XML 28 R11.htm IDEA: XBRL DOCUMENT v3.21.1
Securities
 3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Securities Securities
The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at March 31, 2021 and December 31, 2020.
Debt Securities
Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Fair
Value
(Dollars in millions)March 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency$52,395 $2,169 $(30)$54,534 
Agency-collateralized mortgage obligations4,618 132 (17)4,733 
Commercial16,013 840 (53)16,800 
Non-agency residential (1)
871 30 (43)858 
Total mortgage-backed securities73,897 3,171 (143)76,925 
U.S. Treasury and agency securities158,352 2,161 (492)160,021 
Non-U.S. securities14,767 7 (6)14,768 
Other taxable securities, substantially all asset-backed securities2,519 43 (4)2,558 
Total taxable securities249,535 5,382 (645)254,272 
Tax-exempt securities16,023 328 (10)16,341 
Total available-for-sale debt securities 265,558 5,710 (655)270,613 
Other debt securities carried at fair value (2)
10,322 143 (166)10,299 
Total debt securities carried at fair value275,880 5,853 (821)280,912 
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities576,031 6,895 (13,668)569,258 
Total debt securities (3,4)
$851,911 $12,748 $(14,489)$850,170 
December 31, 2020
Available-for-sale debt securities
Mortgage-backed securities:
Agency$59,518 $2,370 $(39)$61,849 
Agency-collateralized mortgage obligations5,112 161 (13)5,260 
Commercial15,470 1,025 (4)16,491 
Non-agency residential (1)
899 127 (17)1,009 
Total mortgage-backed securities80,999 3,683 (73)84,609 
U.S. Treasury and agency securities114,157 2,236 (13)116,380 
Non-U.S. securities14,009 15 (7)14,017 
Other taxable securities, substantially all asset-backed securities2,656 61 (6)2,711 
Total taxable securities211,821 5,995 (99)217,717 
Tax-exempt securities16,417 389 (32)16,774 
Total available-for-sale debt securities228,238 6,384 (131)234,491 
Other debt securities carried at fair value (2)
11,720 429 (39)12,110 
Total debt securities carried at fair value239,958 6,813 (170)246,601 
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities438,279 10,095 (194)448,180 
Total debt securities (3, 4)
$678,237 $16,908 $(364)$694,781 
(1)At March 31, 2021 and December 31, 2020, the underlying collateral type included approximately 37 percent prime as of both dates, one percent and two percent Alt-A and 62 percent and 61 percent subprime.
(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 14 – Fair Value Measurements.
(3)Includes securities pledged as collateral of $78.0 billion and $65.5 billion at March 31, 2021 and December 31, 2020.
(4)The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $312.6 billion and $164.2 billion, and a fair value of $312.1 billion and $162.1 billion at March 31, 2021, and an amortized cost of $260.1 billion and $118.1 billion, and a fair value of $267.5 billion and $120.7 billion at December 31, 2020.

At March 31, 2021, the accumulated net unrealized gain on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $3.8 billion, net of the related income tax expense of $1.3 billion. The Corporation had nonperforming AFS debt securities of $20 million at both March 31, 2021 and December 31, 2020.
At March 31, 2021 and December 31, 2020, the Corporation had $236.1 billion and $200.0 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For the remaining $34.5 billion in AFS debt securities at both March 31, 2021 and December 31, 2020, the amount of expected credit
losses was insignificant. Substantially all of the Corporation's HTM debt securities are U.S. agency MBS and have a zero credit loss assumption.
At March 31, 2021 and December 31, 2020, the Corporation held equity securities at an aggregate fair value of $758 million and $769 million and other equity securities, as valued under the measurement alternative, at a carrying value of $255 million and $240 million, both of which are included in other assets. At both March 31, 2021 and December 31, 2020, the Corporation also held money market investments at a fair value of $1.6 billion, which are included in time deposits placed and other short-term investments.
During the three months ended March 31, 2021, the Corporation recorded gross realized gains on the sales of AFS debt securities of $15 million and gross realized losses of $15 million. For the same period in 2020, the Corporation recorded gross realized gains of $316 million and gross realized losses of $1 million, resulting in a net gain of $315 million, with $79 million of income taxes attributable to the realized net gains on sales of these AFS debt securities.
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at March 31, 2021 and December 31, 2020.
