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AFS and HTM Debt Securities (Tables)
 3 Months Ended
Mar. 31, 2019
AFS and HTM Debt Securities [Abstract]  
AFS and HTM Debt Securities, Amortized Cost and Fair Value, by Category

Table 5.1 provides the amortized cost and fair value by major categories of available-for-sale debt securities, which are carried at fair value, and held-to-maturity debt securities, which are carried at amortized cost. The net unrealized gains (losses) for available-for-sale debt securities are reported on an after-tax basis as a component of cumulative OCI. Information on debt securities held for trading is included in Note 4 (Trading Activities) to Financial Statements in this Report.
Table 5.1: Amortized Cost and Fair Value
(in millions)
Amortized Cost

 
Gross
unrealized
gains

 
Gross
unrealized
losses

 
Fair
value

March 31, 2019
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
15,168

 
4

 
(66
)
 
15,106

Securities of U.S. states and political subdivisions (1)
48,566

 
1,194

 
(60
)
 
49,700

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
151,182

 
749

 
(1,268
)
 
150,663

Residential
1,432

 
24

 
—

 
1,456

Commercial
4,332

 
50

 
(10
)
 
4,372

Total mortgage-backed securities
156,946

 
823

 
(1,278
)
 
156,491

Corporate debt securities
6,188

 
204

 
(38
)
 
6,354

Collateralized loan and other debt obligations (2) 
35,304

 
169

 
(158
)
 
35,315

Other (3)
5,074

 
73

 
(14
)
 
5,133

Total available-for-sale debt securities
267,246

 
2,467

 
(1,614
)
 
268,099

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
44,758

 
85

 
(150
)
 
44,693

Securities of U.S. states and political subdivisions
6,163

 
102

 
(15
)
 
6,250

Federal agency and other mortgage-backed securities (4)
94,009

 
419

 
(732
)
 
93,696

Collateralized loan obligations
60

 
—

 
—

 
60

Total held-to-maturity debt securities
144,990

 
606

 
(897
)
 
144,699

Total
$
412,236

 
3,073

 
(2,511
)
 
412,798

December 31, 2018
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
13,451

 
3

 
(106
)
 
13,348

Securities of U.S. states and political subdivisions (1)
48,994

 
716

 
(446
)
 
49,264

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
155,974

 
369

 
(3,140
)
 
153,203

Residential
2,638

 
142

 
(5
)
 
2,775

Commercial
4,207

 
40

 
(22
)
 
4,225

Total mortgage-backed securities
162,819

 
551

 
(3,167
)
 
160,203

Corporate debt securities
6,230

 
131

 
(90
)
 
6,271

Collateralized loan and other debt obligations (2)
35,581

 
158

 
(396
)
 
35,343

Other (3)
5,396

 
100

 
(13
)
 
5,483

Total available-for-sale debt securities
272,471

 
1,659

 
(4,218
)
 
269,912

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
44,751

 
4

 
(415
)
 
44,340

Securities of U.S. states and political subdivisions
6,286

 
30

 
(116
)
 
6,200

Federal agency and other mortgage-backed securities (4)
93,685

 
112

 
(2,288
)
 
91,509

Collateralized loan obligations
66

 
—

 
—

 
66

Total held-to-maturity debt securities
144,788

 
146

 
(2,819
)
 
142,115

Total
$
417,259

 
1,805

 
(7,037
)
 
412,027

(1)
Includes investments in tax-exempt preferred debt securities issued by investment funds or trusts that predominantly invest in tax-exempt municipal securities. The cost basis and fair value of these types of securities was $5.6 billion each at March 31, 2019, and $6.3 billion each at December 31, 2018.
(2)
Includes collateralized debt obligations (CDOs) with a cost basis and fair value of $621 million and $755 million, respectively, at March 31, 2019, and $662 million and $800 million, respectively, at December 31, 2018.
(3)
Primarily includes asset-backed securities collateralized by student loans.
(4)
Predominantly consists of federal agency mortgage-backed securities at both March 31, 2019 and December 31, 2018.
AFS and HTM Debt Securities, Gross Unrealized Losses and Fair Value, Over and Under 12 Months
Table 5.2 shows the gross unrealized losses and fair value of available-for-sale and held-to-maturity debt securities by length of time those individual securities in each category have been in a continuous loss position. Debt securities on which we have taken credit-related other-than-temporary impairment (OTTI) write-downs are categorized as being “less than 12 months” or “12 months or more” in a continuous loss position based on the point in time that the fair value declined to below the cost basis and not the period of time since the credit-related OTTI write-down.
Table 5.2: Gross Unrealized Losses and Fair Value
 
