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SECURITIES
 9 Months Ended
Sep. 30, 2024
Investments, Debt and Equity Securities [Abstract]  
SECURITIES
NOTE 2 - SECURITIES
The following table presents the major components of securities at amortized cost and fair value:
September 30, 2024December 31, 2023
(dollars in millions)
Amortized Cost(1)
Gross Unrealized GainsGross Unrealized LossesFair Value
Amortized Cost(1)
Gross Unrealized GainsGross Unrealized LossesFair Value
U.S. Treasury and other$4,726 $42 ($79)$4,689 $4,493 $26 ($139)$4,380 
State and political subdivisions1 — — 1 1 — — 1 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities28,995 135 (1,480)27,650 26,289 45 (1,857)24,477 
Other/non-agency274 — (13)261 279 — (24)255 
Total mortgage-backed securities29,269 135 (1,493)27,911 26,568 45 (1,881)24,732 
Collateralized loan obligations234 — — 234 667 — (3)664 
Total debt securities available for sale, at fair value$34,230 $177 ($1,572)$32,835 $31,729 $71 ($2,023)$29,777 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities$8,308 $2 ($665)$7,645 $8,696 $9 ($818)$7,887 
Total mortgage-backed securities8,308 2 (665)7,645 8,696 9 (818)7,887 
Asset-backed securities430 1 (9)422 488 — (25)463 
Total debt securities held to maturity$8,738 $3 ($674)$8,067 $9,184 $9 ($843)$8,350 
Equity securities, at cost(2)
$732 $— $— $732 $869 $— $— $869 
Equity securities, at fair value(2)
203 — — 203 173 — — 173 
(1) Excludes portfolio level basis adjustments of $176 million and $60 million, respectively, for securities designated in active fair value hedge relationships at September 30, 2024 and December 31, 2023.
(2) Included in other assets in the Consolidated Balance Sheets.
Accrued interest receivable on debt securities totaled $117 million and $125 million as of September 30, 2024 and December 31, 2023, respectively, and is included in other assets in the Consolidated Balance Sheets.
The following table presents the amortized cost and fair value of debt securities by contractual maturity as of September 30, 2024. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
Distribution of Maturities
(dollars in millions)1 Year or LessAfter 1 Year through 5 YearsAfter 5 Years through 10 YearsAfter 10 YearsTotal
Amortized cost:
U.S. Treasury and other$— $3,606 $1,120 $— $4,726 
State and political subdivisions— — — 1 1 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— 2,108 1,321 25,566 28,995 
Other/non-agency— — — 274 274 
Collateralized loan obligations— — — 234 234 
Total debt securities available for sale— 5,714 2,441 26,075 34,230 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 8,308 8,308 
Asset-backed securities— 430 — — 430 
Total debt securities held to maturity— 430 — 8,308 8,738 
Total amortized cost of debt securities$— $6,144 $2,441 $34,383 $42,968 
Fair value:
U.S. Treasury and other$— $3,535 $1,154 $— $4,689 
State and political subdivisions— — — 1 1 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— 2,060 1,281 24,309 27,650 
Other/non-agency— — — 261 261 
Collateralized loan obligations— — — 234 234 
Total debt securities available for sale— 5,595 2,435 24,805 32,835 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 7,645 7,645 
Asset-backed securities— 422 — — 422 
Total debt securities held to maturity— 422 — 7,645 8,067 
Total fair value of debt securities$— $6,017 $2,435 $32,450 $40,902 
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $423 million and $290 million for the three months ended September 30, 2024 and 2023, respectively, and $1.2 billion and $823 million for the nine months ended September 30, 2024 and 2023, respectively.
The following table presents realized gains and losses on the sale of securities:
Three Months Ended September 30,Nine Months Ended September 30,
(dollars in millions)2024202320242023
Gains$9 $9 $14 $27 
Losses— (4)— (8)
Securities gains, net$9 $5 $14 $19 
The following table presents the amortized cost and fair value of debt securities pledged:
September 30, 2024December 31, 2023
(dollars in millions)Amortized CostFair ValueAmortized CostFair Value
Pledged against derivatives, to qualify for fiduciary powers, or to secure public and other deposits as required by law$6,528 $6,080 $5,619 $5,305 
Pledged as collateral for FHLB borrowing capacity237 226 242 220 
Pledged against repurchase agreements— — — — 
The Company enters into security repurchase agreements with unrelated counterparties, which involve the transfer of a security from one party to another, and a subsequent transfer of substantially the same security back to the original party. These repurchase agreements are typically short-term in nature and are accounted for as secured borrowed funds in the Company’s Consolidated Balance Sheets. The Company recognized no offsetting short-term receivables or payables associated with security repurchase agreements as of September 30, 2024 or December 31, 2023.
Securitizations of mortgage loans retained in the investment portfolio were $48 million and $181 million for the three and nine months ended September 30, 2024, respectively. Securitizations of mortgage loans retained in the investment portfolio were $65 million for the three and nine months ended September 30, 2023. These securitizations include a substantive guarantee by a third party. The guarantors were FNMA and FHLMC in 2024 and 2023. The debt securities received from the guarantors are classified as AFS.
Impairment
The Company evaluated its existing HTM portfolio as of September 30, 2024 and concluded that 95% of HTM securities met the zero expected credit loss criteria and, therefore, no ACL was recognized. Lifetime expected credit losses on the remainder of the HTM portfolio were determined to be insignificant based on the modeling of the Company’s credit loss position in the securities. The Company monitors the credit exposure through the use of credit quality indicators. For these securities, the Company uses external credit ratings or an internally derived credit rating when an external rating is not available. All securities were determined to be investment grade at September 30, 2024.
The following tables present AFS debt securities with fair values below their respective carrying values, separated by the duration the securities have been in a continuous unrealized loss position:
September 30, 2024
Less than 12 Months12 Months or LongerTotal
(dollars in millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
U.S. Treasury and other$— $— $3,310 ($79)$3,310 ($79)
State and political subdivisions— — — — — — 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities755 (4)16,244 (1,476)16,999 (1,480)
Other/non-agency— — 260 (13)260 (13)
Total mortgage-backed securities755 (4)16,504 (1,489)17,259 (1,493)
Collateralized loan obligations— — — — — — 
Total$755 ($4)$19,814 ($1,568)$20,569 ($1,572)
December 31, 2023
Less than 12 Months12 Months or LongerTotal
(dollars in millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
U.S. Treasury and other$49 $— $3,245 ($139)$3,294 ($139)
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities2,939 (24)16,398 (1,833)19,337 (1,857)
Other/non-agency— — 255 (24)255 (24)
Total mortgage-backed securities2,939 (24)16,653 (1,857)19,592 (1,881)
Collateralized loan obligations56 — 607 (3)663 (3)
Total$3,044 ($24)$20,505 ($1,999)$23,549 ($2,023)
The Company does not currently have the intent to sell these debt securities, and it is not more-likely-than-not that the Company will be required to sell these debt securities prior to recovery of their amortized cost bases. The Company has determined that credit losses are not expected to be incurred on the AFS debt securities identified with unrealized losses as of September 30, 2024. The unrealized losses on these debt securities reflect non-credit-related factors driven by changes in interest rates. Therefore, the Company has determined that these debt securities are not impaired.