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Investment Securities (Tables)

9 Months Ended

Sep. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Schedule of Available-for-Sale Securities

The table below presents the amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value aggregated by major security type as of September 30, 2022 and December 31, 2021. Accrued interest receivable of $227 million and $207 million as of September 30, 2022 and December 31, 2021, respectively, is not included in the table below.

Table 2.1: Investment Securities Available for Sale

						September 30, 2022
(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						$	5,124					$	0					$	1					$	(98)					$	5,027
RMBS:
Agency						71,245						0						37						(10,069)						61,213
Non-agency						666						(4)						112						(5)						769
Total RMBS						71,911						(4)						149						(10,074)						61,982
Agency CMBS						8,055						0						2						(761)						7,296
Other securities(1)						1,007						0						1						(10)						998
Total investment securities available for sale						$	86,097					$	(4)					$	153					$	(10,943)					$	75,303

						December 31, 2021
(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						$	9,419					$	0					$	23					$	0					$	9,442
RMBS:
Agency						72,593						0						958						(931)						72,620
Non-agency						792						(1)						205						0						996
Total RMBS						73,385						(1)						1,163						(931)						73,616
Agency CMBS						9,237						0						195						(63)						9,369
Other securities(1)						2,830						0						6						(2)						2,834
Total investment securities available for sale						$	94,871					$	(1)					$	1,387					$	(996)					$	95,261

__________    

(1)Includes $231 million and $2.0 billion of asset-backed securities (“ABS”) as of September 30, 2022 and December 31, 2021 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, 2022 and December 31, 2021. The amounts include securities available for sale without an allowance for credit losses.

Table 2.2: Securities in a Gross Unrealized Loss Position

						September 30, 2022
						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						$	4,593					$	(98)					$	0					$	0					$	4,593					$	(98)
RMBS:
Agency						30,124						(3,285)						30,154						(6,784)						60,278						(10,069)
Non-agency						16						(1)						3						0						19						(1)
Total RMBS						30,140						(3,286)						30,157						(6,784)						60,297						(10,070)
Agency CMBS						4,866						(430)						2,258						(331)						7,124						(761)
Other securities(1)						522						(7)						81						(3)						603						(10)
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)						$	40,121					$	(3,821)					$	32,496					$	(7,118)					$	72,617					$	(10,939)

						December 31, 2021
						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:
RMBS:
Agency						$	37,492					$	(632)					$	8,606					$	(299)					$	46,098					$	(931)
Non-agency						3						0						1						0						4						0
Total RMBS						37,495						(632)						8,607						(299)						46,102						(931)
Agency CMBS						2,999						(36)						803						(27)						3,802						(63)
Other securities(1)						1,207						(2)						0						0						1,207						(2)
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)						$	41,701					$	(670)					$	9,410					$	(326)					$	51,111					$	(996)

__________

(1)    Includes primarily ABS, foreign government bonds, and supranational bonds.

(2)    Consists of approximately 2,730 and 740 securities in gross unrealized loss positions as of September 30, 2022 and December 31, 2021, respectively.

Schedule of Contractual Maturities for Securities

The table below summarizes, as of September 30, 2022, the fair value of our investment securities by major security type and contractual maturity as well as the total fair value, amortized cost and weighted-average yields of our investment securities by contractual maturity. 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, 2022
(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						$	0					$	5,027					$	0					$	0					$	5,027
RMBS(1):
Agency						0						113						1,123						59,977						61,213
Non-agency						0						0						0						769						769
Total RMBS						0						113						1,123						60,746						61,982
Agency CMBS(1)						174						2,046						3,391						1,685						7,296
Other securities						242						756						0						0						998
Total securities available for sale						$	416					$	7,942					$	4,514					$	62,431					$	75,303
Amortized cost of securities available for sale						$	417					$	8,199					$	5,059					$	72,422					$	86,097
Weighted-average yield for securities available for sale						3.34		%				1.69		%				2.28		%				2.23		%				2.19		%

__________

(1)As of September 30, 2022, the weighted-average expected maturities of RMBS and Agency CMBS were 7.1 years and 5.1 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 https://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 https://asc.fasb.org/extlink&oid=126970911&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 https://asc.fasb.org/extlink&oid=124269663&loc=SL82922888-210455

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