
	June 30, 2021								December 31, 2020
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury and government agencies	$	6,745	$	76	$	90	$	6,731	$	4,273	$	202	$	2	$	4,473
Mortgage-backed:
U.S. agencies	6,728		57		61		6,724		5,843		81		2		5,922
Residential - non-agency	805		2		6		801		539		2		2		539
Commercial - non-agency	4,303		197		20		4,480		4,212		286		9		4,489
Collateralized loan obligations	1,153		2		1		1,154		1,370		1		4		1,367
Direct bank purchase bonds	675		39		6		708		891		46		7		930
Other	524		3		—		527		532		7		—		539
Total securities available for sale	$	20,933	$	376	$	184	$	21,125	$	17,660	$	625	$	26	$	18,259

The Company’s securities available for sale with a continuous unrealized loss position at June 30, 2021 and December 31, 2020 are shown below, identified for periods less than 12 months and 12 months or more.


	June 30, 2021
	Less Than 12 Months				12 Months or More				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Treasury and government agencies	$	4,701	$	90	$	—	$	—	$	4,701	$	90
Mortgage-backed:
U.S. agencies	2,885		60		249		1		3,134		61
Residential - non-agency	379		6		12		—		391		6
Commercial - non-agency	646		18		52		2		698		20
Collateralized loan obligations	342		—		93		1		435		1
Direct bank purchase bonds	51		—		145		6		196		6

Total securities available for sale	$	9,004	$	174	$	551	$	10	$	9,555	$	184


	December 31, 2020
	Less Than 12 Months				12 Months or More				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Treasury and government agencies	$	635	$	2	$	—	$	—	$	635	$	2
Mortgage-backed:
U.S. agencies	43		—		732		2		775		2
Residential - non-agency	275		2		15		—		290		2
Commercial - non-agency	354		9		25		—		379		9
Collateralized loan obligations	593		1		477		3		1,070		4
Direct bank purchase bonds	26		1		197		6		223		7

Total securities available for sale	$	1,926	$	15	$	1,446	$	11	$	3,372	$	26

At June 30, 2021, the Company did not have the intent to sell any securities in an unrealized loss position before a recovery of the amortized cost, which may be at maturity. The Company also believes that it is more likely than not that it will not be required to sell the securities prior to recovery of amortized cost.

Agency residential and commercial mortgage-backed securities consist of securities guaranteed by a U.S. government corporation, such as Ginnie Mae, or a government-sponsored agency such as Freddie Mac or Fannie Mae. These securities are collateralized by residential and commercial mortgage loans and may be prepaid at par prior to maturity. The unrealized losses on agency residential mortgage-backed securities resulted from changes in interest rates and not from changes in credit quality. At June 30, 2021, the Company expected to recover the entire amortized cost basis of these securities because the Company determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Company from losses.

Residential mortgage-backed securities are collateralized by residential mortgage loans and may be prepaid at par prior to maturity. Commercial mortgage-backed securities are collateralized by commercial mortgage loans and are generally subject to prepayment penalties. The unrealized losses on residential and commercial mortgage-backed securities resulted from higher market yields since purchase. Cash flow analysis of the underlying collateral provides an estimate of recoverability and is performed quarterly when the fair value of a security is lower than its amortized cost. Based on the analysis performed as of June 30, 2021, the Company expects to recover the entire amortized cost basis of these securities.

The Company’s CLOs consist of Cash Flow CLOs. A Cash Flow CLO is a structured finance product that securitizes a diversified pool of loan assets into multiple classes of notes. Cash Flow CLOs pay the note holders through the receipt of interest and principal repayments from the underlying loans unlike other types of CLOs that pay note holders through the trading and sale of underlying collateral. Unrealized losses typically arise from widening credit spreads and deteriorating credit quality of the underlying collateral. Cash flow analysis of the underlying collateral provides an estimate of recoverability and is performed quarterly when the fair value of a security is lower than its amortized cost. Based on the analysis performed as of June 30, 2021, the Company expects to recover the entire amortized cost basis of these securities.

Other debt securities primarily consist of direct bank purchase bonds, which are not rated by external credit rating agencies. The unrealized losses on these bonds resulted from a higher return on capital expected by the secondary market compared with the return on capital required at the time of origination when the bonds were purchased. The Company estimates the unrealized loss for each security by assessing the underlying collateral of each security. The Company estimates the portion of loss attributable to credit based on the expected cash flows of the underlying collateral using estimates of current key assumptions, such as probability of default and loss severity. Cash flow analysis of the underlying collateral provides an estimate of recoverability and is performed quarterly when the fair value of a security is lower than its amortized cost and potential impairment is identified. Based on the analysis performed as of June 30, 2021, the Company expects to recover the entire amortized cost basis of these securities.

The fair value of debt securities available for sale by contractual maturity are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties.


