XML 22 R13.htm IDEA: XBRL DOCUMENT v3.22.1
Securities
3 Months Ended
Mar. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
Securities Securities
Our securities available-for-sale and securities held-to-maturity portfolios consisted of the following:
March 31, 2022Amortized
Cost
Allowance for Credit LossesUnrealized
Gains
Unrealized
Losses
Fair
Value
 (in millions)
Securities available-for-sale:
U.S. Treasury$9,271 $ $58 $(161)$9,168 
U.S. Government sponsored enterprises:
Mortgage-backed securities7,410  15 (461)6,964 
Collateralized mortgage obligations1,701   (152)1,549 
Direct agency obligations1,858  7 (35)1,830 
U.S. Government agency issued or guaranteed:
Mortgage-backed securities8,427  6 (438)7,995 
Collateralized mortgage obligations3,597  1 (253)3,345 
Direct agency obligations264  3 (3)264 
Asset-backed securities collateralized by:
Home equity18   (1)17 
Other106   (9)97 
Foreign debt securities(1)
2,475  2 (8)2,469 
Total available-for-sale securities$35,127 $ $92 $(1,521)$33,698 
Securities held-to-maturity:
U.S. Government sponsored enterprises:
Mortgage-backed securities$688 $ $1 $(5)$684 
Collateralized mortgage obligations503  13 (7)509 
U.S. Government agency issued or guaranteed:
Mortgage-backed securities1,004  1 (19)986 
Collateralized mortgage obligations2,601  12 (43)2,570 
Obligations of U.S. states and political subdivisions8    8 
Asset-backed securities collateralized by residential mortgages1 (1)1  1 
Total held-to-maturity securities$4,805 $(1)$28 $(74)$4,758 
December 31, 2021Amortized
Cost
Allowance for Credit LossesUnrealized
Gains
Unrealized
Losses
Fair
Value
 (in millions)
Securities available-for-sale:
U.S. Treasury$9,490 $— $144 $(72)$9,562 
U.S. Government sponsored enterprises:
Mortgage-backed securities7,365 — 114 (115)7,364 
Collateralized mortgage obligations1,787 — (48)1,747 
Direct agency obligations1,775 — 16 (4)1,787 
U.S. Government agency issued or guaranteed:
Mortgage-backed securities8,489 — (66)8,430 
Collateralized mortgage obligations3,730 — (49)3,688 
Direct agency obligations282 — — 288 
Asset-backed securities collateralized by:
Home equity20 (1)— — 19 
Other107 — — (6)101 
Foreign debt securities(1)
2,311 — (2)2,312 
Total available-for-sale securities$35,356 $(1)$305 $(362)$35,298 
Securities held-to-maturity:
U.S. Government sponsored enterprises:
Mortgage-backed securities$684 $— $21 $— $705 
Collateralized mortgage obligations492 — 26 — 518 
U.S. Government agency issued or guaranteed:
Mortgage-backed securities1,104 — 24 — 1,128 
Collateralized mortgage obligations2,915 — 85 (1)2,999 
Obligations of U.S. states and political subdivisions— — — 
Asset-backed securities collateralized by residential mortgages(1)— 
Total held-to-maturity securities$5,204 $(1)$157 $(1)$5,359 
(1)Foreign debt securities represent public sector entity, bank or corporate debt.
Securities Available-for-Sale The following provides additional information about our portfolio of securities available-for-sale:
Allowance for credit losses On a quarterly basis, we perform an assessment to determine whether there have been any events or economic circumstances to indicate that a debt security available-for-sale in an unrealized loss position has suffered impairment due to credit factors. A debt security available-for-sale is considered impaired if its fair value is less than its amortized cost basis at the reporting date. If impaired, we assess whether the impairment is due to credit factors.
