| Marketable Securities |
The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at March 31, 2021 and December 31, 2020.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt Securities |
|
|
|
|
|
|
|
Amortized
Cost |
|
Gross
Unrealized
Gains |
|
Gross
Unrealized
Losses |
|
Fair
Value |
| (Dollars in millions) |
March 31, 2021 |
| Available-for-sale debt securities |
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
| Agency |
$ |
52,395
|
|
|
$ |
2,169
|
|
|
$ |
(30) |
|
|
$ |
54,534
|
|
| Agency-collateralized mortgage obligations |
4,618
|
|
|
132
|
|
|
(17) |
|
|
4,733
|
|
| Commercial |
16,013
|
|
|
840
|
|
|
(53) |
|
|
16,800
|
|
Non-agency residential (1)
|
871
|
|
|
30
|
|
|
(43) |
|
|
858
|
|
| Total mortgage-backed securities |
73,897
|
|
|
3,171
|
|
|
(143) |
|
|
76,925
|
|
| U.S. Treasury and agency securities |
158,352
|
|
|
2,161
|
|
|
(492) |
|
|
160,021
|
|
| Non-U.S. securities |
14,767
|
|
|
7
|
|
|
(6) |
|
|
14,768
|
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
2,519
|
|
|
43
|
|
|
(4) |
|
|
2,558
|
|
| Total taxable securities |
249,535
|
|
|
5,382
|
|
|
(645) |
|
|
254,272
|
|
| Tax-exempt securities |
16,023
|
|
|
328
|
|
|
(10) |
|
|
16,341
|
|
| Total available-for-sale debt securities |
265,558
|
|
|
5,710
|
|
|
(655) |
|
|
270,613
|
|
Other debt securities carried at fair value (2)
|
10,322
|
|
|
143
|
|
|
(166) |
|
|
10,299
|
|
| Total debt securities carried at fair value |
275,880
|
|
|
5,853
|
|
|
(821) |
|
|
280,912
|
|
| Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
576,031
|
|
|
6,895
|
|
|
(13,668) |
|
|
569,258
|
|
Total debt securities (3,4)
|
$ |
851,911
|
|
|
$ |
12,748
|
|
|
$ |
(14,489) |
|
|
$ |
850,170
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2020 |
| Available-for-sale debt securities |
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
| Agency |
$ |
59,518 |
|
|
$ |
2,370 |
|
|
$ |
(39) |
|
|
$ |
61,849 |
|
| Agency-collateralized mortgage obligations |
5,112 |
|
|
161 |
|
|
(13) |
|
|
5,260 |
|
| Commercial |
15,470 |
|
|
1,025 |
|
|
(4) |
|
|
16,491 |
|
Non-agency residential (1)
|
899 |
|
|
127 |
|
|
(17) |
|
|
1,009 |
|
| Total mortgage-backed securities |
80,999 |
|
|
3,683 |
|
|
(73) |
|
|
84,609 |
|
| U.S. Treasury and agency securities |
114,157 |
|
|
2,236 |
|
|
(13) |
|
|
116,380 |
|
| Non-U.S. securities |
14,009 |
|
|
15 |
|
|
(7) |
|
|
14,017 |
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
2,656 |
|
|
61 |
|
|
(6) |
|
|
2,711 |
|
| Total taxable securities |
211,821 |
|
|
5,995 |
|
|
(99) |
|
|
217,717 |
|
| Tax-exempt securities |
16,417 |
|
|
389 |
|
|
(32) |
|
|
16,774 |
|
| Total available-for-sale debt securities |
228,238 |
|
|
6,384 |
|
|
(131) |
|
|
234,491 |
|
Other debt securities carried at fair value (2)
|
11,720 |
|
|
429 |
|
|
(39) |
|
|
12,110 |
|
| Total debt securities carried at fair value |
239,958 |
|
|
6,813 |
|
|
(170) |
|
|
246,601 |
|
| Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
438,279 |
|
|
10,095 |
|
|
(194) |
|
|
448,180 |
|
Total debt securities (3, 4)
|
$ |
678,237 |
|
|
$ |
16,908 |
|
|
$ |
(364) |
|
|
$ |
694,781 |
|
|
|
|
|
|
|
|
|
(1)At March 31, 2021 and December 31, 2020, the underlying collateral type included approximately 37 percent prime as of both dates, one percent and two percent Alt-A and 62 percent and 61 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 $78.0 billion and $65.5 billion at March 31, 2021 and December 31, 2020.
