|
Securities (Tables)
|
12 Months Ended |
|
Dec. 31, 2014
|
| Investments, Debt and Equity Securities [Abstract] |
|
| 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, HTM debt securities and AFS marketable equity securities at December 31, 2014 and 2013.
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Debt Securities and Available-for-Sale Marketable Equity Securities |
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|
December 31, 2014 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
69,267 |
|
|
$ |
360 |
|
|
$ |
(32 |
) |
|
$ |
69,595 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
163,592 |
|
|
2,040 |
|
|
(593 |
) |
|
165,039 |
|
Agency-collateralized mortgage obligations |
14,175 |
|
|
152 |
|
|
(79 |
) |
|
14,248 |
|
Non-agency residential (1)
|
4,244 |
|
|
287 |
|
|
(77 |
) |
|
4,454 |
|
Commercial |
3,931 |
|
|
69 |
|
|
— |
|
|
4,000 |
|
Non-U.S. securities |
6,208 |
|
|
33 |
|
|
(11 |
) |
|
6,230 |
|
Corporate/Agency bonds |
361 |
|
|
9 |
|
|
(2 |
) |
|
368 |
|
Other taxable securities, substantially all asset-backed securities |
10,774 |
|
|
39 |
|
|
(22 |
) |
|
10,791 |
|
Total taxable securities |
272,552 |
|
|
2,989 |
|
|
(816 |
) |
|
274,725 |
|
Tax-exempt securities |
9,556 |
|
|
12 |
|
|
(19 |
) |
|
9,549 |
|
Total available-for-sale debt securities |
282,108 |
|
|
3,001 |
|
|
(835 |
) |
|
284,274 |
|
Other debt securities carried at fair value |
36,524 |
|
|
261 |
|
|
(364 |
) |
|
36,421 |
|
Total debt securities carried at fair value |
318,632 |
|
|
3,262 |
|
|
(1,199 |
) |
|
320,695 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
59,766 |
|
|
486 |
|
|
(611 |
) |
|
59,641 |
|
Total debt securities |
$ |
378,398 |
|
|
$ |
3,748 |
|
|
$ |
(1,810 |
) |
|
$ |
380,336 |
|
Available-for-sale marketable equity securities (2)
|
$ |
336 |
|
|
$ |
27 |
|
|
$ |
— |
|
|
$ |
363 |
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
8,910 |
|
|
$ |
106 |
|
|
$ |
(62 |
) |
|
$ |
8,954 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
170,112 |
|
|
777 |
|
|
(5,954 |
) |
|
164,935 |
|
Agency-collateralized mortgage obligations |
22,731 |
|
|
76 |
|
|
(315 |
) |
|
22,492 |
|
Non-agency residential (1)
|
6,124 |
|
|
238 |
|
|
(123 |
) |
|
6,239 |
|
Commercial |
2,429 |
|
|
63 |
|
|
(12 |
) |
|
2,480 |
|
Non-U.S. securities |
7,207 |
|
|
37 |
|
|
(24 |
) |
|
7,220 |
|
Corporate/Agency bonds |
860 |
|
|
20 |
|
|
(7 |
) |
|
873 |
|
Other taxable securities, substantially all asset-backed securities |
16,805 |
|
|
30 |
|
|
(5 |
) |
|
16,830 |
|
Total taxable securities |
235,178 |
|
|
1,347 |
|
|
(6,502 |
) |
|
230,023 |
|
Tax-exempt securities |
5,967 |
|
|
10 |
|
|
(49 |
) |
|
5,928 |
|
Total available-for-sale debt securities |
241,145 |
|
|
1,357 |
|
|
(6,551 |
) |
|
235,951 |
|
Other debt securities carried at fair value |
34,145 |
|
|
34 |
|
|
(1,335 |
) |
|
32,844 |
|
Total debt securities carried at fair value |
275,290 |
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|
1,391 |
|
|
(7,886 |
) |
|
268,795 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
55,150 |
|
|
20 |
|
|
(2,740 |
) |
|
52,430 |
|
Total debt securities |
$ |
330,440 |
|
|
$ |
1,411 |
|
|
$ |
(10,626 |
) |
|
$ |
321,225 |
|
Available-for-sale marketable equity securities (2)
|
$ |
230 |
|
|
$ |
— |
|
|
$ |
(7 |
) |
|
$ |
223 |
|
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|
(1) |
At December 31, 2014 and 2013, the underlying collateral type included approximately 76 percent and 89 percent prime, 14 percent and seven percent Alt-A, and 10 percent and four percent subprime.
