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AFS and HTM Debt Securities
 12 Months Ended
Dec. 31, 2019
AFS and HTM Debt Securities [Abstract]  
AFS and HTM Debt Securities
Note 5: Available-for-Sale and Held-to-Maturity Debt Securities
Table 5.1 provides the amortized cost and fair value by major categories of available-for-sale debt securities, which are carried at fair value, and held-to-maturity debt securities, which are carried at amortized cost. The net unrealized gains (losses) for
available-for-sale debt securities are reported on an after-tax basis as a component of cumulative OCI. Information on debt securities held for trading is included in Note 4 (Trading Activities).

Table 5.1: Amortized Cost and Fair Value
(in millions)
 Amortized cost

 
Gross
unrealized gains 

 
Gross
unrealized losses

 
Fair value

December 31, 2019
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
14,948

 
13

 
(1
)
 
14,960

Securities of U.S. states and political subdivisions (1)
39,381

 
992

 
(36
)
 
40,337

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
160,318

 
2,299

 
(164
)
 
162,453

Residential
814

 
14

 
(1
)
 
827

Commercial
3,899

 
41

 
(6
)
 
3,934

Total mortgage-backed securities
165,031

 
2,354

 
(171
)
 
167,214

Corporate debt securities
6,343

 
252

 
(32
)
 
6,563

Collateralized loan and other debt obligations
29,693

 
125

 
(123
)
 
29,695

Other (2)
4,664

 
50

 
(24
)
 
4,690

Total available-for-sale debt securities
260,060

 
3,786

 
(387
)
 
263,459

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
45,541

 
617

 
(19
)
 
46,139

Securities of U.S. states and political subdivisions
13,486

 
286

 
(13
)
 
13,759

Federal agency and other mortgage-backed securities (3)
94,869

 
2,093

 
(37
)
 
96,925

Other debt securities
37

 
—

 
—

 
37

Total held-to-maturity debt securities
153,933

 
2,996

 
(69
)
 
156,860

Total (4)
$
413,993

 
6,782

 
(456
)
 
420,319

December 31, 2018
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
13,451

 
3

 
(106
)
 
13,348

Securities of U.S. states and political subdivisions (1)
48,994

 
716

 
(446
)
 
49,264

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
155,974

 
369

 
(3,140
)
 
153,203

Residential
2,638

 
142

 
(5
)
 
2,775

Commercial
4,207

 
40

 
(22
)
 
4,225

Total mortgage-backed securities
162,819


551

 
(3,167
)
 
160,203

Corporate debt securities
6,230

 
131

 
(90
)
 
6,271

Collateralized loan and other debt obligations
35,581

 
158

 
(396
)
 
35,343

Other (2)
5,396

 
100

 
(13
)
 
5,483

Total available-for-sale debt securities
272,471

 
1,659

 
(4,218
)
 
269,912

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
44,751

 
4

 
(415
)
 
44,340

Securities of U.S. states and political subdivisions
6,286

 
30

 
(116
)
 
6,200

Federal agency and other mortgage-backed securities (3)
93,685

 
112

 
(2,288
)
 
91,509

Other debt securities
66

 
—

 
—

 
66

Total held-to-maturity debt securities
144,788

 
146

 
(2,819
)
 
142,115

Total (4)
$
417,259

 
1,805

 
(7,037
)
 
412,027

(1)
Includes investments in tax-exempt preferred debt securities issued by investment funds or trusts that predominantly invest in tax-exempt municipal securities. The amortized cost and fair value of these types of securities was $5.8 billion each at December 31, 2019, and $6.3 billion each at December 31, 2018.
(2)
Largely includes asset-backed securities collateralized by student loans.
(3)
Predominantly consists of federal agency mortgage-backed securities at both December 31, 2019, and December 31, 2018.
(4)
We held debt securities from Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC) that each exceeded 10% of shareholders’ equity, with an amortized cost of $112.1 billion and $89.9 billion and a fair value of $114.0 billion and $91.4 billion at December 31, 2019, and an amortized cost of $99.0 billion and $95.0 billion and a fair value of $97.6 billion and $93.0 billion at December 31, 2018, respectively.
Gross Unrealized Losses and Fair Value
Table 5.2 shows the gross unrealized losses and fair value of available-for-sale and held-to-maturity debt securities by length of time those individual securities in each category have been in a continuous loss position. Debt securities on which we have taken
credit-related OTTI write-downs are categorized as being “less than 12 months” or “12 months or more” in a continuous loss position based on the point in time that the fair value declined to below the cost basis and not the period of time since the credit-related OTTI write-down.

