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Securities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2020 and Dec. 31, 2019.



Securities at June 30, 2020			Gross unrealized				Fair value
	Amortized cost
(in millions)			Gains		Losses
Available-for-sale:
Agency RMBS	$	26,005	$	516	$	84	$	26,437
U.S. Treasury	23,537		1,600		—		25,137
Sovereign debt/sovereign guaranteed	15,724		165		2		15,887
Agency commercial mortgage-backed securities (“MBS”)	9,357		633		2		9,988
Foreign covered bonds	5,469		53		3		5,519
Supranational	5,385		64		1		5,448
Collateralized loan obligations (“CLOs”)	4,526		4		98		4,432
Foreign government agencies	3,536		42		—		3,578
U.S. government agencies	2,635		173		2		2,806
Other asset-backed securities (“ABS”)	2,724		29		10		2,743
Non-agency commercial MBS	2,517		129		16		2,630
Commercial paper/certificates of deposit (“CDs”)	1,849		4		—		1,853
Non-agency RMBS (a)	1,464		149		15		1,598
State and political subdivisions	1,150		31		2		1,179
Corporate bonds	789		42		—		831
Other debt securities	1		—		—		1
Total securities available-for-sale (b)(c)	$	106,668	$	3,634	$	235	$	110,067
Held-to-maturity:
Agency RMBS	$	32,869	$	1,108	$	9	$	33,968
U.S. Treasury	4,687		114		1		4,800
U.S. government agencies	2,349		6		3		2,352
Agency commercial MBS	1,982		108		—		2,090
Commercial paper/CDs	1,537		2		—		1,539
Sovereign debt/sovereign guaranteed	974		41		—		1,015
Foreign covered bonds	79		—		—		79
Non-agency RMBS	73		3		2		74
Supranational	49		—		—		49
State and political subdivisions	16		1		—		17
Total securities held-to-maturity	$	44,615	$	1,383	$	15	$	45,983
Total securities	$	151,283	$	5,017	$	250	$	156,050


(a)	Includes $538 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 $12 million primarily relates to CLOs. See Note 2 for additional information.


(c)	Includes gross unrealized gains of $28 million and gross unrealized losses of $55 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)	2Q20			1Q20			2Q19			YTD20			YTD19
Realized gross gains	$	16		$	12		$	12		$	28		$	17
Realized gross losses	(7		)	(3		)	(5		)	(10		)	(9		)
Recognized gross impairments	—			—			—			—			—
Total net securities gains	$	9		$	9		$	7		$	18		$	8

Pre-Tax Securities Gains (Losses) by Type

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



Net securities gains
(in millions)	2Q20		1Q20		2Q19		YTD20		YTD19
Supranational	$	6	$	—	$	—	$	6	$	—
U.S. Treasury	1		5		3		6		4
Other	2		4		4		6		4
Total net securities gains	$	9	$	9	$	7	$	18	$	8

Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value

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 June 30, 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	$	2,809	$	5	$	6,030	$	79	$	8,839	$	84
Sovereign debt/sovereign guaranteed	1,952		2		110		—		2,062		2
Agency commercial MBS	266		—		350		2		616		2
Foreign covered bonds	1,003		2		281		1		1,284		3
Supranational	931		1		233		—		1,164		1
CLOs	3,522		68		575		19		4,097		87
U.S. government agencies	79		2		—		—		79		2
Other ABS	760		6		203		4		963		10
Non-agency commercial MBS	476		15		39		1		515		16
Non-agency RMBS (b)	508		7		96		7		604		14
State and political subdivisions	79		2		2		—		81		2
Total securities available-for-sale (c)	$	12,385	$	110	$	7,919	$	113	$	20,304	$	223


(a)	Includes $530 million of securities with an unrealized loss of greater than $1 million.


(b)	Includes $42 million of securities with an unrealized loss of $1 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 $55 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.

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

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 June 30, 2020 (a)					Ratings (b)
			Net unrealized gain								BB+ and lower		A1+/A2/SP-1+
(dollars in millions)	Amortized cost		Net unrealized gain		AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower		A1+/A2/SP-1+		Not rated
Agency RMBS	$	32,869	$	1,099	100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	4,687		113		100		—		—		—		—		—
U.S. government agencies	2,349		3		100		—		—		—		—		—
Agency commercial MBS	1,982		108		100		—		—		—		—		—
Commercial paper/CDs	1,537		2		—		—		—		—		100		—
Sovereign debt/sovereign guaranteed (c)	974		41		100		—		—		—		—		—
Foreign covered bonds (d)	79		—		100		—		—		—		—		—
Non-agency RMBS	73		1		42		43		2		12		—		1
Supranational	49		—		100		—		—		—		—		—
State and political subdivisions	16		1		6		2		6		—		—		86
Total held-to-maturity securities	$	44,615	$	1,368	96	%	1	%	—	%	—	%	3	%	—	%


(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 June 30, 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	$	5,348	0.50	%	$	25	2.55	%	$	178	2.92	%	$	13,826	0.71	%	$	—	—	%	$	19,377
Over 1 through 5 years	10,350		1.52		1,038		1.22		646		3.29		16,098		0.68		—		—		28,132
Over 5 through 10 years	6,171		1.67		1,623		2.56		107		2.42		2,838		0.53		—		—		10,739
Over 10 years	3,268		3.11		120		2.06		248		2.37		355		0.97		—		—		3,991
Mortgage-backed securities	—		—		—		—		—		—		—		—		40,653		2.24		40,653
Asset-backed securities	—		—		—		—		—		—		—		—		7,175		2.18		7,175
Total	$	25,137	1.54	%	$	2,806	2.04	%	$	1,179	2.96	%	$	33,117	0.69	%	$	47,828	2.23	%	$	110,067
Securities held-to-maturity:
One year or less	$	1,899	0.41	%	$	—	—	%	$	—	—	%	$	1,646	1.21	%	$	—	—	%	$	3,545
Over 1 through 5 years	2,788		1.91		1,696		1.12		3		5.66		919		0.66		—		—		5,406
Over 5 through 10 years	—		—		212		1.98		—		—		31		0.92		—		—		243
Over 10 years	—		—		441		2.33		13		4.76		43		0.35		—		—		497
Mortgage-backed securities	—		—		—		—		—		—		—		—		34,924		2.87		34,924
Total	$	4,687	1.32	%	$	2,349	1.42	%	$	16	4.91	%	$	2,639	1.00	%	$	34,924	2.87	%	$	44,615


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