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Large accelerated filer
ü
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Accelerated filer
|
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Non-accelerated filer
(do not check if a smaller
reporting company)
|
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Smaller reporting company
|
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Bank of America Corporation
|
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June 30, 2016
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Form 10-Q
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INDEX
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Page
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Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
Executive Summary
|
|
Business Overview
|
Second-Quarter 2016 Economic and Business Environment
|
Recent Events
|
Selected Financial Data
|
Table 1
|
|
|
|
|
|||||||||||
Selected Financial Data
(1)
|
|
|
|
|
|||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions, except per share information)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Income statement
|
|
|
|
|
|
|
|
||||||||
Revenue, net of interest expense
|
$
|
20,398
|
|
|
$
|
21,956
|
|
|
$
|
39,910
|
|
|
$
|
42,870
|
|
Net income
|
4,232
|
|
|
5,134
|
|
|
6,912
|
|
|
8,231
|
|
||||
Diluted earnings per common share
|
0.36
|
|
|
0.43
|
|
|
0.56
|
|
|
0.68
|
|
||||
Dividends paid per common share
|
0.05
|
|
|
0.05
|
|
|
0.10
|
|
|
0.10
|
|
||||
Performance ratios
|
|
|
|
|
|
|
|
|
|||||||
Return on average assets
|
0.78
|
%
|
|
0.96
|
%
|
|
0.64
|
%
|
|
0.77
|
%
|
||||
Return on average common shareholders' equity
|
6.48
|
|
|
8.42
|
|
|
5.14
|
|
|
6.68
|
|
||||
Return on average tangible common shareholders' equity
(2)
|
9.24
|
|
|
12.31
|
|
|
7.34
|
|
|
9.79
|
|
||||
Efficiency ratio
|
66.14
|
|
|
63.57
|
|
|
70.93
|
|
|
69.48
|
|
||||
|
|
|
|
|
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|
||||||||
|
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|
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|
June 30
2016 |
|
December 31
2015 |
||||||||
Balance sheet
|
|
|
|
|
|
|
|
||||||||
Total loans and leases
(3)
|
|
|
|
|
$
|
903,153
|
|
|
$
|
896,983
|
|
||||
Total assets
|
|
|
|
|
2,186,609
|
|
|
2,144,316
|
|
||||||
Total deposits
|
|
|
|
|
1,216,091
|
|
|
1,197,259
|
|
||||||
Total common shareholders' equity
|
|
|
|
|
241,849
|
|
|
233,932
|
|
||||||
Total shareholders' equity
|
|
|
|
|
267,069
|
|
|
256,205
|
|
(1)
|
Certain amounts in the table that have been reported in previous filings using fully taxable-equivalent (FTE) basis (a non-GAAP financial measure) are now shown on a GAAP basis. See
Table 11
for a reconciliation.
|
(2)
|
Return on average tangible common shareholders' equity is a non-GAAP financial measure. Other companies may define or calculate this measure differently. For more information and a corresponding reconciliation to GAAP financial measures, see
Supplemental Financial Data
on page
16
.
|
(3)
|
Beginning in the first quarter of 2016, the Corporation classifies certain leases in other assets. Previously these leases were classified in loans and leases. For December 31, 2015, $6.0 billion of these leases were reclassified from loans and leases to other assets to conform to this presentation.
|
Financial Highlights
|
Table 2
|
|
|
|
|
|
|
|
||||||||
Summary Income Statement
(1)
|
|||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net interest income
|
$
|
9,213
|
|
|
$
|
10,461
|
|
|
$
|
18,384
|
|
|
$
|
19,872
|
|
Noninterest income
|
11,185
|
|
|
11,495
|
|
|
21,526
|
|
|
22,998
|
|
||||
Total revenue, net of interest expense
|
20,398
|
|
|
21,956
|
|
|
39,910
|
|
|
42,870
|
|
||||
Provision for credit losses
|
976
|
|
|
780
|
|
|
1,973
|
|
|
1,545
|
|
||||
Noninterest expense
|
13,493
|
|
|
13,958
|
|
|
28,309
|
|
|
29,785
|
|
||||
Income before income taxes
|
5,929
|
|
|
7,218
|
|
|
9,628
|
|
|
11,540
|
|
||||
Income tax expense
|
1,697
|
|
|
2,084
|
|
|
2,716
|
|
|
3,309
|
|
||||
Net income
|
4,232
|
|
|
5,134
|
|
|
6,912
|
|
|
8,231
|
|
||||
Preferred stock dividends
|
361
|
|
|
330
|
|
|
818
|
|
|
712
|
|
||||
Net income applicable to common shareholders
|
$
|
3,871
|
|
|
$
|
4,804
|
|
|
$
|
6,094
|
|
|
$
|
7,519
|
|
|
|
|
|
|
|
|
|
||||||||
Per common share information
|
|
|
|
|
|
|
|
||||||||
Earnings
|
$
|
0.38
|
|
|
$
|
0.46
|
|
|
$
|
0.59
|
|
|
$
|
0.72
|
|
Diluted earnings
|
0.36
|
|
|
0.43
|
|
|
0.56
|
|
|
0.68
|
|
(1)
|
Certain amounts in the table that have been reported in previous filings using FTE basis (a non-GAAP financial measure) are now shown on a GAAP basis. See
Table 11
for a reconciliation.
|
Table 3
|
|
|
|
|
|||||||||||
Noninterest Income
|
|||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Card income
|
$
|
1,464
|
|
|
$
|
1,477
|
|
|
$
|
2,894
|
|
|
$
|
2,871
|
|
Service charges
|
1,871
|
|
|
1,857
|
|
|
3,708
|
|
|
3,621
|
|
||||
Investment and brokerage services
|
3,201
|
|
|
3,387
|
|
|
6,383
|
|
|
6,765
|
|
||||
Investment banking income
|
1,408
|
|
|
1,526
|
|
|
2,561
|
|
|
3,013
|
|
||||
Trading account profits
|
2,018
|
|
|
1,647
|
|
|
3,680
|
|
|
3,894
|
|
||||
Mortgage banking income
|
312
|
|
|
1,001
|
|
|
745
|
|
|
1,695
|
|
||||
Gains on sales of debt securities
|
267
|
|
|
168
|
|
|
493
|
|
|
436
|
|
||||
Other income
|
644
|
|
|
432
|
|
|
1,062
|
|
|
703
|
|
||||
Total noninterest income
|
$
|
11,185
|
|
|
$
|
11,495
|
|
|
$
|
21,526
|
|
|
$
|
22,998
|
|
•
|
Investment and brokerage services income
decreased
$186 million
and
$382 million
driven by lower advisory fees due to lower market levels and lower transactional revenue.
|
•
|
Investment banking income
decreased
$118 million
and
$452 million
primarily driven by lower equity issuance fees due to a decline in market fee pools.
|
•
|
Trading account profits
increased
$371 million
for the
three months ended June 30, 2016
compared to the
same period in 2015
driven by stronger performance in rates products, as well as improved credit market conditions. Trading account profits
decreased
$214 million
for the
six months ended June 30, 2016
compared to the
same period in 2015
driven by declines in credit-related products due to challenging market conditions during the first quarter of 2016, as well as reduced client activity in equities in Asia and lower revenue in currencies which performed strongly in the
same period in 2015
.
|
•
|
Mortgage banking income
decreased
$689 million
and
$950 million
primarily due to less favorable MSR net-of-hedge performance, a provision for representations and warranties in the current-year periods compared to a benefit in the prior-year periods, as well as declines in production income and, to a lesser extent, servicing fees.
|
•
|
Other income
increased
$212 million
and
$359 million
primarily due to improvements of $172 million and $497 million in debit valuation adjustments (DVA) on structured liabilities, as well as improved results from loan hedging activities in the fair value option portfolio, partially offset by lower gains on asset sales. DVA losses related to structured liabilities were
$23 million
and
$53 million
for the
three and six months ended June 30, 2016
compared to
$195 million
and
$550 million
in the
same periods in 2015
.
|
Table 4
|
|
|
|
|
|
|
|
||||||||
Credit Quality Data
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Provision for credit losses
|
|
|
|
|
|
|
|
||||||||
Consumer
|
$
|
733
|
|
|
$
|
553
|
|
|
$
|
1,135
|
|
|
$
|
1,172
|
|
Commercial
|
243
|
|
|
227
|
|
|
838
|
|
|
373
|
|
||||
Total provision for credit losses
|
$
|
976
|
|
|
$
|
780
|
|
|
$
|
1,973
|
|
|
$
|
1,545
|
|
|
|
|
|
|
|
|
|
||||||||
Net charge-offs
(1)
|
$
|
985
|
|
|
$
|
1,068
|
|
|
$
|
2,053
|
|
|
$
|
2,262
|
|
Net charge-off ratio
(2)
|
0.44
|
%
|
|
0.49
|
%
|
|
0.46
|
%
|
|
0.53
|
%
|
(1)
|
Net charge-offs exclude write-offs in the purchased credit-impaired (PCI) loan portfolio.
|
(2)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases excluding loans accounted for under the fair value option.
|
Table 5
|
|
|
|
|
|
|
|
||||||||
Noninterest Expense
|
|||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Personnel
|
$
|
7,722
|
|
|
$
|
7,890
|
|
|
$
|
16,574
|
|
|
$
|
17,504
|
|
Occupancy
|
1,036
|
|
|
1,027
|
|
|
2,064
|
|
|
2,054
|
|
||||
Equipment
|
451
|
|
|
500
|
|
|
914
|
|
|
1,012
|
|
||||
Marketing
|
414
|
|
|
445
|
|
|
833
|
|
|
885
|
|
||||
Professional fees
|
472
|
|
|
494
|
|
|
897
|
|
|
915
|
|
||||
Amortization of intangibles
|
186
|
|
|
212
|
|
|
373
|
|
|
425
|
|
||||
Data processing
|
717
|
|
|
715
|
|
|
1,555
|
|
|
1,567
|
|
||||
Telecommunications
|
189
|
|
|
202
|
|
|
362
|
|
|
373
|
|
||||
Other general operating
|
2,306
|
|
|
2,473
|
|
|
4,737
|
|
|
5,050
|
|
||||
Total noninterest expense
|
$
|
13,493
|
|
|
$
|
13,958
|
|
|
$
|
28,309
|
|
|
$
|
29,785
|
|
Table 6
|
|
|
|
|
|
|
|
||||||||
Income Tax Expense
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Income before income taxes
|
$
|
5,929
|
|
|
$
|
7,218
|
|
|
$
|
9,628
|
|
|
$
|
11,540
|
|
Income tax expense
|
1,697
|
|
|
2,084
|
|
|
2,716
|
|
|
3,309
|
|
||||
Effective tax rate
|
28.6
|
%
|
|
28.9
|
%
|
|
28.2
|
%
|
|
28.7
|
%
|
Balance Sheet Overview
|
|
|
|
|
|
|||||
|
||||||||||
Table 7
|
||||||||||
Selected Balance Sheet Data
|
||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
% Change
|
|||||
Assets
|
|
|
|
|
|
|||||
Cash and cash equivalents
|
$
|
171,207
|
|
|
$
|
159,353
|
|
|
7
|
%
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
213,737
|
|
|
192,482
|
|
|
11
|
|
||
Trading account assets
|
175,365
|
|
|
176,527
|
|
|
(1
|
)
|
||
Debt securities
|
411,949
|
|
|
407,005
|
|
|
1
|
|
||
Loans and leases
|
903,153
|
|
|
896,983
|
|
|
1
|
|
||
Allowance for loan and lease losses
|
(11,837
|
)
|
|
(12,234
|
)
|
|
(3
|
)
|
||
All other assets
|
323,035
|
|
|
324,200
|
|
|
<(1)
|
|
||
Total assets
|
$
|
2,186,609
|
|
|
$
|
2,144,316
|
|
|
2
|
|
Liabilities
|
|
|
|
|
|
|||||
Deposits
|
$
|
1,216,091
|
|
|
$
|
1,197,259
|
|
|
2
|
%
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
178,062
|
|
|
174,291
|
|
|
2
|
|
||
Trading account liabilities
|
74,282
|
|
|
66,963
|
|
|
11
|
|
||
Short-term borrowings
|
33,051
|
|
|
28,098
|
|
|
18
|
|
||
Long-term debt
|
229,617
|
|
|
236,764
|
|
|
(3
|
)
|
||
All other liabilities
|
188,437
|
|
|
184,736
|
|
|
2
|
|
||
Total liabilities
|
1,919,540
|
|
|
1,888,111
|
|
|
2
|
|
||
Shareholders' equity
|
267,069
|
|
|
256,205
|
|
|
4
|
|
||
Total liabilities and shareholders' equity
|
$
|
2,186,609
|
|
|
$
|
2,144,316
|
|
|
2
|
|
Table 8
|
|
|
|
|
|||||||||||||||
Selected Quarterly Financial Data
|
|
|
|
|
|||||||||||||||
|
2016 Quarters
|
|
2015 Quarters
|
||||||||||||||||
(In millions, except per share information)
|
Second
|
|
First
|
|
Fourth
|
|
Third
|
|
Second
|
||||||||||
Income statement
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income
|
$
|
9,213
|
|
|
$
|
9,171
|
|
|
$
|
9,756
|
|
|
$
|
9,471
|
|
|
$
|
10,461
|
|
Noninterest income
|
11,185
|
|
|
10,341
|
|
|
9,911
|
|
|
11,042
|
|
|
11,495
|
|
|||||
Total revenue, net of interest expense
|
20,398
|
|
|
19,512
|
|
|
19,667
|
|
|
20,513
|
|
|
21,956
|
|
|||||
Provision for credit losses
|
976
|
|
|
997
|
|
|
810
|
|
|
806
|
|
|
780
|
|
|||||
Noninterest expense
|
13,493
|
|
|
14,816
|
|
|
14,010
|
|
|
13,940
|
|
|
13,958
|
|
|||||
Income before income taxes
|
5,929
|
|
|
3,699
|
|
|
4,847
|
|
|
5,767
|
|
|
7,218
|
|
|||||
Income tax expense
|
1,697
|
|
|
1,019
|
|
|
1,511
|
|
|
1,446
|
|
|
2,084
|
|
|||||
Net income
|
4,232
|
|
|
2,680
|
|
|
3,336
|
|
|
4,321
|
|
|
5,134
|
|
|||||
Net income applicable to common shareholders
|
3,871
|
|
|
2,223
|
|
|
3,006
|
|
|
3,880
|
|
|
4,804
|
|
|||||
Average common shares issued and outstanding
|
10,254
|
|
|
10,340
|
|
|
10,399
|
|
|
10,444
|
|
|
10,488
|
|
|||||
Average diluted common shares issued and outstanding
|
11,059
|
|
|
11,100
|
|
|
11,153
|
|
|
11,197
|
|
|
11,238
|
|
|||||
Performance ratios
|
|
|
|
|
|
|
|
|
|
||||||||||
Return on average assets
|
0.78
|
%
|
|
0.50
|
%
|
|
0.61
|
%
|
|
0.79
|
%
|
|
0.96
|
%
|
|||||
Four quarter trailing return on average assets
(1)
|
0.67
|
|
|
0.71
|
|
|
0.74
|
|
|
0.73
|
|
|
0.52
|
|
|||||
Return on average common shareholders' equity
|
6.48
|
|
|
3.77
|
|
|
5.08
|
|
|
6.65
|
|
|
8.42
|
|
|||||
Return on average tangible common shareholders' equity
(2)
|
9.24
|
|
|
5.41
|
|
|
7.32
|
|
|
9.65
|
|
|
12.31
|
|
|||||
Return on average shareholders' equity
|
6.42
|
|
|
4.14
|
|
|
5.15
|
|
|
6.75
|
|
|
8.20
|
|
|||||
Return on average tangible shareholders' equity
(2)
|
8.79
|
|
|
5.72
|
|
|
7.15
|
|
|
9.43
|
|
|
11.51
|
|
|||||
Total ending equity to total ending assets
|
12.21
|
|
|
12.02
|
|
|
11.95
|
|
|
11.89
|
|
|
11.71
|
|
|||||
Total average equity to total average assets
|
12.12
|
|
|
11.98
|
|
|
11.79
|
|
|
11.71
|
|
|
11.67
|
|
|||||
Dividend payout
|
13.39
|
|
|
23.23
|
|
|
17.27
|
|
|
13.43
|
|
|
10.90
|
|
|||||
Per common share data
|
|
|
|
|
|
|
|
|
|
||||||||||
Earnings
|
$
|
0.38
|
|
|
$
|
0.21
|
|
|
$
|
0.29
|
|
|
$
|
0.37
|
|
|
$
|
0.46
|
|
Diluted earnings
|
0.36
|
|
|
0.21
|
|
|
0.28
|
|
|
0.35
|
|
|
0.43
|
|
|||||
Dividends paid
|
0.05
|
|
|
0.05
|
|
|
0.05
|
|
|
0.05
|
|
|
0.05
|
|
|||||
Book value
|
23.67
|
|
|
23.12
|
|
|
22.54
|
|
|
22.41
|
|
|
21.91
|
|
|||||
Tangible book value
(2)
|
16.68
|
|
|
16.17
|
|
|
15.62
|
|
|
15.50
|
|
|
15.02
|
|
|||||
Market price per share of common stock
|
|
|
|
|
|
|
|
|
|
||||||||||
Closing
|
$
|
13.27
|
|
|
$
|
13.52
|
|
|
$
|
16.83
|
|
|
$
|
15.58
|
|
|
$
|
17.02
|
|
High closing
|
15.11
|
|
|
16.43
|
|
|
17.95
|
|
|
18.45
|
|
|
17.67
|
|
|||||
Low closing
|
12.18
|
|
|
11.16
|
|
|
15.38
|
|
|
15.26
|
|
|
15.41
|
|
|||||
Market capitalization
|
$
|
135,577
|
|
|
$
|
139,427
|
|
|
$
|
174,700
|
|
|
$
|
162,457
|
|
|
$
|
178,231
|
|
(1)
|
Calculated as total net income for four consecutive quarters divided by annualized average assets for four consecutive quarters.
|
(2)
|
Tangible equity ratios and tangible book value per share of common stock are non-GAAP financial measures. Other companies may define or calculate these measures differently. For more information on these ratios and for corresponding reconciliations to GAAP financial measures, see
Supplemental Financial Data
on page
16
.
|
(3)
|
For more information on the impact of the PCI loan portfolio on asset quality, see
Consumer Portfolio Credit Risk Management
on page
65
.
|
(4)
|
Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments.
|
(5)
|
Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions from nonperforming loans, leases and foreclosed properties, see
Consumer Portfolio Credit Risk Management – Nonperforming Consumer Loans, Leases and Foreclosed Properties Activity
on page
79
and corresponding Table
40
, and
Commercial Portfolio Credit Risk Management – Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity
on page
88
and corresponding Table
49
.
|
(6)
|
Primarily includes amounts allocated to the U.S. credit card and unsecured consumer lending portfolios in
Consumer Banking
, PCI loans and the non-U.S. credit card portfolio in
All Other
.
|
(7)
|
Net charge-offs exclude
$82 million
,
$105 million
,
$82 million
,
$148 million
and
$290 million
of write-offs in the PCI loan portfolio in the
second
and
first
quarters of
2016
and in the
fourth
,
third
and
second
quarters of
2015
, respectively. For more information on PCI write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
(8)
|
Risk-based capital ratios reported under Basel 3 Advanced - Transition beginning in the fourth quarter of 2015. Prior to the fourth quarter of 2015, we were required to report risk-based capital ratios under Basel 3 Standardized - Transition only. For additional information, see
Capital Management
on page
48
.
|
Table 8
|
|
|
|
|
|||||||||||||||
Selected Quarterly Financial Data (continued)
|
|
|
|
|
|||||||||||||||
|
2016 Quarters
|
|
2015 Quarters
|
||||||||||||||||
(Dollars in millions)
|
Second
|
|
First
|
|
Fourth
|
|
Third
|
|
Second
|
||||||||||
Average balance sheet
|
|
|
|
|
|
|
|
|
|
||||||||||
Total loans and leases
|
$
|
899,670
|
|
|
$
|
892,984
|
|
|
$
|
886,156
|
|
|
$
|
877,429
|
|
|
$
|
876,178
|
|
Total assets
|
2,187,909
|
|
|
2,173,618
|
|
|
2,180,472
|
|
|
2,168,993
|
|
|
2,151,966
|
|
|||||
Total deposits
|
1,213,291
|
|
|
1,198,455
|
|
|
1,186,051
|
|
|
1,159,231
|
|
|
1,146,789
|
|
|||||
Long-term debt
|
233,061
|
|
|
233,654
|
|
|
237,384
|
|
|
240,520
|
|
|
242,230
|
|
|||||
Common shareholders' equity
|
240,166
|
|
|
237,123
|
|
|
234,851
|
|
|
231,620
|
|
|
228,780
|
|
|||||
Total shareholders' equity
|
265,144
|
|
|
260,317
|
|
|
257,125
|
|
|
253,893
|
|
|
251,054
|
|
|||||
Asset quality
(3)
|
|
|
|
|
|
|
|
|
|
||||||||||
Allowance for credit losses
(4)
|
$
|
12,587
|
|
|
$
|
12,696
|
|
|
$
|
12,880
|
|
|
$
|
13,318
|
|
|
$
|
13,656
|
|
Nonperforming loans, leases and foreclosed properties
(5)
|
8,799
|
|
|
9,281
|
|
|
9,836
|
|
|
10,336
|
|
|
11,565
|
|
|||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding
(5)
|
1.32
|
%
|
|
1.35
|
%
|
|
1.37
|
%
|
|
1.45
|
%
|
|
1.50
|
%
|
|||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases
(5)
|
142
|
|
|
136
|
|
|
130
|
|
|
129
|
|
|
122
|
|
|||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases, excluding the PCI loan portfolio
(5)
|
135
|
|
|
129
|
|
|
122
|
|
|
120
|
|
|
111
|
|
|||||
Amounts included in allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases
(6)
|
$
|
4,087
|
|
|
$
|
4,138
|
|
|
$
|
4,518
|
|
|
$
|
4,682
|
|
|
$
|
5,050
|
|
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases, excluding the allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases
(5, 6)
|
93
|
%
|
|
90
|
%
|
|
82
|
%
|
|
81
|
%
|
|
75
|
%
|
|||||
Net charge-offs
(7)
|
$
|
985
|
|
|
$
|
1,068
|
|
|
$
|
1,144
|
|
|
$
|
932
|
|
|
$
|
1,068
|
|
Annualized net charge-offs as a percentage of average loans and leases outstanding
(5, 7)
|
0.44
|
%
|
|
0.48
|
%
|
|
0.52
|
%
|
|
0.43
|
%
|
|
0.49
|
%
|
|||||
Annualized net charge-offs as a percentage of average loans and leases outstanding, excluding the PCI loan portfolio
(5)
|
0.45
|
|
|
0.49
|
|
|
0.53
|
|
|
0.43
|
|
|
0.50
|
|
|||||
Annualized net charge-offs and PCI write-offs as a percentage of average loans and leases outstanding
(5)
|
0.48
|
|
|
0.53
|
|
|
0.55
|
|
|
0.49
|
|
|
0.63
|
|
|||||
Nonperforming loans and leases as a percentage of total loans and leases outstanding
(5)
|
0.94
|
|
|
0.99
|
|
|
1.05
|
|
|
1.12
|
|
|
1.23
|
|
|||||
Nonperforming loans, leases and foreclosed properties as a percentage of total loans, leases and foreclosed properties
(5)
|
0.98
|
|
|
1.04
|
|
|
1.10
|
|
|
1.18
|
|
|
1.32
|
|
|||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs
(7)
|
2.99
|
|
|
2.81
|
|
|
2.70
|
|
|
3.42
|
|
|
3.05
|
|
|||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs, excluding the PCI loan portfolio
|
2.85
|
|
|
2.67
|
|
|
2.52
|
|
|
3.18
|
|
|
2.79
|
|
|||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs and PCI write-offs
|
2.76
|
|
|
2.56
|
|
|
2.52
|
|
|
2.95
|
|
|
2.40
|
|
|||||
Capital ratios at period end
|
|||||||||||||||||||
Risk-based capital:
(8)
|
|
|
|
|
|
|
|
|
|
||||||||||
Common equity tier 1 capital
|
10.6
|
%
|
|
10.3
|
%
|
|
10.2
|
%
|
|
11.6
|
%
|
|
11.2
|
%
|
|||||
Tier 1 capital
|
12.0
|
|
|
11.5
|
|
|
11.3
|
|
|
12.9
|
|
|
12.5
|
|
|||||
Total capital
|
13.9
|
|
|
13.4
|
|
|
13.2
|
|
|
15.8
|
|
|
15.5
|
|
|||||
Tier 1 leverage
|
8.9
|
|
|
8.7
|
|
|
8.6
|
|
|
8.5
|
|
|
8.5
|
|
|||||
Tangible equity
(2)
|
9.2
|
|
|
9.0
|
|
|
8.9
|
|
|
8.8
|
|
|
8.6
|
|
|||||
Tangible common equity
(2)
|
8.1
|
|
|
7.9
|
|
|
7.8
|
|
|
7.8
|
|
|
7.6
|
|
Table 9
|
|
|
|
||||
Selected Year-to-Date Financial Data
|
|
|
|
||||
|
Six Months Ended June 30
|
||||||
(In millions, except per share information)
|
2016
|
|
2015
|
||||
Income statement
|
|
|
|
||||
Net interest income
|
$
|
18,384
|
|
|
$
|
19,872
|
|
Noninterest income
|
21,526
|
|
|
22,998
|
|
||
Total revenue, net of interest expense
|
39,910
|
|
|
42,870
|
|
||
Provision for credit losses
|
1,973
|
|
|
1,545
|
|
||
Noninterest expense
|
28,309
|
|
|
29,785
|
|
||
Income before income taxes
|
9,628
|
|
|
11,540
|
|
||
Income tax expense
|
2,716
|
|
|
3,309
|
|
||
Net income
|
6,912
|
|
|
8,231
|
|
||
Net income applicable to common shareholders
|
6,094
|
|
|
7,519
|
|
||
Average common shares issued and outstanding
|
10,297
|
|
|
10,503
|
|
||
Average diluted common shares issued and outstanding
|
11,080
|
|
|
11,252
|
|
||
Performance ratios
|
|
|
|
||||
Return on average assets
|
0.64
|
%
|
|
0.77
|
%
|
||
Return on average common shareholders' equity
|
5.14
|
|
|
6.68
|
|
||
Return on average tangible common shareholders' equity
(1)
|
7.34
|
|
|
9.79
|
|
||
Return on average shareholders' equity
|
5.29
|
|
|
6.68
|
|
||
Return on average tangible shareholders' equity
(1)
|
7.28
|
|
|
9.42
|
|
||
Total ending equity to total ending assets
|
12.21
|
|
|
11.71
|
|
||
Total average equity to total average assets
|
12.05
|
|
|
11.58
|
|
||
Dividend payout
|
16.98
|
|
|
13.96
|
|
||
Per common share data
|
|
|
|
||||
Earnings
|
$
|
0.59
|
|
|
$
|
0.72
|
|
Diluted earnings
|
0.56
|
|
|
0.68
|
|
||
Dividends paid
|
0.10
|
|
|
0.10
|
|
||
Book value
|
23.67
|
|
|
21.91
|
|
||
Tangible book value
(1)
|
16.68
|
|
|
15.02
|
|
||
Market price per share of common stock
|
|
|
|
||||
Closing
|
$
|
13.27
|
|
|
$
|
17.02
|
|
High closing
|
16.43
|
|
|
17.90
|
|
||
Low closing
|
11.16
|
|
|
15.15
|
|
||
Market capitalization
|
$
|
135,577
|
|
|
$
|
178,231
|
|
(1)
|
Tangible equity ratios and tangible book value per share of common stock are non-GAAP financial measures. Other companies may define or calculate these measures differently. For more information on these ratios and for corresponding reconciliations to GAAP financial measures, see
Supplemental Financial Data
on page
16
.
|
(2)
|
For more information on the impact of the PCI loan portfolio on asset quality, see
Consumer Portfolio Credit Risk Management
on page
65
.
|
(3)
|
Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments.
|
(4)
|
Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions from nonperforming loans, leases and foreclosed properties, see
Consumer Portfolio Credit Risk Management – Nonperforming Consumer Loans, Leases and Foreclosed Properties Activity
on page
79
and corresponding Table
40
, and
Commercial Portfolio Credit Risk Management – Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity
on page
88
and corresponding Table
49
.
|
(5)
|
Primarily includes amounts allocated to the U.S. credit card and unsecured consumer lending portfolios in
Consumer Banking
, PCI loans and the non-U.S. credit card portfolio in
All Other
.
|
(6)
|
Net charge-offs exclude
$187 million
and
$578 million
of write-offs in the PCI loan portfolio for the
six months ended June 30, 2016
and
2015
. For more information on purchased credit-impaired write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
Table 9
|
|
|
|
||||
Selected Year-to-Date Financial Data (continued)
|
|
|
|
||||
|
Six Months Ended June 30
|
||||||
(Dollars in millions)
|
2016
|
|
2015
|
||||
Average balance sheet
|
|
|
|
||||
Total loans and leases
|
$
|
896,327
|
|
|
$
|
871,699
|
|
Total assets
|
2,180,763
|
|
|
2,145,307
|
|
||
Total deposits
|
1,205,873
|
|
|
1,138,801
|
|
||
Long-term debt
|
233,358
|
|
|
241,184
|
|
||
Common shareholders' equity
|
238,645
|
|
|
227,078
|
|
||
Total shareholders' equity
|
262,731
|
|
|
248,413
|
|
||
Asset quality
(2)
|
|
|
|
||||
Allowance for credit losses
(3)
|
$
|
12,587
|
|
|
$
|
13,656
|
|
Nonperforming loans, leases and foreclosed properties
(4)
|
8,799
|
|
|
11,565
|
|
||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding
(4)
|
1.32
|
%
|
|
1.50
|
%
|
||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases
(4)
|
142
|
|
|
122
|
|
||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases, excluding the PCI loan portfolio
(4)
|
135
|
|
|
111
|
|
||
Amounts included in allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases
(5)
|
$
|
4,087
|
|
|
$
|
5,050
|
|
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases, excluding the allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases
(4, 5)
|
93
|
%
|
|
75
|
%
|
||
Net charge-offs
(6)
|
$
|
2,053
|
|
|
$
|
2,262
|
|
Annualized net charge-offs as a percentage of average loans and leases outstanding
(4, 6)
|
0.46
|
%
|
|
0.53
|
%
|
||
Annualized net charge-offs as a percentage of average loans and leases outstanding, excluding the PCI loan portfolio
(4)
|
0.47
|
|
|
0.54
|
|
||
Annualized net charge-offs and PCI write-offs as a percentage of average loans and leases outstanding
(4)
|
0.51
|
|
|
0.66
|
|
||
Nonperforming loans and leases as a percentage of total loans and leases outstanding
(4)
|
0.94
|
|
|
1.23
|
|
||
Nonperforming loans, leases and foreclosed properties as a percentage of total loans, leases and foreclosed properties
(4)
|
0.98
|
|
|
1.32
|
|
||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs
(6)
|
2.87
|
|
|
2.86
|
|
||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs, excluding the PCI loan portfolio
|
2.74
|
|
|
2.62
|
|
||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs and PCI write-offs
|
2.63
|
|
|
2.28
|
|
Supplemental Financial Data
|
•
|
Return on average tangible common shareholders' equity measures our earnings contribution as a percentage of adjusted common shareholders' equity. The tangible common equity ratio represents adjusted ending common shareholders' equity divided by total assets less goodwill and intangible assets (excluding MSRs), net of related deferred tax liabilities.
|
•
|
Return on average tangible shareholders' equity measures our earnings contribution as a percentage of adjusted average total shareholders' equity. The tangible equity ratio represents adjusted ending shareholders' equity divided by total assets less goodwill and intangible assets (excluding MSRs), net of related deferred tax liabilities.
|
•
|
Tangible book value per common share represents adjusted ending common shareholders' equity divided by ending common shares outstanding.
|
Table 10
|
|
|
|
|
|
|
|
||||||||
Supplemental Financial Data
|
|||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Fully taxable-equivalent basis data
|
|
|
|
|
|
|
|
||||||||
Net interest income
|
$
|
9,436
|
|
|
$
|
10,684
|
|
|
$
|
18,822
|
|
|
$
|
20,310
|
|
Total revenue, net of interest expense
|
20,621
|
|
|
22,179
|
|
|
40,348
|
|
|
43,308
|
|
||||
Net interest yield
|
2.03
|
%
|
|
2.37
|
%
|
|
2.04
|
%
|
|
2.27
|
%
|
||||
Efficiency ratio
|
65.43
|
|
|
62.93
|
|
|
70.16
|
|
|
68.77
|
|
Table 11
|
|||||||||||||||||||||||
Quarterly and Year-to-Date Supplemental Financial Data and Reconciliations to GAAP Financial Measures
|
|||||||||||||||||||||||
|
Three Months Ended June 30
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
(Dollars in millions)
|
As Reported
|
|
Fully taxable-equivalent adjustment
|
|
Fully taxable-equivalent basis
|
|
As Reported
|
|
Fully taxable-equivalent adjustment
|
|
Fully taxable-equivalent basis
|
||||||||||||
Net interest income
|
$
|
9,213
|
|
|
$
|
223
|
|
|
$
|
9,436
|
|
|
$
|
10,461
|
|
|
$
|
223
|
|
|
$
|
10,684
|
|
Total revenue, net of interest expense
|
20,398
|
|
|
223
|
|
|
20,621
|
|
|
21,956
|
|
|
223
|
|
|
22,179
|
|
||||||
Income tax expense
|
1,697
|
|
|
223
|
|
|
1,920
|
|
|
2,084
|
|
|
223
|
|
|
2,307
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Six Months Ended June 30
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Net interest income
|
$
|
18,384
|
|
|
$
|
438
|
|
|
$
|
18,822
|
|
|
$
|
19,872
|
|
|
$
|
438
|
|
|
$
|
20,310
|
|
Total revenue, net of interest expense
|
39,910
|
|
|
438
|
|
|
40,348
|
|
|
42,870
|
|
|
438
|
|
|
43,308
|
|
||||||
Income tax expense
|
2,716
|
|
|
438
|
|
|
3,154
|
|
|
3,309
|
|
|
438
|
|
|
3,747
|
|
Table 12
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Period-end and Average Supplemental Financial Data and Reconciliations to GAAP Financial Measures
|
|||||||||||||||||||||||
|
|
|
|
|
Average
|
||||||||||||||||||
|
Period-end
|
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Common shareholders' equity
|
$
|
241,849
|
|
|
$
|
233,932
|
|
|
$
|
240,166
|
|
|
$
|
228,780
|
|
|
$
|
238,645
|
|
|
$
|
227,078
|
|
Goodwill
|
(69,744
|
)
|
|
(69,761
|
)
|
|
(69,751
|
)
|
|
(69,775
|
)
|
|
(69,756
|
)
|
|
(69,776
|
)
|
||||||
Intangible assets (excluding MSRs)
|
(3,352
|
)
|
|
(3,768
|
)
|
|
(3,480
|
)
|
|
(4,307
|
)
|
|
(3,584
|
)
|
|
(4,412
|
)
|
||||||
Related deferred tax liabilities
|
1,637
|
|
|
1,716
|
|
|
1,662
|
|
|
1,885
|
|
|
1,684
|
|
|
1,922
|
|
||||||
Tangible common shareholders' equity
|
$
|
170,390
|
|
|
$
|
162,119
|
|
|
$
|
168,597
|
|
|
$
|
156,583
|
|
|
$
|
166,989
|
|
|
$
|
154,812
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Shareholders' equity
|
$
|
267,069
|
|
|
$
|
256,205
|
|
|
$
|
265,144
|
|
|
$
|
251,054
|
|
|
$
|
262,731
|
|
|
$
|
248,413
|
|
Goodwill
|
(69,744
|
)
|
|
(69,761
|
)
|
|
(69,751
|
)
|
|
(69,775
|
)
|
|
(69,756
|
)
|
|
(69,776
|
)
|
||||||
Intangible assets (excluding MSRs)
|
(3,352
|
)
|
|
(3,768
|
)
|
|
(3,480
|
)
|
|
(4,307
|
)
|
|
(3,584
|
)
|
|
(4,412
|
)
|
||||||
Related deferred tax liabilities
|
1,637
|
|
|
1,716
|
|
|
1,662
|
|
|
1,885
|
|
|
1,684
|
|
|
1,922
|
|
||||||
Tangible shareholders' equity
|
$
|
195,610
|
|
|
$
|
184,392
|
|
|
$
|
193,575
|
|
|
$
|
178,857
|
|
|
$
|
191,075
|
|
|
$
|
176,147
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total assets
|
$
|
2,186,609
|
|
|
$
|
2,144,316
|
|
|
|
|
|
|
|
|
|
||||||||
Goodwill
|
(69,744
|
)
|
|
(69,761
|
)
|
|
|
|
|
|
|
|
|
||||||||||
Intangible assets (excluding MSRs)
|
(3,352
|
)
|
|
(3,768
|
)
|
|
|
|
|
|
|
|
|
||||||||||
Related deferred tax liabilities
|
1,637
|
|
|
1,716
|
|
|
|
|
|
|
|
|
|
||||||||||
Tangible assets
|
$
|
2,115,150
|
|
|
$
|
2,072,503
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 13
|
|||||||||||||||||||||
Quarterly Average Balances and Interest Rates – FTE Basis
|
|||||||||||||||||||||
|
Second Quarter 2016
|
|
First Quarter 2016
|
||||||||||||||||||
(Dollars in millions)
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
||||||||||
Earning assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing deposits with the Federal Reserve, non-U.S. central banks and other banks
|
$
|
135,312
|
|
|
$
|
157
|
|
|
0.47
|
%
|
|
$
|
138,574
|
|
|
$
|
155
|
|
|
0.45
|
%
|
Time deposits placed and other short-term investments
|
7,855
|
|
|
35
|
|
|
1.79
|
|
|
9,156
|
|
|
32
|
|
|
1.41
|
|
||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
223,005
|
|
|
260
|
|
|
0.47
|
|
|
209,183
|
|
|
276
|
|
|
0.53
|
|
||||
Trading account assets
|
127,189
|
|
|
1,109
|
|
|
3.50
|
|
|
136,306
|
|
|
1,212
|
|
|
3.57
|
|
||||
Debt securities
(1)
|
418,748
|
|
|
1,378
|
|
|
1.33
|
|
|
399,809
|
|
|
1,224
|
|
|
1.23
|
|
||||
Loans and leases
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential mortgage
|
186,752
|
|
|
1,626
|
|
|
3.48
|
|
|
186,980
|
|
|
1,629
|
|
|
3.49
|
|
||||
Home equity
|
73,141
|
|
|
703
|
|
|
3.86
|
|
|
75,328
|
|
|
711
|
|
|
3.79
|
|
||||
U.S. credit card
|
86,705
|
|
|
1,983
|
|
|
9.20
|
|
|
87,163
|
|
|
2,021
|
|
|
9.32
|
|
||||
Non-U.S. credit card
|
9,988
|
|
|
250
|
|
|
10.06
|
|
|
9,822
|
|
|
253
|
|
|
10.36
|
|
||||
Direct/Indirect consumer
(3)
|
91,643
|
|
|
563
|
|
|
2.47
|
|
|
89,342
|
|
|
550
|
|
|
2.48
|
|
||||
Other consumer
(4)
|
2,220
|
|
|
16
|
|
|
3.00
|
|
|
2,138
|
|
|
16
|
|
|
3.03
|
|
||||
Total consumer
|
450,449
|
|
|
5,141
|
|
|
4.58
|
|
|
450,773
|
|
|
5,180
|
|
|
4.61
|
|
||||
U.S. commercial
|
276,640
|
|
|
2,006
|
|
|
2.92
|
|
|
270,511
|
|
|
1,936
|
|
|
2.88
|
|
||||
Commercial real estate
(5)
|
57,772
|
|
|
434
|
|
|
3.02
|
|
|
57,271
|
|
|
434
|
|
|
3.05
|
|
||||
Commercial lease financing
|
20,874
|
|
|
147
|
|
|
2.81
|
|
|
21,077
|
|
|
182
|
|
|
3.46
|
|
||||
Non-U.S. commercial
|
93,935
|
|
|
564
|
|
|
2.42
|
|
|
93,352
|
|
|
585
|
|
|
2.52
|
|
||||
Total commercial
|
449,221
|
|
|
3,151
|
|
|
2.82
|
|
|
442,211
|
|
|
3,137
|
|
|
2.85
|
|
||||
Total loans and leases
|
899,670
|
|
|
8,292
|
|
|
3.70
|
|
|
892,984
|
|
|
8,317
|
|
|
3.74
|
|
||||
Other earning assets
|
55,955
|
|
|
660
|
|
|
4.74
|
|
|
58,638
|
|
|
694
|
|
|
4.76
|
|
||||
Total earning assets
(6)
|
1,867,734
|
|
|
11,891
|
|
|
2.56
|
|
|
1,844,650
|
|
|
11,910
|
|
|
2.59
|
|
||||
Cash and due from banks
|
27,924
|
|
|
|
|
|
|
28,844
|
|
|
|
|
|
||||||||
Other assets, less allowance for loan and lease losses
|
292,251
|
|
|
|
|
|
|
300,124
|
|
|
|
|
|
||||||||
Total assets
|
$
|
2,187,909
|
|
|
|
|
|
|
$
|
2,173,618
|
|
|
|
|
|
(1)
|
Yields on debt securities excluding the impact of market-related adjustments were
2.34 percent
and
2.45 percent
in the
second
and
first
quarters of
2016
, and
2.47 percent
,
2.50 percent
and
2.48 percent
in the
fourth
,
third
and
second
quarters of
2015
, respectively. Yields on debt securities excluding the impact of market-related adjustments are non-GAAP financial measures. The Corporation believes the use of this non-GAAP financial measure provides additional clarity in assessing its results.
|
(2)
|
Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is generally recognized on a cost recovery basis. PCI loans were recorded at fair value upon acquisition and accrete interest income over the remaining life of the loan.
|
(3)
|
Includes non-U.S. consumer loans of
$3.4 billion
and
$3.8 billion
in the
second
and
first
quarters of
2016
, and
$4.0 billion
for each of the quarters of
2015
.
|
(4)
|
Includes consumer finance loans of
$526 million
and
$551 million
in the
second
and
first
quarters of
2016
, and
$578 million
,
$605 million
and
$632 million
in the
fourth
,
third
and
second
quarters of
2015
, respectively; consumer leases of
$1.5 billion
and
$1.4 billion
in the
second
and
first
quarters of
2016
, and
$1.3 billion
,
$1.2 billion
and
$1.1 billion
in the
fourth
,
third
and
second
quarters of
2015
, respectively; and consumer overdrafts of
$166 million
and
$161 million
in the
second
and
first
quarters of
2016
, and
$174 million
,
$177 million
and
$131 million
in the
fourth
,
third
and
second
quarters of
2015
, respectively.
|
(5)
|
Includes U.S. commercial real estate loans of
$54.3 billion
and
$53.8 billion
in the
second
and
first
quarters of
2016
, and
$52.8 billion
,
$49.8 billion
and
$47.6 billion
in the
fourth
,
third
and
second
quarters of
2015
, respectively; and non-U.S. commercial real estate loans of
$3.5 billion
and
$3.4 billion
in the
second
and
first
quarters of
2016
, and
$3.3 billion
,
$3.8 billion
and
$2.8 billion
in the
fourth
,
third
and
second
quarters of
2015
, respectively.
|
(6)
|
Interest income includes the impact of interest rate risk management contracts, which decreased interest income on the underlying assets by
$56 million
and
$35 million
in the
second
and
first
quarters of
2016
, and
$32 million
,
$8 million
and
$8 million
in the
fourth
,
third
and
second
quarters of
2015
, respectively. Interest expense includes the impact of interest rate risk management contracts, which decreased interest expense on the underlying liabilities by
$610 million
and
$565 million
in the
second
and
first
quarters of
2016
, and
$681 million
,
$590 million
and
$509 million
in the
fourth
,
third
and
second
quarters of
2015
, respectively. For additional information, see
Interest Rate Risk Management for the Banking Book
on page
106
.
|
(7)
|
The yield on long-term debt excluding the
$612 million
adjustment on certain trust preferred securities was
2.15 percent
for the fourth quarter of
2015
. For more information, see
Note 11 – Long-term Debt
to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K
. The yield on long-term debt excluding the adjustment is a non-GAAP financial measure.
|
Table 13
|
|
|
|
|
|
|
||||||||||||||||||||||||||
Quarterly Average Balances and Interest Rates – FTE Basis (continued)
|
||||||||||||||||||||||||||||||||
|
Fourth Quarter 2015
|
|
Third Quarter 2015
|
|
Second Quarter 2015
|
|||||||||||||||||||||||||||
(Dollars in millions)
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|||||||||||||||
Earning assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Interest-bearing deposits with the Federal Reserve, non-U.S. central banks and other banks
|
$
|
148,102
|
|
|
$
|
108
|
|
|
0.29
|
%
|
|
$
|
145,174
|
|
|
$
|
96
|
|
|
0.26
|
%
|
|
$
|
125,762
|
|
|
$
|
81
|
|
|
0.26
|
%
|
Time deposits placed and other short-term investments
|
10,120
|
|
|
41
|
|
|
1.61
|
|
|
11,503
|
|
|
38
|
|
|
1.32
|
|
|
8,183
|
|
|
34
|
|
|
1.64
|
|
||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
207,585
|
|
|
214
|
|
|
0.41
|
|
|
210,127
|
|
|
275
|
|
|
0.52
|
|
|
214,326
|
|
|
268
|
|
|
0.50
|
|
||||||
Trading account assets
|
134,797
|
|
|
1,141
|
|
|
3.37
|
|
|
140,484
|
|
|
1,170
|
|
|
3.31
|
|
|
137,137
|
|
|
1,114
|
|
|
3.25
|
|
||||||
Debt securities
(1)
|
399,423
|
|
|
2,541
|
|
|
2.55
|
|
|
394,420
|
|
|
1,853
|
|
|
1.88
|
|
|
386,357
|
|
|
3,082
|
|
|
3.21
|
|
||||||
Loans and leases
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Residential mortgage
|
189,650
|
|
|
1,644
|
|
|
3.47
|
|
|
193,791
|
|
|
1,690
|
|
|
3.49
|
|
|
207,356
|
|
|
1,782
|
|
|
3.44
|
|
||||||
Home equity
|
77,109
|
|
|
715
|
|
|
3.69
|
|
|
79,715
|
|
|
730
|
|
|
3.64
|
|
|
82,640
|
|
|
769
|
|
|
3.73
|
|
||||||
U.S. credit card
|
88,623
|
|
|
2,045
|
|
|
9.15
|
|
|
88,201
|
|
|
2,033
|
|
|
9.15
|
|
|
87,460
|
|
|
1,980
|
|
|
9.08
|
|
||||||
Non-U.S. credit card
|
10,155
|
|
|
258
|
|
|
10.07
|
|
|
10,244
|
|
|
267
|
|
|
10.34
|
|
|
10,012
|
|
|
264
|
|
|
10.56
|
|
||||||
Direct/Indirect consumer
(3)
|
87,858
|
|
|
530
|
|
|
2.40
|
|
|
85,975
|
|
|
515
|
|
|
2.38
|
|
|
83,698
|
|
|
504
|
|
|
2.42
|
|
||||||
Other consumer
(4)
|
2,039
|
|
|
11
|
|
|
2.09
|
|
|
1,980
|
|
|
15
|
|
|
3.01
|
|
|
1,885
|
|
|
15
|
|
|
3.14
|
|
||||||
Total consumer
|
455,434
|
|
|
5,203
|
|
|
4.55
|
|
|
459,906
|
|
|
5,250
|
|
|
4.54
|
|
|
473,051
|
|
|
5,314
|
|
|
4.50
|
|
||||||
U.S. commercial
|
261,727
|
|
|
1,790
|
|
|
2.72
|
|
|
251,908
|
|
|
1,744
|
|
|
2.75
|
|
|
244,540
|
|
|
1,704
|
|
|
2.80
|
|
||||||
Commercial real estate
(5)
|
56,126
|
|
|
408
|
|
|
2.89
|
|
|
53,605
|
|
|
384
|
|
|
2.84
|
|
|
50,478
|
|
|
382
|
|
|
3.03
|
|
||||||
Commercial lease financing
|
20,422
|
|
|
155
|
|
|
3.03
|
|
|
20,013
|
|
|
153
|
|
|
3.07
|
|
|
19,486
|
|
|
149
|
|
|
3.05
|
|
||||||
Non-U.S. commercial
|
92,447
|
|
|
530
|
|
|
2.27
|
|
|
91,997
|
|
|
514
|
|
|
2.22
|
|
|
88,623
|
|
|
479
|
|
|
2.17
|
|
||||||
Total commercial
|
430,722
|
|
|
2,883
|
|
|
2.66
|
|
|
417,523
|
|
|
2,795
|
|
|
2.66
|
|
|
403,127
|
|
|
2,714
|
|
|
2.70
|
|
||||||
Total loans and leases
|
886,156
|
|
|
8,086
|
|
|
3.63
|
|
|
877,429
|
|
|
8,045
|
|
|
3.65
|
|
|
876,178
|
|
|
8,028
|
|
|
3.67
|
|
||||||
Other earning assets
|
61,070
|
|
|
748
|
|
|
4.87
|
|
|
62,847
|
|
|
716
|
|
|
4.52
|
|
|
62,712
|
|
|
721
|
|
|
4.60
|
|
||||||
Total earning assets
(6)
|
1,847,253
|
|
|
12,879
|
|
|
2.77
|
|
|
1,841,984
|
|
|
12,193
|
|
|
2.63
|
|
|
1,810,655
|
|
|
13,328
|
|
|
2.95
|
|
||||||
Cash and due from banks
|
29,503
|
|
|
|
|
|
|
27,730
|
|
|
|
|
|
|
30,751
|
|
|
|
|
|
||||||||||||
Other assets, less allowance for loan and lease losses
|
303,716
|
|
|
|
|
|
|
299,279
|
|
|
|
|
|
|
310,560
|
|
|
|
|
|
||||||||||||
Total assets
|
$
|
2,180,472
|
|
|
|
|
|
|
$
|
2,168,993
|
|
|
|
|
|
|
|
$
|
2,151,966
|
|
|
|
|
|
Table 13
|
|||||||||||||||||||||
Quarterly Average Balances and Interest Rates – FTE Basis (continued)
|
|||||||||||||||||||||
|
Second Quarter 2016
|
|
First Quarter 2016
|
||||||||||||||||||
(Dollars in millions)
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
||||||||||
Interest-bearing liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. interest-bearing deposits:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Savings
|
$
|
50,105
|
|
|
$
|
1
|
|
|
0.01
|
%
|
|
$
|
47,845
|
|
|
$
|
1
|
|
|
0.01
|
%
|
NOW and money market deposit accounts
|
583,913
|
|
|
72
|
|
|
0.05
|
|
|
577,779
|
|
|
71
|
|
|
0.05
|
|
||||
Consumer CDs and IRAs
|
48,450
|
|
|
33
|
|
|
0.28
|
|
|
49,617
|
|
|
35
|
|
|
0.28
|
|
||||
Negotiable CDs, public funds and other deposits
|
32,879
|
|
|
35
|
|
|
0.42
|
|
|
31,739
|
|
|
29
|
|
|
0.37
|
|
||||
Total U.S. interest-bearing deposits
|
715,347
|
|
|
141
|
|
|
0.08
|
|
|
706,980
|
|
|
136
|
|
|
0.08
|
|
||||
Non-U.S. interest-bearing deposits:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Banks located in non-U.S. countries
|
4,235
|
|
|
10
|
|
|
0.98
|
|
|
4,123
|
|
|
9
|
|
|
0.84
|
|
||||
Governments and official institutions
|
1,542
|
|
|
2
|
|
|
0.66
|
|
|
1,472
|
|
|
2
|
|
|
0.53
|
|
||||
Time, savings and other
|
60,311
|
|
|
92
|
|
|
0.61
|
|
|
56,943
|
|
|
78
|
|
|
0.55
|
|
||||
Total non-U.S. interest-bearing deposits
|
66,088
|
|
|
104
|
|
|
0.63
|
|
|
62,538
|
|
|
89
|
|
|
0.57
|
|
||||
Total interest-bearing deposits
|
781,435
|
|
|
245
|
|
|
0.13
|
|
|
769,518
|
|
|
225
|
|
|
0.12
|
|
||||
Federal funds purchased, securities loaned or sold under agreements to repurchase and short-term borrowings
|
215,852
|
|
|
625
|
|
|
1.17
|
|
|
221,990
|
|
|
614
|
|
|
1.11
|
|
||||
Trading account liabilities
|
73,773
|
|
|
242
|
|
|
1.32
|
|
|
72,299
|
|
|
292
|
|
|
1.63
|
|
||||
Long-term debt
(7)
|
233,061
|
|
|
1,343
|
|
|
2.31
|
|
|
233,654
|
|
|
1,393
|
|
|
2.39
|
|
||||
Total interest-bearing liabilities
(6)
|
1,304,121
|
|
|
2,455
|
|
|
0.76
|
|
|
1,297,461
|
|
|
2,524
|
|
|
0.78
|
|
||||
Noninterest-bearing sources:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Noninterest-bearing deposits
|
431,856
|
|
|
|
|
|
|
428,937
|
|
|
|
|
|
||||||||
Other liabilities
|
186,788
|
|
|
|
|
|
|
186,903
|
|
|
|
|
|
||||||||
Shareholders' equity
|
265,144
|
|
|
|
|
|
|
260,317
|
|
|
|
|
|
||||||||
Total liabilities and shareholders' equity
|
$
|
2,187,909
|
|
|
|
|
|
|
$
|
2,173,618
|
|
|
|
|
|
||||||
Net interest spread
|
|
|
|
|
1.80
|
%
|
|
|
|
|
|
1.81
|
%
|
||||||||
Impact of noninterest-bearing sources
|
|
|
|
|
0.23
|
|
|
|
|
|
|
0.24
|
|
||||||||
Net interest income/yield on earning assets
|
|
|
$
|
9,436
|
|
|
2.03
|
%
|
|
|
|
$
|
9,386
|
|
|
2.05
|
%
|
Table 13
|
|
|
|
|
|
|
||||||||||||||||||||||||||
Quarterly Average Balances and Interest Rates – FTE Basis (continued)
|
||||||||||||||||||||||||||||||||
|
Fourth Quarter 2015
|
|
Third Quarter 2015
|
|
Second Quarter 2015
|
|||||||||||||||||||||||||||
(Dollars in millions)
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|||||||||||||||
Interest-bearing liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
U.S. interest-bearing deposits:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Savings
|
$
|
46,094
|
|
|
$
|
1
|
|
|
0.01
|
%
|
|
$
|
46,297
|
|
|
$
|
2
|
|
|
0.02
|
%
|
|
$
|
47,381
|
|
|
$
|
2
|
|
|
0.02
|
%
|
NOW and money market deposit accounts
|
558,441
|
|
|
68
|
|
|
0.05
|
|
|
545,741
|
|
|
67
|
|
|
0.05
|
|
|
536,201
|
|
|
71
|
|
|
0.05
|
|
||||||
Consumer CDs and IRAs
|
51,107
|
|
|
37
|
|
|
0.29
|
|
|
53,174
|
|
|
38
|
|
|
0.29
|
|
|
55,832
|
|
|
42
|
|
|
0.30
|
|
||||||
Negotiable CDs, public funds and other deposits
|
30,546
|
|
|
25
|
|
|
0.32
|
|
|
30,631
|
|
|
26
|
|
|
0.33
|
|
|
29,904
|
|
|
22
|
|
|
0.30
|
|
||||||
Total U.S. interest-bearing deposits
|
686,188
|
|
|
131
|
|
|
0.08
|
|
|
675,843
|
|
|
133
|
|
|
0.08
|
|
|
669,318
|
|
|
137
|
|
|
0.08
|
|
||||||
Non-U.S. interest-bearing deposits:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Banks located in non-U.S. countries
|
3,997
|
|
|
7
|
|
|
0.69
|
|
|
4,196
|
|
|
7
|
|
|
0.71
|
|
|
5,162
|
|
|
9
|
|
|
0.67
|
|
||||||
Governments and official institutions
|
1,687
|
|
|
2
|
|
|
0.37
|
|
|
1,654
|
|
|
1
|
|
|
0.33
|
|
|
1,239
|
|
|
1
|
|
|
0.38
|
|
||||||
Time, savings and other
|
55,965
|
|
|
71
|
|
|
0.51
|
|
|
53,793
|
|
|
73
|
|
|
0.53
|
|
|
55,030
|
|
|
69
|
|
|
0.51
|
|
||||||
Total non-U.S. interest-bearing deposits
|
61,649
|
|
|
80
|
|
|
0.52
|
|
|
59,643
|
|
|
81
|
|
|
0.54
|
|
|
61,431
|
|
|
79
|
|
|
0.52
|
|
||||||
Total interest-bearing deposits
|
747,837
|
|
|
211
|
|
|
0.11
|
|
|
735,486
|
|
|
214
|
|
|
0.12
|
|
|
730,749
|
|
|
216
|
|
|
0.12
|
|
||||||
Federal funds purchased, securities loaned or sold under agreements to repurchase and short-term borrowings
|
231,650
|
|
|
519
|
|
|
0.89
|
|
|
257,323
|
|
|
597
|
|
|
0.92
|
|
|
252,088
|
|
|
686
|
|
|
1.09
|
|
||||||
Trading account liabilities
|
73,139
|
|
|
272
|
|
|
1.48
|
|
|
77,443
|
|
|
342
|
|
|
1.75
|
|
|
77,772
|
|
|
335
|
|
|
1.73
|
|
||||||
Long-term debt
(7)
|
237,384
|
|
|
1,895
|
|
|
3.18
|
|
|
240,520
|
|
|
1,343
|
|
|
2.22
|
|
|
242,230
|
|
|
1,407
|
|
|
2.33
|
|
||||||
Total interest-bearing liabilities
(6)
|
1,290,010
|
|
|
2,897
|
|
|
0.89
|
|
|
1,310,772
|
|
|
2,496
|
|
|
0.76
|
|
|
1,302,839
|
|
|
2,644
|
|
|
0.81
|
|
||||||
Noninterest-bearing sources:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Noninterest-bearing deposits
|
438,214
|
|
|
|
|
|
|
423,745
|
|
|
|
|
|
|
|
416,040
|
|
|
|
|
|
|||||||||||
Other liabilities
|
195,123
|
|
|
|
|
|
|
180,583
|
|
|
|
|
|
|
|
182,033
|
|
|
|
|
|
|||||||||||
Shareholders' equity
|
257,125
|
|
|
|
|
|
|
253,893
|
|
|
|
|
|
|
|
251,054
|
|
|
|
|
|
|||||||||||
Total liabilities and shareholders' equity
|
$
|
2,180,472
|
|
|
|
|
|
|
$
|
2,168,993
|
|
|
|
|
|
|
$
|
2,151,966
|
|
|
|
|
|
|||||||||
Net interest spread
|
|
|
|
|
1.88
|
%
|
|
|
|
|
|
1.87
|
%
|
|
|
|
|
|
2.14
|
%
|
||||||||||||
Impact of noninterest-bearing sources
|
|
|
|
|
0.27
|
|
|
|
|
|
|
0.23
|
|
|
|
|
|
|
0.23
|
|
||||||||||||
Net interest income/yield on earning assets
|
|
|
$
|
9,982
|
|
|
2.15
|
%
|
|
|
|
$
|
9,697
|
|
|
2.10
|
%
|
|
|
|
$
|
10,684
|
|
|
2.37
|
%
|
Table 14
|
|||||||||||||||||||||
Year-to-Date Average Balances and Interest Rates – FTE Basis
|
|||||||||||||||||||||
|
Six Months Ended June 30
|
||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||
(Dollars in millions)
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
||||||||||
Earning assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing deposits with the Federal Reserve, non-U.S. central banks and other banks
|
$
|
136,943
|
|
|
$
|
312
|
|
|
0.46
|
%
|
|
$
|
125,974
|
|
|
$
|
165
|
|
|
0.26
|
%
|
Time deposits placed and other short-term investments
|
8,506
|
|
|
67
|
|
|
1.59
|
|
|
8,280
|
|
|
67
|
|
|
1.63
|
|
||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
216,094
|
|
|
536
|
|
|
0.50
|
|
|
214,130
|
|
|
499
|
|
|
0.47
|
|
||||
Trading account assets
|
131,748
|
|
|
2,321
|
|
|
3.54
|
|
|
138,036
|
|
|
2,236
|
|
|
3.26
|
|
||||
Debt securities
(1)
|
409,279
|
|
|
2,602
|
|
|
1.28
|
|
|
384,747
|
|
|
4,980
|
|
|
2.61
|
|
||||
Loans and leases
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential mortgage
|
186,866
|
|
|
3,255
|
|
|
3.48
|
|
|
211,172
|
|
|
3,633
|
|
|
3.44
|
|
||||
Home equity
|
74,235
|
|
|
1,414
|
|
|
3.82
|
|
|
83,771
|
|
|
1,539
|
|
|
3.69
|
|
||||
U.S. credit card
|
86,934
|
|
|
4,004
|
|
|
9.26
|
|
|
88,074
|
|
|
4,007
|
|
|
9.18
|
|
||||
Non-U.S. credit card
|
9,905
|
|
|
503
|
|
|
10.21
|
|
|
10,007
|
|
|
526
|
|
|
10.60
|
|
||||
Direct/Indirect consumer
(3)
|
90,493
|
|
|
1,113
|
|
|
2.47
|
|
|
82,214
|
|
|
995
|
|
|
2.44
|
|
||||
Other consumer
(4)
|
2,178
|
|
|
32
|
|
|
3.01
|
|
|
1,866
|
|
|
30
|
|
|
3.22
|
|
||||
Total consumer
|
450,611
|
|
|
10,321
|
|
|
4.60
|
|
|
477,104
|
|
|
10,730
|
|
|
4.52
|
|
||||
U.S. commercial
|
273,576
|
|
|
3,942
|
|
|
2.90
|
|
|
239,751
|
|
|
3,349
|
|
|
2.82
|
|
||||
Commercial real estate
(5)
|
57,521
|
|
|
868
|
|
|
3.03
|
|
|
49,362
|
|
|
729
|
|
|
2.98
|
|
||||
Commercial lease financing
|
20,975
|
|
|
329
|
|
|
3.14
|
|
|
19,379
|
|
|
320
|
|
|
3.30
|
|
||||
Non-U.S. commercial
|
93,644
|
|
|
1,149
|
|
|
2.47
|
|
|
86,103
|
|
|
964
|
|
|
2.26
|
|
||||
Total commercial
|
445,716
|
|
|
6,288
|
|
|
2.84
|
|
|
394,595
|
|
|
5,362
|
|
|
2.74
|
|
||||
Total loans and leases
|
896,327
|
|
|
16,609
|
|
|
3.72
|
|
|
871,699
|
|
|
16,092
|
|
|
3.71
|
|
||||
Other earning assets
|
57,295
|
|
|
1,354
|
|
|
4.75
|
|
|
62,081
|
|
|
1,427
|
|
|
4.63
|
|
||||
Total earning assets
(6)
|
1,856,192
|
|
|
23,801
|
|
|
2.57
|
|
|
1,804,947
|
|
|
25,466
|
|
|
2.84
|
|
||||
Cash and due from banks
|
28,384
|
|
|
|
|
|
|
29,231
|
|
|
|
|
|
||||||||
Other assets, less allowance for loan and lease losses
|
296,187
|
|
|
|
|
|
|
311,129
|
|
|
|
|
|
|
|||||||
Total assets
|
$
|
2,180,763
|
|
|
|
|
|
|
$
|
2,145,307
|
|
|
|
|
|
|
(1)
|
Yields on debt securities excluding the impact of market-related adjustments were
2.39 percent
and
2.51 percent
for the
six months ended June 30, 2016 and 2015
. Yields on debt securities excluding the impact of market-related adjustments are non-GAAP financial measures. The Corporation believes the use of this non-GAAP financial measure provides additional clarity in assessing its results.
