| Amortized Cost, Fair Value, and Gross Unrealized Gains and Losses by Investment Category |
The following tables provide amortized cost, fair value, and gross unrealized gains and losses by investment category at September 30, 2021 and December 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
| (dollar amounts in millions) |
Amortized
Cost (1) |
|
Gross
Gains |
|
Gross
Losses |
|
Fair Value |
| September 30, 2021 |
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
| U.S. Treasury |
$ |
5 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5 |
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
3,683 |
|
|
63 |
|
|
(12) |
|
|
3,734 |
|
| Residential MBS |
14,413 |
|
|
47 |
|
|
(123) |
|
|
14,337 |
|
| Commercial MBS |
1,522 |
|
|
11 |
|
|
(35) |
|
|
1,498 |
|
| Other agencies |
263 |
|
|
1 |
|
|
— |
|
|
264 |
|
| Total U.S. Treasury, federal agency and other agency securities |
19,886 |
|
|
122 |
|
|
(170) |
|
|
19,838 |
|
| Municipal securities |
3,570 |
|
|
82 |
|
|
(18) |
|
|
3,634 |
|
| Private-label CMO |
120 |
|
|
— |
|
|
— |
|
|
120 |
|
| Asset-backed securities |
284 |
|
|
3 |
|
|
(2) |
|
|
285 |
|
| Corporate debt |
1,789 |
|
|
5 |
|
|
(21) |
|
|
1,773 |
|
| Other securities/Sovereign debt |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
| Total available-for-sale securities |
$ |
25,653 |
|
|
$ |
212 |
|
|
$ |
(211) |
|
|
$ |
25,654 |
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
$ |
2,701 |
|
|
$ |
56 |
|
|
$ |
(4) |
|
|
$ |
2,753 |
|
| Residential MBS |
7,079 |
|
|
62 |
|
|
(33) |
|
|
7,108 |
|
| Commercial MBS |
2,468 |
|
|
77 |
|
|
(1) |
|
|
2,544 |
|
| Other agencies |
205 |
|
|
7 |
|
|
— |
|
|
212 |
|
| Total federal agency and other agency securities |
12,453 |
|
|
202 |
|
|
(38) |
|
|
12,617 |
|
| Municipal securities |
2 |
|
|
— |
|
|
— |
|
|
2 |
|
| Total held-to-maturity securities |
$ |
12,455 |
|
|
$ |
202 |
|
|
$ |
(38) |
|
|
$ |
12,619 |
|
|
|
|
|
|
|
|
|
| Other securities, at cost: |
|
|
|
|
|
|
|
| Non-marketable equity securities: |
|
|
|
|
|
|
|
| Federal Home Loan Bank stock |
$ |
52 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52 |
|
| Federal Reserve Bank stock |
511 |
|
|
— |
|
|
— |
|
|
511 |
|
| Other securities, at fair value |
|
|
|
|
|
|
|
| Mutual funds |
62 |
|
|
— |
|
|
— |
|
|
62 |
|
| Equity securities |
24 |
|
|
— |
|
|
— |
|
|
24 |
|
| Total other securities |
$ |
649 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
649 |
|
|
|
|
|
|
|
|
|
(1)Amortized cost amounts excludes accrued interest receivable, which is recorded within other assets on the Consolidated Balance Sheets. At September 30, 2021, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $60 million and $26 million, respectively.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
| (dollar amounts in millions) |
Amortized
Cost (1) |
|
Gross
Gains |
|
Gross
Losses |
|
Fair Value |
| December 31, 2020 |
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
| U.S. Treasury |
$ |
5 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5 |
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
3,550 |
|
|
121 |
|
|
(5) |
|
|
3,666 |
|
| Residential MBS |
7,843 |
|
|
97 |
|
|
(5) |
|
|
7,935 |
|
| Commercial MBS |
1,151 |
|
|
21 |
|
|
(9) |
|
|
1,163 |
|
| Other agencies |
60 |
|
|
2 |
|
|
— |
|
|
62 |
|