Less than 12 months
 
 
12 months or more
 
 
Total
 
(in millions)
Gross
unrealized
losses

 
Fair
value

 
Gross
unrealized
losses

 
Fair
value

 
Gross
unrealized
losses

 
Fair
value

March 31, 2019
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
—

 
—

 
(66
)
 
6,220

 
(66
)
 
6,220

Securities of U.S. states and political subdivisions
(13
)
 
4,027

 
(47
)
 
3,612

 
(60
)
 
7,639

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 

Federal agencies
(5
)
 
1,392

 
(1,263
)
 
95,706

 
(1,268
)
 
97,098

Residential
—

 
—

 
—

 
—

 
—

 
—

Commercial
(7
)
 
1,542

 
(3
)
 
105

 
(10
)
 
1,647

Total mortgage-backed securities
(12
)
 
2,934

 
(1,266
)
 
95,811

 
(1,278
)
 
98,745

Corporate debt securities
(17
)
 
736

 
(21
)
 
373

 
(38
)
 
1,109

Collateralized loan and other debt obligations
(131
)
 
19,572

 
(27
)
 
2,513

 
(158
)
 
22,085

Other
(7
)
 
1,034

 
(7
)
 
278

 
(14
)
 
1,312

Total available-for-sale debt securities
(180
)
 
28,303

 
(1,434
)
 
108,807

 
(1,614
)
 
137,110

Held-to-maturity debt securities:
 
 
 
 
 
 
 
 

 

Securities of U.S. Treasury and federal agencies
—

 
—

 
(150
)
 
30,379

 
(150
)
 
30,379

Securities of U.S. states and political subdivisions
—

 
—

 
(15
)
 
1,663

 
(15
)
 
1,663

Federal agency and other mortgage-backed securities
—

 
—

 
(732
)
 
64,315

 
(732
)
 
64,315

Collateralized loan obligations
—

 
—

 
—

 
—

 
—

 
—

Total held-to-maturity debt securities
—

 
—

 
(897
)
 
96,357

 
(897
)
 
96,357

Total
$
(180
)
 
28,303

 
(2,331
)
 
205,164

 
(2,511
)
 
233,467

December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(1
)
 
498

 
(105
)
 
6,204

 
(106
)
 
6,702

Securities of U.S. states and political subdivisions
(73
)
 
9,746

 
(373
)
 
9,017

 
(446
)
 
18,763

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
(42
)
 
10,979

 
(3,098
)
 
112,252

 
(3,140
)
 
123,231

Residential
(3
)
 
398

 
(2
)
 
69

 
(5
)
 
467

Commercial
(20
)
 
1,972

 
(2
)
 
79

 
(22
)
 
2,051

Total mortgage-backed securities
(65
)
 
13,349

 
(3,102
)
 
112,400

 
(3,167
)
 
125,749

Corporate debt securities
(64
)
 
1,965

 
(26
)
 
298

 
(90
)
 
2,263

Collateralized loan and other debt obligations
(388
)
 
28,306

 
(8
)
 
553

 
(396
)
 
28,859

Other
(7
)
 
819

 
(6
)
 
159

 
(13
)
 
978

Total available-for-sale debt securities
(598
)
 
54,683

 
(3,620
)
 
128,631

 
(4,218
)
 
183,314

Held-to-maturity debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(3
)
 
895

 
(412
)
 
41,083

 
(415
)
 
41,978

Securities of U.S. states and political subdivisions
(4
)
 
598

 
(112
)
 
3,992

 
(116
)
 
4,590

Federal agency and other mortgage-backed securities
(5
)
 
4,635

 
(2,283
)
 
77,741

 
(2,288
)
 
82,376

Collateralized loan obligations
—

 
—

 
—

 
—

 
—

 
—

Total held-to-maturity debt securities
(12
)
 
6,128

 
(2,807
)
 
122,816

 
(2,819
)
 
128,944

Total
$
(610
)
 
60,811

 
(6,427
)
 
251,447

 
(7,037
)
 
