Securities (Tables)
|
3 Months Ended |
Mar. 31, 2016 |
|---|
| Investments, Debt and Equity Securities [Abstract] |
|
| Marketable Securities |
The table below presents 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 March 31, 2016 and December 31, 2015.
|
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|
|
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|
|
Debt Securities and Available-for-Sale Marketable Equity Securities |
|
March 31, 2016 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
Agency |
$ |
204,557 |
|
|
$ |
3,257 |
|
|
$ |
(78 |
) |
|
$ |
207,736 |
|
Agency-collateralized mortgage obligations |
10,294 |
|
|
277 |
|
|
(13 |
) |
|
10,558 |
|
Commercial |
9,989 |
|
|
245 |
|
|
(1 |
) |
|
10,233 |
|
Non-agency residential (1)
|
2,104 |
|
|
202 |
|
|
(77 |
) |
|
2,229 |
|
Total mortgage-backed securities |
226,944 |
|
|
3,981 |
|
|
(169 |
) |
|
230,756 |
|
U.S. Treasury and agency securities |
21,732 |
|
|
484 |
|
|
— |
|
|
22,216 |
|
Non-U.S. securities |
6,059 |
|
|
26 |
|
|
(5 |
) |
|
6,080 |
|
Other taxable securities, substantially all asset-backed securities |
10,526 |
|
|
53 |
|
|
(99 |
) |
|
10,480 |
|
Total taxable securities |
265,261 |
|
|
4,544 |
|
|
(273 |
) |
|
269,532 |
|
Tax-exempt securities |
14,551 |
|
|
72 |
|
|
(35 |
) |
|
14,588 |
|
Total available-for-sale debt securities |
279,812 |
|
|
4,616 |
|
|
(308 |
) |
|
284,120 |
|
Other debt securities carried at fair value |
18,378 |
|
|
87 |
|
|
(252 |
) |
|
18,213 |
|
Total debt securities carried at fair value (2)
|
298,190 |
|
|
4,703 |
|
|
(560 |
) |
|
302,333 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
97,978 |
|
|
1,244 |
|
|
(147 |
) |
|
99,075 |
|
Total debt securities |
$ |
396,168 |
|
|
$ |
5,947 |
|
|
$ |
(707 |
) |
|
$ |
401,408 |
|
Available-for-sale marketable equity securities (3)
|
$ |
326 |
|
|
$ |
56 |
|
|
$ |
(11 |
) |
|
$ |
371 |
|
|
|
|
|
|
|
|
|
|
December 31, 2015 |
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 |
|
Other taxable securities, substantially all asset-backed securities |
10,481 |
|
|
53 |
|
|
(89 |
) |
|
10,445 |
|
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 |
|
|
|
(1) |
At March 31, 2016 and December 31, 2015, the underlying collateral type included approximately 57 percent and 71 percent prime, 23 percent and 15 percent Alt-A, and 20 percent and 14 percent subprime.
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|
(2) |
The Corporation had debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders' equity, with an amortized cost of $144.1 billion and $53.7 billion, and a fair value of $146.4 billion and $54.6 billion at March 31, 2016. Debt securities from FNMA and FHLMC that exceeded 10 percent of shareholders' equity had 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.
|
|
|
(3) |
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. In the three months ended March 31, 2016, the Corporation recorded unrealized mark-to-market net losses of $95 million and realized net losses of $3 million, compared to unrealized mark-to-market net gains of $189 million and realized net gains of $4 million in the three months ended March 31, 2015. These amounts exclude hedge results.
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|
|
Other Debt Securities Carried at Fair Value |
|
|
|
(Dollars in millions) |
March 31
2016 |
|
December 31
2015 |
Mortgage-backed securities: |
|
|
|
Agency-collateralized mortgage obligations |
$ |
6 |
|
|
$ |
7 |
|
Non-agency residential |
3,323 |
|
|
3,490 |
|
Total mortgage-backed securities |
3,329 |
|
|
3,497 |
|
Non-U.S. securities (1)
|
14,628 |
|
|
12,843 |
|
Other taxable securities, substantially all asset-backed securities |
256 |
|
|
267 |
|
Total |
$ |
18,213 |
|
|
$ |
16,607 |
|
|
|
(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 months ended March 31, 2016 and 2015 are presented in the table below.
