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Investment Securities
 3 Months Ended
Mar. 31, 2020
Investment Securities Disclosure [Abstract]  
Investment Securities INVESTMENT SECURITIES

With the adoption of the CECL standard on January 1, 2020, credit losses on investment securities are required to be recognized through the ACL, instead of as a direct write-down to the amortized cost basis of the security. The amortized cost basis of investment securities for which impairment had previously been recorded did not change upon adoption.

We maintain the ACL for investment securities at levels that we believe to be appropriate as of the balance sheet date to absorb expected credit losses on our portfolio. As of March 31, 2020, the ACL for investment securities totaled $2 million and primarily related to other debt securities in the held to maturity portfolio.

Additionally, upon adoption of ASU 2019-04 and as permitted by the eligibility requirements in this guidance, we elected to transfer debt securities with an amortized cost of $16.2 billion and a fair value of $16.5 billion from held to maturity to the available for sale portfolio.

See Note 1 Accounting Policies for additional information related to the adoption of the CECL standard, including the methodologies used to determine the ACL for investment securities, and the adoption of ASU 2019-04.

The following table summarizes our available for sale and held to maturity portfolios by major security type.
Table 34: Investment Securities Summary
 
 
March 31, 2020 (a)
 
 
December 31, 2019
In millions
 
Amortized
Cost (b)

 
Unrealized
 
Fair
Value

 
 
Amortized
Cost

 
Unrealized
 
Fair
Value

Gains

 
Losses

 
 
 
Gains

 
Losses

 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
16,102

 
$
879

 
 
 
$
16,981

 
 
$
16,150

 
$
382

 
$
(16
)
 
$
16,516

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
50,828

 
1,810

 
$
(10
)
 
52,628

 
 
35,847

 
517

 
(43
)
 
36,321

Non-agency
 
1,563

 
142

 
(62
)
 
1,643

 
 
1,515

 
302

 
(3
)
 
1,814

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
3,181

 
114

 
(6
)
 
3,289

 
 
3,094

 
42

 
(18
)
 
3,118

Non-agency
 
4,249

 
27

 
(194
)
 
4,082

 
 
3,352

 
29

 
(9
)
 
3,372

Asset-backed
 
5,339

 
43

 
(104
)
 
5,278

 
 
5,044

 
78

 
(8
)
 
5,114

Other
 
4,962

 
218

 
(4
)
 
5,176

 
 
2,788

 
121

 
(1
)
 
2,908

Total securities available for sale
 
$
86,224

 
$
3,233

 
$
(380
)
 
$
89,077

 
 
$
67,790

 
$
1,471

 
$
(98
)
 
$
69,163

Securities Held to Maturity
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
781

 
$
143

 
 
 
$
924

 
 
$
776

 
$
56

 
 
 
$
832

Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
 
 


 
 
 
 
 
 
14,419

 
270

 
$
(26
)
 
14,663

Non-agency
 
 
 


 
 
 
 
 
 
133

 
7

 
 
 
140

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
 
 


 
 
 
 
 
 
59

 
1

 
 
 
60

Non-agency
 
 
 


 
 
 
 
 
 
430

 
4

 
 
 
434

Asset-backed
 
50

 


 
$
(1
)
 
49

 
 
52

 


 
 
 
52

Other
 
638

 
33

 
(23
)
 
648

 
 
1,792

 
85

 
(14
)
 
1,863

Total securities held to maturity, net of ACL (c)
 
$
1,469

 
$
176

 
$
(24
)
 
$
1,621

 
 
$
17,661

 
$
423

 
$
(40
)
 
$
18,044


(a) The accrued interest associated with our available for sale and held to maturity portfolios totaled $266 million and $2.7 million at March 31, 2020, respectively. These amounts are included in Other assets on the Consolidated Balance Sheet.
(b) Amortized cost is presented net of applicable ACL of $2 million at March 31, 2020 in accordance with the adoption of the CECL accounting standard. See the Recently Adopted Accounting Standards portion of Note 1 Accounting Policies for additional detail on the adoption of this ASU.
(c) Credit ratings represent a primary credit quality indicator used to monitor and manage credit risk. As of March 31, 2020, 87% of our securities held to maturity were rated AAA/AA.

The fair value of investment securities is impacted by interest rates, credit spreads, market volatility and liquidity conditions. Securities available for sale are carried at fair value with net unrealized gains and losses included in Shareholders’ equity as AOCI, unless credit related. Net unrealized gains and losses are determined by taking the difference between the fair value of a security and its amortized cost, net of any ACL. Securities held to maturity are carried at amortized cost less any ACL. Investment securities at March 31, 2020 included $388 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 March 31, 2019 was $623 million.
Table 35 presents the gross unrealized losses and fair value of securities available for sale that do not have an associated ACL as of March 31, 2020. These securities are segregated between investments that had 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. As of March 31, 2020, we do not intend to sell and believe we will not be required to sell these securities prior to recovery of the amortized cost basis.

