XML 44 R34.htm IDEA: XBRL DOCUMENT v3.21.2
Securities (Tables)
 6 Months Ended
Jun. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Reconciliation of Amortized Cost to Fair Value of Securities Available for Sale The following tables provide the amortized cost and fair values at June 30, 2021 and December 31, 2020, and remaining maturities of AFS debt securities at June 30, 2021.
TABLE 39: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF AVAILABLE FOR SALE DEBT SECURITIES
JUNE 30, 2021
(In Millions)AMORTIZED COSTGROSS UNREALIZED GAINSGROSS UNREALIZED LOSSESFAIR VALUE
U.S. Government$2,519.3 $46.6 $6.9 $2,559.0 
Obligations of States and Political Subdivisions3,398.6 108.8 18.5 3,488.9 
Government Sponsored Agency17,558.7 151.8 64.7 17,645.8 
Non-U.S. Government628.5 0.3 5.0 623.8 
Corporate Debt2,405.7 59.1 1.9 2,462.9 
Covered Bonds528.1 7.3 — 535.4 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds3,023.5 47.8 12.8 3,058.5 
Other Asset-Backed5,248.6 31.3 1.8 5,278.1 
Commercial Mortgage-Backed1,153.6 58.6 0.6 1,211.6 
Total$36,464.6 $511.6 $112.2 $36,864.0 
DECEMBER 31, 2020
(In Millions)AMORTIZED COSTGROSS UNREALIZED GAINSGROSS UNREALIZED LOSSESFAIR VALUE
U.S. Government$2,728.8 $71.1 $— $2,799.9 
Obligations of States and Political Subdivisions2,927.8 155.9 0.1 3,083.6 
Government Sponsored Agency24,595.1 388.5 26.9 24,956.7 
Non-U.S. Government713.6 1.1 0.7 714.0 
Corporate Debt2,459.9 79.8 0.1 2,539.6 
Covered Bonds543.1 10.0 — 553.1 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds2,281.7 64.7 0.6 2,345.8 
Other Asset-Backed3,953.5 46.8 2.8 3,997.5 
Commercial Mortgage-Backed952.2 79.7 0.1 1,031.8 
Total$41,155.7 $897.6 $31.3 $42,022.0 
Remaining Maturity of Securities Available for Sale and Held to Maturity
TABLE 40: REMAINING MATURITY OF AVAILABLE FOR SALE DEBT SECURITIES
JUNE 30, 2021ONE YEAR OR LESSONE TO FIVE YEARSFIVE TO TEN YEARSOVER TEN YEARSTOTAL
(In Millions)AMORTIZED COSTFAIR VALUEAMORTIZED COSTFAIR VALUEAMORTIZED COSTFAIR VALUEAMORTIZED COSTFAIR VALUEAMORTIZED COSTFAIR VALUE
U.S. Government$100.0 $100.9 $1,872.2 $1,904.7 $547.1 $553.4 $— $— $2,519.3 $2,559.0 
Obligations of States and Political Subdivisions23.7 24.0 334.8 351.0 2,858.1 2,933.4 182.0 180.5 3,398.6 3,488.9 
Government Sponsored Agency2,601.7 2,621.0 5,641.0 5,677.2 8,047.7 8,071.1 1,268.3 1,276.5 17,558.7 17,645.8 
Non-U.S. Government340.7 340.8 126.8 126.2 161.0 156.8 — — 628.5 623.8 
Corporate Debt359.6 363.6 2,021.6 2,074.7 17.9 18.0 6.6 6.6 2,405.7 2,462.9 
Covered Bonds105.2 105.3 422.9 430.1 — — — — 528.1 535.4 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds520.6 522.8 2,013.9 2,052.8 489.0 482.9 — — 3,023.5 3,058.5 
Other Asset-Backed1,234.1 1,248.2 2,934.1 2,949.0 915.5 915.9 164.9 165.0 5,248.6 5,278.1 
Commercial Mortgage-Backed14.0 14.0 651.7 677.5 487.9 520.1 — — 1,153.6 1,211.6 
Total$5,299.6 $5,340.6 $16,019.0 $16,243.2 $13,524.2 $13,651.6 $1,621.8 $1,628.6 $36,464.6 $36,864.0 
Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.