|
(2)
|
Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is generally recognized on a cost recovery basis. PCI loans were recorded at fair value upon acquisition and accrete interest income over the remaining life of the loan.
|
(3)
|
Includes non-U.S. consumer loans of
$3.6 billion
and
$4.0 billion
for the
six months ended June 30, 2016 and 2015
.
|
(4)
|
Includes consumer finance loans of
$538 million
and
$647 million
, consumer leases of
$1.5 billion
and
$1.1 billion
, and consumer overdrafts of
$163 million
and
$136 million
for the
six months ended June 30, 2016 and 2015
.
|
(5)
|
Includes U.S. commercial real estate loans of
$54.1 billion
and
$46.6 billion
, and non-U.S. commercial real estate loans of
$3.5 billion
and
$2.8 billion
for the
six months ended June 30, 2016 and 2015
.
|
(6)
|
Interest income includes the impact of interest rate risk management contracts, which decreased interest income on the underlying assets by
$91 million
and
$19 million
for the
six months ended June 30, 2016 and 2015
. Interest expense includes the impact of interest rate risk management contracts, which decreased interest expense on the underlying liabilities by
$1.2 billion
and
$1.1 billion
for the
six months ended June 30, 2016 and 2015
. For additional information, see
Interest Rate Risk Management for the Banking Book
on page
106
.
|
Table 14
|
|||||||||||||||||||||
Year-to-Date Average Balances and Interest Rates – FTE Basis (continued)
|
|||||||||||||||||||||
|
Six Months Ended June 30
|
||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||
(Dollars in millions)
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Interest
Income/
Expense
|
|
Yield/
Rate
|
||||||||||
Interest-bearing liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. interest-bearing deposits:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Savings
|
$
|
48,975
|
|
|
$
|
2
|
|
|
0.01
|
%
|
|
$
|
46,806
|
|
|
$
|
4
|
|
|
0.02
|
%
|
NOW and money market deposit accounts
|
580,846
|
|
|
143
|
|
|
0.05
|
|
|
534,026
|
|
|
138
|
|
|
0.05
|
|
||||
Consumer CDs and IRAs
|
49,034
|
|
|
68
|
|
|
0.28
|
|
|
57,260
|
|
|
87
|
|
|
0.31
|
|
||||
Negotiable CDs, public funds and other deposits
|
32,308
|
|
|
64
|
|
|
0.40
|
|
|
29,353
|
|
|
44
|
|
|
0.31
|
|
||||
Total U.S. interest-bearing deposits
|
711,163
|
|
|
277
|
|
|
0.08
|
|
|
667,445
|
|
|
273
|
|
|
0.08
|
|
||||
Non-U.S. interest-bearing deposits:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Banks located in non-U.S. countries
|
4,179
|
|
|
19
|
|
|
0.91
|
|
|
4,855
|
|
|
17
|
|
|
0.70
|
|
||||
Governments and official institutions
|
1,507
|
|
|
4
|
|
|
0.60
|
|
|
1,310
|
|
|
2
|
|
|
0.29
|
|
||||
Time, savings and other
|
58,627
|
|
|
170
|
|
|
0.58
|
|
|
54,655
|
|
|
144
|
|
|
0.53
|
|
||||
Total non-U.S. interest-bearing deposits
|
64,313
|
|
|
193
|
|
|
0.60
|
|
|
60,820
|
|
|
163
|
|
|
0.54
|
|
||||
Total interest-bearing deposits
|
775,476
|
|
|
470
|
|
|
0.12
|
|
|
728,265
|
|
|
436
|
|
|
0.12
|
|
||||
Federal funds purchased, securities loaned or sold under agreements to repurchase and short-term borrowings
|
218,921
|
|
|
1,239
|
|
|
1.14
|
|
|
248,133
|
|
|
1,271
|
|
|
1.03
|
|
||||
Trading account liabilities
|
73,036
|
|
|
534
|
|
|
1.47
|
|
|
78,277
|
|
|
729
|
|
|
1.88
|
|
||||
Long-term debt
|
233,358
|
|
|
2,736
|
|
|
2.35
|
|
|
241,184
|
|
|
2,720
|
|
|
2.27
|
|
||||
Total interest-bearing liabilities
(6)
|
1,300,791
|
|
|
4,979
|
|
|
0.77
|
|
|
1,295,859
|
|
|
5,156
|
|
|
0.80
|
|
||||
Noninterest-bearing sources:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Noninterest-bearing deposits
|
430,397
|
|
|
|
|
|
|
410,536
|
|
|
|
|
|
||||||||
Other liabilities
|
186,844
|
|
|
|
|
|
|
190,499
|
|
|
|
|
|
||||||||
Shareholders' equity
|
262,731
|
|
|
|
|
|
|
248,413
|
|
|
|
|
|
||||||||
Total liabilities and shareholders' equity
|
$
|
2,180,763
|
|
|
|
|
|
|
$
|
2,145,307
|
|
|
|
|
|
||||||
Net interest spread
|
|
|
|
|
1.80
|
%
|
|
|
|
|
|
2.04
|
%
|
||||||||
Impact of noninterest-bearing sources
|
|
|
|
|
0.24
|
|
|
|
|
|
|
0.23
|
|
||||||||
Net interest income/yield on earning assets
|
|
|
$
|
18,822
|
|
|
2.04
|
%
|
|
|
|
$
|
20,310
|
|
|
2.27
|
%
|
Business Segment Operations
|
|
Segment Description and Basis of Presentation
|
Consumer Banking
|
|
Three Months Ended June 30
|
|
|
|||||||||||||||||||||||
|
Deposits
|
|
Consumer
Lending
|
|
Total Consumer Banking
|
|
|
|||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
% Change
|
|||||||||||||
Net interest income (FTE basis)
|
$
|
2,677
|
|
|
$
|
2,366
|
|
|
$
|
2,599
|
|
|
$
|
2,677
|
|
|
$
|
5,276
|
|
|
$
|
5,043
|
|
|
5
|
%
|
Noninterest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Card income
|
2
|
|
|
3
|
|
|
1,214
|
|
|
1,204
|
|
|
1,216
|
|
|
1,207
|
|
|
1
|
|
||||||
Service charges
|
1,011
|
|
|
1,033
|
|
|
—
|
|
|
—
|
|
|
1,011
|
|
|
1,033
|
|
|
(2
|
)
|
||||||
Mortgage banking income
|
—
|
|
|
—
|
|
|
267
|
|
|
359
|
|
|
267
|
|
|
359
|
|
|
(26
|
)
|
||||||
All other income
|
99
|
|
|
119
|
|
|
(5
|
)
|
|
(4
|
)
|
|
94
|
|
|
115
|
|
|
(18
|
)
|
||||||
Total noninterest income
|
1,112
|
|
|
1,155
|
|
|
1,476
|
|
|
1,559
|
|
|
2,588
|
|
|
2,714
|
|
|
(5
|
)
|
||||||
Total revenue, net of interest expense (FTE basis)
|
3,789
|
|
|
3,521
|
|
|
4,075
|
|
|
4,236
|
|
|
7,864
|
|
|
7,757
|
|
|
1
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Provision for credit losses
|
41
|
|
|
24
|
|
|
685
|
|
|
446
|
|
|
726
|
|
|
470
|
|
|
54
|
|
||||||
Noninterest expense
|
2,378
|
|
|
2,382
|
|
|
2,038
|
|
|
2,255
|
|
|
4,416
|
|
|
4,637
|
|
|
(5
|
)
|
||||||
Income before income taxes (FTE basis)
|
1,370
|
|
|
1,115
|
|
|
1,352
|
|
|
1,535
|
|
|
2,722
|
|
|
2,650
|
|
|
3
|
|
||||||
Income tax expense (FTE basis)
|
505
|
|
|
415
|
|
|
499
|
|
|
573
|
|
|
1,004
|
|
|
988
|
|
|
2
|
|
||||||
Net income
|
$
|
865
|
|
|
$
|
700
|
|
|
$
|
853
|
|
|
$
|
962
|
|
|
$
|
1,718
|
|
|
$
|
1,662
|
|
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net interest yield (FTE basis)
|
1.81
|
%
|
|
1.73
|
%
|
|
4.36
|
%
|
|
4.71
|
%
|
|
3.39
|
%
|
|
3.49
|
%
|
|
|
|||||||
Return on average allocated capital
|
29
|
|
|
23
|
|
|
16
|
|
|
18
|
|
|
20
|
|
|
20
|
|
|
|
|||||||
Efficiency ratio (FTE basis)
|
62.72
|
|
|
67.65
|
|
|
50.02
|
|
|
53.25
|
|
|
56.14
|
|
|
59.78
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance Sheet
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Three Months Ended June 30
|
|
|
|||||||||||||||||||||||
Average
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
% Change
|
|||||||||||||
Total loans and leases
|
$
|
4,792
|
|
|
$
|
4,694
|
|
|
$
|
238,129
|
|
|
$
|
226,010
|
|
|
$
|
242,921
|
|
|
$
|
230,704
|
|
|
5
|
%
|
Total earning assets
(1)
|
594,748
|
|
|
549,060
|
|
|
239,645
|
|
|
228,124
|
|
|
626,811
|
|
|
579,920
|
|
|
8
|
|
||||||
Total assets
(1)
|
621,445
|
|
|
576,247
|
|
|
251,239
|
|
|
241,372
|
|
|
665,102
|
|
|
620,355
|
|
|
7
|
|
||||||
Total deposits
|
589,295
|
|
|
544,341
|
|
|
7,179
|
|
|
8,632
|
|
|
596,474
|
|
|
552,973
|
|
|
8
|
|
||||||
Allocated capital
|
12,000
|
|
|
12,000
|
|
|
22,000
|
|
|
21,000
|
|
|
34,000
|
|
|
33,000
|
|
|
3
|
|
(1)
|
In segments and businesses where the total of liabilities and equity exceeds assets, we allocate assets from
All Other
to match the segments' and businesses' liabilities and allocated shareholders' equity. As a result, total earning assets and total assets of the businesses may not equal total
Consumer Banking
.
|
|
Six Months Ended June 30
|
|
|
|||||||||||||||||||||||
|
Deposits
|
|
Consumer
Lending
|
|
Total Consumer Banking
|
|
|
|||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
% Change
|
|||||||||||||
Net interest income (FTE basis)
|
$
|
5,322
|
|
|
$
|
4,637
|
|
|
$
|
5,226
|
|
|
$
|
5,409
|
|
|
$
|
10,548
|
|
|
$
|
10,046
|
|
|
5
|
%
|
Noninterest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Card income
|
5
|
|
|
6
|
|
|
2,422
|
|
|
2,369
|
|
|
2,427
|
|
|
2,375
|
|
|
2
|
|
||||||
Service charges
|
2,008
|
|
|
1,998
|
|
|
—
|
|
|
1
|
|
|
2,008
|
|
|
1,999
|
|
|
<1
|
|
||||||
Mortgage banking income
|
—
|
|
|
—
|
|
|
457
|
|
|
827
|
|
|
457
|
|
|
827
|
|
|
(45
|
)
|
||||||
All other income
|
214
|
|
|
223
|
|
|
11
|
|
|
2
|
|
|
225
|
|
|
225
|
|
|
—
|
|
||||||
Total noninterest income
|
2,227
|
|
|
2,227
|
|
|
2,890
|
|
|
3,199
|
|
|
5,117
|
|
|
5,426
|
|
|
(6
|
)
|
||||||
Total revenue, net of interest expense (FTE basis)
|
7,549
|
|
|
6,864
|
|
|
8,116
|
|
|
8,608
|
|
|
15,665
|
|
|
15,472
|
|
|
1
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Provision for credit losses
|
89
|
|
|
87
|
|
|
1,168
|
|
|
1,052
|
|
|
1,257
|
|
|
1,139
|
|
|
10
|
|
||||||
Noninterest expense
|
4,832
|
|
|
4,854
|
|
|
4,122
|
|
|
4,515
|
|
|
8,954
|
|
|
9,369
|
|
|
(4
|
)
|
||||||
Income before income taxes (FTE basis)
|
2,628
|
|
|
1,923
|
|
|
2,826
|
|
|
3,041
|
|
|
5,454
|
|
|
4,964
|
|
|
10
|
|
||||||
Income tax expense (FTE basis)
|
967
|
|
|
714
|
|
|
1,040
|
|
|
1,132
|
|
|
2,007
|
|
|
1,846
|
|
|
9
|
|
||||||
Net income
|
$
|
1,661
|
|
|
$
|
1,209
|
|
|
$
|
1,786
|
|
|
$
|
1,909
|
|
|
$
|
3,447
|
|
|
$
|
3,118
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net interest yield (FTE basis)
|
1.83
|
%
|
|
1.72
|
%
|
|
4.43
|
%
|
|
4.79
|
%
|
|
3.44
|
%
|
|
3.54
|
%
|
|
|
|||||||
Return on average allocated capital
|
28
|
|
|
20
|
|
|
16
|
|
|
18
|
|
|
20
|
|
|
19
|
|
|
|
|||||||
Efficiency ratio (FTE basis)
|
64.00
|
|
|
70.71
|
|
|
50.79
|
|
|
52.45
|
|
|
57.16
|
|
|
60.55
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance Sheet
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Six Months Ended June 30
|
|
|
|||||||||||||||||||||||
Average
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
% Change
|
|||||||||||||
Total loans and leases
|
$
|
4,761
|
|
|
$
|
4,770
|
|
|
$
|
235,653
|
|
|
$
|
225,763
|
|
|
$
|
240,414
|
|
|
$
|
230,533
|
|
|
4
|
%
|
Total earning assets
(1)
|
585,692
|
|
|
542,238
|
|
|
237,003
|
|
|
227,744
|
|
|
617,062
|
|
|
572,712
|
|
|
8
|
|
||||||
Total assets
(1)
|
612,437
|
|
|
569,225
|
|
|
249,008
|
|
|
241,166
|
|
|
655,812
|
|
|
613,121
|
|
|
7
|
|
||||||
Total deposits
|
580,378
|
|
|
537,354
|
|
|
6,957
|
|
|
8,416
|
|
|
587,335
|
|
|
545,770
|
|
|
8
|
|
||||||
Allocated capital
|
12,000
|
|
|
12,000
|
|
|
22,000
|
|
|
21,000
|
|
|
34,000
|
|
|
33,000
|
|
|
3
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Period end
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
% Change
|
|||||||||||||
Total loans and leases
|
$
|
4,845
|
|
|
$
|
4,735
|
|
|
$
|
242,277
|
|
|
$
|
234,116
|
|
|
$
|
247,122
|
|
|
$
|
238,851
|
|
|
3
|
%
|
Total earning assets
(1)
|
597,993
|
|
|
576,108
|
|
|
244,699
|
|
|
235,496
|
|
|
630,143
|
|
|
605,012
|
|
|
4
|
|
||||||
Total assets
(1)
|
624,658
|
|
|
603,448
|
|
|
256,361
|
|
|
248,571
|
|
|
668,470
|
|
|
645,427
|
|
|
4
|
|
||||||
Total deposits
|
592,442
|
|
|
571,467
|
|
|
7,015
|
|
|
6,365
|
|
|
599,457
|
|
|
577,832
|
|
|
4
|
|
Key Statistics
–
Deposits
|
|
|
|
|
|
|
|
||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||
Total deposit spreads (excludes noninterest costs)
(1)
|
1.66
|
%
|
|
1.61
|
%
|
|
1.65
|
%
|
|
1.61
|
%
|
||
|
|
|
|
|
|
|
|
||||||
Period end
|
|
|
|
|
|
|
|
||||||
Client brokerage assets (in millions)
|
|
|
|
|
$
|
131,698
|
|
|
$
|
121,961
|
|
||
Online banking active accounts (units in thousands)
|
|
|
|
|
33,022
|
|
|
31,365
|
|
||||
Mobile banking active users (units in thousands)
|
|
|
|
|
20,227
|
|
|
17,626
|
|
||||
Financial centers
|
|
|
|
|
4,681
|
|
|
4,789
|
|
||||
ATMs
|
|
|
|
|
15,998
|
|
|
15,992
|
|
Key Statistics
–
Consumer Lending
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Total U.S. credit card
(1)
|
|
|
|
|
|
|
|
||||||||
Gross interest yield
|
9.20
|
%
|
|
9.08
|
%
|
|
9.26
|
%
|
|
9.18
|
%
|
||||
Risk-adjusted margin
|
8.79
|
|
|
8.89
|
|
|
8.92
|
|
|
8.95
|
|
||||
New accounts (in thousands)
|
1,313
|
|
|
1,295
|
|
|
2,521
|
|
|
2,456
|
|
||||
Purchase volumes
|
$
|
56,667
|
|
|
$
|
55,976
|
|
|
$
|
107,821
|
|
|
$
|
106,154
|
|
Debit card purchase volumes
|
$
|
72,120
|
|
|
$
|
70,754
|
|
|
$
|
141,267
|
|
|
$
|
137,653
|
|
(1)
|
In addition to the U.S. credit card portfolio in
Consumer Banking
, the remaining U.S. credit card portfolio is in
GWIM
.
|
Mortgage Banking Income
|
Mortgage Banking Income
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Mortgage banking income
|
|
|
|
|
|
|
|
||||||||
Consumer Banking mortgage banking income
|
|
|
|
|
|
|
|
||||||||
Total production income
|
$
|
182
|
|
|
$
|
272
|
|
|
$
|
320
|
|
|
$
|
578
|
|
Net servicing income
|
|
|
|
|
|
|
|
||||||||
Servicing fees
|
179
|
|
|
208
|
|
|
363
|
|
|
450
|
|
||||
Amortization of expected cash flows
(1)
|
(146
|
)
|
|
(168
|
)
|
|
(300
|
)
|
|
(347
|
)
|
||||
Fair value changes of MSRs, net of risk management activities used to hedge certain market risks
(2)
|
52
|
|
|
47
|
|
|
74
|
|
|
146
|
|
||||
Total net servicing income
|
85
|
|
|
87
|
|
|
137
|
|
|
249
|
|
||||
Total Consumer Banking mortgage banking income
|
267
|
|
|
359
|
|
|
457
|
|
|
827
|
|
||||
Other mortgage banking income
|
|
|
|
|
|
|
|
||||||||
Other production income
(3)
|
14
|
|
|
25
|
|
|
108
|
|
|
24
|
|
||||
Representations and warranties provision
|
(22
|
)
|
|
204
|
|
|
(66
|
)
|
|
114
|
|
||||
Net servicing income
|
|
|
|
|
|
|
|
||||||||
Servicing fees
|
119
|
|
|
152
|
|
|
237
|
|
|
306
|
|
||||
Amortization of expected cash flows
(1)
|
(19
|
)
|
|
(19
|
)
|
|
(37
|
)
|
|
(38
|
)
|
||||
Fair value changes of MSRs, net of risk management activities used to hedge certain market risks
(2)
|
10
|
|
|
146
|
|
|
115
|
|
|
297
|
|
||||
Total net servicing income
|
110
|
|
|
279
|
|
|
315
|
|
|
565
|
|
||||
Eliminations
(4)
|
(57
|
)
|
|
134
|
|
|
(69
|
)
|
|
165
|
|
||||
Total other mortgage banking income
|
45
|
|
|
642
|
|
|
288
|
|
|
868
|
|
||||
Total consolidated mortgage banking income
|
$
|
312
|
|
|
$
|
1,001
|
|
|
$
|
745
|
|
|
$
|
1,695
|
|
(1)
|
Represents the net change in fair value of the MSR asset due to the recognition of modeled cash flows.
|
(2)
|
Includes gains (losses) on sales of MSRs.
|
(3)
|
Consists primarily of revenue from sales of repurchased loans that had returned to performing status.
|
(4)
|
Includes the effect of transfers of mortgage loans from
Consumer Banking
to the ALM portfolio included in
All Other
and net gains or losses on intercompany trades related to MSR risk management.
|
Key Statistics
–
Mortgage Banking Income
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Loan production
(1)
:
|
|
|
|
|
|
|
|
||||||||
Total
(2)
:
|
|
|
|
|
|
|
|
||||||||
First mortgage
|
$
|
16,314
|
|
|
$
|
15,962
|
|
|
$
|
28,937
|
|
|
$
|
29,675
|
|
Home equity
|
4,303
|
|
|
3,209
|
|
|
8,108
|
|
|
6,426
|
|
||||
Consumer Banking:
|
|
|
|
|
|
|
|
||||||||
First mortgage
|
$
|
11,541
|
|
|
$
|
11,265
|
|
|
$
|
20,619
|
|
|
$
|
21,120
|
|
Home equity
|
3,881
|
|
|
2,939
|
|
|
7,396
|
|
|
5,957
|
|
(1)
|
The loan production amounts represent the unpaid principal balance of loans and in the case of home equity, the principal amount of the total line of credit.
|
(2)
|
In addition to loan production in
Consumer Banking
, there is also first mortgage and home equity loan production in
GWIM
.
|
|
|
|
|
|
|
|
|
|
Global Wealth & Investment Management
|
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Net interest income (FTE basis)
|
$
|
1,434
|
|
|
$
|
1,352
|
|
|
6
|
%
|
|
$
|
2,922
|
|
|
$
|
2,695
|
|
|
8
|
%
|
Noninterest income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment and brokerage services
|
2,598
|
|
|
2,749
|
|
|
(5
|
)
|
|
5,134
|
|
|
5,472
|
|
|
(6
|
)
|
||||
All other income
|
424
|
|
|
466
|
|
|
(9
|
)
|
|
844
|
|
|
910
|
|
|
(7
|
)
|
||||
Total noninterest income
|
3,022
|
|
|
3,215
|
|
|
(6
|
)
|
|
5,978
|
|
|
6,382
|
|
|
(6
|
)
|
||||
Total revenue, net of interest expense (FTE basis)
|
4,456
|
|
|
4,567
|
|
|
(2
|
)
|
|
8,900
|
|
|
9,077
|
|
|
(2
|
)
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Provision for credit losses
|
14
|
|
|
15
|
|
|
(7
|
)
|
|
39
|
|
|
38
|
|
|
3
|
|
||||
Noninterest expense
|
3,288
|
|
|
3,485
|
|
|
(6
|
)
|
|
6,563
|
|
|
6,974
|
|
|
(6
|
)
|
||||
Income before income taxes (FTE basis)
|
1,154
|
|
|
1,067
|
|
|
8
|
|
|
2,298
|
|
|
2,065
|
|
|
11
|
|
||||
Income tax expense (FTE basis)
|
432
|
|
|
398
|
|
|
9
|
|
|
852
|
|
|
768
|
|
|
11
|
|
||||
Net income
|
$
|
722
|
|
|
$
|
669
|
|
|
8
|
|
|
$
|
1,446
|
|
|
$
|
1,297
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest yield (FTE basis)
|
2.11
|
%
|
|
2.16
|
%
|
|
|
|
2.12
|
%
|
|
2.13
|
%
|
|
|
||||||
Return on average allocated capital
|
22
|
|
|
22
|
|
|
|
|
22
|
|
|
22
|
|
|
|
||||||
Efficiency ratio (FTE basis)
|
73.78
|
|
|
76.31
|
|
|
|
|
73.74
|
|
|
76.83
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance Sheet
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
Average
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Total loans and leases
|
$
|
141,181
|
|
|
$
|
131,364
|
|
|
7
|
%
|
|
$
|
140,140
|
|
|
$
|
129,275
|
|
|
8
|
%
|
Total earning assets
|
273,874
|
|
|
251,601
|
|
|
9
|
|
|
276,740
|
|
|
254,631
|
|
|
9
|
|
||||
Total assets
|
289,646
|
|
|
268,908
|
|
|
8
|
|
|
292,679
|
|
|
272,036
|
|
|
8
|
|
||||
Total deposits
|
254,804
|
|
|
239,974
|
|
|
6
|
|
|
257,643
|
|
|
241,758
|
|
|
7
|
|
||||
Allocated capital
|
13,000
|
|
|
12,000
|
|
|
8
|
|
|
13,000
|
|
|
12,000
|
|
|
8
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Period end
|
|
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
% Change
|
||||||||||
Total loans and leases
|
|
|
|
|
|
|
$
|
142,633
|
|
|
$
|
139,039
|
|
|
3
|
%
|
|||||
Total earning assets
|
|
|
|
|
|
|
270,974
|
|
|
279,597
|
|
|
(3
|
)
|
|||||||
Total assets
|
|
|
|
|
|
|
286,846
|
|
|
296,271
|
|
|
(3
|
)
|
|||||||
Total deposits
|
|
|
|
|
|
|
250,976
|
|
|
260,893
|
|
|
(4
|
)
|
Key Indicators and Metrics
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
Six Months Ended June 30
|
|||||||||||
(Dollars in millions, except as noted)
|
2016
|
|
2015
|
2016
|
2015
|
||||||||
Revenue by Business
|
|
|
|
|
|
||||||||
Merrill Lynch Global Wealth Management
|
$
|
3,626
|
|
|
$
|
3,788
|
|
$
|
7,273
|
|
$
|
7,531
|
|
U.S. Trust
|
769
|
|
|
762
|
|
1,541
|
|
1,511
|
|
||||
Other
(1)
|
61
|
|
|
17
|
|
86
|
|
35
|
|
||||
Total revenue, net of interest expense (FTE basis)
|
$
|
4,456
|
|
|
$
|
4,567
|
|
$
|
8,900
|
|
$
|
9,077
|
|
|
|
|
|
|
|
||||||||
Client Balances by Business, at period end
|
|
|
|
|
|
||||||||
Merrill Lynch Global Wealth Management
|
|
|
|
$
|
2,026,392
|
|
$
|
2,052,636
|
|
||||
U.S. Trust
|
|
|
|
393,089
|
|
388,829
|
|
||||||
Other
(1)
|
|
|
|
—
|
|
81,318
|
|
||||||
Total client balances
|
|
|
|
$
|
2,419,481
|
|
$
|
2,522,783
|
|
||||
|
|
|
|
|
|
||||||||
Client Balances by Type, at period end
|
|
|
|
|
|
||||||||
Long-term assets under management
|
|
|
|
$
|
832,394
|
|
$
|
849,046
|
|
||||
Liquidity assets under management
|
|
|
|
—
|
|
81,314
|
|
||||||
Assets under management
|
|
|
|
832,394
|
|
930,360
|
|
||||||
Brokerage assets
|
|
|
|
1,070,014
|
|
1,079,084
|
|
||||||
Assets in custody
|
|
|
|
120,505
|
|
138,774
|
|
||||||
Deposits
|
|
|
|
250,976
|
|
237,624
|
|
||||||
Loans and leases
(2)
|
|
|
|
145,592
|
|
136,941
|
|
||||||
Total client balances
|
|
|
|
$
|
2,419,481
|
|
$
|
2,522,783
|
|
||||
|
|
|
|
|
|
||||||||
Assets Under Management Rollforward
|
|
|
|
|
|
||||||||
Assets under management, beginning balance
|
$
|
890,663
|
|
|
$
|
917,257
|
|
$
|
900,863
|
|
$
|
902,872
|
|
Net long-term client flows
|
10,055
|
|
|
8,593
|
|
9,456
|
|
23,247
|
|
||||
Net liquidity client flows
|
(4,170
|
)
|
|
6,023
|
|
(7,990
|
)
|
4,530
|
|
||||
Market valuation/other
|
(64,154
|
)
|
|
(1,513
|
)
|
(69,935
|
)
|
(289
|
)
|
||||
Total assets under management, ending balance
|
$
|
832,394
|
|
|
$
|
930,360
|
|
$
|
832,394
|
|
$
|
930,360
|
|
|
|
|
|
|
|
||||||||
Associates, at period end
(3, 4)
|
|
|
|
|
|
||||||||
Number of financial advisors
|
|
|
|
16,664
|
|
16,313
|
|
||||||
Total wealth advisors, including financial advisors
|
|
|
|
18,159
|
|
17,734
|
|
||||||
Total client-facing professionals, including financial advisors and wealth advisors
|
|
|
|
20,562
|
|
20,231
|
|
||||||
|
|
|
|
|
|
||||||||
Merrill Lynch Global Wealth Management Metric
(4)
|
|
|
|
|
|
||||||||
Financial advisor productivity
(5)
(in thousands)
|
$
|
984
|
|
|
$
|
1,050
|
|
$
|
984
|
|
$
|
1,046
|
|
|
|
|
|
|
|
||||||||
U.S. Trust Metric, at period end
(4)
|
|
|
|
|
|
||||||||
Client-facing professionals
|
|
|
|
2,229
|
|
2,168
|
|
(1)
|
Includes the results of BofA Global Capital Management, the cash management division of Bank of America, and certain administrative items. BofA Global Capital Management's AUM were sold during the three months ended June 30, 2016.
|
(2)
|
Includes margin receivables which are classified in customer and other receivables on the Consolidated Balance Sheet.
|
(3)
|
Includes financial advisors in the
Consumer Banking
segment of
2,248
and
2,048
at
June 30, 2016 and 2015
.
|
(4)
|
Headcount computation is based upon full-time equivalents.
|
(5)
|
Financial advisor productivity is defined as annualized Merrill Lynch Global Wealth Management total revenue, excluding the allocation of certain ALM activities, divided by the total number of financial advisors (excluding financial advisors in the
Consumer Banking
segment).
|
Net Migration Summary
|
Net Migration Summary
(1)
|
|
|
|
|
|||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Total deposits, net – to (from) GWIM
|
$
|
(666
|
)
|
|
$
|
(44
|
)
|
|
$
|
(1,057
|
)
|
|
$
|
(527
|
)
|
Total loans, net – to (from) GWIM
|
5
|
|
|
(28
|
)
|
|
15
|
|
|
(54
|
)
|
||||
Total brokerage, net – to (from)
GWIM
|
(326
|
)
|
|
(675
|
)
|
|
(566
|
)
|
|
(1,257
|
)
|
Global Banking
|
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Net interest income (FTE basis)
|
$
|
2,421
|
|
|
$
|
2,170
|
|
|
12
|
%
|
|
$
|
4,902
|
|
|
$
|
4,371
|
|
|
12
|
%
|
Noninterest income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Service charges
|
759
|
|
|
728
|
|
|
4
|
|
|
1,504
|
|
|
1,438
|
|
|
5
|
|
||||
Investment banking fees
|
799
|
|
|
777
|
|
|
3
|
|
|
1,435
|
|
|
1,629
|
|
|
(12
|
)
|
||||
All other income
|
711
|
|
|
561
|
|
|
27
|
|
|
1,239
|
|
|
1,184
|
|
|
5
|
|
||||
Total noninterest income
|
2,269
|
|
|
2,066
|
|
|
10
|
|
|
4,178
|
|
|
4,251
|
|
|
(2
|
)
|
||||
Total revenue, net of interest expense (FTE basis)
|
4,690
|
|
|
4,236
|
|
|
11
|
|
|
9,080
|
|
|
8,622
|
|
|
5
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Provision for credit losses
|
203
|
|
|
177
|
|
|
15
|
|
|
756
|
|
|
273
|
|
|
177
|
|
||||
Noninterest expense
|
2,126
|
|
|
2,086
|
|
|
2
|
|
|
4,297
|
|
|
4,235
|
|
|
1
|
|
||||
Income before income taxes (FTE basis)
|
2,361
|
|
|
1,973
|
|
|
20
|
|
|
4,027
|
|
|
4,114
|
|
|
(2
|
)
|
||||
Income tax expense (FTE basis)
|
870
|
|
|
737
|
|
|
18
|
|
|
1,482
|
|
|
1,531
|
|
|
(3
|
)
|
||||
Net income
|
$
|
1,491
|
|
|
$
|
1,236
|
|
|
21
|
|
|
$
|
2,545
|
|
|
$
|
2,583
|
|
|
(1
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest yield (FTE basis)
|
2.84
|
%
|
|
2.79
|
%
|
|
|
|
2.90
|
%
|
|
2.83
|
%
|
|
|
||||||
Return on average allocated capital
|
16
|
|
|
14
|
|
|
|
|
14
|
|
|
15
|
|
|
|
||||||
Efficiency ratio (FTE basis)
|
45.33
|
|
|
49.24
|
|
|
|
|
47.33
|
|
|
49.11
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance Sheet
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
Average
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Total loans and leases
|
$
|
330,273
|
|
|
$
|
295,405
|
|
|
12
|
%
|
|
$
|
327,402
|
|
|
$
|
289,876
|
|
|
13
|
%
|
Total earning assets
|
343,225
|
|
|
311,674
|
|
|
10
|
|
|
340,250
|
|
|
311,699
|
|
|
9
|
|
||||
Total assets
|
391,839
|
|
|
361,867
|
|
|
8
|
|
|
389,740
|
|
|
361,819
|
|
|
8
|
|
||||
Total deposits
|
298,805
|
|
|
288,117
|
|
|
4
|
|
|
297,969
|
|
|
287,280
|
|
|
4
|
|
||||
Allocated capital
|
37,000
|
|
|
35,000
|
|
|
6
|
|
|
37,000
|
|
|
35,000
|
|
|
6
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Period end
|
|
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
% Change
|
||||||||||
Total loans and leases
|
|
|
|
|
|
|
$
|
330,709
|
|
|
$
|
319,580
|
|
|
3
|
%
|
|||||
Total earning assets
|
|
|
|
|
|
|
344,805
|
|
|
330,658
|
|
|
4
|
|
|||||||
Total assets
|
|
|
|
|
|
|
393,380
|
|
|
381,975
|
|
|
3
|
|
|||||||
Total deposits
|
|
|
|
|
|
|
304,577
|
|
|
296,162
|
|
|
3
|
|
Global Corporate, Global Commercial and Business Banking
|
Global Investment Banking
|
Investment Banking Fees
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||||||
|
Global Banking
|
|
Total Corporation
|
|
Global Banking
|
|
Total Corporation
|
||||||||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||
Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Advisory
|
$
|
313
|
|
|
$
|
247
|
|
|
$
|
333
|
|
|
$
|
276
|
|
|
$
|
618
|
|
|
$
|
634
|
|
|
$
|
679
|
|
|
$
|
704
|
|
Debt issuance
|
390
|
|
|
371
|
|
|
889
|
|
|
887
|
|
|
655
|
|
|
706
|
|
|
1,558
|
|
|
1,668
|
|
||||||||
Equity issuance
|
96
|
|
|
159
|
|
|
232
|
|
|
417
|
|
|
162
|
|
|
289
|
|
|
420
|
|
|
762
|
|
||||||||
Gross investment banking fees
|
799
|
|
|
777
|
|
|
1,454
|
|
|
1,580
|
|
|
1,435
|
|
|
1,629
|
|
|
2,657
|
|
|
3,134
|
|
||||||||
Self-led deals
|
(14
|
)
|
|
(17
|
)
|
|
(46
|
)
|
|
(54
|
)
|
|
(25
|
)
|
|
(39
|
)
|
|
(96
|
)
|
|
(121
|
)
|
||||||||
Total investment banking fees
|
$
|
785
|
|
|
$
|
760
|
|
|
$
|
1,408
|
|
|
$
|
1,526
|
|
|
$
|
1,410
|
|
|
$
|
1,590
|
|
|
$
|
2,561
|
|
|
$
|
3,013
|
|
Global Markets
|
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Net interest income (FTE basis)
|
$
|
1,093
|
|
|
$
|
988
|
|
|
11
|
%
|
|
$
|
2,273
|
|
|
$
|
1,961
|
|
|
16
|
%
|
Noninterest income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment and brokerage services
|
525
|
|
|
556
|
|
|
(6
|
)
|
|
1,093
|
|
|
1,129
|
|
|
(3
|
)
|
||||
Investment banking fees
|
603
|
|
|
718
|
|
|
(16
|
)
|
|
1,097
|
|
|
1,348
|
|
|
(19
|
)
|
||||
Trading account profits
|
1,872
|
|
|
1,703
|
|
|
10
|
|
|
3,467
|
|
|
3,841
|
|
|
(10
|
)
|
||||
All other income (loss)
|
220
|
|
|
(15
|
)
|
|
n/m
|
|
|
330
|
|
|
(138
|
)
|
|
n/m
|
|
||||
Total noninterest income
|
3,220
|
|
|
2,962
|
|
|
9
|
|
|
5,987
|
|
|
6,180
|
|
|
(3
|
)
|
||||
Total revenue, net of interest expense (FTE basis)
|
4,313
|
|
|
3,950
|
|
|
9
|
|
|
8,260
|
|
|
8,141
|
|
|
1
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Provision for credit losses
|
(5
|
)
|
|
6
|
|
|
n/m
|
|
|
4
|
|
|
27
|
|
|
(85
|
)
|
||||
Noninterest expense
|
2,582
|
|
|
2,748
|
|
|
(6
|
)
|
|
5,032
|
|
|
5,909
|
|
|
(15
|
)
|
||||
Income before income taxes (FTE basis)
|
1,736
|
|
|
1,196
|
|
|
45
|
|
|
3,224
|
|
|
2,205
|
|
|
46
|
|
||||
Income tax expense (FTE basis)
|
620
|
|
|
410
|
|
|
51
|
|
|
1,138
|
|
|
755
|
|
|
51
|
|
||||
Net income
|
$
|
1,116
|
|
|
$
|
786
|
|
|
42
|
|
|
$
|
2,086
|
|
|
$
|
1,450
|
|
|
44
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Return on average allocated capital
|
12
|
%
|
|
9
|
%
|
|
|
|
11
|
%
|
|
8
|
%
|
|
|
||||||
Efficiency ratio (FTE basis)
|
59.88
|
|
|
69.56
|
|
|
|
|
60.93
|
|
|
72.58
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance Sheet
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
Average
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Trading-related assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Trading account securities
|
$
|
178,047
|
|
|
$
|
197,117
|
|
|
(10
|
)%
|
|
$
|
182,989
|
|
|
$
|
195,313
|
|
|
(6
|
)%
|
Reverse repurchases
|
92,805
|
|
|
109,293
|
|
|
(15
|
)
|
|
89,108
|
|
|
112,221
|
|
|
(21
|
)
|
||||
Securities borrowed
|
89,779
|
|
|
81,091
|
|
|
11
|
|
|
85,293
|
|
|
79,909
|
|
|
7
|
|
||||
Derivative assets
|
50,654
|
|
|
54,674
|
|
|
(7
|
)
|
|
52,083
|
|
|
55,540
|
|
|
(6
|
)
|
||||
Total trading-related assets
(1)
|
411,285
|
|
|
442,175
|
|
|
(7
|
)
|
|
409,473
|
|
|
442,983
|
|
|
(8
|
)
|
||||
Total loans and leases
|
69,620
|
|
|
61,819
|
|
|
13
|
|
|
69,452
|
|
|
59,224
|
|
|
17
|
|
||||
Total earning assets
(1)
|
422,815
|
|
|
433,254
|
|
|
(2
|
)
|
|
420,506
|
|
|
432,579
|
|
|
(3
|
)
|
||||
Total assets
|
580,701
|
|
|
599,985
|
|
|
(3
|
)
|
|
580,963
|
|
|
597,801
|
|
|
(3
|
)
|
||||
Total deposits
|
34,518
|
|
|
39,051
|
|
|
(12
|
)
|
|
35,202
|
|
|
39,169
|
|
|
(10
|
)
|
||||
Allocated capital
|
37,000
|
|
|
35,000
|
|
|
6
|
|
|
37,000
|
|
|
35,000
|
|
|
6
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Period end
|
|
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
% Change
|
||||||||||
Total trading-related assets
(1)
|
|
|
|
|
|
|
|
$
|
405,037
|
|
|
$
|
373,926
|
|
|
8
|
%
|
||||
Total loans and leases
|
|
|
|
|
|
|
|
70,766
|
|
|
73,208
|
|
|
(3
|
)
|
||||||
Total earning assets
(1)
|
|
|
|
|
|
|
|
416,325
|
|
|
384,046
|
|
|
8
|
|
||||||
Total assets
|
|
|
|
|
|
|
|
577,428
|
|
|
548,790
|
|
|
5
|
|
||||||
Total deposits
|
|
|
|
|
|
|
33,506
|
|
|
37,038
|
|
|
(10
|
)
|
(1)
|
Trading-related assets include derivative assets, which are considered non-earning assets.
|
Sales and Trading Revenue
|
Sales and Trading Revenue
(1, 2)
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Sales and trading revenue
|
|
|
|
|
|
|
|
||||||||
Fixed-income, currencies and commodities
|
$
|
2,458
|
|
|
$
|
1,942
|
|
|
$
|
4,861
|
|
|
$
|
4,295
|
|
Equities
|
1,082
|
|
|
1,176
|
|
|
2,119
|
|
|
2,313
|
|
||||
Total sales and trading revenue
|
$
|
3,540
|
|
|
$
|
3,118
|
|
|
$
|
6,980
|
|
|
$
|
6,608
|
|
|
|
|
|
|
|
|
|
||||||||
Sales and trading revenue, excluding net DVA
(3)
|
|
|
|
|
|
|
|
||||||||
Fixed-income, currencies and commodities
|
$
|
2,618
|
|
|
$
|
2,142
|
|
|
$
|
4,881
|
|
|
$
|
4,887
|
|
Equities
|
1,086
|
|
|
1,175
|
|
|
2,109
|
|
|
2,321
|
|
||||
Total sales and trading revenue, excluding net DVA
(3)
|
$
|
3,704
|
|
|
$
|
3,317
|
|
|
$
|
6,990
|
|
|
$
|
7,208
|
|
(1)
|
Includes FTE adjustments of
$45 million
and
$89 million
for the
three and six months ended June 30, 2016
compared to
$47 million
and
$94 million
for the
same periods in 2015
. For more information on sales and trading revenue, see
Note 2 – Derivatives
to the Consolidated Financial Statements
.
|
(2)
|
Includes
Global Banking
sales and trading revenue of
$121 million
and
$281 million
for the
three and six months ended June 30, 2016
compared to
$133 million
and
$208 million
for the
same periods in 2015
.
|
(3)
|
FICC and Equities sales and trading revenue, excluding net DVA, is a non-GAAP financial measure. FICC net DVA losses were
$160 million
and
$20 million
for the
three and six months ended June 30, 2016
compared to net DVA losses of
$200 million
and
$592 million
for the
same periods in 2015
. Equities net DVA losses were
$4 million
and gains were
$10 million
for the
three and six months ended June 30, 2016
compared to net DVA gains of
$1 million
and losses of
$8 million
for the
same periods in 2015
.
|
All Other
|
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Net interest income (FTE basis)
|
$
|
(788
|
)
|
|
$
|
1,131
|
|
|
n/m
|
|
|
$
|
(1,823
|
)
|
|
$
|
1,237
|
|
|
n/m
|
|
Noninterest income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Card income
|
55
|
|
|
65
|
|
|
(15
|
)%
|
|
99
|
|
|
132
|
|
|
(25
|
)%
|
||||
Mortgage banking income
|
44
|
|
|
639
|
|
|
(93
|
)
|
|
286
|
|
|
863
|
|
|
(67
|
)
|
||||
Gains on sales of debt securities
|
267
|
|
|
162
|
|
|
65
|
|
|
493
|
|
|
425
|
|
|
16
|
|
||||
All other loss
|
(280
|
)
|
|
(328
|
)
|
|
(15
|
)
|
|
(612
|
)
|
|
(661
|
)
|
|
(7
|
)
|
||||
Total noninterest income
|
86
|
|
|
538
|
|
|
(84
|
)
|
|
266
|
|
|
759
|
|
|
(65
|
)
|
||||
Total revenue, net of interest expense (FTE basis)
|
(702
|
)
|
|
1,669
|
|
|
n/m
|
|
|
(1,557
|
)
|
|
1,996
|
|
|
n/m
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Provision (benefit) for credit losses
|
38
|
|
|
112
|
|
|
(66
|
)
|
|
(83
|
)
|
|
68
|
|
|
n/m
|
|
||||
Noninterest expense
|
1,081
|
|
|
1,002
|
|
|
8
|
|
|
3,463
|
|
|
3,298
|
|
|
5
|
|
||||
Income (loss) before income taxes (FTE basis)
|
(1,821
|
)
|
|
555
|
|
|
n/m
|
|
|
(4,937
|
)
|
|
(1,370
|
)
|
|
n/m
|
|
||||
Income tax benefit (FTE basis)
|
(1,006
|
)
|
|
(226
|
)
|
|
n/m
|
|
|
(2,325
|
)
|
|
(1,153
|
)
|
|
102
|
|
||||
Net income (loss)
|
$
|
(815
|
)
|
|
$
|
781
|
|
|
n/m
|
|
|
$
|
(2,612
|
)
|
|
$
|
(217
|
)
|
|
n/m
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance Sheet
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended June 30
|
|
|
|
Six Months Ended June 30
|
|
|
||||||||||||||
Average
|
2016
|
|
2015
|
|
% Change
|
|
2016
|
|
2015
|
|
% Change
|
||||||||||
Total loans and leases
|
$
|
115,675
|
|
|
$
|
156,886
|
|
|
(26
|
)%
|
|
$
|
118,919
|
|
|
$
|
162,791
|
|
|
(27
|
)%
|
Total assets
(1)
|
260,621
|
|
|
300,851
|
|
|
(13
|
)
|
|
261,569
|
|
|
300,530
|
|
|
(13
|
)
|
||||
Total deposits
|
28,690
|
|
|
26,674
|
|
|
8
|
|
|
27,724
|
|
|
24,824
|
|
|
12
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Period end
|
|
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
% Change
|
||||||||||
Total loans and leases
|
|
|
|
|
|
|
$
|
111,923
|
|
|
$
|
126,305
|
|
|
(11
|
)%
|
|||||
Total assets
(1)
|
|
|
|
|
|
|
260,485
|
|
|
271,853
|
|
|
(4
|
)
|
|||||||
Total deposits
|
|
|
|
|
|
|
27,575
|
|
|
25,334
|
|
|
9
|
|
(1)
|
In segments where the total of liabilities and equity exceeds assets, which are generally deposit-taking segments, we allocate assets from
All Other
to those segments to match liabilities (i.e., deposits) and allocated shareholders' equity. Such allocated assets were
$499.1 billion
and
$496.3 billion
for the
three and six months ended June 30, 2016
compared to
$460.4 billion
and
$464.6 billion
for the same periods in
2015
, and
$492.0 billion
and
$489.0 billion
at
June 30, 2016
and
December 31, 2015
.
|
|
|
|
|
Off-Balance Sheet Arrangements and Contractual Obligations
|
Representations and Warranties
|
Managing Risk
|
Capital Management
|
CCAR and Capital Planning
|
Regulatory Capital
|
Table 15
|
|||||||||
Summary of Certain Basel 3 Regulatory Capital Transition Provisions
|
|||||||||
Beginning on January 1 of each year
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
Common equity tier 1 capital
|
|
|
|
|
|
|
|
|
|
Percent of total amount deducted from Common equity tier 1 capital includes:
|
20%
|
|
40%
|
|
60%
|
|
80%
|
|
100%
|
Deferred tax assets arising from net operating loss and tax credit carryforwards; intangibles, other than mortgage servicing rights and goodwill; defined benefit pension fund net assets; net unrealized cumulative gains (losses) related to changes in own credit risk on liabilities, including derivatives, measured at fair value; direct and indirect investments in our own Common equity tier 1 capital instruments; certain amounts exceeding the threshold by 10 percent individually and 15 percent in aggregate
|
|||||||||
Percent of total amount used to adjust Common equity tier 1 capital includes
(1)
:
|
80%
|
|
60%
|
|
40%
|
|
20%
|
|
0%
|
Net unrealized gains (losses) on debt and certain marketable equity securities recorded in accumulated OCI; employee benefit plan adjustments recorded in accumulated OCI
|
|||||||||
Tier 1 capital
|
|
|
|
|
|
|
|
|
|
Percent of total amount deducted from Tier 1 capital includes:
|
80%
|
|
60%
|
|
40%
|
|
20%
|
|
0%
|
Deferred tax assets arising from net operating loss and tax credit carryforwards; defined benefit pension fund net assets; net unrealized cumulative gains (losses) related to changes in own credit risk on liabilities, including derivatives, measured at fair value
|
(1)
|
Represents the phase-out percentage of the exclusion by year (e.g., 60 percent of net unrealized gains (losses) on debt and certain marketable equity securities recorded in accumulated OCI will be included in 2016).
|
Table 16
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Bank of America Corporation Regulatory Capital under Basel 3
(1)
|
|
|
|
|
|
|
|||||||||||||||
|
June 30, 2016
|
||||||||||||||||||||
|
Transition
|
|
Fully Phased-in
|
||||||||||||||||||
(Dollars in millions)
|
Standardized Approach
|
|
Advanced Approaches
|
|
Regulatory Minimum
(2, 3)
|
|
Standardized Approach
|
|
Advanced Approaches
(4)
|
|
Regulatory Minimum
(5)
|
||||||||||
Risk-based capital metrics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Common equity tier 1 capital
|
$
|
166,173
|
|
|
$
|
166,173
|
|
|
|
|
$
|
161,831
|
|
|
$
|
161,831
|
|
|
|
||
Tier 1 capital
|
187,209
|
|
|
187,209
|
|
|
|
|
186,633
|
|
|
186,633
|
|
|
|
||||||
Total capital
(6)
|
226,949
|
|
|
217,828
|
|
|
|
|
222,928
|
|
|
213,807
|
|
|
|
||||||
Risk-weighted assets (in billions)
|
1,396
|
|
|
1,562
|
|
|
|
|
1,414
|
|
|
1,542
|
|
|
|
||||||
Common equity tier 1 capital ratio
|
11.9
|
%
|
|
10.6
|
%
|
|
5.875
|
%
|
|
11.4
|
%
|
|
10.5
|
%
|
|
10.0
|
%
|
||||
Tier 1 capital ratio
|
13.4
|
|
|
12.0
|
|
|
7.375
|
|
|
13.2
|
|
|
12.1
|
|
|
11.5
|
|
||||
Total capital ratio
|
16.3
|
|
|
13.9
|
|
|
9.375
|
|
|
15.8
|
|
|
13.9
|
|
|
13.5
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Leverage-based metrics:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Adjusted quarterly average assets (in billions)
(7)
|
$
|
2,109
|
|
|
$
|
2,109
|
|
|
|
|
$
|
2,110
|
|
|
$
|
2,110
|
|
|
|
||
Tier 1 leverage ratio
|
8.9
|
%
|
|
8.9
|
%
|
|
4.0
|
|
|
8.8
|
%
|
|
8.8
|
%
|
|
4.0
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
SLR leverage exposure (in billions)
|
|
|
|
|
|
|
|
|
$
|
2,694
|
|
|
|
||||||||
SLR
|
|
|
|
|
|
|
|
|
6.9
|
%
|
|
5.0
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2015
|
||||||||||||||||||||
Risk-based capital metrics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Common equity tier 1 capital
|
$
|
163,026
|
|
|
$
|
163,026
|
|
|
|
|
$
|
154,084
|
|
|
$
|
154,084
|
|
|
|
||
Tier 1 capital
|
180,778
|
|
|
180,778
|
|
|
|
|
175,814
|
|
|
175,814
|
|
|
|
||||||
Total capital
(6)
|
220,676
|
|
|
210,912
|
|
|
|
|
211,167
|
|
|
201,403
|
|
|
|
||||||
Risk-weighted assets (in billions)
|
1,403
|
|
|
1,602
|
|
|
|
|
1,427
|
|
|
1,575
|
|
|
|
||||||
Common equity tier 1 capital ratio
|
11.6
|
%
|
|
10.2
|
%
|
|
4.5
|
%
|
|
10.8
|
%
|
|
9.8
|
%
|
|
10.0
|
%
|
||||
Tier 1 capital ratio
|
12.9
|
|
|
11.3
|
|
|
6.0
|
|
|
12.3
|
|
|
11.2
|
|
|
11.5
|
|
||||
Total capital ratio
|
15.7
|
|
|
13.2
|
|
|
8.0
|
|
|
14.8
|
|
|
12.8
|
|
|
13.5
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Leverage-based metrics:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Adjusted quarterly average assets (in billions)
(7)
|
$
|
2,103
|
|
|
$
|
2,103
|
|
|
|
|
$
|
2,102
|
|
|
$
|
2,102
|
|
|
|
||
Tier 1 leverage ratio
|
8.6
|
%
|
|
8.6
|
%
|
|
4.0
|
|
|
8.4
|
%
|
|
8.4
|
%
|
|
4.0
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
SLR leverage exposure (in billions)
|
|
|
|
|
|
|
|
|
$
|
2,727
|
|
|
|
||||||||
SLR
|
|
|
|
|
|
|
|
|
6.4
|
%
|
|
5.0
|
|
(1)
|
As an Advanced approaches institution, we are required to report regulatory capital risk-weighted assets and ratios under both the Standardized and Advanced approaches. The approach that yields the lower ratio is to be used to assess capital adequacy, and was the Advanced approaches at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
The
June 30, 2016
amount includes a transition capital conservation buffer of 0.625 percent and a transition G-SIB surcharge of 0.75 percent. The 2016 countercyclical capital buffer is zero.
|
(3)
|
To be "well capitalized" under the current U.S. banking regulatory agency definitions, we must maintain a higher Total capital ratio of 10 percent.