Table 5.2: Gross Unrealized Losses and Fair Value
 
Less than 12 months 
 
 
12 months or more 
 
 
Total 
 
(in millions)
Gross unrealized losses 

 
Fair value 

 
Gross unrealized losses 

 
Fair value 

 
Gross unrealized losses 

 
Fair value 

December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
—

 
—

 
(1
)
 
2,423

 
(1
)
 
2,423

Securities of U.S. states and political subdivisions
(10
)
 
2,776

 
(26
)
 
2,418

 
(36
)
 
5,194

Mortgage-backed securities:
 
 
 
 
 
 
 
 


 


Federal agencies
(50
)
 
16,807

 
(114
)
 
10,641

 
(164
)
 
27,448

Residential
(1
)
 
149

 
—

 
—

 
(1
)
 
149

Commercial
(3
)
 
998

 
(3
)
 
244

 
(6
)
 
1,242

Total mortgage-backed securities
(54
)
 
17,954

 
(117
)
 
10,885

 
(171
)
 
28,839

Corporate debt securities
(9
)
 
303

 
(23
)
 
216

 
(32
)
 
519

Collateralized loan and other debt obligations
(13
)
 
5,070

 
(110
)
 
16,789

 
(123
)
 
21,859

Other
(12
)
 
1,587

 
(12
)
 
492

 
(24
)
 
2,079

Total available-for-sale debt securities
(98
)
 
27,690

 
(289
)
 
33,223

 
(387
)
 
60,913

Held-to-maturity debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(19
)
 
989

 
—

 
—

 
(19
)
 
989

Securities of U.S. states and political subdivisions
(9
)
 
613

 
(4
)
 
57

 
(13
)
 
670

     Federal agency and other mortgage-backed securities
(35
)
 
5,825

 
(2
)
 
31

 
(37
)
 
5,856

Total held-to-maturity debt securities
(63
)
 
7,427

 
(6
)
 
88

 
(69
)
 
7,515

Total
$
(161
)
 
35,117

 
(295
)
 
33,311

 
(456
)
 
68,428

December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(1
)
 
498

 
(105
)
 
6,204

 
(106
)
 
6,702

Securities of U.S. states and political subdivisions
(73
)
 
9,746

 
(373
)
 
9,017

 
(446
)
 
18,763

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
(42
)
 
10,979

 
(3,098
)
 
112,252

 
(3,140
)
 
123,231

Residential
(3
)
 
398

 
(2
)
 
69

 
(5
)
 
467

Commercial
(20
)
 
1,972

 
(2
)
 
79

 
(22
)
 
2,051

Total mortgage-backed securities
(65
)
 
13,349

 
(3,102
)
 
112,400

 
(3,167
)
 
125,749

Corporate debt securities
(64
)
 
1,965

 
(26
)
 
298

 
(90
)
 
2,263

Collateralized loan and other debt obligations
(388
)
 
28,306

 
(8
)
 
553

 
(396
)
 
28,859

Other
(7
)
 
819

 
(6
)
 
159

 
(13
)
 
978

Total available-for-sale debt securities
(598
)
 
54,683

 
(3,620
)
 
128,631

 
(4,218
)
 
183,314

Held-to-maturity debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(3
)
 
895

 
(412
)
 
41,083

 
(415
)
 
41,978

Securities of U.S. states and political subdivisions
(4
)
 
598

 
(112
)
 
3,992

 
(116
)
 
4,590

Federal agency and other mortgage-backed securities
(5
)
 
4,635

 
(2,283
)
 
77,741

 
(2,288
)
 
82,376

 Total held-to-maturity debt securities
(12
)
 
6,128

 
(2,807
)
 
122,816

 
(2,819
)
 
128,944

Total
$
(610
)
 
60,811

 
(6,427
)
 
251,447

 
(7,037
)
 
312,258



We have assessed each debt security with gross unrealized losses included in the previous table for credit impairment. As part of that assessment we evaluated and concluded that we do not intend to sell any of the debt securities, and that it is more likely than not that we will not be required to sell, prior to recovery of the amortized cost basis. We evaluate, where necessary, whether credit impairment exists by comparing the present value of the expected cash flows to the debt securities’ amortized cost basis.
For descriptions of the factors we consider when analyzing debt securities for impairment, see Note 1 (Summary of Significant Accounting Policies) and below.

