| Securities |
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 HTM debt securities at September 30, 2020 and December 31, 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt Securities |
|
|
|
|
|
|
|
Amortized
Cost |
|
Gross
Unrealized
Gains |
|
Gross
Unrealized
Losses |
|
Fair
Value |
| (Dollars in millions) |
September 30, 2020 |
| Available-for-sale debt securities |
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
| Agency |
$ |
67,566
|
|
|
$ |
2,349
|
|
|
$ |
(51) |
|
|
$ |
69,864
|
|
| Agency-collateralized mortgage obligations |
5,663
|
|
|
189
|
|
|
(15) |
|
|
5,837
|
|
| Commercial |
15,190
|
|
|
1,017
|
|
|
(1) |
|
|
16,206
|
|
Non-agency residential (1)
|
1,167
|
|
|
146
|
|
|
(30) |
|
|
1,283
|
|
| Total mortgage-backed securities |
89,586
|
|
|
3,701
|
|
|
(97) |
|
|
93,190
|
|
| U.S. Treasury and agency securities |
100,508
|
|
|
2,377
|
|
|
(7) |
|
|
102,878
|
|
| Non-U.S. securities |
16,333
|
|
|
34
|
|
|
(13) |
|
|
16,354
|
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
3,628
|
|
|
58
|
|
|
(10) |
|
|
3,676
|
|
| Total taxable securities |
210,055
|
|
|
6,170
|
|
|
(127) |
|
|
216,098
|
|
| Tax-exempt securities |
17,299
|
|
|
340
|
|
|
(45) |
|
|
17,594
|
|
| Total available-for-sale debt securities |
227,354
|
|
|
6,510
|
|
|
(172) |
|
|
233,692
|
|
Other debt securities carried at fair value (2)
|
11,982
|
|
|
399
|
|
|
(76) |
|
|
12,305
|
|
| Total debt securities carried at fair value |
239,336
|
|
|
6,909
|
|
|
(248) |
|
|
245,997
|
|
| Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
338,418
|
|
|
9,727
|
|
|
(228) |
|
|
347,917
|
|
Total debt securities (3,4)
|
$ |
577,754
|
|
|
$ |
16,636
|
|
|
$ |
(476) |
|
|
$ |
593,914
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2019 |
| Available-for-sale debt securities |
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
| Agency |
$ |
121,698 |
|
|
$ |
1,013 |
|
|
$ |
(183) |
|
|
$ |
122,528 |
|
| Agency-collateralized mortgage obligations |
4,587 |
|
|
78 |
|
|
(24) |
|
|
4,641 |
|
| Commercial |
14,797 |
|
|
249 |
|
|
(25) |
|
|
15,021 |
|
Non-agency residential (1)
|
948 |
|
|
138 |
|
|
(9) |
|
|
1,077 |
|
| Total mortgage-backed securities |
142,030 |
|
|
1,478 |
|
|
(241) |
|
|
143,267 |
|
| U.S. Treasury and agency securities |
67,700 |
|
|
1,023 |
|
|
(195) |
|
|
68,528 |
|
| Non-U.S. securities |
11,987 |
|
|
6 |
|
|
(2) |
|
|
11,991 |
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
3,874 |
|
|
67 |
|
|
— |
|
|
3,941 |
|
| Total taxable securities |
225,591 |
|
|
2,574 |
|
|
(438) |
|
|
227,727 |
|
| Tax-exempt securities |
17,716 |
|
|
202 |
|
|
(6) |
|
|
17,912 |
|
| Total available-for-sale debt securities |
243,307 |
|
|
2,776 |
|
|
(444) |
|
|
245,639 |
|
Other debt securities carried at fair value (2)
|
10,596 |
|
|
255 |
|
|
(23) |
|
|
10,828 |
|
| Total debt securities carried at fair value |
253,903 |
|
|
3,031 |
|
|
(467) |
|
|
256,467 |
|
| Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
215,730 |
|
|
4,433 |
|
|
(342) |
|
|
219,821 |
|
Total debt securities (3, 4)
|
$ |
469,633 |
|
|
$ |
7,464 |
|
|
$ |
(809) |
|
|
$ |
476,288 |
|
|
|
|
|
|
|
|
|
(1)At September 30, 2020 and December 31, 2019, the underlying collateral type included approximately 35 percent and 49 percent prime, four percent and six percent Alt-A and 61 percent and 45 percent subprime.
