Securities (Tables)

12 Months Ended

Dec. 31, 2019

Securities [Abstract]

Amortized Cost and Fair Values of Securities

The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at Dec. 31, 2019, Dec. 31, 2018 and Dec. 31, 2017, respectively.

Securities at Dec. 31, 2019			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
Agency RMBS	$	27,022	$	164	$	143	$	27,043
U.S. Treasury	14,979		472		20		15,431
Sovereign debt/sovereign guaranteed	12,548		109		11		12,646
Agency commercial mortgage-backed securities (“MBS”)	9,231		203		17		9,417
Foreign covered bonds	4,189		15		7		4,197
CLOs	4,078		1		16		4,063
Supranational	3,697		18		6		3,709
Foreign government agencies	2,638		7		2		2,643
Non-agency commercial MBS	2,134		46		2		2,178
Other asset-backed securities (“ABS”)	2,141		7		5		2,143
U.S. government agencies	1,890		61		2		1,949
Non-agency RMBS (a)	1,038		202		7		1,233
State and political subdivisions	1,017		27		—		1,044
Corporate bonds	832		21		—		853
Other debt securities	1		—		—		1
Total securities available-for-sale (b)	$	87,435	$	1,353	$	238	$	88,550
Held-to-maturity:
Agency RMBS	$	27,357	$	292	$	46	$	27,603
U.S. Treasury	3,818		28		3		3,843
Agency commercial MBS	1,326		21		3		1,344
U.S. government agencies	1,023		1		2		1,022
Sovereign debt/sovereign guaranteed	756		31		—		787
Non-agency RMBS	80		4		1		83
Foreign covered bonds	79		—		—		79
Supranational	27		—		—		27
State and political subdivisions	17		—		—		17
Total securities held-to-maturity	$	34,483	$	377	$	55	$	34,805
Total securities	$	121,918	$	1,730	$	293	$	123,355

(a) Includes $640 million that was included in the former Grantor Trust.

(b) Includes gross unrealized gains of $32 million and gross unrealized losses of $65 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains and losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.

Securities at Dec. 31, 2018			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
Agency RMBS	$	25,594	$	83	$	369	$	25,308
U.S. Treasury	20,190		96		210		20,076
Sovereign debt/sovereign guaranteed	10,663		108		21		10,750
Agency commercial MBS	9,836		16		161		9,691
CLOs	3,410		—		46		3,364
Supranational	2,985		7		8		2,984
Foreign covered bonds	2,890		7		19		2,878
State and political subdivisions	2,251		18		22		2,247
Other ABS	1,776		1		4		1,773
U.S. government agencies	1,676		5		24		1,657
Non-agency commercial MBS	1,491		1		28		1,464
Non-agency RMBS (a)	1,095		241		11		1,325
Foreign government agencies	1,164		1		4		1,161
Corporate bonds	1,074		6		26		1,054
Other debt securities	72		5		—		77
Total securities available-for-sale (b)	$	86,167	$	595	$	953	$	85,809
Held-to-maturity:
Agency RMBS	$	25,507	$	32	$	632	$	24,907
U.S. Treasury	4,727		3		77		4,653
U.S. government agencies	1,497		—		10		1,487
Agency commercial MBS	1,195		—		26		1,169
Sovereign debt/sovereign guaranteed	833		26		—		859
Non-agency RMBS	100		4		2		102
Foreign covered bonds	80		1		—		81
Supranational	26		1		—		27
State and political subdivisions	17		—		—		17
Total securities held-to-maturity	$	33,982	$	67	$	747	$	33,302
Total securities	$	120,149	$	662	$	1,700	$	119,111

(a) Includes $832 million that was included in the former Grantor Trust.

(b) Includes gross unrealized gains of $39 million and gross unrealized losses of $87 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains and losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.

Schedule of Realized Gains, Losses, and Impairments

The following table presents the realized gains, losses and impairments, on a gross basis.

Net securities (losses) gains
(in millions)	2019			2018			2017
Realized gross gains	$	23		$	8		$	47
Realized gross losses	(39		)	(55		)	(40		)
Recognized gross impairments	(2		)	(1		)	(4		)
Total net securities (losses) gains	$	(18	)	$	(48	)	$	3

Pre-Tax Securities Gains (Losses) by Type

The following table presents pre-tax net securities (losses) gains by type.

Net securities (losses) gains
(in millions)	2019			2018			2017
U.S. Treasury	$	(13	)	$	(4	)	$	(16	)
Agency RMBS	1			(42		)	(12		)
Other	(6		)	(2		)	31
Total net securities (losses) gains	$	(18	)	$	(48	)	$	3

Aggregate Fair Value of Investments with Continuous Unrealized Loss Position

The following tables show the aggregate fair value of securities with a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 months or more.

