Securities (Tables)
|
3 Months Ended |
Mar. 31, 2019 |
|---|
| 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 and held-to-maturity (HTM) debt securities at March 31, 2019 and December 31, 2018.
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Debt Securities |
|
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|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
(Dollars in millions) |
March 31, 2019 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
$ |
118,899 |
|
|
$ |
217 |
|
|
$ |
(1,951 |
) |
|
$ |
117,165 |
|
Agency-collateralized mortgage obligations |
5,411 |
|
|
35 |
|
|
(67 |
) |
|
5,379 |
|
Commercial |
14,489 |
|
|
48 |
|
|
(168 |
) |
|
14,369 |
|
Non-agency residential (1)
|
1,772 |
|
|
251 |
|
|
(8 |
) |
|
2,015 |
|
Total mortgage-backed securities |
140,571 |
|
|
551 |
|
|
(2,194 |
) |
|
138,928 |
|
U.S. Treasury and agency securities |
61,461 |
|
|
261 |
|
|
(698 |
) |
|
61,024 |
|
Non-U.S. securities |
10,759 |
|
|
5 |
|
|
(2 |
) |
|
10,762 |
|
Other taxable securities, substantially all asset-backed securities |
3,375 |
|
|
59 |
|
|
(1 |
) |
|
3,433 |
|
Total taxable securities |
216,166 |
|
|
876 |
|
|
(2,895 |
) |
|
214,147 |
|
Tax-exempt securities |
17,360 |
|
|
148 |
|
|
(42 |
) |
|
17,466 |
|
Total available-for-sale debt securities |
233,526 |
|
|
1,024 |
|
|
(2,937 |
) |
|
231,613 |
|
Other debt securities carried at fair value |
10,152 |
|
|
211 |
|
|
(20 |
) |
|
10,343 |
|
Total debt securities carried at fair value |
243,678 |
|
|
1,235 |
|
|
(2,957 |
) |
|
241,956 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
198,718 |
|
|
1,949 |
|
|
(2,137 |
) |
|
198,530 |
|
Total debt securities (2, 3)
|
$ |
442,396 |
|
|
$ |
3,184 |
|
|
$ |
(5,094 |
) |
|
$ |
440,486 |
|
|
|
|
|
|
|
|
|
|
December 31, 2018 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
125,116 |
|
|
$ |
138 |
|
|
$ |
(3,428 |
) |
|
$ |
121,826 |
|
Agency-collateralized mortgage obligations |
5,621 |
|
|
19 |
|
|
(110 |
) |
|
5,530 |
|
Commercial |
14,469 |
|
|
11 |
|
|
(402 |
) |
|
14,078 |
|
Non-agency residential (1)
|
1,792 |
|
|
136 |
|
|
(11 |
) |
|
1,917 |
|
Total mortgage-backed securities |
146,998 |
|
|
304 |
|
|
(3,951 |
) |
|
143,351 |
|
U.S. Treasury and agency securities |
56,239 |
|
|
62 |
|
|
(1,378 |
) |
|
54,923 |
|
Non-U.S. securities |
9,307 |
|
|
5 |
|
|
(6 |
) |
|
9,306 |
|
Other taxable securities, substantially all asset-backed securities |
4,387 |
|
|
29 |
|
|
(6 |
) |
|
4,410 |
|
Total taxable securities |
216,931 |
|
|
400 |
|
|
(5,341 |
) |
|
211,990 |
|
Tax-exempt securities |
17,349 |
|
|
99 |
|
|
(72 |
) |
|
17,376 |
|
Total available-for-sale debt securities |
234,280 |
|
|
499 |
|
|
(5,413 |
) |
|
229,366 |
|
Other debt securities carried at fair value |
8,595 |
|
|
172 |
|
|
(32 |
) |
|
8,735 |
|
Total debt securities carried at fair value |
242,875 |
|
|
671 |
|
|
(5,445 |
) |
|
238,101 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
203,652 |
|
|
747 |
|
|
(3,964 |
) |
|
200,435 |
|
Total debt securities (2, 3)
|
$ |
446,527 |
|
|
$ |
1,418 |
|
|
$ |
(9,409 |
) |
|
$ |
438,536 |
|
|
|
(1) |
At both March 31, 2019 and December 31, 2018, the underlying collateral type included approximately 68 percent prime, four percent Alt-A and 28 percent subprime.
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(2) |
Includes securities pledged as collateral of $47.9 billion and $40.6 billion at March 31, 2019 and December 31, 2018.