|
(4)
|
Basel 3 fully phased-in Advanced approaches estimates assume approval by U.S. banking regulators of our internal analytical models, including approval of the internal models methodology (IMM). As of
June 30, 2016
, we did not have regulatory approval for the IMM model.
|
(5)
|
Fully phased-in regulatory capital minimums assume a capital conservation buffer of
2.5 percent
and estimated G-SIB surcharge of
3.0 percent
. The estimated fully phased-in countercyclical capital buffer is
zero
. We will be subject to fully phased-in regulatory minimums on January 1, 2019. The fully phased-in SLR minimum assumes a leverage buffer of 2.0 percent and is applicable on January 1, 2018.
|
(6)
|
Total capital under the Advanced approaches differs from the Standardized approach due to differences in the amount permitted in Tier 2 capital related to the qualifying allowance for credit losses.
|
(7)
|
Reflects adjusted average total assets for the
three months ended June 30, 2016
and
December 31, 2015
.
|
Table 17
|
|||||||
Capital Composition under Basel 3 – Transition
(1)
|
|||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
Total common shareholders' equity
|
$
|
241,849
|
|
|
$
|
233,932
|
|
Goodwill
|
(69,194
|
)
|
|
(69,215
|
)
|
||
Deferred tax assets arising from net operating loss and tax credit carryforwards
|
(5,245
|
)
|
|
(3,434
|
)
|
||
Unamortized net periodic benefit costs recorded in accumulated OCI, net-of-tax
|
1,173
|
|
|
1,774
|
|
||
Net unrealized (gains) losses on debt and equity securities and net (gains) losses on derivatives recorded in accumulated OCI, net-of-tax
|
(605
|
)
|
|
1,220
|
|
||
Intangibles, other than mortgage servicing rights and goodwill
|
(1,359
|
)
|
|
(1,039
|
)
|
||
DVA related to liabilities and derivatives
|
157
|
|
|
204
|
|
||
Other
|
(603
|
)
|
|
(416
|
)
|
||
Common equity tier 1 capital
|
166,173
|
|
|
163,026
|
|
||
Qualifying preferred stock, net of issuance cost
|
25,220
|
|
|
22,273
|
|
||
Deferred tax assets arising from net operating loss and tax credit carryforwards
|
(3,496
|
)
|
|
(5,151
|
)
|
||
Trust preferred securities
|
—
|
|
|
1,430
|
|
||
Defined benefit pension fund assets
|
(378
|
)
|
|
(568
|
)
|
||
DVA related to liabilities and derivatives under transition
|
104
|
|
|
307
|
|
||
Other
|
(414
|
)
|
|
(539
|
)
|
||
Total Tier 1 capital
|
187,209
|
|
|
180,778
|
|
||
Long-term debt qualifying as Tier 2 capital
|
23,757
|
|
|
22,579
|
|
||
Eligible credit reserves included in Tier 2 capital
|
3,466
|
|
|
3,116
|
|
||
Nonqualifying capital instruments subject to phase out from Tier 2 capital
|
3,408
|
|
|
4,448
|
|
||
Other
|
(12
|
)
|
|
(9
|
)
|
||
Total Basel 3 capital
|
$
|
217,828
|
|
|
$
|
210,912
|
|
(1)
|
As an Advanced approaches institution, we are required to report regulatory capital risk-weighted assets and ratios under both the Standardized and Advanced approaches. The approach that yields the lower ratio is to be used to assess capital adequacy, and was the Advanced approaches at
June 30, 2016
and
December 31, 2015
.
|
Table 18
|
|
|
|
|
|||||||||||
Risk-weighted assets under Basel 3
–
Transition
|
|
|
|
|
|||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
(Dollars in billions)
|
Standardized Approach
|
|
Advanced Approaches
|
|
Standardized Approach
|
|
Advanced Approaches
|
||||||||
Credit risk
|
$
|
1,328
|
|
|
$
|
920
|
|
|
$
|
1,314
|
|
|
$
|
940
|
|
Market risk
|
68
|
|
|
65
|
|
|
89
|
|
|
86
|
|
||||
Operational risk
|
n/a
|
|
|
500
|
|
|
n/a
|
|
|
500
|
|
||||
Risks related to CVA
|
n/a
|
|
|
77
|
|
|
n/a
|
|
|
76
|
|
||||
Total risk-weighted assets
|
$
|
1,396
|
|
|
$
|
1,562
|
|
|
$
|
1,403
|
|
|
$
|
1,602
|
|
Table 19
|
|||||||
Regulatory Capital Reconciliations between Basel 3 Transition to Fully Phased-in
(1)
|
|||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
Common equity tier 1 capital (transition)
|
$
|
166,173
|
|
|
$
|
163,026
|
|
Deferred tax assets arising from net operating loss and tax credit carryforwards phased in during transition
|
(3,496
|
)
|
|
(5,151
|
)
|
||
Accumulated OCI phased in during transition
|
359
|
|
|
(1,917
|
)
|
||
Intangibles phased in during transition
|
(907
|
)
|
|
(1,559
|
)
|
||
Defined benefit pension fund assets phased in during transition
|
(378
|
)
|
|
(568
|
)
|
||
DVA related to liabilities and derivatives phased in during transition
|
104
|
|
|
307
|
|
||
Other adjustments and deductions phased in during transition
|
(24
|
)
|
|
(54
|
)
|
||
Common equity tier 1 capital (fully phased-in)
|
161,831
|
|
|
154,084
|
|
||
Additional Tier 1 capital (transition)
|
21,036
|
|
|
17,752
|
|
||
Deferred tax assets arising from net operating loss and tax credit carryforwards phased out during transition
|
3,496
|
|
|
5,151
|
|
||
Trust preferred securities phased out during transition
|
—
|
|
|
(1,430
|
)
|
||
Defined benefit pension fund assets phased out during transition
|
378
|
|
|
568
|
|
||
DVA related to liabilities and derivatives phased out during transition
|
(104
|
)
|
|
(307
|
)
|
||
Other transition adjustments to additional Tier 1 capital
|
(4
|
)
|
|
(4
|
)
|
||
Additional Tier 1 capital (fully phased-in)
|
24,802
|
|
|
21,730
|
|
||
Tier 1 capital (fully phased-in)
|
186,633
|
|
|
175,814
|
|
||
Tier 2 capital (transition)
|
30,619
|
|
|
30,134
|
|
||
Nonqualifying capital instruments phased out during transition
|
(3,408
|
)
|
|
(4,448
|
)
|
||
Other transition adjustments to Tier 2 capital
|
9,084
|
|
|
9,667
|
|
||
Tier 2 capital (fully phased-in)
|
36,295
|
|
|
35,353
|
|
||
Basel 3 Standardized approach Total capital (fully phased-in)
|
222,928
|
|
|
211,167
|
|
||
Change in Tier 2 qualifying allowance for credit losses
|
(9,121
|
)
|
|
(9,764
|
)
|
||
Basel 3 Advanced approaches Total capital (fully phased-in)
|
$
|
213,807
|
|
|
$
|
201,403
|
|
|
|
|
|
||||
Risk-weighted assets – As reported to Basel 3 (fully phased-in)
|
|
|
|
||||
Basel 3 Standardized approach risk-weighted assets as reported
|
$
|
1,396,277
|
|
|
$
|
1,403,293
|
|
Changes in risk-weighted assets from reported to fully phased-in
|
17,689
|
|
|
24,089
|
|
||
Basel 3 Standardized approach risk-weighted assets (fully phased-in)
|
$
|
1,413,966
|
|
|
$
|
1,427,382
|
|
|
|
|
|
||||
Basel 3 Advanced approaches risk-weighted assets as reported
|
$
|
1,561,567
|
|
|
$
|
1,602,373
|
|
Changes in risk-weighted assets from reported to fully phased-in
|
(19,600
|
)
|
|
(27,690
|
)
|
||
Basel 3 Advanced approaches risk-weighted assets (fully phased-in)
(2)
|
$
|
1,541,967
|
|
|
$
|
1,574,683
|
|
(1)
|
As an Advanced approaches institution, we are required to report regulatory capital risk-weighted assets and ratios under both the Standardized and Advanced approaches. The approach that yields the lower ratio is to be used to assess capital adequacy, and was the Advanced approaches at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Basel 3 fully phased-in Advanced approaches estimates assume approval by U.S. banking regulators of our internal analytical models, including approval of the IMM. As of
June 30, 2016
, we did not have regulatory approval for the IMM model.
|
Table 20
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Bank of America, N.A. Regulatory Capital under Basel 3
|
|||||||||||||||||||
|
June 30, 2016
|
||||||||||||||||||
|
Standardized Approach
|
|
Advanced Approaches
|
||||||||||||||||
(Dollars in millions)
|
Ratio
|
|
Amount
|
|
Minimum
Required
(1)
|
|
Ratio
|
|
Amount
|
|
Minimum
Required
(1)
|
||||||||
Common equity tier 1 capital
|
13.0
|
%
|
|
$
|
151,078
|
|
|
6.5
|
%
|
|
14.3
|
%
|
|
$
|
151,078
|
|
|
6.5
|
%
|
Tier 1 capital
|
13.0
|
|
|
151,078
|
|
|
8.0
|
|
|
14.3
|
|
|
151,078
|
|
|
8.0
|
|
||
Total capital
|
14.2
|
|
|
165,264
|
|
|
10.0
|
|
|
14.8
|
|
|
156,626
|
|
|
10.0
|
|
||
Tier 1 leverage
|
9.5
|
|
|
151,078
|
|
|
5.0
|
|
|
9.5
|
|
|
151,078
|
|
|
5.0
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
December 31, 2015
|
||||||||||||||||||
Common equity tier 1 capital
|
12.2
|
%
|
|
$
|
144,869
|
|
|
6.5
|
%
|
|
13.1
|
%
|
|
$
|
144,869
|
|
|
6.5
|
%
|
Tier 1 capital
|
12.2
|
|
|
144,869
|
|
|
8.0
|
|
|
13.1
|
|
|
144,869
|
|
|
8.0
|
|
||
Total capital
|
13.5
|
|
|
159,871
|
|
|
10.0
|
|
|
13.6
|
|
|
150,624
|
|
|
10.0
|
|
||
Tier 1 leverage
|
9.2
|
|
|
144,869
|
|
|
5.0
|
|
|
9.2
|
|
|
144,869
|
|
|
5.0
|
|
(1)
|
Percent required to meet guidelines to be considered "well capitalized" under the PCA framework.
|
Common and Preferred Stock Dividends
|
Table 21
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Preferred Stock Cash Dividend Summary
|
||||||||||||||||
Preferred Stock
|
Outstanding
Notional Amount (in millions) |
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Per Annum
Dividend Rate |
|
Dividend Per
Share |
|||||
Series B
(1)
|
$
|
1
|
|
|
April 27, 2016
|
|
July 11, 2016
|
|
July 25, 2016
|
|
7.00
|
%
|
|
$
|
1.75
|
|
|
|
|
July 27, 2016
|
|
October 11, 2016
|
|
October 25, 2016
|
|
7.00
|
|
|
1.75
|
|
|||
Series D
(2)
|
$
|
654
|
|
|
April 15, 2016
|
|
May 31, 2016
|
|
June 14, 2016
|
|
6.204
|
%
|
|
$
|
0.38775
|
|
|
|
|
July 7, 2016
|
|
August 31, 2016
|
|
September 14, 2016
|
|
6.204
|
|
|
0.38775
|
|
|||
Series E
(2)
|
$
|
317
|
|
|
April 15, 2016
|
|
April 29, 2016
|
|
May 16, 2016
|
|
Floating
|
|
|
$
|
0.25000
|
|
|
|
|
July 7, 2016
|
|
July 29, 2016
|
|
August 15, 2016
|
|
Floating
|
|
|
0.25556
|
|
|||
Series F
|
$
|
141
|
|
|
April 15, 2016
|
|
May 31, 2016
|
|
June 15, 2016
|
|
Floating
|
|
|
$
|
1,022.22222
|
|
|
|
|
July 7, 2016
|
|
August 31, 2016
|
|
September 15, 2016
|
|
Floating
|
|
|
1,022.22222
|
|
|||
Series G
|
$
|
493
|
|
|
April 15, 2016
|
|
May 31, 2016
|
|
June 15, 2016
|
|
Adjustable
|
|
|
$
|
1,022.22222
|
|
|
|
|
July 7, 2016
|
|
August 31, 2016
|
|
September 15, 2016
|
|
Adjustable
|
|
|
1,022.22222
|
|
|||
Series I
(2)
|
$
|
365
|
|
|
April 15, 2016
|
|
June 15, 2016
|
|
July 1, 2016
|
|
6.625
|
%
|
|
$
|
0.4140625
|
|
|
|
|
July 7, 2016
|
|
September 15, 2016
|
|
October 3, 2016
|
|
6.625
|
|
|
0.4140625
|
|
|||
Series K
(3, 4)
|
$
|
1,544
|
|
|
July 7, 2016
|
|
July 15, 2016
|
|
August 1, 2016
|
|
Fixed-to-floating
|
|
|
$
|
40.00
|
|
Series L
|
$
|
3,080
|
|
|
June 17, 2016
|
|
July 1, 2016
|
|
August 1, 2016
|
|
7.25
|
%
|
|
$
|
18.125
|
|
Series M
(3, 4)
|
$
|
1,310
|
|
|
April 15, 2016
|
|
April 30, 2016
|
|
May 16, 2016
|
|
Fixed-to-floating
|
|
|
$
|
40.625
|
|
Series T
|
$
|
5,000
|
|
|
April 27, 2016
|
|
June 25, 2016
|
|
July 11, 2016
|
|
6.00
|
%
|
|
$
|
1,500.00
|
|
|
|
|
July 27, 2016
|
|
September 25, 2016
|
|
October 11, 2016
|
|
6.00
|
|
|
1,500.00
|
|
|||
Series U
(3, 4)
|
$
|
1,000
|
|
|
April 15, 2016
|
|
May 15, 2016
|
|
June 1, 2016
|
|
Fixed-to-floating
|
|
|
$
|
26.00
|
|
Series V
(3, 4)
|
$
|
1,500
|
|
|
April 15, 2016
|
|
June 1, 2016
|
|
June 17, 2016
|
|
Fixed-to-floating
|
|
|
$
|
25.625
|
|
Series W
(2)
|
$
|
1,100
|
|
|
April 15, 2016
|
|
May 15, 2016
|
|
June 9, 2016
|
|
6.625
|
%
|
|
$
|
0.4140625
|
|
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
September 9, 2016
|
|
6.625
|
|
|
0.4140625
|
|
|||
Series X
(3, 4)
|
$
|
2,000
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
September 6, 2016
|
|
Fixed-to-floating
|
|
|
$
|
31.25
|
|
Series Y
(2)
|
$
|
1,100
|
|
|
June 17, 2016
|
|
July 1, 2016
|
|
July 27, 2016
|
|
6.50
|
%
|
|
$
|
0.40625
|
|
Series AA
(3, 4)
|
$
|
1,900
|
|
|
July 7, 2016
|
|
September 1, 2016
|
|
September 19, 2016
|
|
Fixed-to-floating
|
|
|
$
|
30.50
|
|
Series CC
(2)
|
$
|
1,100
|
|
|
June 17, 2016
|
|
July 1, 2016
|
|
July 29, 2016
|
|
6.20
|
%
|
|
$
|
0.3875
|
|
Series DD
(3, 4)
|
$
|
1,000
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
September 12, 2016
|
|
Fixed-to-floating
|
|
|
$
|
31.50
|
|
Series EE
(2)
|
$
|
900
|
|
|
June 17, 2016
|
|
July 1, 2016
|
|
July 25, 2016
|
|
6.00
|
%
|
|
$
|
0.375
|
|
(1)
|
Dividends are cumulative.
|
(2)
|
Dividends per depositary share, each representing a 1/1,000
th
interest in a share of preferred stock.
|
(3)
|
Initially pays dividends semi-annually.
|
(4)
|
Dividends per depositary share, each representing a 1/25
th
interest in a share of preferred stock.
|
Table 21
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Preferred Stock Cash Dividend Summary (continued)
|
||||||||||||||||
Preferred Stock
|
Outstanding
Notional
Amount
(in millions)
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Per Annum
Dividend Rate
|
|
Dividend Per
Share
|
|||||
Series 1
(5)
|
$
|
98
|
|
|
April 15, 2016
|
|
May 15, 2016
|
|
May 31, 2016
|
|
Floating
|
|
|
$
|
0.18750
|
|
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
August 30, 2016
|
|
Floating
|
|
|
0.18750
|
|
|||
Series 2
(5)
|
$
|
299
|
|
|
April 15, 2016
|
|
May 15, 2016
|
|
May 31, 2016
|
|
Floating
|
|
|
$
|
0.18750
|
|
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
August 30, 2016
|
|
Floating
|
|
|
0.19167
|
|
|||
Series 3
(5)
|
$
|
653
|
|
|
April 15, 2016
|
|
May 15, 2016
|
|
May 31, 2016
|
|
6.375
|
%
|
|
$
|
0.3984375
|
|
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
August 29, 2016
|
|
6.375
|
|
|
0.3984375
|
|
|||
Series 4
(5)
|
$
|
210
|
|
|
April 15, 2016
|
|
May 15, 2016
|
|
May 31, 2016
|
|
Floating
|
|
|
$
|
0.25000
|
|
|
|
|
July 7, 2016
|
|
August 15, 2016
|
|
August 30, 2016
|
|
Floating
|
|
|
0.25556
|
|
|||
Series 5
(5)
|
$
|
422
|
|
|
April 15, 2016
|
|
May 1, 2016
|
|
May 23, 2016
|
|
Floating
|
|
|
$
|
0.25000
|
|
|
|
|
July 7, 2016
|
|
August 1, 2016
|
|
August 22, 2016
|
|
Floating
|
|
|
0.25556
|
|
(5)
|
Dividends per depositary share, each representing a 1/1,200
th
interest in a share of preferred stock.
|
Liquidity Risk
|
|
Funding and Liquidity Risk Management
|
Table 22
|
|||||||||||
Global Excess Liquidity Sources
|
|||||||||||
(Dollars in billions)
|
June 30
2016 |
|
December 31
2015 |
|
Average for Three Months Ended June 30, 2016
|
||||||
Parent company
|
$
|
85
|
|
|
$
|
96
|
|
|
$
|
88
|
|
Bank subsidiaries
|
386
|
|
|
361
|
|
|
384
|
|
|||
Other regulated entities
|
44
|
|
|
47
|
|
|
46
|
|
|||
Total Global Excess Liquidity Sources
|
$
|
515
|
|
|
$
|
504
|
|
|
$
|
518
|
|
Table 23
|
|||||||
Global Excess Liquidity Sources Composition
|
|||||||
(Dollars in billions)
|
June 30
2016 |
|
December 31
2015 |
||||
Cash on deposit
|
$
|
133
|
|
|
$
|
119
|
|
U.S. Treasury securities
|
36
|
|
|
38
|
|
||
U.S. agency securities and mortgage-backed securities
|
329
|
|
|
327
|
|
||
Non-U.S. government and supranational securities
|
17
|
|
|
20
|
|
||
Total Global Excess Liquidity Sources
|
$
|
515
|
|
|
$
|
504
|
|
Table 24
|
|||||||||||||||||||||||||||
Long-term Debt By Maturity
|
|||||||||||||||||||||||||||
|
Remainder of
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
(Dollars in millions)
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Thereafter
|
|
Total
|
||||||||||||||
Bank of America Corporation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior notes
|
$
|
9,012
|
|
|
$
|
18,375
|
|
|
$
|
20,150
|
|
|
$
|
16,961
|
|
|
$
|
11,630
|
|
|
$
|
48,945
|
|
|
$
|
125,073
|
|
Senior structured notes
|
1,682
|
|
|
3,460
|
|
|
2,697
|
|
|
1,407
|
|
|
975
|
|
|
7,797
|
|
|
18,018
|
|
|||||||
Subordinated notes
|
1,774
|
|
|
5,026
|
|
|
2,753
|
|
|
1,494
|
|
|
3
|
|
|
21,605
|
|
|
32,655
|
|
|||||||
Junior subordinated notes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,850
|
|
|
5,850
|
|
|||||||
Total Bank of America Corporation
|
12,468
|
|
|
26,861
|
|
|
25,600
|
|
|
19,862
|
|
|
12,608
|
|
|
84,197
|
|
|
181,596
|
|
|||||||
Bank of America, N.A.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior notes
|
2,499
|
|
|
3,650
|
|
|
5,801
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
11,969
|
|
|||||||
Subordinated notes
|
—
|
|
|
3,381
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1,833
|
|
|
5,215
|
|
|||||||
Advances from Federal Home Loan Banks
|
501
|
|
|
9
|
|
|
9
|
|
|
14
|
|
|
12
|
|
|
121
|
|
|
666
|
|
|||||||
Securitizations and other Bank VIEs
(1)
|
45
|
|
|
3,544
|
|
|
2,300
|
|
|
3,200
|
|
|
—
|
|
|
131
|
|
|
9,220
|
|
|||||||
Other
|
2
|
|
|
2,708
|
|
|
118
|
|
|
96
|
|
|
18
|
|
|
127
|
|
|
3,069
|
|
|||||||
Total Bank of America, N.A.
|
3,047
|
|
|
13,292
|
|
|
8,228
|
|
|
3,311
|
|
|
30
|
|
|
2,231
|
|
|
30,139
|
|
|||||||
Other debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Structured liabilities
|
1,418
|
|
|
3,446
|
|
|
1,016
|
|
|
1,101
|
|
|
1,034
|
|
|
7,569
|
|
|
15,584
|
|
|||||||
Nonbank VIEs
(1)
|
457
|
|
|
244
|
|
|
30
|
|
|
16
|
|
|
—
|
|
|
1,496
|
|
|
2,243
|
|
|||||||
Other
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
54
|
|
|
55
|
|
|||||||
Total other debt
|
1,875
|
|
|
3,691
|
|
|
1,046
|
|
|
1,117
|
|
|
1,034
|
|
|
9,119
|
|
|
17,882
|
|
|||||||
Total long-term debt
|
$
|
17,390
|
|
|
$
|
43,844
|
|
|
$
|
34,874
|
|
|
$
|
24,290
|
|
|
$
|
13,672
|
|
|
$
|
95,547
|
|
|
$
|
229,617
|
|
(1)
|
Represents the total long-term debt included in the liabilities of consolidated variable interest entities (VIEs) on the Consolidated Balance Sheet.
|
Table 25
|
|||||||
Long-term Debt By Major Currency
|
|||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
U.S. Dollar
|
$
|
185,444
|
|
|
$
|
190,381
|
|
Euro
|
27,274
|
|
|
29,797
|
|
||
British Pound
|
6,716
|
|
|
7,080
|
|
||
Japanese Yen
|
4,325
|
|
|
3,099
|
|
||
Australian Dollar
|
2,443
|
|
|
2,534
|
|
||
Canadian Dollar
|
1,121
|
|
|
1,428
|
|
||
Swiss Franc
|
623
|
|
|
872
|
|
||
Other
|
1,671
|
|
|
1,573
|
|
||
Total long-term debt
|
$
|
229,617
|
|
|
$
|
236,764
|
|
Table 26
|
||||||||||||||||||
Senior Debt Ratings
|
||||||||||||||||||
|
|
Moody's Investors Service
|
|
Standard & Poor's
|
|
Fitch Ratings
|
||||||||||||
|
Long-term
|
|
Short-term
|
|
Outlook
|
|
Long-term
|
|
Short-term
(1)
|
|
Outlook
|
|
Long-term
|
|
Short-term
|
|
Outlook
|
|
Bank of America Corporation
|
Baa1
|
|
P-2
|
|
Stable
|
|
BBB+
|
|
A-2
|
|
Stable
|
|
A
|
|
F1
|
|
Stable
|
|
Bank of America, N.A.
|
A1
|
|
P-1
|
|
Stable
|
|
A
|
|
A-1
|
|
CreditWatch Positive
|
|
A+
|
|
F1
|
|
Stable
|
|
Merrill Lynch, Pierce, Fenner &
Smith, Inc. |
NR
|
|
NR
|
|
NR
|
|
A
|
|
A-1
|
|
CreditWatch Positive
|
|
A+
|
|
F1
|
|
Stable
|
|
Merrill Lynch International
|
NR
|
|
NR
|
|
NR
|
|
A
|
|
A-1
|
|
CreditWatch Positive
|
|
A
|
|
F1
|
|
Positive
|
(1)
|
Standard & Poor's Ratings Services short-term ratings are not on CreditWatch.
|
Credit Risk Management
|
Consumer Portfolio Credit Risk Management
|
Consumer Credit Portfolio
|
Table 27
|
|||||||||||||||
Consumer Loans and Leases
|
|||||||||||||||
|
Outstandings
|
|
Purchased Credit-impaired Loan Portfolio
|
||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||
Residential mortgage
(1)
|
$
|
185,943
|
|
|
$
|
187,911
|
|
|
$
|
11,107
|
|
|
$
|
12,066
|
|
Home equity
|
71,587
|
|
|
75,948
|
|
|
4,121
|
|
|
4,619
|
|
||||
U.S. credit card
|
88,103
|
|
|
89,602
|
|
|
n/a
|
|
|
n/a
|
|
||||
Non-U.S. credit card
|
9,380
|
|
|
9,975
|
|
|
n/a
|
|
|
n/a
|
|
||||
Direct/Indirect consumer
(2)
|
92,746
|
|
|
88,795
|
|
|
n/a
|
|
|
n/a
|
|
||||
Other consumer
(3)
|
2,284
|
|
|
2,067
|
|
|
n/a
|
|
|
n/a
|
|
||||
Consumer loans excluding loans accounted for under the fair value option
|
450,043
|
|
|
454,298
|
|
|
15,228
|
|
|
16,685
|
|
||||
Loans accounted for under the fair value option
(4)
|
1,844
|
|
|
1,871
|
|
|
n/a
|
|
|
n/a
|
|
||||
Total consumer loans and leases
|
$
|
451,887
|
|
|
$
|
456,169
|
|
|
$
|
15,228
|
|
|
$
|
16,685
|
|
(1)
|
Outstandings include pay option loans of
$2.1 billion
and
$2.3 billion
at
June 30, 2016
and
December 31, 2015
. We no longer originate pay option loans.
|
(2)
|
Outstandings include auto and specialty lending loans of
$47.0 billion
and
$42.6 billion
, unsecured consumer lending loans of
$696 million
and
$886 million
, U.S. securities-based lending loans of
$40.1 billion
and
$39.8 billion
, non-U.S. consumer loans of
$3.4 billion
and
$3.9 billion
, student loans of
$531 million
and
$564 million
and other consumer loans of
$1.1 billion
and
$1.0 billion
at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
Outstandings include consumer finance loans of
$512 million
and
$564 million
, consumer leases of
$1.6 billion
and
$1.4 billion
and consumer overdrafts of
$191 million
and
$146 million
at
June 30, 2016
and
December 31, 2015
.
|
(4)
|
Consumer loans accounted for under the fair value option include residential mortgage loans of
$1.5 billion
and
$1.6 billion
and home equity loans of
$354 million
and
$250 million
at
June 30, 2016
and
December 31, 2015
. For more information on the fair value option, see
Note 15 – Fair Value Option
to the Consolidated Financial Statements
.
|
Table 28
|
|||||||||||||||
Consumer Credit Quality
|
|||||||||||||||
|
Nonperforming
|
|
Accruing Past Due 90 Days or More
|
||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||
Residential mortgage
(1)
|
$
|
3,592
|
|
|
$
|
4,803
|
|
|
$
|
5,659
|
|
|
$
|
7,150
|
|
Home equity
|
3,085
|
|
|
3,337
|
|
|
—
|
|
|
—
|
|
||||
U.S. credit card
|
n/a
|
|
|
n/a
|
|
|
693
|
|
|
789
|
|
||||
Non-U.S. credit card
|
n/a
|
|
|
n/a
|
|
|
69
|
|
|
76
|
|
||||
Direct/Indirect consumer
|
27
|
|
|
24
|
|
|
26
|
|
|
39
|
|
||||
Other consumer
|
1
|
|
|
1
|
|
|
2
|
|
|
3
|
|
||||
Total
(2)
|
$
|
6,705
|
|
|
$
|
8,165
|
|
|
$
|
6,449
|
|
|
$
|
8,057
|
|
Consumer loans and leases as a percentage of outstanding consumer loans and leases
(2)
|
1.49
|
%
|
|
1.80
|
%
|
|
1.43
|
%
|
|
1.77
|
%
|
||||
Consumer loans and leases as a percentage of outstanding loans and leases, excluding PCI and fully-insured loan portfolios
(2)
|
1.66
|
|
|
2.04
|
|
|
0.20
|
|
|
0.23
|
|
(1)
|
Residential mortgage loans accruing past due 90 days or more are fully-insured loans. At
June 30, 2016
and
December 31, 2015
, residential mortgage included
$3.3 billion
and
$4.3 billion
of loans on which interest has been curtailed by the FHA, and therefore are no longer accruing interest, although principal is still insured, and
$2.4 billion
and
$2.9 billion
of loans on which interest was still accruing.
|
(2)
|
Balances exclude consumer loans accounted for under the fair value option. At
June 30, 2016
and
December 31, 2015
,
$238 million
and
$293 million
of loans accounted for under the fair value option were past due 90 days or more and not accruing interest.
|
Table 29
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Consumer Net Charge-offs and Related Ratios
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
Net Charge-offs
(1)
|
|
Net Charge-off Ratios
(1, 2)
|
||||||||||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended
June 30 |
|
Three Months Ended June 30
|
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Residential mortgage
|
$
|
34
|
|
|
$
|
177
|
|
|
$
|
125
|
|
|
$
|
374
|
|
|
0.07
|
%
|
|
0.35
|
%
|
|
0.14
|
%
|
|
0.36
|
%
|
Home equity
|
126
|
|
|
151
|
|
|
238
|
|
|
323
|
|
|
0.70
|
|
|
0.73
|
|
|
0.65
|
|
|
0.78
|
|
||||
U.S. credit card
|
573
|
|
|
584
|
|
|
1,160
|
|
|
1,205
|
|
|
2.66
|
|
|
2.68
|
|
|
2.68
|
|
|
2.76
|
|
||||
Non-U.S. credit card
|
46
|
|
|
51
|
|
|
91
|
|
|
95
|
|
|
1.85
|
|
|
2.03
|
|
|
1.85
|
|
|
1.91
|
|
||||
Direct/Indirect consumer
|
23
|
|
|
24
|
|
|
57
|
|
|
58
|
|
|
0.10
|
|
|
0.11
|
|
|
0.13
|
|
|
0.14
|
|
||||
Other consumer
|
47
|
|
|
33
|
|
|
95
|
|
|
82
|
|
|
8.40
|
|
|
7.00
|
|
|
8.73
|
|
|
8.91
|
|
||||
Total
|
$
|
849
|
|
|
$
|
1,020
|
|
|
$
|
1,766
|
|
|
$
|
2,137
|
|
|
0.76
|
|
|
0.87
|
|
|
0.79
|
|
|
0.91
|
|
(1)
|
Net charge-offs exclude write-offs in the PCI loan portfolio. For more information on PCI write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
(2)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases excluding loans accounted for under the fair value option.
|
Table 30
|
|
|
|
|
|||||||||||||||||||||||||||
Consumer Real Estate Portfolio
(1)
|
|
|
|
|
|||||||||||||||||||||||||||
|
Outstandings
|
|
Nonperforming
|
|
Net Charge-offs
(2)
|
||||||||||||||||||||||||||
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||
Core portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
$
|
146,100
|
|
|
$
|
141,795
|
|
|
$
|
1,492
|
|
|
$
|
1,825
|
|
|
$
|
7
|
|
|
$
|
21
|
|
|
$
|
(11
|
)
|
|
$
|
66
|
|
Home equity
|
52,477
|
|
|
54,917
|
|
|
937
|
|
|
974
|
|
|
28
|
|
|
45
|
|
|
46
|
|
|
80
|
|
||||||||
Total core portfolio
|
198,577
|
|
|
196,712
|
|
|
2,429
|
|
|
2,799
|
|
|
35
|
|
|
66
|
|
|
35
|
|
|
146
|
|
||||||||
Non-core portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
39,843
|
|
|
46,116
|
|
|
2,100
|
|
|
2,978
|
|
|
27
|
|
|
156
|
|
|
136
|
|
|
308
|
|
||||||||
Home equity
|
19,110
|
|
|
21,031
|
|
|
2,148
|
|
|
2,363
|
|
|
98
|
|
|
106
|
|
|
192
|
|
|
243
|
|
||||||||
Total non-core portfolio
|
58,953
|
|
|
67,147
|
|
|
4,248
|
|
|
5,341
|
|
|
125
|
|
|
262
|
|
|
328
|
|
|
551
|
|
||||||||
Consumer real estate portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
185,943
|
|
|
187,911
|
|
|
3,592
|
|
|
4,803
|
|
|
34
|
|
|
177
|
|
|
125
|
|
|
374
|
|
||||||||
Home equity
|
71,587
|
|
|
75,948
|
|
|
3,085
|
|
|
3,337
|
|
|
126
|
|
|
151
|
|
|
238
|
|
|
323
|
|
||||||||
Total consumer real estate portfolio
|
$
|
257,530
|
|
|
$
|
263,859
|
|
|
$
|
6,677
|
|
|
$
|
8,140
|
|
|
$
|
160
|
|
|
$
|
328
|
|
|
$
|
363
|
|
|
$
|
697
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
|
|
|
|
Allowance for Loan
and Lease Losses
|
|
Provision for Loan
and Lease Losses
|
||||||||||||||||||||||||
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
|
|
|
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||
Core portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
|
|
|
|
$
|
281
|
|
|
$
|
319
|
|
|
$
|
—
|
|
|
$
|
(21
|
)
|
|
$
|
(53
|
)
|
|
$
|
(4
|
)
|
||||
Home equity
|
|
|
|
|
626
|
|
|
664
|
|
|
8
|
|
|
23
|
|
|
8
|
|
|
4
|
|
||||||||||
Total core portfolio
|
|
|
|
|
907
|
|
|
983
|
|
|
8
|
|
|
2
|
|
|
(45
|
)
|
|
—
|
|
||||||||||
Non-core portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
|
|
|
|
911
|
|
|
1,181
|
|
|
(50
|
)
|
|
33
|
|
|
(54
|
)
|
|
(73
|
)
|
||||||||||
Home equity
|
|
|
|
|
1,391
|
|
|
1,750
|
|
|
37
|
|
|
73
|
|
|
(56
|
)
|
|
153
|
|
||||||||||
Total non-core portfolio
|
|
|
|
|
|
|
2,302
|
|
|
2,931
|
|
|
(13
|
)
|
|
106
|
|
|
(110
|
)
|
|
80
|
|
||||||||
Consumer real estate portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
|
|
|
|
1,192
|
|
|
1,500
|
|
|
(50
|
)
|
|
12
|
|
|
(107
|
)
|
|
(77
|
)
|
||||||||||
Home equity
|
|
|
|
|
2,017
|
|
|
2,414
|
|
|
45
|
|
|
96
|
|
|
(48
|
)
|
|
157
|
|
||||||||||
Total consumer real estate portfolio
|
|
|
|
|
$
|
3,209
|
|
|
$
|
3,914
|
|
|
$
|
(5
|
)
|
|
$
|
108
|
|
|
$
|
(155
|
)
|
|
$
|
80
|
|
(1)
|
Outstandings and nonperforming loans exclude loans accounted for under the fair value option. Consumer loans accounted for under the fair value option include residential mortgage loans of
$1.5 billion
and
$1.6 billion
and home equity loans of
$354 million
and
$250 million
at
June 30, 2016
and
December 31, 2015
. For more information on the fair value option, see
Note 15 – Fair Value Option
to the Consolidated Financial Statements
.
|
(2)
|
Net charge-offs exclude write-offs in the PCI loan portfolio. For more information on PCI write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
Table 31
|
|||||||||||||||||||||||||||
Residential Mortgage – Key Credit Statistics
|
|||||||||||||||||||||||||||
|
|
|
Reported Basis
(1)
|
|
Excluding Purchased
Credit-impaired and
Fully-insured Loans
|
||||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||||||
Outstandings
|
|
|
|
|
|
|
|
|
$
|
185,943
|
|
|
$
|
187,911
|
|
|
$
|
143,357
|
|
|
$
|
138,768
|
|
||||
Accruing past due 30 days or more
|
|
|
|
|
|
|
|
8,942
|
|
|
11,423
|
|
|
1,464
|
|
|
1,568
|
|
|||||||||
Accruing past due 90 days or more
|
|
|
|
|
|
|
|
5,659
|
|
|
7,150
|
|
|
—
|
|
|
—
|
|
|||||||||
Nonperforming loans
|
|
|
|
|
|
|
|
|
3,592
|
|
|
4,803
|
|
|
3,592
|
|
|
4,803
|
|
||||||||
Percent of portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Refreshed LTV greater than 90 but less than or equal to 100
|
|
6
|
%
|
|
7
|
%
|
|
4
|
%
|
|
5
|
%
|
|||||||||||||||
Refreshed LTV greater than 100
|
|
|
|
|
|
7
|
|
|
8
|
|
|
4
|
|
|
4
|
|
|||||||||||
Refreshed FICO score below 620
|
|
|
|
|
|
|
|
10
|
|
|
13
|
|
|
5
|
|
|
6
|
|
|||||||||
2006 and 2007 vintages
(2)
|
|
|
|
|
|
|
|
16
|
|
|
17
|
|
|
15
|
|
|
17
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Reported Basis
|
|
Excluding Purchased Credit-impaired and Fully-insured Loans
|
||||||||||||||||||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Net charge-off ratio
(3)
|
0.07
|
%
|
|
0.35
|
%
|
|
0.14
|
%
|
|
0.36
|
%
|
|
0.10
|
%
|
|
0.52
|
%
|
|
0.18
|
%
|
|
0.55
|
%
|
(1)
|
Outstandings, accruing past due, nonperforming loans and percentages of portfolio exclude loans accounted for under the fair value option.
|
(2)
|
These vintages of loans account for $1.2 billion, or
33 percent
, and $1.6 billion, or
34 percent
of nonperforming residential mortgage loans at
June 30, 2016
and
December 31, 2015
. For the
three and six months ended June 30, 2016
, these vintages accounted for
$9 million
, or
26 percent
, and
$16 million
, or
13 percent
of total residential mortgage net charge-offs. For the
three and six months ended June 30, 2015
, these vintages accounted for
$71 million
, or
40 percent
, and
$118 million
, or
32 percent
of total residential mortgage net charge-offs.
|
(3)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans excluding loans accounted for under the fair value option.
|
Table 32
|
|
|
|
|
|||||||||||||||||||||||||||
Residential Mortgage State Concentrations
|
|
|
|
|
|||||||||||||||||||||||||||
|
Outstandings
(1)
|
|
Nonperforming
(1)
|
|
Net Charge-offs
(2)
|
||||||||||||||||||||||||||
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||
California
|
$
|
52,883
|
|
|
$
|
48,865
|
|
|
$
|
710
|
|
|
$
|
977
|
|
|
$
|
(7
|
)
|
|
$
|
2
|
|
|
$
|
(30
|
)
|
|
$
|
(7
|
)
|
New York
(3)
|
13,084
|
|
|
12,696
|
|
|
344
|
|
|
399
|
|
|
4
|
|
|
22
|
|
|
18
|
|
|
35
|
|
||||||||
Florida
(3)
|
9,969
|
|
|
10,001
|
|
|
377
|
|
|
534
|
|
|
2
|
|
|
22
|
|
|
17
|
|
|
46
|
|
||||||||
Texas
|
6,328
|
|
|
6,208
|
|
|
150
|
|
|
185
|
|
|
2
|
|
|
4
|
|
|
8
|
|
|
9
|
|
||||||||
Massachusetts
|
4,955
|
|
|
4,799
|
|
|
87
|
|
|
118
|
|
|
1
|
|
|
—
|
|
|
4
|
|
|
—
|
|
||||||||
Other U.S./Non-U.S.
|
56,138
|
|
|
56,199
|
|
|
1,924
|
|
|
2,590
|
|
|
32
|
|
|
127
|
|
|
108
|
|
|
291
|
|
||||||||
Residential mortgage loans
(4)
|
$
|
143,357
|
|
|
$
|
138,768
|
|
|
$
|
3,592
|
|
|
$
|
4,803
|
|
|
$
|
34
|
|
|
$
|
177
|
|
|
$
|
125
|
|
|
$
|
374
|
|
Fully-insured loan portfolio
|
31,479
|
|
|
37,077
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Purchased credit-impaired residential mortgage loan portfolio
(5)
|
11,107
|
|
|
12,066
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total residential mortgage loan portfolio
|
$
|
185,943
|
|
|
$
|
187,911
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Outstandings and nonperforming loans exclude loans accounted for under the fair value option.
|
(2)
|
Net charge-offs exclude
$37 million
and
$76 million
of write-offs in the residential mortgage PCI loan portfolio for the
three and six months ended June 30, 2016
compared to
$264 million
and
$452 million
for the
same periods in 2015
. For more information on PCI write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
(3)
|
In these states, foreclosure requires a court order following a legal proceeding (judicial states).
|
(4)
|
Amounts exclude the PCI residential mortgage and fully-insured loan portfolios.
|
(5)
|
At
June 30, 2016
and
December 31, 2015
, 48 percent and 47 percent of PCI residential mortgage loans were in California. There were no other significant single state concentrations.
|
Table 33
|
|||||||||||||||||||||||||||
Home Equity – Key Credit Statistics
|
|||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Reported Basis
(1)
|
|
Excluding Purchased
Credit-impaired Loans |
||||||||||||||||
(Dollars in millions)
|
|
|
|
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||||||
Outstandings
|
|
|
|
|
|
|
|
|
$
|
71,587
|
|
|
$
|
75,948
|
|
|
$
|
67,466
|
|
|
$
|
71,329
|
|
||||
Accruing past due 30 days or more
(2)
|
|
|
|
|
|
555
|
|
|
613
|
|
|
555
|
|
|
613
|
|
|||||||||||
Nonperforming loans
(2)
|
|
|
|
|
|
3,085
|
|
|
3,337
|
|
|
3,085
|
|
|
3,337
|
|
|||||||||||
Percent of portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Refreshed CLTV greater than 90 but less than or equal to 100
|
|
6
|
%
|
|
6
|
%
|
|
5
|
%
|
|
6
|
%
|
|||||||||||||||
Refreshed CLTV greater than 100
|
|
|
|
11
|
|
|
12
|
|
|
10
|
|
|
11
|
|
|||||||||||||
Refreshed FICO score below 620
|
|
|
|
|
|
7
|
|
|
7
|
|
|
6
|
|
|
7
|
|
|||||||||||
2006 and 2007 vintages
(3)
|
|
|
|
|
|
40
|
|
|
43
|
|
|
38
|
|
|
41
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Reported Basis
|
|
Excluding Purchased Credit-impaired Loans
|
||||||||||||||||||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Net charge-off ratio
(4)
|
0.70
|
%
|
|
0.73
|
%
|
|
0.65
|
%
|
|
0.78
|
%
|
|
0.74
|
%
|
|
0.78
|
%
|
|
0.69
|
%
|
|
0.83
|
%
|
(1)
|
Outstandings, accruing past due, nonperforming loans and percentages of the portfolio exclude loans accounted for under the fair value option.
|
(2)
|
Accruing past due 30 days or more includes
$75 million
and
$89 million
and nonperforming loans include
$345 million
and
$396 million
of loans where we serviced the underlying first-lien at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
These vintages of loans have higher refreshed combined LTV ratios and accounted for
46 percent
and
45 percent
of nonperforming home equity loans at
June 30, 2016
and
December 31, 2015
, and
44 percent
and
42 percent
of net charge-offs for the
three and six months ended June 30, 2016
and
57 percent
and
58 percent
for the
three and six months ended June 30, 2015
.
|
(4)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans excluding loans accounted for under the fair value option.
|
Table 34
|
|
|
|
|
|||||||||||||||||||||||||||
Home Equity State Concentrations
|
|
|
|
|
|||||||||||||||||||||||||||
|
Outstandings
(1)
|
|
Nonperforming
(1)
|
|
Net Charge-offs
(2)
|
||||||||||||||||||||||||||
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||
California
|
$
|
19,134
|
|
|
$
|
20,356
|
|
|
$
|
877
|
|
|
$
|
902
|
|
|
$
|
(1
|
)
|
|
$
|
13
|
|
|
$
|
9
|
|
|
$
|
37
|
|
Florida
(3)
|
7,884
|
|
|
8,474
|
|
|
470
|
|
|
518
|
|
|
24
|
|
|
32
|
|
|
41
|
|
|
62
|
|
||||||||
New Jersey
(3)
|
5,392
|
|
|
5,570
|
|
|
206
|
|
|
230
|
|
|
14
|
|
|
12
|
|
|
25
|
|
|
25
|
|
||||||||
New York
(3)
|
4,995
|
|
|
5,249
|
|
|
284
|
|
|
316
|
|
|
16
|
|
|
13
|
|
|
26
|
|
|
25
|
|
||||||||
Massachusetts
|
3,277
|
|
|
3,378
|
|
|
104
|
|
|
115
|
|
|
5
|
|
|
4
|
|
|
8
|
|
|
9
|
|
||||||||
Other U.S./Non-U.S.
|
26,784
|
|
|
28,302
|
|
|
1,144
|
|
|
1,256
|
|
|
68
|
|
|
77
|
|
|
129
|
|
|
165
|
|
||||||||
Home equity loans
(4)
|
$
|
67,466
|
|
|
$
|
71,329
|
|
|
$
|
3,085
|
|
|
$
|
3,337
|
|
|
$
|
126
|
|
|
$
|
151
|
|
|
$
|
238
|
|
|
$
|
323
|
|
Purchased credit-impaired home equity portfolio
(5)
|
4,121
|
|
|
4,619
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total home equity loan portfolio
|
$
|
71,587
|
|
|
$
|
75,948
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Outstandings and nonperforming loans exclude loans accounted for under the fair value option.
|
(2)
|
Net charge-offs exclude
$45 million
and
$111 million
of write-offs in the home equity PCI loan portfolio for the
three and six months ended June 30, 2016
compared to
$26 million
and
$126 million
for the
same periods in 2015
. For more information on PCI write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
(3)
|
In these states, foreclosure requires a court order following a legal proceeding (judicial states).
|
(4)
|
Amount excludes the PCI home equity portfolio.
|
(5)
|
At both
June 30, 2016
and
December 31, 2015
, 29 percent of PCI home equity loans were in California. There were no other significant single state concentrations.
|
Table 35
|
||||||||||||||||||
Purchased Credit-impaired Loan Portfolio
|
||||||||||||||||||
|
June 30, 2016
|
|||||||||||||||||
(Dollars in millions)
|
Unpaid
Principal
Balance
|
|
Gross Carrying
Value
|
|
Related
Valuation
Allowance
|
|
Carrying
Value Net of Valuation
Allowance
|
|
Percent of Unpaid
Principal
Balance
|
|||||||||
Residential mortgage
|
$
|
11,342
|
|
|
$
|
11,107
|
|
|
$
|
223
|
|
|
$
|
10,884
|
|
|
95.96
|
%
|
Home equity
|
4,192
|
|
|
4,121
|
|
|
305
|
|
|
3,816
|
|
|
91.03
|
|
||||
Total purchased credit-impaired loan portfolio
|
$
|
15,534
|
|
|
$
|
15,228
|
|
|
$
|
528
|
|
|
$
|
14,700
|
|
|
94.63
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2015
|
|||||||||||||||||
Residential mortgage
|
$
|
12,350
|
|
|
$
|
12,066
|
|
|
$
|
338
|
|
|
$
|
11,728
|
|
|
94.96
|
%
|
Home equity
|
4,650
|
|
|
4,619
|
|
|
466
|
|
|
4,153
|
|
|
89.31
|
|
||||
Total purchased credit-impaired loan portfolio
|
$
|
17,000
|
|
|
$
|
16,685
|
|
|
$
|
804
|
|
|
$
|
15,881
|
|
|
93.42
|
|
|
|
|
|
|
|
|
|
Table 36
|
|
|
|
|
|
|
|
||||||||
U.S. Credit Card – Key Credit Statistics
|
|||||||||||||||
(Dollars in millions)
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
||||||||
Outstandings
|
|
|
|
|
$
|
88,103
|
|
|
$
|
89,602
|
|
||||
Accruing past due 30 days or more
|
|
|
|
|
1,388
|
|
|
1,575
|
|
||||||
Accruing past due 90 days or more
|
|
|
|
|
693
|
|
|
789
|
|
||||||
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net charge-offs
|
$
|
573
|
|
|
$
|
584
|
|
|
$
|
1,160
|
|
|
$
|
1,205
|
|
Net charge-off ratios
(1)
|
2.66
|
%
|
|
2.68
|
%
|
|
2.68
|
%
|
|
2.76
|
%
|
(1)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans.
|
Table 37
|
|
|
|
|
|||||||||||||||||||||||||||
U.S. Credit Card State Concentrations
|
|
|
|
|
|||||||||||||||||||||||||||
|
Outstandings
|
|
Accruing Past Due
90 Days or More
|
|
Net Charge-offs
|
||||||||||||||||||||||||||
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||
California
|
$
|
13,547
|
|
|
$
|
13,658
|
|
|
$
|
104
|
|
|
$
|
115
|
|
|
$
|
91
|
|
|
$
|
89
|
|
|
$
|
183
|
|
|
$
|
183
|
|
Florida
|
7,330
|
|
|
7,420
|
|
|
72
|
|
|
81
|
|
|
60
|
|
|
61
|
|
|
124
|
|
|
128
|
|
||||||||
Texas
|
6,608
|
|
|
6,620
|
|
|
53
|
|
|
58
|
|
|
41
|
|
|
39
|
|
|
82
|
|
|
80
|
|
||||||||
New York
|
5,425
|
|
|
5,547
|
|
|
51
|
|
|
57
|
|
|
41
|
|
|
41
|
|
|
81
|
|
|
83
|
|
||||||||
Washington
|
3,915
|
|
|
3,907
|
|
|
17
|
|
|
19
|
|
|
15
|
|
|
16
|
|
|
29
|
|
|
31
|
|
||||||||
Other U.S.
|
51,278
|
|
|
52,450
|
|
|
396
|
|
|
459
|
|
|
325
|
|
|
338
|
|
|
661
|
|
|
700
|
|
||||||||
Total U.S. credit card portfolio
|
$
|
88,103
|
|
|
$
|
89,602
|
|
|
$
|
693
|
|
|
$
|
789
|
|
|
$
|
573
|
|
|
$
|
584
|
|
|
$
|
1,160
|
|
|
$
|
1,205
|
|
Table 38
|
|
|
|
|
|
|
|
||||||||
Non-U.S. Credit Card – Key Credit Statistics
|
|||||||||||||||
(Dollars in millions)
|
|
|
|
|
June 30
2016 |
|
December 31
2015 |
||||||||
Outstandings
|
|
|
|
|
$
|
9,380
|
|
|
$
|
9,975
|
|
||||
Accruing past due 30 days or more
|
|
|
|
|
129
|
|
|
146
|
|
||||||
Accruing past due 90 days or more
|
|
|
|
|
69
|
|
|
76
|
|
||||||
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net charge-offs
|
$
|
46
|
|
|
$
|
51
|
|
|
$
|
91
|
|
|
$
|
95
|
|
Net charge-off ratios
(1)
|
1.85
|
%
|
|
2.03
|
%
|
|
1.85
|
%
|
|
1.91
|
%
|
(1)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans.
|
Table 39
|
|
|
|
|
|||||||||||||||||||||||||||
Direct/Indirect State Concentrations
|
|
|
|
|
|||||||||||||||||||||||||||
|
Outstandings
|
|
Accruing Past Due
90 Days or More
|
|
Net Charge-offs
|
||||||||||||||||||||||||||
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||
California
|
$
|
11,274
|
|
|
$
|
10,735
|
|
|
$
|
2
|
|
|
$
|
3
|
|
|
$
|
1
|
|
|
$
|
1
|
|
|
$
|
5
|
|
|
$
|
4
|
|
Texas
|
9,218
|
|
|
8,514
|
|
|
3
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
8
|
|
|
8
|
|
||||||||
Florida
|
9,057
|
|
|
8,835
|
|
|
2
|
|
|
3
|
|
|
6
|
|
|
4
|
|
|
13
|
|
|
8
|
|
||||||||
New York
|
5,323
|
|
|
5,077
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
||||||||
Georgia
|
3,059
|
|
|
2,869
|
|
|
4
|
|
|
4
|
|
|
1
|
|
|
1
|
|
|
3
|
|
|
3
|
|
||||||||
Other U.S./Non-U.S.
|
54,815
|
|
|
52,765
|
|
|
14
|
|
|
24
|
|
|
11
|
|
|
14
|
|
|
27
|
|
|
34
|
|
||||||||
Total direct/indirect loan portfolio
|
$
|
92,746
|
|
|
$
|
88,795
|
|
|
$
|
26
|
|
|
$
|
39
|
|
|
$
|
23
|
|
|
$
|
24
|
|
|
$
|
57
|
|
|
$
|
58
|
|
Table 40
|
|
|
|
|
|||||||||||
Nonperforming Consumer Loans, Leases and Foreclosed Properties Activity
(1)
|
|
|
|
|
|||||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Nonperforming loans and leases, beginning of period
|
$
|
7,247
|
|
|
$
|
10,209
|
|
|
$
|
8,165
|
|
|
$
|
10,819
|
|
Additions to nonperforming loans and leases:
|
|
|
|
|
|
|
|
||||||||
New nonperforming loans and leases
|
799
|
|
|
1,424
|
|
|
1,750
|
|
|
2,893
|
|
||||
Reductions to nonperforming loans and leases:
|
|
|
|
|
|
|
|
||||||||
Paydowns and payoffs
|
(252
|
)
|
|
(289
|
)
|
|
(385
|
)
|
|
(542
|
)
|
||||
Sales
|
(271
|
)
|
|
(542
|
)
|
|
(1,094
|
)
|
|
(913
|
)
|
||||
Returns to performing status
(2)
|
(396
|
)
|
|
(631
|
)
|
|
(837
|
)
|
|
(1,498
|
)
|
||||
Charge-offs
|
(334
|
)
|
|
(484
|
)
|
|
(729
|
)
|
|
(944
|
)
|
||||
Transfers to foreclosed properties
(3)
|
(88
|
)
|
|
(112
|
)
|
|
(165
|
)
|
|
(240
|
)
|
||||
Total net reductions to nonperforming loans and leases
|
(542
|
)
|
|
(634
|
)
|
|
(1,460
|
)
|
|
(1,244
|
)
|
||||
Total nonperforming loans and leases, June 30
(4)
|
6,705
|
|
|
9,575
|
|
|
6,705
|
|
|
9,575
|
|
||||
Foreclosed properties, beginning of period
|
421
|
|
|
632
|
|
|
444
|
|
|
630
|
|
||||
Additions to foreclosed properties:
|
|
|
|
|
|
|
|
||||||||
New foreclosed properties
(3)
|
130
|
|
|
157
|
|
|
240
|
|
|
353
|
|
||||
Reductions to foreclosed properties:
|
|
|
|
|
|
|
|
||||||||
Sales
|
(117
|
)
|
|
(202
|
)
|
|
(236
|
)
|
|
(370
|
)
|
||||
Write-downs
|
(18
|
)
|
|
(34
|
)
|
|
(32
|
)
|
|
(60
|
)
|
||||
Total net reductions to foreclosed properties
|
(5
|
)
|
|
(79
|
)
|
|
(28
|
)
|
|
(77
|
)
|
||||
Total foreclosed properties, June 30
(5)
|
416
|
|
|
553
|
|
|
416
|
|
|
553
|
|
||||
Nonperforming consumer loans, leases and foreclosed properties, June 30
|
$
|
7,121
|
|
|
$
|
10,128
|
|
|
$
|
7,121
|
|
|
$
|
10,128
|
|
Nonperforming consumer loans and leases as a percentage of outstanding consumer loans and leases
(6)
|
1.49
|
%
|
|
2.06
|
%
|
|
|
|
|
||||||
Nonperforming consumer loans, leases and foreclosed properties as a percentage of outstanding consumer loans, leases and foreclosed properties
(6)
|
1.58
|
|
|
2.17
|
|
|
|
|
|
(1)
|
Balances do not include nonperforming LHFS of
$20 million
and
$8 million
and nonaccruing TDRs removed from the PCI loan portfolio prior to January 1, 2010 of
$38 million
and
$72 million
at
June 30, 2016 and 2015
as well as loans accruing past due 90 days or more as presented in
Table 28
and
Note 4 – Outstanding Loans and Leases
to the Consolidated Financial Statements
.
|
(2)
|
Consumer loans may be returned to performing status when all principal and interest is current and full repayment of the remaining contractual principal and interest is expected, or when the loan otherwise becomes well-secured and is in the process of collection.
|
(3)
|
New foreclosed properties represents transfers of nonperforming loans to foreclosed properties net of charge-offs taken during the first 90 days after transfer of a loan to foreclosed properties. New foreclosed properties also includes properties obtained upon foreclosure of delinquent PCI loans, properties repurchased due to representations and warranties exposure and properties acquired with newly consolidated subsidiaries.
|
(4)
|
At
June 30, 2016
,
40 percent
of nonperforming loans were 180 days or more past due.
|
(5)
|
Foreclosed property balances do not include properties insured by certain government-guaranteed loans, principally FHA-insured loans, of
$1.3 billion
at both
June 30, 2016 and 2015
.
|
(6)
|
Outstanding consumer loans and leases exclude loans accounted for under the fair value option.
|
Table 41
|
|||||||||||||||||||||||
Consumer Real Estate Troubled Debt Restructurings
|
|||||||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(Dollars in millions)
|
Total
|
|
Nonperforming
|
|
Performing
|
|
Total
|
|
Nonperforming
|
|
Performing
|
||||||||||||
Residential mortgage
(1, 2)
|
$
|
15,086
|
|
|
$
|
2,361
|
|
|
$
|
12,725
|
|
|
$
|
18,372
|
|
|
$
|
3,284
|
|
|
$
|
15,088
|
|
Home equity
(3)
|
2,756
|
|
|
1,644
|
|
|
1,112
|
|
|
2,686
|
|
|
1,649
|
|
|
1,037
|
|
||||||
Total consumer real estate troubled debt restructurings
|
$
|
17,842
|
|
|
$
|
4,005
|
|
|
$
|
13,837
|
|
|
$
|
21,058
|
|
|
$
|
4,933
|
|
|
$
|
16,125
|
|
(1)
|
Residential mortgage TDRs deemed collateral dependent totaled
$3.9 billion
and
$4.9 billion
, and included
$1.9 billion
and
$2.7 billion
of loans classified as nonperforming and
$2.0 billion
and
$2.2 billion
of loans classified as performing at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Residential mortgage performing TDRs included
$6.9 billion
and
$8.7 billion
of loans that were fully-insured at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
Home equity TDRs deemed collateral dependent totaled
$1.6 billion
and included
$1.3 billion
of loans classified as nonperforming at both June 30, 2016 and December 31, 2015. Loans classified as performing totaled
$298 million
and
$290 million
at
June 30, 2016
and
December 31, 2015
.
