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Debt Securities

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Securities

mortized cost, gross unrealized gains and losses, and estimated fair value of debt securities held to maturity and debt securities available for sale are as follows:

			March 31, 2023
									Recognized in OCI (1)																		Not recognized in OCI
			Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Carrying Value						Gross Unrealized Gains						Gross Unrealized Losses						Estimated Fair Value
			(In millions)
Debt securities held to maturity:
Mortgage-backed securities:
Residential agency			$	279					$	—					$	(10)					$	269					$	—					$	(16)					$	253
Commercial agency			522						—						(1)						521						—						(25)						496
			$	801					$	—					$	(11)					$	790					$	—					$	(41)					$	749
Debt securities available for sale:
U.S. Treasury securities			$	1,307					$	—					$	(102)					$	1,205																	$	1,205
Federal agency securities			992						3						(49)						946																		946
Obligations of states and political subdivisions			2						—						—						2																		2
Mortgage-backed securities:
Residential agency			19,407						3						(2,245)						17,165																		17,165
Commercial agency			8,192						2						(537)						7,657																		7,657
Commercial non-agency			134						—						(11)						123																		123
Corporate and other debt securities			1,180						3						(51)						1,132																		1,132
			$	31,214					$	11					$	(2,995)					$	28,230																	$	28,230

 

			December 31, 2022
									Recognized in OCI (1)																		Not recognized in OCI
			Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Carrying Value						Gross Unrealized Gains						Gross Unrealized Losses						Estimated Fair Value
			(In millions)
Debt securities held to maturity:
Mortgage-backed securities:
Residential agency			$	289					$	—					$	(10)					$	279					$	—					$	(21)					$	258
Commercial agency			523						—						(1)						522						—						(29)						493
			$	812					$	—					$	(11)					$	801					$	—					$	(50)					$	751
Debt securities available for sale:
U.S. Treasury securities			$	1,310					$	—					$	(123)					$	1,187																	$	1,187
Federal agency securities			898						—						(62)						836																		836
Obligations of states and political subdivisions			2						—						—						2																		2
Mortgage-backed securities:
Residential agency			19,477						—						(2,523)						16,954																		16,954
Residential non-agency			1						—						—						1																		1
Commercial agency			8,262						—						(649)						7,613																		7,613
Commercial non-agency			198						—						(12)						186																		186
Corporate and other debt securities			1,219						1						(66)						1,154																		1,154
			$	31,367					$	1					$	(3,435)					$	27,933																	$	27,933

_________

(1)The gross unrealized losses recognized in OCI on securities held to maturity resulted from a transfer of securities available for sale to held to maturity in the second quarter of 2013.

Debt securities with carrying values of $11.9 billion and $8.8 billion at March 31, 2023 and December 31, 2022, respectively, were pledged to secure public funds, trust deposits and other borrowing arrangements.

The amortized cost and estimated fair value of debt securities held to maturity and debt securities available for sale at March 31, 2023, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

			Amortized Cost						Estimated Fair Value
			(In millions)
Debt securities held to maturity:
Mortgage-backed securities:
Residential agency			$	279					$	253
Commercial agency			522						496
			$	801					$	749
Debt securities available for sale:
Due in one year or less			$	183					$	181
Due after one year through five years			2,290						2,172
Due after five years through ten years			843						782
Due after ten years			165						150
Mortgage-backed securities:
Residential agency			19,407						17,165
Commercial agency			8,192						7,657
Commercial non-agency			134						123
			$	31,214					$	28,230

The following tables present gross unrealized losses and the related estimated fair value of debt securities held to maturity and debt securities available for sale at March 31, 2023 and December 31, 2022. For debt securities transferred to held to maturity from available for sale, the analysis in the tables below compares the securities' original amortized cost to its current estimated fair value. All securities in an unrealized position are segregated between investments that have been in a continuous unrealized loss position for less than twelve months and for twelve months or more.

