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Debt Securities
9 Months Ended
Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Investment Securities DEBT SECURITIES
All of our debt securities are classified as available-for-sale and are held to meet our liquidity objectives or to comply with the Community Reinvestment Act (“CRA”). Our debt securities consist of the following:
September 30, 2021December 31, 2020
GrossGrossGrossGross
AmortizedunrealizedunrealizedEstimatedAmortizedunrealizedunrealizedEstimated
 ($ in millions)costgainslossesfair valuecostgainslossesfair value
U.S. government and federal agency$2,523 $$(1)$2,523 $3,926 $$— $3,927 
State and municipal35 — (2)33 40 — (1)39 
Residential mortgage-backed(a)
649 17 (2)664 817 25 — 842 
Asset-backed(b)
2,206 — 2,210 2,652 — 2,661 
Other13 — 14 — — — — 
Total$5,426 $23 $(5)$5,444 $7,435 $35 $(1)$7,469 
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(a)    All of our residential mortgage-backed securities have been issued by government-sponsored entities and are collateralized by U.S. mortgages. At September 30, 2021 and December 31, 2020, $162 million and $229 million of residential mortgage-backed securities, respectively, are pledged by the Bank as collateral to the Federal Reserve to secure Federal Reserve Discount Window advances.
(b)    Our asset-backed securities are collateralized by credit card and auto loans.
The following table presents the estimated fair values and gross unrealized losses of our available-for-sale debt securities:
In loss position for
Less than 12 months12 months or more
GrossGross
EstimatedunrealizedEstimatedunrealized
 ($ in millions)fair valuelossesfair valuelosses
At September 30, 2021
U.S. government and federal agency$209 $(1)$— $— 
State and municipal— 20 (2)
Residential mortgage-backed133 (2)— 
Asset-backed365 — — — 
Other— — — — 
Total$708 $(3)$21 $(2)
At December 31, 2020
U.S. government and federal agency$— $— $— $— 
State and municipal— 21 (1)
Residential mortgage-backed— — — 
Asset-backed242 — — — 
Total$251 $— $21 $(1)
We regularly review debt securities for impairment resulting from credit loss using both qualitative and quantitative criteria, as necessary based on the composition of the portfolio at period end. Based on our assessment, no material impairments for credit losses were recognized during the period.
We presently do not intend to sell our debt securities that are in an unrealized loss position and believe that it is not more likely than not that we will be required to sell these securities before recovery of our amortized cost.
Contractual Maturities of Investments in Available-for-Sale Debt Securities
AmortizedEstimated Weighted
At September 30, 2021 ($ in millions)costfair value
Average yield (a)
Due
Within one year$3,479 $3,481 0.3 %
After one year through five years$1,269 $1,271 0.4 %
After five years through ten years$297 $306 2.0 %
After ten years$381 $386 1.7 %
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(a)Weighted average yield is calculated based on the amortized cost of each security. In calculating yield, no adjustment has been made with respect to any tax-exempt obligations.
We expect actual maturities to differ from contractual maturities because borrowers have the right to prepay certain obligations.
There were no material realized gains or losses recognized for the nine months ended September 30, 2021 and 2020.
Although we generally do not have the intent to sell any specific securities held at September 30, 2021, in the ordinary course of managing our debt securities portfolio, we may sell securities prior to their maturities for a variety of reasons, including diversification, credit quality, yield, liquidity requirements and funding obligations.