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Investment Securities | 9 Months Ended
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Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract] |
Investment Securities | INVESTMENT S ECURITIESThe following table summarizes our available for sale and held to maturity portfolios by major security type: Table 36: Investment Securities Summary (a)(b)
|  | September 30, 2023 |  |  | December 31, 2022
In millions |  | Amortized Cost (c) |  | Unrealized |  | Fair Value |  |  | Amortized Cost (c) |  | Unrealized |  | Fair Value
Gains |  | Losses |  |  |  | Gains |  | Losses |
Securities Available for Sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | 7,494 |  |  | $ | 4 |  |  | $ | (781) |  |  | $ | 6,717 |  |  |  | $ | 9,196 |  |  | $ | 10 |  |  | $ | (836) |  |  | $ | 8,370 |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 31,177 |  |  |  |  |  | (4,278) |  |  | 26,899 |  |  |  | 32,114 |  |  | 13 |  |  | (3,304) |  |  | 28,823 |
Non-agency |  | 607 |  |  | 115 |  |  | (9) |  |  | 713 |  |  |  | 697 |  |  | 131 |  |  | (9) |  |  | 819 |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 1,738 |  |  |  |  |  | (194) |  |  | 1,544 |  |  |  | 1,845 |  |  |  |  | (170) |  |  | 1,675 |
Non-agency |  | 982 |  |  |  |  |  | (59) |  |  | 923 |  |  |  | 1,325 |  |  |  |  | (69) |  |  | 1,256 |
Asset-backed |  | 1,084 |  |  | 18 |  |  | (7) |  |  | 1,095 |  |  |  | 103 |  |  | 27 |  |  | (1) |  |  | 129 |
Other |  | 2,908 |  |  | 42 |  |  | (251) |  |  | 2,699 |  |  |  | 3,288 |  |  | 44 |  |  | (245) |  |  | 3,087 |
Total securities available for sale |  | $ | 45,990 |  |  | $ | 179 |  |  | $ | (5,579) |  |  | $ | 40,590 |  |  |  | $ | 48,568 |  |  | $ | 225 |  |  | $ | (4,634) |  |  | $ | 44,159 |
Securities Held to Maturity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | 36,385 |  |  |  |  |  | $ | (1,946) |  |  | $ | 34,439 |  |  |  | $ | 36,571 |  |  | $ | 6 |  |  | $ | (1,617) |  |  | $ | 34,960 |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 43,390 |  |  |  |  |  | (5,056) |  |  | 38,334 |  |  |  | 45,271 |  |  | 74 |  |  | (3,095) |  |  | 42,250 |
Non-agency |  | 263 |  |  |  |  | (35) |  |  | 228 |  |  |  | 276 |  |  |  |  | (21) |  |  | 255 |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 910 |  |  |  |  |  | (53) |  |  | 857 |  |  |  | 848 |  |  | 4 |  |  | (26) |  |  | 826 |
Non-agency |  | 1,456 |  |  | $ | 1 |  |  | (28) |  |  | 1,429 |  |  |  | 1,667 |  |  |  |  | (40) |  |  | 1,627 |
Asset-backed |  | 6,214 |  |  | 3 |  |  | (97) |  |  | 6,120 |  |  |  | 7,188 |  |  | 6 |  |  | (140) |  |  | 7,054 |
Other |  | 3,179 |  |  | 4 |  |  | (143) |  |  | 3,040 |  |  |  | 3,354 |  |  | 25 |  |  | (72) |  |  | 3,307 |
Total securities held to maturity (d) |  | $ | 91,797 |  |  | $ | 8 |  |  | $ | (7,358) |  |  | $ | 84,447 |  |  |  | $ | 95,175 |  |  | $ | 115 |  |  | $ | (5,011) |  |  | $ | 90,279 |
(a) At September 30, 2023, the accrued interest associated with our held to maturity and available for sale portfolios totaled $255 million and $134 million, respectively. The comparable amounts at December 31, 2022 were $282 million and $144 million, respectively. These amounts are included in Other assets on the Consolidated Balance Sheet. (b) Credit ratings represent a primary credit quality indicator used to monitor and manage credit risk. Of our total securities portfolio, 97% were rated AAA/AA at both September 30, 2023 and December 31, 2022. (c) Amortized cost is presented net of allowance of $92 million for securities available for sale, primarily related to non-agency commercial mortgage-backed securities, and $6 million for securities held to maturity at September 30, 2023. The comparable amounts at December 31, 2022 were $142 million and $7 million, respectively. (d) Held to maturity securities transferred from available for sale are included in held to maturity at fair value at the time of the transfer. The amortized cost of held to maturity securities included net unrealized losses of $4.4 billion at September 30, 2023 related to securities transferred, which are offset in AOCI, net of tax. The fair value of investment securities is impacted by interest rates, credit spreads, market volatility and liquidity conditions. Securities available for sale are carried at fair value with net unrealized gains and losses included in Total shareholders’ equity as AOCI, unless credit-related. Net unrealized gains and losses are determined by taking the difference between the fair value of a security and its amortized cost, net of any allowance. Securities held to maturity are carried at amortized cost, net of any allowance. Investment securities