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Securities (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and Dec. 31, 2019.



Securities at March 31, 2020			Gross unrealized				Fair value
	Amortized cost
(in millions)			Gains		Losses
Available-for-sale:
Agency RMBS	$	26,484	$	426	$	219	$	26,691
U.S. Treasury	21,430		1,651		—		23,081
Sovereign debt/sovereign guaranteed	12,791		128		9		12,910
Agency commercial mortgage-backed securities (“MBS”)	9,315		510		20		9,805
Foreign covered bonds	5,284		24		36		5,272
Supranational	4,316		38		6		4,348
Collateralized loan obligations (“CLOs”)	4,341		1		244		4,098
Commercial paper/certificates of deposit (“CDs”)	2,813		3		2		2,814
Foreign government agencies	2,736		31		3		2,764
Non-agency commercial MBS	2,501		35		63		2,473
Other asset-backed securities (“ABS”)	2,257		6		43		2,220
U.S. government agencies	2,059		156		2		2,213
Non-agency RMBS (a)	1,404		114		43		1,475
State and political subdivisions	967		20		2		985
Corporate bonds	804		16		2		818
Other debt securities	1		—		—		1
Total securities available-for-sale (b)(c)	$	99,503	$	3,159	$	694	$	101,968
Held-to-maturity:
Agency RMBS	$	29,518	$	874	$	5	$	30,387
U.S. Treasury	2,937		121		—		3,058
Agency commercial MBS	1,868		84		—		1,952
U.S. government agencies	1,244		7		3		1,248
Sovereign debt/sovereign guaranteed	919		37		—		956
Commercial paper/CDs	651		—		—		651
Foreign covered bonds	77		—		—		77
Non-agency RMBS	75		3		5		73
State and political subdivisions	16		—		—		16
Total securities held-to-maturity	$	37,305	$	1,126	$	13	$	38,418
Total securities	$	136,808	$	4,285	$	707	$	140,386


(a)	Includes $535 million that was included in the former Grantor Trust.


(b)	In the first quarter of 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments - Credit Losses: Measurement of Credit Losses On Financial Instruments, on a prospective basis. The allowance for credit loss on available-for-sale securities of $15 million primarily relates to CLOs and Non-Agency RMBS. See Note 2 for additional information.


(c)	Includes gross unrealized gains of $29 million and gross unrealized losses of $59 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, 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 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 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.

Schedule of Realized Gains, Losses, and Impairments

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



Net securities gains (losses)
(in millions)	1Q20			4Q19			1Q19
Realized gross gains	$	12		$	5		$	5
Realized gross losses	(3		)	(29		)	(4		)
Recognized gross impairments	—			(1		)	—
Total net securities gains (losses)	$	9		$	(25	)	$	1

Pre-Tax Securities Gains (Losses) by Type

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



Net securities gains (losses)
(in millions)	1Q20		4Q19			1Q19
U.S. Treasury	$	5	$	(17	)	$	1
Other	4		(8		)	—
Total net securities gains (losses)	$	9	$	(25	)	$	1

Debt Securities, Held-to-maturity, Credit Quality Indicator

The following table shows the aggregate fair value of available-for-sale 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 without an allowance for credit losses.



Available-for-sale securities in an unrealized loss position at March 31, 2020 (a)	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
Agency RMBS	$	5,200	$	53	$	6,969	$	166	$	12,169	$	219
Sovereign debt/sovereign guaranteed	2,801		9		104		—		2,905		9
Agency commercial MBS	1,440		14		522		6		1,962		20
Foreign covered bonds	2,934		33		255		3		3,189		36
Supranational	1,663		6		203		—		1,866		6
CLOs	3,456		189		554		41		4,010		230
Commercial paper/CDs	1,225		2		—		—		1,225		2
Foreign government agencies	942		3		50		—		992		3
Non-agency commercial MBS	1,050		60		37		3		1,087		63
Other ABS	1,283		38		193		5		1,476		43
U.S. government agencies	73		2		—		—		73		2
Non-agency RMBS (b)	737		27		96		12		833		39
State and political subdivisions	37		2		15		—		52		2
Corporate bonds	232		2		—		—		232		2
Total securities available-for-sale (c)	$	23,073	$	440	$	8,998	$	236	$	32,071	$	676


(a)	Includes $3.9 billion of securities with an unrealized loss of greater than $1 million.


