I've also noticed this on a few other financial related sites. There is a delay and an animated working indicator with a message to the effect of "Creating a Secure Connection."
I'm a web developer and manage some secure web sites and creating a secure connection is simply a matter of making sure the user is connecting over SSL and authenticating the user's credentials. Neither of these require making the user wait at a loading screen. Also, given that each request to a web page is usually authenticated individually, it doesn't make sense to have a delay like this at the front door that isn't repeated for each page request.
I suspect that they are just using this language to a) make me feel better about it being secure; and/or b) mask some other activity that happens at login that takes some time.
Does anyone here know what exactly is going on while it churns on this screen?