(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 14 – Fair Value Measurements.
(3)Includes securities pledged as collateral of $55.7 billion and $67.0 billion at September 30, 2020 and December 31, 2019.
(4)The Corporation held debt securities from Fannie Mae and Freddie Mac that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $193.8 billion and $76.9 billion, and a fair value of $201.0 billion and $79.3 billion at September 30, 2020, and an amortized cost of $157.2 billion and $54.1 billion, and a fair value of $160.6 billion and $55.1 billion at December 31, 2019.
At September 30, 2020, the accumulated net unrealized gain on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $4.8 billion, net of the related income tax expense of $1.6 billion. The Corporation had nonperforming AFS debt securities of $25 million and $9 million at September 30, 2020 and December 31, 2019.
Effective January 1, 2020, the Corporation adopted the new accounting standard for credit losses that requires evaluation of AFS and HTM debt securities for any expected losses with recognition of an allowance for credit losses, when applicable. For more information, see Note 1 – Summary of Significant Accounting Principles. At September 30, 2020, the Corporation had $194.8 billion in AFS debt securities, which were primarily
U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For the remaining $38.9 billion in AFS debt securities, the amount of ECL was insignificant. Substantially all of the Corporation's HTM debt securities are U.S. agency and U.S. Treasury securities and have a zero credit loss assumption.
At September 30, 2020, the Corporation held equity securities at an aggregate fair value of $809 million and other equity securities, as valued under the measurement alternative, at a carrying value of $261 million, both of which are included in other assets. At September 30, 2020, the Corporation also held money market investments at a fair value of $385 million, which are included in time deposits placed and other short-term investments.
In the three and nine months ended September 30, 2020, the Corporation recorded gross realized gains on sales of AFS debt securities of $4 million and $383 million and gross realized losses of $2 million and $4 million, resulting in net gains of $2 million and $379 million, with $1 million and $95 million of income taxes attributable to the realized net gain on sales of these AFS debt securities. Sales of AFS debt securities during the three months ended September 30, 2019 were not significant. In the nine months ended September 30, 2019, the Corporation recorded gross realized gains on sales of AFS debt
securities of $228 million and gross realized losses of $112 million, resulting in net gains of $116 million with $28 million of income taxes attributable to the realized net gains on sales of these AFS debt securities.
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 September 30, 2020 and December 31, 2019.
