Investment Securities

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

INVESTMENT SECURITIES

The following table summarizes our available for sale and held to maturity portfolios by major security type:

Table 35: Investment Securities Summary (a)(b)


	December 31, 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	$	7,596	$	22	$	(667)	$	6,951	$	9,196	$	10	$	(836)	$	8,370
Residential mortgage-backed
Agency	30,643		46		(2,809)		27,880		32,114		13		(3,304)		28,823
Non-agency	585		118		(7)		696		697		131		(9)		819
Commercial mortgage-backed
Agency	1,680		1		(135)		1,546		1,845				(170)		1,675
Non-agency	913		1		(45)		869		1,325				(69)		1,256
Asset-backed	1,092		25		(1)		1,116		103		27		(1)		129
Other	2,844		44		(161)		2,727		3,288		44		(245)		3,087
Total securities available for sale	$	45,353	$	257	$	(3,825)	$	41,785	$	48,568	$	225	$	(4,634)	$	44,159
Securities Held to Maturity
U.S. Treasury and government agencies	$	36,529	$	9	$	(1,141)	$	35,397	$	36,571	$	6	$	(1,617)	$	34,960
Residential mortgage-backed
Agency	42,686		92		(2,733)		40,045		45,271		74		(3,095)		42,250
Non-agency	259				(17)		242		276				(21)		255
Commercial mortgage-backed
Agency	939		9		(23)		925		848		4		(26)		826
Non-agency	1,373		2		(27)		1,348		1,667				(40)		1,627
Asset-backed	5,890		17		(39)		5,868		7,188		6		(140)		7,054
Other	3,108		50		(35)		3,123		3,354		25		(72)		3,307
Total securities held to maturity (d)	$	90,784	$	179	$	(4,015)	$	86,948	$	95,175	$	115	$	(5,011)	$	90,279

(a) At December 31, 2023, the accrued interest associated with our held to maturity and available for sale portfolios totaled $281 million and $144 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 December 31, 2023 and 2022.

(c) Amortized cost is presented net of allowance of $86 million for securities available for sale, primarily related to non-agency commercial mortgage-backed securities and $6 million for securities held to maturity at December 31, 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 $4.2 billion at December 31, 2023, related to securities transferred, which are offset in AOCI, net of tax. The comparable amount at December 31, 2022 was $5.1 billion.

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 December 31, 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 December 31, 2022 was $0.2 billion.

During 2022, we transferred securities with a fair value of $82.7 billion from available for sale to held to maturity. The securities transferred included $34.0 billion of U.S. Treasury and government agency securities, $39.0 billion of agency residential mortgage-backed securities, $6.3 billion of asset-backed securities and $3.4 billion of various other security types. The securities were reclassified at fair value at the time of the transfer and the transfers represented non-cash transactions. There were no securities transferred during 2023.

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. As of December 31, 2023, the allowance for investment securities was $92 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 for a discussion of the methodologies used to determine the allowance for investment securities.

At December 31, 2023, AOCI included pretax losses of $293 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 36 presents the gross unrealized losses and fair value of securities available for sale that do not have an associated allowance for investment securities at December 31, 2023 and 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 December 31, 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 36: 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
December 31, 2023
U.S. Treasury and government agencies					$	(666)	$	6,035	$	(666)	$	6,035
Residential mortgage-backed
Agency	$	(4)	$	1,015	(2,805)		24,306		(2,809)		25,321
Non-agency	(1)		15		(4)		84		(5)		99
Commercial mortgage-backed
Agency					(135)		1,495		(135)		1,495
Non-agency					(45)		731		(45)		731
Asset-backed					(1)		9		(1)		9
Other	(3)		78		(136)		2,106		(139)		2,184
Total securities available for sale	$	(8)	$	1,108	$	(3,792)	$	34,766	$	(3,800)	$	35,874
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 37: Gains (Losses) on Sales of Securities Available for Sale


Year ended December 31 In millions	Gross Gains		Gross Losses		Net Gains (Losses)		Tax Expense (Benefit)
2023			$	(2)	$	(2)
2022	$	11	$	(18)	$	(7)	$	(1)
2021	$	360	$	(296)	$	64	$	13

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at December 31, 2023:

Table 38: Contractual Maturity of Debt Securities


	1 Year or Less			After 1 Year through 5 Years			After 5 Years through 10 Years			After 10 Years			Total
Dollars in millions
Securities Available for Sale
U.S. Treasury and government agencies	$	2,055		$	2,968		$	461		$	2,112		$	7,596
Residential mortgage-backed
Agency	1			210			3,766			26,666			30,643
Non-agency							12			573			585
Commercial mortgage-backed
Agency	31			576			718			355			1,680
Non-agency	1			106			118			688			913
Asset-backed				273			171			648			1,092
Other	279			2,093			321			151			2,844
Total securities available for sale at amortized cost	$	2,367		$	6,226		$	5,567		$	31,193		$	45,353
Fair value	$	2,309		$	5,822		$	5,265		$	28,389		$	41,785
Weighted-average yield, GAAP basis (a)	0.99		%	2.32		%	2.94		%	3.12		%	2.88		%
Securities Held to Maturity
U.S. Treasury and government agencies	$	8,177		$	25,744		$	1,711		$	897		$	36,529
Residential mortgage-backed
Agency				10			329			42,347			42,686
Non-agency										259			259
Commercial mortgage-backed
Agency				151			518			270			939
Non-agency	29			50						1,294			1,373
Asset-backed	2			1,689			2,269			1,930			5,890
Other	221			1,025			552			1,310			3,108
Total securities held to maturity at amortized cost	$	8,429		$	28,669		$	5,379		$	48,307		$	90,784
Fair value	$	8,299		$	27,830		$	5,232		$	45,587		$	86,948
Weighted-average yield, GAAP basis (a)	0.85		%	1.55		%	4.20		%	2.92		%	2.37		%

(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 December 31, 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 $37.3 billion and $32.1 billion and fair value of $34.6 billion and $30.0 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 39: Fair Value of Securities Pledged and Accepted as Collateral


In millions	December 31 2023		December 31 2022
Pledged to others	$	29,878	$	24,708
Accepted from others:
Permitted by contract or custom to sell or repledge	$	755	$	1,266
Permitted amount repledged to others	$	755	$	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 15 Financial Derivatives for information related to securities pledged and accepted as collateral for derivatives.