XML 79 R13.htm IDEA: XBRL DOCUMENT v3.20.2
Investment Securities
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Investment Securities INVESTMENT SECURITIES
Table 47: Investment Securities Summary
 
 
December 31, 2019
 
 
December 31, 2018
In millions
 
Amortized
Cost

 
Unrealized
 
Fair
Value

 
 
Amortized
Cost

 
Unrealized
 
Fair
Value

Gains

 
Losses

 
 
 
Gains

 
Losses

 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
16,150

 
$
382

 
$
(16
)
 
$
16,516

 
 
$
18,104

 
$
133

 
$
(137
)
 
$
18,100

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
35,847

 
517

 
(43
)
 
36,321

 
 
29,413

 
104

 
(524
)
 
28,993

Non-agency
 
1,515

 
302

 
(3
)
 
1,814

 
 
1,924

 
300

 
(13
)
 
2,211

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
3,094

 
42

 
(18
)
 
3,118

 
 
2,630

 
13

 
(66
)
 
2,577

Non-agency
 
3,352

 
29

 
(9
)
 
3,372

 
 
2,689

 
5

 
(37
)
 
2,657

Asset-backed
 
5,044

 
78

 
(8
)
 
5,114

 
 
4,933

 
59

 
(20
)
 
4,972

Other
 
2,788

 
121

 
(1
)
 
2,908

 
 
3,821

 
96

 
(38
)
 
3,879

Total securities available for sale
 
$
67,790

 
$
1,471

 
$
(98
)
 
$
69,163

 
 
$
63,514


$
710


$
(835
)

$
63,389

Securities Held to Maturity
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
776

 
$
56

 
 
 
$
832

 
 
$
758

 
$
28

 
$
(23
)
 
$
763

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
14,419

 
270

 
(26
)
 
14,663

 
 
15,740

 
32

 
(358
)
 
15,414

Non-agency
 
133

 
7

 
 
 
140

 
 
152

 
2

 
 
 
154

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
59

 
1

 
 
 
60

 
 
143

 
1

 
(1
)
 
143

Non-agency
 
430

 
4

 
 
 
434

 
 
488

 
1

 
(1
)
 
488

Asset-backed
 
52

 


 
 
 
52

 
 
182

 
1

 
 
 
183

Other
 
1,792

 
85

 
(14
)
 
1,863

 
 
1,849

 
53

 
(28
)
 
1,874

Total securities held to maturity
 
$
17,661

 
$
423

 
$
(40
)
 
$
18,044

 
 
$
19,312


$
118


$
(411
)

$
19,019



The fair value of investment securities is impacted by interest rates, credit spreads, market volatility and liquidity conditions. Net unrealized gains and losses in the securities available for sale portfolio are included in Shareholders’ equity as AOCI unless credit-related. Securities held to maturity are carried at amortized cost. Investment securities at December 31, 2019 included $549 million of net unsettled purchases which represent non-cash investing activity, and accordingly, are not reflected on the Consolidated Statement of Cash Flows. The comparable amount for December 31, 2018 was $430 million.

At December 31, 2019, AOCI included an insignificant amount of pretax gains from derivatives that hedged the purchase of investment securities classified as held to maturity. The gains will be accreted into interest income as an adjustment of yield on the securities.

Table 48 presents gross unrealized losses and fair value of debt securities at December 31, 2019 and 2018. The securities are segregated between investments that have 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. The table includes debt securities where a portion of other than temporary impairment (OTTI) has been recognized in AOCI.
Table 48: Gross Unrealized Loss and Fair Value of Debt Securities
 
 
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

December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
(14
)
 
$
2,451

 
$
(2
)
 
$
607

 
$
(16
)
 
$
3,058

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
(6
)
 
2,832

 
(37
)
 
4,659

 
(43
)
 
7,491

Non-agency
 
 
 
 
 
(3
)
 
102

 
(3
)
 
102

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
(6
)
 
852

 
(12
)
 
953

 
(18
)
 
1,805

Non-agency
 
(4
)
 
1,106

 
(5
)
 
230

 
(9
)
 
1,336

Asset-backed
 
(3
)
 
660

 
(5
)
 
561

 
(8
)
 
1,221

Other
 
 
 
 
 
(1
)
 
403

 
(1
)
 
403

Total securities available for sale
 
$
(33
)
 
$
7,901

 
$
(65
)
 
$
7,515

 
$
(98
)
 
$
15,416

Securities Held to Maturity
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed - Agency
 
 
 
 
 
(26
)
 
2,960

 
(26
)
 
2,960

Other
 
(1
)
 
22

 
(13
)
 
105

 
(14
)
 
127

Total securities held to maturity
 
$
(1
)
 
$
22

 
$
(39
)
 
$
3,065

 
$
(40
)
 
$
3,087

December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
(21
)
 
$
4,125

 
$
(116
)
 
$
5,423

 
$
(137
)
 
$
9,548

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
(57
)
 
4,823

 
(467
)
 
13,830

 
(524
)
 
18,653

Non-agency
 
(1
)
 
74

 
(12
)
 
310

 
(13
)
 
384

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
(1
)
 
65

 
(65
)
 
1,516

 
(66
)
 
1,581

Non-agency
 
(23
)
 
1,809

 
(14
)
 
498

 
(37
)
 
2,307

Asset-backed
 
(11
)
 
