Quarterly report pursuant to Section 13 or 15(d)

INVESTMENT SECURITIES AND OTHER SECURITIES (Tables)

v3.24.3
INVESTMENT SECURITIES AND OTHER SECURITIES (Tables)
 9 Months Ended
Sep. 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 September 30, 2024
Available-for-sale securities:
U.S. Treasury $ 6,508  $ 24  $ (2) $ 6,530 
Federal agencies:
Residential CMO 3,363  —  (341) 3,022 
Residential MBS 12,277  5  (1,497) 10,785 
Commercial MBS 2,521  —  (651) 1,870 
Other agencies 140  —  (4) 136 
Total U.S. Treasury, federal agency, and other agency securities
 24,809  29  (2,495) 22,343 
Municipal securities 3,756  4  (112) 3,648 
Private-label CMO 122  —  (8) 114 
Asset-backed securities 323  —  (17) 306 
Corporate debt 2,179  62  (170) 2,071 
Other securities/sovereign debt
 10  —  —  10 
Total available-for-sale securities $ 31,199  $ 95  $ (2,802) $ 28,492 
Held-to-maturity securities:
U.S. Treasury $ 996  $ 2  $ (1) $ 997 
Federal agencies:
Residential CMO 4,429  11  (570) 3,870 
Residential MBS 8,735  1  (983) 7,753 
Commercial MBS 1,428  —  (192) 1,236 
Other agencies 80  —  (4) 76 
Total federal agency and other agency securities 15,668  14  (1,750) 13,932 
Municipal securities 2  —  (1) 1 
Total held-to-maturity securities $ 15,670  $ 14  $ (1,751) $ 13,933 
Other securities, at cost:
Non-marketable equity securities:
Federal Home Loan Bank stock $ 249  $ —  $ —  $ 249 
Federal Reserve Bank stock 520  —  —  520 
Other non-marketable equity securities
 25  —  —  25 
Other securities, at fair value:
Mutual funds 31  —  —  31 
Equity securities 1  —  —  1 
Total other securities $ 826  $ —  $ —  $ 826 
(1)Amortized cost amounts exclude accrued interest receivable, which is recorded within accrued income and other receivables on the Unaudited Consolidated Balance Sheets. At September 30, 2024, accrued interest receivable on available-for-sale securities and held-to-maturity securities totaled $88 million and $38 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 $377 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  $ 1  $ —  $ 2,856 
Federal agencies:
Residential CMO 3,592  —  (408) 3,184 
Residential MBS 13,155  3  (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  4  (2,899) 19,404 
Municipal securities 3,536  2  (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  6  (664) 4,112 
Residential MBS 9,368  1  (1,145) 8,224 
Commercial MBS 1,509  —  (224) 1,285 
Other agencies 101  —  (6) 95 
Total U.S. Treasury, federal agency, and other agency securities 15,748  7  (2,039) 13,716 
Municipal securities 2  —  —  2 
Total held-to-maturity securities $ 15,750  $ 7  $ (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 1  1  —  2 
Total other securities $ 724  $ 1  $ —  $ 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 September 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 $ 4,936  $ 4,939  $ 3,380  $ 3,372 
After 1 year through 5 years 4,817  4,717  2,484  2,338 
After 5 years through 10 years 2,392  2,286  2,392  2,255 
After 10 years 19,054  16,550  20,309  17,340 
Total available-for-sale securities $ 31,199  $ 28,492  $ 28,565  $ 25,305 
Held-to-maturity securities:
Under 1 year $ 245  $ 245  $ 1  $ 1 
After 1 year through 5 years 784  784  48  46 
After 5 years through 10 years 63  60  69  66 
After 10 years 14,578  12,844  15,632  13,605 
Total held-to-maturity securities $ 15,670  $ 13,933  $ 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 September 30, 2024
Available-for-sale securities:
U.S. Treasury $ 885  $ (2) $ —  $ —  $ 885  $ (2)
Federal agencies:
Residential CMO —  —  2,977  (341) 2,977  (341)
Residential MBS —  —  10,422  (1,497) 10,422  (1,497)
Commercial MBS —  —  1,870  (651) 1,870  (651)
Other agencies —  —  71  (4) 71  (4)
Total U.S. Treasury, federal agency, and other agency securities 885  (2) 15,340  (2,493) 16,225  (2,495)
Municipal securities 504  (7) 2,536  (105) 3,040  (112)
Private-label CMO —  —  92  (8) 92  (8)
Asset-backed securities —  —  272  (17) 272  (17)
Corporate debt —  —  2,071  (170) 2,071  (170)
Total temporarily impaired available-for-sale securities $ 1,389  $ (9) $ 20,311  $ (2,793) $ 21,700  $ (2,802)
Held-to-maturity securities:
U.S. Treasury $ 554  $ (1) $ —  $ —  $ 554  $ (1)
Federal agencies:
Residential CMO —  —  3,366  (570) 3,366  (570)
Residential MBS —  —  7,646  (983) 7,646  (983)
Commercial MBS —  —  1,236  (192) 1,236  (192)
Other agencies —  —  76  (4) 76  (4)
Total U.S. Treasury, federal agency, and other agency securities 554  (1) 12,324  (1,749) 12,878  (1,750)
Municipal securities —  —  1  (1) 1  (1)
Total temporarily impaired held-to-maturity securities $ 554  $ (1) $ 12,325  $ (1,750) $ 12,879  $ (1,751)
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)