SECURITIES OF U.S. TREASURY AND FEDERAL AGENCIES AND FEDERAL AGENCY MORTGAGE-BACKED SECURITIES (MBS) The unrealized losses associated with U.S. Treasury and federal agency securities and federal agency MBS are generally driven by changes in interest rates and not due to credit losses given the explicit or implicit guarantees provided by the U.S. government.

SECURITIES OF U.S. STATES AND POLITICAL SUBDIVISIONS The unrealized losses associated with securities of U.S. states and political subdivisions are usually driven by changes in the relationship between municipal and term funding credit curves rather than by changes to the credit quality of the underlying securities. Substantially all of these investments with unrealized losses are investment grade. The securities were generally underwritten in accordance with our own investment standards prior to the decision to purchase. Some of these securities are guaranteed by a bond insurer, but we did not rely on this guarantee when making our investment decision. These investments will continue to be monitored as part of our ongoing impairment analysis but are expected to perform, even if the rating agencies reduce the credit rating of the bond insurers. As a result, we expect to recover the entire amortized cost basis of these securities.

RESIDENTIAL AND COMMERCIAL MBS  The unrealized losses associated with private residential MBS and commercial MBS are generally driven by changes in projected collateral losses, credit spreads and interest rates. We assess for credit impairment by estimating the present value of expected cash flows. The key assumptions for determining expected cash flows include default rates, loss severities and/or prepayment rates. We estimate security losses by forecasting the underlying mortgage loans in each transaction. We use forecasted loan performance to project cash flows to the various tranches in the structure. We also consider cash flow forecasts and, as applicable, independent industry analyst reports and forecasts, sector credit ratings, and other independent market data. Based upon our assessment of the expected credit losses and the credit enhancement level of the securities, we expect to recover the entire amortized cost basis of these securities.
CORPORATE DEBT SECURITIES  The unrealized losses associated with corporate debt securities are predominantly related to unsecured debt obligations issued by various corporations. We evaluate the financial performance of each issuer on a quarterly basis to determine if the issuer can make all contractual principal and interest payments. Based upon this assessment, we expect to recover the entire amortized cost basis of these securities.

COLLATERALIZED LOAN AND OTHER DEBT OBLIGATIONS  The unrealized losses associated with collateralized loan and other debt obligations relate to securities predominantly backed by commercial collateral. The unrealized losses are typically driven by changes in projected collateral losses, credit spreads and interest rates. We assess for credit impairment by estimating the present value of expected cash flows. The key assumptions for determining expected cash flows include default rates, loss severities and prepayment rates. We also consider cash flow forecasts and, as applicable, independent industry analyst reports and forecasts, sector credit ratings, and other independent market data. Based upon our assessment of the expected credit losses and the credit enhancement level of the securities, we expect to recover the entire amortized cost basis of these securities.

OTHER DEBT SECURITIES  The unrealized losses associated with other debt securities predominantly relate to other asset-backed securities. The losses are usually driven by changes in projected collateral losses, credit spreads and interest rates. We assess for credit impairment by estimating the present value of expected cash flows. The key assumptions for determining expected cash flows include default rates, loss severities and prepayment rates. Based upon our assessment of the expected credit losses and the credit enhancement level of the securities, we expect to recover the entire amortized cost basis of these securities.

