Quarterly report pursuant to Section 13 or 15(d)

INVESTMENT SECURITIES AND OTHER SECURITIES (Tables)

v3.24.2
INVESTMENT SECURITIES AND OTHER SECURITIES (Tables)
6 Months Ended
Jun. 30, 2024
Investments, Debt and Equity Securities [Abstract]  
Amortized Cost, Fair Value, and Gross Unrealized Gains and Losses by Investment Category The following tables provide amortized cost, fair value, and gross unrealized gains and losses by investment category.
Unrealized
(dollar amounts in millions)
Amortized
Cost (1)(2)
Gross
Gains
Gross
Losses
Fair Value
At June 30, 2024
Available-for-sale securities:
U.S. Treasury $ 6,112  $ $ (2) $ 6,111 
Federal agencies:
Residential CMO 3,440  —  (448) 2,992 
Residential MBS 12,586  (1,972) 10,615 
Commercial MBS 2,525  —  (747) 1,778 
Other agencies 149  —  (7) 142 
Total U.S. Treasury, federal agency, and other agency securities
24,812  (3,176) 21,638 
Municipal securities 3,556  —  (178) 3,378 
Private-label CMO 124  —  (12) 112 
Asset-backed securities 332  —  (26) 306 
Corporate debt 2,167  90  (247) 2,010 
Other securities/sovereign debt
10  —  —  10 
Total available-for-sale securities $ 31,001  $ 92  $ (3,639) $ 27,454 
Held-to-maturity securities:
Federal agencies:
Residential CMO $ 4,542  $ $ (714) $ 3,829 
Residential MBS 8,956  —  (1,345) 7,611 
Commercial MBS 1,450  —  (242) 1,208 
Other agencies 87  —  (6) 81 
Total federal agency and other agency securities 15,035  (2,307) 12,729 
Municipal securities —  — 
Total held-to-maturity securities $ 15,036  $ $ (2,307) $ 12,730 
Other securities, at cost:
Non-marketable equity securities:
Federal Home Loan Bank stock $ 276  $ —  $ —  $ 276 
Federal Reserve Bank stock 519  —  —  519 
Equity securities 17  —  —  17 
Other securities, at fair value:
Mutual funds 30  —  —  30 
Equity securities — 
Total other securities $ 843  $ $ —  $ 844 
(1)Amortized cost amounts exclude accrued interest receivable, which is recorded within accrued income and other receivables on the Unaudited Consolidated Balance Sheets. At June 30, 2024, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $72 million and $34 million, respectively.
(2)Excluded from the amortized cost are portfolio level basis adjustments for securities designated in fair value hedges under the portfolio layer method. The basis adjustments totaled $642 million and represent a reduction to the amortized cost of the securities being hedged. The securities being hedged under the portfolio layer method are primarily Residential CMO and Residential MBS securities.
Unrealized
(dollar amounts in millions) Amortized
Cost (1)(2)
Gross
Gains
Gross
Losses
Fair Value
At December 31, 2023
Available-for-sale securities:
U.S. Treasury $ 2,855  $ $ —  $ 2,856 
Federal agencies:
Residential CMO 3,592  —  (408) 3,184 
Residential MBS 13,155  (1,776) 11,382 
Commercial MBS 2,536  —  (709) 1,827 
Other agencies 161  —  (6) 155 
Total U.S. Treasury, federal agency, and other agency securities 22,299  (2,899) 19,404 
Municipal securities 3,536  (165) 3,373 
Private-label CMO 131  —  (12) 119 
Asset-backed securities 387  —  (31) 356 
Corporate debt 2,202  79  (238) 2,043 
Other securities/sovereign debt
10  —  —  10 
Total available-for-sale securities $ 28,565  $ 85  $ (3,345) $ 25,305 
Held-to-maturity securities:
Federal agencies:
Residential CMO $ 4,770  $ $ (664) $ 4,112 
Residential MBS 9,368  (1,145) 8,224 
Commercial MBS 1,509  —  (224) 1,285 
Other agencies 101  —  (6) 95 
Total federal agency and other agency securities 15,748  (2,039) 13,716 
Municipal securities —  — 
Total held-to-maturity securities $ 15,750  $ $ (2,039) $ 13,718 
Other securities, at cost:
Non-marketable equity securities:
Federal Home Loan Bank stock $ 169  $ —  $ —  $ 169 
Federal Reserve Bank stock 507  —  —  507 
Other non-marketable equity securities 17  —  —  17 
Other securities, at fair value:
Mutual funds 30  —  —  30 
Equity securities — 
Total other securities $ 724  $ $ —  $ 725 
(1)Amortized cost amounts exclude accrued interest receivable, which is recorded within accrued income and other receivables on the Unaudited Consolidated Balance Sheets. At December 31, 2023, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $61 million and $36 million, respectively.