TABLE 43: REMAINING MATURITY OF HELD TO MATURITY DEBT SECURITIES
JUNE 30, 2021ONE YEAR OR LESSONE TO FIVE YEARSFIVE TO TEN YEARSOVER TEN YEARSTOTAL
(In Millions)Amortized CostFair ValueAmortized CostFair ValueAmortized CostFair ValueAmortized CostFair ValueAmortized CostFair Value
U.S. Government$99.0 $99.0 $— $— $— $— $— $— $99.0 $99.0 
Obligations of States and Political Subdivisions1.0 1.0 — — — — — — 1.0 1.0 
Government Sponsored Agency1,432.3 1,428.6 2,362.3 2,355.3 1,845.3 1,843.4 859.3 855.6 6,499.2 6,482.9 
Non-U.S. Government3,015.7 2,979.0 620.7 625.3 165.8 167.2 — — 3,802.2 3,771.5 
Corporate Debt4.1 4.1 778.4 782.4 98.4 98.2 — — 880.9 884.7 
Covered Bonds1,050.8 1,055.3 1,465.2 1,476.2 417.1 416.0 — — 2,933.1 2,947.5 
Certificates of Deposit906.2 906.2 — — — — — — 906.2 906.2 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds1,051.6 1,058.1 3,039.9 3,058.0 1,241.6 1,226.7 — — 5,333.1 5,342.8 
Other Asset-Backed266.8 267.3 468.0 469.4 — — — — 734.8 736.7 
Other121.9 118.1 175.6 167.5 51.0 50.0 117.3 71.7 465.8 407.3 
Total$7,949.4 $7,916.7 $8,910.1 $8,934.1 $3,819.2 $3,801.5 $976.6 $927.3 $21,655.3 $21,579.6 
Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value The following table provides information regarding AFS debt securities with no credit losses reported that had been in a continuous unrealized loss position for less than twelve months and for twelve months or longer as of June 30, 2021 and December 31, 2020.
TABLE 41: AVAILABLE FOR SALE DEBT SECURITIES IN UNREALIZED LOSS POSITION WITH NO CREDIT LOSSES REPORTED
AS OF JUNE 30, 2021LESS THAN 12 MONTHS12 MONTHS OR LONGERTOTAL
(In Millions)FAIR
VALUE		UNREALIZED
LOSSES		FAIR
VALUE		UNREALIZED
LOSSES		FAIR
VALUE		UNREALIZED
LOSSES
U.S. Government$241.3 $6.9 $— $— $241.3 $6.9 
Obligations of States and Political Subdivisions1,042.2 18.5 — — 1,042.2 18.5 
Government Sponsored Agency4,879.1 59.1 1,309.8 5.6 6,188.9 64.7 
Non-U.S. Government 244.5 5.0 — — 244.5 5.0 
Corporate Debt293.3 1.9 — — 293.3 1.9 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds973.9 12.7 49.9 0.1 1,023.8 12.8 
Other Asset-Backed556.0 1.7 184.9 0.1 740.9 1.8 
Commercial Mortgage-Backed88.9 0.6 2.3 — 91.2 0.6 
Total$8,319.2 $106.4 $1,546.9 $5.8 $9,866.1 $112.2 
AS OF DECEMBER 31, 2020LESS THAN 12 MONTHS12 MONTHS OR LONGERTOTAL
(In Millions)FAIR
VALUE		UNREALIZED
LOSSES		FAIR
VALUE		UNREALIZED
LOSSES		FAIR
VALUE		UNREALIZED
LOSSES
Obligations of States and Political Subdivisions$52.3 $0.1 $— $— $52.3 $0.1 
Government Sponsored Agency2,402.3 13.6 2,528.7 13.3 4,931.0 26.9 
Non-U.S. Government90.5 0.7 — — 90.5 0.7 
Corporate Debt66.6 0.1 — — 66.6 0.1 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds162.8 0.5 49.9 0.1 212.7 0.6 
Other Asset-Backed176.8 0.2 792.3 2.6 969.1 2.8 
Commercial Mortgage-Backed44.4 0.1 — — 44.4 0.1 
Total$2,995.7 $15.3 $3,370.9 $16.0 $6,366.6 $31.3 
Debt Securities, Held-to-maturity The following tables provide the amortized cost and fair values at June 30, 2021 and December 31, 2020, and remaining maturities of held to maturity (HTM) debt securities at June 30, 2021.