at September 30, 2023 included less than $0.1 billion of net unsettled purchases that represent non-cash investing activity, and accordingly, are not reflected on the Consolidated Statement of Cash Flows. The comparable amount for September 30, 2022 was $2.0 billion of net unsettled purchases. We maintain the allowance for investment securities at levels that we believe to be appropriate as of the balance sheet date to absorb expected credit losses on our portfolio. At September 30, 2023, the allowance for investment securities was $98 million and primarily related to non-agency commercial mortgage-backed securities in the available for sale portfolio. The comparable amount at December 31, 2022 was $149 million. See Note 1 Accounting Policies in our 2022 Form 10-K for a discussion of the methodologies used to determine the allowance for investment securities. At September 30, 2023, AOCI included pretax losses of $297 million from derivatives that hedged the purchase of investment securities classified as held to maturity. The losses will be accreted to interest income as an adjustment of yield on the securities. Table 37 presents the gross unrealized losses and fair value of securities available for sale that do not have an associated allowance for investment securities at September 30, 2023 and December 31, 2022. These securities are segregated between investments that had been in a continuous unrealized loss position for less than twelve months and twelve months or more, based on the point in time that the fair value declined below the amortized cost basis. All securities included in the table have been evaluated to determine if a credit loss exists. As part of that assessment, as of September 30, 2023, we concluded that we do not intend to sell and believe we will not be required to sell these securities prior to recovery of the amortized cost basis. Table 37: Gross Unrealized Loss and Fair Value of Securities Available for Sale Without an Allowance for Credit Losses
|  | Unrealized loss position less than 12 months |  | Unrealized loss position 12 months or more |  | Total
In millions |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss |  | Fair Value
September 30, 2023 |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | (3) |  |  | $ | 374 |  |  | $ | (778) |  |  | $ | 6,013 |  |  | $ | (781) |  |  | $ | 6,387 |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | (107) |  |  | 3,294 |  |  | (4,171) |  |  | 23,547 |  |  | (4,278) |  |  | 26,841 |
Non-agency |  | (1) |  |  | 51 |  |  | (6) |  |  | 71 |  |  | (7) |  |  | 122 |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | (1) |  |  | 42 |  |  | (193) |  |  | 1,493 |  |  | (194) |  |  | 1,535 |
Non-agency |  |  |  |  |  | (55) |  |  | 793 |  |  | (55) |  |  | 793 |
Asset-backed |  | (6) |  |  | 687 |  |  | (1) |  |  | 10 |  |  | (7) |  |  | 697 |
Other |  | (8) |  |  | 205 |  |  | (208) |  |  | 2,152 |  |  | (216) |  |  | 2,357 |
Total securities available for sale |  | $ | (126) |  |  | $ | 4,653 |  |  | $ | (5,412) |  |  | $ | 34,079 |  |  | $ | (5,538) |  |  | $ | 38,732 |
December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | (601) |  |  | $ | 5,868 |  |  | $ | (235) |  |  | $ | 2,208 |  |  | $ | (836) |  |  | $ | 8,076 |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | (1,744) |  |  | 19,036 |  |  | (1,560) |  |  | 8,971 |  |  | (3,304) |  |  | 28,007 |
Non-agency |  | (6) |  |  | 112 |  |  | (2) |  |  | 17 |  |  | (8) |  |  | 129 |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | (125) |  |  | 1,283 |  |  | (45) |  |  | 372 |  |  | (170) |  |  | 1,655 |
Non-agency |  | (44) |  |  | 750 |  |  | (18) |  |  | 394 |  |  | (62) |  |  | 1,144 |
Asset-backed |  |  |  |  |  | (1) |  |  | 5 |  |  | (1) |  |  | 5 |
Other |  | (96) |  |  | 1,418 |  |  | (112) |  |  | 1,144 |  |  | (208) |  |  | 2,562 |
Total securities available for sale |  | $ | (2,616) |  |  | $ | 28,467 |  |  | $ | (1,973) |  |  | $ | 13,111 |  |  | $ | (4,589) |  |  | $ | 41,578 |
Information related to gross realized securities gains and losses from the sales of securities is set forth in the following table: Table 38: Gains (Losses) on Sales of Securities Available for Sale
Nine months ended September 30 In millions |  | Gross Gains | Gross Losses | Net Gains (Losses) | Tax Expense (Benefit) |
2023 |  |  |  | $ | (2) |  | $ | (2) |  |  |  |
2022 |  | $ | 11 |  | $ | (15) |  | $ | (4) |  | $ | (1) |  |
The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at September 30, 2023: Table 39: Contractual Maturity of Debt Securities
September 30, 2023 Dollars in millions |  | 1 Year or Less |  | After 1 Year through 5 Years |  | After 5 Years through 10 Years |  | After 10 Years |  | Total |