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(2) |
Classified in other assets on the Consolidated Balance Sheet. |
|
| Schedule of Other Debt Securities Carried at Fair Value |
The table below presents the components of other debt securities carried at fair value where the changes in fair value are reported in other income. In 2014, the Corporation recorded unrealized mark-to-market net gains in other income of $1.2 billion and realized gains of $275 million on other debt securities carried at fair value, which exclude the impact of certain hedges, the results of which are also reported in other income, compared to unrealized mark-to-market net losses of $1.3 billion and realized losses of $963 million in 2013.
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Other Debt Securities Carried at Fair Value |
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|
December 31 |
(Dollars in millions) |
2014 |
|
2013 |
U.S. Treasury and agency securities |
$ |
1,541 |
|
|
$ |
4,062 |
|
Mortgage-backed securities: |
|
|
|
Agency |
15,704 |
|
|
16,500 |
|
Agency-collateralized mortgage obligations |
— |
|
|
218 |
|
Non-agency residential |
3,745 |
|
|
— |
|
Commercial |
— |
|
|
749 |
|
Non-U.S. securities (1)
|
15,132 |
|
|
11,315 |
|
Other taxable securities, substantially all asset-backed securities |
299 |
|
|
— |
|
Total |
$ |
36,421 |
|
|
$ |
32,844 |
|
|
|
(1) |
These securities are primarily used to satisfy certain international regulatory liquidity requirements. |
|
| Components of Realized Gains and Losses on Sales of Debt Securities |
The table below presents gross realized gains and losses on sales of AFS debt securities for 2014, 2013 and 2012.
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Gains and Losses on Sales of AFS Debt Securities |
|
|
|
|
|
|
(Dollars in millions) |
2014 |
|
2013 |
|
2012 |
Gross gains |
$ |
1,366 |
|
|
$ |
1,302 |
|
|
$ |
2,128 |
|
Gross losses |
(12 |
) |
|
(31 |
) |
|
(466 |
) |
Net gains on sales of AFS debt securities |
$ |
1,354 |
|
|
$ |
1,271 |
|
|
$ |
1,662 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
515 |
|
|
$ |
470 |
|
|
$ |
615 |
|
|
| Current Fair Value and Associated Gross Unrealized Losses on Investments |
The table below presents the amortized cost and fair value of the Corporation’s debt securities carried at fair value and HTM debt securities from Fannie Mae (FNMA), the Government National Mortgage Association (GNMA), U.S. Treasury and Freddie Mac (FHLMC), where the investment exceeded 10 percent of consolidated shareholders’ equity at December 31, 2014 and 2013.
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Selected Securities Exceeding 10 Percent of Shareholders’ Equity |
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|
December 31 |
|
2014 |
|
2013 |
(Dollars in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
Fannie Mae |
$ |
130,725 |
|
|
$ |
131,418 |
|
|
$ |
123,813 |
|
|
$ |
118,708 |
|
Government National Mortgage Association |
98,278 |
|
|
98,633 |
|
|
118,700 |
|
|
115,314 |
|
U.S. Treasury |
68,481 |
|
|
68,801 |
|
|
10,533 |
|
|
10,428 |
|
Freddie Mac |
28,288 |
|
|
28,556 |
|
|
24,908 |
|
|
24,075 |
|
|
| 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 December 31, 2014 and 2013.