TABLE 42: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF HELD TO MATURITY DEBT SECURITIES
JUNE 30, 2021
(In Millions)AMORTIZED
COST		GROSS UNREALIZED GAINSGROSS UNREALIZED LOSSESFAIR
VALUE
U.S Government$99.0 $— $— $99.0 
Obligations of States and Political Subdivisions1.0 — — 1.0 
Government Sponsored Agency6,499.2 7.6 23.9 6,482.9 
Non-U.S. Government3,802.2 6.7 37.4 3,771.5 
Corporate Debt880.9 4.8 1.0 884.7 
Covered Bonds2,933.1 16.0 1.6 2,947.5 
Certificates of Deposit906.2 — — 906.2 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds5,333.1 28.7 19.0 5,342.8 
Other Asset-Backed734.8 1.9 — 736.7 
Other465.8 4.4 62.9 407.3 
Total$21,655.3 $70.1 $145.8 $21,579.6 
DECEMBER 31, 2020
(In Millions)AMORTIZED
COST		GROSS UNREALIZED GAINSGROSS UNREALIZED LOSSES FAIR
VALUE
U.S. Government$90.0 $— $— $90.0 
Obligations of States and Political Subdivisions2.1 0.1 — 2.2 
Government Sponsored Agency3.0 0.3 — 3.3 
Non-U.S. Government8,336.6 7.3 0.2 8,343.7 
Corporate Debt588.0 6.5 0.1 594.4 
Covered Bonds3,184.6 24.6 0.3 3,208.9 
Certificates of Deposit807.2 — — 807.2 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds3,648.0 43.5 0.9 3,690.6 
Other Asset-Backed677.0 0.9 — 677.9 
Other454.6 1.1 76.5 379.2 
Total$17,791.1 $84.3 $78.0 $17,797.4 
Debt Securities, Held-to-maturity, Credit Quality Indicator The following table provides the amortized cost of HTM debt securities by credit rating.
TABLE 44: AMORTIZED COST OF HELD TO MATURITY DEBT SECURITIES BY CREDIT RATING
AS OF JUNE 30, 2021
(In Millions)AAAAAABBBNOT RATEDTOTAL
U.S. Government$99.0 $— $— $— $— $99.0 
Obligations of States and Political Subdivisions— 1.0 — — — 1.0 
Government Sponsored Agency6,499.2 — — — — 6,499.2 
Non-U.S. Government517.6 306.6 2,637.0 341.0 — 3,802.2 
Corporate Debt3.6 412.9 464.4 — — 880.9 
Covered Bonds2,933.1 — — — — 2,933.1 
Certificates of Deposit— — — — 906.2 906.2 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds3,777.0 1,522.4 32.5 1.2 — 5,333.1 
Other Asset-Backed734.8 — — — — 734.8 
Other— — — — 465.8 465.8 
Total$14,564.3 $2,242.9 $3,133.9 $342.2 $1,372.0 $21,655.3 
Percent of Total67 %10 %14 %2 %7 %100 %
AS OF DECEMBER 31, 2020
(In Millions)AAAAAABBBNOT RATEDTOTAL
U.S. Government$90.0 $— $— $— $— $90.0 
Obligations of States and Political Subdivisions— 1.0 — 1.1 — 2.1 
Government Sponsored Agency3.0 — — — — 3.0 
Non-U.S. Government319.8 1,337.4 6,630.6 48.8 — 8,336.6 
Corporate Debt3.8 279.1 305.1 — — 588.0 
Covered Bonds3,184.6 — — — — 3,184.6 
Certificates of Deposit— — — — 807.2 807.2 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds2,590.9 1,057.1 — — — 3,648.0 
Other Asset-Backed677.0 — — — — 677.0 
Other— — — — 454.6 454.6 
Total$6,869.1 $2,674.6 $6,935.7 $49.9 $1,261.8 $17,791.1 
Percent of Total39 %15 %39 %— %7 %100 %