Investment Securities (Tables)

3 Months Ended

Mar. 31, 2018

AFS and HTM Securities

		At March 31, 2018
$ in millions	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
U.S. government and agency
securities:
U.S. Treasury securities	$	30,032	$	—	$	833	$	29,199
U.S. agency securities¹		22,084		32		504		21,612
Total U.S. government and
agency securities		52,116		32		1,337		50,811
Corporate and other debt:
Agency CMBS		1,302		2		59		1,245
Non-agency CMBS		857		2		17		842
Corporate bonds		1,346		—		28		1,318
CLO		351		1		—		352
FFELP student loan ABS²		2,173		15		7		2,181
Total corporate and other debt		6,029		20		111		5,938
Total AFS securities		58,145		52		1,448		56,749
HTM securities
U.S. government and agency
securities:
U.S. Treasury securities		11,817		—		490		11,327
U.S. agency securities¹		11,747		—		477		11,270
Total U.S. government and
agency securities		23,564		—		967		22,597
Corporate and other debt:
Non-agency CMBS		328		—		6		322
Total HTM securities		23,892		—		973		22,919
Total investment securities	$	82,037	$	52	$	2,421	$	79,668

		At December 31, 2017
$ in millions	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS debt securities
U.S. government and agency
securities:
U.S. Treasury securities	$	26,842	$	—	$	589	$	26,253
U.S. agency securities¹		22,803		28		247		22,584
Total U.S. government and
agency securities		49,645		28		836		48,837
Corporate and other debt:
Agency CMBS		1,370		2		49		1,323
Non-agency CMBS		1,102		—		8		1,094
Corporate bonds		1,379		5		12		1,372
CLO		398		1		—		399
FFELP student loan ABS²		2,165		15		7		2,173
Total corporate and other debt		6,414		23		76		6,361
Total AFS debt securities		56,059		51		912		55,198
AFS equity securities		15		—		10		5
Total AFS securities		56,074		51		922		55,203
HTM securities
U.S. government and agency
securities:
U.S. Treasury securities		11,424		—		305		11,119
U.S. agency securities¹		11,886		7		220		11,673
Total U.S. government and
agency securities		23,310		7		525		22,792
Corporate and other debt:
Non-agency CMBS		289		1		1		289
Total HTM securities		23,599		8		526		23,081
Total investment securities	$	79,673	$	59	$	1,448	$	78,284

U.S. agency securities consist mainly of agency-issued debt, agency mortgage pass-through pool securities and CMOs.
Amounts are backed by a guarantee from the U.S. Department of Education of at least 95% of the principal balance and interest on such loans

Schedule of Investment Securities in an Unrealized Loss Position

Investment Securities in an Unrealized Loss Position

		At March 31, 2018
		Less than 12 Months				12 Months or Longer				Total
$ in millions		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS securities
U.S. government and agency securities:
U.S. Treasury securities	$	25,041	$	711	$	3,958	$	122	$	28,999	$	833
U.S. agency securities		12,634		402		2,417		102		15,051		504
Total U.S. government and agency securities		37,675		1,113		6,375		224		44,050		1,337
Corporate and other debt:
Agency CMBS		910		59		—		—		910		59
Non-agency CMBS		309		7		242		10		551		17
Corporate bonds		809		13		383		15		1,192		28
FFELP student loan ABS		1,006		7		—		—		1,006		7
Total corporate and other debt		3,034		86		625		25		3,659		111
Total AFS securities		40,709		1,199		7,000		249		47,709		1,448
HTM securities
U.S. government and agency securities:
U.S. Treasury securities		6,585		177		4,742		313		11,327		490
U.S. agency securities		4,404		119		6,866		358		11,270		477
Total U.S. government and agency securities		10,989		296		11,608		671		22,597		967
Corporate and other debt:
Non-agency CMBS		220		6		—		—		220		6
Total HTM securities		11,209		302		11,608		671		22,817		973
Total investment securities	$	51,918	$	1,501	$	18,608	$	920	$	70,526	$	2,421

