|
Securities (Tables)
|
6 Months Ended |
|
Jun. 30, 2014
|
| Investments, Debt and Equity Securities [Abstract] |
|
| Marketable Securities |
The following tables present the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value, held-to-maturity (HTM) debt securities and AFS marketable equity securities at June 30, 2014 and December 31, 2013.
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Debt Securities and Available-for-Sale Marketable Equity Securities |
|
June 30, 2014 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
38,417 |
|
|
$ |
301 |
|
|
$ |
(15 |
) |
|
$ |
38,703 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
Agency |
161,636 |
|
|
1,571 |
|
|
(1,664 |
) |
|
161,543 |
|
Agency-collateralized mortgage obligations |
12,370 |
|
|
132 |
|
|
(61 |
) |
|
12,441 |
|
Non-agency residential (1)
|
4,818 |
|
|
272 |
|
|
(84 |
) |
|
5,006 |
|
Commercial |
2,240 |
|
|
39 |
|
|
(1 |
) |
|
2,278 |
|
Non-U.S. securities |
7,034 |
|
|
40 |
|
|
(5 |
) |
|
7,069 |
|
Corporate/Agency bonds |
813 |
|
|
18 |
|
|
(3 |
) |
|
828 |
|
Other taxable securities, substantially all asset-backed securities |
13,587 |
|
|
38 |
|
|
(10 |
) |
|
13,615 |
|
Total taxable securities |
240,915 |
|
|
2,411 |
|
|
(1,843 |
) |
|
241,483 |
|
Tax-exempt securities |
8,802 |
|
|
5 |
|
|
(18 |
) |
|
8,789 |
|
Total available-for-sale debt securities |
249,717 |
|
|
2,416 |
|
|
(1,861 |
) |
|
250,272 |
|
Other debt securities carried at fair value |
43,032 |
|
|
151 |
|
|
(594 |
) |
|
42,589 |
|
Total debt securities carried at fair value |
292,749 |
|
|
2,567 |
|
|
(2,455 |
) |
|
292,861 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
60,022 |
|
|
247 |
|
|
(1,088 |
) |
|
59,181 |
|
Total debt securities |
$ |
352,771 |
|
|
$ |
2,814 |
|
|
$ |
(3,543 |
) |
|
$ |
352,042 |
|
Available-for-sale marketable equity securities (2)
|
$ |
276 |
|
|
$ |
— |
|
|
$ |
(36 |
) |
|
$ |
240 |
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
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 |
|
|
|
(1) |
At June 30, 2014 and December 31, 2013, the underlying collateral type included approximately 78 percent and 89 percent prime, 13 percent and seven percent Alt-A, and nine percent and four percent subprime.
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|
(2) |
Classified in other assets on the Consolidated Balance Sheet. |
|
| Schedule of Other Debt Securities Carried at Fair Value |
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 (loss). In the three and six months ended June 30, 2014, the Corporation recorded unrealized mark-to-market net gains in other income (loss) of $416 million and $860 million and realized net gains of $100 million and $83 million 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), compared to unrealized mark-to-market net losses of $1.2 billion and $1.4 billion and realized net losses of $220 million and $205 million for the same periods in 2013.
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Other Debt Securities Carried at Fair Value |
|
|
|
(Dollars in millions) |
June 30
2014 |
|
December 31
2013 |
U.S. Treasury and agency securities |
$ |
4,242 |
|
|
$ |
4,062 |
|
Mortgage-backed securities: |
|
|
|
Agency |
16,448 |
|
|
16,500 |
|
Agency-collateralized mortgage obligations |
— |
|
|
218 |
|
Non-agency residential |
3,401 |
|
|
— |
|
Commercial |
793 |
|
|
749 |
|
Non-U.S. securities (1)
|
17,395 |
|
|
11,315 |
|
Other taxable securities, substantially all asset-backed securities |
310 |
|
|
— |
|
Total |
$ |
42,589 |
|
|
$ |
32,844 |
|
|
|
(1) |
These securities are primarily used to satisfy certain international regulatory liquidity requirements. |
|
| Components of Realized Gains and Losses on Sales of Debt Securities |
The gross realized gains and losses on sales of AFS debt securities for the three and six months ended June 30, 2014 and 2013 are presented in the table below.
