| 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, held-to-maturity (HTM) debt securities and AFS marketable equity securities at June 30, 2017 and December 31, 2016.
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Debt Securities and Available-for-Sale Marketable Equity Securities |
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|
June 30, 2017 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
Agency |
$ |
193,222 |
|
|
$ |
662 |
|
|
$ |
(1,710 |
) |
|
$ |
192,174 |
|
Agency-collateralized mortgage obligations |
7,441 |
|
|
84 |
|
|
(41 |
) |
|
7,484 |
|
Commercial |
12,574 |
|
|
48 |
|
|
(181 |
) |
|
12,441 |
|
Non-agency residential (1)
|
1,673 |
|
|
258 |
|
|
(17 |
) |
|
1,914 |
|
Total mortgage-backed securities |
214,910 |
|
|
1,052 |
|
|
(1,949 |
) |
|
214,013 |
|
U.S. Treasury and agency securities |
51,903 |
|
|
143 |
|
|
(623 |
) |
|
51,423 |
|
Non-U.S. securities |
6,595 |
|
|
9 |
|
|
(2 |
) |
|
6,602 |
|
Other taxable securities, substantially all asset-backed securities |
8,976 |
|
|
80 |
|
|
(5 |
) |
|
9,051 |
|
Total taxable securities |
282,384 |
|
|
1,284 |
|
|
(2,579 |
) |
|
281,089 |
|
Tax-exempt securities |
18,476 |
|
|
121 |
|
|
(120 |
) |
|
18,477 |
|
Total available-for-sale debt securities |
300,860 |
|
|
1,405 |
|
|
(2,699 |
) |
|
299,566 |
|
Other debt securities carried at fair value |
15,771 |
|
|
245 |
|
|
(73 |
) |
|
15,943 |
|
Total debt securities carried at fair value |
316,631 |
|
|
1,650 |
|
|
(2,772 |
) |
|
315,509 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
119,008 |
|
|
162 |
|
|
(1,840 |
) |
|
117,330 |
|
Total debt securities (2)
|
$ |
435,639 |
|
|
$ |
1,812 |
|
|
$ |
(4,612 |
) |
|
$ |
432,839 |
|
Available-for-sale marketable equity securities (3)
|
$ |
8 |
|
|
$ |
69 |
|
|
$ |
— |
|
|
$ |
77 |
|
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|
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December 31, 2016 |
Available-for-sale debt securities |
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|
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|
|
Mortgage-backed securities: |
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|
|
|
|
|
|
|
|
|
|
Agency |
$ |
190,809 |
|
|
$ |
640 |
|
|
$ |
(1,963 |
) |
|
$ |
189,486 |
|
Agency-collateralized mortgage obligations |
8,296 |
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|
85 |
|
|
(51 |
) |
|
8,330 |
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Commercial |
12,594 |
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|
21 |
|
|
(293 |
) |
|
12,322 |
|
Non-agency residential (1)
|
1,863 |
|
|
181 |
|
|
(31 |
) |
|
2,013 |
|
Total mortgage-backed securities |
213,562 |
|
|
927 |
|
|
(2,338 |
) |
|
212,151 |
|
U.S. Treasury and agency securities |
48,800 |
|
|
204 |
|
|
(752 |
) |
|
48,252 |
|
Non-U.S. securities |
6,372 |
|
|
13 |
|
|
(3 |
) |
|
6,382 |
|
Other taxable securities, substantially all asset-backed securities |
10,573 |
|
|
64 |
|
|
(23 |
) |
|
10,614 |
|
Total taxable securities |
279,307 |
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|
1,208 |
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|
(3,116 |
) |
|
277,399 |
|
Tax-exempt securities |
17,272 |
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|
72 |
|
|
(184 |
) |
|
17,160 |
|
Total available-for-sale debt securities |
296,579 |
|
|
1,280 |
|
|
(3,300 |
) |
|
294,559 |
|
Less: Available-for-sale securities of business held for sale (4)
|
(619 |
) |
|
— |
|
|
— |
|
|
(619 |
) |
Other debt securities carried at fair value |
19,748 |
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|
121 |
|
|
(149 |
) |
|
19,720 |
|
Total debt securities carried at fair value |
315,708 |
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|
1,401 |
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|
(3,449 |
) |
|
313,660 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
117,071 |
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|
248 |
|
|
(2,034 |
) |
|
115,285 |
|
Total debt securities (2)
|
$ |
432,779 |
|
|
$ |
1,649 |
|
|
$ |
(5,483 |
) |
|
$ |
428,945 |
|
Available-for-sale marketable equity securities (3)
|
$ |
325 |
|
|
$ |
51 |
|
|
$ |
(1 |
) |
|
$ |
375 |
|
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(1) |
At June 30, 2017 and December 31, 2016, the underlying collateral type included approximately 60 percent and 60 percent prime, 20 percent and 19 percent Alt-A, and 20 percent and 21 percent subprime.
