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Debt Securities

9 Months Ended

Sep. 30, 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:

			September 30, 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			$	255					$	—					$	(8)					$	247					$	—					$	(28)					$	219
Commercial agency			517						—						(1)						516						—						(32)						484
			$	772					$	—					$	(9)					$	763					$	—					$	(60)					$	703
Debt securities available for sale:
U.S. Treasury securities			$	1,316					$	—					$	(130)					$	1,186																	$	1,186
Federal agency securities			1,087						—						(83)						1,004																		1,004
Obligations of states and political subdivisions			2						—						—						2																		2
Mortgage-backed securities:
Residential agency			18,802						—						(3,062)						15,740																		15,740
Commercial agency			7,934						—						(776)						7,158																		7,158
Commercial non-agency			93						—						(15)						78																		78
Corporate and other debt securities			1,119						—						(59)						1,060																		1,060
			$	30,353					$	—					$	(4,125)					$	26,228																	$	26,228

 

			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 $23.3 billion and $8.8 billion at September 30, 2023 and December 31, 2022, respectively, were pledged to secure public funds, trust deposits and other borrowing arrangements, including the BTFP. Securities that are pledged to secure funding from the BTFP are unencumbered until an advance is taken through the program.

The amortized cost and estimated fair value of debt securities held to maturity and debt securities available for sale at September 30, 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			$	255					$	219
Commercial agency			517						484
			$	772					$	703
Debt securities available for sale:
Due in one year or less			$	273					$	268
Due after one year through five years			2,696						2,477
Due after five years through ten years			391						367
Due after ten years			164						140
Mortgage-backed securities:
Residential agency			18,802						15,740
Commercial agency			7,934						7,158
Commercial non-agency			93						78
			$	30,353					$	26,228

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 September 30, 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.

			September 30, 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			$	—					$	—					$	220					$	(36)					$	220					$	(36)
Commercial agency			—						—						483						(33)						483						(33)
			$	—					$	—					$	703					$	(69)					$	703					$	(69)
Debt securities available for sale:
U.S Treasury securities			$	13					$	—					$	1,162					$	(130)					$	1,175					$	(130)
Federal agency securities			332						(18)						643						(65)						975						(83)
Mortgage-backed securities:
Residential agency			966						(46)						14,760						(3,016)						15,726						(3,062)
Commercial agency			678						(52)						6,480						(724)						7,158						(776)
Commercial non-agency			—						—						78						(15)						78						(15)
Corporate and other debt securities			134						(2)						897						(57)						1,031						(59)
			$	2,123					$	(118)					$	24,020					$	(4,007)					$	26,143					$	(4,125)

 

			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 increased to 1,842 at September 30, 2023 from 1,806 at December 31, 2022. The increase 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 and nine months ended September 30, 2023 and 2022. The cost of securities sold is based on the specific identification method. As part of the Company's normal process for evaluating impairment, impairment identified by management was immaterial for the three and nine months ended September 30, 2023. No impairment was identified by management for the three and nine months ended September 30, 2022.

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- Definition

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

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