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Gains and Losses on Sales of AFS Debt Securities |
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2014 |
|
2013 |
|
2014 |
|
2013 |
Gross gains |
$ |
383 |
|
|
$ |
474 |
|
|
$ |
761 |
|
|
$ |
543 |
|
Gross losses |
(1 |
) |
|
(17 |
) |
|
(2 |
) |
|
(18 |
) |
Net gains on sales of AFS debt securities |
$ |
382 |
|
|
$ |
457 |
|
|
$ |
759 |
|
|
$ |
525 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
145 |
|
|
$ |
169 |
|
|
$ |
288 |
|
|
$ |
194 |
|
|
| Current Fair Value and Associated Gross Unrealized Losses on Investments |
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), U.S. Treasury securities and Freddie Mac (FHLMC), where the investment exceeded 10 percent of consolidated shareholders' equity at June 30, 2014 and December 31, 2013, are presented in the table below.
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Selected Securities Exceeding 10 Percent of Shareholders' Equity |
|
June 30, 2014 |
|
December 31, 2013 |
(Dollars in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
Fannie Mae |
$ |
121,088 |
|
|
$ |
120,142 |
|
|
$ |
123,813 |
|
|
$ |
118,708 |
|
Government National Mortgage Association |
108,968 |
|
|
108,633 |
|
|
118,700 |
|
|
115,314 |
|
U.S. Treasury securities |
40,236 |
|
|
40,520 |
|
|
10,533 |
|
|
10,428 |
|
Freddie Mac |
23,411 |
|
|
23,374 |
|
|
24,908 |
|
|
24,075 |
|
|
| Amortized Cost And Fair Value Of Corporations Investment |
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 June 30, 2014 and December 31, 2013.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
June 30, 2014 |
|
Less than 12 Months |
|
12 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 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
1,486 |
|
|
$ |
(1 |
) |
|
$ |
678 |
|
|
$ |
(14 |
) |
|
$ |
2,164 |
|
|
$ |
(15 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
— |
|
|
81,930 |
|
|
(1,664 |
) |
|
81,930 |
|
|
(1,664 |
) |
Agency-collateralized mortgage obligations |
1,407 |
|
|
(11 |
) |
|
3,393 |
|
|
(50 |
) |
|
4,800 |
|
|
(61 |
) |
Non-agency residential |
275 |
|
|
(2 |
) |
|
924 |
|
|
(48 |
) |
|
1,199 |
|
|
(50 |
) |
Commercial |
53 |
|
|
(1 |
) |
|
— |
|
|
— |
|
|
53 |
|
|
(1 |
) |
Non-U.S. securities |
131 |
|
|
(3 |
) |
|
39 |
|
|
(2 |
) |
|
170 |
|
|
(5 |
) |
Corporate/Agency bonds |
— |
|
|
— |
|
|
93 |
|
|
(3 |
) |
|
93 |
|
|
(3 |
) |
Other taxable securities, substantially all asset-backed securities |
1,653 |
|
|
(6 |
) |
|
364 |
|
|
(4 |
) |
|
2,017 |
|
|
(10 |
) |
Total taxable securities |
5,005 |
|
|
(24 |
) |
|
87,421 |
|
|
(1,785 |
) |
|
92,426 |
|
|
(1,809 |
) |
Tax-exempt securities |
1,697 |
|
|
(5 |
) |
|
992 |
|
|
(13 |
) |
|
2,689 |
|
|
(18 |
) |
Total temporarily impaired AFS debt securities |
6,702 |
|
|
(29 |
) |
|
88,413 |
|
|
(1,798 |
) |
|
95,115 |
|
|
(1,827 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
412 |
|
|
(33 |
) |
|
1 |
|
|
(1 |
) |
|
413 |
|
|
(34 |
) |