Total AFS Debt Securities in a Continuous Unrealized Loss Position
Less than Twelve MonthsTwelve Months or LongerTotal
Fair
Value		Gross Unrealized LossesFair
Value		Gross Unrealized LossesFair
Value		Gross Unrealized Losses
(Dollars in millions)March 31, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:   
Agency$2,111 $(30)$— $— $2,111 $(30)
Agency-collateralized mortgage obligations1,864 (10)316 (7)2,180 (17)
Commercial1,177 (53)2 — 1,179 (53)
Non-agency residential540 (28)175 (15)715 (43)
Total mortgage-backed securities5,692 (121)493 (22)6,185 (143)
U.S. Treasury and agency securities39,989 (488)689 (4)40,678 (492)
Non-U.S. securities66 (1)625 (5)691 (6)
Other taxable securities, substantially all asset-backed securities253 (2)203 (2)456 (4)
Total taxable securities46,000 (612)2,010 (33)48,010 (645)
Tax-exempt securities— — 208 (10)208 (10)
Total AFS debt securities in a continuous
   unrealized loss position		$46,000 $(612)$2,218 $(43)$48,218 $(655)
December 31, 2020
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency$2,841 $(39)$2 $— $2,843 $(39)
Agency-collateralized mortgage obligations187 (2)364 (11)551 (13)
Commercial566 (4)9 — 575 (4)
Non-agency residential342 (9)56 (8)398 (17)
Total mortgage-backed securities3,936 (54)431 (19)4,367 (73)
U.S. Treasury and agency securities8,282 (9)498 (4)8,780 (13)
Non-U.S. securities1,861 (6)135 (1)1,996 (7)
Other taxable securities, substantially all asset-backed securities576 (2)396 (4)972 (6)
Total taxable securities14,655 (71)1,460 (28)16,115 (99)
Tax-exempt securities4,108 (29)617 (3)4,725 (32)
Total AFS debt securities in a continuous
   unrealized loss position		$18,763 $(100)$2,077 $(31)$20,840 $(131)
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at March 31, 2021 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the MBS or other asset backed securities (ABS) are passed through to the Corporation.
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities
Due in One
Year or Less		Due after One Year
through Five Years		Due after Five Years
through Ten Years		Due after
Ten Years		Total
(Dollars in millions)Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amortized cost of debt securities carried at fair value          
Mortgage-backed securities:          
Agency$— — %$6 5.14 %$54 4.46 %$52,335 3.36 %$52,395 3.36 %
Agency-collateralized mortgage obligations— — — — 23 2.48 4,595 2.93 4,618 2.93 
Commercial26 3.12 7,859 2.51 6,984 2.18 1,157 2.53 16,026 2.37 
Non-agency residential— — — — — — 1,573 6.55 1,573 6.55 
Total mortgage-backed securities26 3.12 7,865 2.51 7,061 2.20 59,660 3.39 74,612 3.18 
U.S. Treasury and agency securities6,886 1.19 28,191 1.88 123,796 0.79 32 2.54 158,905 1.00 
Non-U.S. securities22,288 0.34 1,365 1.51 1 3.56 167 5.29 23,821 0.44 
Other taxable securities, substantially all asset-backed securities
990 1.19 903 2.98 370 2.20 256 1.66 2,519 2.03 
Total taxable securities30,190 0.56 38,324 2.03 131,228 0.87 60,115 3.39 259,857 1.60 
Tax-exempt securities1,302 0.92 8,131 1.28 4,038 1.73 2,552 1.32 16,023 1.37 
Total amortized cost of debt securities carried at fair value
$31,492 0.57 $46,455 1.89 $135,266 0.90 $62,667 3.31 $275,880 1.57 
Amortized cost of HTM debt securities (2)
$49 2.02 $625 2.42 $61,566 1.27 $513,791 2.23 $576,031 2.13 
Debt securities carried at fair value          
Mortgage-backed securities:          
Agency$—  $6  $58  $54,470  $54,534  
Agency-collateralized mortgage obligations—  —  24  4,709  4,733  
Commercial27  8,294  7,300  1,192  16,813  
Non-agency residential—  —  6  1,605  1,611  
Total mortgage-backed securities27 8,300 7,388 61,976 77,691 
U.S. Treasury and agency securities6,918 29,464 124,159 33 160,574 
Non-U.S. securities22,209  1,373  1  162  23,745  
Other taxable securities, substantially all asset-backed securities
992  937  375  257  2,561  
Total taxable securities30,146  40,074  131,923  62,428  264,571  
Tax-exempt securities1,306  8,252  4,191  2,592  16,341  
Total debt securities carried at fair value$31,452  $48,326  $136,114  $65,020  $280,912  
Fair value of HTM debt securities (2)
$49 $656 $58,043 $510,510 $569,258 
(1)The weighted-average yield is computed based on a constant effective interest rate over the contractual life of each security. The average yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.
(2)Substantially all U.S. agency MBS.