Securities Available for Sale |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | 1,912 |  |  | $ | 2,958 |  |  | $ | 800 |  |  | $ | 1,824 |  |  | $ | 7,494 |  |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |
Agency |  | 1 |  |  | 185 |  |  | 3,811 |  |  | 27,180 |  |  | 31,177 |  |
Non-agency |  |  |  |  |  | 9 |  |  | 598 |  |  | 607 |  |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |
Agency |  | 46 |  |  | 444 |  |  | 865 |  |  | 383 |  |  | 1,738 |  |
Non-agency |  | 1 |  |  | 103 |  |  | 118 |  |  | 760 |  |  | 982 |  |
Asset-backed |  |  |  | 249 |  |  | 171 |  |  | 664 |  |  | 1,084 |  |
Other |  | 286 |  |  | 2,055 |  |  | 416 |  |  | 151 |  |  | 2,908 |  |
Total securities available for sale at amortized cost |  | $ | 2,246 |  |  | $ | 5,994 |  |  | $ | 6,190 |  |  | $ | 31,560 |  |  | $ | 45,990 |  |
Fair value |  | $ | 2,179 |  |  | $ | 5,487 |  |  | $ | 5,603 |  |  | $ | 27,321 |  |  | $ | 40,590 |  |
Weighted-average yield, GAAP basis (a) |  | 1.25 | % |  | 2.25 | % |  | 2.77 | % |  | 3.08 | % |  | 2.84 | % |
Securities Held to Maturity |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | 3,087 |  |  | $ | 30,686 |  |  | $ | 1,705 |  |  | $ | 907 |  |  | $ | 36,385 |  |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |
Agency |  |  |  | 6 |  |  | 321 |  |  | 43,063 |  |  | 43,390 |  |
Non-agency |  |  |  |  |  |  |  | 263 |  |  | 263 |  |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |
Agency |  |  |  | 136 |  |  | 490 |  |  | 284 |  |  | 910 |  |
Non-agency |  | 42 |  |  | 49 |  |  |  |  |  | 1,365 |  |  | 1,456 |  |
Asset-backed |  | 7 |  |  | 1,886 |  |  | 1,949 |  |  | 2,372 |  |  | 6,214 |  |
Other |  | 181 |  |  | 1,053 |  |  | 600 |  |  | 1,345 |  |  | 3,179 |  |
Total securities held to maturity at amortized cost |  | $ | 3,317 |  |  | $ | 33,816 |  |  | $ | 5,065 |  |  | $ | 49,599 |  |  | $ | 91,797 |  |
Fair value |  | $ | 3,253 |  |  | $ | 32,192 |  |  | $ | 4,753 |  |  | $ | 44,249 |  |  | $ | 84,447 |  |
Weighted-average yield, GAAP basis (a) |  | 0.93 | % |  | 1.44 | % |  | 4.10 | % |  | 2.93 | % |  | 2.38 | % |
(a)Weighted-average yields are based on amortized cost with effective yields weighted for the contractual maturity of each security. Actual maturities and yields may differ as certain securities may be prepaid. At September 30, 2023, there were no securities of a single issuer, other than FNMA and FHLMC, that exceeded 10% of Total shareholders’ equity. The FNMA and FHLMC investments had a total amortized cost of $38.1 billion and $32.4 billion and fair value of $33.4 billion and $28.7 billion, respectively. The following table presents the fair value of securities that have been either pledged to or accepted from others to collateralize outstanding borrowings: Table 40: Fair Value of Securities Pledged and Accepted as Collateral
In millions | September 30, 2023 | December 31, 2022
Pledged to others | $ | 27,462 |  | $ | 24,708 |
Accepted from others: |  |
Permitted by contract or custom to sell or repledge | $ | 946 |  | $ | 1,266 |
Permitted amount repledged to others | $ | 946 |  | $ | 1,266 |
The securities pledged to others include positions held in our portfolio of investment securities, trading securities and securities accepted as collateral from others that we are permitted by contract or custom to sell or repledge, and were used to secure public and trust deposits, repurchase agreements and for other purposes. See Note 12 Financial Derivatives for information related to securities pledged and accepted as collateral for derivatives.

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- Definition This item represents the entire disclosure related to Investments in Certain Debt and Equity Securities which include all debt and equity securities (other than those equity securities accounted for under the equity or cost methods of accounting) with readily determinable fair values. A debt security represents a creditor relationship with an enterprise that is in the form of a security. Debt securities include, among other items, US Treasury securities, US government securities, municipal securities, corporate bonds, convertible debt, commercial paper, and all securitized debt instruments. An equity security represents an ownership interest in an enterprise or the right to acquire or dispose of an ownership interest in an enterprise at fixed or determinable prices. Equity securities include, among other things, common stock, certain preferred stock, warrant rights, call options, and put options, but do not include convertible debt. + References No definition available. + Details
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