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(2) |
The Corporation had debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $161.8 billion and $46.5 billion, and a fair value of $160.4 billion and $46.3 billion at June 30, 2017. Debt securities from FNMA and FHLMC that exceeded 10 percent of shareholders’ equity had an amortized cost of $156.4 billion and $48.7 billion, and a fair value of $154.4 billion and $48.3 billion at December 31, 2016.
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(3) |
Classified in other assets on the Consolidated Balance Sheet. |
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(4) |
Represents AFS debt securities of business held for sale. On June 1, 2017, the Corporation completed the sale of its non-U.S. consumer credit card business. |
At June 30, 2017, the accumulated net unrealized loss on AFS debt securities included in accumulated OCI was $799 million, net of the related income tax benefit of $495 million. At both June 30, 2017 and December 31, 2016, the Corporation had nonperforming AFS debt securities of $121 million.
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 the three and six months ended June 30, 2017, the Corporation recorded unrealized mark-to-market net gains of $83 million and $199 million, and realized net losses of $14 million and $118 million, compared to unrealized mark-to-market net gains of $24 million and net losses of $72 million, and realized net losses of $34 million and $37 million for the same periods in 2016. These amounts exclude hedge results.
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Other Debt Securities Carried at Fair Value |
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|
(Dollars in millions) |
June 30
2017 |
|
December 31
2016 |
Mortgage-backed securities: |
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|
|
Agency-collateralized mortgage obligations |
$ |
5 |
|
|
$ |
5 |
|
Non-agency residential |
3,037 |
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|
3,139 |
|
Total mortgage-backed securities |
3,042 |
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|
3,144 |
|
Non-U.S. securities (1)
|
12,665 |
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|
16,336 |
|
Other taxable securities, substantially all asset-backed securities |
236 |
|
|
240 |
|
Total |
$ |
15,943 |
|
|
$ |
19,720 |
|
|
|
(1) |
These securities are primarily used to satisfy certain international regulatory liquidity requirements. |
The gross realized gains and losses on sales of AFS debt securities for the three and six months ended June 30, 2017 and 2016 are presented in the table below.
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Gains and Losses on Sales of AFS Debt Securities |
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|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2017 |
|
2016 |
|
2017 |
|
2016 |
Gross gains |
$ |
102 |
|
|
$ |
254 |
|
|
$ |
156 |
|
|
$ |
457 |
|
Gross losses |
(1 |
) |
|
(5 |
) |
|
(3 |
) |
|
(18 |
) |
Net gains on sales of AFS debt securities |
$ |
101 |
|
|
$ |
249 |
|
|
$ |
153 |
|
|
$ |
439 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
38 |
|
|
$ |
95 |
|
|
$ |
58 |
|
|
$ |
167 |
|
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, 2017 and December 31, 2016.