If we intend to sell the debt security or if it is more-likely-than-not that we will be required to sell the debt security before the recovery of its amortized cost basis, the impairment is recognized and the unrealized loss is recorded as a direct write-down of the security's amortized cost basis with an offsetting entry to earnings. If we do not intend to sell the debt security or believe we will not be required to sell the debt security before the recovery of its amortized cost basis, the impairment is assessed to determine if a credit loss component exists. We use a discounted cash flow method to determine the credit loss component. In the event a credit loss exists, an allowance for credit losses is recorded in earnings for the credit loss component of the impairment while the remaining portion of the impairment attributable to factors other than credit loss is recognized, net of tax, in other comprehensive loss. The amount of impairment recognized due to credit factors is limited to the excess of the amortized cost basis over the fair value of the security available-for-sale.
In determining whether a credit loss component exists, we consider a series of factors which include:
The extent to which the fair value is less than the amortized cost basis;
The credit protection features embedded within the instrument, which includes but is not limited to credit subordination positions, payment structure, overcollateralization, protective triggers and financial guarantees provided by third parties;
Changes in the near term prospects of the issuer or the underlying collateral of a security such as changes in default rates, loss severities given default and significant changes in prepayment assumptions;
The level of excess cash flows generated from the underlying collateral supporting the principal and interest payments of the debt securities; and
Any adverse change to the credit conditions of the issuer, the monoline insurer or the security such as credit downgrades by external rating agencies or changes to internal ratings.
At March 31, 2022 and December 31, 2021, the allowance for credit losses on securities available-for-sale was nil and $1 million, respectively.
Securities in an unrealized loss position for which no allowance for credit losses has been recognized The following table summarizes gross unrealized losses and related fair values for securities available-for-sale by major security type at March 31, 2022 and December 31, 2021 classified as to the length of time the losses have existed:
 One Year or LessGreater Than One Year
Number
of
Securities
Gross
Unrealized
Losses
Aggregate
Fair Value
of Investment
Number
of
Securities
Gross
Unrealized
Losses
Aggregate
Fair Value
of Investment
 (dollars are in millions)
At March 31, 2022
U.S. Treasury25 $(78)$4,007 14 $(83)$1,431 
U.S. Government sponsored enterprises253 (276)5,659 52 (372)3,472 
U.S. Government agency issued or guaranteed115 (632)9,486 16 (62)712 
Asset-backed securities3 (1)17 3 (9)97 
Foreign debt securities9 (7)1,082 1 (1)36 
Securities available-for-sale405 $(994)$20,251 86 $(527)$5,748 
At December 31, 2021
U.S. Treasury11 $(28)$1,784 $(44)$856 
U.S. Government sponsored enterprises63 (155)6,224 14 (12)354 
U.S. Government agency issued or guaranteed59 (91)8,972 15 (24)769 
Asset-backed securities— — — (6)101 
Foreign debt securities(2)1,188 — — — 
Securities available-for-sale141 $(276)$18,168 41 $(86)$2,080 
Gross unrealized losses increased as compared with December 31, 2021 due primarily to increasing yields on U.S. Government agency mortgage-backed, U.S. Government sponsored mortgage-backed and U.S. Treasury securities.
Although the fair value of a particular security may be below its amortized cost, it does not necessarily result in a credit loss and hence an allowance for credit losses. The decline in fair value may be caused by, among other things, the illiquidity of the market. We have reviewed the securities in an unrealized loss position for which no allowance for credit losses has been recognized in accordance with our accounting policies, discussed further above. At March 31, 2022, we do not consider any of these securities to be impaired due to credit factors as we expect to recover their amortized cost basis and we neither intend nor expect to be required to sell these securities prior to recovery, even if that equates to holding them until their individual maturities. However, impairments due to credit factors may occur in future periods if the credit quality of the securities deteriorates.
