Securities (Tables)
|
6 Months Ended |
Jun. 30, 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 June 30, 2019 and December 31, 2018.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities |
|
|
|
|
|
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
(Dollars in millions) |
June 30, 2019 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
$ |
125,792 |
|
|
$ |
576 |
|
|
$ |
(799 |
) |
|
$ |
125,569 |
|
Agency-collateralized mortgage obligations |
5,157 |
|
|
80 |
|
|
(27 |
) |
|
5,210 |
|
Commercial |
14,313 |
|
|
228 |
|
|
(16 |
) |
|
14,525 |
|
Non-agency residential (1)
|
1,789 |
|
|
242 |
|
|
(9 |
) |
|
2,022 |
|
Total mortgage-backed securities |
147,051 |
|
|
1,126 |
|
|
(851 |
) |
|
147,326 |
|
U.S. Treasury and agency securities |
56,157 |
|
|
908 |
|
|
(246 |
) |
|
56,819 |
|
Non-U.S. securities |
11,178 |
|
|
8 |
|
|
(1 |
) |
|
11,185 |
|
Other taxable securities, substantially all asset-backed securities |
3,622 |
|
|
73 |
|
|
— |
|
|
3,695 |
|
Total taxable securities |
218,008 |
|
|
2,115 |
|
|
(1,098 |
) |
|
219,025 |
|
Tax-exempt securities |
16,799 |
|
|
189 |
|
|
(34 |
) |
|
16,954 |
|
Total available-for-sale debt securities |
234,807 |
|
|
2,304 |
|
|
(1,132 |
) |
|
235,979 |
|
Other debt securities carried at fair value (2)
|
9,942 |
|
|
195 |
|
|
(22 |
) |
|
10,115 |
|
Total debt securities carried at fair value |
244,749 |
|
|
2,499 |
|
|
(1,154 |
) |
|
246,094 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
199,981 |
|
|
3,339 |
|
|
(836 |
) |
|
202,484 |
|
Total debt securities (3, 4)
|
$ |
444,730 |
|
|
$ |
5,838 |
|
|
$ |
(1,990 |
) |
|
$ |
448,578 |
|
|
|
|
|
|
|
|
|
|
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 (2)
|
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 (3, 4)
|
$ |
446,527 |
|
|
$ |
1,418 |
|
|
$ |
(9,409 |
) |
|
$ |
438,536 |
|
|
|
(1) |
At June 30, 2019 and December 31, 2018, the underlying collateral type included approximately 67 percent and 68 percent prime, four percent Alt-A for both periods and 29 percent and 28 percent subprime.
|
|
|
(2) |
Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in other income. For detail on the components, see Note 15 – Fair Value Measurements.
|
|
|
(3) |
Includes securities pledged as collateral of $42.0 billion and $40.6 billion at June 30, 2019 and December 31, 2018.
|
|
|
(4) |
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 $160.1 billion and $51.4 billion, and a fair value of $161.9 billion and $52.1 billion at June 30, 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.
|
|
| Amortized Cost and Fair Value of Corporations Investment |
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at June 30, 2019 and December 31, 2018.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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) |
June 30, 2019 |
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
106 |
|
|
$ |
— |
|
|
$ |
75,567 |
|
|
$ |
(799 |
) |
|
$ |
75,673 |
|
|
$ |
(799 |
) |
Agency-collateralized mortgage obligations |
59 |
|
|
— |
|
|
1,652 |
|
|
(27 |
) |
|
1,711 |
|
|
(27 |
) |
Commercial |
859 |
|
|
(4 |
) |
|
1,639 |
|
|
(12 |
) |
|
2,498 |
|
|
(16 |
) |
Non-agency residential |
35 |
|
|
(1 |
) |
|
1 |
|
|
— |
|
|
36 |
|
|
(1 |
) |
Total mortgage-backed securities |
1,059 |
|
|
(5 |
) |
|
78,859 |
|
|
(838 |
) |
|
79,918 |
|
|
(843 |
) |
U.S. Treasury and agency securities |
821 |
|
|
(4 |
) |
|
22,323 |
|
|
(242 |
) |
|
23,144 |
|
|
(246 |
) |
Non-U.S. securities |
1,335 |
|
|
(1 |
) |
|
— |
|
|
— |
|
|
1,335 |
|
|
(1 |
) |
Other taxable securities, substantially all asset-backed securities |
332 |
|
|
— |
|
|
3 |
|
|
— |
|
|
335 |
|
|
— |
|
Total taxable securities |
3,547 |
|
|
(10 |
) |
|
101,185 |
|
|
(1,080 |
) |
|
104,732 |
|
|
(1,090 |
) |
Tax-exempt securities |
50 |
|
|
— |
|
|
567 |
|
|
(34 |
) |
|
617 |
|
|
(34 |
) |
Total temporarily impaired AFS debt securities |
3,597 |
|
|
(10 |
) |
|
101,752 |
|
|
(1,114 |
) |
|
105,349 |
|
|
(1,124 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities
|
176 |
|
|
(5 |
) |
|
20 |
|
|
(3 |
) |
|
196 |
|
|
(8 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
3,773 |
|
|
$ |
(15 |
) |
|
$ |
101,772 |
|
|
$ |
(1,117 |
) |
|
$ |
105,545 |
|
|
$ |
(1,132 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 June 30, 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
|
|
|
|
Range (1)
|
|
Weighted
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
16.1 |
% |
|
4.8 |
% |
|
27.9 |
% |
Loss severity |
15.9 |
|
|
8.0 |
|
|
33.1 |
|
Life default rate |
12.7 |
|
|
0.9 |
|
|
41.7 |
|
|
|
(1) |
Represents the range of inputs/assumptions based upon the underlying collateral. |
(2)
The value of a variable below which the indicated percentile of observations will fall.
