|
Securities (Tables)
|
12 Months Ended |
|
Dec. 31, 2013
|
| Investments, Debt and Equity Securities [Abstract] |
|
|
| Marketable Securities |
The table below presents the amortized cost, gross unrealized gains and losses, and fair value of AFS debt securities, other debt securities carried at fair value, held-to-maturity (HTM) debt securities and AFS marketable equity securities at December 31, 2013 and 2012.
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Debt Securities and Available-for-Sale Marketable Equity Securities |
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|
December 31, 2013 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
8,910 |
|
|
$ |
106 |
|
|
$ |
(62 |
) |
|
$ |
8,954 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
170,112 |
|
|
777 |
|
|
(5,954 |
) |
|
164,935 |
|
Agency-collateralized mortgage obligations |
22,731 |
|
|
76 |
|
|
(315 |
) |
|
22,492 |
|
Non-agency residential (1)
|
6,124 |
|
|
238 |
|
|
(123 |
) |
|
6,239 |
|
Commercial |
2,429 |
|
|
63 |
|
|
(12 |
) |
|
2,480 |
|
Non-U.S. securities |
7,207 |
|
|
37 |
|
|
(24 |
) |
|
7,220 |
|
Corporate/Agency bonds |
860 |
|
|
20 |
|
|
(7 |
) |
|
873 |
|
Other taxable securities, substantially all asset-backed securities |
16,805 |
|
|
30 |
|
|
(5 |
) |
|
16,830 |
|
Total taxable securities |
235,178 |
|
|
1,347 |
|
|
(6,502 |
) |
|
230,023 |
|
Tax-exempt securities |
5,967 |
|
|
10 |
|
|
(49 |
) |
|
5,928 |
|
Total available-for-sale debt securities |
241,145 |
|
|
1,357 |
|
|
(6,551 |
) |
|
235,951 |
|
Other debt securities carried at fair value |
34,145 |
|
|
34 |
|
|
(1,335 |
) |
|
32,844 |
|
Total debt securities carried at fair value |
275,290 |
|
|
1,391 |
|
|
(7,886 |
) |
|
268,795 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
55,150 |
|
|
20 |
|
|
(2,740 |
) |
|
52,430 |
|
Total debt securities |
$ |
330,440 |
|
|
$ |
1,411 |
|
|
$ |
(10,626 |
) |
|
$ |
321,225 |
|
Available-for-sale marketable equity securities (2)
|
$ |
230 |
|
|
$ |
— |
|
|
$ |
(7 |
) |
|
$ |
223 |
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
24,232 |
|
|
$ |
324 |
|
|
$ |
(84 |
) |
|
$ |
24,472 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
183,247 |
|
|
5,048 |
|
|
(146 |
) |
|
188,149 |
|
Agency-collateralized mortgage obligations |
36,329 |
|
|
1,427 |
|
|
(218 |
) |
|
37,538 |
|
Non-agency residential (1)
|
9,231 |
|
|
391 |
|
|
(128 |
) |
|
9,494 |
|
Non-agency commercial |
3,576 |
|
|
348 |
|
|
— |
|
|
3,924 |
|
Non-U.S. securities |
5,574 |
|
|
50 |
|
|
(6 |
) |
|
5,618 |
|
Corporate/Agency bonds |
1,415 |
|
|
51 |
|
|
(16 |
) |
|
1,450 |
|
Other taxable securities, substantially all asset-backed securities |
12,089 |
|
|
54 |
|
|
(15 |
) |
|
12,128 |
|
Total taxable securities |
275,693 |
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|
7,693 |
|
|
(613 |
) |
|
282,773 |
|
Tax-exempt securities |
4,167 |
|
|
13 |
|
|
(47 |
) |
|
4,133 |
|
Total available-for-sale debt securities |
279,860 |
|
|
7,706 |
|
|
(660 |
) |
|
286,906 |
|
Other debt securities carried at fair value |
23,927 |
|
|
120 |
|
|
(103 |
) |
|
23,944 |
|
Total debt securities carried at fair value |
303,787 |
|
|
7,826 |
|
|
(763 |
) |
|
310,850 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
49,481 |
|
|
815 |
|
|
(26 |
) |
|
50,270 |
|
Total debt securities |
$ |
353,268 |
|
|
$ |
8,641 |
|
|
$ |
(789 |
) |
|
$ |
361,120 |
|
Available-for-sale marketable equity securities (2)
|
$ |
780 |
|
|
$ |
732 |
|
|
$ |
— |
|
|
$ |
1,512 |
|
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|
(1) |
At December 31, 2013 and 2012, the underlying collateral type included approximately 89 percent and 91 percent prime, seven percent and six percent Alt-A, and four percent and three percent subprime.
