Securities (Tables)

6 Months Ended

Jun. 30, 2022

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, 2022 and Dec. 31, 2021.


Securities at June 30, 2022			Gross unrealized				Fair value
	Amortized cost
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	32,360	$	114	$	2,007	$	30,467
Sovereign debt/sovereign guaranteed	11,429		6		343		11,092
Agency residential mortgage-backed securities (“RMBS”)	8,501		130		328		8,303
Agency commercial mortgage-backed securities (“MBS”)	8,479		110		410		8,179
Supranational	7,806		6		264		7,548
Foreign covered bonds	6,010		3		185		5,828
Collateralized loan obligations (“CLOs”)	5,247		1		151		5,097
Non-agency commercial MBS	3,270		—		267		3,003
Foreign government agencies	2,620		—		84		2,536
Non-agency RMBS	2,413		57		159		2,311
State and political subdivisions	2,262		2		241		2,023
U.S. government agencies	2,003		58		136		1,925
Other asset-backed securities (“ABS”)	1,771		—		103		1,668
Corporate bonds	1,455		—		158		1,297
Other debt securities	1		—		—		1
Total securities available-for-sale (a)(b)	$	95,627	$	487	$	4,836	$	91,278
Held-to-maturity:
Agency RMBS	$	36,947	$	12	$	3,019	$	33,940
U.S. Treasury	11,347		—		685		10,662
Agency commercial MBS	4,319		2		298		4,023
U.S. government agencies	4,061		—		380		3,681
Sovereign debt/sovereign guaranteed	1,472		2		28		1,446
CLOs	983		—		34		949

Supranational	325		—		10		315
Foreign government agencies	64		—		1		63
Non-agency RMBS	34		2		1		35
State and political subdivisions	14		—		1		13
Total securities held-to-maturity (a)	$	59,566	$	18	$	4,457	$	55,127
Total securities	$	155,193	$	505	$	9,293	$	146,405

(a) The amortized cost of available-for-sale and held-to-maturity securities are net of the allowance for credit loss of $9 million and $1 million, respectively. The allowance for credit loss related to available-for-sale securities primarily relates to CLOs.

(b) Includes gross unrealized gains of $407 million and gross unrealized losses of $200 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains primarily relate to agency RMBS, U.S. Treasury securities and agency commercial MBS. The unrealized losses primarily relate to agency RMBS and U.S. Treasury securities. The unrealized gains and losses will be amortized into net interest revenue over the contractual lives of the securities.


Securities at Dec. 31, 2021			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	28,966	$	771	$	328	$	29,409
Agency RMBS	14,333		270		73		14,530
Sovereign debt/sovereign guaranteed	13,367		79		67		13,379
Agency commercial MBS	8,102		345		42		8,405
Supranational	7,599		24		50		7,573
Foreign covered bonds	6,236		25		23		6,238
CLOs	4,441		3		5		4,439
Non-agency commercial MBS	3,083		65		23		3,125
Non-agency RMBS	2,641		132		25		2,748
Foreign government agencies	2,694		9		17		2,686
U.S. government agencies	2,464		99		27		2,536
State and political subdivisions	2,543		11		40		2,514
Other ABS	2,205		7		22		2,190
Corporate bonds	2,099		19		52		2,066
Other debt securities	1		—		—		1
Total securities available-for-sale (a)(b)	$	100,774	$	1,859	$	794	$	101,839
Held-to-maturity:
Agency RMBS	$	36,167	$	428	$	388	$	36,207
U.S. Treasury	11,617		36		103		11,550
Agency commercial MBS	4,068		41		52		4,057
U.S. government agencies	2,998		—		71		2,927
CLOs	983		—		1		982
Sovereign debt/sovereign guaranteed	922		18		2		938
Supranational	54		—		—		54
Non-agency RMBS	43		2		—		45
State and political subdivisions	14		1		—		15
Total securities held-to-maturity	$	56,866	$	526	$	617	$	56,775
Total securities	$	157,640	$	2,385	$	1,411	$	158,614

(a) 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.