(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 $312.6 billion and $164.2 billion, and a fair value of $312.1 billion and $162.1 billion at March 31, 2021, and an amortized cost of $260.1 billion and $118.1 billion, and a fair value of $267.5 billion and $120.7 billion at December 31, 2020.
|
| 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, 2021 and December 31, 2020.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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) |
March 31, 2021 |
| Continuously unrealized loss-positioned AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
| Agency |
$ |
2,111
|
|
|
$ |
(30) |
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
2,111
|
|
|
$ |
(30) |
|
| Agency-collateralized mortgage obligations |
1,864
|
|
|
(10) |
|
|
316
|
|
|
(7) |
|
|
2,180
|
|
|
(17) |
|
| Commercial |
1,177
|
|
|
(53) |
|
|
2
|
|
|
—
|
|
|
1,179
|
|
|
(53) |
|
| Non-agency residential |
540
|
|
|
(28) |
|
|
175
|
|
|
(15) |
|
|
715
|
|
|
(43) |
|
| Total mortgage-backed securities |
5,692
|
|
|
(121) |
|
|
493
|
|
|
(22) |
|
|
6,185
|
|
|
(143) |
|
| U.S. Treasury and agency securities |
39,989
|
|
|
(488) |
|
|
689
|
|
|
(4) |
|
|
40,678
|
|
|
(492) |
|
| Non-U.S. securities |
66
|
|
|
(1) |
|
|
625
|
|
|
(5) |
|
|
691
|
|
|
(6) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
253
|
|
|
(2) |
|
|
203
|
|
|
(2) |
|
|
456
|
|
|
(4) |
|
| Total taxable securities |
46,000
|
|
|
(612) |
|
|
2,010
|
|
|
(33) |
|
|
48,010
|
|
|
(645) |
|
| Tax-exempt securities |
—
|
|
|
—
|
|
|
208
|
|
|
(10) |
|
|
208
|
|
|
(10) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total AFS debt securities in a continuous
unrealized loss position |
$ |
46,000
|
|
|
$ |
(612) |
|
|
$ |
2,218
|
|
|
$ |
(43) |
|
|
$ |
48,218
|
|
|
$ |
(655) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2020 |
| Continuously unrealized loss-positioned AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
| Agency |
$ |
2,841 |
|
|
$ |
(39) |
|
|
$ |
2 |
|
|
$ |
— |
|
|
$ |
2,843 |
|
|
$ |
(39) |
|
| Agency-collateralized mortgage obligations |
187 |
|
|
(2) |
|
|
364 |
|
|
(11) |
|
|
551 |
|
|
(13) |
|
| Commercial |
566 |
|
|
(4) |
|
|
9 |
|
|
— |
|
|
575 |
|
|
(4) |
|
| Non-agency residential |
342 |
|
|
(9) |
|
|
56 |
|
|
(8) |
|
|
398 |
|
|
(17) |
|
| Total mortgage-backed securities |
3,936 |
|
|
(54) |
|
|
431 |
|
|
(19) |
|
|
4,367 |
|
|
(73) |
|
| U.S. Treasury and agency securities |
8,282 |
|
|
(9) |
|
|
498 |
|
|
(4) |
|
|
8,780 |
|
|
(13) |
|
| Non-U.S. securities |
1,861 |
|
|
(6) |
|
|
135 |
|
|
(1) |
|
|
1,996 |
|
|
(7) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities, substantially all asset-backed securities |
576 |
|
|
(2) |
|
|
396 |
|
|
(4) |
|
|
972 |
|
|
(6) |
|
| Total taxable securities |
14,655 |
|
|
(71) |
|
|
1,460 |
|
|
(28) |
|
|
16,115 |
|
|
(99) |
|
| Tax-exempt securities |
4,108 |
|
|
(29) |
|
|
617 |
|
|
(3) |
|
|
4,725 |
|
|
(32) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total AFS debt securities in a continuous
unrealized loss position |
$ |
18,763 |
|
|
$ |
(100) |
|
|
$ |
2,077 |
|
|
$ |
(31) |
|
|
$ |
20,840 |
|
|
$ |
(131) |
|
|
| 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, 2021 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the MBS 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 |