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Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
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|
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June 30, 2017 |
|
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 AFS debt securities |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
132,527 |
|
|
$ |
(1,602 |
) |
|
$ |
3,486 |
|
|
$ |
(108 |
) |
|
$ |
136,013 |
|
|
$ |
(1,710 |
) |
Agency-collateralized mortgage obligations |
2,275 |
|
|
(14 |
) |
|
1,050 |
|
|
(27 |
) |
|
3,325 |
|
|
(41 |
) |
Commercial |
7,690 |
|
|
(181 |
) |
|
— |
|
|
— |
|
|
7,690 |
|
|
(181 |
) |
Non-agency residential |
29 |
|
|
(1 |
) |
|
145 |
|
|
(9 |
) |
|
174 |
|
|
(10 |
) |
Total mortgage-backed securities |
142,521 |
|
|
(1,798 |
) |
|
4,681 |
|
|
(144 |
) |
|
147,202 |
|
|
(1,942 |
) |
U.S. Treasury and agency securities |
34,992 |
|
|
(622 |
) |
|
39 |
|
|
(1 |
) |
|
35,031 |
|
|
(623 |
) |
Non-U.S. securities |
— |
|
|
— |
|
|
9 |
|
|
(2 |
) |
|
9 |
|
|
(2 |
) |
Other taxable securities, substantially all asset-backed securities |
47 |
|
|
(1 |
) |
|
634 |
|
|
(4 |
) |
|
681 |
|
|
(5 |
) |
Total taxable securities |
177,560 |
|
|
(2,421 |
) |
|
5,363 |
|
|
(151 |
) |
|
182,923 |
|
|
(2,572 |
) |
Tax-exempt securities |
1,152 |
|
|
(58 |
) |
|
1,267 |
|
|
(62 |
) |
|
2,419 |
|
|
(120 |
) |
Total temporarily impaired AFS debt securities |
178,712 |
|
|
(2,479 |
) |
|
6,630 |
|
|
(213 |
) |
|
185,342 |
|
|
(2,692 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
— |
|
|
— |
|
|
84 |
|
|
(7 |
) |
|
84 |
|
|
(7 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
178,712 |
|
|
$ |
(2,479 |
) |
|
$ |
6,714 |
|
|
$ |
(220 |
) |
|
$ |
185,426 |
|
|
$ |
(2,699 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016 |
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
135,210 |
|
|
$ |
(1,846 |
) |
|
$ |
3,770 |
|
|
$ |
(117 |
) |
|
$ |
138,980 |
|
|
$ |
(1,963 |
) |
Agency-collateralized mortgage obligations |
3,229 |
|
|
(25 |
) |
|
1,028 |
|
|
(26 |
) |
|
4,257 |
|
|
(51 |
) |
Commercial |
9,018 |
|
|
(293 |
) |
|
— |
|
|
— |
|
|
9,018 |
|
|
(293 |
) |
Non-agency residential |
212 |
|
|
(1 |
) |
|
204 |
|
|
(13 |
) |
|
416 |
|
|
(14 |
) |
Total mortgage-backed securities |
147,669 |
|
|
(2,165 |
) |
|
5,002 |
|
|
(156 |
) |
|
152,671 |
|
|
(2,321 |
) |
U.S. Treasury and agency securities |
28,462 |
|
|
(752 |
) |
|
— |
|
|
— |
|
|
28,462 |
|
|
(752 |
) |
Non-U.S. securities |
52 |
|
|
(1 |
) |
|
142 |
|
|
(2 |
) |
|
194 |
|
|
(3 |
) |
Other taxable securities, substantially all asset-backed securities |
762 |
|
|
(5 |
) |
|
1,438 |
|
|
(18 |
) |
|
2,200 |
|
|
(23 |
) |
Total taxable securities |
176,945 |
|
|
(2,923 |
) |
|
6,582 |
|
|
(176 |
) |
|
183,527 |
|
|
(3,099 |
) |
Tax-exempt securities |
4,782 |
|
|
(148 |
) |
|
1,873 |
|
|
(36 |
) |
|
6,655 |
|
|
(184 |
) |
Total temporarily impaired AFS debt securities |
181,727 |
|
|
(3,071 |
) |
|
8,455 |
|
|
(212 |
) |
|
190,182 |
|
|
(3,283 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
94 |
|
|
(1 |
) |
|
401 |
|
|
(16 |
) |
|
495 |
|
|
(17 |
) |
|
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities
|
$ |
181,821 |
|
|
$ |
(3,072 |
) |
|
$ |
8,856 |
|
|
$ |
(228 |
) |
|
$ |
190,677 |
|
|
$ |
(3,300 |
) |
|
|
(1) |
Includes other-than-temporary impairment (OTTI) AFS debt securities on which an OTTI loss, primarily related to changes in interest rates, remains in accumulated OCI. |
The Corporation recorded OTTI losses on AFS debt securities for the three and six months ended June 30, 2017 and 2016 as presented in the table below. Substantially all OTTI losses in the three and six months ended June 30, 2017 and 2016 consisted of credit losses on non-agency residential mortgage-backed securities (RMBS) and were recorded in other income in the Consolidated Statement of Income.
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Credit-related Impairment Losses Recognized in Earnings |
|
|
|
|
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2017 |
|
2016 |
|
2017 |
|
2016 |
Total OTTI losses |
$ |
(12 |
) |
|
$ |
(15 |
) |
|
$ |
(39 |
) |
|
$ |
(31 |
) |
Less: non-credit portion of total OTTI losses recognized in OCI |
6 |
|
|
10 |
|
|
6 |
|
|
19 |
|
Net credit-related impairment losses recognized in earnings |
$ |
(6 |
) |
|
$ |
(5 |
) |
|
$ |
(33 |
) |
|
$ |
(12 |
) |
The table below presents a rollforward of the credit losses recognized in earnings for the three and six months ended June 30, 2017 and 2016 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.