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(2) |
Classified in other assets on the Consolidated Balance Sheet. |
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|
| Schedule of Other Debt Securities Carried at Fair Value |
The following table presents the components of other debt securities carried at fair value where the changes in fair value are reported in other income (loss) at December 31, 2013 and 2012. In 2013, the Corporation recorded unrealized mark-to-market net losses in other income (loss) of $1.3 billion and realized losses of $1.0 billion on other debt securities carried at fair value, which excludes the benefit of certain hedges the results of which are also reported in other income (loss). Amounts in 2012 were insignificant.
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Other Debt Securities Carried at Fair Value |
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|
December 31 |
(Dollars in millions) |
2013 |
|
2012 |
U.S. Treasury and agency securities |
$ |
4,062 |
|
|
$ |
491 |
|
Mortgage-backed securities: |
|
|
|
Agency |
16,500 |
|
|
13,073 |
|
Agency-collateralized mortgage obligations |
218 |
|
|
929 |
|
Commercial |
749 |
|
|
— |
|
Non-U.S. securities (1)
|
11,315 |
|
|
9,451 |
|
Total |
$ |
32,844 |
|
|
$ |
23,944 |
|
|
|
(1)
|
These securities are primarily used to satisfy certain international regulatory liquidity requirements. |
|
[1] |
| Components of Realized Gains and Losses on Sales of Debt Securities |
The gross realized gains and losses on sales of AFS debt securities for 2013, 2012 and 2011 are presented in the table below.
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Gains and Losses on Sales of AFS Debt Securities |
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|
|
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|
|
(Dollars in millions) |
2013 |
|
2012 |
|
2011 |
Gross gains |
$ |
1,302 |
|
|
$ |
2,128 |
|
|
$ |
3,685 |
|
Gross losses |
(31 |
) |
|
(466 |
) |
|
(311 |
) |
Net gains on sales of AFS debt securities |
$ |
1,271 |
|
|
$ |
1,662 |
|
|
$ |
3,374 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
470 |
|
|
$ |
615 |
|
|
$ |
1,248 |
|
|
|
| Current Fair Value and Associated Gross Unrealized Losses on Investments |
The amortized cost and fair value of the Corporation’s debt securities carried at fair value and HTM debt securities from Fannie Mae (FNMA), the Government National Mortgage Association (GNMA) and Freddie Mac (FHLMC), where the investment exceeded 10 percent of consolidated shareholders’ equity at December 31, 2013 and 2012, are presented in the table below.
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Selected Securities Exceeding 10 Percent of Shareholders’ Equity |
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|
December 31 |
|
2013 |
|
2012 |
(Dollars in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
Fannie Mae |
$ |
123,813 |
|
|
$ |
118,708 |
|
|
$ |
121,522 |
|
|
$ |
123,933 |
|
Government National Mortgage Association |
118,700 |
|
|
115,314 |
|
|
124,348 |
|
|
127,541 |
|
Freddie Mac |
24,908 |
|
|
24,075 |
|
|
22,995 |
|
|
23,502 |
|
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|
| Amortized Cost And Fair Value Of Corporations Investment |
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at December 31, 2013 and 2012.