312,258
AFS and HTM Debt Securities, Gross Unrealized Losses and Fair Value, by Investment Grade
Table 5.3 shows the gross unrealized losses and fair value of the available-for-sale and held-to-maturity debt securities by those rated investment grade and those rated less than investment grade, according to their lowest credit rating by Standard & Poor’s Rating Services (S&P) or Moody’s Investors Service (Moody’s). Credit ratings express opinions about the credit quality of a debt security. Debt securities rated investment grade, that is those rated BBB- or higher by S&P or Baa3 or higher by Moody’s, are generally considered by the rating agencies and market participants to be low credit risk. Conversely, debt securities rated below investment grade, labeled as “speculative grade” by the rating agencies, are considered to be distinctively higher credit risk than investment grade debt securities. We have also included debt securities not rated by S&P or Moody’s in the table below based on our internal credit grade of the debt securities (used for credit risk management purposes) equivalent to the credit rating assigned by major credit agencies. The unrealized losses and fair value of unrated debt securities categorized as investment grade based on internal credit grades were $11 million and $4.0 billion, respectively, at March 31, 2019, and $20 million and $5.2 billion, respectively, at December 31, 2018. If an internal credit grade was not assigned, we categorized the debt security as non-investment grade. 
Table 5.3: Gross Unrealized Losses and Fair Value by Investment Grade
 
Investment grade
 
 
Non-investment grade
 
(in millions)
Gross
unrealized
losses

 
Fair
value

 
Gross
unrealized
losses

 
Fair
value

March 31, 2019
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(66
)
 
6,220

 
—

 
—

Securities of U.S. states and political subdivisions
(48
)
 
7,412

 
(12
)
 
227

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
(1,268
)
 
97,098

 
—

 
—

Residential
—

 
—

 
—

 
—

Commercial
(8
)
 
1,636

 
(2
)
 
11

Total mortgage-backed securities
(1,276
)
 
98,734

 
(2
)
 
11

Corporate debt securities
(8
)
 
455

 
(30
)
 
654

Collateralized loan and other debt obligations
(158
)
 
22,085

 
—

 
—

Other
(8
)
 
1,039

 
(6
)
 
273

Total available-for-sale debt securities
(1,564
)
 
135,945

 
(50
)
 
1,165

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(150
)
 
30,379

 
—

 
—

  Securities of U.S. states and political subdivisions
(15
)
 
1,663

 
—

 
—

Federal agency and other mortgage-backed securities
(731
)
 
64,185

 
(1
)
 
130

Collateralized loan obligations
—

 
—

 
—

 
—

Total held-to-maturity debt securities
(896
)
 
96,227

 
(1
)
 
130

Total
$
(2,460
)
 
232,172

 
(51
)
 
1,295

December 31, 2018
 
 

 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(106
)
 
6,702

 
—

 
—

Securities of U.S. states and political subdivisions
(425
)
 
18,447

 
(21
)
 
316

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
(3,140
)
 
123,231

 
—

 
—

Residential
(2
)
 
295

 
(3
)
 
172

Commercial
(20
)
 
1,999

 
(2
)
 
52

Total mortgage-backed securities
(3,162
)
 
125,525

 
(5
)
 
224

Corporate debt securities
(17
)
 
791

 
(73
)
 
1,472

Collateralized loan and other debt obligations
(396
)
 
28,859

 
—

 
—

Other
(7
)
 
726

 
(6
)
 
252

Total available-for-sale debt securities
(4,113
)
 
181,050

 
(105
)
 
2,264

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(415
)
 
41,978

 
—

 
—

Securities of U.S. states and political subdivisions
(116
)
 
4,590

 
—

 
—

Federal agency and other mortgage-backed securities
(2,278
)
 
81,977

 
(10
)
 
399

Collateralized loan obligations
—

 
—

 
—

 
—

Total held-to-maturity debt securities
(2,809
)
 
128,545

 
(10
)
 
399

Total
$
(6,922
)
 
309,595

 
(115
)
 
2,663
AFS and HTM Debt Securities Contractual Maturities
Table 5.4 shows the fair value and contractual weighted-average yields (taxable-equivalent basis) of available-for-sale debt securities by contractual maturity. The remaining contractual principal maturities for mortgage-backed securities (MBS) do not consider prepayments. Remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature. 
Table 5.4: Available-for Sale Debt Securities - Fair Value by Contractual Maturity
 