|
Commercial Portfolio Credit Risk Management
|
Commercial Credit Portfolio
|
Table 42
|
|||||||||||||||||||||||
Commercial Loans and Leases
|
|||||||||||||||||||||||
|
Outstandings
|
|
Nonperforming
|
|
Accruing Past Due 90
Days or More |
||||||||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||||||
U.S. commercial
|
$
|
263,467
|
|
|
$
|
252,771
|
|
|
$
|
1,349
|
|
|
$
|
867
|
|
|
$
|
55
|
|
|
$
|
113
|
|
Commercial real estate
(1)
|
57,612
|
|
|
57,199
|
|
|
84
|
|
|
93
|
|
|
6
|
|
|
3
|
|
||||||
Commercial lease financing
|
21,203
|
|
|
21,352
|
|
|
13
|
|
|
12
|
|
|
29
|
|
|
15
|
|
||||||
Non-U.S. commercial
|
89,048
|
|
|
91,549
|
|
|
144
|
|
|
158
|
|
|
1
|
|
|
1
|
|
||||||
|
431,330
|
|
|
422,871
|
|
|
1,590
|
|
|
1,130
|
|
|
91
|
|
|
132
|
|
||||||
U.S. small business commercial
(2)
|
13,120
|
|
|
12,876
|
|
|
69
|
|
|
82
|
|
|
61
|
|
|
61
|
|
||||||
Commercial loans excluding loans accounted for under the fair value option
|
444,450
|
|
|
435,747
|
|
|
1,659
|
|
|
1,212
|
|
|
152
|
|
|
193
|
|
||||||
Loans accounted for under the fair value option
(3)
|
6,816
|
|
|
5,067
|
|
|
65
|
|
|
13
|
|
|
—
|
|
|
—
|
|
||||||
Total commercial loans and leases
|
$
|
451,266
|
|
|
$
|
440,814
|
|
|
$
|
1,724
|
|
|
$
|
1,225
|
|
|
$
|
152
|
|
|
$
|
193
|
|
(1)
|
Includes U.S. commercial real estate loans of
$54.3 billion
and
$53.6 billion
and non-U.S. commercial real estate loans of
$3.3 billion
and $
3.5 billion
at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Includes card-related products.
|
(3)
|
Commercial loans accounted for under the fair value option include U.S. commercial loans of
$2.7 billion
and
$2.3 billion
and non-U.S. commercial loans of
$4.1 billion
and
$2.8 billion
at
June 30, 2016
and
December 31, 2015
. For more information on the fair value option, see
Note 15 – Fair Value Option
to the Consolidated Financial Statements
.
|
Table 43
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Commercial Net Charge-offs and Related Ratios
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
Net Charge-offs
|
|
Net Charge-off Ratios
(1)
|
||||||||||||||||||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
U.S. commercial
|
$
|
28
|
|
|
$
|
(1
|
)
|
|
$
|
93
|
|
|
$
|
6
|
|
|
0.04
|
%
|
|
—
|
%
|
|
0.07
|
%
|
|
0.01
|
%
|
Commercial real estate
|
(2
|
)
|
|
(4
|
)
|
|
(8
|
)
|
|
1
|
|
|
(0.01
|
)
|
|
(0.03
|
)
|
|
(0.03
|
)
|
|
0.01
|
|
||||
Commercial lease financing
|
15
|
|
|
—
|
|
|
13
|
|
|
5
|
|
|
0.30
|
|
|
—
|
|
|
0.13
|
|
|
0.05
|
|
||||
Non-U.S. commercial
|
45
|
|
|
2
|
|
|
87
|
|
|
—
|
|
|
0.20
|
|
|
0.01
|
|
|
0.19
|
|
|
—
|
|
||||
|
86
|
|
|
(3
|
)
|
|
185
|
|
|
12
|
|
|
0.08
|
|
|
—
|
|
|
0.09
|
|
|
0.01
|
|
||||
U.S. small business commercial
|
50
|
|
|
51
|
|
|
102
|
|
|
113
|
|
|
1.55
|
|
|
1.56
|
|
|
1.59
|
|
|
1.73
|
|
||||
Total commercial
|
$
|
136
|
|
|
$
|
48
|
|
|
$
|
287
|
|
|
$
|
125
|
|
|
0.12
|
|
|
0.05
|
|
|
0.13
|
|
|
0.06
|
|
(1)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases excluding loans accounted for under the fair value option.
|
Table 44
|
|||||||||||||||||||||||
Commercial Credit Exposure by Type
|
|||||||||||||||||||||||
|
Commercial Utilized
(1)
|
|
Commercial Unfunded
(2, 3, 4)
|
|
Total Commercial Committed
|
||||||||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||||||
Loans and leases
(5)
|
$
|
456,877
|
|
|
$
|
446,832
|
|
|
$
|
353,998
|
|
|
$
|
376,478
|
|
|
$
|
810,875
|
|
|
$
|
823,310
|
|
Derivative assets
(6)
|
55,264
|
|
|
49,990
|
|
|
—
|
|
|
—
|
|
|
55,264
|
|
|
49,990
|
|
||||||
Standby letters of credit and financial guarantees
|
34,748
|
|
|
33,236
|
|
|
624
|
|
|
690
|
|
|
35,372
|
|
|
33,926
|
|
||||||
Debt securities and other investments
|
22,699
|
|
|
21,709
|
|
|
5,372
|
|
|
4,173
|
|
|
28,071
|
|
|
25,882
|
|
||||||
Loans held-for-sale
|
5,544
|
|
|
5,456
|
|
|
823
|
|
|
1,203
|
|
|
6,367
|
|
|
6,659
|
|
||||||
Commercial letters of credit
|
1,968
|
|
|
1,725
|
|
|
145
|
|
|
390
|
|
|
2,113
|
|
|
2,115
|
|
||||||
Bankers' acceptances
|
262
|
|
|
298
|
|
|
—
|
|
|
—
|
|
|
262
|
|
|
298
|
|
||||||
Other
|
334
|
|
|
317
|
|
|
—
|
|
|
—
|
|
|
334
|
|
|
317
|
|
||||||
Total
|
$
|
577,696
|
|
|
$
|
559,563
|
|
|
$
|
360,962
|
|
|
$
|
382,934
|
|
|
$
|
938,658
|
|
|
$
|
942,497
|
|
(1)
|
Total commercial utilized exposure includes loans of
$6.8 billion
and
$5.1 billion
and issued letters of credit with a notional amount of
$321 million
and
$290 million
accounted for under the fair value option at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Total commercial unfunded exposure includes loan commitments accounted for under the fair value option with a notional amount of
$7.8 billion
and
$10.6 billion
at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
Excludes unused business card lines which are not legally binding.
|
(4)
|
Includes the notional amount of unfunded legally binding lending commitments net of amounts distributed (e.g., syndicated or participated) to other financial institutions of
$13.9 billion
and
$14.3 billion
at
June 30, 2016
and
December 31, 2015
.
|
(5)
|
Includes credit risk exposure associated with assets under operating lease arrangements of $5.6 billion and $6.0 billion at
June 30, 2016
and
December 31, 2015
.
|
(6)
|
Derivative assets are carried at fair value, reflect the effects of legally enforceable master netting agreements and have been reduced by cash collateral of
$50.7 billion
and
$41.9 billion
at
June 30, 2016
and
December 31, 2015
. Not reflected in utilized and committed exposure is additional non-cash derivative collateral held of
$24.5 billion
and $23.3 billion which consists primarily of other marketable securities.
|
Table 45
|
|||||||||||||
Commercial Utilized Reservable Criticized Exposure
|
|||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
(Dollars in millions)
|
Amount
(1)
|
|
Percent
(2)
|
|
Amount
(1)
|
|
Percent
(2)
|
||||||
U.S. commercial
|
$
|
12,332
|
|
|
4.21
|
%
|
|
$
|
9,965
|
|
|
3.56
|
%
|
Commercial real estate
|
444
|
|
|
0.75
|
|
|
513
|
|
|
0.87
|
|
||
Commercial lease financing
|
832
|
|
|
3.93
|
|
|
708
|
|
|
3.31
|
|
||
Non-U.S. commercial
|
3,727
|
|
|
3.92
|
|
|
3,944
|
|
|
4.04
|
|
||
|
17,335
|
|
|
3.70
|
|
|
15,130
|
|
|
3.30
|
|
||
U.S. small business commercial
|
752
|
|
|
5.73
|
|
|
766
|
|
|
5.95
|
|
||
Total commercial utilized reservable criticized exposure
|
$
|
18,087
|
|
|
3.76
|
|
|
$
|
15,896
|
|
|
3.38
|
|
(1)
|
Total commercial utilized reservable criticized exposure includes loans and leases of
$16.6 billion
and
$14.5 billion
and commercial letters of credit of
$1.5 billion
and
$1.4 billion
at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Percentages are calculated as commercial utilized reservable criticized exposure divided by total commercial utilized reservable exposure for each exposure category.
|
Table 46
|
|||||||
Outstanding Commercial Real Estate Loans
|
|||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
By Geographic Region
|
|
|
|
||||
California
|
$
|
13,113
|
|
|
$
|
12,063
|
|
Northeast
|
10,145
|
|
|
10,292
|
|
||
Southwest
|
7,546
|
|
|
7,789
|
|
||
Southeast
|
6,169
|
|
|
6,066
|
|
||
Midwest
|
4,184
|
|
|
3,780
|
|
||
Florida
|
3,013
|
|
|
3,330
|
|
||
Illinois
|
2,580
|
|
|
2,536
|
|
||
Midsouth
|
2,526
|
|
|
2,435
|
|
||
Northwest
|
2,118
|
|
|
2,327
|
|
||
Non-U.S.
|
3,321
|
|
|
3,549
|
|
||
Other
(1)
|
2,897
|
|
|
3,032
|
|
||
Total outstanding commercial real estate loans
|
$
|
57,612
|
|
|
$
|
57,199
|
|
By Property Type
|
|
|
|
||||
Non-residential
|
|
|
|
||||
Office
|
$
|
15,823
|
|
|
$
|
15,246
|
|
Multi-family rental
|
9,199
|
|
|
8,956
|
|
||
Shopping centers/retail
|
8,968
|
|
|
8,594
|
|
||
Hotels/motels
|
5,353
|
|
|
5,415
|
|
||
Industrial/warehouse
|
5,172
|
|
|
5,501
|
|
||
Multi-use
|
3,015
|
|
|
3,003
|
|
||
Unsecured
|
1,686
|
|
|
2,056
|
|
||
Land and land development
|
374
|
|
|
539
|
|
||
Other
|
5,859
|
|
|
5,791
|
|
||
Total non-residential
|
55,449
|
|
|
55,101
|
|
||
Residential
|
2,163
|
|
|
2,098
|
|
||
Total outstanding commercial real estate loans
|
$
|
57,612
|
|
|
$
|
57,199
|
|
(1)
|
Includes unsecured loans to real estate investment trusts and national home builders whose portfolios of properties span multiple geographic regions and properties in the states of Colorado, Utah, Hawaii, Wyoming and Montana.
|
Table 47
|
|||||||||||||||
Commercial Real Estate Credit Quality Data
|
|||||||||||||||
|
Nonperforming Loans and
Foreclosed Properties
(1)
|
|
Utilized Reservable
Criticized Exposure
(2)
|
||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||
Non-residential
|
|
|
|
|
|
|
|
||||||||
Office
|
$
|
17
|
|
|
$
|
14
|
|
|
$
|
157
|
|
|
$
|
110
|
|
Multi-family rental
|
15
|
|
|
18
|
|
|
76
|
|
|
69
|
|
||||
Shopping centers/retail
|
11
|
|
|
12
|
|
|
107
|
|
|
183
|
|
||||
Hotels/motels
|
14
|
|
|
18
|
|
|
15
|
|
|
16
|
|
||||
Industrial/warehouse
|
4
|
|
|
6
|
|
|
8
|
|
|
16
|
|
||||
Multi-use
|
14
|
|
|
15
|
|
|
38
|
|
|
42
|
|
||||
Unsecured
|
1
|
|
|
1
|
|
|
4
|
|
|
4
|
|
||||
Land and land development
|
2
|
|
|
2
|
|
|
3
|
|
|
3
|
|
||||
Other
|
14
|
|
|
8
|
|
|
28
|
|
|
59
|
|
||||
Total non-residential
|
92
|
|
|
94
|
|
|
436
|
|
|
502
|
|
||||
Residential
|
11
|
|
|
14
|
|
|
8
|
|
|
11
|
|
||||
Total commercial real estate
|
$
|
103
|
|
|
$
|
108
|
|
|
$
|
444
|
|
|
$
|
513
|
|
(1)
|
Includes commercial foreclosed properties of
$19 million
and
$15 million
at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Includes loans, SBLCs and bankers' acceptances and excludes loans accounted for under the fair value option.
|
Table 48
|
|
|
|
|
|||||||||||||||||||||||
Commercial Real Estate Net Charge-offs and Related Ratios
|
|
|
|
|
|||||||||||||||||||||||
|
Net Charge-offs
|
|
Net Charge-off Ratios
(1)
|
||||||||||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Non-residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Office
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.07
|
%
|
Multi-family rental
|
3
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
0.11
|
|
|
—
|
|
|
0.07
|
|
|
—
|
|
||||
Shopping centers/retail
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(0.04
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Hotels/motels
|
—
|
|
|
—
|
|
|
1
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
0.05
|
|
|
0.27
|
|
||||
Industrial/warehouse
|
—
|
|
|
—
|
|
|
2
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
0.06
|
|
|
(0.07
|
)
|
||||
Multi-use
|
(1
|
)
|
|
1
|
|
|
(9
|
)
|
|
—
|
|
|
(0.09
|
)
|
|
0.20
|
|
|
(0.63
|
)
|
|
—
|
|
||||
Unsecured
|
(2
|
)
|
|
(1
|
)
|
|
(3
|
)
|
|
(2
|
)
|
|
(0.38
|
)
|
|
(0.12
|
)
|
|
(0.28
|
)
|
|
(0.26
|
)
|
||||
Land and land development
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
(4.14
|
)
|
|
—
|
|
|
(2.19
|
)
|
||||
Other
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(0.02
|
)
|
|
—
|
|
||||
Total non-residential
|
(1
|
)
|
|
(6
|
)
|
|
(7
|
)
|
|
(1
|
)
|
|
(0.01
|
)
|
|
(0.05
|
)
|
|
(0.02
|
)
|
|
—
|
|
||||
Residential
|
(1
|
)
|
|
2
|
|
|
(1
|
)
|
|
2
|
|
|
(0.12
|
)
|
|
0.38
|
|
|
(0.07
|
)
|
|
0.17
|
|
||||
Total commercial real estate
|
$
|
(2
|
)
|
|
$
|
(4
|
)
|
|
$
|
(8
|
)
|
|
$
|
1
|
|
|
(0.01
|
)
|
|
(0.03
|
)
|
|
(0.03
|
)
|
|
0.01
|
|
(1)
|
Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans excluding loans accounted for under the fair value option.
|
Table 49
|
|
|
|
|
|
|
|
||||||||
Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity
(1, 2)
|
|||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended
June 30 |
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Nonperforming loans and leases, beginning of period
|
$
|
1,603
|
|
|
$
|
996
|
|
|
$
|
1,212
|
|
|
$
|
1,113
|
|
Additions to nonperforming loans and leases:
|
|
|
|
|
|
|
|
||||||||
New nonperforming loans and leases
|
489
|
|
|
419
|
|
|
1,186
|
|
|
706
|
|
||||
Advances
|
2
|
|
|
15
|
|
|
11
|
|
|
17
|
|
||||
Reductions to nonperforming loans and leases:
|
|
|
|
|
|
|
|
||||||||
Paydowns
|
(211
|
)
|
|
(103
|
)
|
|
(331
|
)
|
|
(213
|
)
|
||||
Sales
|
(87
|
)
|
|
(65
|
)
|
|
(93
|
)
|
|
(81
|
)
|
||||
Returns to performing status
(3)
|
(29
|
)
|
|
(27
|
)
|
|
(76
|
)
|
|
(51
|
)
|
||||
Charge-offs
|
(106
|
)
|
|
(56
|
)
|
|
(248
|
)
|
|
(107
|
)
|
||||
Transfers to foreclosed properties
(4)
|
(2
|
)
|
|
(7
|
)
|
|
(2
|
)
|
|
(212
|
)
|
||||
Total net additions to nonperforming loans and leases
|
56
|
|
|
176
|
|
|
447
|
|
|
59
|
|
||||
Total nonperforming loans and leases, June 30
|
1,659
|
|
|
1,172
|
|
|
1,659
|
|
|
1,172
|
|
||||
Foreclosed properties, beginning of period
|
10
|
|
|
264
|
|
|
15
|
|
|
67
|
|
||||
Additions to foreclosed properties:
|
|
|
|
|
|
|
|
||||||||
New foreclosed properties
(4)
|
22
|
|
|
7
|
|
|
22
|
|
|
207
|
|
||||
Reductions to foreclosed properties:
|
|
|
|
|
|
|
|
||||||||
Sales
|
(13
|
)
|
|
(5
|
)
|
|
(18
|
)
|
|
(7
|
)
|
||||
Write-downs
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(2
|
)
|
||||
Total net additions to foreclosed properties
|
9
|
|
|
1
|
|
|
4
|
|
|
198
|
|
||||
Total foreclosed properties, June 30
|
19
|
|
|
265
|
|
|
19
|
|
|
265
|
|
||||
Nonperforming commercial loans, leases and foreclosed properties, June 30
|
$
|
1,678
|
|
|
$
|
1,437
|
|
|
$
|
1,678
|
|
|
$
|
1,437
|
|
Nonperforming commercial loans and leases as a percentage of outstanding commercial loans and leases
(5)
|
0.37
|
%
|
|
0.28
|
%
|
|
|
|
|
||||||
Nonperforming commercial loans, leases and foreclosed properties as a percentage of outstanding commercial loans, leases and foreclosed properties
(5)
|
0.38
|
|
|
0.35
|
|
|
|
|
|
(1)
|
Balances do not include nonperforming LHFS of $203 million and $298 million at
June 30, 2016
and
2015
.
|
(2)
|
Includes U.S. small business commercial activity. Small business card loans are excluded as they are not classified as nonperforming.
|
(3)
|
Commercial loans and leases may be returned to performing status when all principal and interest is current and full repayment of the remaining contractual principal and interest is expected, or when the loan otherwise becomes well-secured and is in the process of collection. TDRs are generally classified as performing after a sustained period of demonstrated payment performance.
|
(4)
|
New foreclosed properties represents transfers of nonperforming loans to foreclosed properties net of charge-offs recorded during the first 90 days after transfer of a loan to foreclosed properties.
|
(5)
|
Outstanding commercial loans exclude loans accounted for under the fair value option.
|
Table 50
|
|||||||||||||||||||||||
Commercial Troubled Debt Restructurings
|
|||||||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(Dollars in millions)
|
Total
|
|
Non-performing
|
|
Performing
|
|
Total
|
|
Non-performing
|
|
Performing
|
||||||||||||
U.S. commercial
|
$
|
1,980
|
|
|
$
|
827
|
|
|
$
|
1,153
|
|
|
$
|
1,225
|
|
|
$
|
394
|
|
|
$
|
831
|
|
Commercial real estate
|
110
|
|
|
39
|
|
|
71
|
|
|
118
|
|
|
27
|
|
|
91
|
|
||||||
Commercial lease financing
|
3
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Non-U.S. commercial
|
273
|
|
|
59
|
|
|
214
|
|
|
363
|
|
|
136
|
|
|
227
|
|
||||||
|
2,366
|
|
|
928
|
|
|
1,438
|
|
|
1,706
|
|
|
557
|
|
|
1,149
|
|
||||||
U.S. small business commercial
|
18
|
|
|
3
|
|
|
15
|
|
|
29
|
|
|
10
|
|
|
19
|
|
||||||
Total commercial troubled debt restructurings
|
$
|
2,384
|
|
|
$
|
931
|
|
|
$
|
1,453
|
|
|
$
|
1,735
|
|
|
$
|
567
|
|
|
$
|
1,168
|
|
Industry Concentrations
|
Table 51
|
|||||||||||||||
Commercial Credit Exposure by Industry
(1)
|
|||||||||||||||
|
Commercial
Utilized
|
|
Total Commercial
Committed (2) |
||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||
Diversified financials
|
$
|
78,799
|
|
|
$
|
79,496
|
|
|
$
|
122,504
|
|
|
$
|
128,436
|
|
Real estate
(3)
|
61,539
|
|
|
61,759
|
|
|
84,543
|
|
|
87,650
|
|
||||
Healthcare equipment and services
|
37,483
|
|
|
35,134
|
|
|
67,494
|
|
|
57,901
|
|
||||
Retailing
|
39,934
|
|
|
37,675
|
|
|
63,589
|
|
|
63,975
|
|
||||
Capital goods
|
34,866
|
|
|
30,790
|
|
|
63,171
|
|
|
58,583
|
|
||||
Government and public education
|
45,956
|
|
|
44,835
|
|
|
55,019
|
|
|
53,133
|
|
||||
Banking
|
44,002
|
|
|
45,952
|
|
|
50,437
|
|
|
53,825
|
|
||||
Materials
|
23,373
|
|
|
24,012
|
|
|
44,607
|
|
|
46,013
|
|
||||
Food, beverage and tobacco
|
20,594
|
|
|
18,316
|
|
|
41,495
|
|
|
43,164
|
|
||||
Energy
|
21,220
|
|
|
21,257
|
|
|
40,467
|
|
|
43,811
|
|
||||
Consumer services
|
25,656
|
|
|
24,084
|
|
|
40,132
|
|
|
37,058
|
|
||||
Commercial services and supplies
|
21,335
|
|
|
19,552
|
|
|
33,818
|
|
|
32,045
|
|
||||
Utilities
|
12,868
|
|
|
11,396
|
|
|
28,426
|
|
|
27,849
|
|
||||
Transportation
|
20,117
|
|
|
19,369
|
|
|
27,392
|
|
|
27,371
|
|
||||
Media
|
13,137
|
|
|
12,833
|
|
|
25,101
|
|
|
24,194
|
|
||||
Individuals and trusts
|
16,397
|
|
|
17,992
|
|
|
21,638
|
|
|
23,176
|
|
||||
Technology hardware and equipment
|
7,492
|
|
|
6,337
|
|
|
19,185
|
|
|
24,734
|
|
||||
Software and services
|
7,990
|
|
|
6,617
|
|
|
18,380
|
|
|
18,362
|
|
||||
Pharmaceuticals and biotechnology
|
6,389
|
|
|
6,302
|
|
|
16,202
|
|
|
16,472
|
|
||||
Automobiles and components
|
5,414
|
|
|
4,804
|
|
|
12,447
|
|
|
11,329
|
|
||||
Telecommunication services
|
5,352
|
|
|
4,717
|
|
|
12,092
|
|
|
10,645
|
|
||||
Insurance, including monolines
|
5,395
|
|
|
5,095
|
|
|
10,670
|
|
|
10,728
|
|
||||
Consumer durables and apparel
|
5,635
|
|
|
6,053
|
|
|
10,390
|
|
|
11,165
|
|
||||
Food and staples retailing
|
4,827
|
|
|
4,351
|
|
|
8,890
|
|
|
9,439
|
|
||||
Religious and social organizations
|
4,619
|
|
|
4,526
|
|
|
6,373
|
|
|
5,929
|
|
||||
Other
|
7,307
|
|
|
6,309
|
|
|
14,196
|
|
|
15,510
|
|
||||
Total commercial credit exposure by industry
|
$
|
577,696
|
|
|
$
|
559,563
|
|
|
$
|
938,658
|
|
|
$
|
942,497
|
|
Net credit default protection purchased on total commitments
(4)
|
|
|
|
|
$
|
(5,396
|
)
|
|
$
|
(6,677
|
)
|
(1)
|
Includes U.S. small business commercial exposure.
|
(2)
|
Includes the notional amount of unfunded legally binding lending commitments net of amounts distributed (e.g., syndicated or participated) to other financial institutions of
$13.9 billion
and
$14.3 billion
at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
Industries are viewed from a variety of perspectives to best isolate the perceived risks. For purposes of this table, the real estate industry is defined based on the borrowers' or counterparties' primary business activity using operating cash flows and primary source of repayment as key factors.
|
(4)
|
Represents net notional credit protection purchased. For additional information, see
Commercial Portfolio Credit Risk Management – Risk Mitigation
on page
91
.
|
Risk Mitigation
|
Table 52
|
|||||
Net Credit Default Protection by Maturity
|
|||||
|
June 30
2016 |
|
December 31
2015 |
||
Less than or equal to one year
|
52
|
%
|
|
39
|
%
|
Greater than one year and less than or equal to five years
|
45
|
|
|
59
|
|
Greater than five years
|
3
|
|
|
2
|
|
Total net credit default protection
|
100
|
%
|
|
100
|
%
|
Table 53
|
|||||||||||||
Net Credit Default Protection by Credit Exposure Debt Rating
|
|||||||||||||
(Dollars in millions)
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
Ratings
(1, 2)
|
Net
Notional
(3)
|
|
Percent of
Total
|
|
Net
Notional
(3)
|
|
Percent of
Total
|
||||||
A
|
$
|
(713
|
)
|
|
13.2
|
%
|
|
$
|
(752
|
)
|
|
11.3
|
%
|
BBB
|
(2,656
|
)
|
|
49.2
|
|
|
(3,030
|
)
|
|
45.4
|
|
||
BB
|
(1,190
|
)
|
|
22.1
|
|
|
(2,090
|
)
|
|
31.3
|
|
||
B
|
(794
|
)
|
|
14.7
|
|
|
(634
|
)
|
|
9.5
|
|
||
CCC and below
|
(14
|
)
|
|
0.3
|
|
|
(139
|
)
|
|
2.1
|
|
||
NR
(4)
|
(29
|
)
|
|
0.5
|
|
|
(32
|
)
|
|
0.4
|
|
||
Total net credit default protection
|
$
|
(5,396
|
)
|
|
100.0
|
%
|
|
$
|
(6,677
|
)
|
|
100.0
|
%
|
(1)
|
Ratings are refreshed on a quarterly basis.
|
(2)
|
Ratings of BBB- or higher are considered to meet the definition of investment grade.
|
(3)
|
Represents net credit default protection purchased.
|
(4)
|
NR is comprised of index positions held and any names that have not been rated.
|
Table 54
|
|||||||||||||||
Credit Derivatives
|
|||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
(Dollars in millions)
|
Contract/
Notional
|
|
Credit Risk
|
|
Contract/
Notional
|
|
Credit Risk
|
||||||||
Purchased credit derivatives:
|
|
|
|
|
|
|
|
||||||||
Credit default swaps
|
$
|
856,588
|
|
|
$
|
3,081
|
|
|
$
|
928,300
|
|
|
$
|
3,677
|
|
Total return swaps/other
|
37,428
|
|
|
423
|
|
|
26,427
|
|
|
1,596
|
|
||||
Total purchased credit derivatives
|
$
|
894,016
|
|
|
$
|
3,504
|
|
|
$
|
954,727
|
|
|
$
|
5,273
|
|
Written credit derivatives:
|
|
|
|
|
|
|
|
|
|||||||
Credit default swaps
|
$
|
844,003
|
|
|
n/a
|
|
|
$
|
924,143
|
|
|
n/a
|
|
||
Total return swaps/other
|
41,506
|
|
|
n/a
|
|
|
39,658
|
|
|
n/a
|
|
||||
Total written credit derivatives
|
$
|
885,509
|
|
|
n/a
|
|
|
$
|
963,801
|
|
|
n/a
|
|
Counterparty Credit Risk Valuation Adjustments
|
Table 55
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Credit Valuation Gains and Losses
|
|||||||||||||||||||||||||||||||||||||||||||||||
Gains (Losses)
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||||||||||||||||||||||
(Dollars in millions)
|
Gross
|
|
Hedge
|
|
Net
|
|
Gross
|
|
|
Hedge
|
|
|
Net
|
|
Gross
|
|
Hedge
|
|
Net
|
|
Gross
|
|
|
Hedge
|
|
|
Net
|
||||||||||||||||||||
Credit valuation
|
$
|
(26
|
)
|
|
$
|
59
|
|
|
$
|
33
|
|
|
$
|
215
|
|
|
$
|
(232
|
)
|
|
$
|
(17
|
)
|
|
$
|
(235
|
)
|
|
$
|
320
|
|
|
$
|
85
|
|
|
$
|
223
|
|
|
$
|
(116
|
)
|
|
$
|
107
|
|
Non-U.S. Portfolio
|
Table 56
|
|||||||||||||||||||||||||||||||
Top 20 Non-U.S. Countries Exposure
|
|||||||||||||||||||||||||||||||
(Dollars in millions)
|
Funded Loans and Loan Equivalents
|
|
Unfunded Loan Commitments
|
|
Net Counterparty Exposure
|
|
Securities/
Other
Investments
|
|
Country Exposure at June 30
2016 |
|
Hedges and Credit Default Protection
|
|
Net Country Exposure at June 30
2016 |
|
Increase (Decrease) from December 31
2015 |
||||||||||||||||
United Kingdom
|
$
|
34,260
|
|
|
$
|
13,922
|
|
|
$
|
9,752
|
|
|
$
|
2,207
|
|
|
$
|
60,141
|
|
|
$
|
(3,831
|
)
|
|
$
|
56,310
|
|
|
$
|
3,064
|
|
Germany
|
13,368
|
|
|
5,394
|
|
|
2,256
|
|
|
4,410
|
|
|
25,428
|
|
|
(4,109
|
)
|
|
21,319
|
|
|
7,915
|
|
||||||||
Canada
|
7,220
|
|
|
6,751
|
|
|
4,024
|
|
|
3,811
|
|
|
21,806
|
|
|
(1,437
|
)
|
|
20,369
|
|
|
5,637
|
|
||||||||
Brazil
|
9,518
|
|
|
280
|
|
|
1,268
|
|
|
4,385
|
|
|
15,451
|
|
|
(217
|
)
|
|
15,234
|
|
|
(416
|
)
|
||||||||
Japan
|
13,901
|
|
|
599
|
|
|
1,600
|
|
|
750
|
|
|
16,850
|
|
|
(2,073
|
)
|
|
14,777
|
|
|
413
|
|
||||||||
France
|
3,474
|
|
|
4,699
|
|
|
2,234
|
|
|
7,074
|
|
|
17,481
|
|
|
(3,462
|
)
|
|
14,019
|
|
|
5,333
|
|
||||||||
China
|
8,483
|
|
|
534
|
|
|
1,486
|
|
|
1,618
|
|
|
12,121
|
|
|
(392
|
)
|
|
11,729
|
|
|
1,255
|
|
||||||||
India
|
6,467
|
|
|
258
|
|
|
356
|
|
|
3,376
|
|
|
10,457
|
|
|
(257
|
)
|
|
10,200
|
|
|
(154
|
)
|
||||||||
Australia
|
4,771
|
|
|
2,190
|
|
|
1,043
|
|
|
1,472
|
|
|
9,476
|
|
|
(348
|
)
|
|
9,128
|
|
|
(417
|
)
|
||||||||
Netherlands
|
3,018
|
|
|
2,868
|
|
|
729
|
|
|
2,653
|
|
|
9,268
|
|
|
(1,235
|
)
|
|
8,033
|
|
|
399
|
|
||||||||
Hong Kong
|
5,829
|
|
|
202
|
|
|
936
|
|
|
595
|
|
|
7,562
|
|
|
(9
|
)
|
|
7,553
|
|
|
(36
|
)
|
||||||||
South Korea
|
4,110
|
|
|
729
|
|
|
904
|
|
|
1,728
|
|
|
7,471
|
|
|
(406
|
)
|
|
7,065
|
|
|
207
|
|
||||||||
Switzerland
|
3,390
|
|
|
3,121
|
|
|
417
|
|
|
603
|
|
|
7,531
|
|
|
(1,179
|
)
|
|
6,352
|
|
|
89
|
|
||||||||
Mexico
|
3,210
|
|
|
995
|
|
|
231
|
|
|
1,294
|
|
|
5,730
|
|
|
(263
|
)
|
|
5,467
|
|
|
413
|
|
||||||||
Singapore
|
2,516
|
|
|
285
|
|
|
822
|
|
|
1,717
|
|
|
5,340
|
|
|
(49
|
)
|
|
5,291
|
|
|
562
|
|
||||||||
Italy
|
2,876
|
|
|
888
|
|
|
800
|
|
|
1,032
|
|
|
5,596
|
|
|
(772
|
)
|
|
4,824
|
|
|
(484
|
)
|
||||||||
United Arab Emirates
|
2,132
|
|
|
231
|
|
|
1,139
|
|
|
49
|
|
|
3,551
|
|
|
(58
|
)
|
|
3,493
|
|
|
467
|
|
||||||||
Luxembourg
|
433
|
|
|
742
|
|
|
2,613
|
|
|
77
|
|
|
3,865
|
|
|
(392
|
)
|
|
3,473
|
|
|
1,319
|
|
||||||||
Turkey
|
3,181
|
|
|
86
|
|
|
64
|
|
|
24
|
|
|
3,355
|
|
|
(60
|
)
|
|
3,295
|
|
|
155
|
|
||||||||
Israel
|
205
|
|
|
2,405
|
|
|
138
|
|
|
88
|
|
|
2,836
|
|
|
—
|
|
|
2,836
|
|
|
86
|
|
||||||||
Total top 20 non-U.S. countries exposure
|
$
|
132,362
|
|
|
$
|
47,179
|
|
|
$
|
32,812
|
|
|
$
|
38,963
|
|
|
$
|
251,316
|
|
|
$
|
(20,549
|
)
|
|
$
|
230,767
|
|
|
$
|
25,807
|
|
Provision for Credit Losses
|
Allowance for Credit Losses
|
|
Allowance for Loan and Lease Losses
|
Table 57
|
|
|
|
|
|
|
|
||||||||
Allowance for Credit Losses
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Allowance for loan and lease losses, beginning of period
|
$
|
12,069
|
|
|
$
|
13,676
|
|
|
$
|
12,234
|
|
|
$
|
14,419
|
|
Loans and leases charged off
|
|
|
|
|
|
|
|
||||||||
Residential mortgage
|
(88
|
)
|
|
(270
|
)
|
|
(273
|
)
|
|
(570
|
)
|
||||
Home equity
|
(216
|
)
|
|
(263
|
)
|
|
(409
|
)
|
|
(515
|
)
|
||||
U.S. credit card
|
(680
|
)
|
|
(691
|
)
|
|
(1,373
|
)
|
|
(1,420
|
)
|
||||
Non-U.S. credit card
|
(63
|
)
|
|
(73
|
)
|
|
(124
|
)
|
|
(143
|
)
|
||||
Direct/Indirect consumer
|
(88
|
)
|
|
(92
|
)
|
|
(189
|
)
|
|
(198
|
)
|
||||
Other consumer
|
(53
|
)
|
|
(40
|
)
|
|
(110
|
)
|
|
(99
|
)
|
||||
Total consumer charge-offs
|
(1,188
|
)
|
|
(1,429
|
)
|
|
(2,478
|
)
|
|
(2,945
|
)
|
||||
U.S. commercial
(1)
|
(124
|
)
|
|
(113
|
)
|
|
(282
|
)
|
|
(222
|
)
|
||||
Commercial real estate
|
(3
|
)
|
|
(5
|
)
|
|
(8
|
)
|
|
(18
|
)
|
||||
Commercial lease financing
|
(17
|
)
|
|
(3
|
)
|
|
(17
|
)
|
|
(10
|
)
|
||||
Non-U.S. commercial
|
(46
|
)
|
|
(3
|
)
|
|
(89
|
)
|
|
(3
|
)
|
||||
Total commercial charge-offs
|
(190
|
)
|
|
(124
|
)
|
|
(396
|
)
|
|
(253
|
)
|
||||
Total loans and leases charged off
|
(1,378
|
)
|
|
(1,553
|
)
|
|
(2,874
|
)
|
|
(3,198
|
)
|
||||
Recoveries of loans and leases previously charged off
|
|
|
|
|
|
|
|
||||||||
Residential mortgage
|
54
|
|
|
93
|
|
|
148
|
|
|
196
|
|
||||
Home equity
|
90
|
|
|
112
|
|
|
171
|
|
|
192
|
|
||||
U.S. credit card
|
107
|
|
|
107
|
|
|
213
|
|
|
215
|
|
||||
Non-U.S. credit card
|
17
|
|
|
22
|
|
|
33
|
|
|
48
|
|
||||
Direct/Indirect consumer
|
65
|
|
|
68
|
|
|
132
|
|
|
140
|
|
||||
Other consumer
|
6
|
|
|
7
|
|
|
15
|
|
|
17
|
|
||||
Total consumer recoveries
|
339
|
|
|
409
|
|
|
712
|
|
|
808
|
|
||||
U.S. commercial
(2)
|
46
|
|
|
63
|
|
|
87
|
|
|
103
|
|
||||
Commercial real estate
|
5
|
|
|
9
|
|
|
16
|
|
|
17
|
|
||||
Commercial lease financing
|
2
|
|
|
3
|
|
|
4
|
|
|
5
|
|
||||
Non-U.S. commercial
|
1
|
|
|
1
|
|
|
2
|
|
|
3
|
|
||||
Total commercial recoveries
|
54
|
|
|
76
|
|
|
109
|
|
|
128
|
|
||||
Total recoveries of loans and leases previously charged off
|
393
|
|
|
485
|
|
|
821
|
|
|
936
|
|
||||
Net charge-offs
|
(985
|
)
|
|
(1,068
|
)
|
|
(2,053
|
)
|
|
(2,262
|
)
|
||||
Write-offs of PCI loans
|
(82
|
)
|
|
(290
|
)
|
|
(187
|
)
|
|
(578
|
)
|
||||
Provision for loan and lease losses
|
952
|
|
|
729
|
|
|
1,968
|
|
|
1,485
|
|
||||
Other
(3)
|
(117
|
)
|
|
21
|
|
|
(125
|
)
|
|
4
|
|
||||
Allowance for loan and lease losses, June 30
|
11,837
|
|
|
13,068
|
|
|
11,837
|
|
|
13,068
|
|
||||
Reserve for unfunded lending commitments, beginning of period
|
627
|
|
|
537
|
|
|
646
|
|
|
528
|
|
||||
Provision for unfunded lending commitments
|
24
|
|
|
51
|
|
|
5
|
|
|
60
|
|
||||
Other
(3)
|
99
|
|
|
—
|
|
|
99
|
|
|
—
|
|
||||
Reserve for unfunded lending commitments, June 30
|
750
|
|
|
588
|
|
|
750
|
|
|
588
|
|
||||
Allowance for credit losses, June 30
|
$
|
12,587
|
|
|
$
|
13,656
|
|
|
$
|
12,587
|
|
|
$
|
13,656
|
|
(1)
|
Includes U.S. small business commercial charge-offs of
$61 million
and
$123 million
for the
three and six months ended June 30, 2016
compared to
$72 million
and
$150 million
for the same periods in 2015.
|
(2)
|
Includes U.S. small business commercial recoveries of
$11 million
and
$21 million
for the
three and six months ended June 30, 2016
compared to
$21 million
and
$37 million
for the same periods in 2015.
|
(3)
|
Primarily represents the net impact of portfolio sales, consolidations and deconsolidations, foreign currency translation adjustments and certain other reclassifications.
|
Table 57
|
|
|
|
|
|
|
|
||||||||
Allowance for Credit Losses (continued)
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Loan and allowance ratios:
|
|
|
|
|
|
|
|
||||||||
Loans and leases outstanding at June 30
(4)
|
$
|
894,493
|
|
|
$
|
873,567
|
|
|
$
|
894,493
|
|
|
$
|
873,567
|
|
Allowance for loan and lease losses as a percentage of total loans and leases outstanding at June 30
(4)
|
1.32
|
%
|
|
1.50
|
%
|
|
1.32
|
%
|
|
1.50
|
%
|
||||
Consumer allowance for loan and lease losses as a percentage of total consumer loans and leases outstanding at June 30
(5)
|
1.45
|
|
|
1.81
|
|
|
1.45
|
|
|
1.81
|
|
||||
Commercial allowance for loan and lease losses as a percentage of total commercial loans and leases outstanding at June 30
(6)
|
1.19
|
|
|
1.13
|
|
|
1.19
|
|
|
1.13
|
|
||||
Average loans and leases outstanding
(4)
|
$
|
890,603
|
|
|
$
|
868,440
|
|
|
$
|
888,130
|
|
|
$
|
863,403
|
|
Annualized net charge-offs as a percentage of average loans and leases outstanding
(4, 7)
|
0.44
|
%
|
|
0.49
|
%
|
|
0.46
|
%
|
|
0.53
|
%
|
||||
Annualized net charge-offs and PCI write-offs as a percentage of average loans and leases outstanding
(4)
|
0.48
|
|
|
0.63
|
|
|
0.51
|
|
|
0.66
|
|
||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases at June 30
(4, 8)
|
142
|
|
|
122
|
|
|
142
|
|
|
122
|
|
||||
Ratio of the allowance for loan and lease losses at June 30 to annualized net charge-offs
(7)
|
2.99
|
|
|
3.05
|
|
|
2.87
|
|
|
2.86
|
|
||||
Ratio of the allowance for loan and lease losses at June 30 to annualized net charge-offs and PCI write-offs
|
2.76
|
|
|
2.40
|
|
|
2.63
|
|
|
2.28
|
|
||||
Amounts included in allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases at June 30
(9)
|
$
|
4,087
|
|
|
$
|
5,050
|
|
|
$
|
4,087
|
|
|
$
|
5,050
|
|
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases, excluding the allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases at June 30
(4, 9)
|
93
|
%
|
|
75
|
%
|
|
93
|
%
|
|
75
|
%
|
||||
Loan and allowance ratios excluding PCI loans and the related valuation allowance:
(10)
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding at June 30
(4)
|
1.29
|
%
|
|
1.40
|
%
|
|
1.29
|
%
|
|
1.40
|
%
|
||||
Consumer allowance for loan and lease losses as a percentage of total consumer loans and leases outstanding at June 30
(5)
|
1.38
|
|
|
1.64
|
|
|
1.38
|
|
|
1.64
|
|
||||
Annualized net charge-offs as a percentage of average loans and leases outstanding
(4)
|
0.45
|
|
|
0.50
|
|
|
0.47
|
|
|
0.54
|
|
||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases at June 30
(4, 8)
|
135
|
|
|
111
|
|
|
135
|
|
|
111
|
|
||||
Ratio of the allowance for loan and lease losses at June 30 to annualized net charge-offs
|
2.85
|
|
|
2.79
|
|
|
2.74
|
|
|
2.62
|
|
(4)
|
Outstanding loan and lease balances and ratios do not include loans accounted for under the fair value option of
$8.7 billion
and
$7.6 billion
at
June 30, 2016 and 2015
. Average loans accounted for under the fair value option were
$9.1 billion
and
$8.2 billion
for the
three and six months ended June 30, 2016
compared to
$7.7 billion
and
$8.3 billion
for the same periods in 2015.
|
(5)
|
Excludes consumer loans accounted for under the fair value option of
$1.8 billion
and
$2.0 billion
at
June 30, 2016 and 2015
.
|
(6)
|
Excludes commercial loans accounted for under the fair value option of
$6.8 billion
and
$5.7 billion
at
June 30, 2016 and 2015
.
|
(7)
|
Net charge-offs exclude
$82 million
and
$187 million
of write-offs in the PCI loan portfolio for the
three and six months ended June 30, 2016
compared to
$290 million
and
$578 million
for the same periods in 2015. For more information on PCI write-offs, see
Consumer Portfolio Credit Risk Management – Purchased Credit-impaired Loan Portfolio
on page
76
.
|
(8)
|
For more information on our definition of nonperforming loans, see pages
79
and
88
.
|
(9)
|
Primarily includes amounts allocated to U.S. credit card and unsecured consumer lending portfolios in
Consumer Banking
, PCI loans and the non-U.S. credit card portfolio in
All Other
.
|
(10)
|
For more information on the PCI loan portfolio and the valuation allowance for PCI loans, see
Note 4 – Outstanding Loans and Leases
and
Note 5 – Allowance for Credit Losses
to the Consolidated Financial Statements
.
|
Table 58
|
|||||||||||||||||||
Allocation of the Allowance for Credit Losses by Product Type
|
|||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||
(Dollars in millions)
|
Amount
|
|
Percent of
Total |
|
Percent of
Loans and Leases Outstanding (1) |
|
Amount
|
|
Percent of
Total |
|
Percent of
Loans and Leases Outstanding (1) |
||||||||
Allowance for loan and lease losses
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential mortgage
|
$
|
1,192
|
|
|
10.07
|
%
|
|
0.64
|
%
|
|
$
|
1,500
|
|
|
12.26
|
%
|
|
0.80
|
%
|
Home equity
|
2,017
|
|
|
17.04
|
|
|
2.82
|
|
|
2,414
|
|
|
19.73
|
|
|
3.18
|
|
||
U.S. credit card
|
2,806
|
|
|
23.71
|
|
|
3.18
|
|
|
2,927
|
|
|
23.93
|
|
|
3.27
|
|
||
Non-U.S. credit card
|
256
|
|
|
2.16
|
|
|
2.73
|
|
|
274
|
|
|
2.24
|
|
|
2.75
|
|
||
Direct/Indirect consumer
|
224
|
|
|
1.89
|
|
|
0.24
|
|
|
223
|
|
|
1.82
|
|
|
0.25
|
|
||
Other consumer
|
48
|
|
|
0.41
|
|
|
2.11
|
|
|
47
|
|
|
0.38
|
|
|
2.27
|
|
||
Total consumer
|
6,543
|
|
|
55.28
|
|
|
1.45
|
|
|
7,385
|
|
|
60.36
|
|
|
1.63
|
|
||
U.S. commercial
(2)
|
3,441
|
|
|
29.07
|
|
|
1.24
|
|
|
2,964
|
|
|
24.23
|
|
|
1.12
|
|
||
Commercial real estate
|
919
|
|
|
7.76
|
|
|
1.60
|
|
|
967
|
|
|
7.90
|
|
|
1.69
|
|
||
Commercial lease financing
|
145
|
|
|
1.22
|
|
|
0.68
|
|
|
164
|
|
|
1.34
|
|
|
0.77
|
|
||
Non-U.S. commercial
|
789
|
|
|
6.67
|
|
|
0.89
|
|
|
754
|
|
|
6.17
|
|
|
0.82
|
|
||
Total commercial
(3)
|
5,294
|
|
|
44.72
|
|
|
1.19
|
|
|
4,849
|
|
|
39.64
|
|
|
1.11
|
|
||
Allowance for loan and lease losses
(4)
|
11,837
|
|
|
100.00
|
%
|
|
1.32
|
|
|
12,234
|
|
|
100.00
|
%
|
|
1.37
|
|
||
Reserve for unfunded lending commitments
|
750
|
|
|
|
|
|
|
646
|
|
|
|
|
|
||||||
Allowance for credit losses
|
$
|
12,587
|
|
|
|
|
|
|
$
|
12,880
|
|
|
|
|
|
(1)
|
Ratios are calculated as allowance for loan and lease losses as a percentage of loans and leases outstanding excluding loans accounted for under the fair value option. Consumer loans accounted for under the fair value option included residential mortgage loans of
$1.5 billion
and
$1.6 billion
and home equity loans of
$354 million
and
$250 million
at
June 30, 2016
and
December 31, 2015
. Commercial loans accounted for under the fair value option included U.S. commercial loans of
$2.7 billion
and
$2.3 billion
and non-U.S. commercial loans of
$4.1 billion
and
$2.8 billion
at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Includes allowance for loan and lease losses for U.S. small business commercial loans of
$466 million
and
$507 million
at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
Includes allowance for loan and lease losses for impaired commercial loans of
$238 million
and
$217 million
at
June 30, 2016
and
December 31, 2015
.
|
(4)
|
Includes
$528 million
and
$804 million
of valuation allowance presented with the allowance for loan and lease losses related to PCI loans at
June 30, 2016
and
December 31, 2015
.
|
Reserve for Unfunded Lending Commitments
|
Market Risk Management
|
Trading Risk Management
|
Table 59
|
|
|
|
||||||||||||||||||||||||||||||||||||||||||
Market Risk VaR for Trading Activities
|
|
|
|
||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
Six Months
|
||||||||||||||||||||||||||||||||||||||
|
Three Months Ended
|
|
Ended
|
||||||||||||||||||||||||||||||||||||||||||
|
June 30, 2016
|
|
March 31, 2016
|
|
June 30, 2015
|
|
June 30
|
||||||||||||||||||||||||||||||||||||||
(Dollars in millions)
|
Period End
|
Average
|
High
(1)
|
Low
(1)
|
|
Period End
|
Average
|
High
(1)
|
Low
(1)
|
|
Period End
|
Average
|
High
(1)
|
Low
(1)
|
|
2016 Average
|
2015 Average
|
||||||||||||||||||||||||||||
Foreign exchange
|
$
|
7
|
|
$
|
9
|
|
$
|
11
|
|
$
|
7
|
|
|
$
|
10
|
|
$
|
11
|
|
$
|
16
|
|
$
|
7
|
|
|
$
|
11
|
|
$
|
8
|
|
$
|
23
|
|
$
|
6
|
|
|
$
|
10
|
|
$
|
9
|
|
Interest rate
|
22
|
|
20
|
|
28
|
|
15
|
|
|
18
|
|
23
|
|
30
|
|
16
|
|
|
19
|
|
26
|
|
38
|
|
16
|
|
|
22
|
|
28
|
|
||||||||||||||
Credit
|
28
|
|
31
|
|
34
|
|
27
|
|
|
31
|
|
31
|
|
35
|
|
27
|
|
|
31
|
|
36
|
|
42
|
|
31
|
|
|
31
|
|
39
|
|
||||||||||||||
Equity
|
21
|
|
20
|
|
30
|
|
12
|
|
|
15
|
|
19
|
|
27
|
|
13
|
|
|
13
|
|
13
|
|
18
|
|
9
|
|
|
20
|
|
13
|
|
||||||||||||||
Commodity
|
8
|
|
6
|
|
8
|
|
4
|
|
|
5
|
|
5
|
|
7
|
|
3
|
|
|
4
|
|
6
|
|
8
|
|
4
|
|
|
6
|
|
6
|
|
||||||||||||||
Portfolio diversification
|
(42
|
)
|
(46
|
)
|
—
|
|
—
|
|
|
(44
|
)
|
(50
|
)
|
—
|
|
—
|
|
|
(32
|
)
|
(45
|
)
|
—
|
|
—
|
|
|
(49
|
)
|
(46
|
)
|
||||||||||||||
Total covered positions trading portfolio
|
44
|
|
40
|
|
49
|
|
30
|
|
|
35
|
|
39
|
|
50
|
|
29
|
|
|
46
|
|
44
|
|
65
|
|
35
|
|
|
40
|
|
49
|
|
||||||||||||||
Impact from less liquid exposures
|
4
|
|
6
|
|
—
|
|
—
|
|
|
5
|
|
3
|
|
—
|
|
—
|
|
|
9
|
|
11
|
|
—
|
|
—
|
|
|
4
|
|
10
|
|
||||||||||||||
Total market-based trading portfolio
|
48
|
|
46
|
|
58
|
|
35
|
|
|
40
|
|
42
|
|
58
|
|
34
|
|
|
55
|
|
55
|
|
74
|
|
47
|
|
|
44
|
|
59
|
|
||||||||||||||
Fair value option loans
|
21
|
|
25
|
|
29
|
|
21
|
|
|
28
|
|
35
|
|
40
|
|
28
|
|
|
19
|
|
21
|
|
28
|
|
17
|
|
|
30
|
|
26
|
|
||||||||||||||
Fair value option hedges
|
11
|
|
12
|
|
15
|
|
10
|
|
|
15
|
|
18
|
|
22
|
|
14
|
|
|
10
|
|
9
|
|
14
|
|
8
|
|
|
15
|
|
13
|
|
||||||||||||||
Fair value option portfolio diversification
|
(20
|
)
|
(23
|
)
|
—
|
|
—
|
|
|
(31
|
)
|
(38
|
)
|
—
|
|
—
|
|
|
(17
|
)
|
(18
|
)
|
—
|
|
—
|
|
|
(30
|
)
|
(25
|
)
|
||||||||||||||
Total fair value option portfolio
|
12
|
|
14
|
|
17
|
|
12
|
|
|
12
|
|
15
|
|
20
|
|
11
|
|
|
12
|
|
12
|
|
16
|
|
10
|
|
|
15
|
|
14
|
|
||||||||||||||
Portfolio diversification
|
(3
|
)
|
(6
|
)
|
—
|
|
—
|
|
|
(4
|
)
|
(7
|
)
|
—
|
|
—
|
|
|
(5
|
)
|
(6
|
)
|
—
|
|
—
|
|
|
(7
|
)
|
(7
|
)
|
||||||||||||||
Total market-based portfolio
|
$
|
57
|
|
$
|
54
|
|
$
|
70
|
|
$
|
44
|
|
|
$
|
48
|
|
$
|
50
|
|
$
|
69
|
|
$
|
40
|
|
|
$
|
62
|
|
$
|
61
|
|
$
|
80
|
|
$
|
52
|
|
|
$
|
52
|
|
$
|
66
|
|
(1)
|
The high and low for each portfolio may have occurred on different trading days than the high and low for the components. Therefore the impact from less liquid exposures and the amount of portfolio diversification, which is the difference between the total portfolio and the sum of the individual components, are not relevant.
|
Table 60
|
||||||||||||||||||||
Average Market Risk VaR for Trading Activities – 99 Percent and 95 Percent VaR Statistics
|
||||||||||||||||||||
|
Three Months Ended
|
|||||||||||||||||||
|
June 30, 2016
|
|
March 31, 2016
|
|
June 30, 2015
|
|||||||||||||||
(Dollars in millions)
|
99 percent
|
95 percent
|
|
99 percent
|
95 percent
|
|
99 percent
|
95 percent
|
||||||||||||
Foreign exchange
|
$
|
9
|
|
$
|
5
|
|
|
$
|
11
|
|
$
|
6
|
|
|
$
|
8
|
|
$
|
5
|
|
Interest rate
|
20
|
|
12
|
|
|
23
|
|
14
|
|
|
26
|
|
15
|
|
||||||
Credit
|
31
|
|
19
|
|
|
31
|
|
18
|
|
|
36
|
|
20
|
|
||||||
Equity
|
20
|
|
13
|
|
|
19
|
|
12
|
|
|
13
|
|
7
|
|
||||||
Commodity
|
6
|
|
3
|
|
|
5
|
|
2
|
|
|
6
|
|
3
|
|
||||||
Portfolio diversification
|
(46
|
)
|
(31
|
)
|
|
(50
|
)
|
(31
|
)
|
|
(45
|
)
|
(31
|
)
|
||||||
Total covered positions trading portfolio
|
40
|
|
21
|
|
|
39
|
|
21
|
|
|
44
|
|
19
|
|
||||||
Impact from less liquid exposures
|
6
|
|
3
|
|
|
3
|
|
2
|
|
|
11
|
|
4
|
|
||||||
Total market-based trading portfolio
|
46
|
|
24
|
|
|
42
|
|
23
|
|
|
55
|
|
23
|
|
||||||
Fair value option loans
|
25
|
|
14
|
|
|
35
|
|
19
|
|
|
21
|
|
12
|
|
||||||
Fair value option hedges
|
12
|
|
8
|
|
|
18
|
|
11
|
|
|
9
|
|
6
|
|
||||||
Fair value option portfolio diversification
|
(23
|
)
|
(14
|
)
|
|
(38
|
)
|
(21
|
)
|
|
(18
|
)
|
(11
|
)
|
||||||
Total fair value option portfolio
|
14
|
|
8
|
|
|
15
|
|
9
|
|
|
12
|
|
7
|
|
||||||
Portfolio diversification
|
(6
|
)
|
(5
|
)
|
|
(7
|
)
|
(5
|
)
|
|
(6
|
)
|
(5
|
)
|
||||||
Total market-based portfolio
|
$
|
54
|
|
$
|
27
|
|
|
$
|
50
|
|
$
|
27
|
|
|
$
|
61
|
|
$
|
25
|
|
Backtesting
|
Total Trading-related Revenue
|
Trading Portfolio Stress Testing
|
Interest Rate Risk Management for the Banking Book
|
Table 61
|
|||||||||||||||||
Forward Rates
|
|||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||
|
Federal Funds
|
|
Three-month
LIBOR |
|
10-Year Swap
|
|
Federal Funds
|
|
Three-month
LIBOR |
|
10-Year Swap
|
||||||
Spot rates
|
0.50
|
%
|
|
0.65
|
%
|
|
1.36
|
%
|
|
0.50
|
%
|
|
0.61
|
%
|
|
2.19
|
%
|
12-month forward rates
|
0.50
|
|
|
0.72
|
|
|
1.52
|
|
|
1.00
|
|
|
1.22
|
|
|
2.39
|
|
Table 62
|
|
|
|
|
|
|
|
||||||
Estimated Banking Book Net Interest Income Sensitivity
|
|||||||||||||
(Dollars in millions)
Curve Change
|
Short Rate (bps)
|
|
Long Rate (bps)
|
|
June 30
2016 |
|
December 31
2015 |
||||||
Parallel shifts
|
|
|
|
|
|
|
|
||||||
+100 bps instantaneous shift
(1)
|
+100
|
|
|
+100
|
|
|
$
|
7,461
|
|
|
$
|
4,306
|
|
-50 bps instantaneous shift
(1)
|
-50
|
|
|
-50
|
|
|
(5,076
|
)
|
|
(3,903
|
)
|
||
Flatteners
|
|
|
|
|
|
|
|
|
|||||
Short-end instantaneous change
|
+100
|
|
|
—
|
|
|
3,118
|
|
|
2,417
|
|
||
Long-end instantaneous change
(1)
|
—
|
|
|
-50
|
|
|
(2,045
|
)
|
|
(2,212
|
)
|
||
Steepeners
|
|
|
|
|
|
|
|
|
|||||
Short-end instantaneous change
|
-50
|
|
|
—
|
|
|
(3,016
|
)
|
|
(1,671
|
)
|
||
Long-end instantaneous change
(1)
|
—
|
|
|
+100
|
|
|
4,454
|
|
|
1,919
|
|
(1)
|
As of June 30, 2016, market-related adjustments for bond premium amortization from the application of ASC 310-20-35-26 with respect to a +100 bps instantaneous change or shift in long-end interest rates were approximately $2.5 billion, and with respect to a -50 bps instantaneous change or shift in long-end interest rates, approximately $(1.0) billion.