| Total U.S. Treasury, federal agency and other agency securities |
12,609 |
|
|
241 |
|
|
(19) |
|
|
12,831 |
|
| Municipal securities |
2,928 |
|
|
91 |
|
|
(15) |
|
|
3,004 |
|
| Private-label CMO |
9 |
|
|
— |
|
|
— |
|
|
9 |
|
| Asset-backed securities |
185 |
|
|
7 |
|
|
— |
|
|
192 |
|
| Corporate debt |
440 |
|
|
5 |
|
|
— |
|
|
445 |
|
| Other securities/Sovereign debt |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
| Total available-for-sale securities |
$ |
16,175 |
|
|
$ |
344 |
|
|
$ |
(34) |
|
|
$ |
16,485 |
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
$ |
1,779 |
|
|
$ |
88 |
|
|
$ |
— |
|
|
$ |
1,867 |
|
| Residential MBS |
3,715 |
|
|
103 |
|
|
— |
|
|
3,818 |
|
| Commercial MBS |
3,118 |
|
|
191 |
|
|
— |
|
|
3,309 |
|
| Other agencies |
246 |
|
|
12 |
|
|
— |
|
|
258 |
|
| Total federal agency and other agency securities |
8,858 |
|
|
394 |
|
|
— |
|
|
9,252 |
|
| Municipal securities |
3 |
|
|
— |
|
|
— |
|
|
3 |
|
| Total held-to-maturity securities |
$ |
8,861 |
|
|
$ |
394 |
|
|
$ |
— |
|
|
$ |
9,255 |
|
|
|
|
|
|
|
|
|
| Other securities, at cost: |
|
|
|
|
|
|
|
| Non-marketable equity securities: |
|
|
|
|
|
|
|
| Federal Home Loan Bank stock |
$ |
60 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
60 |
|
| Federal Reserve Bank stock |
299 |
|
|
— |
|
|
— |
|
|
299 |
|
| Other securities, at fair value |
|
|
|
|
|
|
|
| Mutual funds |
50 |
|
|
— |
|
|
— |
|
|
50 |
|
| Equity securities |
8 |
|
|
1 |
|
|
— |
|
|
9 |
|
| Total other securities |
$ |
417 |
|
|
$ |
1 |
|
|
$ |
— |
|
|
$ |
418 |
|
|
|
|
|
|
|
|
|
(1)Amortized cost amounts excludes accrued interest receivable, which is recorded within other assets on the Consolidated Balance Sheets. At December 31, 2020, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $32 million and $20 million, respectively.
|
| Investments by Contractual Maturity |
The following table provides the amortized cost and fair value of securities by contractual maturity at September 30, 2021 and December 31, 2020. Expected maturities may differ from contractual maturities as issuers may have the right to call or prepay obligations with or without incurring penalties.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2021 |
|
December 31, 2020 |
| (dollar amounts in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
| Under 1 year |
$ |
354 |
|
|
$ |
351 |
|
|
$ |
308 |
|
|
$ |
304 |
|
| After 1 year through 5 years |
1,665 |
|
|
1,668 |
|
|
1,145 |
|
|
1,154 |
|
| After 5 years through 10 years |
2,935 |
|
|
2,962 |
|
|
1,607 |
|
|
1,654 |
|
| After 10 years |
20,699 |
|
|
20,673 |
|
|
13,115 |
|
|
13,373 |
|
| Total available-for-sale securities |
$ |
25,653 |
|
|
$ |
25,654 |
|
|
$ |
16,175 |
|
|
$ |
16,485 |
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| After 1 year through 5 years |
$ |
80 |
|
|
$ |
83 |
|
|
$ |
160 |
|
|
$ |
169 |
|
| After 5 years through 10 years |
70 |
|
|
72 |
|
|
131 |
|
|
138 |
|
| After 10 years |
12,305 |
|
|
12,464 |
|
|
8,570 |
|
|
8,948 |
|
| Total held-to-maturity securities |
$ |
12,455 |
|
|
$ |
12,619 |
|
|
$ |
8,861 |
|
|
$ |
9,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments with Unrealized Losses by Investment Category |
