Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.19.2
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.