Temporarily impaired securities at Dec. 31, 2019	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
Available-for-sale:
Agency RMBS	$	8,373	$	33	$	5,912	$	110	$	14,285	$	143
U.S. Treasury	1,976		16		766		4		2,742		20
Sovereign debt/sovereign guaranteed	4,045		10		225		1		4,270		11
Agency commercial MBS	1,960		12		775		5		2,735		17
Foreign covered bonds	1,009		4		690		3		1,699		7
CLOs	1,066		2		1,499		14		2,565		16
Supranational	1,336		6		360		—		1,696		6
Foreign government agencies	1,706		2		47		—		1,753		2
Non-agency commercial MBS	525		2		45		—		570		2
Other ABS	456		3		305		2		761		5
U.S. government agencies	377		2		—		—		377		2
Non-agency RMBS (a)	101		—		113		7		214		7
State and political subdivisions	—		—		16		—		16		—
Corporate bonds	82		—		21		—		103		—
Total securities available-for-sale (b)	$	23,012	$	92	$	10,774	$	146	$	33,786	$	238
Held-to-maturity:
Agency RMBS	$	4,714	$	17	$	3,729	$	29	$	8,443	$	46
U.S. Treasury	406		3		821		—		1,227		3
Agency commercial MBS	375		3		—		—		375		3
U.S. government agencies	506		2		45		—		551		2
Non-agency RMBS	6		—		40		1		46		1
Total securities held-to-maturity	$	6,007	$	25	$	4,635	$	30	$	10,642	$	55
Total temporarily impaired securities	$	29,019	$	117	$	15,409	$	176	$	44,428	$	293

(a) Includes $2 million of securities with an unrealized loss of less than $1 million for less than 12 months and $2 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(b) Includes gross unrealized losses of $65 million for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

Temporarily impaired securities at Dec. 31, 2018	Less than 12 months				12 months or more				Total
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Available-for-sale:
Agency RMBS	$	6,678	$	30	$	9,250	$	339	$	15,928	$	369
U.S. Treasury	6,126		23		6,880		187		13,006		210
Sovereign debt/sovereign guaranteed	2,185		8		988		13		3,173		21
Agency commercial MBS	4,505		50		3,082		111		7,587		161
CLOs	3,280		46		2		—		3,282		46
Supranational	974		2		481		6		1,455		8
Foreign covered bonds	1,058		7		736		12		1,794		19
State and political subdivisions	316		1		668		21		984		22
Other ABS	1,289		4		23		—		1,312		4
U.S. government agencies	513		4		673		20		1,186		24
Non-agency commercial MBS	1,015		14		362		14		1,377		28
Non-agency RMBS (a)	94		1		157		10		251		11
Foreign government agencies	397		1		256		3		653		4
Corporate bonds	685		24		50		2		735		26
Total securities available-for-sale (b)	$	29,115	$	215	$	23,608	$	738	$	52,723	$	953
Held-to-maturity:
Agency RMBS	$	4,602	$	56	$	17,107	$	576	$	21,709	$	632
U.S. Treasury	157		2		4,343		75		4,500		77
U.S. government agencies	—		—		1,111		10		1,111		10
Agency commercial MBS	477		7		654		19		1,131		26
Non-agency RMBS	22		1		31		1		53		2
Total securities held-to-maturity	$	5,258	$	66	$	23,246	$	681	$	28,504	$	747
Total temporarily impaired securities	$	34,373	$	281	$	46,854	$	1,419	$	81,227	$	1,700

(a) Includes $22 million of securities with an unrealized loss of less than $1 million for less than 12 months and $3 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(b) Includes gross unrealized losses of $87 million for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

Maturity Distribution by Carrying Amount and Yield (on Tax Equivalent Basis) of Investment Securities Portfolio

The following table shows the maturity distribution by carrying amount and yield (on a tax equivalent basis) of our securities portfolio.

Maturity distribution and yields on securities at Dec. 31, 2019	U.S. Treasury				U.S. government agencies				State and political subdivisions				Other bonds, notes and debentures				Mortgage/ asset-backed
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Total
Securities available-for-sale:
One year or less	$	2,104	2.51	%	$	25	2.73	%	$	162	2.90	%	$	8,241	1.19	%	$	—	—	%	$	10,532
Over 1 through 5 years	6,876		1.70		411		2.07		774		3.26		13,909		0.99		—		—		21,970
Over 5 through 10 years	3,693		2.21		1,513		2.70		94		2.57		1,705		0.87		—		—		7,005
Over 10 years	2,758		3.11		—		—		14		2.50		194		1.67		—		—		2,966
Mortgage-backed securities	—		—		—		—		—		—		—		—		39,871		2.87		39,871
Asset-backed securities	—		—		—		—		—		—		—		—		6,206		2.90		6,206
Total	$	15,431	2.18	%	$	1,949	2.56	%	$	1,044	3.13	%	$	24,049	1.06	%	$	46,077	2.87	%	$	88,550
Securities held-to-maturity:
One year or less	$	881	1.44	%	$	135	1.69	%	$	—	—	%	$	138	0.78	%	$	—	—	%	$	1,154
Over 1 through 5 years	2,937		1.98		688		2.04		3		5.68		610		0.77		—		—		4,238
Over 5 through 10 years	—		—		200		2.58		—		—		114		0.22		—		—		314
Over 10 years	—		—		—		—		14		4.76		—		—		—		—		14
Mortgage-backed securities	—		—		—		—		—		—		—		—		28,763		2.94		28,763
Total	$	3,818	1.86	%	$	1,023	2.10	%	$	17	4.94	%	$	862	0.70	%	$	28,763	2.94	%	$	34,483

(a) Yields are based upon the amortized cost of securities.

Debt Securities Credit Losses Roll Forward Recorded in Earnings

The following table reflects securities credit losses recorded in earnings. The beginning balance represents the credit loss component for which OTTI occurred on debt securities in prior periods. The additions represent the first time a debt security was credit impaired or when subsequent credit impairments have occurred. The deductions represent credit losses on securities that have been sold, are required to be sold, or for which it is our intention to sell.

Debt securities credit loss roll forward
(in millions)	2019		2018
Beginning balance as of Dec. 31	$	78	$	84
Add: Initial OTTI credit losses	—		—
Subsequent OTTI credit losses	1		1
Less: Realized losses for securities sold	7		7
Ending balance as of Dec. 31	$	72	$	78