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Investment Securities (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2020 and 2019. Accrued interest receivable of $230 million as of December 31, 2020 is not included in the below table.

Table 2.1: Investment Securities Available for Sale

						December 31, 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						$	9,302					$	0					$	16					$	0					$	9,318
RMBS:
Agency						73,248						0						2,326						(108)						75,466
Non-agency						1,035						(1)						204						(1)						1,237
Total RMBS						74,283						(1)						2,530						(109)						76,703
Agency CMBS						11,298						0						448						(11)						11,735
Other securities(1)						2,686						0						3						0						2,689
Total investment securities available for sale						$	97,569					$	(1)					$	2,997					$	(120)					$	100,445

						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 $1.8 billion and $117 million of asset-backed securities (“ABS”) as of December 31, 2020, and 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 December 31, 2020 and 2019. The amounts as of December 31, 2020 only include securities available for sale without an allowance for credit losses.

Table 2.2: Securities in a Gross Unrealized Loss Position

						December 31, 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						7,424						(57)						1,791						(51)						9,215						(108)
Non-agency						12						0						0						0						12						0
Total RMBS						7,436						(57)						1,791						(51)						9,227						(108)
Agency CMBS						1,545						(7)						267						(4)						1,812						(11)
Other securities(1)						114						0						1						0						115						0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)						$	9,095					$	(64)					$	2,059					$	(55)					$	11,154					$	(119)

						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 other asset-backed securities, foreign government bonds, and supranational bonds.

(2)    Consists of approximately 320 securities in gross unrealized loss positions as of December 31, 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 December 31, 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

						December 31, 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						$	202					$	9,116					$	0					$	0					$	9,318
RMBS(1):
Agency						0						65						1,175						74,226						75,466
Non-agency						0						0						0						1,237						1,237
Total RMBS						0						65						1,175						75,463						76,703
Agency CMBS(1)						90						2,896						5,645						3,104						11,735
Other securities						340						2,073						276						0						2,689
Total securities available for sale						$	632					$	14,150					$	7,096					$	78,567					$	100,445
Amortized cost of securities available for sale						$	628					$	14,091					$	6,860					$	75,990					$	97,569
Weighted-average yield for securities available for sale						1.43		%				0.74		%				1.76		%				2.20		%				1.96		%

__________

(1)As of December 31, 2020, the weighted-average expected maturities of RMBS and Agency CMBS are 4.0 years and 5.6 years, respectively.

Schedule of Realized Gain (Loss)

The following table presents the gross realized gains or losses and proceeds from the sale of securities available for sale for the years ended December 31, 2020, 2019 and 2018. We did not sell any investment securities that were classified as held to maturity in those periods where we had securities in that classification.

Table 2.4: Realized Gains and Losses on Securities

						Year Ended December 31,
(Dollars in millions)						2020						2019						2018
Realized gains (losses):
Gross realized gains						$	25					$	44					$	13
Gross realized losses						0						(18)						(21)
Net realized gains (losses)						$	25					$	26					$	(8)
Total proceeds from sales						$	812					$	4,780					$	6,399

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