Total temporarily impaired and other-than-temporarily impaired AFS debt securities |
$ |
7,114 |
|
|
$ |
(62 |
) |
|
$ |
88,414 |
|
|
$ |
(1,799 |
) |
|
$ |
95,528 |
|
|
$ |
(1,861 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
Temporarily impaired AFS 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 AFS debt securities |
154,356 |
|
|
(5,790 |
) |
|
14,838 |
|
|
(759 |
) |
|
169,194 |
|
|
(6,549 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
2 |
|
|
(1 |
) |
|
1 |
|
|
(1 |
) |
|
3 |
|
|
(2 |
) |
Total temporarily impaired and other-than-temporarily impaired AFS debt securities |
$ |
154,358 |
|
|
$ |
(5,791 |
) |
|
$ |
14,839 |
|
|
$ |
(760 |
) |
|
$ |
169,197 |
|
|
$ |
(6,551 |
) |
|
|
(1)
|
Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss remains in accumulated OCI. |
|
| Corporation Recorded Other-Than-Temporary Impairment Losses on AFS Debt Securities |
The Corporation recorded other-than-temporary impairment (OTTI) losses on AFS debt securities for the three and six months ended June 30, 2014 and 2013 as presented in the Net Impairment Losses Recognized in Earnings table. All such OTTI losses in the three and six months ended June 30, 2014 and 2013 were on non-agency residential mortgage-backed securities (RMBS) and were recorded in other income (loss) on the Consolidated Statement of Income. 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 Impairment Losses Recognized in Earnings |
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2014 |
|
2013 |
|
2014 |
|
2013 |
Total OTTI losses (unrealized and realized) |
$ |
(12 |
) |
|
$ |
(5 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
Unrealized OTTI losses recognized in OCI |
2 |
|
|
1 |
|
|
2 |
|
|
1 |
|
Net impairment losses recognized in earnings |
$ |
(10 |
) |
|
$ |
(4 |
) |
|
$ |
(11 |
) |
|
$ |
(13 |
) |
|
| Credit Component Recognized in Earnings on Debt Securities for Which a Portion of the Other Than Temporary Loss Remains in OCI |
The Corporation's net impairment losses recognized in earnings consisted entirely of credit losses. The table below presents a rollforward of the credit losses recognized in earnings for the three and six months ended June 30, 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 Credit Losses Recognized |
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2014 |
|
2013 |
|
2014 |
|
2013 |
Balance, beginning of period |
$ |
185 |
|
|
$ |
244 |
|
|
$ |
184 |
|
|
$ |
243 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
10 |
|
|
— |
|
|
10 |
|
|
5 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
— |
|
|
4 |
|
|
1 |
|
|
8 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
— |
|
|
(43 |
) |
|
— |
|
|
(51 |
) |
Balance, June 30 |
$ |
195 |
|
|
$ |
205 |
|
|
$ |
195 |
|
|
$ |
205 |
|
|
| Significant Assumptions Used in the Valuation of Non-Agency Residential MBS |
Significant assumptions used in estimating the expected cash flows for measuring credit losses on non-agency RMBS were as follows at June 30, 2014.