Securities Held-to-Maturity The following provides additional information about our portfolio of securities held-to-maturity:
Allowance for credit losses We exclude from our calculation of lifetime expected credit losses ("lifetime ECL") securities for which we expect that non-payment of the amortized cost basis will be zero ("Zero Expected Credit Loss Exception"). Due to the composition of our portfolio of securities held-to-maturity, substantially all of our portfolio qualifies for the Zero Expected Credit Loss Exception and has been excluded from our lifetime ECL calculation. At both March 31, 2022 and December 31, 2021, the allowance for credit losses on securities held-to-maturity was $1 million.
At March 31, 2022 and December 31, 2021, none of our securities held-to-maturity were past due or in nonaccrual status.
Credit risk profile Securities are assigned a credit rating based on the estimated probability of default. The credit ratings are used as a credit quality indicator to monitor our securities held-to-maturity portfolio. We utilize Standard and Poor's ("S&P") as the primary source of our credit ratings. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order. Investment grade includes securities with credit ratings of at least BBB- or above. At March 31, 2022 and December 31, 2021, all of our securities held-to-maturity were investment grade.
Other securities gains, net  The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities:
Three Months Ended March 31,20222021
 (in millions)
Gross realized gains$20 $49 
Gross realized losses (20)
Net realized gains$20 $29 
Contractual Maturities and Yields  The following table summarizes the amortized cost and fair values of securities available-for-sale and securities held-to-maturity at March 31, 2022 by contractual maturity. Expected maturities differ from contractual maturities because borrowers have the right to prepay obligations without prepayment penalties in certain cases. The table below also reflects the distribution of maturities of debt securities held at March 31, 2022, together with the approximate yield of the portfolio. The yields shown are calculated by dividing annualized interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at March 31, 2022.
 Within
One Year
After One
But Within
Five Years
After Five
But Within
Ten Years
After Ten
Years
AmountYieldAmountYieldAmountYieldAmountYield
 (dollars are in millions)
Available-for-sale:
U.S. Treasury$247 1.99 %$3,479 1.40 %$1,967 1.49 %$3,578 2.12 %
U.S. Government sponsored enterprises
150 1.41 1,730 1.67 1,981 2.38 7,108 1.66 
U.S. Government agency issued or guaranteed
70 .24 22 1.12 3.89 12,193 2.05 
Asset-backed securities— — — — 106 4.16 18 .54 
Foreign debt securities1,332 .32 1,143 .60 — — — — 
Total amortized cost$1,799 .64 %$6,374 1.33 %$4,057 1.99 %$22,897 1.94 %
Total fair value$1,801 $6,278 $4,003 $21,616 
Held-to-maturity:
U.S. Government sponsored enterprises
$2.55 %$138 2.54 %$360 2.58 %$690 3.28 %
U.S. Government agency issued or guaranteed
— — — — 6.19 3,596 2.54 
Obligations of U.S. states and political subdivisions
3.22 3.54 4.34 — — 
Asset-backed securities— — — — — — 7.56 
Total amortized cost$2.93 %$140 2.56 %$371 2.67 %$4,287 2.66 %
Total fair value$$139 $370 $4,242 
Equity Securities Equity securities that are not classified as trading and are included in other assets consisted of the following:
March 31, 2022December 31, 2021
 (in millions)
Equity securities carried at fair value$276 $282 
Equity securities without readily determinable fair values12 16 
On a quarterly basis, we perform an assessment to determine whether any equity securities without readily determinable fair values are impaired. In the event an equity security is deemed impaired, the security is written down to fair value with impairment recorded in earnings. During the first quarter of 2022, we determined that certain equity securities without readily determinable fair values were impaired and, as a result, we recorded an impairment loss of $3 million as a component of other
income (loss) in the consolidated statement of income. During the first quarter of 2021, none of our equity securities without readily determinable fair values were determined to be impaired.
Also included in other assets were investments in Federal Home Loan Bank ("FHLB") stock and Federal Reserve Bank stock of $110 million and $528 million, respectively, at March 31, 2022 and $110 million and $558 million, respectively, at December 31, 2021.