Table 35: Gross Unrealized Loss and Fair Value of Securities Available for Sale Without an Allowance for Credit Losses

 
 
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

March 31, 2020
 
 
 
 
 
 
 
 
 
 
 
 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
 
 
 
 
 
 
 
 


 


Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
$
(3
)
 
$
409

 
$
(7
)
 
$
380

 
$
(10
)
 
$
789

Non-agency
 
(43
)
 
537

 
(17
)
 
77

 
(60
)
 
614

Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
(1
)
 
187

 
(5
)
 
436

 
(6
)
 
623

Non-agency
 
(172
)
 
2,719

 
(22
)
 
147

 
(194
)
 
2,866

Asset-backed
 
(75
)
 
2,815

 
(25
)
 
538

 
(100
)
 
3,353

Other
 
(3
)
 
320

 
 
 
 
 
(3
)
 
320

Total securities available for sale
 
$
(297
)
 
$
6,987

 
$
(76
)
 
$
1,578

 
$
(373
)
 
$
8,565



Table 36 presents the gross unrealized losses and fair value of debt securities at December 31, 2019, prior to the adoption of the CECL standard. These securities are segregated between investments that had 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.
Table 36: 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

 

Information relating to gross realized securities gains and losses from the sales of securities is set forth in the following table.

Table 37: Gains (Losses) on Sales of Securities Available for Sale
Three months ended March 31
In millions
Gross Gains

Gross Losses

Net Gains (Losses)

Tax Expense (Benefit)

 
2020
$
184

$
(2
)
$
182

$
38

 
2019
$
27

$
(14
)
$
13

$
3

 

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at March 31, 2020.
Table 38: Contractual Maturity of Debt Securities
March 31, 2020
Dollars in millions
 
1 Year or Less

 
After 1 Year
through 5 Years

 
After 5 Years
through 10 Years

 
After 10
Years

 
Total

 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
$
249

 
$
10,949

 
$
3,839

 
$
1,065

 
$
16,102

 
Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
Agency
 
3

 
117

 
2,092

 
48,616

 
50,828

 
Non-agency
 
 
 
 
 
 
 
1,563

 
1,563

 
Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
Agency
 
7

 
466

 
828

 
1,880

 
3,181

 
Non-agency
 
 
 
75

 
351

 
3,823

 
4,249

 
Asset-backed
 
15

 
2,721

 
1,169

 
1,434

 
5,339

 
Other
 
505

 
1,958

 
1,355

 
1,144

 
4,962

 
Total securities available for sale at amortized cost
 
$
779

 
$
16,286

 
$
9,634

 
$
59,525

 
$
86,224

 
Fair value
 
$
785

 
$
16,788

 
$
10,017

 
$
61,487

 
$
89,077

 
Weighted-average yield, GAAP basis (a)
 
3.10
%
 
2.16
%
 
2.58
%
 
3.14
%
 
2.89
%
 
Securities Held to Maturity
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
 
 
 
$
198

 
$
303

 
$
280

 
$
781

 
Asset-backed
 
 
 
6

 
18

 
26

 
50

 
Other
 
$
32

 
379

 
113

 
114

 
638

 
Total securities held to maturity at amortized cost
 
$
32

 
$
583

 
$
434

 
$
420

 
$
1,469

 
Fair value
 
$
32

 
$
613

 
$
516

 
$
460

 
$
1,621

 
Weighted-average yield, GAAP basis (a)
 
3.32
%
 
3.23
%
 
3.87
%
 
2.63
%
 
3.26
%
 

(a) Weighted-average yields are based on amortized cost with effective yields weighted for the contractual maturity of each security.
At March 31, 2020, there were no securities of a single issuer, other than FNMA and FHLMC, that exceeded 10% of Total shareholders’ equity. The FNMA and FHLMC investments had a total amortized cost of $38.6 billion and $7.1 billion and fair value of $40.0 billion and $7.3 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 39: Fair Value of Securities Pledged and Accepted as Collateral
In millions
March 31
2020

December 31
2019

Pledged to others
$
25,722

$
14,609

Accepted from others:
 
 
Permitted by contract or custom to sell or repledge (a)
$
1,439

$
2,349

Permitted amount repledged to others
$
1,439

$
360

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

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, repurchase agreements and for other purposes.