| 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 June 30, 2022 and December 31, 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
| (dollar amounts in millions) |
Amortized
Cost (1)(2)
|
|
Gross
Gains |
|
Gross
Losses |
|
Fair Value |
| June 30, 2022 |
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
| U.S. Treasury |
$ |
5 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5 |
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
3,217 |
|
|
— |
|
|
(216) |
|
|
3,001 |
|
| Residential MBS |
14,478 |
|
|
1 |
|
|
(1,532) |
|
|
12,947 |
|
| Commercial MBS |
2,365 |
|
|
1 |
|
|
(384) |
|
|
1,982 |
|
| Other agencies |
215 |
|
|
— |
|
|
(6) |
|
|
209 |
|
| Total U.S. Treasury, federal agency and other agency securities |
20,280 |
|
|
2 |
|
|
(2,138) |
|
|
18,144 |
|
| Municipal securities |
3,604 |
|
|
1 |
|
|
(183) |
|
|
3,422 |
|
| Private-label CMO |
158 |
|
|
— |
|
|
(6) |
|
|
152 |
|
| Asset-backed securities |
392 |
|
|
— |
|
|
(31) |
|
|
361 |
|
| Corporate debt |
2,539 |
|
|
99 |
|
|
(344) |
|
|
2,294 |
|
| Other securities/Sovereign debt |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
| Total available-for-sale securities |
$ |
26,977 |
|
|
$ |
102 |
|
|
$ |
(2,702) |
|
|
$ |
24,377 |
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
$ |
4,896 |
|
|
$ |
— |
|
|
$ |
(383) |
|
|
$ |
4,513 |
|
| Residential MBS |
10,509 |
|
|
2 |
|
|
(930) |
|
|
9,581 |
|
| Commercial MBS |
1,792 |
|
|
1 |
|
|
(124) |
|
|
1,669 |
|
| Other agencies |
156 |
|
|
— |
|
|
(5) |
|
|
151 |
|
| Total federal agency and other agency securities |
17,353 |
|
|
3 |
|
|
(1,442) |
|
|
15,914 |
|
| Municipal securities |
2 |
|
|
— |
|
|
— |
|
|
2 |
|
| Total held-to-maturity securities |
$ |
17,355 |
|
|
$ |
3 |
|
|
$ |
(1,442) |
|
|
$ |
15,916 |
|
|
|
|
|
|
|
|
|
| Other securities, at cost: |
|
|
|
|
|
|
|
| Non-marketable equity securities: |
|
|
|
|
|
|
|
| Federal Home Loan Bank stock |
$ |
187 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
187 |
|
| Federal Reserve Bank stock |
514 |
|
|
— |
|
|
— |
|
|
514 |
|
| Equity securities |
9 |
|
|
— |
|
|
— |
|
|
9 |
|
| Other securities, at fair value: |
|
|
|
|
|
|
|
| Mutual funds |
50 |
|
|
— |
|
|
— |
|
|
50 |
|
| Equity securities |
3 |
|
|
— |
|
|
— |
|
|
3 |
|
| Total other securities |
$ |
763 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
763 |
|
|
|
|
|
|
|
|
|
(1)Amortized cost amounts excludes accrued interest receivable, which is recorded within accrued income and other receivables on the Consolidated Balance Sheets. At June 30, 2022, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $62 million and $38 million, respectively.