|
Interest Rate and Foreign Exchange Derivative Contracts
|
Table 63
|
||||||||||||||||||||||||||||||||||
Asset and Liability Management Interest Rate and Foreign Exchange Contracts
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
June 30, 2016
|
|
|
|||||||||||||||||||||||||||
|
|
|
|
|
Expected Maturity
|
|
|
|||||||||||||||||||||||||||
(Dollars in millions, average estimated duration in years)
|
Fair
Value
|
|
Total
|
|
Remainder of 2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Thereafter
|
|
Average
Estimated
Duration
|
|||||||||||||||||
Receive-fixed interest rate swaps
(1)
|
$
|
9,829
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5.36
|
|
|||||||
Notional amount
|
|
|
|
$
|
115,675
|
|
|
$
|
10,161
|
|
|
$
|
21,453
|
|
|
$
|
21,850
|
|
|
$
|
9,783
|
|
|
$
|
7,015
|
|
|
$
|
45,413
|
|
|
|
|
|
Weighted-average fixed-rate
|
|
|
|
2.99
|
%
|
|
2.71
|
%
|
|
3.64
|
%
|
|
3.20
|
%
|
|
2.37
|
%
|
|
2.13
|
%
|
|
2.92
|
%
|
|
|
|
||||||||
Pay-fixed interest rate swaps
(1)
|
(580
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.53
|
|
||||||||
Notional amount
|
|
|
|
$
|
26,298
|
|
|
$
|
—
|
|
|
$
|
1,527
|
|
|
$
|
5,668
|
|
|
$
|
1,302
|
|
|
$
|
10,185
|
|
|
$
|
7,616
|
|
|
|
|
|
Weighted-average fixed-rate
|
|
|
|
1.41
|
%
|
|
—
|
%
|
|
1.84
|
%
|
|
1.41
|
%
|
|
1.27
|
%
|
|
1.10
|
%
|
|
1.75
|
%
|
|
|
|
||||||||
Same-currency basis swaps
(2)
|
(27
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Notional amount
|
|
|
|
$
|
68,285
|
|
|
$
|
8,777
|
|
|
$
|
20,878
|
|
|
$
|
11,030
|
|
|
$
|
6,789
|
|
|
$
|
1,180
|
|
|
$
|
19,631
|
|
|
|
|
|
Foreign exchange basis swaps
(1, 3, 4)
|
(3,856
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Notional amount
|
|
|
|
141,437
|
|
|
11,876
|
|
|
28,589
|
|
|
22,167
|
|
|
13,412
|
|
|
11,945
|
|
|
53,448
|
|
|
|
|
||||||||
Option products
(5)
|
28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Notional amount
(6)
|
|
|
|
(427
|
)
|
|
(442
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15
|
|
|
|
|
||||||||
Foreign exchange contracts
(1, 4, 7)
|
1,965
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Notional amount
(6)
|
|
|
|
(27,586
|
)
|
|
(41,205
|
)
|
|
5,596
|
|
|
309
|
|
|
2,086
|
|
|
3
|
|
|
5,625
|
|
|
|
|
||||||||
Futures and forward rate contracts
|
(2
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Notional amount
(6)
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
||||||||
Net ALM contracts
|
$
|
7,357
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
|
|
|
|
December 31, 2015
|
|
|
|||||||||||||||||||||||||||
|
|
|
|
|
Expected Maturity
|
|
|
|||||||||||||||||||||||||||
(Dollars in millions, average estimated duration in years)
|
Fair
Value
|
|
Total
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Thereafter
|
|
Average
Estimated
Duration
|
|||||||||||||||||
Receive-fixed interest rate swaps
(1)
|
$
|
6,291
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.98
|
|
||||||||||||||
Notional amount
|
|
|
$
|
114,354
|
|
|
$
|
15,339
|
|
|
$
|
21,453
|
|
|
$
|
21,850
|
|
|
$
|
9,783
|
|
|
$
|
7,015
|
|
|
$
|
38,914
|
|
|
|
|||
Weighted-average fixed-rate
|
|
|
3.12
|
%
|
|
3.12
|
%
|
|
3.64
|
%
|
|
3.20
|
%
|
|
2.37
|
%
|
|
2.13
|
%
|
|
3.16
|
%
|
|
|
||||||||||
Pay-fixed interest rate swaps
(1)
|
(81
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.98
|
|
|||||||||||||||
Notional amount
|
|
|
$
|
12,131
|
|
|
$
|
1,025
|
|
|
$
|
1,527
|
|
|
$
|
5,668
|
|
|
$
|
600
|
|
|
$
|
51
|
|
|
$
|
3,260
|
|
|
|
|||
Weighted-average fixed-rate
|
|
|
1.70
|
%
|
|
1.65
|
%
|
|
1.84
|
%
|
|
1.41
|
%
|
|
1.59
|
%
|
|
3.64
|
%
|
|
2.15
|
%
|
|
|
||||||||||
Same-currency basis swaps
(2)
|
(70
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Notional amount
|
|
|
$
|
75,224
|
|
|
$
|
15,692
|
|
|
$
|
20,833
|
|
|
$
|
11,026
|
|
|
$
|
6,786
|
|
|
$
|
1,180
|
|
|
$
|
19,707
|
|
|
|
|||
Foreign exchange basis swaps
(1, 3, 4)
|
(3,968
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Notional amount
|
|
|
144,446
|
|
|
25,762
|
|
|
27,441
|
|
|
19,319
|
|
|
12,226
|
|
|
10,572
|
|
|
49,126
|
|
|
|
||||||||||
Option products
(5)
|
57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Notional amount
(6)
|
|
|
752
|
|
|
737
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15
|
|
|
|
||||||||||
Foreign exchange contracts
(1, 4, 7)
|
2,345
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Notional amount
(6)
|
|
|
(25,405
|
)
|
|
(36,504
|
)
|
|
5,380
|
|
|
(2,228
|
)
|
|
2,123
|
|
|
52
|
|
|
5,772
|
|
|
|
||||||||||
Futures and forward rate contracts
|
(5
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Notional amount
(6)
|
|
|
200
|
|
|
200
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
||||||||||
Net ALM contracts
|
$
|
4,569
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Does not include basis adjustments on either fixed-rate debt issued by the Corporation or AFS debt securities, which are hedged using derivatives designated as fair value hedging instruments, that substantially offset the fair values of these derivatives.
|
(2)
|
At
June 30, 2016
and
December 31, 2015
, the notional amount of same-currency basis swaps included
$68.3 billion
and
$75.2 billion
in both foreign currency and U.S. Dollar-denominated basis swaps in which both sides of the swap are in the same currency.
|
(3)
|
Foreign exchange basis swaps consisted of cross-currency variable interest rate swaps used separately or in conjunction with receive-fixed interest rate swaps.
|
(4)
|
Does not include foreign currency translation adjustments on certain non-U.S. debt issued by the Corporation, that substantially offset the fair values of these derivatives.
|
(5)
|
The notional amount of option products of
$(427) million
at
June 30, 2016
was comprised of
$(442) million
in foreign exchange options and
$15 million
in purchased caps/floors. Option products of
$752 million
at
December 31, 2015
were comprised of
$737 million
in foreign exchange options and
$15 million
in purchased caps/floors.
|
(6)
|
Reflects the net of long and short positions. Amounts shown as negative reflect a net short position.
|
(7)
|
The notional amount of foreign exchange contracts of
$(27.6) billion
at
June 30, 2016
was comprised of
$21.0 billion
in foreign currency-denominated and cross-currency receive-fixed swaps,
$(43.6) billion
in net foreign currency forward rate contracts,
$(6.3) billion
in foreign currency-denominated pay-fixed swaps and
$1.3 billion
in net foreign currency futures contracts. Foreign exchange contracts of
$(25.4) billion
at
December 31, 2015
were comprised of
$21.3 billion
in foreign currency-denominated and cross-currency receive-fixed swaps,
$(40.3) billion
in net foreign currency forward rate contracts,
$(7.6) billion
in foreign currency-denominated pay-fixed swaps and
$1.2 billion
in foreign currency futures contracts.
|
Mortgage Banking Risk Management
|
Complex Accounting Estimates
|
Fair Value of Financial Instruments
|
Level 3 Assets and Liabilities
|
Table 64
|
|||||||||||||||||||
Recurring Level 3 Asset and Liability Summary
|
|||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||
(Dollars in millions)
|
Level 3
Fair Value
|
|
As a %
of Total Level 3
Assets
|
|
As a %
of Total
Assets
|
|
Level 3
Fair Value
|
|
As a %
of Total Level 3
Assets
|
|
As a %
of Total
Assets
|
||||||||
Trading account assets
|
$
|
5,025
|
|
|
30.64
|
%
|
|
0.23
|
%
|
|
$
|
5,634
|
|
|
31.13
|
%
|
|
0.26
|
%
|
Derivative assets
|
5,169
|
|
|
31.52
|
|
|
0.24
|
|
|
5,134
|
|
|
28.37
|
|
|
0.24
|
|
||
AFS debt securities
|
1,410
|
|
|
8.60
|
|
|
0.06
|
|
|
1,432
|
|
|
7.91
|
|
|
0.07
|
|
||
Loans and leases
|
1,459
|
|
|
8.90
|
|
|
0.07
|
|
|
1,620
|
|
|
8.95
|
|
|
0.08
|
|
||
Mortgage servicing rights
|
2,269
|
|
|
13.84
|
|
|
0.10
|
|
|
3,087
|
|
|
17.06
|
|
|
0.14
|
|
||
All other Level 3 assets at fair value
|
1,066
|
|
|
6.50
|
|
|
0.05
|
|
|
1,191
|
|
|
6.58
|
|
|
0.05
|
|
||
Total Level 3 assets at fair value
(1)
|
$
|
16,398
|
|
|
100.00
|
%
|
|
0.75
|
%
|
|
$
|
18,098
|
|
|
100.00
|
%
|
|
0.84
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3
Fair Value
|
|
As a %
of Total Level 3
Liabilities
|
|
As a %
of Total
Liabilities
|
|
Level 3
Fair Value
|
|
As a %
of Total Level 3
Liabilities
|
|
As a %
of Total
Liabilities
|
||||||||
Derivative liabilities
|
$
|
5,817
|
|
|
69.91
|
%
|
|
0.30
|
%
|
|
$
|
5,575
|
|
|
74.50
|
%
|
|
0.30
|
%
|
Long-term debt
|
2,156
|
|
|
25.91
|
|
|
0.11
|
|
|
1,513
|
|
|
20.22
|
|
|
0.08
|
|
||
All other Level 3 liabilities at fair value
|
348
|
|
|
4.18
|
|
|
0.02
|
|
|
395
|
|
|
5.28
|
|
|
0.02
|
|
||
Total Level 3 liabilities at fair value
(1)
|
$
|
8,321
|
|
|
100.00
|
%
|
|
0.43
|
%
|
|
$
|
7,483
|
|
|
100.00
|
%
|
|
0.40
|
%
|
(1)
|
Level 3 total assets and liabilities are shown before the impact of cash collateral and counterparty netting related to derivative positions.
|
Goodwill and Intangible Assets
|
Table 65
|
|
|
|
|||
Goodwill by Reporting Unit
|
|
|
|
|||
|
June 30, 2016
|
|||||
(Dollars in millions)
|
Estimated
Fair Value as a
Percent of Allocated
Carrying Value
|
|
Goodwill
|
|||
Consumer Banking
|
|
|
|
|||
Deposits
|
147.9
|
%
|
|
$
|
18,414
|
|
Consumer Lending
(1)
|
147.5
|
|
|
11,709
|
|
|
Global Wealth & Investment Management
|
|
|
|
|||
U.S. Trust
|
158.0
|
|
|
2,917
|
|
|
Merrill Lynch Global Wealth Management
|
223.2
|
|
|
6,764
|
|
|
Global Banking
|
|
|
|
|||
Global Commercial Banking
|
140.9
|
|
|
16,146
|
|
|
Global Corporate and Investment Banking
|
146.9
|
|
|
6,231
|
|
|
Business Banking
|
147.0
|
|
|
1,546
|
|
|
Global Markets
|
113.3
|
|
|
5,197
|
|
|
All Other
(2)
|
193.6
|
|
|
775
|
|
(1)
|
As of
June 30, 2016
, prior to the combination of Card Services, Consumer Vehicle Lending, and Home Loans reporting units into a single Consumer Lending reporting unit, the fair value as a percentage of carrying value for Card Services and Consumer Vehicle Lending was 246.5 percent and 128.1 percent, with Home Loans having no goodwill.
|
(2)
|
Reflects the goodwill and fair value as a percent of allocated carrying value assigned to the U.K. Card business within
All Other
. The total amount of goodwill in
All Other
was $820 million at
June 30, 2016
.
|
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
Item 4. CONTROLS AND PROCEDURES
|
|
Disclosure Controls and Procedures
|
Changes in Internal Control Over Financial Reporting
|
Part I. FINANCIAL INFORMATION
|
|
|
|
|
|
|
|
||||||||
Item 1. FINANCIAL STATEMENTS
|
|
|
|
|
|
|
|
||||||||
Bank of America Corporation and Subsidiaries
|
|
|
|
|
|
|
|
||||||||
Consolidated Statement of Income
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions, except per share information)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income
|
|
|
|
|
|
|
|
||||||||
Loans and leases
|
$
|
8,219
|
|
|
$
|
7,951
|
|
|
$
|
16,479
|
|
|
$
|
15,947
|
|
Debt securities
|
1,355
|
|
|
3,070
|
|
|
2,559
|
|
|
4,957
|
|
||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
260
|
|
|
268
|
|
|
536
|
|
|
499
|
|
||||
Trading account assets
|
1,075
|
|
|
1,074
|
|
|
2,254
|
|
|
2,157
|
|
||||
Other interest income
|
759
|
|
|
742
|
|
|
1,535
|
|
|
1,468
|
|
||||
Total interest income
|
11,668
|
|
|
13,105
|
|
|
23,363
|
|
|
25,028
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Interest expense
|
|
|
|
|
|
|
|
||||||||
Deposits
|
245
|
|
|
216
|
|
|
470
|
|
|
436
|
|
||||
Short-term borrowings
|
625
|
|
|
686
|
|
|
1,239
|
|
|
1,271
|
|
||||
Trading account liabilities
|
242
|
|
|
335
|
|
|
534
|
|
|
729
|
|
||||
Long-term debt
|
1,343
|
|
|
1,407
|
|
|
2,736
|
|
|
2,720
|
|
||||
Total interest expense
|
2,455
|
|
|
2,644
|
|
|
4,979
|
|
|
5,156
|
|
||||
Net interest income
|
9,213
|
|
|
10,461
|
|
|
18,384
|
|
|
19,872
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Noninterest income
|
|
|
|
|
|
|
|
||||||||
Card income
|
1,464
|
|
|
1,477
|
|
|
2,894
|
|
|
2,871
|
|
||||
Service charges
|
1,871
|
|
|
1,857
|
|
|
3,708
|
|
|
3,621
|
|
||||
Investment and brokerage services
|
3,201
|
|
|
3,387
|
|
|
6,383
|
|
|
6,765
|
|
||||
Investment banking income
|
1,408
|
|
|
1,526
|
|
|
2,561
|
|
|
3,013
|
|
||||
Trading account profits
|
2,018
|
|
|
1,647
|
|
|
3,680
|
|
|
3,894
|
|
||||
Mortgage banking income
|
312
|
|
|
1,001
|
|
|
745
|
|
|
1,695
|
|
||||
Gains on sales of debt securities
|
267
|
|
|
168
|
|
|
493
|
|
|
436
|
|
||||
Other income
|
644
|
|
|
432
|
|
|
1,062
|
|
|
703
|
|
||||
Total noninterest income
|
11,185
|
|
|
11,495
|
|
|
21,526
|
|
|
22,998
|
|
||||
Total revenue, net of interest expense
|
20,398
|
|
|
21,956
|
|
|
39,910
|
|
|
42,870
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Provision for credit losses
|
976
|
|
|
780
|
|
|
1,973
|
|
|
1,545
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Noninterest expense
|
|
|
|
|
|
|
|
||||||||
Personnel
|
7,722
|
|
|
7,890
|
|
|
16,574
|
|
|
17,504
|
|
||||
Occupancy
|
1,036
|
|
|
1,027
|
|
|
2,064
|
|
|
2,054
|
|
||||
Equipment
|
451
|
|
|
500
|
|
|
914
|
|
|
1,012
|
|
||||
Marketing
|
414
|
|
|
445
|
|
|
833
|
|
|
885
|
|
||||
Professional fees
|
472
|
|
|
494
|
|
|
897
|
|
|
915
|
|
||||
Amortization of intangibles
|
186
|
|
|
212
|
|
|
373
|
|
|
425
|
|
||||
Data processing
|
717
|
|
|
715
|
|
|
1,555
|
|
|
1,567
|
|
||||
Telecommunications
|
189
|
|
|
202
|
|
|
362
|
|
|
373
|
|
||||
Other general operating
|
2,306
|
|
|
2,473
|
|
|
4,737
|
|
|
5,050
|
|
||||
Total noninterest expense
|
13,493
|
|
|
13,958
|
|
|
28,309
|
|
|
29,785
|
|
||||
Income before income taxes
|
5,929
|
|
|
7,218
|
|
|
9,628
|
|
|
11,540
|
|
||||
Income tax expense
|
1,697
|
|
|
2,084
|
|
|
2,716
|
|
|
3,309
|
|
||||
Net income
|
$
|
4,232
|
|
|
$
|
5,134
|
|
|
$
|
6,912
|
|
|
$
|
8,231
|
|
Preferred stock dividends
|
361
|
|
|
330
|
|
|
818
|
|
|
712
|
|
||||
Net income applicable to common shareholders
|
$
|
3,871
|
|
|
$
|
4,804
|
|
|
$
|
6,094
|
|
|
$
|
7,519
|
|
|
|
|
|
|
|
|
|
||||||||
Per common share information
|
|
|
|
|
|
|
|
||||||||
Earnings
|
$
|
0.38
|
|
|
$
|
0.46
|
|
|
$
|
0.59
|
|
|
$
|
0.72
|
|
Diluted earnings
|
0.36
|
|
|
0.43
|
|
|
0.56
|
|
|
0.68
|
|
||||
Dividends paid
|
0.05
|
|
|
0.05
|
|
|
0.10
|
|
|
0.10
|
|
||||
Average common shares issued and outstanding (in thousands)
|
10,253,573
|
|
|
10,488,137
|
|
|
10,296,652
|
|
|
10,503,379
|
|
||||
Average diluted common shares issued and outstanding (in thousands)
|
11,059,167
|
|
|
11,238,060
|
|
|
11,079,939
|
|
|
11,252,417
|
|
Bank of America Corporation and Subsidiaries
Consolidated Statement of Comprehensive Income
|
|
|
|
|
|||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net income
|
$
|
4,232
|
|
|
$
|
5,134
|
|
|
$
|
6,912
|
|
|
$
|
8,231
|
|
Other comprehensive income (loss), net-of-tax:
|
|
|
|
|
|
|
|
||||||||
Net change in debt and marketable equity securities
|
1,177
|
|
|
(2,537
|
)
|
|
4,068
|
|
|
(1,201
|
)
|
||||
Net change in debit valuation adjustments
|
(13
|
)
|
|
186
|
|
|
114
|
|
|
446
|
|
||||
Net change in derivatives
|
126
|
|
|
246
|
|
|
150
|
|
|
289
|
|
||||
Employee benefit plan adjustments
|
13
|
|
|
25
|
|
|
23
|
|
|
50
|
|
||||
Net change in foreign currency translation adjustments
|
(21
|
)
|
|
43
|
|
|
(9
|
)
|
|
(8
|
)
|
||||
Other comprehensive income (loss)
|
1,282
|
|
|
(2,037
|
)
|
|
4,346
|
|
|
(424
|
)
|
||||
Comprehensive income
|
$
|
5,514
|
|
|
$
|
3,097
|
|
|
$
|
11,258
|
|
|
$
|
7,807
|
|
Bank of America Corporation and Subsidiaries
Consolidated Balance Sheet (continued)
|
|||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
Liabilities
|
|
|
|
||||
Deposits in U.S. offices:
|
|
|
|
||||
Noninterest-bearing
|
$
|
424,918
|
|
|
$
|
422,237
|
|
Interest-bearing (includes
$1,019
and $1,116 measured at fair value)
|
714,607
|
|
|
703,761
|
|
||
Deposits in non-U.S. offices:
|
|
|
|
||||
Noninterest-bearing
|
11,252
|
|
|
9,916
|
|
||
Interest-bearing
|
65,314
|
|
|
61,345
|
|
||
Total deposits
|
1,216,091
|
|
|
1,197,259
|
|
||
Federal funds purchased and securities loaned or sold under agreements to repurchase (includes
$24,542
and $24,574 measured at fair value)
|
178,062
|
|
|
174,291
|
|
||
Trading account liabilities
|
74,282
|
|
|
66,963
|
|
||
Derivative liabilities
|
47,561
|
|
|
38,450
|
|
||
Short-term borrowings (includes
$1,860
and $1,325 measured at fair value)
|
33,051
|
|
|
28,098
|
|
||
Accrued expenses and other liabilities (includes
$13,312
and $13,899 measured at fair value and
$750
and $646 of reserve for unfunded lending commitments)
|
140,876
|
|
|
146,286
|
|
||
Long-term debt (includes
$31,449
and $30,097 measured at fair value)
|
229,617
|
|
|
236,764
|
|
||
Total liabilities
|
1,919,540
|
|
|
1,888,111
|
|
||
Commitments and contingencies
(Note 6 – Securitizations and Other Variable Interest Entities, Note 7 – Representations
and Warranties Obligations and Corporate Guarantees
and
Note 10 – Commitments and Contingencies)
|
|
|
|
|
|
||
|
|
|
|
||||
Shareholders' equity
|
|
|
|
||||
Preferred stock, $0.01 par value; authorized –
100,000,000
shares; issued and outstanding –
3,887,790
and 3,767,790 shares
|
25,220
|
|
|
22,273
|
|
||
Common stock and additional paid-in capital, $0.01 par value; authorized –
12,800,000,000
shares; issued and outstanding –
10,216,780,615
and 10,380,265,063 shares
|
149,554
|
|
|
151,042
|
|
||
Retained earnings
|
93,623
|
|
|
88,564
|
|
||
Accumulated other comprehensive income (loss)
|
(1,328
|
)
|
|
(5,674
|
)
|
||
Total shareholders' equity
|
267,069
|
|
|
256,205
|
|
||
Total liabilities and shareholders' equity
|
$
|
2,186,609
|
|
|
$
|
2,144,316
|
|
|
|
|
|
||||
Liabilities of consolidated variable interest entities included in total liabilities above
|
|
|
|
||||
Short-term borrowings
|
$
|
639
|
|
|
$
|
681
|
|
Long-term debt (includes
$10,744
and $11,304 of non-recourse debt)
|
11,463
|
|
|
14,073
|
|
||
All other liabilities (includes
$32
and $20 of non-recourse liabilities)
|
35
|
|
|
21
|
|
||
Total liabilities of consolidated variable interest entities
|
$
|
12,137
|
|
|
$
|
14,775
|
|
Bank of America Corporation and Subsidiaries
Consolidated Statement of Changes in Shareholders' Equity
|
|
||||||||||||||||
|
Preferred
Stock |
Common Stock and Additional Paid-in Capital
|
Retained
Earnings |
Accumulated
Other Comprehensive Income (Loss) |
Total
Shareholders' Equity |
||||||||||||
(Dollars in millions, shares in thousands)
|
Shares
|
Amount
|
|||||||||||||||
Balance, December 31, 2014
|
$
|
19,309
|
|
10,516,542
|
|
$
|
153,458
|
|
$
|
75,024
|
|
$
|
(4,320
|
)
|
$
|
243,471
|
|
Cumulative adjustment for accounting change related to debit valuation adjustments
|
|
|
|
1,226
|
|
(1,226
|
)
|
—
|
|
||||||||
Net income
|
|
|
|
8,231
|
|
|
8,231
|
|
|||||||||
Net change in debt and marketable equity securities
|
|
|
|
|
(1,201
|
)
|
(1,201
|
)
|
|||||||||
Net change in debit valuation adjustments
|
|
|
|
|
446
|
|
446
|
|
|||||||||
Net change in derivatives
|
|
|
|
|
289
|
|
289
|
|
|||||||||
Employee benefit plan adjustments
|
|
|
|
|
50
|
|
50
|
|
|||||||||
Net change in foreign currency translation adjustments
|
|
|
|
|
(8
|
)
|
(8
|
)
|
|||||||||
Dividends paid:
|
|
|
|
|
|
|
|||||||||||
Common
|
|
|
|
(1,051
|
)
|
|
(1,051
|
)
|
|||||||||
Preferred
|
|
|
|
(712
|
)
|
|
(712
|
)
|
|||||||||
Issuance of preferred stock
|
2,964
|
|
|
|
|
|
2,964
|
|
|||||||||
Common stock issued under employee plans and related tax effects
|
|
3,947
|
|
(45
|
)
|
|
|
(45
|
)
|
||||||||
Common stock repurchased
|
|
(48,652
|
)
|
(775
|
)
|
|
|
(775
|
)
|
||||||||
Balance, June 30, 2015
|
$
|
22,273
|
|
10,471,837
|
|
$
|
152,638
|
|
$
|
82,718
|
|
$
|
(5,970
|
)
|
$
|
251,659
|
|
|
|
|
|
|
|
|
|||||||||||
Balance, December 31, 2015
|
$
|
22,273
|
|
10,380,265
|
|
$
|
151,042
|
|
$
|
88,564
|
|
$
|
(5,674
|
)
|
$
|
256,205
|
|
Net income
|
|
|
|
6,912
|
|
|
6,912
|
|
|||||||||
Net change in debt and marketable equity securities
|
|
|
|
|
4,068
|
|
4,068
|
|
|||||||||
Net change in debit valuation adjustments
|
|
|
|
|
114
|
|
114
|
|
|||||||||
Net change in derivatives
|
|
|
|
|
150
|
|
150
|
|
|||||||||
Employee benefit plan adjustments
|
|
|
|
|
23
|
|
23
|
|
|||||||||
Net change in foreign currency translation adjustments
|
|
|
|
|
(9
|
)
|
(9
|
)
|
|||||||||
Dividends paid:
|
|
|
|
|
|
|
|||||||||||
Common
|
|
|
|
(1,035
|
)
|
|
(1,035
|
)
|
|||||||||
Preferred
|
|
|
|
(818
|
)
|
|
(818
|
)
|
|||||||||
Issuance of preferred stock
|
2,947
|
|
|
|
|
|
2,947
|
|
|||||||||
Common stock issued under employee plans and related tax effects
|
|
5,021
|
|
895
|
|
|
|
895
|
|
||||||||
Common stock repurchased
|
|
(168,505
|
)
|
(2,383
|
)
|
|
|
(2,383
|
)
|
||||||||
Balance, June 30, 2016
|
$
|
25,220
|
|
10,216,781
|
|
$
|
149,554
|
|
$
|
93,623
|
|
$
|
(1,328
|
)
|
$
|
267,069
|
|
Bank of America Corporation and Subsidiaries
Consolidated Statement of Cash Flows
|
|||||||
|
Six Months Ended June 30
|
||||||
(Dollars in millions)
|
2016
|
|
2015
|
||||
Operating activities
|
|
|
|
||||
Net income
|
$
|
6,912
|
|
|
$
|
8,231
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
|
|
|
||||
Provision for credit losses
|
1,973
|
|
|
1,545
|
|
||
Gains on sales of debt securities
|
(493
|
)
|
|
(436
|
)
|
||
Realized debit valuation adjustments on structured liabilities
|
12
|
|
|
510
|
|
||
Depreciation and amortization of premises and equipment
|
755
|
|
|
786
|
|
||
Amortization of intangibles
|
373
|
|
|
425
|
|
||
Net amortization of premium/discount on debt securities
|
3,656
|
|
|
475
|
|
||
Deferred income taxes
|
2,218
|
|
|
1,399
|
|
||
Stock-based compensation
|
962
|
|
|
27
|
|
||
Loans held-for-sale:
|
|
|
|
||||
Originations and purchases
|
(13,400
|
)
|
|
(19,432
|
)
|
||
Proceeds from sales and paydowns of loans originally classified as held-for-sale
|
12,046
|
|
|
20,394
|
|
||
Net change in:
|
|
|
|
||||
Trading and derivative instruments
|
16,277
|
|
|
(1,284
|
)
|
||
Other assets
|
335
|
|
|
(4,661
|
)
|
||
Accrued expenses and other liabilities
|
(5,380
|
)
|
|
(10,203
|
)
|
||
Other operating activities, net
|
(110
|
)
|
|
(863
|
)
|
||
Net cash provided by (used in) operating activities
|
26,136
|
|
|
(3,087
|
)
|
||
Investing activities
|
|
|
|
||||
Net change in:
|
|
|
|
||||
Time deposits placed and other short-term investments
|
186
|
|
|
(486
|
)
|
||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
(21,255
|
)
|
|
(8,080
|
)
|
||
Debt securities carried at fair value:
|
|
|
|
||||
Proceeds from sales
|
40,772
|
|
|
40,872
|
|
||
Proceeds from paydowns and maturities
|
48,117
|
|
|
37,294
|
|
||
Purchases
|
(83,361
|
)
|
|
(81,273
|
)
|
||
Held-to-maturity debt securities:
|
|
|
|
||||
Proceeds from paydowns and maturities
|
7,239
|
|
|
6,927
|
|
||
Purchases
|
(13,694
|
)
|
|
(7,173
|
)
|
||
Loans and leases:
|
|
|
|
||||
Proceeds from sales
|
11,391
|
|
|
11,662
|
|
||
Purchases
|
(7,384
|
)
|
|
(5,807
|
)
|
||
Other changes in loans and leases, net
|
(13,211
|
)
|
|
(21,627
|
)
|
||
Other investing activities, net
|
710
|
|
|
(294
|
)
|
||
Net cash used in investing activities
|
(30,490
|
)
|
|
(27,985
|
)
|
||
Financing activities
|
|
|
|
||||
Net change in:
|
|
|
|
||||
Deposits
|
18,832
|
|
|
30,624
|
|
||
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
3,771
|
|
|
11,747
|
|
||
Short-term borrowings
|
4,953
|
|
|
8,731
|
|
||
Long-term debt:
|
|
|
|
||||
Proceeds from issuance
|
15,783
|
|
|
25,661
|
|
||
Retirement of long-term debt
|
(28,050
|
)
|
|
(20,842
|
)
|
||
Proceeds from issuance of preferred stock
|
2,947
|
|
|
2,964
|
|
||
Common stock repurchased
|
(2,383
|
)
|
|
(775
|
)
|
||
Cash dividends paid
|
(1,853
|
)
|
|
(1,763
|
)
|
||
Excess tax benefits on share-based payments
|
7
|
|
|
16
|
|
||
Other financing activities, net
|
(42
|
)
|
|
(21
|
)
|
||
Net cash provided by financing activities
|
13,965
|
|
|
56,342
|
|
||
Effect of exchange rate changes on cash and cash equivalents
|
2,243
|
|
|
(345
|
)
|
||
Net increase in cash and cash equivalents
|
11,854
|
|
|
24,925
|
|
||
Cash and cash equivalents at January 1
|
159,353
|
|
|
138,589
|
|
||
Cash and cash equivalents at June 30
|
$
|
171,207
|
|
|
$
|
163,514
|
|
NOTE 1 – Summary of Significant Accounting Principles
|
Principles of Consolidation and Basis of Presentation
|
New Accounting Pronouncements
|
NOTE 2 – Derivatives
|
|
Derivative Balances
|
|
June 30, 2016
|
||||||||||||||||||||||||||
|
|
|
Gross Derivative Assets
|
|
Gross Derivative Liabilities
|
||||||||||||||||||||||
(Dollars in billions)
|
Contract/
Notional
(1)
|
|
Trading and Other Risk Management Derivatives
|
|
Qualifying
Accounting
Hedges
|
|
Total
|
|
Trading and Other Risk Management Derivatives
|
|
Qualifying
Accounting
Hedges
|
|
Total
|
||||||||||||||
Interest rate contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Swaps
|
$
|
21,417.8
|
|
|
$
|
595.1
|
|
|
$
|
10.9
|
|
|
$
|
606.0
|
|
|
$
|
595.2
|
|
|
$
|
1.1
|
|
|
$
|
596.3
|
|
Futures and forwards
|
7,906.9
|
|
|
2.5
|
|
|
—
|
|
|
2.5
|
|
|
2.6
|
|
|
—
|
|
|
2.6
|
|
|||||||
Written options
|
1,332.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
76.9
|
|
|
—
|
|
|
76.9
|
|
|||||||
Purchased options
|
1,376.2
|
|
|
78.6
|
|
|
—
|
|
|
78.6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Foreign exchange contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Swaps
|
2,103.4
|
|
|
59.3
|
|
|
2.0
|
|
|
61.3
|
|
|
62.4
|
|
|
3.6
|
|
|
66.0
|
|
|||||||
Spot, futures and forwards
|
4,662.9
|
|
|
73.4
|
|
|
1.8
|
|
|
75.2
|
|
|
71.6
|
|
|
1.3
|
|
|
72.9
|
|
|||||||
Written options
|
436.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10.8
|
|
|
—
|
|
|
10.8
|
|
|||||||
Purchased options
|
416.4
|
|
|
10.7
|
|
|
—
|
|
|
10.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Equity contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Swaps
|
186.0
|
|
|
3.5
|
|
|
—
|
|
|
3.5
|
|
|
3.9
|
|
|
—
|
|
|
3.9
|
|
|||||||
Futures and forwards
|
84.8
|
|
|
2.1
|
|
|
—
|
|
|
2.1
|
|
|
1.1
|
|
|
—
|
|
|
1.1
|
|
|||||||
Written options
|
460.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23.6
|
|
|
—
|
|
|
23.6
|
|
|||||||
Purchased options
|
416.1
|
|
|
25.7
|
|
|
—
|
|
|
25.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Commodity contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Swaps
|
49.8
|
|
|
3.1
|
|
|
—
|
|
|
3.1
|
|
|
5.5
|
|
|
—
|
|
|
5.5
|
|
|||||||
Futures and forwards
|
55.6
|
|
|
3.5
|
|
|
—
|
|
|
3.5
|
|
|
0.5
|
|
|
—
|
|
|
0.5
|
|
|||||||
Written options
|
38.5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3.2
|
|
|
—
|
|
|
3.2
|
|
|||||||
Purchased options
|
38.9
|
|
|
3.3
|
|
|
—
|
|
|
3.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Credit derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Purchased credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Credit default swaps
|
856.6
|
|
|
11.9
|
|
|
—
|
|
|
11.9
|
|
|
11.9
|
|
|
—
|
|
|
11.9
|
|
|||||||
Total return swaps/other
|
37.4
|
|
|
0.2
|
|
|
—
|
|
|
0.2
|
|
|
2.0
|
|
|
—
|
|
|
2.0
|
|
|||||||
Written credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Credit default swaps
|
844.0
|
|
|
12.3
|
|
|
—
|
|
|
12.3
|
|
|
10.9
|
|
|
—
|
|
|
10.9
|
|
|||||||
Total return swaps/other
|
41.5
|
|
|
1.3
|
|
|
—
|
|
|
1.3
|
|
|
0.4
|
|
|
—
|
|
|
0.4
|
|
|||||||
Gross derivative assets/liabilities
|
|
|
$
|
886.5
|
|
|
$
|
14.7
|
|
|
$
|
901.2
|
|
|
$
|
882.5
|
|
|
$
|
6.0
|
|
|
$
|
888.5
|
|
||
Less: Legally enforceable master netting agreements
|
|
|
|
(795.2
|
)
|
|
|
|
|
|
(795.2
|
)
|
|||||||||||||||
Less: Cash collateral received/paid
|
|
|
|
|
|
|
(50.7
|
)
|
|
|
|
|
|
(45.7
|
)
|
||||||||||||
Total derivative assets/liabilities
|
|
|
|
|
|
$
|
55.3
|
|
|
|
|
|
|
$
|
47.6
|
|
(1)
|
Represents the total contract/notional amount of derivative assets and liabilities outstanding.
|
|
December 31, 2015
|
||||||||||||||||||||||||||
|
|
|
Gross Derivative Assets
|
|
Gross Derivative Liabilities
|
||||||||||||||||||||||
(Dollars in billions)
|
Contract/
Notional
(1)
|
|
Trading and Other Risk Management Derivatives
|
|
Qualifying
Accounting
Hedges
|
|
Total
|
|
Trading and Other Risk Management Derivatives
|
|
Qualifying
Accounting
Hedges
|
|
Total
|
||||||||||||||
Interest rate contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Swaps
|
$
|
21,706.8
|
|
|
$
|
439.6
|
|
|
$
|
7.4
|
|
|
$
|
447.0
|
|
|
$
|
440.8
|
|
|
$
|
1.2
|
|
|
$
|
442.0
|
|
Futures and forwards
|
7,259.7
|
|
|
1.1
|
|
|
—
|
|
|
1.1
|
|
|
1.3
|
|
|
—
|
|
|
1.3
|
|
|||||||
Written options
|
1,322.4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
57.6
|
|
|
—
|
|
|
57.6
|
|
|||||||
Purchased options
|
1,403.3
|
|
|
58.9
|
|
|
—
|
|
|
58.9
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Foreign exchange contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Swaps
|
2,149.9
|
|
|
49.2
|
|
|
0.9
|
|
|
50.1
|
|
|
52.2
|
|
|
2.8
|
|
|
55.0
|
|
|||||||
Spot, futures and forwards
|
4,104.4
|
|
|
46.0
|
|
|
1.2
|
|
|
47.2
|
|
|
45.8
|
|
|
0.3
|
|
|
46.1
|
|
|||||||
Written options
|
467.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10.6
|
|
|
—
|
|
|
10.6
|
|
|||||||
Purchased options
|
439.9
|
|
|
10.2
|
|
|
—
|
|
|
10.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Equity contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Swaps
|
201.2
|
|
|
3.3
|
|
|
—
|
|
|
3.3
|
|
|
3.8
|
|
|
—
|
|
|
3.8
|
|
|||||||
Futures and forwards
|
74.0
|
|
|
2.1
|
|
|
—
|
|
|
2.1
|
|
|
1.2
|
|
|
—
|
|
|
1.2
|
|
|||||||
Written options
|
352.8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
21.1
|
|
|
—
|
|
|
21.1
|
|
|||||||
Purchased options
|
325.4
|
|
|
23.8
|
|
|
—
|
|
|
23.8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Commodity contracts
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Swaps
|
47.0
|
|
|
4.7
|
|
|
—
|
|
|
4.7
|
|
|
7.1
|
|
|
—
|
|
|
7.1
|
|
|||||||
Futures and forwards
|
45.6
|
|
|
3.8
|
|
|
—
|
|
|
3.8
|
|
|
0.7
|
|
|
—
|
|
|
0.7
|
|
|||||||
Written options
|
36.6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4.4
|
|
|
—
|
|
|
4.4
|
|
|||||||
Purchased options
|
37.4
|
|
|
4.2
|
|
|
—
|
|
|
4.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Credit derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Purchased credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Credit default swaps
|
928.3
|
|
|
14.4
|
|
|
—
|
|
|
14.4
|
|
|
14.8
|
|
|
—
|
|
|
14.8
|
|
|||||||
Total return swaps/other
|
26.4
|
|
|
0.2
|
|
|
—
|
|
|
0.2
|
|
|
1.9
|
|
|
—
|
|
|
1.9
|
|
|||||||
Written credit derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Credit default swaps
|
924.1
|
|
|
15.3
|
|
|
—
|
|
|
15.3
|
|
|
13.1
|
|
|
—
|
|
|
13.1
|
|
|||||||
Total return swaps/other
|
39.7
|
|
|
2.3
|
|
|
—
|
|
|
2.3
|
|
|
0.4
|
|
|
—
|
|
|
0.4
|
|
|||||||
Gross derivative assets/liabilities
|
|
|
$
|
679.1
|
|
|
$
|
9.5
|
|
|
$
|
688.6
|
|
|
$
|
676.8
|
|
|
$
|
4.3
|
|
|
$
|
681.1
|
|
||
Less: Legally enforceable master netting agreements
(2)
|
|
|
|
(596.7
|
)
|
|
|
|
|
|
(596.7
|
)
|
|||||||||||||||
Less: Cash collateral received/paid
|
|
|
|
|
|
|
(41.9
|
)
|
|
|
|
|
|
(45.9
|
)
|
||||||||||||
Total derivative assets/liabilities
|
|
|
|
|
|
$
|
50.0
|
|
|
|
|
|
|
$
|
38.5
|
|
(1)
|
Represents the total contract/notional amount of derivative assets and liabilities outstanding.
|
(2)
|
The notional amount for certain commodity derivatives has been reduced to reflect the impact of legally closed positions, which had no impact on the net fair value.
|
Offsetting of Derivatives
|
Offsetting of Derivatives
|
|
|
|
|
|
|
|
||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
(Dollars in billions)
|
Derivative
Assets
|
|
Derivative
Liabilities
|
|
Derivative
Assets
|
|
Derivative
Liabilities
|
||||||||
Interest rate contracts
|
|
|
|
|
|
|
|
||||||||
Over-the-counter
|
$
|
391.3
|
|
|
$
|
380.5
|
|
|
$
|
309.3
|
|
|
$
|
297.2
|
|
Exchange-traded
|
0.1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Over-the-counter cleared
|
293.6
|
|
|
292.9
|
|
|
197.0
|
|
|
201.7
|
|
||||
Foreign exchange contracts
|
|
|
|
|
|
|
|
||||||||
Over-the-counter
|
141.7
|
|
|
144.6
|
|
|
103.2
|
|
|
107.5
|
|
||||
Over-the-counter cleared
|
0.2
|
|
|
0.2
|
|
|
0.1
|
|
|
0.1
|
|
||||
Equity contracts
|
|
|
|
|
|
|
|
|
|
||||||
Over-the-counter
|
15.8
|
|
|
13.9
|
|
|
16.6
|
|
|
14.0
|
|
||||
Exchange-traded
|
12.7
|
|
|
11.7
|
|
|
10.0
|
|
|
9.2
|
|
||||
Commodity contracts
|
|
|
|
|
|
|
|
||||||||
Over-the-counter
|
4.8
|
|
|
5.9
|
|
|
7.3
|
|
|
8.9
|
|
||||
Exchange-traded
(1)
|
1.7
|
|
|
1.6
|
|
|
1.8
|
|
|
1.8
|
|
||||
Over-the-counter cleared
|
—
|
|
|
—
|
|
|
0.1
|
|
|
0.1
|
|
||||
Credit derivatives
|
|
|
|
|
|
|
|
|
|
|
|
||||
Over-the-counter
|
19.9
|
|
|
19.6
|
|
|
24.6
|
|
|
22.9
|
|
||||
Over-the-counter cleared
|
5.1
|
|
|
5.2
|
|
|
6.5
|
|
|
6.4
|
|
||||
Total gross derivative assets/liabilities, before netting
|
|
|
|
|
|
|
|
|
|
||||||
Over-the-counter
|
573.5
|
|
|
564.5
|
|
|
461.0
|
|
|
450.5
|
|
||||
Exchange-traded
(1)
|
14.5
|
|
|
13.3
|
|
|
11.8
|
|
|
11.0
|
|
||||
Over-the-counter cleared
|
298.9
|
|
|
298.3
|
|
|
203.7
|
|
|
208.3
|
|
||||
Less: Legally enforceable master netting agreements and cash collateral received/paid
|
|
|
|
|
|
|
|
||||||||
Over-the-counter
|
(536.8
|
)
|
|
(531.9
|
)
|
|
(426.6
|
)
|
|
(425.7
|
)
|
||||
Exchange-traded
(1)
|
(10.8
|
)
|
|
(10.8
|
)
|
|
(8.7
|
)
|
|
(8.7
|
)
|
||||
Over-the-counter cleared
|
(298.3
|
)
|
|
(298.2
|
)
|
|
(203.3
|
)
|
|
(208.2
|
)
|
||||
Derivative assets/liabilities, after netting
|
41.0
|
|
|
35.2
|
|
|
37.9
|
|
|
27.2
|
|
||||
Other gross derivative assets/liabilities
|
14.3
|
|
|
12.4
|
|
|
12.1
|
|
|
11.3
|
|
||||
Total derivative assets/liabilities
|
55.3
|
|
|
47.6
|
|
|
50.0
|
|
|
38.5
|
|
||||
Less: Financial instruments collateral
(2)
|
(14.9
|
)
|
|
(14.1
|
)
|
|
(13.9
|
)
|
|
(6.5
|
)
|
||||
Total net derivative assets/liabilities
|
$
|
40.4
|
|
|
$
|
33.5
|
|
|
$
|
36.1
|
|
|
$
|
32.0
|
|
(1)
|
The notional amount for certain commodity derivatives has been reduced to reflect the impact of legally closed positions, which had no impact on the net fair value.
|
(2)
|
These amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged.
|
ALM and Risk Management Derivatives
|
Derivatives Designated as Accounting Hedges
|
Derivatives Designated as Fair Value Hedges
|
|
|
|
|
|
|
|||||||||||||||||
Gains (Losses)
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||
|
2016
|
|
2016
|
||||||||||||||||||||
(Dollars in millions)
|
Derivative
|
|
Hedged
Item
|
|
Hedge
Ineffectiveness
|
|
Derivative
|
|
Hedged
Item
|
|
Hedge
Ineffectiveness
|
||||||||||||
Interest rate risk on long-term debt
(1)
|
$
|
1,263
|
|
|
$
|
(1,380
|
)
|
|
$
|
(117
|
)
|
|
$
|
3,924
|
|
|
$
|
(4,234
|
)
|
|
$
|
(310
|
)
|
Interest rate and foreign currency risk on long-term debt
(1)
|
(495
|
)
|
|
487
|
|
|
(8
|
)
|
|
344
|
|
|
(359
|
)
|
|
(15
|
)
|
||||||
Interest rate risk on available-for-sale securities
(2)
|
(215
|
)
|
|
198
|
|
|
(17
|
)
|
|
(366
|
)
|
|
330
|
|
|
(36
|
)
|
||||||
Price risk on commodity inventory
(3)
|
(8
|
)
|
|
8
|
|
|
—
|
|
|
(6
|
)
|
|
6
|
|
|
—
|
|
||||||
Total
|
$
|
545
|
|
|
$
|
(687
|
)
|
|
$
|
(142
|
)
|
|
$
|
3,896
|
|
|
$
|
(4,257
|
)
|
|
$
|
(361
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2015
|
|
2015
|
||||||||||||||||||||
Interest rate risk on long-term debt
(1)
|
$
|
(2,293
|
)
|
|
$
|
2,041
|
|
|
$
|
(252
|
)
|
|
$
|
(1,197
|
)
|
|
$
|
749
|
|
|
$
|
(448
|
)
|
Interest rate and foreign currency risk on long-term debt
(1)
|
388
|
|
|
(402
|
)
|
|
(14
|
)
|
|
(1,256
|
)
|
|
1,186
|
|
|
(70
|
)
|
||||||
Interest rate risk on available-for-sale securities
(2)
|
2
|
|
|
(3
|
)
|
|
(1
|
)
|
|
45
|
|
|
(48
|
)
|
|
(3
|
)
|
||||||
Price risk on commodity inventory
(3)
|
2
|
|
|
(2
|
)
|
|
—
|
|
|
13
|
|
|
(9
|
)
|
|
4
|
|
||||||
Total
|
$
|
(1,901
|
)
|
|
$
|
1,634
|
|
|
$
|
(267
|
)
|
|
$
|
(2,395
|
)
|
|
$
|
1,878
|
|
|
$
|
(517
|
)
|
(1)
|
Amounts are recorded in interest expense on long-term debt and in other income.
|
(2)
|
Amounts are recorded in interest income on debt securities.
|
(3)
|
Amounts relating to commodity inventory are recorded in trading account profits.
|
Derivatives Designated as Cash Flow and Net Investment Hedges
|
|
|
|
|
|
|
|||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||
|
2016
|
|
2016
|
||||||||||||||||||||
(Dollars in millions, amounts pretax)
|
Gains (Losses) Recognized in Accumulated OCI on Derivatives
|
|
Gains (Losses) in Income Reclassified from Accumulated OCI
|
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing
(1)
|
|
Gains (Losses) Recognized in Accumulated OCI on Derivatives
|
|
Gains (Losses) in Income Reclassified from Accumulated OCI
|
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing
(1)
|
||||||||||||
Cash flow hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate risk on variable-rate portfolios
|
$
|
19
|
|
|
$
|
(164
|
)
|
|
$
|
—
|
|
|
$
|
58
|
|
|
$
|
(328
|
)
|
|
$
|
6
|
|
Price risk on restricted stock awards
(2)
|
(1
|
)
|
|
(19
|
)
|
|
—
|
|
|
(199
|
)
|
|
(53
|
)
|
|
—
|
|
||||||
Total
|
$
|
18
|
|
|
$
|
(183
|
)
|
|
$
|
—
|
|
|
$
|
(141
|
)
|
|
$
|
(381
|
)
|
|
$
|
6
|
|
Net investment hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Foreign exchange risk
|
$
|
592
|
|
|
$
|
1
|
|
|
$
|
(23
|
)
|
|
$
|
(41
|
)
|
|
$
|
1
|
|
|
$
|
(166
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2015
|
|
2015
|
||||||||||||||||||||
Cash flow hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate risk on variable-rate portfolios
|
$
|
(19
|
)
|
|
$
|
(259
|
)
|
|
$
|
—
|
|
|
$
|
5
|
|
|
$
|
(514
|
)
|
|
$
|
(1
|
)
|
Price risk on restricted stock awards
(2)
|
181
|
|
|
28
|
|
|
—
|
|
|
(29
|
)
|
|
27
|
|
|
—
|
|
||||||
Total
|
$
|
162
|
|
|
$
|
(231
|
)
|
|
$
|
—
|
|
|
$
|
(24
|
)
|
|
$
|
(487
|
)
|
|
$
|
(1
|
)
|
Net investment hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Foreign exchange risk
|
$
|
(992
|
)
|
|
$
|
84
|
|
|
$
|
11
|
|
|
$
|
990
|
|
|
$
|
84
|
|
|
$
|
(87
|
)
|
(1)
|
Amounts related to cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing.
|
(2)
|
The hedge gain (loss) recognized in accumulated OCI is primarily related to the change in the Corporation's stock price for the period.
|
Other Risk Management Derivatives
|
Other Risk Management Derivatives
|
|
|
|
|
|||||||||||
Gains (Losses)
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest rate risk on mortgage banking income
(1)
|
$
|
279
|
|
|
$
|
(390
|
)
|
|
$
|
825
|
|
|
$
|
(94
|
)
|
Credit risk on loans
(2)
|
(31
|
)
|
|
(31
|
)
|
|
(96
|
)
|
|
(58
|
)
|
||||
Interest rate and foreign currency risk on ALM activities
(3)
|
(824
|
)
|
|
585
|
|
|
(1,708
|
)
|
|
266
|
|
||||
Price risk on restricted stock awards
(4)
|
(27
|
)
|
|
226
|
|
|
(768
|
)
|
|
(244
|
)
|
||||
Other
|
14
|
|
|
(20
|
)
|
|
40
|
|
|
(7
|
)
|
(1)
|
Net gains (losses) on these derivatives are recorded in mortgage banking income as they are used to mitigate the interest rate risk related to MSRs, interest rate lock commitments (IRLCs) and mortgage loans held-for-sale (LHFS), all of which are measured at fair value with changes in fair value recorded in mortgage banking income. The net gains on IRLCs related to the origination of mortgage loans that are held-for-sale, which are not included in the table but are considered derivative instruments, were
$177 million
and
$329 million
for the
three and six months ended June 30, 2016
compared to
$167 million
and
$427 million
for the
same periods in 2015
.
|
(2)
|
Primarily related to derivatives that are economic hedges of credit risk on loans. Net gains (losses) on these derivatives are recorded in other income.
|
(3)
|
Primarily related to hedges of debt securities carried at fair value and hedges of foreign currency-denominated debt. Gains (losses) on these derivatives and the related hedged items are recorded in other income.
|
(4)
|
Gains (losses) on these derivatives are recorded in personnel expense.
|
Transfers of Financial Assets with Risk Retained through Derivatives
|
Sales and Trading Revenue
|
Sales and Trading Revenue
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||||||
|
2016
|
|
2016
|
||||||||||||||||||||||||||||
(Dollars in millions)
|
Trading
Account
Profits
|
|
Net Interest Income
|
|
Other
(1)
|
|
Total
|
|
Trading
Account Profits |
|
Net Interest Income
|
|
Other
(1)
|
|
Total
|
||||||||||||||||
Interest rate risk
|
$
|
426
|
|
|
$
|
335
|
|
|
$
|
74
|
|
|
$
|
835
|
|
|
$
|
924
|
|
|
$
|
759
|
|
|
$
|
125
|
|
|
$
|
1,808
|
|
Foreign exchange risk
|
344
|
|
|
(2
|
)
|
|
(36
|
)
|
|
306
|
|
|
684
|
|
|
(3
|
)
|
|
(72
|
)
|
|
609
|
|
||||||||
Equity risk
|
585
|
|
|
(19
|
)
|
|
510
|
|
|
1,076
|
|
|
1,017
|
|
|
(19
|
)
|
|
1,107
|
|
|
2,105
|
|
||||||||
Credit risk
|
419
|
|
|
645
|
|
|
118
|
|
|
1,182
|
|
|
621
|
|
|
1,271
|
|
|
257
|
|
|
2,149
|
|
||||||||
Other risk
|
98
|
|
|
(11
|
)
|
|
9
|
|
|
96
|
|
|
221
|
|
|
(26
|
)
|
|
25
|
|
|
220
|
|
||||||||
Total sales and trading revenue
|
$
|
1,872
|
|
|
$
|
948
|
|
|
$
|
675
|
|
|
$
|
3,495
|
|
|
$
|
3,467
|
|
|
$
|
1,982
|
|
|
$
|
1,442
|
|
|
$
|
6,891
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
2015
|
|
2015
|
||||||||||||||||||||||||||||
Interest rate risk
|
$
|
344
|
|
|
$
|
305
|
|
|
$
|
(108
|
)
|
|
$
|
541
|
|
|
$
|
864
|
|
|
$
|
590
|
|
|
$
|
(377
|
)
|
|
$
|
1,077
|
|
Foreign exchange risk
|
295
|
|
|
(1
|
)
|
|
(31
|
)
|
|
263
|
|
|
742
|
|
|
(2
|
)
|
|
(62
|
)
|
|
678
|
|
||||||||
Equity risk
|
667
|
|
|
(37
|
)
|
|
542
|
|
|
1,172
|
|
|
1,237
|
|
|
(24
|
)
|
|
1,091
|
|
|
2,304
|
|
||||||||
Credit risk
|
297
|
|
|
590
|
|
|
123
|
|
|
1,010
|
|
|
741
|
|
|
1,161
|
|
|
307
|
|
|
2,209
|
|
||||||||
Other risk
|
100
|
|
|
(17
|
)
|
|
2
|
|
|
85
|
|
|
257
|
|
|
(40
|
)
|
|
29
|
|
|
246
|
|
||||||||
Total sales and trading revenue
|
$
|
1,703
|
|
|
$
|
840
|
|
|
$
|
528
|
|
|
$
|
3,071
|
|
|
$
|
3,841
|
|
|
$
|
1,685
|
|
|
$
|
988
|
|
|
$
|
6,514
|
|
(1)
|
Represents amounts in investment and brokerage services and other income that are recorded in
Global Markets
and included in the definition of sales and trading revenue. Includes investment and brokerage services revenue of
$517 million
and
$1.1 billion
for the
three and six months ended June 30, 2016
and
$550 million
and
$1.1 billion
for the
same periods in 2015
.