$ |
— |
|
|
— |
% |
|
$ |
6 |
|
|
5.14 |
% |
|
$ |
54 |
|
|
4.46 |
% |
|
$ |
52,335 |
|
|
3.36 |
% |
|
$ |
52,395 |
|
|
3.36 |
% |
| Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
23 |
|
|
2.48 |
|
|
4,595 |
|
|
2.93 |
|
|
4,618 |
|
|
2.93 |
|
| Commercial |
26 |
|
|
3.12 |
|
|
7,859 |
|
|
2.51 |
|
|
6,984 |
|
|
2.18 |
|
|
1,157 |
|
|
2.53 |
|
|
16,026 |
|
|
2.37 |
|
| Non-agency residential |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
1,573 |
|
|
6.55 |
|
|
1,573 |
|
|
6.55 |
|
| Total mortgage-backed securities |
26 |
|
|
3.12 |
|
|
7,865 |
|
|
2.51 |
|
|
7,061 |
|
|
2.20 |
|
|
59,660 |
|
|
3.39 |
|
|
74,612 |
|
|
3.18 |
|
| U.S. Treasury and agency securities |
6,886 |
|
|
1.19 |
|
|
28,191 |
|
|
1.88 |
|
|
123,796 |
|
|
0.79 |
|
|
32 |
|
|
2.54 |
|
|
158,905 |
|
|
1.00 |
|
| Non-U.S. securities |
22,288 |
|
|
0.34 |
|
|
1,365 |
|
|
1.51 |
|
|
1 |
|
|
3.56 |
|
|
167 |
|
|
5.29 |
|
|
23,821 |
|
|
0.44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
990 |
|
|
1.19 |
|
|
903 |
|
|
2.98 |
|
|
370 |
|
|
2.20 |
|
|
256 |
|
|
1.66 |
|
|
2,519 |
|
|
2.03 |
|
| Total taxable securities |
30,190 |
|
|
0.56 |
|
|
38,324 |
|
|
2.03 |
|
|
131,228 |
|
|
0.87 |
|
|
60,115 |
|
|
3.39 |
|
|
259,857 |
|
|
1.60 |
|
| Tax-exempt securities |
1,302 |
|
|
0.92 |
|
|
8,131 |
|
|
1.28 |
|
|
4,038 |
|
|
1.73 |
|
|
2,552 |
|
|
1.32 |
|
|
16,023 |
|
|
1.37 |
|
Total amortized cost of debt securities carried at fair value |
$ |
31,492
|
|
|
0.57
|
|
|
$ |
46,455
|
|
|
1.89
|
|
|
$ |
135,266
|
|
|
0.90
|
|
|
$ |
62,667
|
|
|
3.31
|
|
|
$ |
275,880
|
|
|
1.57
|
|
Amortized cost of HTM debt securities (2)
|
$ |
49
|
|
|
2.02
|
|
|
$ |
625
|
|
|
2.42
|
|
|
$ |
61,566
|
|
|
1.27
|
|
|
$ |
513,791
|
|
|
2.23
|
|
|
$ |
576,031
|
|
|
2.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency |
$ |
— |
|
|
|
|
$ |
6 |
|
|
|
|
$ |
58 |
|
|
|
|
$ |
54,470 |
|
|
|
|
$ |
54,534 |
|
|
|
| Agency-collateralized mortgage obligations |
— |
|
|
|
|
— |
|
|
|
|
24 |
|
|
|
|
4,709 |
|
|
|
|
4,733 |
|
|
|
| Commercial |
27 |
|
|
|
|
8,294 |
|
|
|
|
7,300 |
|
|
|
|
1,192 |
|
|
|
|
16,813 |
|
|
|
| Non-agency residential |
— |
|
|
|
|
— |
|
|
|
|
6 |
|
|
|
|
1,605 |
|
|
|
|
1,611 |
|
|
|
| Total mortgage-backed securities |
27 |
|
|
|
|
8,300 |
|
|
|
|
7,388 |
|
|
|
|
61,976 |
|
|
|
|
77,691 |
|
|
|
| U.S. Treasury and agency securities |
6,918 |
|
|
|
|
29,464 |
|
|
|
|
124,159 |
|
|
|
|
33 |
|
|
|
|
160,574 |
|
|
|
| Non-U.S. securities |
22,209 |
|
|
|
|
1,373 |
|
|
|
|
1 |
|
|
|
|
162 |
|
|
|
|
23,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
992 |
|
|
|
|
937 |
|
|
|
|
375 |
|
|
|
|
257 |
|
|
|
|
2,561 |
|
|
|
| Total taxable securities |
30,146 |
|
|
|
|
40,074 |
|
|
|
|
131,923 |
|
|
|
|
62,428 |
|
|
|
|
264,571 |
|
|
|
| Tax-exempt securities |
1,306 |
|
|
|
|
8,252 |
|
|
|
|
4,191 |
|
|
|
|
2,592 |
|
|
|
|
16,341 |
|
|
|
| Total debt securities carried at fair value |
$ |
31,452
|
|
|
|
|
$ |
48,326
|
|
|
|
|
$ |
136,114
|
|
|
|
|
$ |
65,020
|
|
|
|
|
$ |
280,912
|
|
|
|
Fair value of HTM debt securities (2)
|
$ |
49
|
|
|
|
|
$ |
656
|
|
|
|
|
$ |
58,043
|
|
|
|
|
$ |
510,510
|
|
|
|
|
$ |
569,258
|
|
|
|
(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.
|