Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.20.2
Securities (Tables)
9 Months Ended
Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Marketable 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  (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.
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 September 30, 2020 and December 31, 2019.
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)
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 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.
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 $ —  —  % $ 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  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 $ —    $   $ 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      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.