2,149

 
(9
)
 
1,032

 
(20
)
 
3,181

Other
 
(12
)
 
868

 
(26
)
 
1,293

 
(38
)
 
2,161

Total securities available for sale
 
$
(126
)
 
$
13,913

 
$
(709
)
 
$
23,902

 
$
(835
)
 
$
37,815

Securities Held to Maturity
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 


 


 
$
(23
)
 
$
446

 
$
(23
)
 
$
446

Residential mortgage-backed - Agency
 
$
(58
)
 
$
4,191

 
(300
)
 
7,921

 
(358
)
 
12,112

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
(1
)
 
88

 


 


 
(1
)
 
88

Non-agency
 
(1
)
 
152

 
 
 
 
 
(1
)
 
152

Other
 
(2
)
 
75

 
(26
)
 
123

 
(28
)
 
198

Total securities held to maturity
 
$
(62
)
 
$
4,506

 
$
(349
)
 
$
8,490

 
$
(411
)
 
$
12,996



Evaluating Investment Securities for Other-than-Temporary Impairment
For the securities in Table 48, as of December 31, 2019 we do not intend to sell and believe we will not be required to sell the securities prior to recovery of the amortized cost basis.
On at least a quarterly basis, we review all debt securities that are in an unrealized loss position for OTTI, as discussed in Note 1 Accounting Policies. For those securities on our Consolidated Balance Sheet at December 31, 2019, where during our quarterly security-level impairment assessments we determined losses represented OTTI, we have recorded cumulative credit losses of $1.1 billion in earnings and accordingly have reduced the amortized cost of our securities.
The majority of these cumulative impairment charges related to non-agency residential mortgage-backed and asset-backed securities rated BB or lower. During 2019, 2018 and 2017, the OTTI credit losses recognized in noninterest income and the OTTI noncredit losses recognized in AOCI on securities were not significant.
Table 49: Gains (Losses) on Sales of Securities Available for Sale
Year ended December 31
In millions
Gross Gains

 
Gross Losses

 
Net Gains

 
Tax Expense

 
2019
$
69

 
$
(21
)
 
$
48

 
$
10

 
2018
$
57

 
$
(57
)
 


 


 
2017
$
38

 
$
(31
)
 
$
7

 
$
2

 

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at December 31, 2019.
Table 50: Contractual Maturity of Securities
December 31, 2019
 
1 Year or
Less

 
After 1 Year
through 5 Years

 
After 5 Years
through 10 Years

 
After 10
Years

 
Total

Dollars in millions
 
 
 
 
 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
2,198

 
$
10,189

 
$
2,984

 
$
779

 
$
16,150

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
Agency
 
2

 
65

 
1,194

 
34,586

 
35,847

Non-agency
 
 
 
 
 
 
 
1,515

 
1,515

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
Agency
 
8

 
565

 
490

 
2,031

 
3,094

Non-agency
 
 
 
75

 
350

 
2,927

 
3,352

Asset-backed
 
8

 
2,511

 
1,267

 
1,258

 
5,044

Other
 
337

 
1,314

 
486

 
651

 
2,788

Total securities available for sale at amortized cost
 
$
2,553

 
$
14,719

 
$
6,771

 
$
43,747

 
$
67,790

Fair value
 
$
2,573

 
$
14,881

 
$
6,924

 
$
44,785

 
$
69,163

Weighted-average yield, GAAP basis
 
2.94
%
 
2.28
%
 
2.66
%
 
3.19
%
 
2.93
%
Securities Held to Maturity
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
 
 
$
198

 
$
300

 
$
278

 
$
776

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
Agency
 
 
 
55

 
516

 
13,848

 
14,419

Non-agency
 
 
 
 
 
 
 
133

 
133

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
Agency
 
 
 
10

 
 
 
49

 
59

Non-agency
 
 
 
 
 
 
 
430

 
430

Asset-backed
 
 
 
6

 
19

 
27

 
52

Other
 
$
45

 
785

 
625

 
337

 
1,792

Total securities held to maturity at amortized cost
 
$
45

 
$
1,054

 
$
1,460

 
$
15,102

 
$
17,661

Fair value
 
$
45

 
$
1,089

 
$
1,543

 
$
15,367

 
$
18,044

Weighted-average yield, GAAP basis
 
3.75
%
 
3.59
%
 
3.53
%
 
3.32
%
 
3.35
%


Weighted-average yields are based on amortized cost with effective yields weighted for the contractual maturity of each security. At December 31, 2019, there were no securities of a single issuer, other than the FNMA and FHLMC, that exceeded 10% of Total shareholders’ equity. The FNMA and FHLMC investments had a total amortized cost of $40.5 billion and $7.7 billion and fair value of $41.1 billion and $7.7 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 51: Fair Value of Securities Pledged and Accepted as Collateral
In millions
December 31
2019

 
December 31
2018

Pledged to others
$
14,609

 
$
7,597

Accepted from others:
 
 
 
Permitted by contract or custom to sell or repledge (a)
$
2,349

 
$
6,905

Permitted amount repledged to others
$
360

 
$
923


(a)
Includes $2.0 billion and $6.0 billion in fair value of securities accepted from others to collateralize short-term investments in resale agreements that were not repledged to others at December 31, 2019 and December 31, 2018, respectively.

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 and repurchase agreements, as well as for other purposes.