Investments

3 Months Ended

Mar. 31, 2022

Investment Securities

Investment securities are classified as held-to-maturity (“HTM”), available-for sale (“AFS”), or trading. HTM securities, which management has the intent and ability to hold until maturity, are carried at amortized cost. The amortized cost amounts represent the original cost of the investments, adjusted for related amortization or accretion of any purchase premiums or discounts, and for any impairment losses, including credit-related impairment. AFS securities are carried at fair value and changes in fair value (unrealized gains and losses) are reported as net increases or decreases to accumulated other comprehensive income (“AOCI”), net of related taxes. Trading securities are carried at fair value with gains and losses recognized in current period earnings. The carrying values of our securities do not include accrued interest receivables of $71 million and $65 million at March 31, 2022 and December 31, 2021, respectively. These receivables are presented on the consolidated balance sheet in “Other

assets.” See Note 5 of our 2021 Form 10-K for more information related to our accounting for investment securities, and see Note 3 of our 2021 Form 10-K for description of our process to estimate fair value for investment securities.

The following schedule summarizes the amortized cost and estimated fair values of our HTM and AFS securities:


	March 31, 2022
(In millions)	Amortized cost		Gross unrealized gains		Gross unrealized losses		Estimated fair value
Held-to-maturity
Municipal securities	$	439	$	—	$	25	$	414
Available-for-sale
U.S. Treasury securities	557		—		54		503
U.S. Government agencies and corporations:
Agency securities	802		—		10		792
Agency guaranteed mortgage-backed securities	23,626		9		1,553		22,082
Small Business Administration loan-backed securities	950		2		27		925
Municipal securities	1,828		6		66		1,768
Other debt securities	75		—		—		75
Total available-for-sale	27,838		17		1,710		26,145
Total HTM and AFS investment securities	$	28,277	$	17	$	1,735	$	26,559


	December 31, 2021
(In millions)	Amortized cost		Gross unrealized gains		Gross unrealized losses		Estimated fair value
Held-to-maturity
Municipal securities	$	441	$	4	$	2	$	443
Available-for-sale
U.S. Treasury securities	155		—		21		134
U.S. Government agencies and corporations:
Agency securities	833		13		1		845
Agency guaranteed mortgage-backed securities	20,549		108		270		20,387
Small Business Administration loan-backed securities	938		2		28		912
Municipal securities	1,652		46		4		1,694
Other debt securities	75		1		—		76
Total available-for-sale	24,202		170		324		24,048


Total HTM and AFS investment securities	$	24,643	$	174	$	326	$	24,491

Maturities

The following schedule shows the amortized cost and weighted average yields of debt securities by contractual maturity of principal payments at March 31, 2022. Actual principal payments may differ from contractual or expected principal payments because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


	March 31, 2022
	Total debt securities				Due in one year or less				Due after one year through five years				Due after five years through ten years				Due after ten years
(Dollar amounts in millions)	Amortized cost		Average yield		Amortized cost		Average yield		Amortized cost		Average yield		Amortized cost		Average yield		Amortized cost		Average yield
Held-to-maturity
Municipal securities 1	$	439	3.02	%	$	29	2.71	%	$	139	3.19	%	$	176	2.71	%	$	95	3.41	%
Available-for-sale
U.S. Treasury securities	557		2.05		—		—		—		—		—		—		557		2.05
U.S. Government agencies and corporations:
Agency securities	802		2.06		31		0.84		317		1.50		292		2.37		162		2.83
Agency guaranteed mortgage-backed securities	23,626		1.70		—		—		442		1.49		1,824		1.84		21,360		1.69
Small Business Administration loan-backed securities	950		1.38		—		—		47		1.30		184		2.18		719		1.18
Municipal securities 1	1,828		2.37		106		2.18		683		2.59		638		2.10		401		2.47
Other debt securities	75		2.17		—		—		—		—		60		1.99		15		2.91
Total available-for-sale securities	27,838		1.75		137		1.88		1,489		1.99		2,998		1.97		23,214		1.70
Total HTM and AFS investment securities	$	28,277	1.77	%	$	166	2.02	%	$	1,628	2.09	%	$	3,174	2.01	%	$	23,309	1.71	%

1 The yields on tax-exempt securities are calculated on a tax-equivalent basis.

The following schedule summarizes the amount of gross unrealized losses for debt securities and the estimated fair value by length of time the securities have been in an unrealized loss position:


	March 31, 2022
	Less than 12 months				12 months or more				Total
(In millions)	Gross unrealized losses		Estimated fair value		Gross unrealized losses		Estimated fair value		Gross unrealized losses		Estimated fair value
Held-to-maturity
Municipal securities	$	12	$	224	$	13	$	92	$	25	$	316




Available-for-sale
U.S. Treasury securities	15		386		39		117		54		503
U.S. Government agencies and corporations:
Agency securities	10		660		—		—		10		660
Agency guaranteed mortgage-backed securities	1,152		17,185		401		3,874		1,553		21,059
Small Business Administration loan-backed securities	—		27		27		693		27		720
Municipal securities	55		1,067		11		89		66		1,156
Other	—		15		—		—		—		15





Total available-for-sale	1,232		19,340		478		4,773		1,710		24,113


Total HTM and AFS investment securities	$	1,244	$	19,564	$	491	$	4,865	$	1,735	$	24,429


	December 31, 2021
	Less than 12 months				12 months or more				Total
(In millions)	Gross unrealized losses		Estimated fair value		Gross unrealized losses		Estimated fair value		Gross unrealized losses		Estimated fair value
Held-to-maturity
Municipal securities	$	1	$	88	$	1	$	68	$	2	$	156




Available-for-sale
U.S. Treasury securities	—		—		21		134		21		134
U.S. Government agencies and corporations:
Agency securities	1		121		—		1		1		122
Agency guaranteed mortgage-backed securities	231		13,574		39		942		270		14,516
Small Business Administration loan-backed securities	—		27		28		749		28		776
Municipal securities	4		327		—		8		4		335
Other	—		—		—		—		—		—





Total available-for-sale	236		14,049		88		1,834		324		15,883


Total HTM and AFS investment securities	$	237	$	14,137	$	89	$	1,902	$	326	$	16,039

Approximately 455 and 137 HTM and 3,059 and 1,302 AFS investment securities were in an unrealized loss position at March 31, 2022, and December 31, 2021, respectively.

Impairment

We review investment securities quarterly on an individual security basis for the presence of impairment. For additional information on our policy and impairment evaluation process for investment securities, see Note 5 of our 2021 Form 10-K.

AFS Impairment

We did not recognize any impairment on our AFS investment securities portfolio during the first three months of 2022. Unrealized losses primarily relate to changes in interest rates subsequent to purchase and are not attributable to credit. At March 31, 2022, we had not initiated any sales of AFS securities, nor did we have an intent to sell any identified securities with unrealized losses. We do not believe it is more likely than not that we would be required to sell such securities before recovery of their amortized cost basis.

HTM Impairment

For HTM securities, the allowance for credit losses (“ACL”) is assessed consistent with the approach described in Note 6 for loans and leases carried at amortized cost. The ACL on HTM securities was less than $1 million at March 31, 2022. All HTM securities were risk-graded as "Pass" in terms of credit quality and none were past due at March 31, 2022. The amortized cost basis of HTM securities categorized by year acquired is summarized in the following schedule:


	March 31, 2022
	Amortized cost basis by year acquired
(In millions)	2022		2021		2020		2019		2018		Prior		Total Securities

Held-to-maturity	$	17	$	101	$	122	$	10	$	—	$	189	$	439

Securities Gains and Losses Recognized in Income

The following schedule summarizes securities gains and losses recognized in the income statement:


	Three Months Ended March 31,
	2022				2021
(In millions)	Gross gains		Gross losses		Gross gains		Gross losses




Other noninterest-bearing investments	$	3	$	20	$	14	$	3

Net gains (losses) 1			$	(17)			$	11

1 Net gains (losses) were recognized in securities gains (losses) in the income statement.

The following schedule presents interest income by security type:


	Three Months Ended March 31,
	2022						2021
(In millions)	Taxable		Nontaxable		Total		Taxable		Nontaxable		Total
Investment securities:
Held-to-maturity	$	2	$	1	$	3	$	3	$	2	$	5
Available-for-sale	96		8		104		57		7		64
Trading	—		5		5		—		2		2
Total securities	$	98	$	14	$	112	$	60	$	11	$	71

At March 31, 2022 and December 31, 2021, investment securities with a carrying value of approximately $3.0 billion and $3.1 billion, respectively, were pledged to secure public and trust deposits, advances, and for other purposes as required by law. Securities are also pledged as collateral for security repurchase agreements.