Securities

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Securities

6. Securities

The amortized cost, unrealized gains and losses, and approximate fair value of our securities available for sale and held-to-maturity securities are presented in the following tables. Gross unrealized gains and losses represent the difference between the amortized cost and the fair value of securities on the balance sheet as of the dates indicated. Accordingly, the amount of these gains and losses may change in the future as market conditions change.

	June 30, 2020								December 31, 2019
in millions	Amortized Cost (a)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
SECURITIES AVAILABLE FOR SALE
U.S. Treasury, agencies, and corporations	$	3,465	—		—		$	3,465	$	334	—		—		$	334
States and political subdivisions	3		$	1	—		4		4		—		—		4
Agency residential collateralized mortgage obligations	11,600		348		$	1	11,947		12,772		$	82	$	71	12,783
Agency residential mortgage-backed securities	1,373		72		—		1,445		1,677		41		4		1,714
Agency commercial mortgage-backed securities	6,301		426		—		6,727		6,898		139		40		6,997
Other securities	8		4		—		12		7		4		—		11
Total securities available for sale	$	22,750	$	851	$	1	$	23,600	$	21,692	$	266	$	115	$	21,843
HELD-TO-MATURITY SECURITIES
Agency residential collateralized mortgage obligations	$	4,886	$	151	—		$	5,037	$	5,692	$	23	$	49	$	5,666
Agency residential mortgage-backed securities	359		16		—		375		409		6		—		415
Agency commercial mortgage-backed securities	3,805		278		—		4,083		3,940		78		9		4,009
Asset-backed securities	10		—		—		10		11		—		—		11
Other securities	15		—		—		15		15		—		—		15
Total held-to-maturity securities	$	9,075	$	445	—		$	9,520	$	10,067	$	107	$	58	$	10,116

(a) Amortized cost amounts exclude accrued interest receivable which is recorded within “other assets” on the balance sheet. At June 30, 2020, accrued interest receivable on available for sale securities and held-to-maturity securities totaled $39 million and $18 million, respectively.

The following table summarizes available for sale securities in an unrealized loss position for which an allowance for credit losses has not been recorded as of June 30, 2020, and December 31, 2019.

	Duration of Unrealized Loss Position
	Less than 12 Months					12 Months or Longer					Total
in millions	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
June 30, 2020
Securities available for sale:
U.S Treasury, agencies, and corporations	$	455	—		(a)	—		—			$	455	—
Agency residential collateralized mortgage obligations	371		—		(a)	$	58	$	1		429		$	1
Agency residential mortgage-backed securities	10		—		(a)	5		—		(a)	15		—
Held-to-maturity securities:
Agency residential collateralized mortgage obligations	—		—			37		—		(a)	37		—
Asset-backed securities	1		—		(a)	—		—			1		—
Other securities	10		—		(a)	—		—			10		—
Total securities in an unrealized loss position	$	847	—			$	100	$	1		$	947	$	1
December 31, 2019
Securities available for sale:
U.S. Treasury, agencies, and corporations	$	30	—		(b)	$	30	—		(b)	$	60	—
Agency residential collateralized mortgage obligations	3,432		$	20		3,221		$	51		6,653		$	71
Agency residential mortgage-backed securities	33		—		(b)	629		4			662		4
Agency commercial mortgage-backed securities	1,541		17			1,213		23			2,754		40
Held-to-maturity securities:
Agency residential collateralized mortgage obligations	1,626		14			2,289		35			3,915		49
Agency residential mortgage-backed securities	56		—		(b)	—		—			56		—
Agency commercial mortgage-backed securities	518		9			—		—			518		9
Asset-backed securities	11		—		(b)	—		—			11		—
Other securities	3		—		(b)	—		—			3		—
Total securities in an unrealized loss position	$	7,250	$	60		$	7,382	$	113		$	14,632	$	173

(a) At June 30, 2020, gross unrealized losses totaled less than $1 million for U.S. Treasury, agencies, and corporations, agency residential collateralized mortgage obligations, and agency residential mortgage-backed securities available for sale with a loss duration of less than 12 months. At June 30, 2020, gross unrealized losses totaled less than $1 million for asset-backed securities and other securities held-to-maturity with a loss duration of less than 12 months. At June 30, 2020, gross unrealized losses totaled less than $1 million for agency residential mortgage-backed securities available for sale with a loss duration greater than 12 months or longer. At June 30, 2020, gross unrealized losses totaled less than $1 million for agency residential collateralized mortgage obligations held-to-maturity with a loss duration greater than 12 months or longer.

(b) At December 31, 2019, gross unrealized losses totaled less than $1 million for U.S. Treasury, agencies, and corporations and agency residential mortgage-backed securities available for sale with a loss duration of less than 12 months. At December 31, 2019, gross unrealized losses totaled less than $1 million for U.S. Treasury, Agencies, and Corporations securities available for sale with a loss duration greater than 12 months or longer. At December 31, 2019, gross unrealized losses totaled less than $1 million for agency residential mortgage-backed securities, asset-backed securities, and other securities held-to-maturity with a loss duration of less than 12 months.

Based on our evaluation at June 30, 2020, under the new impairment model, an allowance for credit losses has not been recorded nor have unrealized losses been recognized into income. The issuers of the securities are of high credit quality and have a long history of no credit losses, management does not intend to sell and it is likely that management will not be required to sell the securities prior to their anticipated recovery, and the decline in fair value is largely attributed to changes in interest rates and other market conditions. The issuers continue to make timely principle and interest payments.

At June 30, 2020, securities available for sale and held-to-maturity securities totaling $11.9 billion were pledged to secure securities sold under repurchase agreements, to secure public and trust deposits, to facilitate access to secured funding, and for other purposes required or permitted by law.

The following table shows our securities by remaining maturity. CMOs and other mortgage-backed securities in the available for sale portfolio and held-to-maturity portfolio are presented based on their expected average lives. The remaining securities, in both the available-for-sale and held-to-maturity portfolios, are presented based on their remaining contractual maturity. Actual maturities may differ from expected or contractual maturities since borrowers have the right to prepay obligations with or without prepayment penalties.

June 30, 2020	Securities Available for Sale				Held to Maturity Securities
in millions	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	3,918	$	3,928	$	126	$	128
Due after one through five years	14,490		15,024		6,323		6,564
Due after five through ten years	4,340		4,646		2,626		2,828
Due after ten years	2		2		—		—
Total	$	22,750	$	23,600	$	9,075	$	9,520