|
| Expected Maturity Distribution |
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at June 30, 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
— |
|
|
— |
% |
|
$ |
130 |
|
|
2.33 |
% |
|
$ |
1,814 |
|
|
2.41 |
% |
|
$ |
123,848 |
|
|
3.33 |
% |
|
$ |
125,792 |
|
|
3.32 |
% |
Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
28 |
|
|
2.54 |
|
|
5,129 |
|
|
3.17 |
|
|
5,157 |
|
|
3.17 |
|
Commercial |
9 |
|
|
1.78 |
|
|
2,520 |
|
|
2.38 |
|
|
10,871 |
|
|
2.55 |
|
|
913 |
|
|
3.00 |
|
|
14,313 |
|
|
2.55 |
|
Non-agency residential |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
13 |
|
|
— |
|
|
3,215 |
|
|
10.50 |
|
|
3,228 |
|
|
10.46 |
|
Total mortgage-backed securities |
9 |
|
|
1.78 |
|
|
2,650 |
|
|
2.38 |
|
|
12,726 |
|
|
2.53 |
|
|
133,105 |
|
|
3.50 |
|
|
148,490 |
|
|
3.40 |
|
U.S. Treasury and agency securities |
924 |
|
|
0.18 |
|
|
32,924 |
|
|
1.60 |
|
|
22,291 |
|
|
2.45 |
|
|
18 |
|
|
2.50 |
|
|
56,157 |
|
|
1.92 |
|
Non-U.S. securities |
18,940 |
|
|
0.97 |
|
|
620 |
|
|
1.55 |
|
|
13 |
|
|
4.30 |
|
|
108 |
|
|
6.50 |
|
|
19,681 |
|
|
1.02 |
|
Other taxable securities, substantially all asset-backed securities |
736 |
|
|
3.67 |
|
|
2,243 |
|
|
3.44 |
|
|
393 |
|
|
3.62 |
|
|
250 |
|
|
4.31 |
|
|
3,622 |
|
|
3.57 |
|
Total taxable securities |
20,609 |
|
|
1.04 |
|
|
38,437 |
|
|
1.76 |
|
|
35,423 |
|
|
2.50 |
|
|
133,481 |
|
|
3.50 |
|
|
227,950 |
|
|
2.83 |
|
Tax-exempt securities |
1,004 |
|
|
2.53 |
|
|
6,895 |
|
|
2.34 |
|
|
5,958 |
|
|
2.44 |
|
|
2,942 |
|
|
2.55 |
|
|
16,799 |
|
|
2.42 |
|
Total amortized cost of debt securities carried at fair value |
$ |
21,613 |
|
|
1.11 |
|
|
$ |
45,332 |
|
|
1.85 |
|
|
$ |
41,381 |
|
|
2.49 |
|
|
$ |
136,423 |
|
|
3.48 |
|
|
$ |
244,749 |
|
|
2.80 |
|
Amortized cost of HTM debt securities (2)
|
$ |
104 |
|
|
4.27 |
|
|
$ |
37 |
|
|
3.97 |
|
|
$ |
1,137 |
|
|
2.55 |
|
|
$ |
198,703 |
|
|
3.24 |
|
|
$ |
199,981 |
|
|
3.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
— |
|
|
|
|
|
$ |
130 |
|
|
|
|
|
$ |
1,814 |
|
|
|
|
|
$ |
123,625 |
|
|
|
|
|
$ |
125,569 |
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
|
|
|
— |
|
|
|
|
|
28 |
|
|
|
|
|
5,182 |
|
|
|
|
|
5,210 |
|
|
|
|
Commercial |
9 |
|
|
|
|
|
2,549 |
|
|
|
|
|
11,034 |
|
|
|
|
|
933 |
|
|
|
|
|
14,525 |
|
|
|
|
Non-agency residential |
— |
|
|
|
|
|
— |
|
|
|
|
|
27 |
|
|
|
|
|
3,593 |
|
|
|
|
|
3,620 |
|
|
|
|
Total mortgage-backed securities |
9 |
|
|
|
|
2,679 |
|
|
|
|
12,903 |
|
|
|
|
133,333 |
|
|
|
|
148,924 |
|
|
|
U.S. Treasury and agency securities |
924 |
|
|
|
|
32,856 |
|
|
|
|
23,020 |
|
|
|
|
19 |
|
|
|
|
56,819 |
|
|
|
Non-U.S. securities |
18,944 |
|
|
|
|
|
630 |
|
|
|
|
|
14 |
|
|
|
|
|
111 |
|
|
|
|
|
19,699 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
743 |
|
|
|
|
|
2,284 |
|
|
|
|
|
417 |
|
|
|
|
|
254 |
|
|
|
|
|
3,698 |
|
|
|
|
Total taxable securities |
20,620 |
|
|
|
|
|
38,449 |
|
|
|
|
|
36,354 |
|
|
|
|
|
133,717 |
|
|
|
|
|
229,140 |
|
|
|
|
Tax-exempt securities |
1,005 |
|
|
|
|
|
6,908 |
|
|
|
|
|
6,074 |
|
|
|
|
|
2,967 |
|
|
|
|
|
16,954 |
|
|
|
|
Total debt securities carried at fair value |
$ |
21,625 |
|
|
|
|
|
$ |
45,357 |
|
|
|
|
|
$ |
42,428 |
|
|
|
|
|
$ |
136,684 |
|
|
|
|
|
$ |
246,094 |
|
|
|
|
Fair value of HTM debt securities (2)
|
$ |
104 |
|
|
|
|
$ |
37 |
|
|
|
|
$ |
1,148 |
|
|
|
|
$ |
201,195 |
|
|
|
|
$ |
202,484 |
|
|
|
|
|
(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.
|