OTHER DEBT SECURITIES MATTERS  The fair values of our debt securities could decline in the future if the underlying performance of the collateral for the residential and commercial MBS or other securities deteriorate, and our credit enhancement levels do not provide sufficient protection to our contractual principal and interest. As a result, there is a risk that significant OTTI may occur in the future.
Table 5.3 shows the gross unrealized losses and fair value of the available-for-sale and held-to-maturity debt securities by those rated investment grade and those rated less than investment grade, according to their lowest credit rating by Standard & Poor’s Rating Services (S&P) or Moody’s Investors Service (Moody’s). Credit ratings express opinions about the credit quality of a debt security. Debt securities rated investment grade, that is those rated BBB- or higher by S&P or Baa3 or higher by Moody’s, are generally considered by the rating agencies and market participants to be low credit risk. Conversely, debt securities rated below investment grade, labeled as “speculative grade” by the rating agencies, are
considered to be distinctively higher credit risk than investment grade debt securities. We have also included debt securities not rated by S&P or Moody’s in the table below based on our internal credit grade of the debt securities (used for credit risk management purposes) equivalent to the credit rating assigned by major credit agencies. The unrealized losses and fair value of unrated debt securities categorized as investment grade based on internal credit grades were $7 million and $2.2 billion, respectively, at December 31, 2019, and $20 million and $5.2 billion, respectively, at December 31, 2018. If an internal credit grade was not assigned, we categorized the debt security as non-investment grade.

Table 5.3: Gross Unrealized Losses and Fair Value by Investment Grade
 
Investment grade
 
 
Non-investment grade
 
(in millions)
Gross
unrealized losses 

 
Fair value 

 
Gross
unrealized losses 

 
Fair value 

December 31, 2019
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(1
)
 
2,423

 
—

 
—

Securities of U.S. states and political subdivisions
(32
)
 
5,019

 
(4
)
 
175

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
(164
)
 
27,448

 
—

 
—

Residential
(1
)
 
149

 
—

 
—

Commercial
(3
)
 
1,158

 
(3
)
 
84

Total mortgage-backed securities
(168
)
 
28,755

 
(3
)
 
84

Corporate debt securities
(3
)
 
155

 
(29
)
 
364

Collateralized loan and other debt obligations
(123
)
 
21,859

 
—

 
—

Other
(13
)
 
1,499

 
(11
)
 
580

Total available-for-sale debt securities
(340
)
 
59,710

 
(47
)
 
1,203

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(19
)
 
989

 
—

 
—

Securities of U.S. states and political subdivisions
(13
)
 
670

 
—

 
—

Federal agency and other mortgage-backed securities
(25
)
 
5,428

 
(12
)
 
428

Total held-to-maturity debt securities
(57
)
 
7,087

 
(12
)
 
428

Total
$
(397
)
 
66,797

 
(59
)
 
1,631

December 31, 2018
 
 
 
 
 
 
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
(106
)
 
6,702

 
—

 
—

Securities of U.S. states and political subdivisions
(425
)
 
18,447

 
(21
)
 
316

Mortgage-backed securities:
 
 
 
 
 
 
 
Federal agencies
(3,140
)
 
123,231

 
—

 
—

Residential
(2
)
 
295

 
(3
)
 
172

Commercial
(20
)
 
1,999

 
(2
)
 
52

Total mortgage-backed securities
(3,162
)
 
125,525

 
(5
)
 
224

Corporate debt securities
(17
)
 
791

 
(73
)
 
1,472

Collateralized loan and other debt obligations
(396
)
 
28,859

 
—

 
—

Other
(7
)
 
726

 
(6
)
 
252

Total available-for-sale debt securities
(4,113
)
 
181,050

 
(105
)
 
2,264

Held-to-maturity debt securities:
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(415
)
 
41,978

 
—

 
—

Securities of U.S. states and political subdivisions
(116
)
 
4,590

 
—

 
—

Federal agency and other mortgage-backed securities
(2,278
)
 
81,977

 
(10
)
 
399

Total held-to-maturity debt securities
(2,809
)
 
128,545

 
(10
)
 
399

Total
$
(6,922
)
 
309,595

 
(115
)
 
2,663


Contractual Maturities
Table 5.4 shows the remaining contractual maturities and contractual weighted-average yields (taxable-equivalent basis) of available-for-sale debt securities. The remaining contractual
principal maturities for MBS do not consider prepayments. Remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature.