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Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014 |
|
Less than Twelve Months |
|
Twelve Months or Longer |
|
Total |
(Dollars in millions) |
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
|
Fair
Value
|
|
Gross Unrealized Losses |
Temporarily impaired available-for-sale debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
10,121 |
|
|
$ |
(22 |
) |
|
$ |
667 |
|
|
$ |
(10 |
) |
|
$ |
10,788 |
|
|
$ |
(32 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
1,366 |
|
|
(8 |
) |
|
43,118 |
|
|
(585 |
) |
|
44,484 |
|
|
(593 |
) |
Agency-collateralized mortgage obligations |
2,242 |
|
|
(19 |
) |
|
3,075 |
|
|
(60 |
) |
|
5,317 |
|
|
(79 |
) |
Non-agency residential |
307 |
|
|
(3 |
) |
|
809 |
|
|
(41 |
) |
|
1,116 |
|
|
(44 |
) |
Non-U.S. securities |
157 |
|
|
(9 |
) |
|
32 |
|
|
(2 |
) |
|
189 |
|
|
(11 |
) |
Corporate/Agency bonds |
43 |
|
|
(1 |
) |
|
93 |
|
|
(1 |
) |
|
136 |
|
|
(2 |
) |
Other taxable securities, substantially all asset-backed securities |
575 |
|
|
(3 |
) |
|
1,080 |
|
|
(19 |
) |
|
1,655 |
|
|
(22 |
) |
Total taxable securities |
14,811 |
|
|
(65 |
) |
|
48,874 |
|
|
(718 |
) |
|
63,685 |
|
|
(783 |
) |
Tax-exempt securities |
980 |
|
|
(1 |
) |
|
680 |
|
|
(18 |
) |
|
1,660 |
|
|
(19 |
) |
Total temporarily impaired available-for-sale debt securities |
15,791 |
|
|
(66 |
) |
|
49,554 |
|
|
(736 |
) |
|
65,345 |
|
|
(802 |
) |
Other-than-temporarily impaired available-for-sale debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
555 |
|
|
(33 |
) |
|
— |
|
|
— |
|
|
555 |
|
|
(33 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
available-for-sale debt securities
|
$ |
16,346 |
|
|
$ |
(99 |
) |
|
$ |
49,554 |
|
|
$ |
(736 |
) |
|
$ |
65,900 |
|
|
$ |
(835 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
Temporarily impaired available-for-sale debt securities |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
5,770 |
|
|
$ |
(61 |
) |
|
$ |
19 |
|
|
$ |
(1 |
) |
|
$ |
5,789 |
|
|
$ |
(62 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
132,032 |
|
|
(5,457 |
) |
|
9,324 |
|
|
(497 |
) |
|
141,356 |
|
|
(5,954 |
) |
Agency-collateralized mortgage obligations |
13,438 |
|
|
(210 |
) |
|
2,661 |
|
|
(105 |
) |
|
16,099 |
|
|
(315 |
) |
Non-agency residential |
819 |
|
|
(15 |
) |
|
1,237 |
|
|
(106 |
) |
|
2,056 |
|
|
(121 |
) |
Commercial |
286 |
|
|
(12 |
) |
|
— |
|
|
— |
|
|
286 |
|
|
(12 |
) |
Non-U.S. securities |
— |
|
|
— |
|
|
45 |
|
|
(24 |
) |
|
45 |
|
|
(24 |
) |
Corporate/Agency bonds |
106 |
|
|
(3 |
) |
|
282 |
|
|
(4 |
) |
|
388 |
|
|
(7 |
) |
Other taxable securities, substantially all asset-backed securities |
116 |
|
|
(2 |
) |
|
280 |
|
|
(3 |
) |
|
396 |
|
|
(5 |
) |
Total taxable securities |
152,567 |
|
|
(5,760 |
) |
|
13,848 |
|
|
(740 |
) |
|
166,415 |
|
|
(6,500 |
) |
Tax-exempt securities |
1,789 |
|
|
(30 |
) |
|
990 |
|
|
(19 |
) |
|
2,779 |
|
|
(49 |
) |
Total temporarily impaired available-for-sale debt securities |
154,356 |
|
|
(5,790 |
) |
|
14,838 |
|
|
(759 |
) |
|
169,194 |
|
|
(6,549 |
) |
Other-than-temporarily impaired available-for-sale debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
2 |
|
|
(1 |
) |
|
1 |
|
|
(1 |
) |
|
3 |
|
|
(2 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
available-for-sale debt securities
|
$ |
154,358 |
|
|
$ |
(5,791 |
) |
|
$ |
14,839 |
|
|
$ |
(760 |
) |
|
$ |
169,197 |
|
|
$ |
(6,551 |
) |
|
|
(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. |
|
