728 |
|
|
2.96 |
|
|
187,795 |
|
|
3.03 |
|
Agency-collateralized mortgage obligations |
1,482 |
|
|
0.01 |
|
|
3,373 |
|
|
2.09 |
|
|
18,036 |
|
|
2.96 |
|
|
29 |
|
|
0.93 |
|
|
22,920 |
|
|
2.63 |
|
Non-agency residential |
815 |
|
|
4.10 |
|
|
2,200 |
|
|
4.06 |
|
|
1,149 |
|
|
3.13 |
|
|
1,960 |
|
|
2.59 |
|
|
6,124 |
|
|
3.42 |
|
Commercial |
1,683 |
|
|
5.01 |
|
|
466 |
|
|
6.43 |
|
|
1,089 |
|
|
2.51 |
|
|
7 |
|
|
4.09 |
|
|
3,245 |
|
|
4.37 |
|
Non-U.S. securities |
16,288 |
|
|
1.04 |
|
|
2,074 |
|
|
3.98 |
|
|
149 |
|
|
3.34 |
|
|
8 |
|
|
3.10 |
|
|
18,519 |
|
|
1.39 |
|
Corporate/Agency bonds |
395 |
|
|
2.48 |
|
|
206 |
|
|
5.69 |
|
|
112 |
|
|
4.12 |
|
|
147 |
|
|
1.38 |
|
|
860 |
|
|
3.27 |
|
Other taxable securities, substantially all asset-backed securities |
6,655 |
|
|
1.58 |
|
|
7,274 |
|
|
1.37 |
|
|
2,105 |
|
|
2.06 |
|
|
771 |
|
|
0.84 |
|
|
16,805 |
|
|
1.50 |
|
Total taxable securities |
27,864 |
|
|
1.46 |
|
|
27,579 |
|
|
2.56 |
|
|
121,891 |
|
|
3.01 |
|
|
91,989 |
|
|
2.95 |
|
|
269,323 |
|
|
2.78 |
|
Tax-exempt securities |
195 |
|
|
1.66 |
|
|
2,324 |
|
|
1.49 |
|
|
2,429 |
|
|
1.90 |
|
|
1,019 |
|
|
0.61 |
|
|
5,967 |
|
|
1.54 |
|
Total amortized cost of debt securities carried at fair value |
$ |
28,059 |
|
|
1.47 |
|
|
$ |
29,903 |
|
|
2.46 |
|
|
$ |
124,320 |
|
|
2.99 |
|
|
$ |
93,008 |
|
|
2.92 |
|
|
$ |
275,290 |
|
|
2.75 |
|
Amortized cost of held-to-maturity debt securities (2)
|
$ |
— |
|
|
— |
|
|
$ |
125 |
|
|
1.79 |
|
|
$ |
53,699 |
|
|
2.60 |
|
|
$ |
1,326 |
|
|
2.72 |
|
|
$ |
55,150 |
|
|
2.61 |
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
537 |
|
|
|
|
|
$ |
2,333 |
|
|
|
|
|
$ |
8,831 |
|
|
|
|
|
$ |
1,315 |
|
|
|
|
|
$ |
13,016 |
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
11 |
|
|
|
|
|
9,708 |
|
|
|
|
|
88,191 |
|
|
|
|
|
83,525 |
|
|
|
|
|
181,435 |
|
|
|
|
Agency-collateralized mortgage obligations |
1,480 |
|
|
|
|
|
3,284 |
|
|
|
|
|
17,916 |
|
|
|
|
|
30 |
|
|
|
|
|
22,710 |
|
|
|
|
Non-agency residential |
805 |
|
|
|
|
|
2,236 |
|
|
|
|
|
1,173 |
|
|
|
|
|
2,025 |
|
|
|
|
|
6,239 |
|
|
|
|
Commercial |
1,715 |
|
|
|
|
|
494 |
|
|
|
|
|
1,013 |
|
|
|
|
|
7 |
|
|
|
|
|
3,229 |
|
|
|
|
Non-U.S. securities |
16,273 |
|
|
|
|
|
2,099 |
|
|
|
|
|
155 |
|
|
|
|
|
8 |
|
|
|
|
|
18,535 |
|
|
|
|
Corporate/Agency bonds |
395 |
|
|
|
|
|
220 |
|
|
|
|
|
116 |
|
|
|
|
|
142 |
|
|
|
|
|
873 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
6,656 |
|
|
|
|
|
7,280 |
|
|
|
|
|
2,120 |
|
|
|
|
|
774 |
|
|
|
|
|
16,830 |
|
|
|
|
Total taxable securities |
27,872 |
|
|
|
|
|
27,654 |
|
|
|
|
|
119,515 |
|
|
|
|
|
87,826 |
|
|
|
|
|
262,867 |
|
|
|
|
Tax-exempt securities |
194 |
|
|
|
|
|
2,319 |
|
|
|
|
|
2,409 |
|
|
|
|
|
1,006 |
|
|
|
|
|
5,928 |
|
|
|
|
Total debt securities carried at fair value |
$ |
28,066 |
|
|
|
|
|
$ |
29,973 |
|
|
|
|
|
$ |
121,924 |
|
|
|
|
|
$ |
88,832 |
|
|
|
|
|
$ |
268,795 |
|
|
|
|
Fair value of held-to-maturity debt securities (2)
|
$ |
— |
|
|
|
|
$ |
125 |
|
|
|
|
$ |
51,062 |
|
|
|
|
$ |
1,243 |
|
|
|
|
$ |
52,430 |
|
|
|
|
|
(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
In 2013, the Corporation sold its remaining investment of 2.0 billion shares of China Construction Bank Corporation (CCB) and realized a pre-tax gain of $753 million reported in equity investment income in the Consolidated Statement of Income. At December 31, 2012, these shares, representing approximately one percent of CCB, were classified as AFS marketable equity securities and carried at fair value with the after-tax unrealized gain included in accumulated OCI. The strategic assistance agreement between the Corporation and CCB, which includes cooperation in specific business areas, has been extended through 2016.
The Corporation’s 49 percent investment in a merchant services joint venture, which is recorded in Consumer & Business Banking (CBB), had a carrying value of $3.2 billion and $3.3 billion at December 31, 2013 and 2012. For additional information, see Note 12 – Commitments and Contingencies.
|