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Securities (Tables)

9 Months Ended

Sep. 30, 2021

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 Sept. 30, 2021 and Dec. 31, 2020.


Securities at Sept. 30, 2021			Gross unrealized				Fair value
	Amortized cost
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	25,392	$	795	$	226	$	25,961
Agency residential mortgage-backed securities (“RMBS”)	14,616		339		47		14,908
Sovereign debt/sovereign guaranteed	12,999		112		42		13,069
Agency commercial mortgage-backed securities (“MBS”)	8,139		430		25		8,544
Supranational	7,931		34		26		7,939
Foreign covered bonds	6,917		38		9		6,946
Collateralized loan obligations (“CLOs”)	5,202		5		3		5,204
Non-agency commercial MBS	3,108		90		16		3,182
Foreign government agencies	2,670		16		7		2,679
State and political subdivisions	2,651		15		22		2,644
U.S. government agencies	2,541		115		13		2,643
Non-agency RMBS (a)	2,469		144		15		2,598
Corporate bonds	2,395		29		47		2,377
Other asset-backed securities (“ABS”)	2,307		14		9		2,312

Other debt securities	1		—		—		1
Total securities available-for-sale (b)(c)	$	99,338	$	2,176	$	507	$	101,007
Held-to-maturity:
Agency RMBS	$	37,607	$	631	$	230	$	38,008
U.S. Treasury	10,528		52		31		10,549
Agency commercial MBS	4,170		64		29		4,205
U.S. government agencies	2,879		1		41		2,839
Sovereign debt/sovereign guaranteed	969		23		3		989

Supranational	54		—		—		54
Non-agency RMBS	46		3		—		49
State and political subdivisions	14		1		—		15
Total securities held-to-maturity	$	56,267	$	775	$	334	$	56,708
Total securities	$	155,605	$	2,951	$	841	$	157,715

(a) Includes $387 million that was included in the former Grantor Trust.

(b) The amortized cost of available-for-sale securities is net of the allowance for credit loss of $10 million. The allowance for credit loss primarily relates to CLOs.

(c) Includes gross unrealized gains of $477 million and gross unrealized losses of $80 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains are primarily related to agency RMBS, U.S. Treasury securities, agency commercial MBS and U.S. government agency securities and losses are primarily related to U.S. Treasury securities and agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.


Securities at Dec. 31, 2020			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	23,557	$	1,358	$	21	$	24,894
Agency RMBS	21,919		479		51		22,347
Sovereign debt/sovereign guaranteed	12,202		190		1		12,391
Agency commercial MBS	8,605		625		2		9,228
Supranational	7,086		75		1		7,160
Foreign covered bonds	6,658		68		1		6,725
CLOs	4,706		7		10		4,703
Foreign government agencies	4,086		49		—		4,135
U.S. government agencies	3,680		174		1		3,853
Other ABS	3,135		32		3		3,164
Non-agency commercial MBS	2,864		159		6		3,017
Non-agency RMBS (a)	2,178		157		9		2,326
State and political subdivisions	2,270		39		1		2,308
Corporate bonds	1,945		50		1		1,994
Commercial paper/certificates of deposit (“CDs”)	249		—		—		249
Other debt securities	1		—		—		1
Total securities available-for-sale (b)(c)	$	105,141	$	3,462	$	108	$	108,495
Held-to-maturity:
Agency RMBS	$	38,355	$	1,055	$	14	$	39,396
U.S. Treasury	2,938		90		—		3,028
U.S. government agencies	2,816		4		6		2,814
Agency commercial MBS	2,659		105		2		2,762
Sovereign debt/sovereign guaranteed	1,050		42		—		1,092
Non-agency RMBS	58		3		—		61
Supranational	55		—		—		55
State and political subdivisions	15		1		—		16
Total securities held-to-maturity	$	47,946	$	1,300	$	22	$	49,224
Total securities	$	153,087	$	4,762	$	130	$	157,719

(a) Includes $487 million that was included in the former Grantor Trust.

(b) The amortized cost of available-for-sale securities is net of the allowance for credit loss of $11 million. The allowance for credit loss primarily relates to CLOs.

(c) Includes gross unrealized gains of $75 million and gross unrealized losses of $44 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains are primarily related to agency commercial MBS 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 and losses, on a gross basis.


Net securities gains (losses)
(in millions)	3Q21		2Q21		3Q20		YTD21		YTD20
Realized gross gains	$	3	$	6	$	10	$	21	$	38
Realized gross losses	(1)		(4)		(1)		(17)		(11)

Total net securities gains	$	2	$	2	$	9	$	4	$	27

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)	3Q21		2Q21		3Q20		YTD21		YTD20
U.S. Treasury	$	—	$	—	$	1	$	(4)	$	7
Foreign government agencies	—		—		5		1		7
Supranational	—		—		—		—		6
Other	2		2		3		7		7
Total net securities gains	$	2	$	2	$	9	$	4	$	27

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

The following tables show 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 without an allowance for credit losses at Sept. 30, 2021 (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	$	2,830	$	16	$	491	$	31	$	3,321	$	47
U.S. Treasury	12,106		222		46		4		12,152		226
Sovereign debt/sovereign guaranteed	3,921		42		104		—		4,025		42
Agency commercial MBS	1,945		24		561		1		2,506		25
Foreign covered bonds	1,637		9		93		—		1,730		9
Supranational	2,357		23		268		3		2,625		26
CLOs	422		1		337		2		759		3
Foreign government agencies	947		7		42		—		989		7
U.S. government agencies	904		13		—		—		904		13
Other ABS	1,066		8		144		1		1,210		9
Non-agency commercial MBS	766		13		137		3		903		16

Non-agency RMBS (b)	1,190		11		318		4		1,508		15
State and political subdivisions	1,607		22		21		—		1,628		22
Corporate bonds	1,577		47		—		—		1,577		47

Total securities available-for-sale (c)	$	33,275	$	458	$	2,562	$	49	$	35,837	$	507

(a) Includes $8.7 billion of securities with an unrealized loss of greater than $1 million.