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rollforward of OTTI Credit Losses Recognized |
|
|
|
|
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2017 |
|
2016 |
|
2017 |
|
2016 |
Balance, beginning of period |
$ |
279 |
|
|
$ |
269 |
|
|
$ |
253 |
|
|
$ |
266 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
5 |
|
|
1 |
|
|
9 |
|
|
2 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
1 |
|
|
4 |
|
|
23 |
|
|
10 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
(1 |
) |
|
(28 |
) |
|
(1 |
) |
|
(32 |
) |
Balance, June 30 |
$ |
284 |
|
|
$ |
246 |
|
|
$ |
284 |
|
|
$ |
246 |
|
The Corporation estimates the portion of a loss on a security that is attributable to credit using a discounted cash flow model and estimates the expected cash flows of the underlying collateral using internal credit, interest rate and prepayment risk models that incorporate management’s best estimate of current key assumptions such as default rates, loss severity and prepayment rates. Assumptions used for the underlying loans that support the MBS can vary widely from loan to loan and are influenced by such factors as loan interest rate, geographic location of the borrower, borrower characteristics and collateral type. Based on these assumptions, the Corporation then determines how the underlying collateral cash flows will be distributed to each MBS issued from the applicable special purpose entity. Expected principal and interest cash flows on an impaired AFS debt security are discounted using the effective yield of each individual impaired AFS debt security.
Significant assumptions used in estimating the expected cash flows for measuring credit losses on non-agency RMBS were as follows at June 30, 2017.
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|
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|
Significant Assumptions |
|
|
|
|
|
|
|
|
|
Range (1)
|
|
Weighted-
average |
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Prepayment speed |
11.5 |
% |
|
2.9 |
% |
|
20.0 |
% |
Loss severity |
20.3 |
|
|
9.2 |
|
|
37.4 |
|
Life default rate |
22.0 |
|
|
1.2 |
|
|
79.2 |
|
|
|
(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. |
Annual constant prepayment speed and loss severity rates are projected considering collateral characteristics such as loan-to-value (LTV), creditworthiness of borrowers as measured using Fair Isaac Corporation (FICO) scores, and geographic concentrations. The weighted-average severity by collateral type was 17.2 percent for prime, 18.9 percent for Alt-A and 30.4 percent for subprime at June 30, 2017. Additionally, default rates are projected by considering collateral characteristics including, but not limited to, LTV, FICO and geographic concentration. Weighted-average life default rates by collateral type were 15.8 percent for prime, 22.8 percent for Alt-A and 23.0 percent for subprime at June 30, 2017.
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at June 30, 2017 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 |
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June 30, 2017 |
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Due in One
Year or Less
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Due after One Year
through Five Years
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Due after Five Years
through Ten Years
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Due after
Ten Years
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Total |
(Dollars in millions) |
Amount |
|
Yield (1)
|
|
Amount |
|
Yield (1)
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|
Amount |
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Yield (1)
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|
Amount |
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Yield (1)
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|
Amount |
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Yield (1)
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Amortized cost of debt securities carried at fair value |
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Mortgage-backed securities: |