| Corporation Recorded Other-than-Temporary Impairment Losses on AFS Debt Securities |
The Corporation recorded other-than-temporary impairment (OTTI) losses on AFS debt securities in 2014, 2013 and 2012 as presented in the Net Impairment Losses Recognized in Earnings table. Substantially all OTTI losses in 2014, 2013 and 2012 consisted of credit losses on non-agency residential mortgage-backed securities (RMBS) and were recorded in other income in the Consolidated Statement of Income. A debt security is impaired when its fair value is less than its amortized cost. If the Corporation intends or will more-likely-than-not be required to sell a debt security prior to recovery, the entire impairment loss is recorded in the Consolidated Statement of Income. For AFS debt securities the Corporation does not intend or will not more-likely-than-not be required to sell, an analysis is performed to determine if any of the impairment is due to credit or whether it is due to other factors (e.g., interest rate). Credit losses are considered unrecoverable and are recorded in the Consolidated Statement of Income with the remaining unrealized losses recorded in OCI. In certain instances, the credit loss on a debt security may exceed the total impairment, in which case, the excess of the credit loss over the total impairment is recorded as an unrealized gain in OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Impairment Losses Recognized in Earnings |
|
|
|
|
|
|
(Dollars in millions) |
2014 |
|
2013 |
|
2012 |
Total OTTI losses (unrealized and realized) |
$ |
(30 |
) |
|
$ |
(21 |
) |
|
$ |
(57 |
) |
Unrealized OTTI losses recognized in OCI |
14 |
|
|
1 |
|
|
4 |
|
Net impairment losses recognized in earnings |
$ |
(16 |
) |
|
$ |
(20 |
) |
|
$ |
(53 |
) |
The table below presents a rollforward of the credit losses recognized in earnings in 2014, 2013 and 2012 on AFS debt securities that the Corporation does not have the intent to sell or will not more-likely-than-not be required to sell.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rollforward of Credit Losses Recognized |
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
2014 |
|
2013 |
|
2012 |
Balance, January 1 |
$ |
184 |
|
|
$ |
243 |
|
|
$ |
310 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
14 |
|
|
6 |
|
|
7 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
2 |
|
|
14 |
|
|
46 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
— |
|
|
(79 |
) |
|
(120 |
) |
Balance, December 31 |
$ |
200 |
|
|
$ |
184 |
|
|
$ |
243 |
|
|
| 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 RMBS were as follows at December 31, 2014.
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|
Significant Assumptions |
|
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|
|
|
|
|
|
Range (1)
|
|
Weighted-
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
15.3 |
% |
|
3.1 |
% |
|
29.9 |
% |
Loss severity |
35.2 |
|
|
11.8 |
|
|
44.7 |
|
Life default rate |
39.6 |
|
|
1.5 |
|
|
98.6 |
|
|
|
(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 expected maturity distribution of the Corporation’s MBS, the contractual maturity distribution of the Corporation’s other debt securities carried at fair value and HTM debt securities, and the yields on the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2014 are summarized in the table below. Actual maturities may differ from the contractual or expected maturities since borrowers may have the right to prepay obligations with or without prepayment penalties.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
577 |
|
|
0.41 |