|
Credit Derivatives
|
Credit Derivative Instruments
|
|
|
|||||||||||||||||
|
June 30, 2016
|
||||||||||||||||||
|
Carrying Value
|
||||||||||||||||||
(Dollars in millions)
|
Less than
One Year
|
|
One to
Three Years
|
|
Three to
Five Years
|
|
Over Five
Years
|
|
Total
|
||||||||||
Credit default swaps:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
24
|
|
|
$
|
139
|
|
|
$
|
1,019
|
|
|
$
|
832
|
|
|
$
|
2,014
|
|
Non-investment grade
|
846
|
|
|
2,087
|
|
|
1,927
|
|
|
4,022
|
|
|
8,882
|
|
|||||
Total
|
870
|
|
|
2,226
|
|
|
2,946
|
|
|
4,854
|
|
|
10,896
|
|
|||||
Total return swaps/other:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|||||
Non-investment grade
|
360
|
|
|
31
|
|
|
3
|
|
|
3
|
|
|
397
|
|
|||||
Total
|
368
|
|
|
31
|
|
|
3
|
|
|
3
|
|
|
405
|
|
|||||
Total credit derivatives
|
$
|
1,238
|
|
|
$
|
2,257
|
|
|
$
|
2,949
|
|
|
$
|
4,857
|
|
|
$
|
11,301
|
|
Credit-related notes:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
—
|
|
|
$
|
112
|
|
|
$
|
588
|
|
|
$
|
1,614
|
|
|
$
|
2,314
|
|
Non-investment grade
|
89
|
|
|
57
|
|
|
72
|
|
|
1,074
|
|
|
1,292
|
|
|||||
Total credit-related notes
|
$
|
89
|
|
|
$
|
169
|
|
|
$
|
660
|
|
|
$
|
2,688
|
|
|
$
|
3,606
|
|
|
Maximum Payout/Notional
|
||||||||||||||||||
Credit default swaps:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
160,451
|
|
|
$
|
223,978
|
|
|
$
|
155,750
|
|
|
$
|
22,013
|
|
|
$
|
562,192
|
|
Non-investment grade
|
96,893
|
|
|
110,174
|
|
|
56,060
|
|
|
18,684
|
|
|
281,811
|
|
|||||
Total
|
257,344
|
|
|
334,152
|
|
|
211,810
|
|
|
40,697
|
|
|
844,003
|
|
|||||
Total return swaps/other:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
10,634
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,634
|
|
|||||
Non-investment grade
|
24,622
|
|
|
5,264
|
|
|
749
|
|
|
237
|
|
|
30,872
|
|
|||||
Total
|
35,256
|
|
|
5,264
|
|
|
749
|
|
|
237
|
|
|
41,506
|
|
|||||
Total credit derivatives
|
$
|
292,600
|
|
|
$
|
339,416
|
|
|
$
|
212,559
|
|
|
$
|
40,934
|
|
|
$
|
885,509
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2015
|
||||||||||||||||||
|
Carrying Value
|
||||||||||||||||||
Credit default swaps:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
84
|
|
|
$
|
481
|
|
|
$
|
2,203
|
|
|
$
|
680
|
|
|
$
|
3,448
|
|
Non-investment grade
|
672
|
|
|
3,035
|
|
|
2,386
|
|
|
3,583
|
|
|
9,676
|
|
|||||
Total
|
756
|
|
|
3,516
|
|
|
4,589
|
|
|
4,263
|
|
|
13,124
|
|
|||||
Total return swaps/other:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|||||
Non-investment grade
|
171
|
|
|
236
|
|
|
8
|
|
|
2
|
|
|
417
|
|
|||||
Total
|
176
|
|
|
236
|
|
|
8
|
|
|
2
|
|
|
422
|
|
|||||
Total credit derivatives
|
$
|
932
|
|
|
$
|
3,752
|
|
|
$
|
4,597
|
|
|
$
|
4,265
|
|
|
$
|
13,546
|
|
Credit-related notes:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
267
|
|
|
$
|
57
|
|
|
$
|
444
|
|
|
$
|
2,203
|
|
|
$
|
2,971
|
|
Non-investment grade
|
61
|
|
|
118
|
|
|
117
|
|
|
1,264
|
|
|
1,560
|
|
|||||
Total credit-related notes
|
$
|
328
|
|
|
$
|
175
|
|
|
$
|
561
|
|
|
$
|
3,467
|
|
|
$
|
4,531
|
|
|
Maximum Payout/Notional
|
||||||||||||||||||
Credit default swaps:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
149,177
|
|
|
$
|
280,658
|
|
|
$
|
178,990
|
|
|
$
|
26,352
|
|
|
$
|
635,177
|
|
Non-investment grade
|
81,596
|
|
|
135,850
|
|
|
53,299
|
|
|
18,221
|
|
|
288,966
|
|
|||||
Total
|
230,773
|
|
|
416,508
|
|
|
232,289
|
|
|
44,573
|
|
|
924,143
|
|
|||||
Total return swaps/other:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment grade
|
9,758
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,758
|
|
|||||
Non-investment grade
|
20,917
|
|
|
6,989
|
|
|
1,371
|
|
|
623
|
|
|
29,900
|
|
|||||
Total
|
30,675
|
|
|
6,989
|
|
|
1,371
|
|
|
623
|
|
|
39,658
|
|
|||||
Total credit derivatives
|
$
|
261,448
|
|
|
$
|
423,497
|
|
|
$
|
233,660
|
|
|
$
|
45,196
|
|
|
$
|
963,801
|
|
Credit-related Contingent Features and Collateral
|
(1)
|
Included in Bank of America Corporation collateral requirements in this table.
|
Valuation Adjustments on Derivatives
|
Valuation Adjustments on Derivatives
|
|
|
|
|
|
|
|||||||||||||||||||||
Gains (Losses)
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||
(Dollars in millions)
|
Gross
|
Net
|
|
Gross
|
Net
|
|
Gross
|
Net
|
|
Gross
|
Net
|
||||||||||||||||
Derivative assets (CVA)
(1)
|
$
|
(26
|
)
|
$
|
33
|
|
|
$
|
215
|
|
$
|
(17
|
)
|
|
$
|
(235
|
)
|
$
|
85
|
|
|
$
|
223
|
|
$
|
107
|
|
Derivative assets/liabilities (FVA)
(1)
|
23
|
|
25
|
|
|
59
|
|
59
|
|
|
(33
|
)
|
(31
|
)
|
|
65
|
|
65
|
|
||||||||
Derivative liabilities (DVA)
(1)
|
(75
|
)
|
(141
|
)
|
|
(14
|
)
|
(4
|
)
|
|
231
|
|
43
|
|
|
9
|
|
(50
|
)
|
(1)
|
At
June 30, 2016
and
December 31, 2015
, cumulative CVA reduced the derivative assets balance by
$1.6 billion
and
$1.4 billion
, cumulative FVA reduced the net derivative assets balance by
$514 million
and
$481 million
, and cumulative DVA reduced the derivative liabilities balance by
$981 million
and
$750 million
, respectively.
|
NOTE 3 – Securities
|
Debt Securities and Available-for-Sale Marketable Equity Securities
|
|||||||||||||||
|
June 30, 2016
|
||||||||||||||
(Dollars in millions)
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
||||||||
Available-for-sale debt securities
|
|
|
|
|
|
|
|
||||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
||||||||
Agency
|
$
|
203,680
|
|
|
$
|
5,021
|
|
|
$
|
(13
|
)
|
|
$
|
208,688
|
|
Agency-collateralized mortgage obligations
|
9,451
|
|
|
314
|
|
|
(5
|
)
|
|
9,760
|
|
||||
Commercial
|
11,083
|
|
|
319
|
|
|
(5
|
)
|
|
11,397
|
|
||||
Non-agency residential
(1)
|
1,963
|
|
|
208
|
|
|
(68
|
)
|
|
2,103
|
|
||||
Total mortgage-backed securities
|
226,177
|
|
|
5,862
|
|
|
(91
|
)
|
|
231,948
|
|
||||
U.S. Treasury and agency securities
|
25,792
|
|
|
351
|
|
|
—
|
|
|
26,143
|
|
||||
Non-U.S. securities
|
6,044
|
|
|
21
|
|
|
(7
|
)
|
|
6,058
|
|
||||
Other taxable securities, substantially all asset-backed securities
|
9,800
|
|
|
23
|
|
|
(49
|
)
|
|
9,774
|
|
||||
Total taxable securities
|
267,813
|
|
|
6,257
|
|
|
(147
|
)
|
|
273,923
|
|
||||
Tax-exempt securities
|
15,281
|
|
|
112
|
|
|
(31
|
)
|
|
15,362
|
|
||||
Total available-for-sale debt securities
|
283,094
|
|
|
6,369
|
|
|
(178
|
)
|
|
289,285
|
|
||||
Other debt securities carried at fair value
|
20,527
|
|
|
93
|
|
|
(235
|
)
|
|
20,385
|
|
||||
Total debt securities carried at fair value
(2)
|
303,621
|
|
|
6,462
|
|
|
(413
|
)
|
|
309,670
|
|
||||
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities
|
102,279
|
|
|
2,097
|
|
|
(1
|
)
|
|
104,375
|
|
||||
Total debt securities
|
$
|
405,900
|
|
|
$
|
8,559
|
|
|
$
|
(414
|
)
|
|
$
|
414,045
|
|
Available-for-sale marketable equity securities
(3)
|
$
|
325
|
|
|
$
|
46
|
|
|
$
|
(34
|
)
|
|
$
|
337
|
|
|
|
|
|
|
|
|
|
||||||||
|
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
June 30, 2016
and
December 31, 2015
, the underlying collateral type included approximately
56 percent
and
71 percent
prime,
24 percent
and
15 percent
Alt-A, and
20 percent
and
14 percent
subprime.
|
(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
$146.7 billion
and
$52.0 billion
, and a fair value of
$150.4 billion
and
$53.3 billion
at
June 30, 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.
|
Other Debt Securities Carried at Fair Value
|
|
|
|
||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
Mortgage-backed securities:
|
|
|
|
||||
Agency-collateralized mortgage obligations
|
$
|
7
|
|
|
$
|
7
|
|
Non-agency residential
|
3,244
|
|
|
3,490
|
|
||
Total mortgage-backed securities
|
3,251
|
|
|
3,497
|
|
||
Non-U.S. securities
(1)
|
16,885
|
|
|
12,843
|
|
||
Other taxable securities, substantially all asset-backed securities
|
249
|
|
|
267
|
|
||
Total
|
$
|
20,385
|
|
|
$
|
16,607
|
|
(1)
|
These securities are primarily used to satisfy certain international regulatory liquidity requirements.
|
Gains and Losses on Sales of AFS Debt Securities
|
|
|
|
|
|||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Gross gains
|
$
|
271
|
|
|
$
|
170
|
|
|
$
|
508
|
|
|
$
|
445
|
|
Gross losses
|
(4
|
)
|
|
(2
|
)
|
|
(15
|
)
|
|
(9
|
)
|
||||
Net gains on sales of AFS debt securities
|
$
|
267
|
|
|
$
|
168
|
|
|
$
|
493
|
|
|
$
|
436
|
|
Income tax expense attributable to realized net gains on sales of AFS debt securities
|
$
|
101
|
|
|
$
|
64
|
|
|
$
|
187
|
|
|
$
|
166
|
|
(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.
|
Rollforward of OTTI Credit Losses Recognized
|
|
|
|
|
|||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Balance, beginning of period
|
$
|
269
|
|
|
$
|
256
|
|
|
$
|
266
|
|
|
$
|
200
|
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses
|
1
|
|
|
2
|
|
|
2
|
|
|
49
|
|
||||
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses
|
4
|
|
|
3
|
|
|
10
|
|
|
26
|
|
||||
Reductions for AFS debt securities matured, sold or intended to be sold
|
(28
|
)
|
|
—
|
|
|
(32
|
)
|
|
(14
|
)
|
||||
Balance, June 30
|
$
|
246
|
|
|
$
|
261
|
|
|
$
|
246
|
|
|
$
|
261
|
|
Significant Assumptions
|
||||||||
|
|
|
Range
(1)
|
|||||
|
Weighted-
average
|
|
10th
Percentile
(2)
|
|
90th
Percentile
(2)
|
|||
Annual prepayment speed
|
12.7
|
%
|
|
1.9
|
%
|
|
27.3
|
%
|
Loss severity
|
31.3
|
|
|
15.5
|
|
|
29.1
|
|
Life default rate
|
20.5
|
|
|
0.6
|
|
|
78.3
|
|
(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.
|
(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
|
NOTE 4 – Outstanding Loans and Leases
|
|
June 30, 2016
|
|||||||||||||||||||||||
(Dollars in millions)
|
30-59 Days
Past Due (1) |
60-89 Days
Past Due (1) |
90 Days or
More
Past Due
(2)
|
Total Past
Due 30 Days or More
|
Total Current or Less Than 30 Days Past Due
(3)
|
Purchased
Credit - impaired (4) |
Loans Accounted for Under the Fair Value Option
|
Total
Outstandings |
||||||||||||||||
Consumer real estate
|
|
|
|
|
|
|
|
|
||||||||||||||||
Core portfolio
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
$
|
1,093
|
|
$
|
329
|
|
$
|
1,314
|
|
$
|
2,736
|
|
$
|
143,364
|
|
|
|
$
|
146,100
|
|
||||
Home equity
|
190
|
|
104
|
|
474
|
|
768
|
|
51,709
|
|
|
|
52,477
|
|
||||||||||
Non-core portfolio
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
(5)
|
1,452
|
|
804
|
|
6,444
|
|
8,700
|
|
20,036
|
|
$
|
11,107
|
|
|
39,843
|
|
||||||||
Home equity
|
278
|
|
147
|
|
936
|
|
1,361
|
|
13,628
|
|
4,121
|
|
|
19,110
|
|
|||||||||
Credit card and other consumer
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. credit card
|
416
|
|
279
|
|
693
|
|
1,388
|
|
86,715
|
|
|
|
88,103
|
|
||||||||||
Non-U.S. credit card
|
34
|
|
26
|
|
69
|
|
129
|
|
9,251
|
|
|
|
9,380
|
|
||||||||||
Direct/Indirect consumer
(6)
|
197
|
|
65
|
|
26
|
|
288
|
|
92,458
|
|
|
|
92,746
|
|
||||||||||
Other consumer
(7)
|
20
|
|
4
|
|
3
|
|
27
|
|
2,257
|
|
|
|
2,284
|
|
||||||||||
Total consumer
|
3,680
|
|
1,758
|
|
9,959
|
|
15,397
|
|
419,418
|
|
15,228
|
|
|
450,043
|
|
|||||||||
Consumer loans accounted for under the fair value option
(8)
|
|
|
|
|
|
|
$
|
1,844
|
|
1,844
|
|
|||||||||||||
Total consumer loans and leases
|
3,680
|
|
1,758
|
|
9,959
|
|
15,397
|
|
419,418
|
|
15,228
|
|
1,844
|
|
451,887
|
|
||||||||
Commercial
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
290
|
|
102
|
|
263
|
|
655
|
|
262,812
|
|
|
|
263,467
|
|
||||||||||
Commercial real estate
(9)
|
27
|
|
9
|
|
53
|
|
89
|
|
57,523
|
|
|
|
57,612
|
|
||||||||||
Commercial lease financing
|
28
|
|
32
|
|
31
|
|
91
|
|
21,112
|
|
|
|
21,203
|
|
||||||||||
Non-U.S. commercial
|
52
|
|
4
|
|
1
|
|
57
|
|
88,991
|
|
|
|
89,048
|
|
||||||||||
U.S. small business commercial
|
50
|
|
38
|
|
78
|
|
166
|
|
12,954
|
|
|
|
13,120
|
|
||||||||||
Total commercial
|
447
|
|
185
|
|
426
|
|
1,058
|
|
443,392
|
|
|
|
444,450
|
|
||||||||||
Commercial loans accounted for under the fair value option
(8)
|
|
|
|
|
|
|
6,816
|
|
6,816
|
|
||||||||||||||
Total commercial loans and leases
|
447
|
|
185
|
|
426
|
|
1,058
|
|
443,392
|
|
|
6,816
|
|
451,266
|
|
|||||||||
Total loans and leases
(10)
|
$
|
4,127
|
|
$
|
1,943
|
|
$
|
10,385
|
|
$
|
16,455
|
|
$
|
862,810
|
|
$
|
15,228
|
|
$
|
8,660
|
|
$
|
903,153
|
|
Percentage of outstandings
|
0.46
|
%
|
0.22
|
%
|
1.14
|
%
|
1.82
|
%
|
95.53
|
%
|
1.69
|
%
|
0.96
|
%
|
100.00
|
%
|
(1)
|
Consumer real estate loans 30-59 days past due includes fully-insured loans of
$1.1 billion
and nonperforming loans of
$284 million
. Consumer real estate loans 60-89 days past due includes fully-insured loans of
$691 million
and nonperforming loans of
$245 million
.
|
(2)
|
Consumer real estate includes fully-insured loans of
$5.7 billion
.
|
(3)
|
Consumer real estate includes
$2.7 billion
and direct/indirect consumer includes
$26 million
of nonperforming loans.
|
(4)
|
Purchased credit-impaired (PCI) loan amounts are shown gross of the valuation allowance.
|
(5)
|
Total outstandings includes pay option loans of
$2.1 billion
. The Corporation no longer originates this product.
|
(6)
|
Total outstandings includes auto and specialty lending loans of
$47.0 billion
, unsecured consumer lending loans of
$696 million
, U.S. securities-based lending loans of
$40.1 billion
, non-U.S. consumer loans of
$3.4 billion
, student loans of
$531 million
and other consumer loans of
$1.1 billion
.
|
(7)
|
Total outstandings includes consumer finance loans of
$512 million
, consumer leases of
$1.6 billion
and consumer overdrafts of
$191 million
.
|
(8)
|
Consumer loans accounted for under the fair value option were residential mortgage loans of
$1.5 billion
and home equity loans of
$354 million
. Commercial loans accounted for under the fair value option were U.S. commercial loans of
$2.7 billion
and non-U.S. commercial loans of
$4.1 billion
. For additional information, see
Note 14 – Fair Value Measurements
and
Note 15 – Fair Value Option
.
|
(9)
|
Total outstandings includes U.S. commercial real estate loans of
$54.3 billion
and non-U.S. commercial real estate loans of
$3.3 billion
.
|
(10)
|
The Corporation pledged
$148.0 billion
of loans to secure potential borrowing capacity with the Federal Reserve Bank and Federal Home Loan Banks. This amount is not included in the parenthetical disclosure of loans and leases pledged as collateral on the Consolidated Balance Sheet as there were no related outstanding borrowings.
|
|
December 31, 2015
|
|||||||||||||||||||||||
(Dollars in millions)
|
30-59 Days
Past Due (1) |
60-89 Days
Past Due (1) |
90 Days or
More
Past Due
(2)
|
Total Past
Due 30 Days or More
|
Total Current or Less Than 30 Days Past Due
(3)
|
Purchased
Credit - impaired (4) |
Loans
Accounted
for Under
the Fair
Value Option |
Total
Outstandings |
||||||||||||||||
Consumer real estate
|
|
|
|
|
|
|
|
|
||||||||||||||||
Core portfolio
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
$
|
1,214
|
|
$
|
368
|
|
$
|
1,414
|
|
$
|
2,996
|
|
$
|
138,799
|
|
|
|
$
|
141,795
|
|
||||
Home equity
|
200
|
|
93
|
|
579
|
|
872
|
|
54,045
|
|
|
|
54,917
|
|
||||||||||
Non-core portfolio
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
(5)
|
2,045
|
|
1,167
|
|
8,439
|
|
11,651
|
|
22,399
|
|
$
|
12,066
|
|
|
46,116
|
|
||||||||
Home equity
|
335
|
|
174
|
|
1,170
|
|
1,679
|
|
14,733
|
|
4,619
|
|
|
21,031
|
|
|||||||||
Credit card and other consumer
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. credit card
|
454
|
|
332
|
|
789
|
|
1,575
|
|
88,027
|
|
|
|
89,602
|
|
||||||||||
Non-U.S. credit card
|
39
|
|
31
|
|
76
|
|
146
|
|
9,829
|
|
|
|
9,975
|
|
||||||||||
Direct/Indirect consumer
(6)
|
227
|
|
62
|
|
42
|
|
331
|
|
88,464
|
|
|
|
88,795
|
|
||||||||||
Other consumer
(7)
|
18
|
|
3
|
|
4
|
|
25
|
|
2,042
|
|
|
|
2,067
|
|
||||||||||
Total consumer
|
4,532
|
|
2,230
|
|
12,513
|
|
19,275
|
|
418,338
|
|
16,685
|
|
|
454,298
|
|
|||||||||
Consumer loans accounted for under the fair value option
(8)
|
|
|
|
|
|
|
$
|
1,871
|
|
1,871
|
|
|||||||||||||
Total consumer loans and leases
|
4,532
|
|
2,230
|
|
12,513
|
|
19,275
|
|
418,338
|
|
16,685
|
|
1,871
|
|
456,169
|
|
||||||||
Commercial
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
444
|
|
148
|
|
332
|
|
924
|
|
251,847
|
|
|
|
252,771
|
|
||||||||||
Commercial real estate
(9)
|
36
|
|
11
|
|
82
|
|
129
|
|
57,070
|
|
|
|
57,199
|
|
||||||||||
Commercial lease financing
|
150
|
|
29
|
|
20
|
|
199
|
|
21,153
|
|
|
|
21,352
|
|
||||||||||
Non-U.S. commercial
|
6
|
|
1
|
|
1
|
|
8
|
|
91,541
|
|
|
|
91,549
|
|
||||||||||
U.S. small business commercial
|
83
|
|
41
|
|
72
|
|
196
|
|
12,680
|
|
|
|
12,876
|
|
||||||||||
Total commercial
|
719
|
|
230
|
|
507
|
|
1,456
|
|
434,291
|
|
|
|
435,747
|
|
||||||||||
Commercial loans accounted for under the fair value option
(8)
|
|
|
|
|
|
|
5,067
|
|
5,067
|
|
||||||||||||||
Total commercial loans and leases
|
719
|
|
230
|
|
507
|
|
1,456
|
|
434,291
|
|
|
5,067
|
|
440,814
|
|
|||||||||
Total loans and leases
(10)
|
$
|
5,251
|
|
$
|
2,460
|
|
$
|
13,020
|
|
$
|
20,731
|
|
$
|
852,629
|
|
$
|
16,685
|
|
$
|
6,938
|
|
$
|
896,983
|
|
Percentage of outstandings
|
0.59
|
%
|
0.27
|
%
|
1.45
|
%
|
2.31
|
%
|
95.06
|
%
|
1.86
|
%
|
0.77
|
%
|
100.00
|
%
|
(1)
|
Consumer real estate loans 30-59 days past due includes fully-insured loans of
$1.7 billion
and nonperforming loans of
$379 million
. Consumer real estate loans 60-89 days past due includes fully-insured loans of
$1.0 billion
and nonperforming loans of
$297 million
.
|
(2)
|
Consumer real estate includes fully-insured loans of
$7.2 billion
.
|
(3)
|
Consumer real estate includes
$3.0 billion
and direct/indirect consumer includes
$21 million
of nonperforming loans.
|
(4)
|
PCI loan amounts are shown gross of the valuation allowance.
|
(5)
|
Total outstandings includes pay option loans of
$2.3 billion
. The Corporation no longer originates this product.
|
(6)
|
Total outstandings includes auto and specialty lending loans of
$42.6 billion
, unsecured consumer lending loans of
$886 million
, U.S. securities-based lending loans of
$39.8 billion
, non-U.S. consumer loans of
$3.9 billion
, student loans of
$564 million
and other consumer loans of
$1.0 billion
.
|
(7)
|
Total outstandings includes consumer finance loans of
$564 million
, consumer leases of
$1.4 billion
and consumer overdrafts of
$146 million
.
|
(8)
|
Consumer loans accounted for under the fair value option were residential mortgage loans of
$1.6 billion
and home equity loans of
$250 million
. Commercial loans accounted for under the fair value option were U.S. commercial loans of
$2.3 billion
and non-U.S. commercial loans of
$2.8 billion
. For additional information, see
Note 14 – Fair Value Measurements
and
Note 15 – Fair Value Option
.
|
(9)
|
Total outstandings includes U.S. commercial real estate loans of
$53.6 billion
and non-U.S. commercial real estate loans of
$3.5 billion
.
|
(10)
|
The Corporation pledged
$149.4 billion
of loans to secure potential borrowing capacity with the Federal Reserve Bank and Federal Home Loan Banks. This amount is not included in the parenthetical disclosure of loans and leases pledged as collateral on the Consolidated Balance Sheet as there were no related outstanding borrowings.
|
Nonperforming Loans and Leases
|
Credit Quality
|
|
|
|
|
|
|
|
||||||||
|
Nonperforming Loans and Leases
|
|
Accruing Past Due 90 Days or More
|
||||||||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
|
June 30
2016 |
|
December 31
2015 |
||||||||
Consumer real estate
|
|
|
|
|
|
|
|
||||||||
Core portfolio
|
|
|
|
|
|
|
|
||||||||
Residential mortgage
(1)
|
$
|
1,492
|
|
|
$
|
1,825
|
|
|
$
|
455
|
|
|
$
|
382
|
|
Home equity
|
937
|
|
|
974
|
|
|
—
|
|
|
—
|
|
||||
Non-core portfolio
|
|
|
|
|
|
|
|
||||||||
Residential mortgage
(1)
|
2,100
|
|
|
2,978
|
|
|
5,204
|
|
|
6,768
|
|
||||
Home equity
|
2,148
|
|
|
2,363
|
|
|
—
|
|
|
—
|
|
||||
Credit card and other consumer
|
|
|
|
|
|
|
|
||||||||
U.S. credit card
|
n/a
|
|
|
n/a
|
|
|
693
|
|
|
789
|
|
||||
Non-U.S. credit card
|
n/a
|
|
|
n/a
|
|
|
69
|
|
|
76
|
|
||||
Direct/Indirect consumer
|
27
|
|
|
24
|
|
|
26
|
|
|
39
|
|
||||
Other consumer
|
1
|
|
|
1
|
|
|
2
|
|
|
3
|
|
||||
Total consumer
|
6,705
|
|
|
8,165
|
|
|
6,449
|
|
|
8,057
|
|
||||
Commercial
|
|
|
|
|
|
|
|
||||||||
U.S. commercial
|
1,349
|
|
|
867
|
|
|
55
|
|
|
113
|
|
||||
Commercial real estate
|
84
|
|
|
93
|
|
|
6
|
|
|
3
|
|
||||
Commercial lease financing
|
13
|
|
|
12
|
|
|
29
|
|
|
15
|
|
||||
Non-U.S. commercial
|
144
|
|
|
158
|
|
|
1
|
|
|
1
|
|
||||
U.S. small business commercial
|
69
|
|
|
82
|
|
|
61
|
|
|
61
|
|
||||
Total commercial
|
1,659
|
|
|
1,212
|
|
|
152
|
|
|
193
|
|
||||
Total loans and leases
|
$
|
8,364
|
|
|
$
|
9,377
|
|
|
$
|
6,601
|
|
|
$
|
8,250
|
|
(1)
|
Residential mortgage loans in the core and non-core portfolios accruing past due 90 days or more are fully-insured loans. At
June 30, 2016
and
December 31, 2015
, residential mortgage includes
$3.3 billion
and
$4.3 billion
of loans on which interest has been curtailed by the Federal Housing Administration (FHA), and therefore are no longer accruing interest, although principal is still insured, and
$2.4 billion
and
$2.9 billion
of loans on which interest is still accruing.
|
Credit Quality Indicators
|
Consumer Real Estate – Credit Quality Indicators
(1)
|
|
|
|
|
|
|
||||||||||||
|
June 30, 2016
|
|||||||||||||||||
(Dollars in millions)
|
Core Portfolio Residential Mortgage
(2)
|
Non-core Residential Mortgage
(2)
|
Residential
Mortgage PCI (3) |
Core Portfolio Home Equity
(2)
|
Non-core Home Equity
(2)
|
Home
Equity PCI
|
||||||||||||
Refreshed LTV
(4)
|
|
|
|
|
|
|
||||||||||||
Less than or equal to 90 percent
|
$
|
117,311
|
|
$
|
14,990
|
|
$
|
8,087
|
|
$
|
49,186
|
|
$
|
8,178
|
|
$
|
1,821
|
|
Greater than 90 percent but less than or equal to 100 percent
|
4,036
|
|
1,859
|
|
1,215
|
|
1,629
|
|
1,925
|
|
741
|
|
||||||
Greater than 100 percent
|
2,394
|
|
2,767
|
|
1,805
|
|
1,662
|
|
4,886
|
|
1,559
|
|
||||||
Fully-insured loans
(5)
|
22,359
|
|
9,120
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total consumer real estate
|
$
|
146,100
|
|
$
|
28,736
|
|
$
|
11,107
|
|
$
|
52,477
|
|
$
|
14,989
|
|
$
|
4,121
|
|
Refreshed FICO score
|
|
|
|
|
|
|
||||||||||||
Less than 620
|
$
|
2,789
|
|
$
|
3,716
|
|
$
|
3,177
|
|
$
|
1,276
|
|
$
|
3,040
|
|
$
|
617
|
|
Greater than or equal to 620 and less than 680
|
5,278
|
|
3,164
|
|
2,437
|
|
3,044
|
|
3,501
|
|
735
|
|
||||||
Greater than or equal to 680 and less than 740
|
22,372
|
|
4,932
|
|
3,103
|
|
11,042
|
|
3,332
|
|
1,210
|
|
||||||
Greater than or equal to 740
|
93,302
|
|
7,804
|
|
2,390
|
|
37,115
|
|
5,116
|
|
1,559
|
|
||||||
Fully-insured loans
(5)
|
22,359
|
|
9,120
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total consumer real estate
|
$
|
146,100
|
|
$
|
28,736
|
|
$
|
11,107
|
|
$
|
52,477
|
|
$
|
14,989
|
|
$
|
4,121
|
|
(1)
|
Excludes
$1.8 billion
of loans accounted for under the fair value option.
|
(2)
|
Excludes PCI loans.
|
(3)
|
Includes
$1.8 billion
of pay option loans. The Corporation no longer originates this product.
|
(4)
|
Refreshed LTV percentages for PCI loans are calculated using the carrying value net of the related valuation allowance.
|
(5)
|
Credit quality indicators are not reported for fully-insured loans as principal repayment is insured.
|
(1)
|
At
June 30, 2016
,
22 percent
of the other consumer portfolio is associated with portfolios from certain consumer finance businesses that the Corporation previously exited.
|
(2)
|
Other internal credit metrics may include delinquency status, geography or other factors.
|
(3)
|
Direct/indirect consumer includes
$43.4 billion
of securities-based lending which is overcollateralized and therefore has minimal credit risk and
$534 million
of loans the Corporation no longer originates, primarily student loans.
|
(4)
|
Non-U.S. credit card represents the U.K. credit card portfolio which is evaluated using internal credit metrics, including delinquency status. At
June 30, 2016
,
98 percent
of this portfolio was current or less than 30 days past due,
one percent
was 30-89 days past due and
one percent
was 90 days or more past due.
|
Commercial – Credit Quality Indicators (1)
|
|||||||||||||||||||
|
June 30, 2016
|
||||||||||||||||||
(Dollars in millions)
|
U.S.
Commercial |
|
Commercial
Real Estate
|
|
Commercial
Lease Financing |
|
Non-U.S.
Commercial |
|
U.S. Small
Business Commercial (2) |
||||||||||
Risk ratings
|
|
|
|
|
|
|
|
|
|
||||||||||
Pass rated
|
$
|
252,353
|
|
|
$
|
57,170
|
|
|
$
|
20,371
|
|
|
$
|
85,609
|
|
|
$
|
488
|
|
Reservable criticized
|
11,114
|
|
|
442
|
|
|
832
|
|
|
3,439
|
|
|
83
|
|
|||||
Refreshed FICO score
(3)
|
|
|
|
|
|
|
|
|
|
||||||||||
Less than 620
|
|
|
|
|
|
|
|
|
184
|
|
|||||||||
Greater than or equal to 620 and less than 680
|
|
|
|
|
|
|
|
|
561
|
|
|||||||||
Greater than or equal to 680 and less than 740
|
|
|
|
|
|
|
|
|
1,736
|
|
|||||||||
Greater than or equal to 740
|
|
|
|
|
|
|
|
|
3,328
|
|
|||||||||
Other internal credit metrics
(3, 4)
|
|
|
|
|
|
|
|
|
6,740
|
|
|||||||||
Total commercial
|
$
|
263,467
|
|
|
$
|
57,612
|
|
|
$
|
21,203
|
|
|
$
|
89,048
|
|
|
$
|
13,120
|
|
(1)
|
Excludes
$6.8 billion
of loans accounted for under the fair value option.
|
(2)
|
U.S. small business commercial includes
$669 million
of criticized business card and small business loans which are evaluated using refreshed FICO scores or internal credit metrics, including delinquency status, rather than risk ratings. At
June 30, 2016
,
99 percent
of the balances where internal credit metrics are used was current or less than 30 days past due.
|
(3)
|
Refreshed FICO score and other internal credit metrics are applicable only to the U.S. small business commercial portfolio.
|
(4)
|
Other internal credit metrics may include delinquency status, application scores, geography or other factors.
|
Consumer Real Estate – Credit Quality Indicators
(1)
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2015
|
|||||||||||||||||
(Dollars in millions)
|
Core Portfolio
Residential Mortgage (2) |
Non-core
Residential Mortgage (2) |
Residential
Mortgage PCI (3) |
Core Portfolio Home Equity
(2)
|
Non-core Home
Equity (2) |
Home
Equity PCI
|
||||||||||||
Refreshed LTV
(4)
|
|
|
|
|
|
|
||||||||||||
Less than or equal to 90 percent
|
$
|
110,023
|
|
$
|
16,481
|
|
$
|
8,655
|
|
$
|
51,262
|
|
$
|
8,347
|
|
$
|
2,003
|
|
Greater than 90 percent but less than or equal to 100 percent
|
4,038
|
|
2,224
|
|
1,403
|
|
1,858
|
|
2,190
|
|
852
|
|
||||||
Greater than 100 percent
|
2,638
|
|
3,364
|
|
2,008
|
|
1,797
|
|
5,875
|
|
1,764
|
|
||||||
Fully-insured loans
(5)
|
25,096
|
|
11,981
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total consumer real estate
|
$
|
141,795
|
|
$
|
34,050
|
|
$
|
12,066
|
|
$
|
54,917
|
|
$
|
16,412
|
|
$
|
4,619
|
|
Refreshed FICO score
|
|
|
|
|
|
|
||||||||||||
Less than 620
|
$
|
3,129
|
|
$
|
4,749
|
|
$
|
3,798
|
|
$
|
1,322
|
|
$
|
3,490
|
|
$
|
729
|
|
Greater than or equal to 620 and less than 680
|
5,472
|
|
3,762
|
|
2,586
|
|
3,295
|
|
3,862
|
|
825
|
|
||||||
Greater than or equal to 680 and less than 740
|
22,486
|
|
5,138
|
|
3,187
|
|
12,180
|
|
3,451
|
|
1,356
|
|
||||||
Greater than or equal to 740
|
85,612
|
|
8,420
|
|
2,495
|
|
38,120
|
|
5,609
|
|
1,709
|
|
||||||
Fully-insured loans
(5)
|
25,096
|
|
11,981
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total consumer real estate
|
$
|
141,795
|
|
$
|
34,050
|
|
$
|
12,066
|
|
$
|
54,917
|
|
$
|
16,412
|
|
$
|
4,619
|
|
(1)
|
Excludes
$1.9 billion
of loans accounted for under the fair value option.
|
(2)
|
Excludes PCI loans.
|
(3)
|
Includes
$2.0 billion
of pay option loans. The Corporation no longer originates this product.
|
(4)
|
Refreshed LTV percentages for PCI loans are calculated using the carrying value net of the related valuation allowance.
|
(5)
|
Credit quality indicators are not reported for fully-insured loans as principal repayment is insured.
|
(1)
|
At
December 31, 2015
,
27 percent
of the other consumer portfolio is associated with portfolios from certain consumer finance businesses that the Corporation previously exited.
|
(2)
|
Other internal credit metrics may include delinquency status, geography or other factors.
|
(3)
|
Direct/indirect consumer includes
$43.7 billion
of securities-based lending which is overcollateralized and therefore has minimal credit risk and
$567 million
of loans the Corporation no longer originates, primarily student loans.
|
(4)
|
Non-U.S. credit card represents the U.K. credit card portfolio which is evaluated using internal credit metrics, including delinquency status. At
December 31, 2015
,
98 percent
of this portfolio was current or less than 30 days past due,
one percent
was 30-89 days past due and
one percent
was 90 days or more past due.
|
Commercial – Credit Quality Indicators
(1)
|
|||||||||||||||||||
|
December 31, 2015
|
||||||||||||||||||
(Dollars in millions)
|
U.S.
Commercial |
|
Commercial
Real Estate
|
|
Commercial
Lease Financing |
|
Non-U.S.
Commercial |
|
U.S. Small
Business Commercial (2) |
||||||||||
Risk ratings
|
|
|
|
|
|
|
|
|
|
||||||||||
Pass rated
|
$
|
243,922
|
|
|
$
|
56,688
|
|
|
$
|
20,644
|
|
|
$
|
87,905
|
|
|
$
|
571
|
|
Reservable criticized
|
8,849
|
|
|
511
|
|
|
708
|
|
|
3,644
|
|
|
96
|
|
|||||
Refreshed FICO score
(3)
|
|
|
|
|
|
|
|
|
|
||||||||||
Less than 620
|
|
|
|
|
|
|
|
|
184
|
|
|||||||||
Greater than or equal to 620 and less than 680
|
|
|
|
|
|
|
|
|
543
|
|
|||||||||
Greater than or equal to 680 and less than 740
|
|
|
|
|
|
|
|
|
1,627
|
|
|||||||||
Greater than or equal to 740
|
|
|
|
|
|
|
|
|
3,027
|
|
|||||||||
Other internal credit metrics
(3, 4)
|
|
|
|
|
|
|
|
|
6,828
|
|
|||||||||
Total commercial
|
$
|
252,771
|
|
|
$
|
57,199
|
|
|
$
|
21,352
|
|
|
$
|
91,549
|
|
|
$
|
12,876
|
|
(1)
|
Excludes
$5.1 billion
of loans accounted for under the fair value option.
|
(2)
|
U.S. small business commercial includes
$670 million
of criticized business card and small business loans which are evaluated using refreshed FICO scores or internal credit metrics, including delinquency status, rather than risk ratings. At
December 31, 2015
,
98 percent
of the balances where internal credit metrics are used was current or less than 30 days past due.
|
(3)
|
Refreshed FICO score and other internal credit metrics are applicable only to the U.S. small business commercial portfolio.
|
(4)
|
Other internal credit metrics may include delinquency status, application scores, geography or other factors.
|
Impaired Loans and Troubled Debt Restructurings
|
Impaired Loans – Consumer Real Estate
|
|||||||||||||||||||||||||||||||
|
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
Unpaid
Principal Balance |
|
Carrying
Value |
|
Related
Allowance |
|
Unpaid
Principal Balance |
|
Carrying
Value |
|
Related
Allowance |
||||||||||||||||
With no recorded allowance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
|
|
|
|
$
|
12,619
|
|
|
$
|
9,929
|
|
|
$
|
—
|
|
|
$
|
14,888
|
|
|
$
|
11,901
|
|
|
$
|
—
|
|
||||
Home equity
|
|
|
|
|
3,691
|
|
|
1,921
|
|
|
—
|
|
|
3,545
|
|
|
1,775
|
|
|
—
|
|
||||||||||
With an allowance recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
|
|
|
|
$
|
5,281
|
|
|
$
|
5,157
|
|
|
$
|
296
|
|
|
$
|
6,624
|
|
|
$
|
6,471
|
|
|
$
|
399
|
|
||||
Home equity
|
|
|
|
|
939
|
|
|
835
|
|
|
146
|
|
|
1,047
|
|
|
911
|
|
|
235
|
|
||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
|
|
|
|
$
|
17,900
|
|
|
$
|
15,086
|
|
|
$
|
296
|
|
|
$
|
21,512
|
|
|
$
|
18,372
|
|
|
$
|
399
|
|
||||
Home equity
|
|
|
|
|
4,630
|
|
|
2,756
|
|
|
146
|
|
|
4,592
|
|
|
2,686
|
|
|
235
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||||||
|
Average
Carrying Value |
|
Interest
Income Recognized (1) |
|
Average
Carrying Value |
|
Interest
Income Recognized (1) |
|
Average
Carrying Value |
|
Interest
Income Recognized (1) |
|
Average
Carrying Value |
|
Interest
Income Recognized (1) |
||||||||||||||||
With no recorded allowance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
$
|
10,345
|
|
|
$
|
100
|
|
|
$
|
14,401
|
|
|
$
|
105
|
|
|
$
|
10,925
|
|
|
$
|
194
|
|
|
$
|
14,897
|
|
|
$
|
213
|
|
Home equity
|
1,870
|
|
|
17
|
|
|
1,805
|
|
|
20
|
|
|
1,843
|
|
|
30
|
|
|
1,748
|
|
|
45
|
|
||||||||
With an allowance recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
$
|
5,387
|
|
|
$
|
46
|
|
|
$
|
7,706
|
|
|
$
|
61
|
|
|
$
|
5,737
|
|
|
$
|
97
|
|
|
$
|
7,646
|
|
|
$
|
125
|
|
Home equity
|
873
|
|
|
5
|
|
|
744
|
|
|
5
|
|
|
882
|
|
|
11
|
|
|
729
|
|
|
12
|
|
||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential mortgage
|
$
|
15,732
|
|
|
$
|
146
|
|
|
$
|
22,107
|
|
|
$
|
166
|
|
|
$
|
16,662
|
|
|
$
|
291
|
|
|
$
|
22,543
|
|
|
$
|
338
|
|
Home equity
|
2,743
|
|
|
22
|
|
|
2,549
|
|
|
25
|
|
|
2,725
|
|
|
41
|
|
|
2,477
|
|
|
57
|
|
(1)
|
Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the principal is considered collectible.
|
(1)
|
During the
three and six months ended June 30, 2016
, the Corporation forgave principal of
$1 million
and
$11 million
related to residential mortgage loans in connection with TDRs compared to
$102 million
and
$261 million
for the same periods in 2015.
|
(2)
|
The post-modification interest rate reflects the interest rate applicable only to permanently completed modifications, which exclude loans that are in a trial modification period.
|
(3)
|
Net charge-offs include amounts recorded on loans modified during the period that are no longer held by the Corporation at
June 30, 2016 and 2015
due to sales and other dispositions.
|
Consumer Real Estate – Modification Programs
|
|||||||||||
|
TDRs Entered into During the
Three Months Ended June 30, 2016
|
||||||||||
(Dollars in millions)
|
Residential Mortgage
|
|
Home
Equity
|
|
Total Carrying Value
|
||||||
Modifications under government programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
$
|
23
|
|
|
$
|
12
|
|
|
$
|
35
|
|
Principal and/or interest forbearance
|
—
|
|
|
4
|
|
|
4
|
|
|||
Other modifications
(1)
|
8
|
|
|
—
|
|
|
8
|
|
|||
Total modifications under government programs
|
31
|
|
|
16
|
|
|
47
|
|
|||
Modifications under proprietary programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
14
|
|
|
2
|
|
|
16
|
|
|||
Capitalization of past due amounts
|
5
|
|
|
—
|
|
|
5
|
|
|||
Principal and/or interest forbearance
|
2
|
|
|
1
|
|
|
3
|
|
|||
Other modifications
(1)
|
9
|
|
|
17
|
|
|
26
|
|
|||
Total modifications under proprietary programs
|
30
|
|
|
20
|
|
|
50
|
|
|||
Trial modifications
|
300
|
|
|
145
|
|
|
445
|
|
|||
Loans discharged in Chapter 7 bankruptcy
(2)
|
44
|
|
|
19
|
|
|
63
|
|
|||
Total modifications
|
$
|
405
|
|
|
$
|
200
|
|
|
$
|
605
|
|
|
|
|
|
|
|
||||||
|
TDRs Entered into During the
Three Months Ended June 30, 2015 |
||||||||||
Modifications under government programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
$
|
95
|
|
|
$
|
3
|
|
|
$
|
98
|
|
Principal and/or interest forbearance
|
—
|
|
|
2
|
|
|
2
|
|
|||
Other modifications
(1)
|
11
|
|
|
—
|
|
|
11
|
|
|||
Total modifications under government programs
|
106
|
|
|
5
|
|
|
111
|
|
|||
Modifications under proprietary programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
38
|
|
|
1
|
|
|
39
|
|
|||
Capitalization of past due amounts
|
19
|
|
|
1
|
|
|
20
|
|
|||
Principal and/or interest forbearance
|
18
|
|
|
1
|
|
|
19
|
|
|||
Other modifications
(1)
|
14
|
|
|
1
|
|
|
15
|
|
|||
Total modifications under proprietary programs
|
89
|
|
|
4
|
|
|
93
|
|
|||
Trial modifications
|
997
|
|
|
230
|
|
|
1,227
|
|
|||
Loans discharged in Chapter 7 bankruptcy
(2)
|
102
|
|
|
46
|
|
|
148
|
|
|||
Total modifications
|
$
|
1,294
|
|
|
$
|
285
|
|
|
$
|
1,579
|
|
(1)
|
Includes other modifications such as term or payment extensions and repayment plans.
|
(2)
|
Includes loans discharged in Chapter 7 bankruptcy with no change in repayment terms that are classified as TDRs.
|
Consumer Real Estate – Modification Programs
|
|||||||||||
|
TDRs Entered into During the
Six Months Ended June 30, 2016
|
||||||||||
(Dollars in millions)
|
Residential Mortgage
|
|
Home
Equity
|
|
Total Carrying Value
|
||||||
Modifications under government programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
$
|
66
|
|
|
$
|
18
|
|
|
$
|
84
|
|
Principal and/or interest forbearance
|
—
|
|
|
6
|
|
|
6
|
|
|||
Other modifications
(1)
|
19
|
|
|
1
|
|
|
20
|
|
|||
Total modifications under government programs
|
85
|
|
|
25
|
|
|
110
|
|
|||
Modifications under proprietary programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
32
|
|
|
28
|
|
|
60
|
|
|||
Capitalization of past due amounts
|
14
|
|
|
3
|
|
|
17
|
|
|||
Principal and/or interest forbearance
|
6
|
|
|
16
|
|
|
22
|
|
|||
Other modifications
(1)
|
11
|
|
|
20
|
|
|
31
|
|
|||
Total modifications under proprietary programs
|
63
|
|
|
67
|
|
|
130
|
|
|||
Trial modifications
|
540
|
|
|
230
|
|
|
770
|
|
|||
Loans discharged in Chapter 7 bankruptcy
(2)
|
97
|
|
|
39
|
|
|
136
|
|
|||
Total modifications
|
$
|
785
|
|
|
$
|
361
|
|
|
$
|
1,146
|
|
|
|
|
|
|
|
||||||
|
TDRs Entered into During the
Six Months Ended June 30, 2015 |
||||||||||
Modifications under government programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
$
|
266
|
|
|
$
|
15
|
|
|
$
|
281
|
|
Principal and/or interest forbearance
|
2
|
|
|
5
|
|
|
7
|
|
|||
Other modifications
(1)
|
23
|
|
|
1
|
|
|
24
|
|
|||
Total modifications under government programs
|
291
|
|
|
21
|
|
|
312
|
|
|||
Modifications under proprietary programs
|
|
|
|
|
|
||||||
Contractual interest rate reduction
|
113
|
|
|
6
|
|
|
119
|
|
|||
Capitalization of past due amounts
|
50
|
|
|
3
|
|
|
53
|
|
|||
Principal and/or interest forbearance
|
75
|
|
|
9
|
|
|
84
|
|
|||
Other modifications
(1)
|
18
|
|
|
26
|
|
|
44
|
|
|||
Total modifications under proprietary programs
|
256
|
|
|
44
|
|
|
300
|
|
|||
Trial modifications
|
1,734
|
|
|
298
|
|
|
2,032
|
|
|||
Loans discharged in Chapter 7 bankruptcy
(2)
|
198
|
|
|
84
|
|
|
282
|
|
|||
Total modifications
|
$
|
2,479
|
|
|
$
|
447
|
|
|
$
|
2,926
|
|
(1)
|
Includes other modifications such as term or payment extensions and repayment plans.
|
(2)
|
Includes loans discharged in Chapter 7 bankruptcy with no change in repayment terms that are classified as TDRs.
|
(1)
|
Includes loans discharged in Chapter 7 bankruptcy with no change in repayment terms that are classified as TDRs.
|
(2)
|
Includes
$116 million
and
$1.5 billion
for the
three and six months ended June 30, 2015
of trial modification offers made in connection with the August 2014 U.S. Department of Justice settlement to which the customer did not respond.
|
Impaired Loans – Credit Card and Other Consumer – Renegotiated TDRs
|
|||||||||||||||||||||||||||||||
|
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
Unpaid
Principal Balance |
|
Carrying
Value (1) |
|
Related
Allowance |
|
Unpaid
Principal Balance |
|
Carrying
Value (1) |
|
Related
Allowance |
||||||||||||||||
With no recorded allowance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Direct/Indirect consumer
|
|
|
|
|
$
|
49
|
|
|
$
|
21
|
|
|
$
|
—
|
|
|
$
|
50
|
|
|
$
|
21
|
|
|
$
|
—
|
|
||||
With an allowance recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. credit card
|
|
|
|
|
$
|
526
|
|
|
$
|
535
|
|
|
$
|
126
|
|
|
$
|
598
|
|
|
$
|
611
|
|
|
$
|
176
|
|
||||
Non-U.S. credit card
|
|
|
|
|
91
|
|
|
107
|
|
|
62
|
|
|
109
|
|
|
126
|
|
|
70
|
|
||||||||||
Direct/Indirect consumer
|
|
|
|
|
7
|
|
|
9
|
|
|
1
|
|
|
17
|
|
|
21
|
|
|
4
|
|
||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. credit card
|
|
|
|
|
$
|
526
|
|
|
$
|
535
|
|
|
$
|
126
|
|
|
$
|
598
|
|
|
$
|
611
|
|
|
$
|
176
|
|
||||
Non-U.S. credit card
|
|
|
|
|
91
|
|
|
107
|
|
|
62
|
|
|
109
|
|
|
126
|
|
|
70
|
|
||||||||||
Direct/Indirect consumer
|
|
|
|
|
56
|
|
|
30
|
|
|
1
|
|
|
67
|
|
|
42
|
|
|
4
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||||||
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
||||||||||||||||
With no recorded allowance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Direct/Indirect consumer
|
$
|
21
|
|
|
$
|
—
|
|
|
$
|
24
|
|
|
$
|
—
|
|
|
$
|
21
|
|
|
$
|
—
|
|
|
$
|
24
|
|
|
$
|
—
|
|
With an allowance recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. credit card
|
$
|
568
|
|
|
$
|
8
|
|
|
$
|
776
|
|
|
$
|
11
|
|
|
$
|
587
|
|
|
$
|
17
|
|
|
$
|
812
|
|
|
$
|
24
|
|
Non-U.S. credit card
|
116
|
|
|
1
|
|
|
150
|
|
|
1
|
|
|
119
|
|
|
2
|
|
|
154
|
|
|
2
|
|
||||||||
Direct/Indirect consumer
|
11
|
|
|
—
|
|
|
57
|
|
|
1
|
|
|
15
|
|
|
—
|
|
|
69
|
|
|
2
|
|
||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. credit card
|
$
|
568
|
|
|
$
|
8
|
|
|
$
|
776
|
|
|
$
|
11
|
|
|
$
|
587
|
|
|
$
|
17
|
|
|
$
|
812
|
|
|
$
|
24
|
|
Non-U.S. credit card
|
116
|
|
|
1
|
|
|
150
|
|
|
1
|
|
|
119
|
|
|
2
|
|
|
154
|
|
|
2
|
|
||||||||
Direct/Indirect consumer
|
32
|
|
|
—
|
|
|
81
|
|
|
1
|
|
|
36
|
|
|
—
|
|
|
93
|
|
|
2
|
|
(1)
|
Includes accrued interest and fees.
|
(2)
|
Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the principal is considered collectible.
|
Credit Card and Other Consumer – Renegotiated TDRs by Program Type
|
||||||||||||||||||||||||||||||||
|
Internal Programs
|
|
External Programs
|
|
Other
(1)
|
|
Total
|
|
Percent of Balances Current or
Less Than 30 Days Past Due |
|||||||||||||||||||||||
(Dollars in millions)
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
||||||||||||||||||
U.S. credit card
|
$
|
258
|
|
$
|
313
|
|
|
$
|
275
|
|
$
|
296
|
|
|
$
|
2
|
|
$
|
2
|
|
|
$
|
535
|
|
$
|
611
|
|
|
89.76
|
%
|
88.74
|
%
|
Non-U.S. credit card
|
15
|
|
21
|
|
|
8
|
|
10
|
|
|
84
|
|
95
|
|
|
107
|
|
126
|
|
|
43.86
|
|
44.25
|
|
||||||||
Direct/Indirect consumer
|
5
|
|
11
|
|
|
3
|
|
7
|
|
|
22
|
|
24
|
|
|
30
|
|
42
|
|
|
93.10
|
|
89.12
|
|
||||||||
Total renegotiated TDRs
|
$
|
278
|
|
$
|
345
|
|
|
$
|
286
|
|
$
|
313
|
|
|
$
|
108
|
|
$
|
121
|
|
|
$
|
672
|
|
$
|
779
|
|
|
82.54
|
|
81.55
|
|
(1)
|
Other TDRs for non-U.S. credit card include modifications of accounts that are ineligible for a fixed payment plan.
|
(1)
|
Includes accrued interest and fees.
|
Impaired Loans – Commercial
|
|||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
(Dollars in millions)
|
|
|
|
|
Unpaid
Principal Balance |
|
Carrying
Value |
|
Related
Allowance |
|
Unpaid
Principal Balance |
|
Carrying
Value |
|
Related
Allowance |
||||||||||||||||
With no recorded allowance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
|
|
|
|
$
|
779
|
|
|
$
|
771
|
|
|
$
|
—
|
|
|
$
|
566
|
|
|
$
|
541
|
|
|
$
|
—
|
|
||||
Commercial real estate
|
|
|
|
|
53
|
|
|
53
|
|
|
—
|
|
|
82
|
|
|
77
|
|
|
—
|
|
||||||||||
Non-U.S. commercial
|
|
|
|
|
29
|
|
|
29
|
|
|
—
|
|
|
4
|
|
|
4
|
|
|
—
|
|
||||||||||
With an allowance recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
|
|
|
|
$
|
2,147
|
|
|
$
|
1,731
|
|
|
$
|
167
|
|
|
$
|
1,350
|
|
|
$
|
1,157
|
|
|
$
|
115
|
|
||||
Commercial real estate
|
|
|
|
|
289
|
|
|
102
|
|
|
11
|
|
|
328
|
|
|
107
|
|
|
11
|
|
||||||||||
Commercial lease financing
|
|
|
|
|
5
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Non-U.S. commercial
|
|
|
|
|
493
|
|
|
329
|
|
|
31
|
|
|
531
|
|
|
381
|
|
|
56
|
|
||||||||||
U.S. small business commercial
(1)
|
|
|
|
|
96
|
|
|
84
|
|
|
29
|
|
|
105
|
|
|
101
|
|
|
35
|
|
||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
|
|
|
|
$
|
2,926
|
|
|
$
|
2,502
|
|
|
$
|
167
|
|
|
$
|
1,916
|
|
|
$
|
1,698
|
|
|
$
|
115
|
|
||||
Commercial real estate
|
|
|
|
|
342
|
|
|
155
|
|
|
11
|
|
|
410
|
|
|
184
|
|
|
11
|
|
||||||||||
Commercial lease financing
|
|
|
|
|
5
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Non-U.S. commercial
|
|
|
|
|
522
|
|
|
358
|
|
|
31
|
|
|
535
|
|
|
385
|
|
|
56
|
|
||||||||||
U.S. small business commercial
(1)
|
|
|
|
|
96
|
|
|
84
|
|
|
29
|
|
|
105
|
|
|
101
|
|
|
35
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||||||||||||||
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
|
Average
Carrying Value |
|
Interest
Income Recognized (2) |
||||||||||||||||
With no recorded allowance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
$
|
656
|
|
|
$
|
3
|
|
|
$
|
710
|
|
|
$
|
5
|
|
|
$
|
619
|
|
|
$
|
5
|
|
|
$
|
669
|
|
|
$
|
8
|
|
Commercial real estate
|
65
|
|
|
—
|
|
|
83
|
|
|
—
|
|
|
71
|
|
|
—
|
|
|
77
|
|
|
1
|
|
||||||||
Non-U.S. commercial
|
17
|
|
|
—
|
|
|
34
|
|
|
1
|
|
|
11
|
|
|
—
|
|
|
19
|
|
|
1
|
|
||||||||
With an allowance recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
$
|
1,646
|
|
|
$
|
16
|
|
|
$
|
904
|
|
|
$
|
12
|
|
|
$
|
1,544
|
|
|
$
|
30
|
|
|
$
|
862
|
|
|
$
|
25
|
|
Commercial real estate
|
96
|
|
|
1
|
|
|
232
|
|
|
2
|
|
|
100
|
|
|
2
|
|
|
282
|
|
|
5
|
|
||||||||
Commercial lease financing
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Non-U.S. commercial
|
349
|
|
|
3
|
|
|
118
|
|
|
—
|
|
|
359
|
|
|
6
|
|
|
92
|
|
|
1
|
|
||||||||
U.S. small business commercial
(1)
|
92
|
|
|
—
|
|
|
108
|
|
|
—
|
|
|
97
|
|
|
—
|
|
|
114
|
|
|
—
|
|
||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. commercial
|
$
|
2,302
|
|
|
$
|
19
|
|
|
$
|
1,614
|
|
|
$
|
17
|
|
|
$
|
2,163
|
|
|
$
|
35
|
|
|
$
|
1,531
|
|
|
$
|
33
|
|
Commercial real estate
|
161
|
|
|
1
|
|
|
315
|
|
|
2
|
|
|
171
|
|
|
2
|
|
|
359
|
|
|
6
|
|
||||||||
Commercial lease financing
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Non-U.S. commercial
|
366
|
|
|
3
|
|
|
152
|
|
|
1
|
|
|
370
|
|
|
6
|
|
|
111
|
|
|
2
|
|
||||||||
U.S. small business commercial
(1)
|
92
|
|
|
—
|
|
|
108
|
|
|
—
|
|
|
97
|
|
|
—
|
|
|
114
|
|
|
—
|
|
(1)
|
Includes U.S. small business commercial renegotiated TDR loans and related allowance.
|
(2)
|
Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the principal is considered collectible.
|
(1)
|
U.S. small business commercial TDRs are comprised of renegotiated small business card loans.