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|
|
|
|
|
|
|
|
Gains and Losses on Sales of AFS Debt Securities |
|
Three Months Ended March 31 |
(Dollars in millions) |
2016 |
|
2015 |
Gross gains |
$ |
237 |
|
|
$ |
275 |
|
Gross losses |
(11 |
) |
|
(7 |
) |
Net gains on sales of AFS debt securities |
$ |
226 |
|
|
$ |
268 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
86 |
|
|
$ |
102 |
|
|
| 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 March 31, 2016 and December 31, 2015.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
March 31, 2016 |
|
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 |
$ |
1,435 |
|
|
$ |
(5 |
) |
|
$ |
10,087 |
|
|
$ |
(73 |
) |
|
$ |
11,522 |
|
|
$ |
(78 |
) |
Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
1,231 |
|
|
(13 |
) |
|
1,231 |
|
|
(13 |
) |
Commercial |
339 |
|
|
(1 |
) |
|
— |
|
|
— |
|
|
339 |
|
|
(1 |
) |
Non-agency residential |
386 |
|
|
(5 |
) |
|
318 |
|
|
(24 |
) |
|
704 |
|
|
(29 |
) |
Total mortgage-backed securities |
2,160 |
|
|
(11 |
) |
|
11,636 |
|
|
(110 |
) |
|
13,796 |
|
|
(121 |
) |
Non-U.S. securities |
58 |
|
|
(1 |
) |
|
147 |
|
|
(4 |
) |
|
205 |
|
|
(5 |
) |
Other taxable securities, substantially all asset-backed securities |
5,600 |
|
|
(87 |
) |
|
838 |
|
|
(12 |
) |
|
6,438 |
|
|
(99 |
) |
Total taxable securities |
7,818 |
|
|
(99 |
) |
|
12,621 |
|
|
(126 |
) |
|
20,439 |
|
|
(225 |
) |
Tax-exempt securities |
2,326 |
|
|
(12 |
) |
|
1,577 |
|
|
(23 |
) |
|
3,903 |
|
|
(35 |
) |
Total temporarily impaired AFS debt securities |
10,144 |
|
|
(111 |
) |
|
14,198 |
|
|
(149 |
) |
|
24,342 |
|
|
(260 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
464 |
|
|
(27 |
) |
|
158 |
|
|
(21 |
) |
|
622 |
|
|
(48 |
) |
Total temporarily impaired and other-than-temporarily impaired AFS debt securities |
$ |
10,608 |
|
|
$ |
(138 |
) |
|
$ |
14,356 |
|
|
$ |
(170 |
) |
|
$ |
24,964 |
|
|
$ |
(308 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015 |
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 |
) |
Other taxable securities, substantially all asset-backed securities |
5,178 |
|
|
(72 |
) |
|
792 |
|
|
(17 |
) |
|
5,970 |
|
|
(89 |
) |
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 |
) |
|
|
(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. |
|
| 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 months ended March 31, 2016 and 2015 as presented in the Net Credit-related Impairment Losses Recognized in Earnings table. Substantially all OTTI losses in the three months ended March 31, 2016 and 2015 consisted of credit losses on non-agency residential mortgage-backed securities (RMBS) and were recorded in other income in 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, accordingly, 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 |
|
Three Months Ended March 31 |
(Dollars in millions) |
2016 |
|
2015 |
Total OTTI losses |
$ |
(30 |
) |
|
$ |
(74 |
) |
Less: non-credit portion of total OTTI losses recognized in OCI |
23 |
|
|
4 |
|
Net credit-related impairment losses recognized in earnings |
$ |
(7 |
) |
|
$ |
(70 |
) |
The table below presents a rollforward of the credit losses recognized in earnings for the three months ended March 31, 2016 and 2015 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 |
|
Three Months Ended March 31 |
(Dollars in millions) |
2016 |
|
2015 |
Balance, beginning of period |
$ |
266 |
|
|
$ |
200 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
1 |
|
|
14 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
6 |
|
|
56 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
(4 |
) |
|
(14 |
) |
Balance, March 31 |
$ |
269 |
|
|
$ |
256 |
|
|
| 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 March 31, 2016.
