Investment Securities

6 Months Ended

Jun. 30, 2024

Investments, Debt and Equity Securities [Abstract]

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

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


	June 30, 2024								December 31, 2023
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	$	16,868	$	19	$	(413)	$	16,474	$	7,596	$	22	$	(667)	$	6,951
Residential mortgage-backed
Agency	30,234		15		(3,153)		27,096		30,643		46		(2,809)		27,880
Non-agency	534		99		(9)		624		585		118		(7)		696
Commercial mortgage-backed
Agency	1,758				(141)		1,617		1,680		1		(135)		1,546
Non-agency	824		1		(28)		797		913		1		(45)		869
Asset-backed	2,097		27		(4)		2,120		1,092		25		(1)		1,116
Other	2,581		41		(162)		2,460		2,844		44		(161)		2,727
Total securities available for sale	$	54,896	$	202	$	(3,910)	$	51,188	$	45,353	$	257	$	(3,825)	$	41,785
Securities Held to Maturity
U.S. Treasury and government agencies	$	35,468			$	(1,302)	$	34,166	$	36,529	$	9	$	(1,141)	$	35,397
Residential mortgage-backed
Agency	41,865		$	13	(3,805)		38,073		42,686		92		(2,733)		40,045
Non-agency	250				(23)		227		259				(17)		242
Commercial mortgage-backed
Agency	956		2		(31)		927		939		9		(23)		925
Non-agency	1,189		2		(17)		1,174		1,373		2		(27)		1,348
Asset-backed	4,833		22		(30)		4,825		5,890		17		(39)		5,868
Other	2,896		23		(56)		2,863		3,108		50		(35)		3,123
Total securities held to maturity (d)	$	87,457	$	62	$	(5,264)	$	82,255	$	90,784	$	179	$	(4,015)	$	86,948

(a) At June 30, 2024, the accrued interest associated with our held to maturity and available for sale portfolios totaled $268 million and $252 million, respectively. The comparable amounts at December 31, 2023 were $281 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 June 30, 2024 and December 31, 2023.

(c) Amortized cost is presented net of allowance of $88 million for securities available for sale, primarily related to non-agency commercial mortgage-backed securities, and $5 million for securities held to maturity at June 30, 2024. The comparable amounts at December 31, 2023 were $86 million and $6 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 $3.8 billion at June 30, 2024 related to securities transferred, which are offset in AOCI, net of tax. The comparable amount at December 31, 2023 was $4.2 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 June 30, 2024 included $151 million 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 June 30, 2023 was $197 million 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 June 30, 2024, the allowance for investment securities was $93 million and primarily related to non-agency commercial mortgage-backed securities in the available for sale portfolio. The comparable amount at December 31, 2023 was $92 million. See Note 1 Accounting Policies in our 2023 Form 10-K for a discussion of the methodologies used to determine the allowance for investment securities.

At June 30, 2024, AOCI included pretax losses of $285 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 June 30, 2024 and December 31, 2023. 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 June 30, 2024, 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
June 30, 2024

U.S. Treasury and government agencies	$	(30)	$	10,966	$	(383)	$	2,960	$	(413)	$	13,926
Residential mortgage-backed
Agency	(22)		2,576		(3,131)		21,752		(3,153)		24,328
Non-agency					(6)		87		(6)		87
Commercial mortgage-backed
Agency	(2)		189		(139)		1,397		(141)		1,586
Non-agency					(28)		654		(28)		654
Asset-backed	(3)		694		(1)		93		(4)		787
Other	(1)		105		(139)		1,932		(140)		2,037
Total securities available for sale	$	(58)	$	14,530	$	(3,827)	$	28,875	$	(3,885)	$	43,405
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

Table 37: Gains (Losses) on Sales of Securities Available for Sale


Six months ended June 30 In millions	Gross Gains		Gross Losses		Net Gains (Losses)		Tax Expense (Benefit)
2024	$	2	$	(501)	$	(499)	$	(105)
2023			$	(2)	$	(2)

In the second quarter of 2024, we sold available for sale securities with a market value of $3.8 billion, resulting in a loss of $497 million.

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at June 30, 2024:

Table 38: Contractual Maturity of Debt Securities


June 30, 2024 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	$	1,202		$	2,470		$	10,854		$	2,342		$	16,868
Residential mortgage-backed
Agency	1			222			3,472			26,539			30,234
Non-agency							11			523			534
Commercial mortgage-backed
Agency	6			664			751			337			1,758
Non-agency	1			105			73			645			824
Asset-backed				667			318			1,112			2,097
Other	280			1,866			291			144			2,581
Total securities available for sale at amortized cost	$	1,490		$	5,994		$	15,770		$	31,642		$	54,896
Fair value	$	1,480		$	5,808		$	15,422		$	28,478		$	51,188
Weighted-average yield, GAAP basis (a)	1.43		%	3.57		%	4.13		%	3.50		%	3.63		%
Securities Held to Maturity
U.S. Treasury and government agencies	$	10,363		$	22,586		$	1,635		$	884		$	35,468
Residential mortgage-backed
Agency				9			309			41,547			41,865
Non-agency										250			250
Commercial mortgage-backed
Agency				158			587			211			956
Non-agency				49						1,140			1,189
Asset-backed	20			1,329			2,228			1,256			4,833
Other	202			968			433			1,293			2,896
Total securities held to maturity at amortized cost	$	10,585		$	25,099		$	5,192		$	46,581		$	87,457
Fair value	$	10,461		$	24,133		$	4,989		$	42,672		$	82,255
Weighted-average yield, GAAP basis (a)	0.96		%	1.60		%	3.79		%	2.97		%	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 June 30, 2024, 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 $35.9 billion and $31.4 billion, and fair value of $32.4 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 39: Fair Value of Securities Pledged and Accepted as Collateral


In millions	June 30, 2024		December 31, 2023
Pledged to others	$	70,186	$	29,878
Accepted from others:
Permitted by contract or custom to sell or repledge	$	681	$	755
Permitted amount repledged to others	$	681	$	755

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.