(2)Excluded from the amortized cost are portfolio level basis adjustments for securities designated in fair value hedges under the portfolio layer method. The basis adjustments totaled $619 million and represent a reduction to the amortized cost of the securities being hedged. The securities being hedged under the portfolio layer method are primarily Residential CMO and Residential MBS securities.
Investments by Contractual Maturity The following table provides the amortized cost and fair value of securities by contractual maturity. Expected maturities may differ from contractual maturities as issuers may have the right to call or prepay obligations with or without incurring penalties.
At June 30, 2024 At December 31, 2023
(dollar amounts in millions) Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
Available-for-sale securities:
Under 1 year $ 5,480  $ 5,469  $ 3,380  $ 3,372 
After 1 year through 5 years 3,769  3,608  2,484  2,338 
After 5 years through 10 years 2,396  2,235  2,392  2,255 
After 10 years 19,356  16,142  20,309  17,340 
Total available-for-sale securities $ 31,001  $ 27,454  $ 28,565  $ 25,305 
Held-to-maturity securities:
Under 1 year $ —  $ —  $ $
After 1 year through 5 years 38  37  48  46 
After 5 years through 10 years 64  60  69  66 
After 10 years 14,934  12,633  15,632  13,605 
Total held-to-maturity securities $ 15,036  $ 12,730  $ 15,750  $ 13,718 
Investments with Unrealized Losses by Investment Category
The following tables provide detail on investment securities with unrealized losses aggregated by investment category and the length of time the individual securities have been in a continuous loss position.
Less than 12 Months Over 12 Months Total
(dollar amounts in millions) Fair
Value
Gross Unrealized
Losses
Fair
Value
Gross Unrealized
Losses
Fair
Value
Gross Unrealized
Losses
At June 30, 2024
Available-for-sale securities:
U.S. Treasury $ 2,761  $ (2) $ —  $ —  $ 2,761  $ (2)
Federal agencies:
Residential CMO 223  (4) 2,769  (444) 2,992  (448)
Residential MBS 273  (4) 10,253  (1,968) 10,526  (1,972)
Commercial MBS —  —  1,778  (747) 1,778  (747)
Other agencies —  —  72  (7) 72  (7)
Total federal agency and other agency securities 3,257  (10) 14,872  (3,166) 18,129  (3,176)
Municipal securities 848  (25) 2,422  (153) 3,270  (178)
Private-label CMO —  —  92  (12) 92  (12)
Asset-backed securities —  —  271  (26) 271  (26)
Corporate debt —  —  2,009  (247) 2,009  (247)
Total temporarily impaired available-for-sale securities $ 4,105  $ (35) $ 19,666  $ (3,604) $ 23,771  $ (3,639)
Held-to-maturity securities:
Federal agencies:
Residential CMO $ 202  $ (2) $ 3,416  $ (712) $ 3,618  $ (714)
Residential MBS 81  (2) 7,530  (1,343) 7,611  (1,345)
Commercial MBS —  —  1,208  (242) 1,208  (242)
Other agencies —  —  81  (6) 81  (6)
Total federal agency and other agency securities 283  (4) 12,235  (2,303) 12,518  (2,307)
Total temporarily impaired held-to-maturity securities $ 283  $ (4) $ 12,235  $ (2,303) $ 12,518  $ (2,307)
Less than 12 Months Over 12 Months Total
(dollar amounts in millions) Fair
Value
Gross Unrealized
Losses
Fair
Value
Gross Unrealized
Losses
Fair
Value
Gross Unrealized
Losses
At December 31, 2023
Available-for-sale securities:
Federal agencies:
Residential CMO $ 543  $ (7) $ 2,641  $ (401) $ 3,184  $ (408)
Residential MBS 207  (2) 10,913  (1,774) 11,120  (1,776)
Commercial MBS —  —  1,827  (709) 1,827  (709)
Other agencies —  —  81  (6) 81  (6)
Total federal agency and other agency securities 750  (9) 15,462  (2,890) 16,212  (2,899)
Municipal securities 625  (19) 2,496  (146) 3,121  (165)
Private-label CMO —  —  99  (12) 99  (12)
Asset-backed securities —  —  281  (31) 281  (31)
Corporate debt —  —  2,043  (238) 2,043  (238)
Total temporarily impaired available-for-sale securities $ 1,375  $ (28) $ 20,381  $ (3,317) $ 21,756  $ (3,345)
Held-to-maturity securities:
Federal agencies:
Residential CMO $ 156  $ (1) $ 3,542  $ (663) $ 3,698  $ (664)
Residential MBS —  —  8,108  (1,145) 8,108  (1,145)
Commercial MBS —  —  1,285  (224) 1,285  (224)
Other agencies —  —  95  (6) 95  (6)
Total federal agency and other agency securities 156  (1) 13,030  (2,038) 13,186  (2,039)
Total temporarily impaired held-to-maturity securities $ 156  $ (1) $ 13,030  $ (2,038) $ 13,186  $ (2,039)