Quarterly report pursuant to Section 13 or 15(d)

Securities

v3.21.2
Securities
 6 Months Ended
Jun. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Securities 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 June 30, 2021 and December 31, 2020.
Debt Securities
Amortized
Cost		 Gross
Unrealized
Gains		 Gross
Unrealized
Losses		 Fair
Value
(Dollars in millions) June 30, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 56,258  $ 1,696  $ (65) $ 57,889 
Agency-collateralized mortgage obligations 4,111  123  (8) 4,226 
Commercial 18,062  882  (25) 18,919 
Non-agency residential (1)
829  33  (10) 852 
Total mortgage-backed securities 79,260  2,734  (108) 81,886 
U.S. Treasury and agency securities 158,691  1,906  (264) 160,333 
Non-U.S. securities 17,165  4  (2) 17,167 
Other taxable securities 2,873  48  —  2,921 
Total taxable securities 257,989  4,692  (374) 262,307 
Tax-exempt securities 15,529  347  (2) 15,874 
Total available-for-sale debt securities 273,518  5,039  (376) 278,181 
Other debt securities carried at fair value (2)
10,713  113  (94) 10,732 
Total debt securities carried at fair value 284,231  5,152  (470) 288,913 
Held-to-maturity debt securities
Agency mortgage-backed securities 547,508  6,040  (5,849) 547,699 
U.S. Treasury and agency securities 94,353  327  (2,017) 92,663 
Other taxable securities 9,573  246  (156) 9,663 
Total held-to-maturity debt securities 651,434  6,613  (8,022) 650,025 
Total debt securities (3,4)
$ 935,665  $ 11,765  $ (8,492) $ 938,938 
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 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
Agency mortgage-backed securities 414,289  9,768  (36) 424,021 
U.S. Treasury and agency securities 16,084  —  (71) 16,013 
Other taxable securities 7,906  327  (87) 8,146 
Total held-to-maturity debt securities 438,279  10,095  (194) 448,180 
Total debt securities (3, 4)
$ 678,237  $ 16,908  $ (364) $ 694,781 
(1)At both June 30, 2021 and December 31, 2020, the underlying collateral type included approximately 37 percent prime, two percent Alt-A 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 $82.8 billion and $65.5 billion at June 30, 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 $338.3 billion and $197.8 billion, and a fair value of $339.7 billion and $197.3 billion at June 30, 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.
At June 30, 2021, 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 $3.5 billion, net of the related income tax expense of $1.2 billion. The Corporation had nonperforming AFS debt securities of $19 million and $20 million at June 30, 2021 and December 31, 2020.
At June 30, 2021 and December 31, 2020, the Corporation had $241.4 billion and $200.0 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 $36.8 billion and $34.5 billion in AFS debt securities at June 30, 2021 and December 31, 2020, the amount of expected credit losses was insignificant. Substantially all of the
Corporation's HTM debt securities consist of U.S. agency and U.S. Treasury securities and have a zero credit loss assumption.
At June 30, 2021 and December 31, 2020, the Corporation held equity securities at an aggregate fair value of $616 million and $769 million and other equity securities, as valued under the measurement alternative, at a carrying value of $270 million and $240 million, both of which are included in other assets. At June 30, 2021 and December 31, 2020, the Corporation also held money market investments at a fair value of $1.5 billion and $1.6 billion, which are included in time deposits placed and other short-term investments.
In the three months ended June 30, 2021, sales of AFS securities were not significant. In the six months ended June 30, 2021, the Corporation recorded gross realized gains on the
sales of AFS debt securities of $15 million and gross realized losses of $15 million. For the same periods in 2020, the Corporation recorded gross realized gains of $63 million and $379 million and gross realized losses of $1 million and $2 million, resulting in net gains of $62 million and $377 million, with $15 million and $94 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 June 30, 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) June 30, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 11,555  $ (41) $ 1,114  $ (24) $ 12,669  $ (65)
Agency-collateralized mortgage obligations 1,661  —  301  (8) 1,962  (8)
Commercial 1,535  (25) 2  —  1,537  (25)
Non-agency residential 498  —  158  (10) 656  (10)
Total mortgage-backed securities 15,249  (66) 1,575  (42) 16,824  (108)
U.S. Treasury and agency securities 56,061  (259) 695  (5) 56,756  (264)
Non-U.S. securities —  —  105  (2) 105  (2)
Other taxable securities 291  —  56  —  347  — 
Total taxable securities 71,601  (325) 2,431  (49) 74,032  (374)
Tax-exempt securities 11  —  185  (2) 196  (2)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 71,612  $ (325) $ 2,616  $ (51) $ 74,228  $ (376)
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 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)
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at June 30, 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 $ —  —  % $ 7  5.39  % $ 54  4.48  % $ 56,197  3.14  % $ 56,258  3.14  %
Agency-collateralized mortgage obligations —  —  —  —  21  2.50  4,090  2.92  4,111  2.92 
Commercial 364  2.31  8,408  2.50  6,765  1.94  2,538  2.16  18,075  2.24 
Non-agency residential —  —  —  —  —  —  1,500  6.55  1,500  6.55 
Total mortgage-backed securities 364  2.31  8,415  2.50  6,840  1.96  64,325  3.17  79,944  2.99 
U.S. Treasury and agency securities 4,558  1.11  29,528  1.85  125,093  0.81  32  2.53  159,211  1.02 
Non-U.S. securities 24,990  0.31  1,291  1.75  330  1.12  65  20.09  26,676  0.44 
Other taxable securities 869  1.37  1,401  2.24  352  1.85  251  1.63  2,873  1.88 
Total taxable securities 30,781  0.48  40,635  1.99  132,615  0.88  64,673  3.18  268,704  1.55 
Tax-exempt securities 1,426  1.04  8,124  1.31  3,414  1.68  2,563  1.32  15,527  1.37 
Total amortized cost of debt securities carried at fair value
 $ 32,207  0.51  $ 48,759  1.88  $ 136,029  0.90  $ 67,236  3.11  $ 284,231  1.55 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ —  —  % $ 547,508  2.18  % $ 547,508  2.18  %
U.S. Treasury and agency securities —  —  —  —  94,353  1.37  —  —  94,353  1.37 
Other taxable securities 54  2.71  715  2.42  401  2.85  8,403  2.55  9,573  2.55 
Total amortized cost of HTM debt securities $ 54  2.71  $ 715  2.42  $ 94,754  1.38  $ 555,911  2.19  $ 651,434  2.07 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 6    $ 60    $ 57,823    $ 57,889   
Agency-collateralized mortgage obligations —    —    21    4,205    4,226   
Commercial 369    8,884    7,050    2,629    18,932   
Non-agency residential —    —    6    1,579    1,585   
Total mortgage-backed securities 369  8,890  7,137  66,236  82,632 
U.S. Treasury and agency securities 4,582  30,758  125,479  33  160,852 
Non-U.S. securities 24,930    1,304    334    66    26,634   
Other taxable securities 873    1,431    361    256    2,921   
Total taxable securities 30,754    42,383    133,311    66,591    273,039   
Tax-exempt securities 1,431    8,284    3,552    2,607    15,874   
Total debt securities carried at fair value $ 32,185    $ 50,667    $ 136,863    $ 69,198    $ 288,913   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ —  $ 547,699  $ 547,699 
U.S. Treasury and agency securities —  —  92,663  —  92,663 
Other taxable securities 53  753  422  8,435  9,663 
Total fair value of HTM debt securities $ 53  $ 753  $ 93,085  $ 556,134  $ 650,025 
(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.