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Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
|
Less than Twelve Months |
|
Twelve Months or Longer |
|
Total |
(Dollars in millions) |
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
Temporarily impaired available-for-sale debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
5,770 |
|
|
$ |
(61 |
) |
|
$ |
19 |
|
|
$ |
(1 |
) |
|
$ |
5,789 |
|
|
$ |
(62 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
132,032 |
|
|
(5,457 |
) |
|
9,324 |
|
|
(497 |
) |
|
141,356 |
|
|
(5,954 |
) |
Agency-collateralized mortgage obligations |
13,438 |
|
|
(210 |
) |
|
2,661 |
|
|
(105 |
) |
|
16,099 |
|
|
(315 |
) |
Non-agency residential |
819 |
|
|
(15 |
) |
|
1,237 |
|
|
(106 |
) |
|
2,056 |
|
|
(121 |
) |
Commercial |
286 |
|
|
(12 |
) |
|
— |
|
|
— |
|
|
286 |
|
|
(12 |
) |
Non-U.S. securities |
— |
|
|
— |
|
|
45 |
|
|
(24 |
) |
|
45 |
|
|
(24 |
) |
Corporate/Agency bonds |
106 |
|
|
(3 |
) |
|
282 |
|
|
(4 |
) |
|
388 |
|
|
(7 |
) |
Other taxable securities, substantially all asset-backed securities |
116 |
|
|
(2 |
) |
|
280 |
|
|
(3 |
) |
|
396 |
|
|
(5 |
) |
Total taxable securities |
152,567 |
|
|
(5,760 |
) |
|
13,848 |
|
|
(740 |
) |
|
166,415 |
|
|
(6,500 |
) |
Tax-exempt securities |
1,789 |
|
|
(30 |
) |
|
990 |
|
|
(19 |
) |
|
2,779 |
|
|
(49 |
) |
Total temporarily impaired available-for-sale debt securities |
154,356 |
|
|
(5,790 |
) |
|
14,838 |
|
|
(759 |
) |
|
169,194 |
|
|
(6,549 |
) |
Other-than-temporarily impaired available-for-sale debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
2 |
|
|
(1 |
) |
|
1 |
|
|
(1 |
) |
|
3 |
|
|
(2 |
) |
Total temporarily impaired and other-than-temporarily impaired available-for-sale securities (2)
|
$ |
154,358 |
|
|
$ |
(5,791 |
) |
|
$ |
14,839 |
|
|
$ |
(760 |
) |
|
$ |
169,197 |
|
|
$ |
(6,551 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
Temporarily impaired available-for-sale debt securities |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
— |
|
|
$ |
— |
|
|
$ |
5,608 |
|
|
$ |
(84 |
) |
|
$ |
5,608 |
|
|
$ |
(84 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
15,593 |
|
|
(133 |
) |
|
735 |
|
|
(13 |
) |
|
16,328 |
|
|
(146 |
) |
Agency-collateralized mortgage obligations |
5,135 |
|
|
(121 |
) |
|
4,994 |
|
|
(97 |
) |
|
10,129 |
|
|
(218 |
) |
Non-agency residential |
592 |
|
|
(13 |
) |
|
1,555 |
|
|
(110 |
) |
|
2,147 |
|
|
(123 |
) |
Non-U.S. securities |
1,715 |
|
|
(1 |
) |
|
563 |
|
|
(5 |
) |
|
2,278 |
|
|
(6 |
) |
Corporate/Agency bonds |
— |
|
|
— |
|
|
277 |
|
|
(16 |
) |
|
277 |
|
|
(16 |
) |
Other taxable securities, substantially all asset-backed securities |
1,678 |
|
|
(1 |
) |
|
1,436 |
|
|
(14 |
) |
|
3,114 |
|
|
(15 |
) |
Total taxable securities |
24,713 |
|
|
(269 |
) |
|
15,168 |
|
|
(339 |
) |
|
39,881 |
|
|
(608 |
) |
Tax-exempt securities |
1,609 |
|
|
(9 |
) |
|
1,072 |
|
|
(38 |
) |
|
2,681 |
|
|
(47 |
) |
Total temporarily impaired available-for-sale debt securities |
26,322 |
|
|
(278 |
) |
|
16,240 |
|
|
(377 |
) |
|
42,562 |
|
|
(655 |
) |
Other-than-temporarily impaired available-for-sale debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
14 |
|
|
(1 |
) |
|
74 |
|
|
(4 |
) |
|
88 |
|
|
(5 |
) |
Total temporarily impaired and other-than-temporarily impaired available-for-sale securities (2)
|
$ |
26,336 |
|
|
$ |
(279 |
) |
|
$ |
16,314 |
|
|
$ |
(381 |
) |
|
$ |
42,650 |
|
|
$ |
(660 |
) |
|
|
(1) |
Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss remains in accumulated OCI. |
|
|
(2)
|
At December 31, 2013 and 2012, the amortized cost of approximately 4,700 and 2,600 AFS debt securities exceeded their fair value by $6.6 billion and $660 million.