Table 5.4: Available-for-Sale Debt Securities – Fair Value by Contractual Maturity
 
 
 
Remaining contractual maturity 
 
 
Total 

 
 
 
Within one year 
 
 
After one year
through five years 
 
 
After five years
through ten years 
 
 
After ten years 
 
(in millions)
amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale debt securities (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
14,960

 
1.96
%
 
$
9,980

 
1.88
%
 
$
4,674

 
2.12
%
 
$
46

 
1.83
%
 
$
260

 
2.25
%
Securities of U.S. states and political subdivisions
40,337

 
4.82

 
2,687

 
2.91

 
3,208

 
3.31

 
4,245

 
3.21

 
30,197

 
5.38

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal agencies
162,453

 
3.43

 
—

 
—

 
152

 
3.40

 
1,326

 
2.52

 
160,975

 
3.44

Residential
827

 
2.78

 
—

 
—

 
—

 
—

 
—

 
—

 
827

 
2.78

Commercial
3,934

 
3.44

 
—

 
—

 
31

 
4.03

 
235

 
3.22

 
3,668

 
3.45

Total mortgage-backed securities
167,214

 
3.43

 
—

 
—

 
183

 
3.51

 
1,561

 
2.62

 
165,470

 
3.43

Corporate debt securities
6,563

 
4.83

 
460

 
5.37

 
2,251

 
4.93

 
3,070

 
4.64

 
782

 
4.98

Collateralized loan and other debt obligations
29,695

 
3.33

 
—

 
—

 
—

 
—

 
12,137

 
3.43

 
17,558

 
3.27

Other
4,690

 
2.57

 
35

 
4.16

 
687

 
3.15

 
1,408

 
1.80

 
2,560

 
2.81

Total available-for-sale debt securities at fair value
$
263,459

 
3.57
%
 
$
13,162

 
2.22
%
 
$
11,003

 
3.12
%
 
$
22,467

 
3.39
%
 
$
216,827

 
3.69
%
(1)
Weighted-average yields displayed by maturity bucket are weighted based on fair value and predominantly represent contractual coupon rates without effect for any related hedging derivatives.
Table 5.5 shows the amortized cost and weighted-average yields of held-to-maturity debt securities by contractual maturity.

Table 5.5: Held-to-Maturity Debt Securities – Amortized Cost by Contractual Maturity
 
 
 
Remaining contractual maturity 
 
 
Total 

 
 
 
Within one year 
 
 
After one year
through five years 
 
 
After five years
through ten years 
 
 
After ten years 
 
(in millions)
amount

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

 
Amount 

 
Yield 

December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Held-to-maturity debt securities (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
45,541

 
2.12
%
 
$
1,296

 
1.75
%
 
$
42,242

 
2.13
%
 
$
1,244

 
2.00
%
 
$
759

 
2.33
%
Securities of U.S. states and political subdivisions
13,486

 
4.89

 
—

 
—

 
87

 
5.95

 
1,866

 
4.80

 
11,533

 
4.90

Federal agency and other mortgage-backed securities
94,869

 
3.08

 
—

 
—

 
15

 
3.10

 
—

 
—

 
94,854

 
3.08

Other debt securities
37

 
3.18

 
—

 
—

 
—

 
—

 
37

 
3.18

 
—

 
—

Total held-to-maturity debt securities at amortized cost
$
153,933

 
2.95
%
 
$
1,296

 
1.75
%
 
$
42,344

 
2.14
%
 
$
3,147

 
3.68
%
 
$
107,146

 
3.27
%
(1)
Weighted-average yields displayed by maturity bucket are weighted based on amortized cost and predominantly represent contractual coupon rates.

Table 5.6 shows the fair value of held-to-maturity debt securities by contractual maturity.

Table 5.6: Held-to-Maturity Debt Securities – Fair Value by Contractual Maturity
 
 
Remaining contractual maturity 
 
 
Total 

 
Within
one year 

 
After one year through five years 

 
After five years
through ten years 

 
After ten years 

(in millions)
amount

 
Amount

 
Amount

 
Amount

 
Amount

December 31, 2019
 
 
 
 
 
 
 
 
 
Held-to-maturity debt securities:
 
 
 
 
 
 
 
 
 
Fair value:
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
46,139

 
1,301

 
42,830

 
1,268

 
740

Securities of U.S. states and political subdivisions
13,759

 
—

 
87

 
1,940

 
11,732

Federal agency and other mortgage-backed securities
96,925

 
—

 
15

 
—

 
96,910

Other debt securities
37

 
—

 
—

 
37

 
—

Total held-to-maturity debt securities at fair value
$
156,860

 
1,301

 
42,932

 
3,245

 
109,382



Realized Gains and Losses
Table 5.7 shows the gross realized gains and losses on sales and OTTI write-downs related to available-for-sale debt securities.