(b) Includes gross unrealized gains of $455 million and gross unrealized losses of $75 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains primarily relate to U.S. Treasury securities, agency RMBS and agency commercial MBS. The unrealized losses primarily relate to U.S. Treasury securities and agency RMBS. The unrealized gains and losses 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)	2Q22		1Q22		2Q21		YTD22		YTD21
Realized gross gains	$	7	$	73	$	6	$	80	$	18
Realized gross losses	(7)		(69)		(4)		(76)		(16)

Total net securities gains	$	—	$	4	$	2	$	4	$	2

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)	2Q22		1Q22		2Q21		YTD22		YTD21
Non-agency RMBS	$	—	$	49	$	—	$	49	$	2
U.S. Treasury	1		11		—		12		(4)
State and political subdivisions	—		(13)		—		(13)		—
Corporate bonds	(4)		(47)		—		(51)		—
Other	3		4		2		7		4
Total net securities gains	$	—	$	4	$	2	$	4	$	2

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 June 30, 2022	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
U.S. Treasury	$	26,959	$	1,593	$	3,198	$	414	$	30,157	$	2,007
Sovereign debt/sovereign guaranteed	8,200		221		1,409		122		9,609		343
Agency RMBS	7,709		305		297		23		8,006		328
Agency commercial MBS	6,511		353		805		57		7,316		410
Supranational	4,480		179		904		85		5,384		264
CLOs	4,748		135		313		12		5,061		147
Foreign covered bonds	4,307		151		481		34		4,788		185
Non-agency commercial MBS	2,565		205		438		62		3,003		267
Foreign government agencies	1,966		59		381		25		2,347		84
Non-agency RMBS	1,245		73		823		86		2,068		159
State and political subdivisions	1,306		173		461		68		1,767		241
U.S. government agencies	1,517		113		182		23		1,699		136
Other ABS	1,087		71		495		32		1,582		103
Corporate bonds	653		49		559		109		1,212		158

Total securities available-for-sale (a)	$	73,253	$	3,680	$	10,746	$	1,152	$	83,999	$	4,832

(a) Includes $134 million gross unrealized losses for less than 12 months and $66 million of gross unrealized losses 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 U.S. Treasury securities 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, 2021	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
U.S. Treasury	$	16,855	$	235	$	1,944	$	93	$	18,799	$	328
Sovereign debt/sovereign guaranteed	6,040		66		58		1		6,098		67
Agency RMBS	4,089		44		457		29		4,546		73
Supranational	3,093		44		305		6		3,398		50
Agency commercial MBS	2,233		39		585		3		2,818		42
Foreign covered bonds	2,694		23		—		—		2,694		23
CLOs	1,808		3		318		2		2,126		5
Non-agency RMBS	1,573		20		345		5		1,918		25
State and political subdivisions	1,848		40		13		—		1,861		40
U.S. government agencies	1,780		27		—		—		1,780		27
Other ABS	1,383		20		201		2		1,584		22
Foreign government agencies	1,446		17		15		—		1,461		17
Corporate bonds	1,247		42		198		10		1,445		52
Non-agency commercial MBS	947		16		222		7		1,169		23

Total securities available-for-sale (a)	$	47,036	$	636	$	4,661	$	158	$	51,697	$	794

(a) Includes $47 million of gross unrealized losses for less than 12 months and $28 million of gross unrealized losses 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.