|
|
|
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
Range (1)
|
|
Weighted-
average
|
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Annual prepayment speed |
13.1 |
% |
|
4.2 |
% |
|
26.4 |
% |
Loss severity |
29.9 |
|
|
12.2 |
|
|
30.5 |
|
Life default rate |
23.1 |
|
|
0.7 |
|
|
81.7 |
|
|
|
(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 and yields of the Corporation's debt securities carried at fair value and HTM debt securities at March 31, 2016 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 |
|
March 31, 2016 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
67 |
|
4.42 |
% |
|
$ |
117,716 |
|
2.33 |
% |
|
$ |
86,773 |
|
2.73 |
% |
|
$ |
1 |
|
2.47 |
% |
|
$ |
204,557 |
|
2.50 |
% |
Agency-collateralized mortgage obligations |
136 |
|
1.20 |
|
|
7,770 |
|
2.50 |
|
|
2,393 |
|
2.71 |
|
|
— |
|
— |
|
|
10,299 |
|
2.53 |
|
Commercial |
97 |
|
5.70 |
|
|
1,377 |
|
2.20 |
|
|
8,405 |
|
2.51 |
|
|
110 |
|
2.67 |
|
|
9,989 |
|
2.50 |
|
Non-agency residential |
201 |
|
5.71 |
|
|
833 |
|
5.46 |
|
|
804 |
|
5.21 |
|
|
3,754 |
|
8.49 |
|
|
5,592 |
|
7.47 |
|
Total mortgage-backed securities |
501 |
|
4.31 |
|
|
127,696 |
|
2.36 |
|
|
98,375 |
|
2.73 |
|
|
3,865 |
|
8.32 |
|
|
230,437 |
|
2.62 |
|
U.S. Treasury and agency securities |
524 |
|
0.20 |
|
|
20,197 |
|
1.64 |
|
|
1,011 |
|
3.46 |
|
|
— |
|
— |
|
|
21,732 |
|
1.69 |
|
Non-U.S. securities |
18,680 |
|
0.90 |
|
|
1,919 |
|
2.88 |
|
|
78 |
|
2.05 |
|
|
— |
|
— |
|
|
20,677 |
|
1.09 |
|
Other taxable securities, substantially all asset-backed securities |
2,533 |
|
1.63 |
|
|
5,167 |
|
1.45 |
|
|
2,382 |
|
2.68 |
|
|
711 |
|
4.35 |
|
|
10,793 |
|
1.96 |
|
Total taxable securities |
22,238 |
|
1.04 |
|
|
154,979 |
|
2.24 |
|
|
101,846 |
|
2.74 |
|
|
4,576 |
|
7.71 |
|
|
283,639 |
|
2.41 |
|
Tax-exempt securities |
1,292 |
|
0.75 |
|
|
5,628 |
|
1.08 |
|
|
5,636 |
|
1.34 |
|
|
1,995 |
|
1.06 |
|
|
14,551 |
|
1.15 |
|
Total amortized cost of debt securities carried at fair value |
$ |
23,530 |
|
1.03 |
|
|
$ |
160,607 |
|
2.20 |
|
|
$ |
107,482 |
|
2.66 |
|
|
$ |
6,571 |
|
5.69 |
|
|
$ |
298,190 |
|
2.35 |
|
Amortized cost of HTM debt securities (2)
|
$ |
— |
|
— |
|
|
$ |
55,230 |
|
2.20 |
|
|
$ |
42,499 |
|
2.55 |
|
|
$ |
249 |
|
3.37 |
|
|
$ |
97,978 |
|
2.35 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
69 |
|
|
|
$ |
119,639 |
|
|
|
$ |
88,027 |
|
|
|
$ |
1 |
|
|
|
$ |
207,736 |
|
|
Agency-collateralized mortgage obligations |
136 |
|
|
|
7,961 |
|
|
|
2,467 |
|
|
|
— |
|
|
|
10,564 |
|
|
Commercial |
97 |
|
|
|
1,413 |
|
|
|
8,613 |
|
|
|
110 |
|
|
|
10,233 |
|
|
Non-agency residential |
236 |
|
|
|
800 |
|
|
|
888 |
|
|
|
3,628 |
|
|
|
5,552 |
|
|
Total mortgage-backed securities |
538 |
|
|
|
129,813 |
|
|
|
99,995 |
|
|
|
3,739 |
|
|
|
234,085 |
|
|
U.S. Treasury and agency securities |
523 |
|
|
|
20,632 |
|
|
|
1,061 |
|
|
|
— |
|
|
|
22,216 |
|
|
Non-U.S. securities |
18,689 |
|
|
|
1,942 |
|
|
|
77 |
|
|
|
— |
|
|
|
20,708 |
|
|
Other taxable securities, substantially all asset-backed securities |
2,530 |
|
|
|
5,107 |
|
|
|
2,409 |
|
|
|
690 |
|
|
|
10,736 |
|
|
Total taxable securities |
22,280 |
|
|
|
157,494 |
|
|
|
103,542 |
|
|
|
4,429 |
|
|
|
287,745 |
|
|
Tax-exempt securities |
1,292 |
|
|
|
5,632 |
|
|
|
5,684 |
|
|
|
1,980 |
|
|
|
14,588 |
|
|
Total debt securities carried at fair value |
$ |
23,572 |
|
|
|
$ |
163,126 |
|
|
|
$ |
109,226 |
|
|
|
$ |
6,409 |
|
|
|
$ |
302,333 |
|
|
Fair value of HTM debt securities (2)
|
$ |
— |
|
|
|
$ |
56,007 |
|
|
|
$ |
42,818 |
|
|
|
$ |
250 |
|
|
|
$ |
99,075 |
|
|
|
|
(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. |
|