			March 31, 2023
			Less Than Twelve Months												Twelve Months or More												Total
			Estimated Fair Value						Gross Unrealized Losses						Estimated Fair Value						Gross Unrealized Losses						Estimated Fair Value						Gross Unrealized Losses
			(In millions)
Debt securities held to maturity:
Mortgage-backed securities:
Residential agency			$	—					$	—					$	253					$	(25)					$	253					$	(25)
Commercial agency			457						(20)						38						(6)						495						(26)
			$	457					$	(20)					$	291					$	(31)					$	748					$	(51)
Debt securities available for sale:
U.S Treasury securities			$	250					$	(2)					$	950					$	(100)					$	1,200					$	(102)
Federal agency securities			51						(1)						650						(48)						701						(49)
Mortgage-backed securities:
Residential agency			2,189						(84)						14,734						(2,161)						16,923						(2,245)
Commercial agency			3,533						(145)						3,608						(392)						7,141						(537)
Commercial non-agency			58						(6)						65						(5)						123						(11)
Corporate and other debt securities			363						(9)						654						(42)						1,017						(51)
			$	6,444					$	(247)					$	20,661					$	(2,748)					$	27,105					$	(2,995)

 

			December 31, 2022
			Less Than Twelve Months												Twelve Months or More												Total
			Estimated Fair Value						Gross Unrealized Losses						Estimated Fair Value						Gross Unrealized Losses						Estimated Fair Value						Gross Unrealized Losses
			(In millions)
Debt securities held to maturity:
Mortgage-backed securities:
Residential agency			$	251					$	(29)					$	7					$	(1)					$	258					$	(30)
Commercial agency			469						(26)						24						(4)						493						(30)
			$	720					$	(55)					$	31					$	(5)					$	751					$	(60)
Debt securities available for sale:
U.S. Treasury securities			$	276					$	(8)					$	903					$	(115)					$	1,179					$	(123)
Federal agency securities			766						(50)						53						(12)						819						(62)
Mortgage-backed securities:
Residential agency			9,350						(1,005)						7,578						(1,518)						16,928						(2,523)
Commercial agency			6,110						(400)						1,503						(249)						7,613						(649)
Commercial non-agency			141						(8)						45						(4)						186						(12)
Corporate and other debt securities			736						(36)						354						(30)						1,090						(66)
			$	17,379					$	(1,507)					$	10,436					$	(1,928)					$	27,815					$	(3,435)

The number of individual debt positions in an unrealized loss position in the tables above decreased from 1,806 at December 31, 2022 to 1,763 at March 31, 2023. The decrease in the number of securities and the total amount of unrealized losses from year-end 2022 was primarily due to changes in market interest rates. In instances where an unrealized loss existed, there was no indication of an adverse change in credit on the underlying positions in the tables above. As it relates to these positions, management believes no individual unrealized loss represented credit impairment as of those dates. The Company does not intend to sell, and it is not more likely than not that the Company will be required to sell, the positions before the recovery of their amortized cost basis, which may be at maturity.

Gross realized gains and gross realized losses on sales of debt securities available for sale were immaterial for the three months ended March 31, 2023. The cost of securities sold is based on the specific identification method. As part of the Company's normal process for evaluating impairment, management did not identify any positions where impairment was believed to exist in either of the three months ended March 31, 2023 or 2022.

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- Definition

The entire disclosure for investments in certain debt and equity securities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 942
-SubTopic 320
-URI https://asc.fasb.org/subtopic&trid=2209399

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 946
-SubTopic 320
-URI https://asc.fasb.org/subtopic&trid=2324412

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-URI https://asc.fasb.org/topic&trid=2196928

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 940
-SubTopic 320
-URI https://asc.fasb.org/subtopic&trid=2176304

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Publisher SEC
-Name Regulation S-K (SK)
-Number 229
-Section 1403
-Paragraph (b)

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