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 June 30, 2022					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-				Not rated
Agency RMBS	$	36,947	$	(3,007)	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	11,347		(685)		100		—		—		—			—
Agency commercial MBS	4,319		(296)		100		—		—		—			—
U.S. government agencies	4,061		(380)		100		—		—		—			—
Sovereign debt/sovereign guaranteed (b)	1,472		(26)		100		—		—		—			—
CLOs	983		(34)		100		—		—		—			—
Supranational	325		(10)		100		—		—		—			—
Foreign government agencies	64		(1)		100		—		—		—			—
Non-agency RMBS	34		1		22		59		2		16			1
State and political subdivisions	14		(1)		3		2		3		—			92
Total held-to-maturity securities	$	59,566	$	(4,439)	100	%	—	%	—	%	—	%		—	%

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

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


Held-to-maturity securities portfolio at Dec. 31, 2021					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-				Not rated
Agency RMBS	$	36,167	$	40	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	11,617		(67)		100		—		—		—			—
Agency commercial MBS	4,068		(11)		100		—		—		—			—
U.S. government agencies	2,998		(71)		100		—		—		—			—
CLOs	983		(1)		100		—		—		—			—
Sovereign debt/sovereign guaranteed (b)	922		16		100		—		—		—			—
Supranational	54		—		100		—		—		—			—
Non-agency RMBS	43		2		23		59		2		15			1
State and political subdivisions	14		1		5		2		5		—			88


Total held-to-maturity securities	$	56,866	$	(91)	100	%	—	%	—	%	—	%		—	%

(a) Represents ratings by S&P or the equivalent.

(b) 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 June 30, 2022
	Within 1 year				1-5 years				5-10 years				After 10 years				Total
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)
Available-for-sale:
U.S. Treasury	$	3,978	1.84	%	$	15,195	1.05	%	$	9,052	1.15	%	$	2,242	2.92	%	$	30,467	1.32	%
Sovereign debt/sovereign guaranteed	3,750		1.27		6,242		0.79		1,020		0.38		80		1.78		11,092		0.91
Supranational	905		1.05		4,964		1.15		1,662		1.50		17		(0.09)		7,548		1.21
Foreign covered bonds	1,503		1.27		3,735		1.09		590		0.08		—		—		5,828		1.03
Foreign government agencies	583		0.91		1,918		0.99		35		0.16		—		—		2,536		0.96
State and political subdivisions	145		3.47		646		1.63		1,030		1.61		202		2.33		2,023		1.81
U.S. government agencies	—		—		579		2.19		1,160		2.22		186		2.52		1,925		2.24
Corporate bonds	114		2.30		357		2.59		804		1.61		22		2.01		1,297		1.92
Other debt securities	—		—		—		—		—		—		1		3.70		1		3.70
Mortgage-backed securities:
Agency RMBS																	8,303		2.14
Non-agency RMBS																	2,311		3.20
Agency commercial MBS																	8,179		2.31
Non-agency commercial MBS																	3,003		2.45
CLOs																	5,097		2.15
Other ABS																	1,668		1.72
Total securities available-for-sale	$	10,978	1.48	%	$	33,636	1.06	%	$	15,353	1.22	%	$	2,750	2.78	%	$	91,278	1.57	%
Held-to-maturity:
U.S. Treasury	$	1,590	1.91	%	$	7,800	1.26	%	$	1,957	1.16	%	$	—	—	%	$	11,347	1.33	%
U.S. government agencies	—		—		1,937		1.20		1,864		1.52		260		1.90		4,061		1.39
Sovereign debt/sovereign guaranteed	193		0.25		1,190		0.87		89		0.53		—		—		1,472		0.77
Supranational	—		—		325		0.70		—		—		—		—		325		0.70
Foreign government agencies	—		—		64		0.79		—		—		—		—		64		0.79
State and political subdivisions	1		5.51		1		5.76		4		4.65		8		4.80		14		4.84
Mortgage-backed securities:
Agency RMBS																	36,947		2.29
Non-agency RMBS																	34		1.80
Agency commercial MBS																	4,319		2.28
CLOs																	983		2.10
Total securities held-to-maturity	$	1,784	1.73	%	$	11,317	1.19	%	$	3,914	1.32	%	$	268	1.98	%	$	59,566	2.00	%
Total securities	$	12,762	1.52	%	$	44,953	1.09	%	$	19,267	1.24	%	$	3,018	2.72	%	$	150,844	1.73	%

(a) Yields are based upon the amortized cost of securities and consider the contractual coupon, amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.