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(3) |
The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $158.7 billion and $52.0 billion, and a fair value of $158.3 billion and $51.9 billion at March 31, 2019, and an amortized cost of $161.2 billion and $52.2 billion, and a fair value of $158.5 billion and $51.4 billion at December 31, 2018.
|
|
| 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. In the three months ended March 31, 2019, the Corporation recorded unrealized mark-to-market net gains of $51 million and realized net gains of $20 million, and in the three months ended March 31, 2018, unrealized mark-to-market net gains of $41 million and realized net losses of $6 million. These amounts exclude hedge results.
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Other Debt Securities Carried at Fair Value |
|
|
|
March 31 |
|
December 31 |
|
(Dollars in millions) |
2019 |
|
2018 |
Mortgage-backed securities |
$ |
2,651 |
|
|
$ |
1,606 |
|
U.S. Treasury and agency securities |
— |
|
|
1,282 |
|
Non-U.S. securities (1)
|
7,689 |
|
|
5,844 |
|
Other taxable securities, substantially all asset-backed securities |
3 |
|
|
3 |
|
Total |
$ |
10,343 |
|
|
$ |
8,735 |
|
(1) These securities are primarily used to satisfy certain international regulatory liquidity requirements.
|
| Components of Realized Gains and Losses on Sales of Debt Securities |
The gross realized gains and losses on sales of AFS debt securities for the three months ended March 31, 2019 and 2018 are presented in the table below.
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Gains and Losses on Sales of AFS Debt Securities |
|
|
|
Three Months Ended March 31 |
(Dollars in millions) |
2019 |
|
2018 |
Gross gains |
$ |
117 |
|
|
$ |
2 |
|
Gross losses |
(111 |
) |
|
— |
|
Net gains on sales of AFS debt securities |
$ |
6 |
|
|
$ |
2 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
2 |
|
|
$ |
— |
|
|
| Amortized Cost and Fair Value of Corporations Investment |
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at March 31, 2019 and December 31, 2018.
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Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
|
|
|
|
|
|
|
Less than Twelve Months |
|
Twelve Months or Longer |
|
Total |
|
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
(Dollars in millions) |
March 31, 2019 |
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
820 |
|
|
$ |
(2 |
) |
|
$ |
98,153 |
|
|
$ |
(1,949 |
) |
|
$ |
98,973 |
|
|
$ |
(1,951 |
) |
Agency-collateralized mortgage obligations |
61 |
|
|
— |
|
|
3,495 |
|
|
(67 |
) |
|
3,556 |
|
|
(67 |
) |
Commercial |
1,004 |
|
|
(4 |
) |
|
9,396 |
|
|
(164 |
) |
|
10,400 |
|
|
(168 |
) |
Non-agency residential |
86 |
|
|
(8 |
) |
|
1 |
|
|
— |
|
|
87 |
|
|
(8 |
) |
Total mortgage-backed securities |
1,971 |
|
|
(14 |
) |
|
111,045 |
|
|
(2,180 |
) |
|
113,016 |
|
|
(2,194 |
) |
U.S. Treasury and agency securities |
250 |
|
|
(1 |
) |
|
43,444 |
|
|
(697 |
) |
|
43,694 |
|
|
(698 |
) |
Non-U.S. securities |
2,350 |
|
|
(1 |
) |
|
59 |
|
|
(1 |
) |
|
2,409 |
|
|
(2 |
) |
Other taxable securities, substantially all asset-backed securities |
265 |
|
|
— |
|
|
65 |
|
|
(1 |
) |
|
330 |
|
|
(1 |
) |
Total taxable securities |
4,836 |
|
|
(16 |
) |
|
154,613 |
|
|
(2,879 |
) |
|
159,449 |
|
|
(2,895 |
) |
Tax-exempt securities |