The following tables provide detail on investment securities with unrealized losses aggregated by investment category and the length of time the individual securities have been in a continuous loss position at September 30, 2021 and December 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less than 12 Months |
|
Over 12 Months |
|
Total |
| (dollar amounts in millions) |
Fair
Value |
|
Gross Unrealized
Losses |
|
Fair
Value |
|
Gross Unrealized
Losses |
|
Fair
Value |
|
Gross Unrealized
Losses |
| September 30, 2021 |
|
|
|
|
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
1,064 |
|
|
(7) |
|
|
120 |
|
|
(5) |
|
|
1,184 |
|
|
(12) |
|
| Residential MBS |
10,212 |
|
|
(123) |
|
|
— |
|
|
— |
|
|
10,212 |
|
|
(123) |
|
| Commercial MBS |
900 |
|
|
(31) |
|
|
25 |
|
|
(4) |
|
|
925 |
|
|
(35) |
|
| Other agencies |
119 |
|
|
— |
|
|
— |
|
|
— |
|
|
119 |
|
|
— |
|
| Total federal agency and other agency securities |
12,295 |
|
|
(161) |
|
|
145 |
|
|
(9) |
|
|
12,440 |
|
|
(170) |
|
| Municipal securities |
339 |
|
|
(8) |
|
|
377 |
|
|
(10) |
|
|
716 |
|
|
(18) |
|
| Private-label CMO |
58 |
|
— |
|
— |
|
— |
|
58 |
|
— |
| Asset-backed securities |
186 |
|
|
(1) |
|
|
7 |
|
|
(1) |
|
|
193 |
|
|
(2) |
|
| Corporate debt |
1,184 |
|
|
(20) |
|
|
28 |
|
|
(1) |
|
|
1,212 |
|
|
(21) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired available-for-sale securities |
$ |
14,062 |
|
|
$ |
(190) |
|
|
$ |
557 |
|
|
$ |
(21) |
|
|
$ |
14,619 |
|
|
$ |
(211) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
$ |
1,032 |
|
|
$ |
(4) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,032 |
|
|
$ |
(4) |
|
| Residential MBS |
$ |
4,398 |
|
|
$ |
(33) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,398 |
|
|
$ |
(33) |
|
| Commercial MBS |
271 |
|
|
(1) |
|
|
— |
|
|
— |
|
|
271 |
|
|
(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total federal agency and other agency securities |
5,701 |
|
|
(38) |
|
|
— |
|
|
— |
|
|
5,701 |
|
|
(38) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired held-to-maturity securities |
$ |
5,701 |
|
|
$ |
(38) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,701 |
|
|
$ |
(38) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less than 12 Months |
|
Over 12 Months |
|
Total |
| (dollar amounts in millions) |
Fair
Value |
|
Gross Unrealized
Losses |
|
Fair
Value |
|
Gross Unrealized
Losses |
|
Fair
Value |
|
Gross Unrealized
Losses |
| December 31, 2020 |
|
|
|
|
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
$ |
302 |
|
|
$ |
(5) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
302 |
|
|
$ |
(5) |
|
| Residential MBS |
1,633 |
|
|
(5) |
|
|
— |
|
|
— |
|
|
1,633 |
|
|
(5) |
|
| Commercial MBS |
321 |
|
|
(9) |
|
|
— |
|
|
— |
|
|
321 |
|
|
(9) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total federal agency and other agency securities |
2,256 |
|
|
(19) |
|
|
— |
|
|
— |
|
|
2,256 |
|
|
(19) |
|
| Municipal securities |
110 |
|
|
(3) |
|
|
490 |
|
|
(12) |
|
|
600 |
|
|
(15) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-backed securities |
15 |
|
|
— |
|
|
— |
|
|
— |
|
|
15 |
|
|
— |
|
| Corporate debt |
51 |
|
|
— |
|
|
— |
|
|
— |
|
|
51 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired available-for-sale securities |
$ |
2,432 |
|
|
$ |
(22) |
|
|
$ |
490 |
|
|
$ |
(12) |
|
|
$ |
2,922 |
|
|
$ |
(34) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|