	June 30, 2021
(Dollars in millions)	One Year or Less		Over One Year Through Five Years		Over Five Years Through Ten Years		Over Ten Years		Total Fair Value
U.S. Treasury and government agencies	$	—	$	2,166	$	4,410	$	155	$	6,731
Mortgage-backed:
U.S. agencies	—		44		898		5,782		6,724
Residential - non-agency	—		—		4		797		801
Commercial - non-agency	—		25		1,767		2,688		4,480
Collateralized loan obligations	—		—		757		397		1,154
Direct bank purchase bonds	42		261		333		72		708
Other	—		180		347		—		527
Total securities available for sale	$	42	$	2,676	$	8,516	$	9,891	$	21,125

The gross realized gains and losses from sales of available for sale securities for the three and six months ended June 30, 2021 and 2020 are shown below. The specific identification method is used to calculate realized gains and losses on sales.

At June 30, 2021 and December 31, 2020, the amortized cost, gross unrealized gains and losses recognized in OCI, carrying amount, gross unrealized gains and losses not recognized in OCI, and fair value of securities held to maturity are presented below. Management has asserted the positive intent and ability to hold these securities to maturity.


	June 30, 2021
			Recognized in OCI						Not Recognized in OCI
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Amount		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury and government agencies	$	4,016	$	—	$	—	$	4,016	$	17	$	88	$	3,945
Mortgage-backed:
U.S. agencies	3,791		—		48		3,743		150		—		3,893
Total securities held to maturity	$	7,807	$	—	$	48	$	7,759	$	167	$	88	$	7,838


	December 31, 2020
			Recognized in OCI						Not Recognized in OCI
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Amount		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury and government agencies	$	2,260	$	—	$	—	$	2,260	$	22	$	27	$	2,255
Mortgage-backed:
U.S. agencies	5,116		1		66		5,051		226		—		5,277
Total securities held to maturity	$	7,376	$	1	$	66	$	7,311	$	248	$	27	$	7,532

Amortized cost is defined as the original purchase cost, adjusted for any accretion or amortization of a purchase discount or premium, less principal payments and any impairment previously recognized in earnings. The carrying amount is the difference between the amortized cost and the amount recognized in OCI. The amount recognized in OCI primarily reflects the unrealized gain or loss at date of transfer from available for sale to the held to maturity classification, net of amortization, which is recorded in interest income on securities.

The Company’s securities held to maturity with a continuous unrealized loss position at June 30, 2021 and December 31, 2020 are shown below, separately for periods less than 12 months and 12 months or more.


	June 30, 2021
	Less Than 12 months						12 Months or More						Total
			Unrealized Losses						Unrealized Losses						Unrealized Losses
(Dollars in millions)	Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI
U.S. Treasury and government agencies	$	3,059	$	—	$	88	$	—	$	—	$	—	$	3,059	$	—	$	88
Mortgage-backed:
U.S. agencies	9		—		—		1,976		48		—		1,985		48		—
Total securities held to maturity	$	3,068	$	—	$	88	$	1,976	$	48	$	—	$	5,044	$	48	$	88


	December 31, 2020
	Less Than 12 Months						12 Months or More						Total
			Unrealized Losses						Unrealized Losses						Unrealized Losses
(Dollars in millions)	Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI
U.S. Treasury and government agencies	$	1,267	$	—	$	27	$	—	$	—	$	—	$	1,267	$	—	$	27
Mortgage-backed:
U.S. agencies	65		—		—		2,472		66		—		2,537		66		—
Total securities held to maturity	$	1,332	$	—	$	27	$	2,472	$	66	$	—	$	3,804	$	66	$	27

The carrying amount and fair value of securities held to maturity by contractual maturity are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties.


	June 30, 2021
	Within One Year				Over One Year Through Five Years				Over Five Years Through Ten Years				Over Ten Years				Total
(Dollars in millions)	Carrying Amount		Fair Value		Carrying Amount		Fair Value		Carrying Amount		Fair Value		Carrying Amount		Fair Value		Carrying Amount		Fair Value
U.S. Treasury and government agencies	$	—	$	—	$	—	$	—	$	441	$	454	$	3,575	$	3,491	$	4,016	$	3,945
Mortgage-backed:
U.S. agencies	200		204		443		458		481		500		2,619		2,731		3,743		3,893
Total securities held to maturity	$	200	$	204	$	443	$	458	$	922	$	954	$	6,194	$	6,222	$	7,759	$	7,838

At June 30, 2021 and December 31, 2020, the Company pledged $14.7 billion and $15.5 billion of available for sale and trading securities as collateral, respectively, of which $3.0 billion and $3.4 billion, respectively, was permitted to be sold or repledged. These securities were pledged as collateral for derivative liability positions, and securities loaned or sold under repurchase agreements, and to secure public and trust department deposits.

At June 30, 2021 and December 31, 2020, the Company received $28.5 billion and $29.9 billion, respectively, of collateral for derivative asset positions and securities borrowed or purchased under resale agreements, of which $28.5 billion and $29.9 billion, respectively, was permitted to be sold or repledged. Of the collateral received, the Company sold or repledged $27.9 billion and $29.7 billion at June 30, 2021 and December 31, 2020, respectively, for securities loaned or sold under repurchase agreements.

For additional information related to the Company's significant accounting policies on securities pledged as collateral, see Note 1 "Summary of Significant Accounting Policies and Nature of Operations" to our consolidated financial statements in Part II, Item 8. "Financial Statements and Supplementary Data" in our 2020 Form 10-K.