 
 
Remaining contractual maturity
 
 
Total

 
 
 
Within one year
 
 
After one year
through five years
 
 
After five years
through ten years
 
 
After ten years
 
(in millions)
amount

 
Yield

 
Amount

 
Yield

 
Amount

 
Yield

 
Amount

 
Yield

 
Amount

 
Yield

March 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale debt securities (1): 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
15,106

 
1.93
%
 
$
2,154

 
1.63
%
 
$
12,903

 
1.98
%
 
$
49

 
1.89
%
 
$
—

 
—
%
Securities of U.S. states and political subdivisions
49,700

 
4.81

 
3,665

 
2.81

 
5,986

 
3.39

 
4,274

 
3.47

 
35,775

 
5.41

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
150,663

 
3.43

 
—

 
—

 
152

 
3.50

 
1,819

 
2.57

 
148,692

 
3.44

Residential
1,456

 
2.97

 
—

 
—

 
1

 
5.17

 
—

 
—

 
1,455

 
2.96

Commercial
4,372

 
3.72

 
—

 
—

 
—

 
—

 
341

 
3.60

 
4,031

 
3.73

Total mortgage-backed securities
156,491

 
3.44

 
—

 
—

 
153

 
3.51

 
2,160

 
2.73

 
154,178

 
3.45

Corporate debt securities
6,354

 
5.09

 
430

 
5.78

 
2,509

 
5.25

 
2,795

 
4.70

 
620

 
5.67

Collateralized loan and other debt obligations
35,315

 
4.15

 
—

 
—

 
18

 
4.80

 
10,889

 
4.24

 
24,408

 
4.11

Other
5,133

 
3.17

 
8

 
5.82

 
751

 
4.04

 
1,482

 
2.08

 
2,892

 
3.50

Total available-for-sale debt securities at fair value
$
268,099

 
3.73
%
 
$
6,257

 
2.61
%
 
$
22,320

 
2.81
%
 
$
21,649

 
3.85
%
 
$
217,873

 
3.85
%
(1)
Weighted-average yields displayed by maturity bucket are weighted based on fair value and predominantly represent contractual coupon rates without effect for any related hedging derivatives.
Table 5.5 shows the amortized cost and weighted-average yields of held-to-maturity debt securities by contractual maturity.
Table 5.5: Held-to-Maturity Debt Securities - Amortized Cost by Contractual Maturity
 
 
 
Remaining contractual maturity
 
 
Total

 
 
 
Within one year
 
 
After one year
through five years
 
 
After five years
through ten years
 
 
After ten years
 
(in millions)
amount

 
Yield

 
Amount

 
Yield

 
Amount

 
Yield

 
Amount

 
Yield

 
Amount

 
Yield

March 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Held-to-maturity debt securities (1): 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
44,758

 
2.12
%
 
$
—

 
—
%
 
$
32,362

 
2.04
%
 
$
12,396

 
2.32
%
 
$
—

 
—
%
Securities of U.S. states and political subdivisions
6,163

 
4.92

 
—

 
—

 
70

 
6.03

 
1,366

 
4.92

 
4,727

 
4.90

Federal agency and other mortgage-backed securities
94,009

 
3.11

 
—

 
—

 
15

 
3.82

 
—

 
—

 
93,994

 
3.11

Collateralized loan obligations
60

 
3.97

 
—

 
—

 
—

 
—

 
60

 
3.97

 
—

 
—

Total held-to-maturity debt securities at amortized cost
$
144,990

 
2.88
%
 
$
—

 
—
%
 
$
32,447

 
2.05
%
 
$
13,822

 
2.58
%
 
$
98,721

 
3.19
%
(1)
Weighted-average yields displayed by maturity bucket are weighted based on amortized cost and predominantly represent contractual coupon rates.

Table 5.6 shows the fair value of held-to-maturity debt securities by contractual maturity.