(b)	Includes $97 million of securities with an unrealized loss of $7 million for less than 12 months and $1 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.

(c)

Includes gross unrealized losses of $59 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.

The following table presents the temporarily impaired securities under the disclosure guidance that existed prior to the adoption of ASU 2016-13 and shows the aggregate fair value of available-for-sale 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
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
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


(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.

The following table shows the credit quality of the held-to-maturity securities. We have included certain credit ratings information because the information can indicate the degree of credit risk to which we are exposed. Significant changes in ratings classifications could indicate increased credit risk for us and could be accompanied by a reduction in the fair value of our securities portfolio.



Held-to-maturity securities portfolio at March 31, 2020 (a)						Ratings (b)
												BB+ and lower
(dollars in millions)	Amortized cost		Unrealized gain (loss)			AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower		A1+/A1		Not rated
Agency RMBS	$	29,518	$	869		100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	2,937		121			100		—		—		—		—		—
Agency commercial MBS	1,868		84			100		—		—		—		—		—
U.S. government agencies	1,244		4			100		—		—		—		—		—
Sovereign debt/sovereign guaranteed (c)	919		37			100		—		—		—		—		—
Commercial paper/CDs	651		—			—		—		—		—		100		—
Foreign covered bonds (d)	77		—			100		—		—		—		—		—
Non-agency RMBS	75		(2		)	42		43		3		12		—		—
State and political subdivisions	16		—			7		2		6		—		—		85
Total held-to-maturity securities	$	37,305	$	1,113		98	%	—	%	—	%	—	%	2	%	—	%


(a)	In the first quarter of 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments - Credit Losses: Measurement of Credit Losses On Financial Instruments, on a prospective basis. See Note 2 for additional information.


(b)	Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.


(c)	Primarily consists of exposure to France, UK and Germany.

(d)

Primarily consists of exposure to Canada.

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 March 31, 2020	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	$	1,353	2.58	%	$	26	2.46	%	$	165	2.93	%	$	11,377	1.20	%	$	—	—	%	$	12,921
Over 1 through 5 years	12,422		1.53		474		1.73		719		3.29		14,763		0.76		—		—		28,378
Over 5 through 10 years	6,009		1.69		1,594		2.70		88		2.58		2,601		0.65		—		—		10,292
Over 10 years	3,297		3.11		119		2.06		13		2.32		186		1.67		—		—		3,615
Mortgage-backed securities	—		—		—		—		—		—		—		—		40,444		2.50		40,444
Asset-backed securities	—		—		—		—		—		—		—		—		6,318		2.70		6,318
Total	$	23,081	1.86	%	$	2,213	2.46	%	$	985	3.15	%	$	28,927	0.93	%	$	46,762	2.53	%	$	101,968
Securities held-to-maturity:
One year or less	$	—	—	%	$	—	—	%	$	—	—	%	$	758	1.53	%	$	—	—	%	$	758
Over 1 through 5 years	2,937		1.98		603		1.86		3		5.68		703		0.68		—		—		4,246
Over 5 through 10 years	—		—		259		2.30		—		—		186		0.69		—		—		445
Over 10 years	—		—		382		2.43		13		4.76		—		—		—		—		395
Mortgage-backed securities	—		—		—		—		—		—		—		—		31,461		2.88		31,461
Total	$	2,937	1.98	%	$	1,244	2.12	%	$	16	4.92	%	$	1,647	1.06	%	$	31,461	2.88	%	$	37,305


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