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Investment Securities

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

INVESTMENT SECURITIES

With the adoption of the CECL standard on January 1, 2020, credit losses on investment securities are required to be recognized

through an allowance, 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 allowance 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 December 31, 2020, the allowance for investment securities was $82 million and

primarily related to non-agency commercial mortgage-backed securities in the available for sale portfolio and other debt securities in

the held to maturity portfolio. The provision for credit losses on investment securities totaled $80 million for the year ended December 31, 2020.

In the first quarter of 2020, upon the adoption of ASU 2019-04, we elected to transfer debt securities with an amortized cost of $16.2 billion and a fair value of $16.5 billion from the held to maturity to the available for sale portfolio. During the second quarter of 2020, pursuant to the guidance in ASU 2020-04, we elected to transfer debt securities with an amortized cost of $49 million and a fair value of $48 million from the 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 allowance for investment securities, and the adoption of ASU 2019-04 and ASU 2020-04.

The following table summarizes our available for sale and held to maturity portfolios by major security type:

Table 41: Investment Securities Summary


	December 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	$	19,821	$	903	$	(13)	$	20,711	$	16,150	$	382	$	(16)	$	16,516
Residential mortgage-backed
Agency	47,355		1,566		(10)		48,911		35,847		517		(43)		36,321
Non-agency	1,272		243		(14)		1,501		1,515		302		(3)		1,814
Commercial mortgage-backed
Agency	2,571		119		(2)		2,688		3,094		42		(18)		3,118
Non-agency	3,678		78		(67)		3,689		3,352		29		(9)		3,372
Asset-backed	5,060		100		(10)		5,150		5,044		78		(8)		5,114
Other	4,415		293				4,708		2,788		121		(1)		2,908
Total securities available for sale (b)	$	84,172	$	3,302	$	(116)	$	87,358	$	67,790	$	1,471	$	(98)	$	69,163
Securities Held to Maturity
U.S. Treasury and government agencies	$	795	$	125			$	920	$	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									52						52
Other	646		42		$	(3)	685		1,792		85		(14)		1,863
Total securities held to maturity (b) (c)	$	1,441	$	167	$	(3)	$	1,605	$	17,661	$	423	$	(40)	$	18,044

(a) The accrued interest associated with our available for sale and held to maturity portfolios totaled $238 million and $5 million at December 31, 2020, respectively. These amounts are included in Other assets on the Consolidated Balance Sheet.

(b) Amortized cost is presented net of allowance of $79 million for securities available for sale and $3 million for securities held to maturity at December 31, 2020 in accordance with the CECL accounting standard. See the Recently Adopted Accounting Standards portion of Note 1 Accounting Policies for additional detail on the CECL accounting standard.

(c) Credit ratings represent a primary credit quality indicator used to monitor and manage credit risk. As of December 31, 2020, 85% 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 allowance. Securities held to maturity are carried at amortized cost less any allowance. Investment securities at December 31, 2020 included $0.2 billion 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 December 31, 2019 was $0.5 billion.

Table 42 presents the gross unrealized losses and fair value of securities available for sale that do not have an associated allowance for investment securities as of December 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. All securities included in the table have been evaluated to determine if a credit loss exists. As part of that assessment, as of December 31, 2020, we concluded that 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 42: 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
December 31, 2020
U.S. Treasury and government agencies	$	(13)	$	603					$	(13)	$	603
Residential mortgage-backed
Agency	(8)		3,152		$	(2)	$	82	(10)		3,234
Non-agency	(7)		119		(7)		73		(14)		192
Commercial mortgage-backed
Agency					(2)		149		(2)		149
Non-agency	(13)		972		(7)		714		(20)		1,686
Asset-backed	(1)		339		(9)		706		(10)		1,045

Total securities available for sale	$	(42)	$	5,185	$	(27)	$	1,724	$	(69)	$	6,909

Table 43 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 43: 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 44: Gains (Losses) on Sales of Securities Available for Sale


Year ended December 31 In millions	Gross Gains		Gross Losses		Net Gains		Tax Expense
2020	$	307	$	(2)	$	305	$	64
2019	$	69	$	(21)	$	48	$	10
2018	$	57	$	(57)

The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt securities at December 31, 2020:

Table 45: Contractual Maturity of Debt Securities


December 31, 2020	1 Year or Less			After 1 Year through 5 Years			After 5 Years through 10 Years			After 10 Years			Total
Dollars in millions
Securities Available for Sale
U.S. Treasury and government agencies	$	1,149		$	11,973		$	5,418		$	1,281		$	19,821
Residential mortgage-backed
Agency	1			205			2,384			44,765			47,355
Non-agency										1,272			1,272
Commercial mortgage-backed
Agency	13			563			679			1,316			2,571
Non-agency				83			236			3,359			3,678
Asset-backed	67			2,375			1,029			1,589			5,060
Other	788			1,502			1,218			907			4,415
Total securities available for sale at amortized cost	$	2,018		$	16,701		$	10,964		$	54,489		$	84,172
Fair value	$	2,038		$	17,283		$	11,443		$	56,594		$	87,358
Weighted-average yield, GAAP basis (a)	2.20		%	1.81		%	1.74		%	2.80		%	2.45		%
Securities Held to Maturity
U.S. Treasury and government agencies				$	199		$	312		$	284		$	795







Other	$	34		422			109			81			646
Total securities held to maturity at amortized cost	$	34		$	621		$	421		$	365		$	1,441
Fair value	$	35		$	659		$	507		$	404		$	1,605
Weighted-average yield, GAAP basis (a)	3.75		%	3.26		%	3.93		%	2.48		%	3.29		%

(a) Weighted-average yields are based on amortized cost with effective yields weighted for the contractual maturity of each security. Actual maturities and yields may differ as certain securities may be prepaid.

At December 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 $32.9 billion and $14.7 billion and fair value of $34.2 billion and $14.9 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 46: Fair Value of Securities Pledged and Accepted as Collateral


In millions	December 31 2020		December 31 2019
Pledged to others	$	22,841	$	14,609
Accepted from others:
Permitted by contract or custom to sell or repledge (a)	$	683	$	2,349
Permitted amount repledged to others	$	683	$	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.