		At December 31, 2017
		Less than 12 Months				12 Months or Longer				Total
$ in millions		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS debt securities
U.S. government and agency securities:
U.S. Treasury securities	$	21,941	$	495	$	4,287	$	94	$	26,228	$	589
U.S. agency securities		12,673		192		2,513		55		15,186		247
Total U.S. government and agency securities		34,614		687		6,800		149		41,414		836
Corporate and other debt:
Agency CMBS		930		49		—		—		930		49
Non-agency CMBS		257		1		559		7		816		8
Corporate bonds		316		3		389		9		705		12
FFELP student loan ABS		984		7		—		—		984		7
Total corporate and other debt		2,487		60		948		16		3,435		76
Total AFS debt securities		37,101		747		7,748		165		44,849		912
AFS equity securities		—		—		5		10		5		10
Total AFS securities		37,101		747		7,753		175		44,854		922
HTM securities
U.S. government and agency securities:
U.S. Treasury securities		6,608		86		4,512		219		11,120		305
U.S. agency securities		2,879		24		7,298		196		10,177		220
Total U.S. government and agency securities		9,487		110		11,810		415		21,297		525
Corporate and other debt:
Non-agency CMBS		124		1		—		—		124		1
Total HTM securities		9,611		111		11,810		415		21,421		526
Total investment securities	$	46,712	$	858	$	19,563	$	590	$	66,275	$	1,448

Schedule of Investment Securities by Contractual Maturity

Investment Securities by Contractual Maturity

		At March 31, 2018
$ in millions		Amortized Cost		Fair Value	Annualized Average Yield
AFS securities
U.S. government and agency securities:
U.S. Treasury securities:
Due within 1 year	$	6,153	$	6,132	0.9%
After 1 year through 5 years		19,385		18,906	1.6%
After 5 years through 10 years		4,494		4,161	1.4%
Total		30,032		29,199
U.S. agency securities:
Due within 1 year		43		42	1.1%
After 1 year through 5 years		1,899		1,883	1.0%
After 5 years through 10 years		1,555		1,506	1.8%
After 10 years		18,587		18,181	2.0%
Total		22,084		21,612
Total U.S. government and agency
securities		52,116		50,811	1.6%
Corporate and other debt:
Agency CMBS:
Due within 1 year		19		19	1.3%
After 1 year through 5 years		431		430	1.3%
After 5 years through 10 years		47		47	1.2%
After 10 years		805		749	1.6%
Total		1,302		1,245
Non-agency CMBS:
After 5 years through 10 years		36		35	2.5%
After 10 years		821		807	1.9%
Total		857		842
Corporate bonds:
Due within 1 year		97		97	1.6%
After 1 year through 5 years		1,175		1,150	2.4%
After 5 years through 10 years		74		71	2.5%
Total		1,346		1,318
CLO:
After 5 years through 10 years		153		153	1.5%
After 10 years		198		199	2.4%
Total		351		352
FFELP student loan ABS:
After 1 year through 5 years		48		47	0.8%
After 5 years through 10 years		390		388	0.8%
After 10 years		1,735		1,746	1.1%
Total		2,173		2,181
Total corporate and other debt		6,029		5,938	1.6%
Total AFS securities		58,145		56,749	1.6%
HTM securities
U.S. government securities:
U.S. Treasury securities:
Due within 1 year		2,027		2,012	1.2%
After 1 year through 5 years		3,952		3,871	1.8%
After 5 years through 10 years		5,112		4,807	1.9%
After 10 years		726		637	2.3%
Total		11,817		11,327
U.S. agency securities:
After 5 years through 10 years		34		33	1.9%
After 10 years		11,713		11,237	2.6%
Total		11,747		11,270
Total U.S. government and agency
securities		23,564		22,597	2.2%
Corporate and other debt:
Non-agency CMBS:
After 1 year through 5 years		92		92	3.6%
After 5 years through 10 years		217		212	3.9%
After 10 years		19		18	4.1%
Total corporate and other debt		328		322	3.8%
Total HTM securities		23,892		22,919	2.2%
Total investment securities	$	82,037	$	79,668	1.8%