123 |
|
|
— |
|
|
1,470 |
|
|
(42 |
) |
|
1,593 |
|
|
(42 |
) |
Total temporarily impaired AFS debt securities |
4,959 |
|
|
(16 |
) |
|
156,083 |
|
|
(2,921 |
) |
|
161,042 |
|
|
(2,937 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities
|
53 |
|
|
(1 |
) |
|
83 |
|
|
1 |
|
|
136 |
|
|
— |
|
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
5,012 |
|
|
$ |
(17 |
) |
|
$ |
156,166 |
|
|
$ |
(2,920 |
) |
|
$ |
161,178 |
|
|
$ |
(2,937 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2018 |
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
14,771 |
|
|
$ |
(49 |
) |
|
$ |
99,211 |
|
|
$ |
(3,379 |
) |
|
$ |
113,982 |
|
|
$ |
(3,428 |
) |
Agency-collateralized mortgage obligations |
3 |
|
|
— |
|
|
4,452 |
|
|
(110 |
) |
|
4,455 |
|
|
(110 |
) |
Commercial |
1,344 |
|
|
(8 |
) |
|
11,991 |
|
|
(394 |
) |
|
13,335 |
|
|
(402 |
) |
Non-agency residential |
106 |
|
|
(8 |
) |
|
49 |
|
|
(3 |
) |
|
155 |
|
|
(11 |
) |
Total mortgage-backed securities |
16,224 |
|
|
(65 |
) |
|
115,703 |
|
|
(3,886 |
) |
|
131,927 |
|
|
(3,951 |
) |
U.S. Treasury and agency securities |
288 |
|
|
(1 |
) |
|
51,374 |
|
|
(1,377 |
) |
|
51,662 |
|
|
(1,378 |
) |
Non-U.S. securities |
773 |
|
|
(5 |
) |
|
21 |
|
|
(1 |
) |
|
794 |
|
|
(6 |
) |
Other taxable securities, substantially all asset-backed securities |
183 |
|
|
(1 |
) |
|
185 |
|
|
(5 |
) |
|
368 |
|
|
(6 |
) |
Total taxable securities |
17,468 |
|
|
(72 |
) |
|
167,283 |
|
|
(5,269 |
) |
|
184,751 |
|
|
(5,341 |
) |
Tax-exempt securities |
232 |
|
|
(2 |
) |
|
2,148 |
|
|
(70 |
) |
|
2,380 |
|
|
(72 |
) |
Total temporarily impaired AFS debt securities |
17,700 |
|
|
(74 |
) |
|
169,431 |
|
|
(5,339 |
) |
|
187,131 |
|
|
(5,413 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
131 |
|
|
— |
|
|
3 |
|
|
— |
|
|
134 |
|
|
— |
|
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
17,831 |
|
|
$ |
(74 |
) |
|
$ |
169,434 |
|
|
$ |
(5,339 |
) |
|
$ |
187,265 |
|
|
$ |
(5,413 |
) |
|
|
(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. |
|
| 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 March 31, 2019.
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|
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|
Significant Assumptions |
|
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|
|
|
Range (1)
|
|
Weighted
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
12.1 |
% |
|
3.0 |
% |
|
21.0 |
% |
Loss severity |
20.5 |
|
|
8.6 |
|
|
38.5 |
|
Life default rate |
17.3 |
|
|
1.2 |
|
|
65.6 |
|
|
|
(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 remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at March 31, 2019 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgages or other asset-backed securities (ABS) are passed through to the Corporation.
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|
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due in One
Year or Less
|
|
Due after One Year
through Five Years
|
|
Due after Five Years
through Ten Years
|
|
Due after
Ten Years
|
|
Total |
(Dollars in millions) |
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
|
Amortized cost of debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
— |
|
|
— |
% |
|
$ |
143 |
|
|
2.29 |
% |
|
$ |
1,557 |
|
|
2.41 |
% |
|
$ |
118,203 |
|
|
3.32 |
% |
|
$ |
119,903 |
|
|
3.31 |
% |
Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
29 |
|
|
2.52 |
|
|
5,382 |
|
|
3.17 |
|
|
5,411 |
|
|
3.17 |
|
Commercial |
135 |
|
|
1.78 |
|
|
2,498 |
|
|
2.37 |
|
|
10,931 |
|
|
2.54 |
|
|
925 |
|
|
3.01 |
|
|
14,489 |
|
|
2.53 |
|
Non-agency residential |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
13 |
|
|
— |
|
|
3,227 |
|
|
10.28 |
|
|
3,240 |
|
|
10.24 |
|
Total mortgage-backed securities |
135 |
|
|
1.78 |
|
|
2,641 |
|
|
2.36 |
|
|
12,530 |
|
|
2.52 |
|
|
127,737 |
|
|
3.49 |
|
|
143,043 |
|
|
3.38 |
|
U.S. Treasury and agency securities |
739 |
|
|
1.15 |
|
|
29,186 |
|
|
1.52 |
|
|
31,517 |
|
|
2.44 |
|
|
19 |
|
|
2.53 |
|
|
61,461 |
|
|
1.98 |
|
Non-U.S. securities |
17,607 |
|
|
1.00 |
|
|
701 |
|
|
2.62 |
|
|
17 |
|
|
4.16 |
|
|
114 |
|
|
6.63 |
|
|
18,439 |
|
|
1.10 |
|
Other taxable securities, substantially all asset-backed securities |
701 |
|
|
3.66 |
|
|
1,944 |
|
|
3.55 |
|
|
646 |
|
|
3.14 |
|
|
84 |
|
|
5.91 |
|
|
3,375 |
|
|
3.55 |
|
Total taxable securities |
19,182 |
|
|
1.11 |
|
|
34,472 |
|
|
1.72 |
|
|
44,710 |
|
|
2.47 |
|
|
127,954 |
|
|
3.49 |
|
|
226,318 |
|
|
2.81 |
|
Tax-exempt securities |
786 |
|
|
2.55 |
|
|
7,353 |
|
|
2.43 |
|
|
6,207 |
|
|
2.37 |
|
|
3,014 |
|
|
1.97 |
|
|
17,360 |
|
|
2.34 |
|
Total amortized cost of debt securities carried at fair value |
$ |
19,968 |
|
|
1.16 |
|
|
$ |
41,825 |
|
|
1.85 |
|
|
$ |
50,917 |
|
|
2.46 |
|
|
$ |
130,968 |
|
|
3.46 |
|
|
$ |
243,678 |
|
|
2.78 |
|
Amortized cost of HTM debt securities (2)
|
$ |
370 |
|
|
5.41 |
|
|
$ |
17 |
|
|
3.93 |
|
|
$ |
1,669 |
|
|
3.04 |
|
|
$ |
196,662 |
|
|
3.23 |
|
|
$ |
198,718 |
|
|
3.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
— |
|
|
|
|
|
$ |
142 |
|
|
|
|
|
$ |
1,544 |
|
|
|
|
|
$ |
116,492 |
|
|
|
|
|
$ |
118,178 |
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
|
|
|
— |
|
|
|
|
|
28 |
|
|
|
|
|
5,351 |
|
|
|
|
|
5,379 |
|
|
|
|
Commercial |
135 |
|
|
|
|
|
2,484 |
|
|
|
|
|
10,832 |
|
|
|
|
|
918 |
|
|
|
|
|
14,369 |
|
|
|
|
Non-agency residential |
— |
|
|
|
|
|
— |
|
|
|
|
|
27 |
|
|
|
|
|
3,626 |
|
|
|
|
|
3,653 |
|
|
|
|
Total mortgage-backed securities |
135 |
|
|
|
|
2,626 |
|
|
|
|
12,431 |
|
|
|
|
126,387 |
|
|
|
|
141,579 |
|
|
|
U.S. Treasury and agency securities |
738 |
|
|
|
|
28,583 |
|
|
|
|
31,684 |
|
|
|
|
19 |
|
|
|
|
61,024 |
|
|
|
Non-U.S. securities |
17,604 |
|
|
|
|
|
712 |
|
|
|
|
|
17 |
|
|
|
|
|
118 |
|
|
|
|
|
18,451 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
703 |
|
|
|
|
|
1,967 |
|
|
|
|
|
681 |
|
|
|
|
|
85 |
|
|
|
|
|
3,436 |
|
|
|
|
Total taxable securities |
19,180 |
|
|
|
|
|
33,888 |
|
|
|
|
|
44,813 |
|
|
|
|
|
126,609 |
|
|
|
|
|
224,490 |
|
|
|
|
Tax-exempt securities |
786 |
|
|
|
|
|
7,370 |
|
|
|
|
|
6,285 |
|
|
|
|
|
3,025 |
|
|
|
|
|
17,466 |
|
|
|
|
Total debt securities carried at fair value |
$ |
19,966 |
|
|
|
|
|
$ |
41,258 |
|
|
|
|
|
$ |
51,098 |
|
|
|
|
|
$ |
129,634 |
|
|
|
|
|
$ |
241,956 |
|
|
|
|
Fair value of HTM debt securities (2)
|
$ |
370 |
|
|
|
|
$ |
17 |
|
|
|
|
$ |
1,650 |
|
|
|
|
$ |
196,493 |
|
|
|
|
$ |
198,530 |
|
|
|
|
|
(1) |
The weighted-average yield is computed based on a constant effective interest rate over the contractual life of each security. The average yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives. |
(2) Substantially all U.S. agency MBS.
|