|
|
|
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
Range (1)
|
|
Weighted-
average
|
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Annual prepayment speed |
14.3 |
% |
|
3.6 |
% |
|
26.4 |
% |
Loss severity |
42.0 |
|
|
13.4 |
|
|
53.9 |
|
Life default rate |
42.9 |
|
|
1.5 |
|
|
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. |
|
| Expected Maturity Distribution |
The expected maturity distribution of the Corporation's MBS, the contractual maturity distribution of the Corporation's other 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 June 30, 2014 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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June 30, 2014 |
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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)
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|
Amount |
Yield (1)
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|
Amount |
Yield (1)
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|
Amount |
Yield (1)
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|
Amount |
Yield (1)
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Amortized cost of debt securities carried at fair value |
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U.S. Treasury and agency securities |
$ |
476 |
|
0.48 |
% |
|
$ |
29,922 |
|
1.66 |
% |
|
$ |
10,779 |
|
2.45 |
% |
|
$ |
1,403 |
|
3.48 |
% |
|
$ |
42,580 |
|
1.91 |
% |
Mortgage-backed securities: |
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Agency |
15 |
|
4.64 |
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|
11,121 |
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2.79 |
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|
133,184 |
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2.97 |
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34,223 |
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2.86 |
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|
178,543 |
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2.94 |
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Agency-collateralized mortgage obligations |
992 |
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0.01 |
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|
2,937 |
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1.86 |
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|
8,417 |
|
2.87 |
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|
24 |
|
0.61 |
|
|
12,370 |
|
2.39 |
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Non-agency residential |
675 |
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4.71 |
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|
1,760 |
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4.94 |
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|
1,454 |
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5.12 |
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|
4,373 |
|
8.39 |
|
|
8,262 |
|
6.89 |
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Commercial |
409 |
|
6.65 |
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|
190 |
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3.08 |
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|
2,449 |
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2.74 |
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7 |
|
4.09 |
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|
3,055 |
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3.29 |
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Non-U.S. securities |
21,714 |
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0.83 |
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|
2,593 |
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3.60 |
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|
119 |
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4.09 |
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— |
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— |
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|
24,426 |
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1.14 |
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Corporate/Agency bonds |
400 |
|
2.28 |
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|
159 |
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3.76 |
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|
112 |
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3.91 |
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|
142 |
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1.29 |
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|
813 |
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2.62 |
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Other taxable securities, substantially all asset-backed securities |
5,271 |
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1.50 |
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6,096 |
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1.22 |
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1,683 |
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2.10 |
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|
848 |
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3.63 |
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13,898 |
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1.43 |
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Total taxable securities |
29,952 |
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1.10 |
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|
54,778 |
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2.06 |
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|
158,197 |
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2.94 |
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|
41,020 |
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3.48 |
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|
283,947 |
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2.65 |
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Tax-exempt securities |
150 |
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1.58 |
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3,448 |
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1.06 |
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3,250 |
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1.11 |
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1,954 |
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0.88 |
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|
8,802 |
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1.13 |
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Total amortized cost of debt securities carried at fair value |
$ |
30,102 |
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1.11 |
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$ |
58,226 |
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2.00 |
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$ |
161,447 |
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2.90 |
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$ |
42,974 |
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3.36 |
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$ |
292,749 |
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2.61 |
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Amortized cost of HTM debt securities (2)
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$ |
108 |
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1.07 |
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$ |
19 |
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3.65 |
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$ |
59,495 |
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2.59 |
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$ |
400 |
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2.74 |
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$ |
60,022 |
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2.59 |
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Debt securities carried at fair value |
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U.S. Treasury and agency securities |
$ |
476 |
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$ |
30,089 |
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$ |
10,938 |
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$ |
1,442 |
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$ |
42,945 |
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Mortgage-backed securities: |
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Agency |
15 |
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11,454 |
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133,005 |
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33,517 |
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|
177,991 |
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Agency-collateralized mortgage obligations |
995 |
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2,925 |
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8,497 |
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24 |
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12,441 |
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Non-agency residential |
678 |
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1,763 |
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1,494 |
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4,472 |
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8,407 |
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Commercial |
422 |
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|
196 |
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2,446 |
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7 |
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3,071 |
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Non-U.S. securities |
21,713 |
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|
2,628 |
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|
123 |
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|
|
— |
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24,464 |
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Corporate/Agency bonds |
399 |
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|
170 |
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|
118 |
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|
141 |
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|
828 |
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Other taxable securities, substantially all asset-backed securities |
5,275 |
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|
6,096 |
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|
1,706 |
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|
848 |
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|
13,925 |
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Total taxable securities |
29,973 |
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|
55,321 |
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|
158,327 |
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|
40,451 |
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|
284,072 |
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Tax-exempt securities |
150 |
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|
3,449 |
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|
3,242 |
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|
1,948 |
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|
8,789 |
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Total debt securities carried at fair value |
$ |
30,123 |
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$ |
58,770 |
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$ |
161,569 |
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$ |
42,399 |
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$ |
292,861 |
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Fair value of HTM debt securities (2)
|
$ |
108 |
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|
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$ |
19 |
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|
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$ |
58,669 |
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$ |
385 |
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$ |
59,181 |
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(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. |
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(2) |
Substantially all U.S. agency MBS. |
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