(b) Includes $1 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.

(c) Includes $49 million gross unrealized losses for less than 12 months and gross unrealized losses of $31 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 U.S. Treasury securities and agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.


Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Dec. 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)
Available-for-sale:
Agency RMBS	$	850	$	4	$	1,965	$	47	$	2,815	$	51
U.S. Treasury	4,253		21		—		—		4,253		21
Sovereign debt/sovereign guaranteed	1,349		1		135		—		1,484		1
Agency commercial MBS	440		1		266		1		706		2
Foreign covered bonds	468		1		90		—		558		1
Supranational	1,041		1		132		—		1,173		1
CLOs	1,849		6		579		4		2,428		10
U.S. government agencies	160		1		—		—		160		1

Other ABS	449		2		226		1		675		3
Non-agency commercial MBS	468		4		170		2		638		6
Non-agency RMBS (b)	973		3		103		6		1,076		9
State and political subdivisions	273		1		2		—		275		1
Corporate bonds	282		1		—		—		282		1

Total securities available-for-sale (c)	$	12,855	$	47	$	3,668	$	61	$	16,523	$	108

(a) Includes $1.6 billion of securities with an unrealized loss of greater than $1 million.

(b) Includes $16 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.

(c) Includes gross unrealized losses of $44 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 tables show 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 an increase in the allowance for credit losses and/or a reduction in the fair value of our securities portfolio.


Held-to-maturity securities portfolio at Sept. 30, 2021					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower		A1+/A2/SP-1
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-						Not rated
Agency RMBS	$	37,607	$	401	100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	10,528		21		100		—		—		—		—		—
U.S. government agencies	2,879		(40)		100		—		—		—		—		—
Agency commercial MBS	4,170		35		100		—		—		—		—		—
Sovereign debt/sovereign guaranteed (b)	969		20		100		—		—		—		—		—

Non-agency RMBS	46		3		24		59		1		15		—		1
Supranational	54		—		100		—		—		—		—		—
State and political subdivisions	14		1		5		2		5		—		—		88

Total held-to-maturity securities	$	56,267	$	441	100	%	—	%	—	%	—	%	—	%	—	%

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

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


Held-to-maturity securities portfolio at Dec. 31, 2020					Ratings
			Net unrealized gain (loss)								BB+ and lower		A1+/A2/SP-1
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-						Not rated
Agency RMBS	$	38,355	$	1,041	100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	2,938		90		100		—		—		—		—		—
U.S. government agencies	2,816		(2)		100		—		—		—		—		—
Agency commercial MBS	2,659		103		100		—		—		—		—		—
Sovereign debt/sovereign guaranteed (a)	1,050		42		98		—		—		—		2		—

Non-agency RMBS	58		3		28		55		2		14		—		1
Supranational	55		—		100		—		—		—		—		—
State and political subdivisions	15		1		6		2		6		—		—		86

Total held-to-maturity securities	$	47,946	$	1,278	100	%	—	%	—	%	—	%	—	%	—	%

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

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 Sept. 30, 2021	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	$	2,159	1.44	%	$	195	0.21	%	$	235	2.44	%	$	7,710	0.58	%	$	—	—	%	$	10,299
Over 1 through 5 years	8,883		1.01		1,720		0.95		633		2.07		19,077		0.49		—		—		30,313
Over 5 through 10 years	12,051		1.22		614		2.00		1,499		1.55		6,146		0.74		—		—		20,310
Over 10 years	2,868		3.10		114		1.91		277		2.26		78		1.14		—		—		3,337
Mortgage-backed securities	—		—		—		—		—		—		—		—		29,232		1.93		29,232
Asset-backed securities	—		—		—		—		—		—		—		—		7,516		1.38		7,516
Total	$	25,961	1.35	%	$	2,643	1.17	%	$	2,644	1.83	%	$	33,011	0.56	%	$	36,748	1.81	%	$	101,007
Securities held-to-maturity:
One year or less	$	1,653	1.27	%	$	—	—	%	$	1	5.52	%	$	94	0.45	%	$	—	—	%	$	1,748
Over 1 through 5 years	5,978		0.95		862		0.68		1		5.72		848		0.70		—		—		7,689
Over 5 through 10 years	2,897		1.21		1,869		1.08		4		4.65		81		0.59		—		—		4,851
Over 10 years	—		—		148		1.88		8		4.80		—		—		—		—		156
Mortgage-backed securities	—		—		—		—		—		—		—		—		41,823		2.27		41,823
Total	$	10,528	1.07	%	$	2,879	1.00	%	$	14	4.89	%	$	1,023	0.66	%	$	41,823	2.27	%	$	56,267

(a) Yields are based upon the amortized cost of securities and do not reflect the impact of hedging.