|
Purchased Credit-impaired Loans
|
Rollforward of Accretable Yield
|
|
|
|||||
(Dollars in millions)
|
Three Months Ended June 30, 2016
|
|
Six Months Ended June 30, 2016
|
||||
Accretable yield, beginning of period
|
$
|
4,250
|
|
|
$
|
4,569
|
|
Accretion
|
(185
|
)
|
|
(377
|
)
|
||
Disposals/transfers
|
(124
|
)
|
|
(235
|
)
|
||
Reclassifications from nonaccretable difference
|
101
|
|
|
85
|
|
||
Accretable yield, June 30, 2016
|
$
|
4,042
|
|
|
$
|
4,042
|
|
Loans Held-for-sale
|
NOTE 5 – Allowance for Credit Losses
|
|
Three Months Ended June 30, 2016
|
||||||||||||||
(Dollars in millions)
|
Consumer Real Estate
|
|
Credit Card
and Other Consumer |
|
Commercial
|
|
Total
Allowance
|
||||||||
Allowance for loan and lease losses, April 1
|
$
|
3,456
|
|
|
$
|
3,302
|
|
|
$
|
5,311
|
|
|
$
|
12,069
|
|
Loans and leases charged off
|
(304
|
)
|
|
(884
|
)
|
|
(190
|
)
|
|
(1,378
|
)
|
||||
Recoveries of loans and leases previously charged off
|
144
|
|
|
195
|
|
|
54
|
|
|
393
|
|
||||
Net charge-offs
|
(160
|
)
|
|
(689
|
)
|
|
(136
|
)
|
|
(985
|
)
|
||||
Write-offs of PCI loans
|
(82
|
)
|
|
—
|
|
|
—
|
|
|
(82
|
)
|
||||
Provision for loan and lease losses
|
(5
|
)
|
|
738
|
|
|
219
|
|
|
952
|
|
||||
Other
(1)
|
—
|
|
|
(17
|
)
|
|
(100
|
)
|
|
(117
|
)
|
||||
Allowance for loan and lease losses, June 30
|
3,209
|
|
|
3,334
|
|
|
5,294
|
|
|
11,837
|
|
||||
Reserve for unfunded lending commitments, April 1
|
—
|
|
|
—
|
|
|
627
|
|
|
627
|
|
||||
Provision for unfunded lending commitments
|
—
|
|
|
—
|
|
|
24
|
|
|
24
|
|
||||
Other
(1)
|
—
|
|
|
—
|
|
|
99
|
|
|
99
|
|
||||
Reserve for unfunded lending commitments, June 30
|
—
|
|
|
—
|
|
|
750
|
|
|
750
|
|
||||
Allowance for credit losses, June 30
|
$
|
3,209
|
|
|
$
|
3,334
|
|
|
$
|
6,044
|
|
|
$
|
12,587
|
|
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30, 2015
|
||||||||||||||
Allowance for loan and lease losses, April 1
|
$
|
5,250
|
|
|
$
|
3,929
|
|
|
$
|
4,497
|
|
|
$
|
13,676
|
|
Loans and leases charged off
|
(533
|
)
|
|
(896
|
)
|
|
(124
|
)
|
|
(1,553
|
)
|
||||
Recoveries of loans and leases previously charged off
|
205
|
|
|
204
|
|
|
76
|
|
|
485
|
|
||||
Net charge-offs
|
(328
|
)
|
|
(692
|
)
|
|
(48
|
)
|
|
(1,068
|
)
|
||||
Write-offs of PCI loans
|
(290
|
)
|
|
—
|
|
|
—
|
|
|
(290
|
)
|
||||
Provision for loan and lease losses
|
108
|
|
|
445
|
|
|
176
|
|
|
729
|
|
||||
Other
(1)
|
1
|
|
|
20
|
|
|
—
|
|
|
21
|
|
||||
Allowance for loan and lease losses, June 30
|
4,741
|
|
|
3,702
|
|
|
4,625
|
|
|
13,068
|
|
||||
Reserve for unfunded lending commitments, April 1
|
—
|
|
|
—
|
|
|
537
|
|
|
537
|
|
||||
Provision for unfunded lending commitments
|
—
|
|
|
—
|
|
|
51
|
|
|
51
|
|
||||
Reserve for unfunded lending commitments, June 30
|
—
|
|
|
—
|
|
|
588
|
|
|
588
|
|
||||
Allowance for credit losses, June 30
|
$
|
4,741
|
|
|
$
|
3,702
|
|
|
$
|
5,213
|
|
|
$
|
13,656
|
|
|
|
|
|
|
|
|
|
||||||||
|
Six Months Ended June 30, 2016
|
||||||||||||||
Allowance for loan and lease losses, January 1
|
$
|
3,914
|
|
|
$
|
3,471
|
|
|
$
|
4,849
|
|
|
$
|
12,234
|
|
Loans and leases charged off
|
(682
|
)
|
|
(1,796
|
)
|
|
(396
|
)
|
|
(2,874
|
)
|
||||
Recoveries of loans and leases previously charged off
|
319
|
|
|
393
|
|
|
109
|
|
|
821
|
|
||||
Net charge-offs
|
(363
|
)
|
|
(1,403
|
)
|
|
(287
|
)
|
|
(2,053
|
)
|
||||
Write-offs of PCI loans
|
(187
|
)
|
|
—
|
|
|
—
|
|
|
(187
|
)
|
||||
Provision for loan and lease losses
|
(155
|
)
|
|
1,290
|
|
|
833
|
|
|
1,968
|
|
||||
Other
(1)
|
—
|
|
|
(24
|
)
|
|
(101
|
)
|
|
(125
|
)
|
||||
Allowance for loan and lease losses, June 30
|
3,209
|
|
|
3,334
|
|
|
5,294
|
|
|
11,837
|
|
||||
Reserve for unfunded lending commitments, January 1
|
—
|
|
|
—
|
|
|
646
|
|
|
646
|
|
||||
Provision for unfunded lending commitments
|
—
|
|
|
—
|
|
|
5
|
|
|
5
|
|
||||
Other
(1)
|
—
|
|
|
—
|
|
|
99
|
|
|
99
|
|
||||
Reserve for unfunded lending commitments, June 30
|
—
|
|
|
—
|
|
|
750
|
|
|
750
|
|
||||
Allowance for credit losses, June 30
|
$
|
3,209
|
|
|
$
|
3,334
|
|
|
$
|
6,044
|
|
|
$
|
12,587
|
|
|
|
|
|
|
|
|
|
||||||||
|
Six Months Ended June 30, 2015
|
||||||||||||||
Allowance for loan and lease losses, January 1
|
$
|
5,935
|
|
|
$
|
4,047
|
|
|
$
|
4,437
|
|
|
$
|
14,419
|
|
Loans and leases charged off
|
(1,085
|
)
|
|
(1,860
|
)
|
|
(253
|
)
|
|
(3,198
|
)
|
||||
Recoveries of loans and leases previously charged off
|
388
|
|
|
420
|
|
|
128
|
|
|
936
|
|
||||
Net charge-offs
|
(697
|
)
|
|
(1,440
|
)
|
|
(125
|
)
|
|
(2,262
|
)
|
||||
Write-offs of PCI loans
|
(578
|
)
|
|
—
|
|
|
—
|
|
|
(578
|
)
|
||||
Provision for loan and lease losses
|
80
|
|
|
1,092
|
|
|
313
|
|
|
1,485
|
|
||||
Other
(1)
|
1
|
|
|
3
|
|
|
—
|
|
|
4
|
|
||||
Allowance for loan and lease losses, June 30
|
4,741
|
|
|
3,702
|
|
|
4,625
|
|
|
13,068
|
|
||||
Reserve for unfunded lending commitments, January 1
|
—
|
|
|
—
|
|
|
528
|
|
|
528
|
|
||||
Provision for unfunded lending commitments
|
—
|
|
|
—
|
|
|
60
|
|
|
60
|
|
||||
Reserve for unfunded lending commitments, June 30
|
—
|
|
|
—
|
|
|
588
|
|
|
588
|
|
||||
Allowance for credit losses, June 30
|
$
|
4,741
|
|
|
$
|
3,702
|
|
|
$
|
5,213
|
|
|
$
|
13,656
|
|
(1)
|
Primarily represents the net impact of portfolio sales, consolidations and deconsolidations, foreign currency translation adjustments and certain other reclassifications.
|
Allowance and Carrying Value by Portfolio Segment
|
|
|
|
|
|
|
|
||||||||
|
June 30, 2016
|
||||||||||||||
(Dollars in millions)
|
Consumer Real Estate
|
|
Credit Card
and Other Consumer |
|
Commercial
|
|
Total
|
||||||||
Impaired loans and troubled debt restructurings
(1)
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses
(2)
|
$
|
442
|
|
|
$
|
189
|
|
|
$
|
238
|
|
|
$
|
869
|
|
Carrying value
(3)
|
17,842
|
|
|
672
|
|
|
3,102
|
|
|
21,616
|
|
||||
Allowance as a percentage of carrying value
|
2.48
|
%
|
|
28.13
|
%
|
|
7.67
|
%
|
|
4.02
|
%
|
||||
Loans collectively evaluated for impairment
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses
|
$
|
2,239
|
|
|
$
|
3,145
|
|
|
$
|
5,056
|
|
|
$
|
10,440
|
|
Carrying value
(3, 4)
|
224,460
|
|
|
191,841
|
|
|
441,348
|
|
|
857,649
|
|
||||
Allowance as a percentage of carrying value
(4)
|
1.00
|
%
|
|
1.64
|
%
|
|
1.15
|
%
|
|
1.22
|
%
|
||||
Purchased credit-impaired loans
|
|
|
|
|
|
|
|
||||||||
Valuation allowance
|
$
|
528
|
|
|
n/a
|
|
|
n/a
|
|
|
$
|
528
|
|
||
Carrying value gross of valuation allowance
|
15,228
|
|
|
n/a
|
|
|
n/a
|
|
|
15,228
|
|
||||
Valuation allowance as a percentage of carrying value
|
3.47
|
%
|
|
n/a
|
|
|
n/a
|
|
|
3.47
|
%
|
||||
Total
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses
|
$
|
3,209
|
|
|
$
|
3,334
|
|
|
$
|
5,294
|
|
|
$
|
11,837
|
|
Carrying value
(3, 4)
|
257,530
|
|
|
192,513
|
|
|
444,450
|
|
|
894,493
|
|
||||
Allowance as a percentage of carrying value
(4)
|
1.25
|
%
|
|
1.73
|
%
|
|
1.19
|
%
|
|
1.32
|
%
|
||||
|
|
|
|
|
|
|
|
||||||||
|
December 31, 2015
|
||||||||||||||
Impaired loans and troubled debt restructurings
(1)
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses
(2)
|
$
|
634
|
|
|
$
|
250
|
|
|
$
|
217
|
|
|
$
|
1,101
|
|
Carrying value
(3)
|
21,058
|
|
|
779
|
|
|
2,368
|
|
|
24,205
|
|
||||
Allowance as a percentage of carrying value
|
3.01
|
%
|
|
32.09
|
%
|
|
9.16
|
%
|
|
4.55
|
%
|
||||
Loans collectively evaluated for impairment
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses
|
$
|
2,476
|
|
|
$
|
3,221
|
|
|
$
|
4,632
|
|
|
$
|
10,329
|
|
Carrying value
(3, 4)
|
226,116
|
|
|
189,660
|
|
|
433,379
|
|
|
849,155
|
|
||||
Allowance as a percentage of carrying value
(4)
|
1.10
|
%
|
|
1.70
|
%
|
|
1.07
|
%
|
|
1.22
|
%
|
||||
Purchased credit-impaired loans
|
|
|
|
|
|
|
|
||||||||
Valuation allowance
|
$
|
804
|
|
|
n/a
|
|
|
n/a
|
|
|
$
|
804
|
|
||
Carrying value gross of valuation allowance
|
16,685
|
|
|
n/a
|
|
|
n/a
|
|
|
16,685
|
|
||||
Valuation allowance as a percentage of carrying value
|
4.82
|
%
|
|
n/a
|
|
|
n/a
|
|
|
4.82
|
%
|
||||
Total
|
|
|
|
|
|
|
|
||||||||
Allowance for loan and lease losses
|
$
|
3,914
|
|
|
$
|
3,471
|
|
|
$
|
4,849
|
|
|
$
|
12,234
|
|
Carrying value
(3, 4)
|
263,859
|
|
|
190,439
|
|
|
435,747
|
|
|
890,045
|
|
||||
Allowance as a percentage of carrying value
(4)
|
1.48
|
%
|
|
1.82
|
%
|
|
1.11
|
%
|
|
1.37
|
%
|
(1)
|
Impaired loans include nonperforming commercial loans and all TDRs, including both commercial and consumer TDRs. Impaired loans exclude nonperforming consumer loans unless they are TDRs, and all consumer and commercial loans accounted for under the fair value option.
|
(2)
|
Allowance for loan and lease losses includes
$29 million
and
$35 million
related to impaired U.S. small business commercial at
June 30, 2016
and
December 31, 2015
.
|
(3)
|
Amounts are presented gross of the allowance for loan and lease losses.
|
(4)
|
Outstanding loan and lease balances and ratios do not include loans accounted for under the fair value option of
$8.7 billion
and
$6.9 billion
at
June 30, 2016
and
December 31, 2015
.
|
NOTE 6 – Securitizations and Other Variable Interest Entities
|
First-lien Mortgage Securitizations
|
First-lien Mortgage Securitizations
|
|
|
|||||||||||
|
Three Months Ended June 30
|
||||||||||||
|
Residential Mortgage
|
|
|
||||||||||
|
Agency
|
|
Commercial Mortgage
|
||||||||||
(Dollars in millions)
|
2016
|
2015
|
|
2016
|
2015
|
||||||||
Cash proceeds from new securitizations
(1)
|
$
|
4,375
|
|
$
|
5,619
|
|
|
$
|
732
|
|
$
|
2,732
|
|
Gain (loss) on securitizations
(2)
|
70
|
|
184
|
|
|
(6
|
)
|
39
|
|
||||
|
|
|
|
|
|
||||||||
|
Six Months Ended June 30
|
||||||||||||
|
2016
|
2015
|
|
2016
|
2015
|
||||||||
Cash proceeds from new securitizations
(1)
|
$
|
11,449
|
|
$
|
12,953
|
|
|
$
|
1,979
|
|
$
|
4,888
|
|
Gain (loss) on securitizations
(2)
|
233
|
|
357
|
|
|
(9
|
)
|
32
|
|
(1)
|
The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or GNMA in the normal course of business and receives RMBS in exchange which may then be sold into the market to third-party investors for cash proceeds.
|
(2)
|
A majority of the first-lien residential and commercial mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. Gains recognized on these LHFS prior to securitization, which totaled
$92 million
and
$200 million
, net of hedges, during the
three and six months ended June 30, 2016
compared to
$262 million
and
$431 million
for the
same periods in 2015
, are not included in the table above.
|
First-lien Mortgage VIEs
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
|
Residential Mortgage
|
|
|
|||||||||||||||||||||||||||||||
|
|
|
|
Non-agency
|
|
|
||||||||||||||||||||||||||||
|
Agency
|
|
Prime
|
|
Subprime
|
|
Alt-A
|
|
Commercial Mortgage
|
|||||||||||||||||||||||||
(Dollars in millions)
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
||||||||||||||||||||
Unconsolidated VIEs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Maximum loss exposure
(1)
|
$
|
25,595
|
|
$
|
28,188
|
|
|
$
|
854
|
|
$
|
1,027
|
|
|
$
|
2,681
|
|
$
|
2,905
|
|
|
$
|
564
|
|
$
|
622
|
|
|
$
|
327
|
|
$
|
326
|
|
On-balance sheet assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Senior securities held
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Trading account assets
|
$
|
1,137
|
|
$
|
1,297
|
|
|
$
|
21
|
|
$
|
42
|
|
|
$
|
67
|
|
$
|
94
|
|
|
$
|
107
|
|
$
|
99
|
|
|
$
|
29
|
|
$
|
59
|
|
Debt securities carried at fair value
|
20,476
|
|
24,369
|
|
|
517
|
|
613
|
|
|
2,288
|
|
2,479
|
|
|
313
|
|
340
|
|
|
—
|
|
—
|
|
||||||||||
Held-to-maturity securities
|
3,968
|
|
2,507
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
38
|
|
37
|
|
||||||||||
Subordinate securities held
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Trading account assets
|
—
|
|
—
|
|
|
1
|
|
1
|
|
|
40
|
|
37
|
|
|
1
|
|
2
|
|
|
32
|
|
22
|
|
||||||||||
Debt securities carried at fair value
|
—
|
|
—
|
|
|
9
|
|
12
|
|
|
2
|
|
3
|
|
|
26
|
|
28
|
|
|
54
|
|
54
|
|
||||||||||
Held-to-maturity securities
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
13
|
|
13
|
|
||||||||||
Residual interests held
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
6
|
|
—
|
|
|
—
|
|
—
|
|
|
27
|
|
48
|
|
||||||||||
All other assets
(3)
|
14
|
|
15
|
|
|
33
|
|
40
|
|
|
—
|
|
—
|
|
|
117
|
|
153
|
|
|
—
|
|
—
|
|
||||||||||
Total retained positions
|
$
|
25,595
|
|
$
|
28,188
|
|
|
$
|
581
|
|
$
|
708
|
|
|
$
|
2,403
|
|
$
|
2,613
|
|
|
$
|
564
|
|
$
|
622
|
|
|
$
|
193
|
|
$
|
233
|
|
Principal balance outstanding
(4)
|
$
|
296,116
|
|
$
|
313,613
|
|
|
$
|
14,548
|
|
$
|
16,087
|
|
|
$
|
25,329
|
|
$
|
27,854
|
|
|
$
|
37,861
|
|
$
|
40,848
|
|
|
$
|
26,205
|
|
$
|
34,243
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Consolidated VIEs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Maximum loss exposure
(1)
|
$
|
21,246
|
|
$
|
26,878
|
|
|
$
|
52
|
|
$
|
65
|
|
|
$
|
181
|
|
$
|
232
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
On-balance sheet assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Trading account assets
|
$
|
402
|
|
$
|
1,101
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
188
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
Loans and leases
(5)
|
20,386
|
|
25,328
|
|
|
83
|
|
111
|
|
|
608
|
|
675
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
All other assets
|
459
|
|
449
|
|
|
3
|
|
—
|
|
|
45
|
|
54
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
Total assets
|
$
|
21,247
|
|
$
|
26,878
|
|
|
$
|
86
|
|
$
|
111
|
|
|
$
|
653
|
|
$
|
917
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
On-balance sheet liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Long-term debt
|
$
|
1
|
|
$
|
—
|
|
|
$
|
34
|
|
$
|
46
|
|
|
$
|
623
|
|
$
|
840
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
All other liabilities
|
3
|
|
1
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
Total liabilities
|
$
|
4
|
|
$
|
1
|
|
|
$
|
34
|
|
$
|
46
|
|
|
$
|
623
|
|
$
|
840
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
(1)
|
Maximum loss exposure includes obligations under loss-sharing reinsurance and other arrangements for non-agency residential mortgage and commercial mortgage securitizations, but excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For additional information, see
Note 7 – Representations and Warranties Obligations and Corporate Guarantees
and
Note 17 – Mortgage Servicing Rights
.
|
(2)
|
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the
three and six months ended June 30, 2016 and 2015
, there were
no
OTTI losses recorded on those securities classified as AFS debt securities.
|
(3)
|
Not included in the table above are all other assets of
$214 million
and
$222 million
, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization vehicles, principally guaranteed by GNMA, and all other liabilities of
$214 million
and
$222 million
, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at
June 30, 2016
and
December 31, 2015
.
|
(4)
|
Principal balance outstanding includes loans the Corporation transferred with which it has continuing involvement, which may include servicing the loans.
|
(5)
|
Balance at
June 30, 2016
includes
$691 million
from consolidated collateralized financing entities that were measured using the fair value of the financial liabilities of those entities as the measurement basis.
|
Other Asset-backed Securitizations
|
Home Equity Loan, Credit Card and Other Asset-backed VIEs
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
|
Home Equity Loan
(1)
|
|
Credit Card
(2, 3)
|
|
Resecuritization Trusts
|
|
Municipal Bond Trusts
|
|
Automobile and Other Securitization Trusts
|
|||||||||||||||||||||||||
(Dollars in millions)
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
|
June 30
2016 |
December 31
2015 |
||||||||||||||||||||
Unconsolidated VIEs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Maximum loss exposure
|
$
|
3,585
|
|
$
|
3,988
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
11,460
|
|
$
|
13,043
|
|
|
$
|
1,508
|
|
$
|
1,572
|
|
|
$
|
50
|
|
$
|
63
|
|
On-balance sheet assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Senior securities held
(4, 5)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Trading account assets
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
1,496
|
|
$
|
1,248
|
|
|
$
|
11
|
|
$
|
2
|
|
|
$
|
—
|
|
$
|
—
|
|
Debt securities carried at fair value
|
51
|
|
57
|
|
|
—
|
|
—
|
|
|
2,835
|
|
4,341
|
|
|
—
|
|
—
|
|
|
50
|
|
53
|
|
||||||||||
Held-to-maturity securities
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
7,008
|
|
7,367
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
Subordinate securities held
(4, 5)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Trading account assets
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
51
|
|
17
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
Debt securities carried at fair value
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
70
|
|
70
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
All other assets
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
10
|
|
||||||||||
Total retained positions
|
$
|
51
|
|
$
|
57
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
11,460
|
|
$
|
13,043
|
|
|
$
|
11
|
|
$
|
2
|
|
|
$
|
50
|
|
$
|
63
|
|
Total assets of VIEs
(6)
|
$
|
5,325
|
|
$
|
5,883
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
36,190
|
|
$
|
35,362
|
|
|
$
|
2,286
|
|
$
|
2,518
|
|
|
$
|
184
|
|
$
|
314
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Consolidated VIEs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Maximum loss exposure
|
$
|
176
|
|
$
|
231
|
|
|
$
|
25,708
|
|
$
|
32,678
|
|
|
$
|
224
|
|
$
|
354
|
|
|
$
|
1,860
|
|
$
|
1,973
|
|
|
$
|
—
|
|
$
|
—
|
|
On-balance sheet assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Trading account assets
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
616
|
|
$
|
771
|
|
|
$
|
1,862
|
|
$
|
1,984
|
|
|
$
|
—
|
|
$
|
—
|
|
Loans and leases
|
284
|
|
321
|
|
|
35,587
|
|
43,194
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
Allowance for loan and lease losses
|
(17
|
)
|
(18
|
)
|
|
(1,101
|
)
|
(1,293
|
)
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
All other assets
|
8
|
|
20
|
|
|
287
|
|
342
|
|
|
—
|
|
—
|
|
|
18
|
|
1
|
|
|
—
|
|
—
|
|
||||||||||
Total assets
|
$
|
275
|
|
$
|
323
|
|
|
$
|
34,773
|
|
$
|
42,243
|
|
|
$
|
616
|
|
$
|
771
|
|
|
$
|
1,880
|
|
$
|
1,985
|
|
|
$
|
—
|
|
$
|
—
|
|
On-balance sheet liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Short-term borrowings
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
—
|
|
$
|
—
|
|
|
$
|
639
|
|
$
|
681
|
|
|
$
|
—
|
|
$
|
—
|
|
Long-term debt
|
140
|
|
183
|
|
|
9,044
|
|
9,550
|
|
|
392
|
|
417
|
|
|
12
|
|
12
|
|
|
—
|
|
—
|
|
||||||||||
All other liabilities
|
—
|
|
—
|
|
|
21
|
|
15
|
|
|
—
|
|
—
|
|
|
8
|
|
—
|
|
|
—
|
|
—
|
|
||||||||||
Total liabilities
|
$
|
140
|
|
$
|
183
|
|
|
$
|
9,065
|
|
$
|
9,565
|
|
|
$
|
392
|
|
$
|
417
|
|
|
$
|
659
|
|
$
|
693
|
|
|
$
|
—
|
|
$
|
—
|
|
(1)
|
For unconsolidated home equity loan VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves. For both consolidated and unconsolidated home equity loan VIEs, the maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees. For additional information, see
Note 7 – Representations and Warranties Obligations and Corporate Guarantees
.
|
(2)
|
At
June 30, 2016
and
December 31, 2015
, loans and leases in the consolidated credit card trust included
$17.9 billion
and
$24.7 billion
of seller's interest.
|
(3)
|
At
June 30, 2016
and
December 31, 2015
, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.
|
(4)
|
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the
three and six months ended June 30, 2016 and 2015
, there were
no
OTTI losses recorded on those securities classified as AFS or HTM debt securities.
|
(5)
|
The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).
|
(6)
|
Total assets include loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loan.
|
Other Variable Interest Entities
|
Other VIEs
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(Dollars in millions)
|
Consolidated
|
|
Unconsolidated
|
|
Total
|
|
Consolidated
|
|
Unconsolidated
|
|
Total
|
||||||||||||
Maximum loss exposure
|
$
|
6,876
|
|
|
$
|
17,244
|
|
|
$
|
24,120
|
|
|
$
|
6,295
|
|
|
$
|
12,916
|
|
|
$
|
19,211
|
|
On-balance sheet assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Trading account assets
|
$
|
3,060
|
|
|
$
|
466
|
|
|
$
|
3,526
|
|
|
$
|
2,300
|
|
|
$
|
366
|
|
|
$
|
2,666
|
|
Debt securities carried at fair value
|
—
|
|
|
101
|
|
|
101
|
|
|
—
|
|
|
126
|
|
|
126
|
|
||||||
Loans and leases
|
3,436
|
|
|
3,331
|
|
|
6,767
|
|
|
3,317
|
|
|
3,389
|
|
|
6,706
|
|
||||||
Allowance for loan and lease losses
|
(10
|
)
|
|
(28
|
)
|
|
(38
|
)
|
|
(9
|
)
|
|
(23
|
)
|
|
(32
|
)
|
||||||
Loans held-for-sale
|
256
|
|
|
631
|
|
|
887
|
|
|
284
|
|
|
1,025
|
|
|
1,309
|
|
||||||
All other assets
|
635
|
|
|
11,143
|
|
|
11,778
|
|
|
664
|
|
|
6,925
|
|
|
7,589
|
|
||||||
Total
|
$
|
7,377
|
|
|
$
|
15,644
|
|
|
$
|
23,021
|
|
|
$
|
6,556
|
|
|
$
|
11,808
|
|
|
$
|
18,364
|
|
On-balance sheet liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Long-term debt
(1)
|
$
|
1,217
|
|
|
$
|
—
|
|
|
$
|
1,217
|
|
|
$
|
3,025
|
|
|
$
|
—
|
|
|
$
|
3,025
|
|
All other liabilities
|
3
|
|
|
2,595
|
|
|
2,598
|
|
|
5
|
|
|
2,697
|
|
|
2,702
|
|
||||||
Total
|
$
|
1,220
|
|
|
$
|
2,595
|
|
|
$
|
3,815
|
|
|
$
|
3,030
|
|
|
$
|
2,697
|
|
|
$
|
5,727
|
|
Total assets of VIEs
|
$
|
7,377
|
|
|
$
|
63,585
|
|
|
$
|
70,962
|
|
|
$
|
6,556
|
|
|
$
|
49,190
|
|
|
$
|
55,746
|
|
(1)
|
Includes
$719 million
and
$2.8 billion
of long-term debt at
June 30, 2016
and
December 31, 2015
issued by other consolidated VIEs, which has recourse to the general credit of the Corporation.
|
NOTE 7 – Representations and Warranties Obligations and Corporate Guarantees
|
|
Background
|
Settlement Actions
|
Unresolved Repurchase Claims
|
Unresolved Repurchase Claims by Counterparty, net of duplicate claims
|
|
|
|
||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
By counterparty
|
|
|
|
||||
Private-label securitization trustees, whole-loan investors, including third-party securitization sponsors and other
(1)
|
$
|
16,720
|
|
|
$
|
16,748
|
|
Monolines
|
1,591
|
|
|
1,599
|
|
||
GSEs
|
8
|
|
|
17
|
|
||
Total unresolved repurchase claims by counterparty, net of duplicate claims
|
$
|
18,319
|
|
|
$
|
18,364
|
|
(1)
|
Includes
$11.9 billion
of claims based on individual file reviews and
$4.8 billion
of claims submitted without individual file reviews at both
June 30, 2016
and
December 31, 2015
.
|
Experience with Government-sponsored Enterprises and Monoline Insurers
|
Private-label Securitizations and Whole-loan Sales Experience
|
Liability for Representations and Warranties and Corporate Guarantees and Estimated Range of Possible Loss
|
Representations and Warranties and Corporate Guarantees
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Liability for representations and warranties and corporate guarantees, beginning of period
|
$
|
2,812
|
|
|
$
|
11,992
|
|
|
$
|
11,326
|
|
|
$
|
12,081
|
|
Additions for new sales
|
1
|
|
|
2
|
|
|
2
|
|
|
3
|
|
||||
Net reductions
|
(107
|
)
|
|
(233
|
)
|
|
(8,664
|
)
|
|
(407
|
)
|
||||
Provision (benefit)
|
17
|
|
|
(205
|
)
|
|
59
|
|
|
(121
|
)
|
||||
Liability for representations and warranties and corporate guarantees, June 30
(1)
|
$
|
2,723
|
|
|
$
|
11,556
|
|
|
$
|
2,723
|
|
|
$
|
11,556
|
|
NOTE 8 – Goodwill and Intangible Assets
|
|
Goodwill
|
Goodwill
|
|||||||
(Dollars in millions)
|
June 30
2016 |
|
December 31
2015 |
||||
Consumer Banking
|
$
|
30,123
|
|
|
$
|
30,123
|
|
Global Wealth & Investment Management
|
9,681
|
|
|
9,698
|
|
||
Global Banking
|
23,923
|
|
|
23,923
|
|
||
Global Markets
|
5,197
|
|
|
5,197
|
|
||
All Other
|
820
|
|
|
820
|
|
||
Total goodwill
|
$
|
69,744
|
|
|
$
|
69,761
|
|
Intangible Assets
|
Intangible Assets
(1, 2)
|
|
|
|||||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(Dollars in millions)
|
Gross
Carrying Value
|
|
Accumulated
Amortization
|
|
Net
Carrying Value
|
|
Gross
Carrying Value
|
|
Accumulated
Amortization
|
|
Net
Carrying Value |
||||||||||||
Purchased credit card and affinity relationships
|
$
|
6,905
|
|
|
$
|
6,167
|
|
|
$
|
738
|
|
|
$
|
7,006
|
|
|
$
|
6,111
|
|
|
$
|
895
|
|
Core deposit and other intangibles
(3)
|
3,838
|
|
|
1,994
|
|
|
1,844
|
|
|
3,922
|
|
|
1,986
|
|
|
1,936
|
|
||||||
Customer relationships
|
3,887
|
|
|
3,117
|
|
|
770
|
|
|
3,927
|
|
|
2,990
|
|
|
937
|
|
||||||
Total intangible assets
|
$
|
14,630
|
|
|
$
|
11,278
|
|
|
$
|
3,352
|
|
|
$
|
14,855
|
|
|
$
|
11,087
|
|
|
$
|
3,768
|
|
(1)
|
Excludes fully amortized intangible assets.
|
(2)
|
At
June 30, 2016
and
December 31, 2015
, none of the intangible assets were impaired.
|
(3)
|
Includes intangible assets associated with trade names that have an indefinite life and, accordingly, are not amortized.
|
Amortization Expense
|
|
|
|
|
|||||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Purchased credit card and affinity relationships
|
$
|
74
|
|
|
$
|
89
|
|
|
$
|
148
|
|
|
$
|
178
|
|
Core deposit and other intangibles
|
29
|
|
|
36
|
|
|
59
|
|
|
73
|
|
||||
Customer relationships
|
83
|
|
|
87
|
|
|
166
|
|
|
174
|
|
||||
Total amortization expense
|
$
|
186
|
|
|
$
|
212
|
|
|
$
|
373
|
|
|
$
|
425
|
|
NOTE 9 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings
|
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||||||||||||||
|
Amount
|
|
Rate
|
|
Amount
|
|
Rate
|
||||||||||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Average during period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
223,005
|
|
|
$
|
214,326
|
|
|
0.47
|
%
|
|
0.50
|
%
|
|
$
|
216,094
|
|
|
$
|
214,130
|
|
|
0.50
|
%
|
|
0.47
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
$
|
184,392
|
|
|
$
|
219,946
|
|
|
1.03
|
%
|
|
1.03
|
%
|
|
$
|
187,844
|
|
|
$
|
217,348
|
|
|
1.03
|
%
|
|
0.97
|
%
|
Short-term borrowings
|
31,460
|
|
|
32,142
|
|
|
1.95
|
|
|
1.49
|
|
|
31,077
|
|
|
30,785
|
|
|
1.77
|
|
|
1.48
|
|
||||
Total
|
$
|
215,852
|
|
|
$
|
252,088
|
|
|
1.17
|
|
|
1.09
|
|
|
$
|
218,921
|
|
|
$
|
248,133
|
|
|
1.14
|
|
|
1.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Maximum month-end balance during period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
225,015
|
|
|
$
|
224,701
|
|
|
|
|
|
|
$
|
225,015
|
|
|
$
|
226,502
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
$
|
182,776
|
|
|
$
|
227,753
|
|
|
|
|
|
|
$
|
196,631
|
|
|
$
|
227,753
|
|
|
|
|
|
||||
Short-term borrowings
|
33,051
|
|
|
39,903
|
|
|
|
|
|
|
33,051
|
|
|
39,903
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
June 30, 2016
|
|
|
|
December 31, 2015
|
|
|
|
|
||||||||||||||||||
|
Amount
|
|
Rate
|
|
|
|
|
|
Amount
|
|
Rate
|
|
|
|
|
||||||||||||
Period-end
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
213,737
|
|
|
0.60
|
%
|
|
|
|
|
|
$
|
192,482
|
|
|
0.44
|
%
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
$
|
178,062
|
|
|
1.00
|
%
|
|
|
|
|
|
$
|
174,291
|
|
|
0.82
|
%
|
|
|
|
|
||||||
Short-term borrowings
|
33,051
|
|
|
2.03
|
|
|
|
|
|
|
28,098
|
|
|
1.61
|
|
|
|
|
|
||||||||
Total
|
$
|
211,113
|
|
|
1.15
|
|
|
|
|
|
|
$
|
202,389
|
|
|
0.92
|
|
|
|
|
|
Offsetting of Securities Financing Agreements
|
Securities Financing Agreements
|
|||||||||||||||||||
|
June 30, 2016
|
||||||||||||||||||
(Dollars in millions)
|
Gross Assets/Liabilities
|
|
Amounts Offset
|
|
Net Balance Sheet Amount
|
|
Financial Instruments
|
|
Net Assets/Liabilities
|
||||||||||
Securities borrowed or purchased under agreements to resell
(1)
|
$
|
345,379
|
|
|
$
|
(131,642
|
)
|
|
$
|
213,737
|
|
|
$
|
(163,091
|
)
|
|
$
|
50,646
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Securities loaned or sold under agreements to repurchase
|
$
|
309,691
|
|
|
$
|
(131,642
|
)
|
|
$
|
178,049
|
|
|
$
|
(149,338
|
)
|
|
$
|
28,711
|
|
Other
|
12,956
|
|
|
—
|
|
|
12,956
|
|
|
(12,956
|
)
|
|
—
|
|
|||||
Total
|
$
|
322,647
|
|
|
$
|
(131,642
|
)
|
|
$
|
191,005
|
|
|
$
|
(162,294
|
)
|
|
$
|
28,711
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2015
|
||||||||||||||||||
Securities borrowed or purchased under agreements to resell
(1)
|
$
|
347,281
|
|
|
$
|
(154,799
|
)
|
|
$
|
192,482
|
|
|
$
|
(144,332
|
)
|
|
$
|
48,150
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Securities loaned or sold under agreements to repurchase
|
$
|
329,078
|
|
|
$
|
(154,799
|
)
|
|
$
|
174,279
|
|
|
$
|
(135,737
|
)
|
|
$
|
38,542
|
|
Other
|
13,235
|
|
|
—
|
|
|
13,235
|
|
|
(13,235
|
)
|
|
—
|
|
|||||
Total
|
$
|
342,313
|
|
|
$
|
(154,799
|
)
|
|
$
|
187,514
|
|
|
$
|
(148,972
|
)
|
|
$
|
38,542
|
|
(1)
|
Excludes repurchase activity of
$10.1 billion
and
$9.3 billion
reported in loans and leases on the Consolidated Balance Sheet at
June 30, 2016
and
December 31, 2015
.
|
Repurchase Agreements and Securities Loaned Transactions Accounted for as Secured Borrowings
|
Remaining Contractual Maturity
|
|||||||||||||||||||
|
June 30, 2016
|
||||||||||||||||||
(Dollars in millions)
|
Overnight and Continuous
|
|
30 Days or Less
|
|
After 30 Days Through 90 Days
|
|
Greater than 90 Days
(1)
|
|
Total
|
||||||||||
Securities sold under agreements to repurchase
|
$
|
126,298
|
|
|
$
|
84,943
|
|
|
$
|
44,351
|
|
|
$
|
31,804
|
|
|
$
|
287,396
|
|
Securities loaned
|
17,203
|
|
|
1,277
|
|
|
1,838
|
|
|
1,977
|
|
|
22,295
|
|
|||||
Other
|
12,956
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,956
|
|
|||||
Total
|
$
|
156,457
|
|
|
$
|
86,220
|
|
|
$
|
46,189
|
|
|
$
|
33,781
|
|
|
$
|
322,647
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2015
|
||||||||||||||||||
Securities sold under agreements to repurchase
|
$
|
126,694
|
|
|
$
|
86,879
|
|
|
$
|
43,216
|
|
|
$
|
27,514
|
|
|
$
|
284,303
|
|
Securities loaned
|
39,772
|
|
|
363
|
|
|
2,352
|
|
|
2,288
|
|
|
44,775
|
|
|||||
Other
|
13,235
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
13,235
|
|
|||||
Total
|
$
|
179,701
|
|
|
$
|
87,242
|
|
|
$
|
45,568
|
|
|
$
|
29,802
|
|
|
$
|
342,313
|
|
(1)
|
No agreements have maturities greater than
three years
.
|
Class of Collateral Pledged
|
|
|
|
|
|
|
|
||||||||
|
June 30, 2016
|
||||||||||||||
(Dollars in millions)
|
Securities Sold Under Agreements to Repurchase
|
|
Securities Loaned
|
|
Other
|
|
Total
|
||||||||
U.S. government and agency securities
|
$
|
162,644
|
|
|
$
|
—
|
|
|
$
|
60
|
|
|
$
|
162,704
|
|
Corporate securities, trading loans and other
|
10,154
|
|
|
1,749
|
|
|
488
|
|
|
12,391
|
|
||||
Equity securities
|
20,218
|
|
|
11,218
|
|
|
12,351
|
|
|
43,787
|
|
||||
Non-U.S. sovereign debt
|
84,505
|
|
|
9,328
|
|
|
57
|
|
|
93,890
|
|
||||
Mortgage trading loans and ABS
|
9,875
|
|
|
—
|
|
|
—
|
|
|
9,875
|
|
||||
Total
|
$
|
287,396
|
|
|
$
|
22,295
|
|
|
$
|
12,956
|
|
|
$
|
322,647
|
|
|
|
|
|
|
|
|
|
||||||||
|
December 31, 2015
|
||||||||||||||
U.S. government and agency securities
|
$
|
142,572
|
|
|
$
|
—
|
|
|
$
|
27
|
|
|
$
|
142,599
|
|
Corporate securities, trading loans and other
|
11,767
|
|
|
265
|
|
|
278
|
|
|
12,310
|
|
||||
Equity securities
|
32,323
|
|
|
13,350
|
|
|
12,929
|
|
|
58,602
|
|
||||
Non-U.S. sovereign debt
|
87,849
|
|
|
31,160
|
|
|
1
|
|
|
119,010
|
|
||||
Mortgage trading loans and ABS
|
9,792
|
|
|
—
|
|
|
—
|
|
|
9,792
|
|
||||
Total
|
$
|
284,303
|
|
|
$
|
44,775
|
|
|
$
|
13,235
|
|
|
$
|
342,313
|
|
NOTE 10 – Commitments and Contingencies
|
Credit Extension Commitments
|
Credit Extension Commitments
|
|
|
|||||||||||||||||
|
June 30, 2016
|
||||||||||||||||||
(Dollars in millions)
|
Expire in
One Year
or Less
|
|
Expire After
One Year Through
Three Years |
|
Expire After Three Years Through
Five Years |
|
Expire After Five Years
|
|
Total
|
||||||||||
Notional amount of credit extension commitments
|
|
|
|
|
|
|
|
|
|
||||||||||
Loan commitments
|
$
|
78,341
|
|
|
$
|
122,261
|
|
|
$
|
149,771
|
|
|
$
|
24,486
|
|
|
$
|
374,859
|
|
Home equity lines of credit
|
7,978
|
|
|
14,789
|
|
|
3,495
|
|
|
22,561
|
|
|
48,823
|
|
|||||
Standby letters of credit and financial guarantees
(1)
|
20,022
|
|
|
10,908
|
|
|
3,645
|
|
|
1,075
|
|
|
35,650
|
|
|||||
Letters of credit
|
1,836
|
|
|
102
|
|
|
126
|
|
|
39
|
|
|
2,103
|
|
|||||
Legally binding commitments
|
108,177
|
|
|
148,060
|
|
|
157,037
|
|
|
48,161
|
|
|
461,435
|
|
|||||
Credit card lines
(2)
|
376,457
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
376,457
|
|
|||||
Total credit extension commitments
|
$
|
484,634
|
|
|
$
|
148,060
|
|
|
$
|
157,037
|
|
|
$
|
48,161
|
|
|
$
|
837,892
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2015
|
||||||||||||||||||
Notional amount of credit extension commitments
|
|
|
|
|
|
|
|
|
|
||||||||||
Loan commitments
|
$
|
84,884
|
|
|
$
|
119,272
|
|
|
$
|
158,920
|
|
|
$
|
37,112
|
|
|
$
|
400,188
|
|
Home equity lines of credit
|
7,074
|
|
|
18,438
|
|
|
5,126
|
|
|
19,697
|
|
|
50,335
|
|
|||||
Standby letters of credit and financial guarantees
(1)
|
19,584
|
|
|
9,903
|
|
|
3,385
|
|
|
1,218
|
|
|
34,090
|
|
|||||
Letters of credit
|
1,650
|
|
|
165
|
|
|
258
|
|
|
54
|
|
|
2,127
|
|
|||||
Legally binding commitments
|
113,192
|
|
|
147,778
|
|
|
167,689
|
|
|
58,081
|
|
|
486,740
|
|
|||||
Credit card lines
(2)
|
370,127
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
370,127
|
|
|||||
Total credit extension commitments
|
$
|
483,319
|
|
|
$
|
147,778
|
|
|
$
|
167,689
|
|
|
$
|
58,081
|
|
|
$
|
856,867
|
|
(1)
|
The notional amounts of SBLCs and financial guarantees classified as investment grade and non-investment grade based on the credit quality of the underlying reference name within the instrument were
$26.8 billion
and
$8.6 billion
at
June 30, 2016
, and
$25.5 billion
and
$8.4 billion
at
December 31, 2015
. Amounts in the table include consumer SBLCs of
$278 million
and
$164 million
at
June 30, 2016
and
December 31, 2015
.
|
(2)
|
Includes business card unused lines of credit.
|
Other Commitments
|
Other Guarantees
|
Other Contingencies
|
Litigation and Regulatory Matters
|
NOTE 11 – Shareholders' Equity
|
|
Common Stock
|
Declaration Date
|
Record Date
|
Payment Date
|
Dividend Per Share
|
|
July 27, 2016
|
September 2, 2016
|
September 23, 2016
|
$0.075
|
|
April 27, 2016
|
June 3, 2016
|
June 24, 2016
|
0.05
|
|
January 21, 2016
|
March 4, 2016
|
March 25, 2016
|
0.05
|
|
Preferred Stock
|
Restricted Stock Units
|
NOTE 12 – Accumulated Other Comprehensive Income (Loss)
|
(Dollars in millions)
|
Debt Securities
|
|
Available-for-sale
Marketable
Equity Securities
|
|
Debit Valuation Adjustments
(1)
|
|
Derivatives
|
|
Employee
Benefit Plans
|
|
Foreign
Currency
(2)
|
|
Total
|
||||||||||||||
Balance, December 31, 2014
|
$
|
1,343
|
|
|
$
|
17
|
|
|
n/a
|
|
|
$
|
(1,661
|
)
|
|
$
|
(3,350
|
)
|
|
$
|
(669
|
)
|
|
$
|
(4,320
|
)
|
|
Cumulative adjustment for accounting change
|
—
|
|
|
—
|
|
|
$
|
(1,226
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,226
|
)
|
||||||
Net change
|
(1,249
|
)
|
|
48
|
|
|
446
|
|
|
289
|
|
|
50
|
|
|
(8
|
)
|
|
(424
|
)
|
|||||||
Balance, June 30, 2015
|
$
|
94
|
|
|
$
|
65
|
|
|
$
|
(780
|
)
|
|
$
|
(1,372
|
)
|
|
$
|
(3,300
|
)
|
|
$
|
(677
|
)
|
|
$
|
(5,970
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance, December 31, 2015
|
$
|
(300
|
)
|
|
$
|
62
|
|
|
$
|
(611
|
)
|
|
$
|
(1,077
|
)
|
|
$
|
(2,956
|
)
|
|
$
|
(792
|
)
|
|
$
|
(5,674
|
)
|
Net change
|
4,121
|
|
|
(53
|
)
|
|
114
|
|
|
150
|
|
|
23
|
|
|
(9
|
)
|
|
4,346
|
|
|||||||
Balance, June 30, 2016
|
$
|
3,821
|
|
|
$
|
9
|
|
|
$
|
(497
|
)
|
|
$
|
(927
|
)
|
|
$
|
(2,933
|
)
|
|
$
|
(801
|
)
|
|
$
|
(1,328
|
)
|
(1)
|
For information on the impact of early adoption of new accounting guidance on recognition and measurement of financial instruments, see
Note 1 – Summary of Significant Accounting Principles
.
|
(2)
|
The net change in fair value represents the impact of changes in spot foreign exchange rates on the Corporation's net investment in non-U.S. operations and related hedges.
|
Reclassifications Out of Accumulated OCI
|
||||||||
(Dollars in millions)
|
|
Six Months Ended June 30
|
||||||
Accumulated OCI Components
|
Income Statement Line Item Impacted
|
2016
|
|
2015
|
||||
Debt securities:
|
|
|
|
|
||||
|
Gains on sales of debt securities
|
$
|
492
|
|
|
$
|
436
|
|
|
Other loss
|
(12
|
)
|
|
(75
|
)
|
||
|
Income before income taxes
|
480
|
|
|
361
|
|
||
|
Income tax expense
|
183
|
|
|
137
|
|
||
|
Reclassification to net income
|
297
|
|
|
224
|
|
||
Debit valuation adjustments:
|
|
|
|
|
||||
|
Other loss
|
(12
|
)
|
|
(510
|
)
|
||
|
Loss before income taxes
|
(12
|
)
|
|
(510
|
)
|
||
|
Income tax benefit
|
(5
|
)
|
|
(194
|
)
|
||
|
Reclassification to net income
|
(7
|
)
|
|
(316
|
)
|
||
Derivatives:
|
|
|
|
|
||||
Interest rate contracts
|
Net interest income
|
(328
|
)
|
|
(514
|
)
|
||
Equity compensation contracts
|
Personnel
|
(53
|
)
|
|
27
|
|
||
|
Loss before income taxes
|
(381
|
)
|
|
(487
|
)
|
||
|
Income tax benefit
|
(143
|
)
|
|
(184
|
)
|
||
|
Reclassification to net income
|
(238
|
)
|
|
(303
|
)
|
||
Employee benefit plans:
|
|
|
|
|
||||
Net actuarial losses and prior service costs
|
Personnel
|
(50
|
)
|
|
(85
|
)
|
||
|
Loss before income taxes
|
(50
|
)
|
|
(85
|
)
|
||
|
Income tax benefit
|
(19
|
)
|
|
(33
|
)
|
||
|
Reclassification to net income
|
(31
|
)
|
|
(52
|
)
|
||
Foreign currency:
|
|
|
|
|
||||
|
Other income
|
—
|
|
|
31
|
|
||
|
Income before income taxes
|
—
|
|
|
31
|
|
||
|
Income tax expense
|
—
|
|
|
30
|
|
||
|
Reclassification to net income
|
—
|
|
|
1
|
|
||
Total reclassification adjustments
|
|
$
|
21
|
|
|
$
|
(446
|
)
|
NOTE 13 – Earnings Per Common Share
|
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions, except per share information; shares in thousands)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Earnings per common share
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
4,232
|
|
|
$
|
5,134
|
|
|
$
|
6,912
|
|
|
$
|
8,231
|
|
Preferred stock dividends
|
(361
|
)
|
|
(330
|
)
|
|
(818
|
)
|
|
(712
|
)
|
||||
Net income applicable to common shareholders
|
$
|
3,871
|
|
|
$
|
4,804
|
|
|
$
|
6,094
|
|
|
$
|
7,519
|
|
Average common shares issued and outstanding
|
10,253,573
|
|
|
10,488,137
|
|
|
10,296,652
|
|
|
10,503,379
|
|
||||
Earnings per common share
|
$
|
0.38
|
|
|
$
|
0.46
|
|
|
$
|
0.59
|
|
|
$
|
0.72
|
|
|
|
|
|
|
|
|
|
||||||||
Diluted earnings per common share
|
|
|
|
|
|
|
|
||||||||
Net income applicable to common shareholders
|
$
|
3,871
|
|
|
$
|
4,804
|
|
|
$
|
6,094
|
|
|
$
|
7,519
|
|
Add preferred stock dividends due to assumed conversions
|
75
|
|
|
75
|
|
|
150
|
|
|
150
|
|
||||
Net income allocated to common shareholders
|
$
|
3,946
|
|
|
$
|
4,879
|
|
|
$
|
6,244
|
|
|
$
|
7,669
|
|
Average common shares issued and outstanding
|
10,253,573
|
|
|
10,488,137
|
|
|
10,296,652
|
|
|
10,503,379
|
|
||||
Dilutive potential common shares
(1)
|
805,594
|
|
|
749,923
|
|
|
783,287
|
|
|
749,038
|
|
||||
Total diluted average common shares issued and outstanding
|
11,059,167
|
|
|
11,238,060
|
|
|
11,079,939
|
|
|
11,252,417
|
|
||||
Diluted earnings per common share
|
$
|
0.36
|
|
|
$
|
0.43
|
|
|
$
|
0.56
|
|
|
$
|
0.68
|
|
(1)
|
Includes incremental dilutive shares from RSUs, restricted stock, stock options and warrants.
|
NOTE 14 – Fair Value Measurements
|
Valuation Processes and Techniques
|
Recurring Fair Value
|
|
June 30, 2016
|
||||||||||||||||||
|
Fair Value Measurements
|
|
|
|
|
||||||||||||||
(Dollars in millions)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting
Adjustments
(1)
|
|
Assets/Liabilities
at Fair Value
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
—
|
|
|
$
|
53,008
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
53,008
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency securities
(2)
|
36,534
|
|
|
18,477
|
|
|
—
|
|
|
—
|
|
|
55,011
|
|
|||||
Corporate securities, trading loans and other
|
260
|
|
|
24,353
|
|
|
2,654
|
|
|
—
|
|
|
27,267
|
|
|||||
Equity securities
|
29,210
|
|
|
20,162
|
|
|
455
|
|
|
—
|
|
|
49,827
|
|
|||||
Non-U.S. sovereign debt
|
16,883
|
|
|
15,975
|
|
|
630
|
|
|
—
|
|
|
33,488
|
|
|||||
Mortgage trading loans and ABS
|
—
|
|
|
8,486
|
|
|
1,286
|
|
|
—
|
|
|
9,772
|
|
|||||
Total trading account assets
(3)
|
82,887
|
|
|
87,453
|
|
|
5,025
|
|
|
—
|
|
|
175,365
|
|
|||||
Derivative assets
(4)
|
7,781
|
|
|
888,247
|
|
|
5,169
|
|
|
(845,933
|
)
|
|
55,264
|
|
|||||
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
24,636
|
|
|
1,507
|
|
|
—
|
|
|
—
|
|
|
26,143
|
|
|||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency
|
—
|
|
|
208,688
|
|
|
—
|
|
|
—
|
|
|
208,688
|
|
|||||
Agency-collateralized mortgage obligations
|
—
|
|
|
9,760
|
|
|
—
|
|
|
—
|
|
|
9,760
|
|
|||||
Non-agency residential
|
—
|
|
|
1,969
|
|
|
134
|
|
|
—
|
|
|
2,103
|
|
|||||
Commercial
|
—
|
|
|
11,397
|
|
|
—
|
|
|
—
|
|
|
11,397
|
|
|||||
Non-U.S. securities
|
2,665
|
|
|
3,393
|
|
|
—
|
|
|
—
|
|
|
6,058
|
|
|||||
Other taxable securities
|
—
|
|
|
9,057
|
|
|
717
|
|
|
—
|
|
|
9,774
|
|
|||||
Tax-exempt securities
|
—
|
|
|
14,803
|
|
|
559
|
|
|
—
|
|
|
15,362
|
|
|||||
Total AFS debt securities
|
27,301
|
|
|
260,574
|
|
|
1,410
|
|
|
—
|
|
|
289,285
|
|
|||||
Other debt securities carried at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency-collateralized mortgage obligations
|
—
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|||||
Non-agency residential
|
—
|
|
|
3,216
|
|
|
28
|
|
|
—
|
|
|
3,244
|
|
|||||
Non-U.S. securities
|
15,629
|
|
|
1,256
|
|
|
—
|
|
|
—
|
|
|
16,885
|
|
|||||
Other taxable securities
|
—
|
|
|
249
|
|
|
—
|
|
|
—
|
|
|
249
|
|
|||||
Total other debt securities carried at fair value
|
15,629
|
|
|
4,728
|
|
|
28
|
|
|
—
|
|
|
20,385
|
|
|||||
Loans and leases
(5)
|
—
|
|
|
7,201
|
|
|
1,459
|
|
|
—
|
|
|
8,660
|
|
|||||
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
2,269
|
|
|
—
|
|
|
2,269
|
|
|||||
Loans held-for-sale
|
—
|
|
|
4,422
|
|
|
690
|
|
|
—
|
|
|
5,112
|
|
|||||
Other assets
|
11,676
|
|
|
1,861
|
|
|
348
|
|
|
—
|
|
|
13,885
|
|
|||||
Total assets
|
$
|
145,274
|
|
|
$
|
1,307,494
|
|
|
$
|
16,398
|
|
|
$
|
(845,933
|
)
|
|
$
|
623,233
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing deposits in U.S. offices
|
$
|
—
|
|
|
$
|
1,019
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,019
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
—
|
|
|
24,229
|
|
|
313
|
|
|
—
|
|
|
24,542
|
|
|||||
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency securities
|
15,304
|
|
|
136
|
|
|
—
|
|
|
—
|
|
|
15,440
|
|
|||||
Equity securities
|
31,603
|
|
|
3,346
|
|
|
—
|
|
|
—
|
|
|
34,949
|
|
|||||
Non-U.S. sovereign debt
|
14,485
|
|
|
1,992
|
|
|
—
|
|
|
—
|
|
|
16,477
|
|
|||||
Corporate securities and other
|
262
|
|
|
7,128
|
|
|
26
|
|
|
—
|
|
|
7,416
|
|
|||||
Total trading account liabilities
|
61,654
|
|
|
12,602
|
|
|
26
|
|
|
—
|
|
|
74,282
|
|
|||||
Derivative liabilities
(4)
|
7,776
|
|
|
874,863
|
|
|
5,817
|
|
|
(840,895
|
)
|
|
47,561
|
|
|||||
Short-term borrowings
|
—
|
|
|
1,860
|
|
|
—
|
|
|
—
|
|
|
1,860
|
|
|||||
Accrued expenses and other liabilities
|
11,299
|
|
|
2,004
|
|
|
9
|
|
|
—
|
|
|
13,312
|
|
|||||
Long-term debt
|
—
|
|
|
29,293
|
|
|
2,156
|
|
|
—
|
|
|
31,449
|
|
|||||
Total liabilities
|
$
|
80,729
|
|
|
$
|
945,870
|
|
|
$
|
8,321
|
|
|
$
|
(840,895
|
)
|
|
$
|
194,025
|
|
(1)
|
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
|
(2)
|
Includes
$18.3 billion
of GSE obligations.
|
(3)
|
Includes securities with a fair value of
$15.6 billion
that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
|
(4)
|
During the
six months ended June 30, 2016
,
$974 million
of derivative assets and
$1.1 billion
of derivative liabilities were transferred from Level 1 to Level 2 and
$808 million
of derivative assets and
$819 million
of derivative liabilities were transferred from Level 2 to Level 1 based on the inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see
Note 2 – Derivatives
.
|
(5)
|
Includes
$691 million
from CFEs that were measured using the fair value of the financial liabilities of those entities as the measurement basis.
|
|
December 31, 2015
|
||||||||||||||||||
|
Fair Value Measurements
|
|
|
|
|
||||||||||||||
(Dollars in millions)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting
Adjustments
(1)
|
|
Assets/Liabilities
at Fair Value
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
—
|
|
|
$
|
55,143
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
55,143
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency securities
(2)
|
33,034
|
|
|
15,501
|
|
|
—
|
|
|
—
|
|
|
48,535
|
|
|||||
Corporate securities, trading loans and other
|
325
|
|
|
22,738
|
|
|
2,838
|
|
|
—
|
|
|
25,901
|
|
|||||
Equity securities
|
41,735
|
|
|
20,887
|
|
|
407
|
|
|
—
|
|
|
63,029
|
|
|||||
Non-U.S. sovereign debt
|
15,651
|
|
|
12,915
|
|
|
521
|
|
|
—
|
|
|
29,087
|
|
|||||
Mortgage trading loans and ABS
|
—
|
|
|
8,107
|
|
|
1,868
|
|
|
—
|
|
|
9,975
|
|
|||||
Total trading account assets
(3)
|
90,745
|
|
|
80,148
|
|
|
5,634
|
|
|
—
|
|
|
176,527
|
|
|||||
Derivative assets
(4)
|
5,149
|
|
|
678,355
|
|
|
5,134
|
|
|
(638,648
|
)
|
|
49,990
|
|
|||||
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
23,374
|
|
|
1,903
|
|
|
—
|
|
|
—
|
|
|
25,277
|
|
|||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency
|
—
|
|
|
228,947
|
|
|
—
|
|
|
—
|
|
|
228,947
|
|
|||||
Agency-collateralized mortgage obligations
|
—
|
|
|
10,985
|
|
|
—
|
|
|
—
|
|
|
10,985
|
|
|||||
Non-agency residential
|
—
|
|
|
3,073
|
|
|
106
|
|
|
—
|
|
|
3,179
|
|
|||||
Commercial
|
—
|
|
|
7,165
|
|
|
—
|
|
|
—
|
|
|
7,165
|
|
|||||
Non-U.S. securities
|
2,768
|
|
|
2,999
|
|
|
—
|
|
|
—
|
|
|
5,767
|
|
|||||
Other taxable securities
|
—
|
|
|
9,688
|
|
|
757
|
|
|
—
|
|
|
10,445
|
|
|||||
Tax-exempt securities
|
—
|
|
|
13,439
|
|
|
569
|
|
|
—
|
|
|
14,008
|
|
|||||
Total AFS debt securities
|
26,142
|
|
|
278,199
|
|
|
1,432
|
|
|
—
|
|
|
305,773
|
|
|||||
Other debt securities carried at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency-collateralized mortgage obligations
|
—
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|||||
Non-agency residential
|
—
|
|
|
3,460
|
|
|
30
|
|
|
—
|
|
|
3,490
|
|
|||||
Non-U.S. securities
|
11,691
|
|
|
1,152
|
|
|
—
|
|
|
—
|
|
|
12,843
|
|
|||||
Other taxable securities
|
—
|
|
|
267
|
|
|
—
|
|
|
—
|
|
|
267
|
|
|||||
Total other debt securities carried at fair value
|
11,691
|
|
|
4,886
|
|
|
30
|
|
|
—
|
|
|
16,607
|
|
|||||
Loans and leases
|
—
|
|
|
5,318
|
|
|
1,620
|
|
|
—
|
|
|
6,938
|
|
|||||
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
3,087
|
|
|
—
|
|
|
3,087
|
|
|||||
Loans held-for-sale
|
—
|
|
|
4,031
|
|
|
787
|
|
|
—
|
|
|
4,818
|
|
|||||
Other assets
(5)
|
11,923
|
|
|
2,023
|
|
|
374
|
|
|
—
|
|
|
14,320
|
|
|||||
Total assets
|
$
|
145,650
|
|
|
$
|
1,108,103
|
|
|
$
|
18,098
|
|
|
$
|
(638,648
|
)
|
|
$
|
633,203
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing deposits in U.S. offices
|
$
|
—
|
|
|
$
|
1,116
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,116
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
—
|
|
|
24,239
|
|
|
335
|
|
|
—
|
|
|
24,574
|
|
|||||
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency securities
|
14,803
|
|
|
169
|
|
|
—
|
|
|
—
|
|
|
14,972
|
|
|||||
Equity securities
|
27,898
|
|
|
2,392
|
|
|
—
|
|
|
—
|
|
|
30,290
|
|
|||||
Non-U.S. sovereign debt
|
13,589
|
|
|
1,951
|
|
|
—
|
|
|
—
|
|
|
15,540
|
|
|||||
Corporate securities and other
|
193
|
|
|
5,947
|
|
|
21
|
|
|
—
|
|
|
6,161
|
|
|||||
Total trading account liabilities
|
56,483
|
|
|
10,459
|
|
|
21
|
|
|
—
|
|
|
66,963
|
|
|||||
Derivative liabilities
(4)
|
4,941
|
|
|
670,600
|
|
|
5,575
|
|
|
(642,666
|
)
|
|
38,450
|
|
|||||
Short-term borrowings
|
—
|
|
|
1,295
|
|
|
30
|
|
|
—
|
|
|
1,325
|
|
|||||
Accrued expenses and other liabilities
|
11,656
|
|
|
2,234
|
|
|
9
|
|
|
—
|
|
|
13,899
|
|
|||||
Long-term debt
|
—
|
|
|
28,584
|
|
|
1,513
|
|
|
—
|
|
|
30,097
|
|
|||||
Total liabilities
|
$
|
73,080
|
|
|
$
|
738,527
|
|
|
$
|
7,483
|
|
|
$
|
(642,666
|
)
|
|
$
|
176,424
|
|
(1)
|
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
|
(2)
|
Includes
$14.8 billion
of GSE obligations.