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|
| Corporation Recorded Other-Than-Temporary Impairment Losses on AFS Debt Securities |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Impairment Losses Recognized in Earnings |
|
|
|
|
|
|
|
|
|
|
|
|
2013 |
(Dollars in millions) |
Non-agency
Residential
MBS |
|
Non-agency
Commercial
MBS |
|
Other
Taxable
Securities |
|
Total |
Total OTTI losses (unrealized and realized) |
$ |
(21 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(21 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Net impairment losses recognized in earnings |
$ |
(20 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(20 |
) |
|
|
|
|
|
|
|
|
|
2012 |
Total OTTI losses (unrealized and realized) |
$ |
(50 |
) |
|
$ |
(7 |
) |
|
$ |
— |
|
|
$ |
(57 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
Net impairment losses recognized in earnings |
$ |
(46 |
) |
|
$ |
(7 |
) |
|
$ |
— |
|
|
$ |
(53 |
) |
|
|
|
|
|
|
|
|
|
2011 |
Total OTTI losses (unrealized and realized) |
$ |
(348 |
) |
|
$ |
(10 |
) |
|
$ |
(2 |
) |
|
$ |
(360 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
61 |
|
|
— |
|
|
— |
|
|
61 |
|
Net impairment losses recognized in earnings |
$ |
(287 |
) |
|
$ |
(10 |
) |
|
$ |
(2 |
) |
|
$ |
(299 |
) |
|
|
| Credit Component Recognized in Earnings on Debt Securities for Which a Portion of the Other Than Temporary Loss Remains in OCI |
The table below presents a rollforward of the credit losses recognized in earnings in 2013, 2012 and 2011 on AFS debt securities that the Corporation does not have the intent to sell or will not more-likely-than-not be required to sell.
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rollforward of Credit Losses Recognized |
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
2013 |
|
2012 |
|
2011 |
|
Balance, January 1 |
$ |
243 |
|
|
$ |
310 |
|
|
$ |
2,148 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
6 |
|
|
7 |
|
|
72 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
14 |
|
|
46 |
|
|
149 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
(51 |
) |
|
(120 |
) |
|
(2,059 |
) |
Balance, December 31 |
$ |
212 |
|
|
$ |
243 |
|
|
$ |
310 |
|
|
|
| Significant Assumptions Used in the Valuation of Non-Agency Residential MBS |
Significant assumptions used in estimating the expected cash flows for measuring credit losses on non-agency residential mortgage-backed securities (RMBS) were as follows at December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
|
|
|
|
|
|
Range (1)
|
|
Weighted-
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
11.6 |
% |
|
1.8 |
% |
|
23.6 |
% |
Loss severity |
41.3 |
|
|
14.7 |
|
|
52.1 |
|
Life default rate |
39.4 |
|
|
0.9 |
|
|
99.6 |
|
|
|
(1) |
Represents the range of inputs/assumptions based upon the underlying collateral. |
|
|
(2) |
The value of a variable below which the indicated percentile of observations will fall. |
|
|
| Expected Maturity Distribution |
The expected maturity distribution of the Corporation’s MBS, the contractual maturity distribution of the Corporation’s debt securities carried at fair value and HTM debt securities, and the yields on the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2013 are summarized in the table below. Actual maturities may differ from the contractual or expected maturities since borrowers may have the right to prepay obligations with or without prepayment penalties.
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Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities |
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December 31, 2013 |
|
Due in One
Year or Less
|
|
Due after One Year
through Five Years
|
|
Due after Five Years
through Ten Years
|
|
Due after
Ten Years