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total AFS Debt Securities in a Continuous Unrealized Loss Position |
|
|
|
|
|
|
|
|
|
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) |
September 30, 2020 |
| Continuously unrealized loss-positioned AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
| Agency |
$ |
5,284
|
|
|
$ |
(51) |
|
|
$ |
2
|
|
|
$ |
—
|
|
|
$ |
5,286
|
|
|
$ |
(51) |
|
| Agency-collateralized mortgage obligations |
242
|
|
|
(3) |
|
|
447
|
|
|
(12) |
|
|
689
|
|
|
(15) |
|
| Commercial |
244
|
|
|
(1) |
|
|
190
|
|
|
—
|
|
|
434
|
|
|
(1) |
|
| Non-agency residential |
326
|
|
|
(19) |
|
|
75
|
|
|
(11) |
|
|
401
|
|
|
(30) |
|
| Total mortgage-backed securities |
6,096
|
|
|
(74) |
|
|
714
|
|
|
(23) |
|
|
6,810
|
|
|
(97) |
|
| U.S. Treasury and agency securities |
3,893
|
|
|
(3) |
|
|
503
|
|
|
(4) |
|
|
4,396
|
|
|
(7) |
|
| Non-U.S. securities |
2,749
|
|
|
(11) |
|
|
224
|
|
|
(2) |
|
|
2,973
|
|
|
(13) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
984
|
|
|
(5) |
|
|
342
|
|
|
(5) |
|
|
1,326
|
|
|
(10) |
|
| Total taxable securities |
13,722
|
|
|
(93) |
|
|
1,783
|
|
|
(34) |
|
|
15,505
|
|
|
(127) |
|
| Tax-exempt securities |
4,135
|
|
|
(35) |
|
|
964
|
|
|
(10) |
|
|
5,099
|
|
|
(45) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total AFS debt securities in a continuous
unrealized loss position |
$ |
17,857
|
|
|
$ |
(128) |
|
|
$ |
2,747
|
|
|
$ |
(44) |
|
|
$ |
20,604
|
|
|
$ |
(172) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2019 |
| Continuously unrealized loss-positioned AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
| Agency |
$ |
17,641 |
|
|
$ |
(41) |
|
|
$ |
17,238 |
|
|
$ |
(142) |
|
|
$ |
34,879 |
|
|
$ |
(183) |
|
| Agency-collateralized mortgage obligations |
255 |
|
|
(1) |
|
|
925 |
|
|
(23) |
|
|
1,180 |
|
|
(24) |
|
| Commercial |
2,180 |
|
|
(22) |
|
|
442 |
|
|
(3) |
|
|
2,622 |
|
|
(25) |
|
| Non-agency residential |
122 |
|
|
(6) |
|
|
22 |
|
|
(3) |
|
|
144 |
|
|
(9) |
|
| Total mortgage-backed securities |
20,198 |
|
|
(70) |
|
|
18,627 |
|
|
(171) |
|
|
38,825 |
|
|
(241) |
|
| U.S. Treasury and agency securities |
12,836 |
|
|
(71) |
|
|
18,866 |
|
|
(124) |
|
|
31,702 |
|
|
(195) |
|
| Non-U.S. securities |
851 |
|
|
— |
|
|
837 |
|
|
(2) |
|
|
1,688 |
|
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
938 |
|
|
— |
|
|
222 |
|
|
— |
|
|
1,160 |
|
|
— |
|
| Total taxable securities |
34,823 |
|
|
(141) |
|
|
38,552 |
|
|
(297) |
|
|
73,375 |
|
|
(438) |
|
| Tax-exempt securities |
4,286 |
|
|
(5) |
|
|
190 |
|
|
(1) |
|
|
4,476 |
|
|
(6) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total AFS debt securities in a continuous
unrealized loss position |
$ |
39,109 |
|
|
$ |
(146) |
|
|
$ |
38,742 |
|
|
$ |
(298) |
|
|
$ |
77,851 |
|
|
$ |
(444) |
|
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 2020 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 |
$ |
— |
|
|
— |
% |
|
$ |
7 |
|
|
5.37 |
% |
|
$ |
59 |
|
|
4.51 |
% |
|
$ |
67,500 |
|
|
3.36 |
% |
|
$ |
67,566 |
|
|
3.36 |
% |
| Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