Table 5.6: Held-to-Maturity Debt Securities - Fair Value by Contractual Maturity
 
 
 
Remaining contractual maturity
 
 
Total

 
Within one year

 
After one year
through five years

 
After five years
through ten years

 
After ten years

(in millions)
amount

 
Amount

 
Amount

 
Amount

 
Amount

March 31, 2019
 
 
 
 
 
 
 
 
 
Held-to-maturity debt securities:
 
 
 
 
 
 
 
 
 
Fair value:
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
44,693

 
—

 
32,245

 
12,448

 
—

Securities of U.S. states and political subdivisions
6,250

 
—

 
70

 
1,403

 
4,777

Federal agency and other mortgage-backed securities
93,696

 
—

 
15

 
—

 
93,681

Collateralized loan obligations
60

 
—

 
—

 
60

 
—

Total held-to-maturity debt securities at fair value
$
144,699

 
—

 
32,330

 
13,911

 
98,458
AFS and HTM Debt Securities, Realized Gains and Losses
Table 5.7 shows the gross realized gains and losses on sales and OTTI write-downs related to available-for-sale debt securities.
Table 5.7: Realized Gains and Losses
 
Quarter ended March 31,
 
(in millions)
2019

 
2018

Gross realized gains
$
173

 
21

Gross realized losses
(3
)
 
(10
)
OTTI write-downs
(45
)
 
(10
)
Net realized gains from available-for-sale debt securities
$
125

 
1
AFS and HTM Debt Securities, Other Than Temporary Impairment
Table 5.8 shows the detail of total OTTI write-downs included in earnings for available-for-sale debt securities. There were no OTTI write-downs on held-to-maturity debt securities during first quarter 2019 and 2018.
Table 5.8: Detail of OTTI Write-downs
 
Quarter ended March 31,
 
(in millions)
2019

 
2018

Debt securities OTTI write-downs included in earnings:
 
 
 
Securities of U.S. states and political subdivisions
$
29

 
2

Mortgage-backed securities:
 
 
 
Residential
—

 
1

Commercial
14

 
7

Corporate debt securities
2

 
—

Total debt securities OTTI write-downs included in earnings
$
45

 
10
AFS and HTM Debt Securities Other Than Temporary Impairment Included in Earnings
Table 5.9 shows the detail of OTTI write-downs on available-for-sale debt securities included in earnings and the related changes in OCI for the same securities.
Table 5.9: OTTI Write-downs Included in Earnings and the Related Changes in OCI
 
Quarter ended March 31,
 
(in millions)
2019

 
2018

OTTI on debt securities
 
 
 
Recorded as part of gross realized losses:
 
 
 
Credit-related OTTI
$
16

 
9

Intent-to-sell OTTI
29

 
1

Total recorded as part of gross realized losses
45

 
10

Changes to OCI for losses (reversal of losses) in non-credit-related OTTI (1):
 
 
 
Securities of U.S. states and political subdivisions
—

 
(2
)
Residential mortgage-backed securities
(1
)
 
(1
)
Commercial mortgage-backed securities
1

 
10

Total changes to OCI for non-credit-related OTTI
—

 
7

Total OTTI losses recorded on debt securities
$
45

 
17

(1)
Represents amounts recorded to OCI for impairment of debt securities, due to factors other than credit, that have also had credit-related OTTI write-downs during the period. Increases represent initial or subsequent non-credit-related OTTI on debt securities. Decreases represent partial to full reversal of impairment due to recoveries in the fair value of debt securities due to non-credit factors.
Rollforward of Credit Loss Component Of Credit-Impaired AFS and HTM Debt Securities
Table 5.10 presents a rollforward of the OTTI credit loss that has been recognized in earnings as a write-down of available-for-sale debt securities we still own (referred to as “credit-impaired” debt securities) and do not intend to sell. Recognized credit loss represents the difference between the present value of expected future cash flows discounted using the security’s current effective interest rate and the amortized cost basis of the security prior to considering credit loss.
Table 5.10: Rollforward of OTTI Credit Loss
 
Quarter ended March 31,
 
(in millions)
2019

 
2018

Credit loss recognized, beginning of period
$
562

 
742

Additions:
 
 
 
For securities with initial credit impairments
2

 
—

For securities with previous credit impairments
14

 
9

Total additions
16

 
9

Reductions:
 
 
 
For securities sold, matured, or intended/required to be sold
(346
)
 
(101
)
For recoveries of previous credit impairments (1)
—

 
(1
)
Total reductions
(346
)
 
(102
)
Credit loss recognized, end of period
$
232

 
649

(1)
Recoveries of previous credit impairments result from increases in expected cash flows subsequent to credit loss recognition. Such recoveries are reflected prospectively as interest yield adjustments using the effective interest method.