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Agency |
$ |
3 |
|
|
4.67 |
% |
|
$ |
42 |
|
|
3.73 |
% |
|
$ |
641 |
|
|
2.57 |
% |
|
$ |
192,536 |
|
|
3.23 |
% |
|
$ |
193,222 |
|
|
3.23 |
% |
Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
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|
— |
|
|
7,445 |
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|
3.18 |
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|
7,445 |
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|
3.18 |
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Commercial |
48 |
|
|
7.64 |
|
|
485 |
|
|
1.90 |
|
|
11,529 |
|
|
2.44 |
|
|
512 |
|
|
2.71 |
|
|
12,574 |
|
|
2.45 |
|
Non-agency residential |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
28 |
|
|
0.01 |
|
|
4,527 |
|
|
8.75 |
|
|
4,555 |
|
|
8.70 |
|
Total mortgage-backed securities |
51 |
|
|
7.47 |
|
|
527 |
|
|
2.05 |
|
|
12,198 |
|
|
2.44 |
|
|
205,020 |
|
|
3.35 |
|
|
217,796 |
|
|
3.30 |
|
U.S. Treasury and agency securities |
718 |
|
|
0.64 |
|
|
25,714 |
|
|
1.51 |
|
|
25,404 |
|
|
1.88 |
|
|
67 |
|
|
5.09 |
|
|
51,903 |
|
|
1.69 |
|
Non-U.S. securities |
17,221 |
|
|
0.48 |
|
|
1,755 |
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|
1.36 |
|
|
88 |
|
|
1.17 |
|
|
194 |
|
|
6.65 |
|
|
19,258 |
|
|
0.62 |
|
Other taxable securities, substantially all asset-backed securities |
2,447 |
|
|
2.37 |
|
|
4,008 |
|
|
2.37 |
|
|
1,514 |
|
|
3.00 |
|
|
1,229 |
|
|
3.26 |
|
|
9,198 |
|
|
2.59 |
|
Total taxable securities |
20,437 |
|
|
0.73 |
|
|
32,004 |
|
|
1.62 |
|
|
39,204 |
|
|
2.10 |
|
|
206,510 |
|
|
3.35 |
|
|
298,155 |
|
|
2.82 |
|
Tax-exempt securities |
536 |
|
|
1.75 |
|
|
6,577 |
|
|
1.81 |
|
|
9,076 |
|
|
1.70 |
|
|
2,287 |
|
|
1.83 |
|
|
18,476 |
|
|
1.76 |
|
Total amortized cost of debt securities carried at fair value |
$ |
20,973 |
|
|
0.75 |
|
|
$ |
38,581 |
|
|
1.65 |
|
|
$ |
48,280 |
|
|
2.02 |
|
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$ |
208,797 |
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|
3.34 |
|
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$ |
316,631 |
|
|
2.76 |
|
Amortized cost of HTM debt securities (2)
|
$ |
— |
|
|
— |
|
|
$ |
22 |
|
|
3.79 |
|
|
$ |
928 |
|
|
2.39 |
|
|
$ |
118,058 |
|
|
3.02 |
|
|
$ |
119,008 |
|
|
3.02 |
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|
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Debt securities carried at fair value |
|
|
|
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|
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Mortgage-backed securities: |
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
3 |
|
|
|
|
|
$ |
43 |
|
|
|
|
|
$ |
646 |
|
|
|
|
|
$ |
191,482 |
|
|
|
|
|
$ |
192,174 |
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
7,489 |
|
|
|
|
|
7,489 |
|
|
|
|
Commercial |
48 |
|
|
|
|
|
486 |
|
|
|
|
|
11,407 |
|
|
|
|
|
500 |
|
|
|
|
|
12,441 |
|
|
|
|
Non-agency residential |
— |
|
|
|
|
|
— |
|
|
|
|
|
37 |
|
|
|
|
|
4,914 |
|
|
|
|
|
4,951 |
|
|
|
|
Total mortgage-backed securities |
51 |
|
|
|
|
529 |
|
|
|
|
12,090 |
|
|
|
|
204,385 |
|
|
|
|
217,055 |
|
|
|
U.S. Treasury and agency securities |
719 |
|
|
|
|
25,537 |
|
|
|
|
25,097 |
|
|
|
|
70 |
|
|
|
|
51,423 |
|
|
|
Non-U.S. securities |
17,218 |
|
|
|
|
|
1,703 |
|
|
|
|
|
146 |
|
|
|
|
|
200 |
|
|
|
|
|
19,267 |
|
|
|
|
Other taxable securities, substantially all asset-backed securities |
2,449 |
|
|
|
|
|
3,998 |
|
|
|
|
|
1,538 |
|
|
|
|
|
1,302 |
|
|
|
|
|
9,287 |
|
|
|
|
Total taxable securities |
20,437 |
|
|
|
|
|
31,767 |
|
|
|
|
|
38,871 |
|
|
|
|
|
205,957 |
|
|
|
|
|
297,032 |
|
|
|
|
Tax-exempt securities |
536 |
|
|
|
|
|
6,587 |
|
|
|
|
|
9,069 |
|
|
|
|
|
2,285 |
|
|
|
|
|
18,477 |
|
|
|
|
Total debt securities carried at fair value |
$ |
20,973 |
|
|
|
|
|
$ |
38,354 |
|
|
|
|
|
$ |
47,940 |
|
|
|
|
|
$ |
208,242 |
|
|
|
|
|
$ |
315,509 |
|
|
|
|
Fair value of HTM debt securities (2)
|
$ |
— |
|
|
|
|
$ |
22 |
|
|
|
|
$ |
901 |
|
|
|
|
$ |
116,407 |
|
|
|
|
$ |
117,330 |
|
|
|
|
|
(1) |
The 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. |
|