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Investment Securities (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of Available-for-Sale Securities

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of September 30, 2020 and December 31, 2019. Accrued interest receivable of $251 million as of September 30, 2020 is not included in the below table.

Table 2.1: Investment Securities Available for Sale

						September 30, 2020
(Dollars in millions)						Amortized Cost						Allowance for Credit Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
Investment securities available for sale:
U.S. Treasury securities						$	9,331					$	0					$	14					$	0					$	9,345
RMBS:
Agency						72,948						0						2,506						(88)						75,366
Non-agency						1,093						(3)						204						(1)						1,293
Total RMBS						74,041						(3)						2,710						(89)						76,659
Agency CMBS						10,953						0						490						(8)						11,435
Other securities(1)						2,410						0						4						0						2,414
Total investment securities available for sale						$	96,735					$	(3)					$	3,218					$	(97)					$	99,853

						December 31, 2019
(Dollars in millions)						Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
Investment securities available for sale:
U.S. Treasury securities						$	4,122					$	6					$	(4)					$	4,124
RMBS:
Agency						62,003						1,120						(284)						62,839
Non-agency						1,235						266						(2)						1,499
Total RMBS						63,238						1,386						(286)						64,338
Agency CMBS						9,303						165						(42)						9,426
Other securities(1)						1,321						4						0						1,325
Total investment securities available for sale						$	77,984					$	1,561					$	(332)					$	79,213

__________

(1)Includes $1.5 billion and $117 million of asset-backed securities as of September 30, 2020, and December 31, 2019, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds.

Schedule of Available-for-Sale Securities in Gross Unrealized Loss Position

The table below provides the gross unrealized losses and fair value of our securities available for sale aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position as of September 30, 2020 and December 31, 2019. The amounts as of September 30, 2020 only include securities available for sale without an allowance for credit losses.

Table 2.2: Securities in a Gross Unrealized Loss Position

						September 30, 2020
						Less than 12 Months												12 Months or Longer												Total
(Dollars in millions)						Fair Value						Gross Unrealized Losses						Fair Value						Gross Unrealized Losses						Fair Value						Gross Unrealized Losses
Investment securities available for sale without an allowance for credit losses:
U.S. Treasury securities						$	0					$	0					$	0					$	0					$	0					$	0
RMBS:
Agency						6,681						(51)						1,866						(37)						8,547						(88)
Non-agency						14						0						0						0						14						0
Total RMBS						6,695						(51)						1,866						(37)						8,561						(88)
Agency CMBS						916						(4)						257						(4)						1,173						(8)
Other securities(1)						442						0						3						0						445						0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)						$	8,053					$	(55)					$	2,126					$	(41)					$	10,179					$	(96)

						December 31, 2019
						Less than 12 Months												12 Months or Longer												Total
(Dollars in millions)						Fair Value						Gross Unrealized Losses						Fair Value						Gross Unrealized Losses						Fair Value						Gross Unrealized Losses
Investment securities available for sale:
U.S. Treasury securities						$	2,647					$	(4)					$	0					$	0					$	2,647					$	(4)
RMBS:
Agency						10,494						(92)						10,567						(192)						21,061						(284)
Non-agency						35						(1)						16						(1)						51						(2)
Total RMBS						10,529						(93)						10,583						(193)						21,112						(286)
Agency CMBS						2,580						(23)						1,563						(19)						4,143						(42)
Other securities(1)						126						0						106						0						232						0
Total investment securities available for sale in a gross unrealized loss position						$	15,882					$	(120)					$	12,252					$	(212)					$	28,134					$	(332)

__________

(1)    Includes primarily supranational bonds, foreign government bonds and other asset-backed securities

(2)    Consists of approximately 300 securities in gross unrealized loss positions as of September 30, 2020.

Schedule of Contractual Maturities for Securities

The table below summarizes, by major security type, the contractual maturities and weighted-average yields of our investment securities as of September 30, 2020. Because borrowers may have the right to call or prepay certain obligations, the expected maturities of our securities are likely to differ from the scheduled contractual maturities presented below. The weighted-average yield below represents the effective yield for the investment securities and is calculated based on the amortized cost of each security.

Table 2.3: Contractual Maturities and Weighted-Average Yields of Securities

						September 30, 2020
(Dollars in millions)						Due in 1 Year or Less						Due > 1 Year through 5 Years						Due > 5 Years through 10 Years						Due > 10 Years						Total
Fair value of securities available for sale:
U.S. Treasury securities						$	101					$	9,244					$	0					$	0					$	9,345
RMBS(1):
Agency						0						73						1,073						74,220						75,366
Non-agency						0						0						0						1,293						1,293
Total RMBS						0						73						1,073						75,513						76,659
Agency CMBS(1)						52						2,766						5,242						3,375						11,435
Other securities						251						1,882						281						0						2,414
Total securities available for sale						$	404					$	13,965					$	6,596					$	78,888					$	99,853
Amortized cost of securities available for sale						$	402					$	13,901					$	6,334					$	76,098					$	96,735
Weighted-average yield for securities available for sale						1.44		%				0.82		%				1.93		%				2.37		%				2.11		%

__________

(1)As of September 30, 2020, the weighted-average expected maturities of RMBS and Agency CMBS are 3.7 years and 5.3 years, respectively.

X

- Definition

Tabular disclosure of fair value of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale), in unrealized loss position, without allowance for credit loss. Includes beneficial interest in securitized financial asset.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 326
-SubTopic 30
-Section 55
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=121590138&loc=SL82922954-210456

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 6
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-URI http://asc.fasb.org/extlink&oid=121645371&loc=d3e27290-111563

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 326
-SubTopic 30
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=121582814&loc=SL82922888-210455

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