AFS and HTM Debt Securities (Tables)
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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. |
|