24 |
|
|
2.54 |
|
|
5,639 |
|
|
2.95 |
|
|
5,663 |
|
|
2.95 |
|
| Commercial |
26 |
|
|
3.08 |
|
|
6,136 |
|
|
2.49 |
|
|
8,014 |
|
|
2.44 |
|
|
1,027 |
|
|
2.75 |
|
|
15,203 |
|
|
2.48 |
|
| Non-agency residential |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
11 |
|
|
— |
|
|
2,313 |
|
|
7.35 |
|
|
2,324 |
|
|
7.32 |
|
| Total mortgage-backed securities |
26 |
|
|
3.08 |
|
|
6,143 |
|
|
2.49 |
|
|
8,108 |
|
|
2.45 |
|
|
76,479 |
|
|
3.44 |
|
|
90,756 |
|
|
3.29 |
|
| U.S. Treasury and agency securities |
10,398 |
|
|
1.19 |
|
|
29,682 |
|
|
1.81 |
|
|
60,399 |
|
|
0.78 |
|
|
32 |
|
|
2.62 |
|
|
100,511 |
|
|
1.13 |
|
| Non-U.S. securities |
25,784 |
|
|
0.37 |
|
|
1,275 |
|
|
1.50 |
|
|
7 |
|
|
5.82 |
|
|
76 |
|
|
8.89 |
|
|
27,142 |
|
|
0.44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
1,107 |
|
|
1.42 |
|
|
1,423 |
|
|
2.32 |
|
|
628 |
|
|
2.06 |
|
|
470 |
|
|
1.73 |
|
|
3,628 |
|
|
1.92 |
|
| Total taxable securities |
37,315 |
|
|
0.63 |
|
|
38,523 |
|
|
1.93 |
|
|
69,142 |
|
|
0.99 |
|
|
77,057 |
|
|
3.44 |
|
|
222,037 |
|
|
1.94 |
|
| Tax-exempt securities |
905 |
|
|
0.92 |
|
|
8,462 |
|
|
1.23 |
|
|
5,051 |
|
|
1.66 |
|
|
2,881 |
|
|
1.53 |
|
|
17,299 |
|
|
1.39 |
|
Total amortized cost of debt securities carried at fair value |
$ |
38,220
|
|
|
0.64
|
|
|
$ |
46,985
|
|
|
1.80
|
|
|
$ |
74,193
|
|
|
1.03
|
|
|
$ |
79,938
|
|
|
3.37
|
|
|
$ |
239,336
|
|
|
1.90
|
|
Amortized cost of HTM debt securities (2)
|
$ |
66
|
|
|
1.87
|
|
|
$ |
81
|
|
|
3.29
|
|
|
$ |
17,188
|
|
|
1.86
|
|
|
$ |
321,083
|
|
|
2.71
|
|
|
$ |
338,418
|
|
|
2.67
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency |
$ |
— |
|
|
|
|
$ |
8 |
|
|
|
|
$ |
63 |
|
|
|
|
$ |
69,793 |
|
|
|
|
$ |
69,864 |
|
|
|
| Agency-collateralized mortgage obligations |
— |
|
|
|
|
— |
|
|
|
|
25 |
|
|
|
|
5,812 |
|
|
|
|
5,837 |
|
|
|
| Commercial |
26 |
|
|
|
|
6,491 |
|
|
|
|
8,586 |
|
|
|
|
1,117 |
|
|
|
|
16,220 |
|
|
|
| Non-agency residential |
— |
|
|
|
|
— |
|
|
|
|
22 |
|
|
|
|
2,469 |
|
|
|
|
2,491 |
|
|
|
| Total mortgage-backed securities |
26 |
|
|
|
|
6,499 |
|
|
|
|
8,696 |
|
|
|
|
79,191 |
|
|
|
|
94,412 |
|
|
|
| U.S. Treasury and agency securities |
10,452 |
|
|
|
|
31,020 |
|
|
|
|
61,377 |
|
|
|
|
32 |
|
|
|
|
102,881 |
|
|
|
| Non-U.S. securities |
26,066 |
|
|
|
|
1,278 |
|
|
|
|
8 |
|
|
|
|
79 |
|
|
|
|
27,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
1,112 |
|
|
|
|
1,445 |
|
|
|
|
640 |
|
|
|
|
482 |
|
|
|
|
3,679 |
|
|
|
| Total taxable securities |
37,656 |
|
|
|
|
40,242 |
|
|
|
|
70,721 |
|
|
|
|
79,784 |
|
|
|
|
228,403 |
|
|
|
| Tax-exempt securities |
907 |
|
|
|
|
8,548 |
|
|
|
|
5,201 |
|
|
|
|
2,938 |
|
|
|
|
17,594 |
|
|
|
| Total debt securities carried at fair value |
$ |
38,563
|
|
|
|
|
$ |
48,790
|
|
|
|
|
$ |
75,922
|
|
|
|
|
$ |
82,722
|
|
|
|
|
$ |
245,997
|
|
|
|
Fair value of HTM debt securities (2)
|
$ |
65
|
|
|
|
|
$ |
83
|
|
|
|
|
$ |
17,442
|
|
|
|
|
$ |
330,327
|
|
|
|
|
$ |
347,917
|
|
|
|
(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.
|