|
|
Total |
(Dollars in millions) |
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
Amortized cost of debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
535 |
|
|
0.62 |
% |
|
$ |
2,337 |
|
|
1.71 |
% |
|
$ |
8,844 |
|
|
2.44 |
% |
|
$ |
1,339 |
|
|
3.84 |
% |
|
$ |
13,055 |
|
|
2.38 |
% |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
11 |
|
|
4.44 |
|
|
9,649 |
|
|
2.93 |
|
|
90,407 |
|
|
3.10 |
|
|
87,728 |
|
|
2.96 |
|
|
187,795 |
|
|
3.03 |
|
Agency-collateralized mortgage obligations |
1,482 |
|
|
0.01 |
|
|
3,373 |
|
|
2.09 |
|
|
18,036 |
|
|
2.96 |
|
|
29 |
|
|
0.93 |
|
|
22,920 |
|
|
2.63 |
|
Non-agency residential |
815 |
|
|
4.10 |
|
|
2,200 |
|
|
4.06 |
|
|
1,149 |
|
|
3.13 |
|
|
1,960 |
|
|
2.59 |
|
|
6,124 |
|
|
3.42 |
|
Commercial |
1,683 |
|
|
5.01 |
|
|
466 |
|
|
6.43 |
|
|
1,089 |
|
|
2.51 |
|
|
7 |
|
|
4.09 |
|
|
3,245 |
|
|
4.37 |
|
Non-U.S. securities |
16,288 |
|
|
1.04 |
|
|
2,074 |
|
|
3.98 |
|
|
149 |
|
|
3.34 |
|
|
8 |
|
|
3.10 |
|
|
18,519 |
|
|
1.39 |
|
Corporate/Agency bonds |
395 |
|
|
2.48 |
|
|
206 |
|
|
5.69 |
|
|
112 |
|
|
4.12 |
|
|
147 |
|
|
1.38 |
|
|
860 |
|
|
3.27 |
|
Other taxable securities, substantially all asset-backed securities |
6,655 |
|
|
1.58 |
|
|
7,274 |
|
|
1.37 |
|
|
2,105 |
|
|
2.06 |
|
|
771 |
|
|
0.84 |
|
|
16,805 |
|
|
1.50 |
|
Total taxable securities |
27,864 |
|
|
1.46 |
|
|
27,579 |
|
|
2.56 |
|
|
121,891 |
|
|
3.01 |
|
|
91,989 |
|
|
2.95 |
|
|
269,323 |
|
|
2.78 |
|
Tax-exempt securities |
195 |
|
|
1.66 |
|
|
2,324 |
|
|
1.49 |
|
|
2,429 |
|
|
1.90 |
|
|
1,019 |
|
|
0.61 |
|
|
5,967 |
|
|
1.54 |
|
Total amortized cost of debt securities carried at fair value |
$ |
28,059 |
|
|
1.47 |
|
|
$ |
29,903 |
|
|
2.46 |
|
|
$ |
124,320 |
|
|
2.99 |
|
|
$ |
93,008 |
|
|
2.92 |
|
|
$ |
275,290 |
|
|
2.75 |
|
Amortized cost of held-to-maturity debt securities (2)
|
$ |
— |
|
|
— |
|
|
$ |
125 |
|
|
1.79 |
|
|
$ |
53,699 |
|
|
2.60 |
|
|
$ |
1,326 |
|
|
2.72 |
|
|
$ |
55,150 |
|
|
2.61 |
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
537 |
|
|
|
|
|
$ |
2,333 |
|
|
|
|
|
$ |
8,831 |
|
|
|
|
|
$ |
1,315 |
|
|
|
|
|
$ |
13,016 |
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
11 |
|
|
|
|
|
9,708 |
|
|
|
|
|
88,191 |
|
|
|
|
|
83,525 |
|
|
|
|
|
181,435 |
|
|
|
|
Agency-collateralized mortgage obligations |
1,480 |
|
|
|
|
|
3,284 |
|
|
|
|
|
17,916 |
|
|
|
|
|
30 |
|
|
|
|
|
22,710 |
|
|
|
|
Non-agency residential |
805 |
|
|
|
|
|
2,236 |
|
|
|
|
|
1,173 |
|
|
|
|
|
2,025 |
|
|
|
|
|
6,239 |
|
|
|
|
Commercial |
1,715 |
|
|
|
|
|
494 |
|
|
|
|
|
1,013 |
|
|
|
|
|
7 |
|
|
|
|
|
3,229 |
|
|
|
|
Non-U.S. securities |
16,273 |
|
|
|
|
|
2,099 |
|
|
|
|
|
155 |
|
|
|
|
|
8 |
|
|
|
|
|
18,535 |
|
|
|
|
Corporate/Agency bonds |
395 |
|
|
|
|
|
220 |
|
|
|
|
|
116 |
|
|
|
|
|
142 |
|
|
|
|
|
873 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
6,656 |
|
|
|
|
|
7,280 |
|
|
|
|
|
2,120 |
|
|
|
|
|
774 |
|
|
|
|
|
16,830 |
|
|
|
|
Total taxable securities |
27,872 |
|
|
|
|
|
27,654 |
|
|
|
|
|
119,515 |
|
|
|
|
|
87,826 |
|
|
|
|
|
262,867 |
|
|
|
|
Tax-exempt securities |
194 |
|
|
|
|
|
2,319 |
|
|
|
|
|
2,409 |
|
|
|
|
|
1,006 |
|
|
|
|
|
5,928 |
|
|
|
|
Total debt securities carried at fair value |
$ |
28,066 |
|
|
|
|
|
$ |
29,973 |
|
|
|
|
|
$ |
121,924 |
|
|
|
|
|
$ |
88,832 |
|
|
|
|
|
$ |
268,795 |
|
|
|
|
Fair value of held-to-maturity debt securities (2)
|
$ |
— |
|
|
|
|
$ |
125 |
|
|
|
|
$ |
51,062 |
|
|
|
|
$ |
1,243 |
|
|
|
|
$ |
52,430 |
|
|
|
|
|
(1) |
Average yield is computed using the effective yield of each security at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and excludes the effect of related hedging derivatives. |
|
|
(2) |
Substantially all U.S. agency MBS. |
|
|
|
|
|