% |
|
$ |
51,153 |
|
|
1.60 |
% |
|
$ |
17,535 |
|
|
2.10 |
% |
|
$ |
1,480 |
|
|
3.00 |
% |
|
$ |
70,745 |
|
|
1.78 |
% |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
28 |
|
|
4.60 |
|
|
24,283 |
|
|
2.70 |
|
|
152,950 |
|
|
2.80 |
|
|
2,175 |
|
|
3.00 |
|
|
179,436 |
|
|
2.80 |
|
Agency-collateralized mortgage obligations |
794 |
|
|
0.40 |
|
|
2,874 |
|
|
2.00 |
|
|
10,488 |
|
|
2.80 |
|
|
19 |
|
|
0.60 |
|
|
14,175 |
|
|
2.50 |
|
Non-agency residential |
517 |
|
|
5.09 |
|
|
1,834 |
|
|
5.39 |
|
|
1,236 |
|
|
4.78 |
|
|
4,443 |
|
|
10.61 |
|
|
8,030 |
|
|
8.15 |
|
Commercial |
188 |
|
|
9.69 |
|
|
590 |
|
|
2.32 |
|
|
3,150 |
|
|
2.80 |
|
|
3 |
|
|
2.83 |
|
|
3,931 |
|
|
3.07 |
|
Non-U.S. securities |
18,991 |
|
|
0.98 |
|
|
2,261 |
|
|
3.83 |
|
|
68 |
|
|
6.23 |
|
|
— |
|
|
— |
|
|
21,320 |
|
|
1.30 |
|
Corporate/Agency bonds |
59 |
|
|
1.79 |
|
|
112 |
|
|
3.77 |
|
|
94 |
|
|
3.74 |
|
|
96 |
|
|
0.63 |
|
|
361 |
|
|
2.43 |
|
Other taxable securities, substantially all asset-backed securities |
3,199 |
|
|
1.34 |
|
|
5,707 |
|
|
1.22 |
|
|
1,376 |
|
|
1.81 |
|
|
796 |
|
|
4.36 |
|
|
11,078 |
|
|
1.59 |
|
Total taxable securities |
24,353 |
|
|
1.16 |
|
|
88,814 |
|
|
2.07 |
|
|
186,897 |
|
|
2.80 |
|
|
9,012 |
|
|
6.86 |
|
|
309,076 |
|
|
2.56 |
|
Tax-exempt securities |
929 |
|
|
0.97 |
|
|
3,768 |
|
|
1.13 |
|
|
3,082 |
|
|
1.15 |
|
|
1,777 |
|
|
0.86 |
|
|
9,556 |
|
|
1.14 |
|
Total amortized cost of debt securities carried at fair value |
$ |
25,282 |
|
|
1.16 |
|
|
$ |
92,582 |
|
|
2.03 |
|
|
$ |
189,979 |
|
|
2.77 |
|
|
$ |
10,789 |
|
|
5.87 |
|
|
$ |
318,632 |
|
|
2.51 |
|
Amortized cost of held-to-maturity debt securities (2)
|
$ |
108 |
|
|
0.84 |
|
|
$ |
19,513 |
|
|
2.40 |
|
|
$ |
39,917 |
|
|
2.30 |
|
|
$ |
228 |
|
|
3.31 |
|
|
$ |
59,766 |
|
|
2.40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
577 |
|
|
|
|
|
$ |
51,383 |
|
|
|
|
|
$ |
17,633 |
|
|
|
|
|
$ |
1,543 |
|
|
|
|
|
$ |
71,136 |
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
29 |
|
|
|
|
|
24,859 |
|
|
|
|
|
153,649 |
|
|
|
|
|
2,206 |
|
|
|
|
|
180,743 |
|
|
|
|
Agency-collateralized mortgage obligations |
795 |
|
|
|
|
|
2,838 |
|
|
|
|
|
10,596 |
|
|
|
|
|
19 |
|
|
|
|
|
14,248 |
|
|
|
|
Non-agency residential |
521 |
|
|
|
|
|
1,849 |
|
|
|
|
|
1,316 |
|
|
|
|
|
4,513 |
|
|
|
|
|
8,199 |
|
|
|
|
Commercial |
191 |
|
|
|
|
|
594 |
|
|
|
|
|
3,212 |
|
|
|
|
|
3 |
|
|
|
|
|
4,000 |
|
|
|
|
Non-U.S. securities |
18,982 |
|
|
|
|
|
2,309 |
|
|
|
|
|
71 |
|
|
|
|
|
— |
|
|
|
|
|
21,362 |
|
|
|
|
Corporate/Agency bonds |
60 |
|
|
|
|
|
117 |
|
|
|
|
|
96 |
|
|
|
|
|
95 |
|
|
|
|
|
368 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
3,202 |
|
|
|
|
|
5,699 |
|
|
|
|
|
1,399 |
|
|
|
|
|
790 |
|
|
|
|
|
11,090 |
|
|
|
|
Total taxable securities |
24,357 |
|
|
|
|
|
89,648 |
|
|
|
|
|
187,972 |
|
|
|
|
|
9,169 |
|
|
|
|
|
311,146 |
|
|
|
|
Tax-exempt securities |
929 |
|
|
|
|
|
3,770 |
|
|
|
|
|
3,078 |
|
|
|
|
|
1,772 |
|
|
|
|
|
9,549 |
|
|
|
|
Total debt securities carried at fair value |
$ |
25,286 |
|
|
|
|
|
$ |
93,418 |
|
|
|
|
|
$ |
191,050 |
|
|
|
|
|
$ |
10,941 |
|
|
|
|
|
$ |
320,695 |
|
|
|
|
Fair value of held-to-maturity debt securities (2)
|
$ |
108 |
|
|
|
|
$ |
19,762 |
|
|
|
|
$ |
39,538 |
|
|
|
|
$ |
233 |
|
|
|
|
$ |
59,641 |
|
|
|
|
|
(1) |
Average yield is computed using the effective yield of each security at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and excludes the effect of related hedging derivatives. |
|
|
(2) |
Substantially all U.S. agency MBS. |
|