(2)Excluded from the amortized cost are portfolio level basis adjustments for securities designated in fair value hedges under the portfolio layer method. The basis adjustments totaled $608 million and represent a reduction to the amortized cost of the securities being hedged. The securities being hedged under the portfolio layer method are primarily Residential CMO and Residential MBS securities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
| (dollar amounts in millions) |
Amortized
Cost (1) |
|
Gross
Gains |
|
Gross
Losses |
|
Fair Value |
| December 31, 2021 |
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
| U.S. Treasury |
$ |
5 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5 |
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
4,649 |
|
|
40 |
|
|
(40) |
|
|
4,649 |
|
| Residential MBS |
15,533 |
|
|
135 |
|
|
(160) |
|
|
15,508 |
|
| Commercial MBS |
1,896 |
|
|
7 |
|
|
(38) |
|
|
1,865 |
|
| Other agencies |
248 |
|
|
1 |
|
|
(1) |
|
|
248 |
|
| Total U.S. Treasury, federal agency and other agency securities |
22,331 |
|
|
183 |
|
|
(239) |
|
|
22,275 |
|
| Municipal securities |
3,497 |
|
|
62 |
|
|
(33) |
|
|
3,526 |
|
| Private-label CMO |
106 |
|
|
1 |
|
|
(1) |
|
|
106 |
|
| Asset-backed securities |
385 |
|
|
1 |
|
|
(4) |
|
|
382 |
|
| Corporate debt |
2,183 |
|
|
22 |
|
|
(38) |
|
|
2,167 |
|
| Other securities/Sovereign debt |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
| Total available-for-sale securities |
$ |
28,506 |
|
|
$ |
269 |
|
|
$ |
(315) |
|
|
$ |
28,460 |
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
| Residential CMO |
$ |
2,602 |
|
|
$ |
35 |
|
|
$ |
(20) |
|
|
$ |
2,617 |
|
| Residential MBS |
7,475 |
|
|
41 |
|
|
(59) |
|
|
7,457 |
|
| Commercial MBS |
2,175 |
|
|
45 |
|
|
(5) |
|
|
2,215 |
|
| Other agencies |
193 |
|
|
5 |
|
|
— |
|
|
198 |
|
| Total federal agency and other agency securities |
12,445 |
|
|
126 |
|
|
(84) |
|
|
12,487 |
|
| Municipal securities |
2 |
|
|
— |
|
|
— |
|
|
2 |
|
| Total held-to-maturity securities |
$ |
12,447 |
|
|
$ |
126 |
|
|
$ |
(84) |
|
|
$ |
12,489 |
|
|
|
|
|
|
|
|
|
| Other securities, at cost: |
|
|
|
|
|
|
|
| Non-marketable equity securities: |
|
|
|
|
|
|
|
| Federal Home Loan Bank stock |
$ |
52 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52 |
|
| Federal Reserve Bank stock |
512 |
|
|
— |
|
|
— |
|
|
512 |
|
| Equity securities |
12 |
|
|
— |
|
|
— |
|
|
12 |
|
| Other securities, at fair value: |
|
|
|
|
|
|
|
| Mutual funds |
65 |
|
|
— |
|
|
— |
|
|
65 |
|
| Equity securities |
6 |
|
|
1 |
|
|
— |
|
|
7 |
|
| Total other securities |
$ |
647 |
|
|
$ |
1 |
|
|
$ |
— |
|
|
$ |
648 |
|
|
|
|
|
|
|
|
|
(1)Amortized cost amounts excludes accrued interest receivable, which is recorded within accrued income and other receivables on the Consolidated Balance Sheets. At December 31, 2021, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $62 million and $26 million, respectively.
|
| Investments by Contractual Maturity |
The following table provides the amortized cost and fair value of securities by contractual maturity at June 30, 2022 and December 31, 2021. Expected maturities may differ from contractual maturities as issuers may have the right to call or prepay obligations with or without incurring penalties.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2022 |
|
December 31, 2021 |
| (dollar amounts in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
| Under 1 year |
$ |
476 |
|
|
$ |
471 |
|
|
$ |
377 |
|
|
$ |
374 |
|
| After 1 year through 5 years |
2,347 |
|
|
2,203 |
|
|
1,888 |
|
|
1,880 |
|
| After 5 years through 10 years |
3,215 |
|
|
2,950 |
|
|
3,166 |
|
|
3,180 |
|
| After 10 years |
20,939 |
|
|
18,753 |
|
|
23,075 |
|
|
23,026 |
|
| Total available-for-sale securities |
$ |
26,977 |
|
|
$ |
24,377 |
|
|
$ |
28,506 |
|
|
$ |
28,460 |
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
| Under 1 year |
$ |
1 |
|
|
$ |
1 |
|
|
$ |
2 |
|
|
$ |
2 |
|
| After 1 year through 5 years |
85 |
|
|
83 |
|
|
162 |
|
|
164 |
|