|
(3)
|
Includes securities with a fair value of
$16.4 billion
that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
|
(4)
|
During
2015
,
$6.6 billion
of derivative assets and
$6.7 billion
of derivative liabilities were transferred from Level 1 to Level 2 based on inputs used to measure fair value. Additionally,
$6.4 billion
of derivative assets and
$6.2 billion
of derivative liabilities were transferred from Level 2 to Level 1 due to additional information related to certain options. For further disaggregation of derivative assets and liabilities, see
Note 2 – Derivatives
.
|
(5)
|
During
2015
, approximately
$327 million
of assets were transferred from Level 2 to Level 1 due to a restriction that was lifted for an equity investment.
|
Level 3 – Fair Value Measurements
(1)
|
||||||||||||||||||||||||||||||
|
Three Months Ended June 30, 2016
|
|||||||||||||||||||||||||||||
|
|
|
|
Gross
|
|
|
|
|||||||||||||||||||||||
(Dollars in millions)
|
Balance
April 1
2016
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
(2)
|
Purchases
|
Sales
|
Issuances
|
Settlements
|
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance June 30
2016 |
||||||||||||||||||||
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Corporate securities, trading loans and other
|
$
|
2,954
|
|
$
|
11
|
|
$
|
1
|
|
$
|
472
|
|
$
|
(246
|
)
|
$
|
—
|
|
$
|
(197
|
)
|
$
|
72
|
|
$
|
(413
|
)
|
$
|
2,654
|
|
Equity securities
|
417
|
|
22
|
|
—
|
|
33
|
|
(35
|
)
|
—
|
|
(10
|
)
|
29
|
|
(1
|
)
|
455
|
|
||||||||||
Non-U.S. sovereign debt
|
572
|
|
50
|
|
49
|
|
—
|
|
—
|
|
—
|
|
(41
|
)
|
—
|
|
—
|
|
630
|
|
||||||||||
Mortgage trading loans and ABS
|
1,614
|
|
67
|
|
—
|
|
156
|
|
(419
|
)
|
—
|
|
(94
|
)
|
45
|
|
(83
|
)
|
1,286
|
|
||||||||||
Total trading account assets
|
5,557
|
|
150
|
|
50
|
|
661
|
|
(700
|
)
|
—
|
|
(342
|
)
|
146
|
|
(497
|
)
|
5,025
|
|
||||||||||
Net derivative assets
(3)
|
(315
|
)
|
84
|
|
—
|
|
110
|
|
(444
|
)
|
—
|
|
(123
|
)
|
(8
|
)
|
48
|
|
(648
|
)
|
||||||||||
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Non-agency residential MBS
|
150
|
|
—
|
|
(2
|
)
|
61
|
|
—
|
|
—
|
|
(75
|
)
|
—
|
|
—
|
|
134
|
|
||||||||||
Other taxable securities
|
739
|
|
1
|
|
(3
|
)
|
—
|
|
—
|
|
—
|
|
(20
|
)
|
—
|
|
—
|
|
717
|
|
||||||||||
Tax-exempt securities
|
562
|
|
—
|
|
(3
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
559
|
|
||||||||||
Total AFS debt securities
|
1,451
|
|
1
|
|
(8
|
)
|
61
|
|
—
|
|
—
|
|
(95
|
)
|
—
|
|
—
|
|
1,410
|
|
||||||||||
Other debt securities carried at fair value – Non-agency residential MBS
|
29
|
|
(1
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
28
|
|
||||||||||
Loans and leases
(4, 5)
|
1,697
|
|
(47
|
)
|
—
|
|
—
|
|
—
|
|
25
|
|
(54
|
)
|
1
|
|
(163
|
)
|
1,459
|
|
||||||||||
Mortgage servicing rights
(5)
|
2,631
|
|
(228
|
)
|
—
|
|
—
|
|
(1
|
)
|
72
|
|
(205
|
)
|
—
|
|
—
|
|
2,269
|
|
||||||||||
Loans held-for-sale
(4)
|
660
|
|
11
|
|
28
|
|
—
|
|
(17
|
)
|
—
|
|
(18
|
)
|
26
|
|
—
|
|
690
|
|
||||||||||
Other assets
|
375
|
|
(13
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
(14
|
)
|
—
|
|
—
|
|
348
|
|
||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
(4)
|
(345
|
)
|
32
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(313
|
)
|
||||||||||
Trading account liabilities – Corporate securities and other
|
(28
|
)
|
1
|
|
—
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(26
|
)
|
||||||||||
Accrued expenses and other liabilities
|
(9
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9
|
)
|
||||||||||
Long-term debt
(4)
|
(1,814
|
)
|
(79
|
)
|
(11
|
)
|
20
|
|
—
|
|
(154
|
)
|
77
|
|
(359
|
)
|
164
|
|
(2,156
|
)
|
(1)
|
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
|
(2)
|
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see
Note 1 – Summary of Significant Accounting Principles
.
|
(3)
|
Net derivatives include derivative assets of
$5.2 billion
and derivative liabilities of
$5.8 billion
.
|
(4)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(5)
|
Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.
|
•
|
$146 million
of trading account assets
|
•
|
$359 million
of long-term debt. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
Level 3 – Fair Value Measurements
(1)
|
||||||||||||||||||||||||||||||
|
Three Months Ended June 30, 2015
|
|||||||||||||||||||||||||||||
|
|
|
|
Gross
|
|
|
|
|||||||||||||||||||||||
(Dollars in millions)
|
Balance
April 1
2015
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
(2)
|
Purchases
|
Sales
|
Issuances
|
Settlements
|
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance June 30
2015 |
||||||||||||||||||||
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Corporate securities, trading loans and other
|
$
|
2,760
|
|
$
|
55
|
|
$
|
—
|
|
$
|
338
|
|
$
|
(343
|
)
|
$
|
—
|
|
$
|
(214
|
)
|
$
|
812
|
|
$
|
(82
|
)
|
$
|
3,326
|
|
Equity securities
|
340
|
|
11
|
|
—
|
|
16
|
|
(2
|
)
|
—
|
|
—
|
|
22
|
|
(1
|
)
|
386
|
|
||||||||||
Non-U.S. sovereign debt
|
508
|
|
16
|
|
12
|
|
25
|
|
—
|
|
—
|
|
(66
|
)
|
—
|
|
(27
|
)
|
468
|
|
||||||||||
Mortgage trading loans and ABS
|
2,106
|
|
101
|
|
—
|
|
490
|
|
(378
|
)
|
—
|
|
(161
|
)
|
1
|
|
—
|
|
2,159
|
|
||||||||||
Total trading account assets
|
5,714
|
|
183
|
|
12
|
|
869
|
|
(723
|
)
|
—
|
|
(441
|
)
|
835
|
|
(110
|
)
|
6,339
|
|
||||||||||
Net derivative assets
(3)
|
(1,081
|
)
|
610
|
|
—
|
|
57
|
|
(217
|
)
|
—
|
|
196
|
|
(14
|
)
|
98
|
|
(351
|
)
|
||||||||||
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Non-agency residential MBS
|
402
|
|
7
|
|
9
|
|
41
|
|
—
|
|
—
|
|
(225
|
)
|
—
|
|
—
|
|
234
|
|
||||||||||
Non-U.S. securities
|
9
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
9
|
|
||||||||||
Other taxable securities
|
690
|
|
—
|
|
2
|
|
6
|
|
—
|
|
—
|
|
(21
|
)
|
—
|
|
—
|
|
677
|
|
||||||||||
Tax-exempt securities
|
583
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
—
|
|
584
|
|
||||||||||
Total AFS debt securities
|
1,684
|
|
7
|
|
13
|
|
47
|
|
—
|
|
—
|
|
(247
|
)
|
—
|
|
—
|
|
1,504
|
|
||||||||||
Other debt securities carried at fair value – Non-agency residential MBS
|
—
|
|
1
|
|
—
|
|
33
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
34
|
|
||||||||||
Loans and leases
(4, 5)
|
1,954
|
|
(10
|
)
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
(77
|
)
|
112
|
|
(8
|
)
|
1,970
|
|
||||||||||
Mortgage servicing rights
(5)
|
3,394
|
|
458
|
|
—
|
|
—
|
|
(312
|
)
|
204
|
|
(223
|
)
|
—
|
|
—
|
|
3,521
|
|
||||||||||
Loans held-for-sale
(4)
|
543
|
|
22
|
|
—
|
|
85
|
|
(13
|
)
|
12
|
|
—
|
|
39
|
|
(28
|
)
|
660
|
|
||||||||||
Other assets
|
847
|
|
(14
|
)
|
—
|
|
9
|
|
(87
|
)
|
—
|
|
(6
|
)
|
8
|
|
(1
|
)
|
756
|
|
||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
(4)
|
—
|
|
(14
|
)
|
—
|
|
—
|
|
—
|
|
(28
|
)
|
—
|
|
(326
|
)
|
—
|
|
(368
|
)
|
||||||||||
Trading account liabilities – Corporate securities and other
|
(41
|
)
|
2
|
|
—
|
|
31
|
|
(49
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
(57
|
)
|
||||||||||
Short-term borrowings
(4)
|
(15
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
15
|
|
—
|
|
||||||||||
Accrued expenses and other liabilities
|
(10
|
)
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9
|
)
|
||||||||||
Long-term debt
(4)
|
(2,806
|
)
|
66
|
|
—
|
|
45
|
|
—
|
|
(49
|
)
|
63
|
|
(403
|
)
|
368
|
|
(2,716
|
)
|
(1)
|
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
|
(2)
|
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see
Note 1 – Summary of Significant Accounting Principles
.
|
(3)
|
Net derivatives include derivative assets of
$6.5 billion
and derivative liabilities of
$6.8 billion
.
|
(4)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(5)
|
Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.
|
•
|
$835 million
of trading account assets
|
•
|
$112 million
of loans and leases
|
•
|
$326 million
of federal funds purchased and securities loaned or sold under agreements to repurchase
|
•
|
$403 million
of long-term debt. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
•
|
$110 million
of trading account assets, primarily the result of increased market liquidity
|
•
|
$368 million
of long-term debt
|
Level 3 – Fair Value Measurements
(1)
|
||||||||||||||||||||||||||||||
|
Six Months Ended June 30, 2016
|
|||||||||||||||||||||||||||||
|
|
|
|
Gross
|
|
|
|
|||||||||||||||||||||||
(Dollars in millions)
|
Balance
January 1
2016
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
(2)
|
Purchases
|
Sales
|
Issuances
|
Settlements
|
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance June 30
2016 |
||||||||||||||||||||
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Corporate securities, trading loans and other
|
$
|
2,838
|
|
$
|
61
|
|
$
|
2
|
|
$
|
699
|
|
$
|
(393
|
)
|
$
|
—
|
|
$
|
(345
|
)
|
$
|
230
|
|
$
|
(438
|
)
|
$
|
2,654
|
|
Equity securities
|
407
|
|
82
|
|
—
|
|
43
|
|
(37
|
)
|
—
|
|
(72
|
)
|
33
|
|
(1
|
)
|
455
|
|
||||||||||
Non-U.S. sovereign debt
|
521
|
|
92
|
|
98
|
|
3
|
|
(1
|
)
|
—
|
|
(83
|
)
|
—
|
|
—
|
|
630
|
|
||||||||||
Mortgage trading loans and ABS
|
1,868
|
|
95
|
|
(2
|
)
|
350
|
|
(823
|
)
|
—
|
|
(167
|
)
|
76
|
|
(111
|
)
|
1,286
|
|
||||||||||
Total trading account assets
|
5,634
|
|
330
|
|
98
|
|
1,095
|
|
(1,254
|
)
|
—
|
|
(667
|
)
|
339
|
|
(550
|
)
|
5,025
|
|
||||||||||
Net derivative assets
(3)
|
(441
|
)
|
487
|
|
—
|
|
199
|
|
(619
|
)
|
—
|
|
(111
|
)
|
(124
|
)
|
(39
|
)
|
(648
|
)
|
||||||||||
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Non-agency residential MBS
|
106
|
|
—
|
|
3
|
|
196
|
|
(92
|
)
|
—
|
|
(79
|
)
|
—
|
|
—
|
|
134
|
|
||||||||||
Other taxable securities
|
757
|
|
2
|
|
(6
|
)
|
—
|
|
—
|
|
—
|
|
(36
|
)
|
—
|
|
—
|
|
717
|
|
||||||||||
Tax-exempt securities
|
569
|
|
—
|
|
(10
|
)
|
1
|
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
—
|
|
559
|
|
||||||||||
Total AFS debt securities
|
1,432
|
|
2
|
|
(13
|
)
|
197
|
|
(92
|
)
|
—
|
|
(116
|
)
|
—
|
|
—
|
|
1,410
|
|
||||||||||
Other debt securities carried at fair value – Non-agency residential MBS
|
30
|
|
(2
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
28
|
|
||||||||||
Loans and leases
(4, 5)
|
1,620
|
|
(4
|
)
|
—
|
|
69
|
|
—
|
|
50
|
|
(89
|
)
|
6
|
|
(193
|
)
|
1,459
|
|
||||||||||
Mortgage servicing rights
(5)
|
3,087
|
|
(608
|
)
|
—
|
|
—
|
|
(2
|
)
|
208
|
|
(416
|
)
|
—
|
|
—
|
|
2,269
|
|
||||||||||
Loans held-for-sale
(4)
|
787
|
|
84
|
|
55
|
|
20
|
|
(180
|
)
|
—
|
|
(52
|
)
|
39
|
|
(63
|
)
|
690
|
|
||||||||||
Other assets
|
374
|
|
(38
|
)
|
—
|
|
34
|
|
—
|
|
—
|
|
(24
|
)
|
2
|
|
—
|
|
348
|
|
||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
(4)
|
(335
|
)
|
29
|
|
—
|
|
—
|
|
—
|
|
(14
|
)
|
7
|
|
—
|
|
—
|
|
(313
|
)
|
||||||||||
Trading account liabilities – Corporate securities and other
|
(21
|
)
|
2
|
|
—
|
|
1
|
|
(8
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
(26
|
)
|
||||||||||
Short-term borrowings
(4)
|
(30
|
)
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
29
|
|
—
|
|
—
|
|
—
|
|
||||||||||
Accrued expenses and other liabilities
|
(9
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9
|
)
|
||||||||||
Long-term debt
(4)
|
(1,513
|
)
|
(170
|
)
|
(18
|
)
|
29
|
|
—
|
|
(323
|
)
|
133
|
|
(545
|
)
|
251
|
|
(2,156
|
)
|
(1)
|
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
|
(2)
|
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see
Note 1 – Summary of Significant Accounting Principles
.
|
(3)
|
Net derivatives include derivative assets of
$5.2 billion
and derivative liabilities of
$5.8 billion
.
|
(4)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(5)
|
Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.
|
•
|
$339 million
of trading account assets
|
•
|
$124 million
of net derivative assets
|
•
|
$545 million
of long-term debt. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
•
|
$550 million
of trading account assets
|
•
|
$193 million
of loans and leases
|
•
|
$251 million
of long-term debt
|
Level 3 – Fair Value Measurements
(1)
|
||||||||||||||||||||||||||||||
|
Six Months Ended June 30, 2015
|
|||||||||||||||||||||||||||||
|
|
|
|
Gross
|
|
|
|
|||||||||||||||||||||||
(Dollars in millions)
|
Balance
January 1
2015
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
(2)
|
Purchases
|
Sales
|
Issuances
|
Settlements
|
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance June 30
2015 |
||||||||||||||||||||
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Corporate securities, trading loans and other
|
$
|
3,270
|
|
$
|
34
|
|
$
|
—
|
|
$
|
477
|
|
$
|
(438
|
)
|
$
|
—
|
|
$
|
(649
|
)
|
$
|
983
|
|
$
|
(351
|
)
|
$
|
3,326
|
|
Equity securities
|
352
|
|
14
|
|
—
|
|
16
|
|
(3
|
)
|
—
|
|
(5
|
)
|
31
|
|
(19
|
)
|
386
|
|
||||||||||
Non-U.S. sovereign debt
|
574
|
|
82
|
|
(78
|
)
|
27
|
|
—
|
|
—
|
|
(110
|
)
|
—
|
|
(27
|
)
|
468
|
|
||||||||||
Mortgage trading loans and ABS
|
2,063
|
|
161
|
|
—
|
|
809
|
|
(627
|
)
|
—
|
|
(244
|
)
|
10
|
|
(13
|
)
|
2,159
|
|
||||||||||
Total trading account assets
|
6,259
|
|
291
|
|
(78
|
)
|
1,329
|
|
(1,068
|
)
|
—
|
|
(1,008
|
)
|
1,024
|
|
(410
|
)
|
6,339
|
|
||||||||||
Net derivative assets
(3)
|
(920
|
)
|
566
|
|
—
|
|
113
|
|
(393
|
)
|
—
|
|
221
|
|
(60
|
)
|
122
|
|
(351
|
)
|
||||||||||
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Non-agency residential MBS
|
279
|
|
(12
|
)
|
7
|
|
62
|
|
—
|
|
—
|
|
(234
|
)
|
132
|
|
—
|
|
234
|
|
||||||||||
Non-U.S. securities
|
10
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
—
|
|
9
|
|
||||||||||
Other taxable securities
|
1,667
|
|
—
|
|
—
|
|
6
|
|
—
|
|
—
|
|
(63
|
)
|
—
|
|
(933
|
)
|
677
|
|
||||||||||
Tax-exempt securities
|
599
|
|
—
|
|
(1
|
)
|
—
|
|
—
|
|
—
|
|
(14
|
)
|
—
|
|
—
|
|
584
|
|
||||||||||
Total AFS debt securities
|
2,555
|
|
(12
|
)
|
6
|
|
68
|
|
—
|
|
—
|
|
(312
|
)
|
132
|
|
(933
|
)
|
1,504
|
|
||||||||||
Other debt securities carried at fair value – Non-agency residential MBS
|
—
|
|
1
|
|
—
|
|
33
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
34
|
|
||||||||||
Loans and leases
(4, 5)
|
1,983
|
|
5
|
|
—
|
|
—
|
|
(2
|
)
|
—
|
|
(120
|
)
|
118
|
|
(14
|
)
|
1,970
|
|
||||||||||
Mortgage servicing rights
(5)
|
3,530
|
|
373
|
|
—
|
|
—
|
|
(312
|
)
|
383
|
|
(453
|
)
|
—
|
|
—
|
|
3,521
|
|
||||||||||
Loans held-for-sale
(4)
|
173
|
|
(48
|
)
|
—
|
|
491
|
|
(95
|
)
|
33
|
|
(6
|
)
|
177
|
|
(65
|
)
|
660
|
|
||||||||||
Other assets
|
911
|
|
(4
|
)
|
—
|
|
9
|
|
(118
|
)
|
—
|
|
(15
|
)
|
8
|
|
(35
|
)
|
756
|
|
||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
(4)
|
—
|
|
(14
|
)
|
—
|
|
—
|
|
—
|
|
(28
|
)
|
—
|
|
(326
|
)
|
—
|
|
(368
|
)
|
||||||||||
Trading account liabilities – Corporate securities and other
|
(36
|
)
|
3
|
|
—
|
|
33
|
|
(57
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
(57
|
)
|
||||||||||
Short-term borrowings
(4)
|
—
|
|
5
|
|
—
|
|
—
|
|
—
|
|
(21
|
)
|
1
|
|
(4
|
)
|
19
|
|
—
|
|
||||||||||
Accrued expenses and other liabilities
|
(10
|
)
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9
|
)
|
||||||||||
Long-term debt
(4)
|
(2,362
|
)
|
70
|
|
—
|
|
177
|
|
—
|
|
(139
|
)
|
160
|
|
(1,116
|
)
|
494
|
|
(2,716
|
)
|
(1)
|
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
|
(2)
|
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see
Note 1 – Summary of Significant Accounting Principles
.
|
(3)
|
Net derivatives include derivative assets of
$6.5 billion
and derivative liabilities of
$6.8 billion
.
|
(4)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(5)
|
Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.
|
•
|
$1.0 billion
of trading account assets
|
•
|
$132 million
of AFS debt securities
|
•
|
$118 million
of loans and leases
|
•
|
$177 million
of LHFS
|
•
|
$326 million
of federal funds purchased and securities loaned or sold under agreements to repurchase
|
•
|
$1.1 billion
of long-term debt. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
•
|
$410 million
of trading account assets, primarily the result of increased market liquidity
|
•
|
$122 million
of net derivative assets
|
•
|
$933 million
of AFS debt securities
|
•
|
$494 million
of long-term debt
|
(1)
|
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
|
(2)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(1)
|
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
|
(2)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(1)
|
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
|
(2)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(1)
|
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
|
(2)
|
Amounts represent instruments that are accounted for under the fair value option.
|
(1)
|
The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page
187
: Trading account assets – Corporate securities, trading loans and other of
$2.7 billion
, Trading account assets – Non-U.S. sovereign debt of
$630 million
, Trading account assets – Mortgage trading loans and ABS of
$1.3 billion
, AFS debt securities – Other taxable securities of
$717 million
, AFS debt securities – Tax-exempt securities of
$559 million
, Loans and leases of
$1.5 billion
and LHFS of
$690 million
.
|
(2)
|
Includes models such as Monte Carlo simulation and Black-Scholes.
|
(3)
|
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
|
(1)
|
The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page
188
: Trading account assets – Corporate securities, trading loans and other of
$2.8 billion
, Trading account assets – Non-U.S. sovereign debt of
$521 million
, Trading account assets – Mortgage trading loans and ABS of
$1.9 billion
, AFS debt securities – Other taxable securities of
$757 million
, AFS debt securities – Tax-exempt securities of
$569 million
, Loans and leases of
$1.6 billion
and LHFS of
$787 million
.
|
(2)
|
Includes models such as Monte Carlo simulation and Black-Scholes.
|
(3)
|
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
|
Nonrecurring Fair Value
|
(1)
|
Includes
$56 million
and
$86 million
of losses on loans that were written down to a collateral value of zero during the
three and six months ended June 30, 2016
compared to losses of
$106 million
and
$151 million
for the
same periods in 2015
.
|
(2)
|
Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses taken during the first
90
days after transfer of a loan to foreclosed properties.
|
(3)
|
Excludes
$1.3 billion
of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) as of
June 30, 2016
and
2015
.
|
|
December 31, 2015
|
|||||||
Loans and leases backed by residential real estate assets
|
$
|
2,739
|
|
Market comparables
|
OREO discount
|
7% to 55%
|
20
|
%
|
|
|
Cost to sell
|
8% to 45%
|
10
|
%
|
NOTE 15 – Fair Value Option
|
Fair Value Option Elections
|
|||||||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(Dollars in millions)
|
Fair Value
Carrying
Amount
|
|
Contractual
Principal
Outstanding
|
|
Fair Value
Carrying
Amount
Less Unpaid
Principal
|
|
Fair Value
Carrying
Amount
|
|
Contractual
Principal
Outstanding
|
|
Fair Value
Carrying
Amount
Less Unpaid
Principal
|
||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
53,008
|
|
|
$
|
52,862
|
|
|
$
|
146
|
|
|
$
|
55,143
|
|
|
$
|
54,999
|
|
|
$
|
144
|
|
Loans reported as trading account assets
(1)
|
5,170
|
|
|
10,253
|
|
|
(5,083
|
)
|
|
4,995
|
|
|
9,214
|
|
|
(4,219
|
)
|
||||||
Trading inventory – other
|
7,793
|
|
|
n/a
|
|
|
n/a
|
|
|
8,149
|
|
|
n/a
|
|
|
n/a
|
|
||||||
Consumer and commercial loans
|
8,660
|
|
|
8,809
|
|
|
(149
|
)
|
|
6,938
|
|
|
7,293
|
|
|
(355
|
)
|
||||||
Loans held-for-sale
|
5,112
|
|
|
6,363
|
|
|
(1,251
|
)
|
|
4,818
|
|
|
6,157
|
|
|
(1,339
|
)
|
||||||
Other assets
|
282
|
|
|
250
|
|
|
32
|
|
|
275
|
|
|
270
|
|
|
5
|
|
||||||
Long-term deposits
|
1,019
|
|
|
881
|
|
|
138
|
|
|
1,116
|
|
|
1,021
|
|
|
95
|
|
||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
24,542
|
|
|
24,694
|
|
|
(152
|
)
|
|
24,574
|
|
|
24,718
|
|
|
(144
|
)
|
||||||
Short-term borrowings
|
1,860
|
|
|
1,867
|
|
|
(7
|
)
|
|
1,325
|
|
|
1,325
|
|
|
—
|
|
||||||
Unfunded loan commitments
|
347
|
|
|
n/a
|
|
|
n/a
|
|
|
658
|
|
|
n/a
|
|
|
n/a
|
|
||||||
Long-term debt
(2)
|
31,449
|
|
|
31,724
|
|
|
(275
|
)
|
|
30,097
|
|
|
30,593
|
|
|
(496
|
)
|
(1)
|
A significant portion of the loans reported as trading account assets are distressed loans which trade and were purchased at a deep discount to par, and the remainder are loans with a fair value near contractual principal outstanding.
|
(2)
|
Includes structured liabilities with a fair value of
$30.4 billion
and
$29.0 billion
, and contractual principal outstanding of
$30.6 billion
and
$29.4 billion
at
June 30, 2016
compared to
December 31, 2015
.
|
(1)
|
The gains (losses) in trading account profits (losses) are primarily offset by gains (losses) on trading liabilities that hedge these assets.
|
(2)
|
Includes the value of IRLCs on funded loans, including those sold during the period.
|
(3)
|
The majority of the net gains (losses) in trading account profits relate to the embedded derivative in structured liabilities and are offset by gains (losses) on derivatives and securities that hedge these liabilities. For more information on the adoption of new accounting guidance relating to DVA on structured liabilities, see
Note 1 – Summary of Significant Accounting Principles
.
|
(4)
|
For the cumulative impact of changes in the Corporation's own credit spreads and the amount recognized in OCI, see
Note 12 – Accumulated Other Comprehensive Income (Loss)
. For more information on how the Corporation's own credit spread is determined, see
Note 20 – Fair Value Measurements
to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K
.
|
(1)
|
The gains (losses) in trading account profits (losses) are primarily offset by gains (losses) on trading liabilities that hedge these assets.
|
(2)
|
Includes the value of IRLCs on funded loans, including those sold during the period.
|
(3)
|
The majority of the net gains (losses) in trading account profits relate to the embedded derivative in structured liabilities and are offset by gains (losses) on derivatives and securities that hedge these liabilities. For more information on the adoption of new accounting guidance relating to DVA on structured liabilities, see
Note 1 – Summary of Significant Accounting Principles
.
|
(4)
|
For the cumulative impact of changes in the Corporation's own credit spreads and the amount recognized in OCI, see
Note 12 – Accumulated Other Comprehensive Income (Loss)
. For more information on how the Corporation's own credit spread is determined, see
Note 20 – Fair Value Measurements
to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K
.
|
NOTE 16 – Fair Value of Financial Instruments
|
Fair Value of Financial Instruments
|
|||||||||||||||||||||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||||
|
|
|
Fair Value
|
|
|
|
Fair Value
|
||||||||||||||||||||||||
(Dollars in millions)
|
Carrying
Value
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Carrying
Value
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||||||||||
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Loans
|
$
|
870,258
|
|
|
$
|
72,247
|
|
|
$
|
817,493
|
|
|
$
|
889,740
|
|
|
$
|
863,561
|
|
|
$
|
70,223
|
|
|
$
|
805,371
|
|
|
$
|
875,594
|
|
Loans held-for-sale
|
8,848
|
|
|
7,763
|
|
|
1,085
|
|
|
8,848
|
|
|
7,453
|
|
|
5,347
|
|
|
2,106
|
|
|
7,453
|
|
||||||||
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Deposits
|
$
|
1,216,091
|
|
|
$
|
1,216,457
|
|
|
$
|
—
|
|
|
$
|
1,216,457
|
|
|
$
|
1,197,259
|
|
|
$
|
1,197,577
|
|
|
$
|
—
|
|
|
$
|
1,197,577
|
|
Long-term debt
|
229,617
|
|
|
230,430
|
|
|
2,156
|
|
|
232,586
|
|
|
236,764
|
|
|
239,596
|
|
|
1,513
|
|
|
241,109
|
|
NOTE 17 – Mortgage Servicing Rights
|
Rollforward of Mortgage Servicing Rights
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended
June 30 |
|
Six Months Ended
June 30 |
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Balance, beginning of period
|
$
|
2,631
|
|
|
$
|
3,394
|
|
|
$
|
3,087
|
|
|
$
|
3,530
|
|
Additions
|
72
|
|
|
204
|
|
|
208
|
|
|
383
|
|
||||
Sales
|
(1
|
)
|
|
(312
|
)
|
|
(2
|
)
|
|
(312
|
)
|
||||
Amortization of expected cash flows
(1)
|
(205
|
)
|
|
(223
|
)
|
|
(416
|
)
|
|
(453
|
)
|
||||
Impact of changes in interest rates and other market factors
(2)
|
(243
|
)
|
|
468
|
|
|
(619
|
)
|
|
292
|
|
||||
Model and other cash flow assumption changes
(3)
|
15
|
|
|
(10
|
)
|
|
11
|
|
|
81
|
|
||||
Balance, June 30
(4)
|
$
|
2,269
|
|
|
$
|
3,521
|
|
|
$
|
2,269
|
|
|
$
|
3,521
|
|
Mortgage loans serviced for investors (in billions)
|
$
|
371
|
|
|
$
|
425
|
|
|
$
|
371
|
|
|
$
|
425
|
|
(1)
|
Represents the net change in fair value of the MSR asset due to the recognition of modeled cash flows.
|
(2)
|
These amounts reflect the changes in modeled MSR fair value primarily due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve and periodic adjustments to valuation based on third-party discovery.
|
(3)
|
These amounts reflect periodic adjustments to the valuation model to reflect changes in the modeled relationship between inputs and their impact on projected cash flows as well as changes in certain cash flow assumptions such as cost to service and ancillary income per loan.
|
(4)
|
At
June 30, 2016
, includes
$1.8 billion
of U.S. and
$481 million
of non-U.S. consumer MSR balances compared to
$3.2 billion
and
$320 million
at
June 30, 2015
.
|
Significant Economic Assumptions
|
|||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
||||||||
|
Fixed
|
|
Adjustable
|
|
Fixed
|
|
Adjustable
|
||||
Weighted-average OAS
|
4.88
|
%
|
|
7.85
|
%
|
|
4.62
|
%
|
|
7.61
|
%
|
Weighted-average life, in years
|
3.38
|
|
|
3.05
|
|
|
4.46
|
|
|
3.43
|
|
Sensitivity Impacts
|
|||||||||||||
|
June 30, 2016
|
||||||||||||
|
Change in Weighted-average Lives
|
|
|
||||||||||
(Dollars in millions)
|
Fixed
|
|
Adjustable
|
|
Change in
Fair Value
|
||||||||
Prepayment rates
|
|
|
|
|
|
|
|
|
|
||||
Impact of 10% decrease
|
0.29
|
|
|
years
|
|
0.23
|
|
|
years
|
|
$
|
175
|
|
Impact of 20% decrease
|
0.63
|
|
|
|
|
0.49
|
|
|
|
|
377
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Impact of 10% increase
|
(0.25
|
)
|
|
|
|
(0.20
|
)
|
|
|
|
(152
|
)
|
|
Impact of 20% increase
|
(0.47
|
)
|
|
|
|
(0.38
|
)
|
|
|
|
(286
|
)
|
|
OAS level
|
|
|
|
|
|
|
|
|
|
||||
Impact of 100 bps decrease
|
|
|
|
|
|
|
|
|
$
|
79
|
|
||
Impact of 200 bps decrease
|
|
|
|
|
|
|
|
|
165
|
|
|||
|
|
|
|
|
|
|
|
|
|
||||
Impact of 100 bps increase
|
|
|
|
|
|
|
|
|
(74
|
)
|
|||
Impact of 200 bps increase
|
|
|
|
|
|
|
|
|
(142
|
)
|
NOTE 18 – Business Segment Information
|
Basis of Presentation
|
Results for Business Segments and All Other
|
|
|
|
|
|||||||||||
At and for the Three Months Ended June 30
|
|
|
|
|
|||||||||||
|
Total Corporation
(1)
|
|
Consumer Banking
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net interest income (FTE basis)
|
$
|
9,436
|
|
|
$
|
10,684
|
|
|
$
|
5,276
|
|
|
$
|
5,043
|
|
Noninterest income
|
11,185
|
|
|
11,495
|
|
|
2,588
|
|
|
2,714
|
|
||||
Total revenue, net of interest expense (FTE basis)
|
20,621
|
|
|
22,179
|
|
|
7,864
|
|
|
7,757
|
|
||||
Provision for credit losses
|
976
|
|
|
780
|
|
|
726
|
|
|
470
|
|
||||
Noninterest expense
|
13,493
|
|
|
13,958
|
|
|
4,416
|
|
|
4,637
|
|
||||
Income before income taxes (FTE basis)
|
6,152
|
|
|
7,441
|
|
|
2,722
|
|
|
2,650
|
|
||||
Income tax expense (FTE basis)
|
1,920
|
|
|
2,307
|
|
|
1,004
|
|
|
988
|
|
||||
Net income
|
$
|
4,232
|
|
|
$
|
5,134
|
|
|
$
|
1,718
|
|
|
$
|
1,662
|
|
Period-end total assets
|
$
|
2,186,609
|
|
|
$
|
2,149,034
|
|
|
$
|
668,470
|
|
|
$
|
621,883
|
|
|
|
|
|
|
|
||||||||||
|
Global Wealth &
Investment Management
|
|
Global Banking
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net interest income (FTE basis)
|
$
|
1,434
|
|
|
$
|
1,352
|
|
|
$
|
2,421
|
|
|
$
|
2,170
|
|
Noninterest income
|
3,022
|
|
|
3,215
|
|
|
2,269
|
|
|
2,066
|
|
||||
Total revenue, net of interest expense (FTE basis)
|
4,456
|
|
|
4,567
|
|
|
4,690
|
|
|
4,236
|
|
||||
Provision for credit losses
|
14
|
|
|
15
|
|
|
203
|
|
|
177
|
|
||||
Noninterest expense
|
3,288
|
|
|
3,485
|
|
|
2,126
|
|
|
2,086
|
|
||||
Income before income taxes (FTE basis)
|
1,154
|
|
|
1,067
|
|
|
2,361
|
|
|
1,973
|
|
||||
Income tax expense (FTE basis)
|
432
|
|
|
398
|
|
|
870
|
|
|
737
|
|
||||
Net income
|
$
|
722
|
|
|
$
|
669
|
|
|
$
|
1,491
|
|
|
$
|
1,236
|
|
Period-end total assets
|
$
|
286,846
|
|
|
$
|
267,099
|
|
|
$
|
393,380
|
|
|
$
|
367,052
|
|
|
|
|
|
|
|
||||||||||
|
Global Markets
|
|
All Other
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net interest income (FTE basis)
|
$
|
1,093
|
|
|
$
|
988
|
|
|
$
|
(788
|
)
|
|
$
|
1,131
|
|
Noninterest income
|
3,220
|
|
|
2,962
|
|
|
86
|
|
|
538
|
|
||||
Total revenue, net of interest expense (FTE basis)
|
4,313
|
|
|
3,950
|
|
|
(702
|
)
|
|
1,669
|
|
||||
Provision for credit losses
|
(5
|
)
|
|
6
|
|
|
38
|
|
|
112
|
|
||||
Noninterest expense
|
2,582
|
|
|
2,748
|
|
|
1,081
|
|
|
1,002
|
|
||||
Income (loss) before income taxes (FTE basis)
|
1,736
|
|
|
1,196
|
|
|
(1,821
|
)
|
|
555
|
|
||||
Income tax expense (benefit) (FTE basis)
|
620
|
|
|
410
|
|
|
(1,006
|
)
|
|
(226
|
)
|
||||
Net income (loss)
|
$
|
1,116
|
|
|
$
|
786
|
|
|
$
|
(815
|
)
|
|
$
|
781
|
|
Period-end total assets
|
$
|
577,428
|
|
|
$
|
578,052
|
|
|
$
|
260,485
|
|
|
$
|
314,948
|
|
(1)
|
There were no material intersegment revenues.
|
(1)
|
There were no material intersegment revenues.
|
Business Segment Reconciliations
|
|
|
|
||||||||||||
|
Three Months Ended June 30
|
|
Six Months Ended June 30
|
||||||||||||
(Dollars in millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Segments' total revenue, net of interest expense (FTE basis)
|
$
|
21,323
|
|
|
$
|
20,510
|
|
|
$
|
41,905
|
|
|
$
|
41,312
|
|
Adjustments:
|
|
|
|
|
|
|
|
||||||||
ALM activities
|
(886
|
)
|
|
976
|
|
|
(2,137
|
)
|
|
727
|
|
||||
Liquidating businesses and other
|
184
|
|
|
693
|
|
|
580
|
|
|
1,269
|
|
||||
FTE basis adjustment
|
(223
|
)
|
|
(223
|
)
|
|
(438
|
)
|
|
(438
|
)
|
||||
Consolidated revenue, net of interest expense
|
$
|
20,398
|
|
|
$
|
21,956
|
|
|
$
|
39,910
|
|
|
$
|
42,870
|
|
|
|
|
|
|
|
|
|
||||||||
Segments' total net income
|
$
|
5,047
|
|
|
$
|
4,353
|
|
|
$
|
9,524
|
|
|
$
|
8,448
|
|
Adjustments, net-of-taxes:
|
|
|
|
|
|
|
|
||||||||
ALM activities
|
(668
|
)
|
|
468
|
|
|
(1,550
|
)
|
|
167
|
|
||||
Liquidating businesses and other
|
(147
|
)
|
|
313
|
|
|
(1,062
|
)
|
|
(384
|
)
|
||||
Consolidated net income
|
$
|
4,232
|
|
|
$
|
5,134
|
|
|
$
|
6,912
|
|
|
$
|
8,231
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
June 30
|
||||||||||||
|
|
|
|
|
2016
|
|
2015
|
||||||||
Segments' total assets
|
|
|
|
|
$
|
1,926,124
|
|
|
$
|
1,834,086
|
|
||||
Adjustments:
|
|
|
|
|
|
|
|
||||||||
ALM activities, including securities portfolio
|
|
|
|
|
623,051
|
|
|
614,053
|
|
||||||
Equity investments
|
|
|
|
|
4,137
|
|
|
4,655
|
|
||||||
Liquidating businesses and other
|
|
|
|
|
125,331
|
|
|
153,551
|
|
||||||
Elimination of segment asset allocations to match liabilities
|
|
|
|
|
(492,034
|
)
|
|
(457,311
|
)
|
||||||
Consolidated total assets
|
|
|
|
|
$
|
2,186,609
|
|
|
$
|
2,149,034
|
|
Glossary
|
Acronyms
|
||
|
|
|
ABS
|
|
Asset-backed securities
|
AFS
|
|
Available-for-sale
|
ALM
|
|
Asset and liability management
|
AUM
|
|
Assets under management
|
AVM
|
|
Automated valuation model
|
BANA
|
|
Bank of America, National Association
|
BHC
|
|
Bank holding company
|
bps
|
|
basis points
|
CCAR
|
|
Comprehensive Capital Analysis and Review
|
CCF
|
|
Credit conversion factor
|
CDO
|
|
Collateralized debt obligation
|
CDS
|
|
Credit default swap
|
CFE
|
|
Collateralized financing entity
|
CLO
|
|
Collateralized loan obligation
|
CLTV
|
|
Combined loan-to-value
|
CRA
|
|
Community Reinvestment Act
|
CVA
|
|
Credit valuation adjustment
|
DoJ
|
|
U.S. Department of Justice
|
DPC
|
|
Derivative product company
|
DVA
|
|
Debit valuation adjustment
|
EAD
|
|
Exposure at default
|
EMV
|
|
Europay, Mastercard and Visa
|
EPS
|
|
Earnings per common share
|
ERC
|
|
Enterprise Risk Committee
|
FASB
|
|
Financial Accounting Standards Board
|
FCA
|
|
Financial Conduct Authority
|
FDIC
|
|
Federal Deposit Insurance Corporation
|
FHA
|
|
Federal Housing Administration
|
FHLB
|
|
Federal Home Loan Bank
|
FHLMC
|
|
Freddie Mac
|
FICC
|
|
Fixed-income, currencies and commodities
|
FICO
|
|
Fair Isaac Corporation (credit score)
|
FNMA
|
|
Fannie Mae
|
FOMC
|
|
Federal Open Market Committee
|
FTE
|
|
Fully taxable-equivalent
|
FVA
|
|
Funding valuation adjustment
|
GAAP
|
|
Accounting principles generally accepted in the United States of America
|
GELS
|
|
Global Excess Liquidity Sources
|
GNMA
|
|
Government National Mortgage Association
|
GPI
|
|
Global Principal Investments
|
GSE
|
|
Government-sponsored enterprise
|
G-SIB
|
|
Global systemically important bank
|
GWIM
|
|
Global Wealth & Investment Management
|
HELOC
|
|
Home equity line of credit
|
HQLA
|
|
High Quality Liquid Assets
|
|
|
|
|
|
|
HTM
|
|
Held-to-maturity
|
ICAAP
|
|
Internal Capital Adequacy Assessment Process
|
IMM
|
|
Internal models methodology
|
IRLC
|
|
Interest rate lock commitment
|
ISDA
|
|
International Swaps and Derivatives Association, Inc.
|
LAS
|
|
Legacy Assets & Servicing
|
LCR
|
|
Liquidity Coverage Ratio
|
LGD
|
|
Loss-given default
|
LHFS
|
|
Loans held-for-sale
|
LIBOR
|
|
London InterBank Offered Rate
|
LTV
|
|
Loan-to-value
|
MBS
|
|
Mortgage-backed securities
|
MD&A
|
|
Management's Discussion and Analysis of Financial Condition and Results of Operations
|
MI
|
|
Mortgage insurance
|
MLGWM
|
|
Merrill Lynch Global Wealth Management
|
MLI
|
|
Merrill Lynch International
|
MLPCC
|
|
Merrill Lynch Professional Clearing Corp
|
MLPF&S
|
|
Merrill Lynch, Pierce, Fenner & Smith, Inc.
|
MRC
|
|
Management Risk Committee
|
MSA
|
|
Metropolitan Statistical Area
|
MSR
|
|
Mortgage servicing right
|
NPR
|
|
Notice of proposed rulemaking
|
NSFR
|
|
Net Stable Funding Ratio
|
OAS
|
|
Option-adjusted spread
|
OCI
|
|
Other comprehensive income
|
OTC
|
|
Over-the-counter
|
OTTI
|
|
Other-than-temporary impairment
|
PCA
|
|
Prompt Corrective Action
|
PCI
|
|
Purchased credit-impaired
|
PPI
|
|
Payment protection insurance
|
RMBS
|
|
Residential mortgage-backed securities
|
RSU
|
|
Restricted stock unit
|
SBLC
|
|
Standby letter of credit
|
SCCL
|
|
Single-Counterparty Credit Limits
|
SEC
|
|
Securities and Exchange Commission
|
SFA
|
|
Supervisory Formula Approach
|
SLR
|
|
Supplementary leverage ratio
|
SSFA
|
|
Simplified Supervisory Formula Approach
|
TDR
|
|
Troubled debt restructuring
|
TLAC
|
|
Total loss-absorbing capacity
|
VA
|
|
U.S. Department of Veterans Affairs
|
VaR
|
|
Value-at-Risk
|
VIE
|
|
Variable interest entity
|
Part II. OTHER INFORMATION
|
Item 1. Legal Proceedings
|
Item 1A. Risk Factors
|
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
(Dollars in millions, except per share information; shares in thousands)
|
Common Shares
Repurchased
(1)
|
|
Weighted-Average
Per Share Price
|
|
Shares Purchased as
Part of Publicly
Announced Programs
|
|
Remaining Buyback Authority Amounts
(2)
|
||||||
April 1 - 30, 2016
|
40,842
|
|
|
$
|
14.69
|
|
|
40,832
|
|
|
$
|
826
|
|
May 1 - 31, 2016
|
51,211
|
|
|
14.25
|
|
|
51,211
|
|
|
96
|
|
||
June 1 - 30, 2016
|
3,922
|
|
|
13.52
|
|
|
3,921
|
|
|
43
|
|
||
Three Months Ended June 30, 2016
|
95,975
|
|
|
14.41
|
|
|
|
|
|
(1)
|
Includes shares of the Corporation's common stock acquired by the Corporation in connection with satisfaction of tax withholding obligations on vested restricted stock or restricted stock units and certain forfeitures and terminations of employment-related awards under equity incentive plans.
|
(2)
|
On March 11, 2015, the Board of Directors authorized the repurchase of up to $4.0 billion of the Corporation's common stock through open market purchases or privately negotiated transactions, including Rule 10b5-1 plans, during the period from April 1, 2015 through June 30, 2016. On March 18, 2016, the Board of Directors authorized additional repurchases of common stock up to
$800 million
in addition to the March 11, 2015 resolution to offset the share count dilution resulting from equity incentive compensation awarded to retirement-eligible employees. Amounts shown in this column reflect the aggregate repurchase authority amounts considering the timing and effect of both authorizations. For additional information, see
Capital Management – CCAR and Capital Planning
on page
48
and
Note 11 – Shareholders' Equity
to the Consolidated Financial Statements.
|
Item 6. Exhibits
|
||
|
|
|
Exhibit 3(a)
|
|
Amended and Restated Certificate of Incorporation of the Corporation, as in effect on the date hereof, incorporated by reference to Exhibit 3(a) of the Corporation's Quarterly Report on Form 10-Q (File No. 1-6523) for the quarterly period ended March 31, 2016 filed on May 2, 2016
|
|
|
|
Exhibit 3(b)
|
|
Amended and Restated Bylaws of the Corporation, as in effect on the date hereof, incorporated by reference to Exhibit 3.1 of the Corporation's Current Report on Form 8-K (File No. 1-6523) filed on March 20, 2015
|
|
|
|
Exhibit 10
|
|
Second Amendment to Aircraft Time Sharing Agreement dated June 8, 2016 between Bank of America, N.A. and Brian T. Moynihan
(1)
|
|
|
|
Exhibit 11
|
|
Earnings Per Share Computation – included in
Note 13 – Earnings Per Common Share
to the Consolidated Financial Statements
(1)
|
|
|
|
Exhibit 12
|
|
Ratio of Earnings to Fixed Charges
(1)
Ratio of Earnings to Fixed Charges and Preferred Dividends (1) |
|
|
|
Exhibit 31(a)
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 31(b)
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 32(a)
|
|
Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 32(b)
|
|
Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 101.INS
|
|
XBRL Instance Document
(1)
|
|
|
|
Exhibit 101.SCH
|
|
XBRL Taxonomy Extension Schema Document
(1)
|
|
|
|
Exhibit 101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
(1)
|
|
|
|
Exhibit 101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
(1)
|
|
|
|
Exhibit 101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
(1)
|
|
|
|
Exhibit 101.DEF
|
|
XBRL Taxonomy Extension Definitions Linkbase Document
(1)
|
(1)
|
Filed herewith
|
|
|
Bank of America Corporation
Registrant
|
|
||
|
|
|
|
|
|
Date:
|
August 1, 2016
|
|
/s/ Rudolf A. Bless
|
|
|
|
|
|
Rudolf A. Bless
Chief Accounting Officer
|
|
Exhibit
|
|
Description
|
|
|
|
Exhibit 3(a)
|
|
Amended and Restated Certificate of Incorporation of the Corporation, as in effect on the date hereof, incorporated by reference to Exhibit 3(a) of the Corporation's Quarterly Report on Form 10-Q (File No. 1-6523) for the quarterly period ended March 31, 2016 filed on May 2, 2016
|
|
|
|
Exhibit 3(b)
|
|
Amended and Restated Bylaws of the Corporation, as in effect on the date hereof, incorporated by reference to Exhibit 3.1 of the Corporation's Current Report on Form 8-K (File No. 1-6523) filed on March 20, 2015
|
|
|
|
Exhibit 10
|
|
Second Amendment to Aircraft Time Sharing Agreement dated June 8, 2016 between Bank of America, N.A. and Brian T. Moynihan
(1)
|
|
|
|
Exhibit 11
|
|
Earnings Per Share Computation – included in
Note 13 – Earnings Per Common Share
to the Consolidated Financial Statements
(1)
|
|
|
|
Exhibit 12
|
|
Ratio of Earnings to Fixed Charges
(1)
Ratio of Earnings to Fixed Charges and Preferred Dividends
(1)
|
|
|
|
Exhibit 31(a)
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 31(b)
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 32(a)
|
|
Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 32(b)
|
|
Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
(1)
|
|
|
|
Exhibit 101.INS
|
|
XBRL Instance Document
(1)
|
|
|
|
Exhibit 101.SCH
|
|
XBRL Taxonomy Extension Schema Document
(1)
|
|
|
|
Exhibit 101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
(1)
|
|
|
|
Exhibit 101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
(1)
|
|
|
|
Exhibit 101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
(1)
|
|
|
|
Exhibit 101.DEF
|
|
XBRL Taxonomy Extension Definitions Linkbase Document
(1)
|
(1)
|
Filed herewith
|
A.
|
Delete from Section 1 of the Agreement, as amended by that First Amendment to Aircraft Time Sharing Agreement dated June 15, 2015, the definitions of: “Aircraft”, “Aircraft 1”, “Aircraft 2”, “Aircraft 3”, “Airframe 1”, “Airframe 2”, “Airframe 3”, “Engines (Aircraft 1)”, “Engines (Aircraft 2)”, and “Engines (Aircraft 3)”, and insert in place of the deleted definitions the new definitions set forth in
Attachment A
hereto.
|
B.
|
Promptly following execution and delivery of this Second Amendment by each of the parties hereto, Time Share Lessor shall comply with the Truth in Leasing requirements under FAR § 91.23 (such requirements are summarized in
Attachment B
hereto regarding submission of a copy of the fully executed Second Amendment to the Federal Aviation Administration and other notice requirements).
|
C.
|
Except as herein specifically amended, all of the other terms and conditions set forth in the Agreement, as may have been previously amended from time to time, shall remain in full force and effect.
|
By:
|
/s/ David G. Leitch
|
Print:
|
DAVID G. LEITCH
|
Title:
|
GLOBAL GENERAL COUNSEL
|
/s/ Brian T. Moynihan
|
BRIAN T. MOYNIHAN
|
Bank of America Corporation and Subsidiaries
|
|
|
|
|
|
|
|
|
Exhibit 12
|
|
|||||||||||||
Ratio of Earnings to Fixed Charges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Ratio of Earnings to Fixed Charges and Preferred Dividends
|
|||||||||||||||||||||||
|
|
|
Year Ended December 31
|
||||||||||||||||||||
(Dollars in millions)
|
Six Months Ended June 30, 2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
||||||||||||
Excluding Interest on Deposits
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Income (loss) before income taxes
|
$
|
9,628
|
|
|
$
|
22,154
|
|
|
$
|
6,855
|
|
|
$
|
16,172
|
|
|
$
|
3,072
|
|
|
$
|
(230
|
)
|
Equity in undistributed earnings (loss) of unconsolidated subsidiaries
|
76
|
|
|
(152
|
)
|
|
(222
|
)
|
|
(66
|
)
|
|
212
|
|
|
596
|
|
||||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest expense
|
4,509
|
|
|
9,688
|
|
|
9,854
|
|
|
11,359
|
|
|
14,754
|
|
|
18,618
|
|
||||||
1/3 of net rent expense
(1)
|
444
|
|
|
945
|
|
|
1,023
|
|
|
1,091
|
|
|
1,092
|
|
|
1,072
|
|
||||||
Total fixed charges
|
4,953
|
|
|
10,633
|
|
|
10,877
|
|
|
12,450
|
|
|
15,846
|
|
|
19,690
|
|
||||||
Preferred dividend requirements
(2)
|
1,139
|
|
|
2,068
|
|
|
1,481
|
|
|
1,767
|
|
|
1,080
|
|
|
n/m
|
|
||||||
Fixed charges and preferred dividends
|
6,092
|
|
|
12,701
|
|
|
12,358
|
|
|
14,217
|
|
|
16,926
|
|
|
19,690
|
|
||||||
Earnings
|
$
|
14,657
|
|
|
$
|
32,635
|
|
|
$
|
17,510
|
|
|
$
|
28,556
|
|
|
$
|
19,130
|
|
|
$
|
20,056
|
|
Ratio of earnings to fixed charges
|
2.96
|
|
|
3.07
|
|
|
1.61
|
|
|
2.29
|
|
|
1.21
|
|
|
1.02
|
|
||||||
Ratio of earnings to fixed charges and preferred dividends
|
2.41
|
|
|
2.57
|
|
|
1.42
|
|
|
2.01
|
|
|
1.13
|
|
|
1.02
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
Year Ended December 31
|
||||||||||||||||||||
(Dollars in millions)
|
Six Months Ended June 30, 2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
||||||||||||
Including Interest on Deposits
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Income (loss) before income taxes
|
$
|
9,628
|
|
|
$
|
22,154
|
|
|
$
|
6,855
|
|
|
$
|
16,172
|
|
|
$
|
3,072
|
|
|
$
|
(230
|
)
|
Equity in undistributed earnings (loss) of unconsolidated subsidiaries
|
76
|
|
|
(152
|
)
|
|
(222
|
)
|
|
(66
|
)
|
|
212
|
|
|
596
|
|
||||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest expense
|
4,979
|
|
|
10,549
|
|
|
10,934
|
|
|
12,755
|
|
|
16,744
|
|
|
21,620
|
|
||||||
1/3 of net rent expense
(1)
|
444
|
|
|
945
|
|
|
1,023
|
|
|
1,091
|
|
|
1,092
|
|
|
1,072
|
|
||||||
Total fixed charges
|
5,423
|
|
|
11,494
|
|
|
11,957
|
|
|
13,846
|
|
|
17,836
|
|
|
22,692
|
|
||||||
Preferred dividend requirements
(2)
|
1,139
|
|
|
2,068
|
|
|
1,481
|
|
|
1,767
|
|
|
1,080
|
|
|
n/m
|
|
||||||
Fixed charges and preferred dividends
|
6,562
|
|
|
13,562
|
|
|
13,438
|
|
|
15,613
|
|
|
18,916
|
|
|
22,692
|
|
||||||
Earnings
|
$
|
15,127
|
|
|
$
|
33,496
|
|
|
$
|
18,590
|
|
|
$
|
29,952
|
|
|
$
|
21,120
|
|
|
$
|
23,058
|
|
Ratio of earnings to fixed charges
|
2.79
|
|
|
2.91
|
|
|
1.55
|
|
|
2.16
|
|
|
1.18
|
|
|
1.02
|
|
||||||
Ratio of earnings to fixed charges and preferred dividends
|
2.31
|
|
|
2.47
|
|
|
1.38
|
|
|
1.92
|
|
|
1.12
|
|
|
1.02
|
|
(1)
|
Represents an appropriate interest factor.
|
(2)
|
The loss before income taxes for 2011 reflects the impact of $8.8 billion of mortgage banking losses and $3.2 billion of goodwill impairment charges, which resulted in a negative preferred dividend requirement.
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1.
|
I have reviewed this Quarterly Report on Form 10-Q of Bank of America Corporation;
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2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date:
|
August 1, 2016
|
/s/ Brian T. Moynihan
Brian T. Moynihan
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Bank of America Corporation;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date:
|
August 1, 2016
|
/s/ Paul M. Donofrio
Paul M. Donofrio
Chief Financial Officer
|
1.
|
I am the Chief Executive Officer of Bank of America Corporation (the registrant).
|
2.
|
I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
|
•
|
the Quarterly Report on Form 10-Q of the registrant for the quarter ended
June 30, 2016
(the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and
|
•
|
the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.
|
Date:
|
August 1, 2016
|
/s/ Brian T. Moynihan
Brian T. Moynihan
Chief Executive Officer
|
1.
|
I am the Chief Financial Officer of Bank of America Corporation (the registrant).
|
2.
|
I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
|
•
|
the Quarterly Report on Form 10-Q of the registrant for the quarter ended
June 30, 2016
(the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and
|
•
|
the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.
|
Date:
|
August 1, 2016
|
/s/ Paul M. Donofrio
Paul M. Donofrio
Chief Financial Officer
|