Table 5.7: Realized Gains and Losses
 
Year ended December 31,
 
(in millions)
2019

 
2018

 
2017

Gross realized gains
$
227

 
155

 
948

Gross realized losses
(24
)
 
(19
)
 
(207
)
OTTI write-downs
(63
)
 
(28
)
 
(262
)
Net realized gains from available-for-sale debt securities
$
140

 
108

 
479



Other-Than-Temporary Impaired Debt Securities
Table 5.8 shows the detail of total OTTI write-downs included in earnings for available-for-sale debt securities. There were no OTTI write-downs on held-to-maturity debt securities during the years ended December 31, 2019, 2018 or 2017.



Table 5.8: Detail of OTTI Write-downs
 
Year ended December 31,
 
(in millions)
2019

 
2018

 
2017

Debt securities OTTI write-downs included in earnings:
 
 
 
 
 
Securities of U.S. states and political subdivisions
$
33

 
2

 
150

Mortgage-backed securities:
 
 
 
 
 
Residential
—

 
4

 
11

Commercial
17

 
18

 
80

Corporate debt securities
13

 
—

 
21

Other debt securities
—

 
4

 
—

Total debt securities OTTI write-downs included in earnings
$
63

 
28

 
262



Table 5.9 shows the detail of OTTI write-downs on available-for-sale debt securities included in earnings and the related changes in OCI for the same securities.
Table 5.9: OTTI Write-downs Included in Earnings and the Related Changes in OCI
 
Year ended December 31,
 
(in millions)
2019

 
2018

 
2017

OTTI on debt securities
 
 
 
 
 
Recorded as part of gross realized losses:
 
 
 
 
 
Credit-related OTTI
$
27

 
27

 
119

Intent-to-sell OTTI
36

 
1

 
143

Total recorded as part of gross realized losses
63

 
28

 
262

Changes to OCI for losses (reversal of losses) in non-credit-related OTTI (1):
 
 
 
 
 
Securities of U.S. states and political subdivisions
(1
)
 
(2
)
 
(5
)
Residential mortgage-backed securities
(1
)
 
2

 
(1
)
Commercial mortgage-backed securities
2

 
(11
)
 
(51
)
Other debt securities
1

 
—

 
—

Total changes to OCI for non-credit-related OTTI
1

 
(11
)
 
(57
)
Total OTTI losses recorded on debt securities
$
64

 
17

 
205

(1)
Represents amounts recorded to OCI for impairment of debt securities, due to factors other than credit that have also had credit-related OTTI write-downs during the period. Increases represent initial or subsequent non-credit-related OTTI on debt securities. Decreases represent partial to full reversal of impairment due to recoveries in the fair value of debt securities due to non-credit factors.

Table 5.10 presents a rollforward of the OTTI credit loss that has been recognized in earnings as a write-down of available-for-sale debt securities we still own (referred to as “credit-impaired” debt securities) and do not intend to sell. We have not recognized OTTI on held-to-maturity debt securities we still
own. Recognized credit loss represents the difference between the present value of expected future cash flows discounted using the security’s current effective interest rate and the amortized cost basis of the security prior to considering credit loss.
Table 5.10: Rollforward of OTTI Credit Loss
 
Year ended December 31,
 
(in millions)
2019

 
2018

 
2017

Credit loss recognized, beginning of year
$
562

 
742

 
1,043

Additions:
 
 
 
 
 
For securities with initial credit impairments
6

 
1

 
9

For securities with previous credit impairments
21

 
26

 
110

Total additions
27

 
27

 
119

Reductions:
 
 
 
 
 
For securities sold, matured, or intended/required to be sold
(390
)
 
(204
)
 
(414
)
For recoveries of previous credit impairments (1)
—

 
(3
)
 
(6
)
Total reductions
(390
)
 
(207
)
 
(420
)
Credit loss recognized, end of year
$
199

 
562

 
742

(1)
Recoveries of previous credit impairments result from increases in expected cash flows subsequent to credit loss recognition. Such recoveries are reflected prospectively as interest yield adjustments using the effective interest method.