| After 5 years through 10 years |
42 |
|
|
41 |
|
|
44 |
|
|
45 |
|
| After 10 years |
17,227 |
|
|
15,791 |
|
|
12,239 |
|
|
12,278 |
|
| Total held-to-maturity securities |
$ |
17,355 |
|
|
$ |
15,916 |
|
|
$ |
12,447 |
|
|
$ |
12,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 June 30, 2022 and December 31, 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
| June 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
$ |
2,671 |
|
|
$ |
(182) |
|
|
$ |
170 |
|
|
$ |
(34) |
|
|
$ |
2,841 |
|
|
$ |
(216) |
|
| Residential MBS |
9,122 |
|
|
(977) |
|
|
3,730 |
|
|
(555) |
|
|
12,852 |
|
|
(1,532) |
|
| Commercial MBS |
1,584 |
|
|
(270) |
|
|
377 |
|
|
(114) |
|
|
1,961 |
|
|
(384) |
|
| Other agencies |
80 |
|
|
(6) |
|
|
— |
|
|
— |
|
|
80 |
|
|
(6) |
|
| Total federal agency and other agency securities |
13,457 |
|
|
(1,435) |
|
|
4,277 |
|
|
(703) |
|
|
17,734 |
|
|
(2,138) |
|
| Municipal securities |
2,866 |
|
|
(161) |
|
|
311 |
|
|
(22) |
|
|
3,177 |
|
|
(183) |
|
| Private-label CMO |
122 |
|
(6) |
|
|
— |
|
— |
|
122 |
|
(6) |
|
| Asset-backed securities |
319 |
|
|
(26) |
|
|
42 |
|
|
(5) |
|
|
361 |
|
|
(31) |
|
| Corporate debt |
1,951 |
|
|
(274) |
|
|
339 |
|
|
(70) |
|
|
2,290 |
|
|
(344) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired available-for-sale securities |
$ |
18,715 |
|
|
$ |
(1,902) |
|
|
$ |
4,969 |
|
|
$ |
(800) |
|
|
$ |
23,684 |
|
|
$ |
(2,702) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
$ |
4,501 |
|
|
$ |
(382) |
|
|
$ |
8 |
|
|
$ |
(1) |
|
|
$ |
4,509 |
|
|
$ |
(383) |
|
| Residential MBS |
8,552 |
|
|
(826) |
|
|
735 |
|
|
(104) |
|
|
9,287 |
|
|
(930) |
|
| Commercial MBS |
1,661 |
|
|
(124) |
|
|
— |
|
|
— |
|
|
1,661 |
|
|
(124) |
|
| Other agencies |
151 |
|
|
(5) |
|
|
— |
|
|
— |
|
|
151 |
|
|
(5) |
|
| Total federal agency and other agency securities |
14,865 |
|
|
(1,337) |
|
|
743 |
|
|
(105) |
|
|
15,608 |
|
|
(1,442) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired held-to-maturity securities |
$ |
14,865 |
|
|
$ |
(1,337) |
|
|
$ |
743 |
|
|
$ |
(105) |
|
|
$ |
15,608 |
|
|
$ |
(1,442) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Available-for-sale securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
$ |
2,925 |
|
|
$ |
(40) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,925 |
|
|
$ |
(40) |
|
|
|
| Residential MBS |
13,491 |
|
|
(160) |
|
|
— |
|
|
— |
|
|
13,491 |
|
|
(160) |
|
|
|
| Commercial MBS |
1,251 |
|
|
(38) |
|
|
— |
|
|
— |
|
|
1,251 |
|
|
(38) |
|
|
|
| Other agencies |
140 |
|
|
(1) |
|
|
— |
|
|
— |
|
|
140 |
|
|
(1) |
|
|
|
| Total federal agency and other agency securities |
17,807 |
|
|
(239) |
|
|
— |
|
|
— |
|
|
17,807 |
|
|
(239) |
|
|
|
| Municipal securities |
859 |
|
|
(22) |
|
|
319 |
|
|
(11) |
|
|
1,178 |
|
|
(33) |
|
|
|
| Private-label CMO |
78 |
|
|
(1) |
|
|
— |
|
|
— |
|
|
78 |
|
|
(1) |
|
|
|
| Asset-backed securities |
237 |
|
|
(4) |
|
|
— |
|
|
— |
|
|
237 |
|
|
(4) |
|
|
|
| Corporate debt |
1,766 |
|
|
(38) |
|
|
— |
|
|
— |
|
|
1,766 |
|
|
(38) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired available-for-sale securities |
$ |
20,747 |
|
|
$ |
(304) |
|
|
$ |
319 |
|
|
$ |
(11) |
|
|
$ |
21,066 |
|
|
$ |
(315) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Held-to-maturity securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Federal agencies: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential CMO |
$ |
1,453 |
|
|
$ |
(20) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,453 |
|
|
$ |
(20) |
|
|
|
| Residential MBS |
5,837 |
|
|
(59) |
|
|
— |
|
|
— |
|
|
5,837 |
|
|
(59) |
|
|
|
| Commercial MBS |
318 |
|
|
(5) |
|
|
— |
|
|
— |
|
|
318 |
|
|
(5) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total federal agency and other agency securities |
7,608 |
|
|
(84) |
|
|
— |
|
|
— |
|
|
7,608 |
|
|
(84) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total temporarily impaired held-to-maturity securities |
$ |
7,608 |
|
|
$ |
(84) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,608 |
|
|
$ |
(84) |
|
|
|
|