
December 31, 2020	Amortized Cost		Allowance for Credit Losses(1)		Unrealized Gains		Unrealized Losses		Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	16,087	$	—	$	608	$	(47)	$	16,648
U.S. Government sponsored enterprises:
Mortgage-backed securities	5,986		—		280		(2)		6,264
Collateralized mortgage obligations	1,676		—		19		(2)		1,693
Direct agency obligations	1,236		—		17		—		1,253
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	6,993		—		152		—		7,145
Collateralized mortgage obligations	2,093		—		22		(11)		2,104
Direct agency obligations	296		—		5		—		301

Asset-backed securities collateralized by:


Home equity	28		(1)		—		—		27

Other	114		—		—		(10)		104

Foreign debt securities(2)	5,127		—		6		—		5,133
Total available-for-sale securities	$	39,636	$	(1)	$	1,109	$	(72)	$	40,672
Securities held-to-maturity:
U.S. Government sponsored enterprises:
Mortgage-backed securities	$	1,137	$	—	$	44	$	—	$	1,181
Collateralized mortgage obligations	780		—		53		—		833
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	1,947		—		76		—		2,023
Collateralized mortgage obligations	5,107		—		212		—		5,319
Obligations of U.S. states and political subdivisions	10		—		1		—		11
Asset-backed securities collateralized by residential mortgages	2		(2)		2		—		2

Total held-to-maturity securities	$	8,983	$	(2)	$	388	$	—	$	9,369


December 31, 2019	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	16,219	$	128	$	(269)	$	16,078
U.S. Government sponsored enterprises:
Mortgage-backed securities	3,358		57		(13)		3,402
Collateralized mortgage obligations	345		3		(1)		347
Direct agency obligations	1,382		21		—		1,403
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	10,009		29		(41)		9,997
Collateralized mortgage obligations	741		10		(4)		747
Direct agency obligations	254		6		—		260

Asset-backed securities collateralized by:


Home equity	34		—		(2)		32

Other	108		3		—		111

Foreign debt securities(2)	3,282		4		—		3,286
Total available-for-sale securities	$	35,732	$	261	$	(330)	$	35,663
Securities held-to-maturity:
U.S. Government sponsored enterprises:
Mortgage-backed securities	$	1,632	$	22	$	(1)	$	1,653
Collateralized mortgage obligations	1,418		40		(4)		1,454
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	3,004		17		—		3,021
Collateralized mortgage obligations	7,227		85		(22)		7,290
Obligations of U.S. states and political subdivisions	10		1		—		11
Asset-backed securities collateralized by residential mortgages	2		—		—		2

Total held-to-maturity securities	$	13,293	$	165	$	(27)	$	13,431

(1)As discussed in Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," beginning January 1, 2020, an allowance for credit losses is recognized for debt securities while, prior to January 1, 2020, debt securities were assessed for other-than-temporary impairment. At December 31, 2019, we did not consider any of our debt securities to be other-than-temporarily impaired.

Allowance for credit losses On a quarterly basis, we perform an assessment to determine whether there have been any events or economic circumstances to indicate that a debt security available-for-sale in an unrealized loss position has suffered impairment due to credit factors. A debt security available-for-sale is considered impaired if its fair value is less than its amortized cost basis at the reporting date. If impaired, we assess whether the impairment is due to credit factors.

If we intend to sell the debt security or if it is more-likely-than-not that we will be required to sell the debt security before the recovery of its amortized cost basis, the impairment is recognized and the unrealized loss is recorded as a direct write-down of the security's amortized cost basis with an offsetting entry to earnings. If we do not intend to sell the debt security or believe we will not be required to sell the debt security before the recovery of its amortized cost basis, the impairment is assessed to determine if a credit loss component exists. We use a discounted cash flow method to determine the credit loss component. In the event a credit loss exists, an allowance for credit losses is recorded in earnings for the credit loss component of the impairment while the remaining portion of the impairment attributable to factors other than credit loss is recognized, net of tax, in other comprehensive income. The amount of impairment recognized due to credit factors is limited to the excess of the amortized cost basis over the fair value of the security available-for-sale.

Securities in an unrealized loss position for which no allowance for credit losses has been recognized The following table summarizes gross unrealized losses and related fair values for securities available-for-sale by major security type at December 31, 2020 classified as to the length of time the losses have existed:


	One Year or Less					Greater Than One Year
December 31, 2020	Number of Securities	Gross Unrealized Losses		Aggregate Fair Value of Investment		Number of Securities	Gross Unrealized Losses		Aggregate Fair Value of Investment
	(dollars are in millions)
Securities available-for-sale:
U.S. Treasury	5	$	(5)	$	751	13	$	(42)	$	1,271
U.S. Government sponsored enterprises	15	(3)		715		8	(1)		46
U.S. Government agency issued or guaranteed	13	(11)		1,482		3	—		8

Asset-backed securities	3	(10)		104		2	—		—

Foreign debt securities	6	—		766		5	—		241
Securities available-for-sale	42	$	(29)	$	3,818	31	$	(43)	$	1,566

Although the fair value of a particular security may be below its amortized cost, it does not necessarily result in a credit loss and hence an allowance for credit losses. The decline in fair value may be caused by, among other things, the illiquidity of the market. We have reviewed the securities in an unrealized loss position for which no allowance for credit losses has been recognized in accordance with our accounting policies, discussed further above. At December 31, 2020, we do not consider any of these securities to be impaired due to credit factors as we expect to recover their amortized cost basis and we neither intend nor expect to be required to sell these securities prior to recovery, even if that equates to holding them until their individual maturities. However, impairments due to credit factors may occur in future periods if the credit quality of the securities deteriorates.

For the comparative period prior to the adoption of the new accounting guidance on January 1, 2020, we have retained the following disclosure as previously reported, which included both securities available-for-sale and securities held-to-maturity. The following table summarizes gross unrealized losses and related fair values at December 31, 2019 classified as to the length of time the losses have existed:


	One Year or Less					Greater Than One Year
December 31, 2019	Number of Securities	Gross Unrealized Losses		Aggregate Fair Value of Investment		Number of Securities	Gross Unrealized Losses		Aggregate Fair Value of Investment
	(dollars are in millions)
Securities available-for-sale:
U.S. Treasury	22	$	(61)	$	4,034	28	$	(208)	$	4,962
U.S. Government sponsored enterprises	18	(8)		772		83	(6)		672
U.S. Government agency issued or guaranteed	27	(4)		1,961		50	(41)		2,508

Asset-backed securities	—	—		—		5	(2)		33

Foreign debt securities	11	—		1,238		5	—		292
Securities available-for-sale	78	$	(73)	$	8,005	171	$	(257)	$	8,467
Securities held-to-maturity:
U.S. Government sponsored enterprises	15	$	—	$	63	76	$	(5)	$	522
U.S. Government agency issued or guaranteed	46	(3)		887		274	(19)		1,705
Obligations of U.S. states and political subdivisions	1	—		—		1	—		—

Securities held-to-maturity	62	$	(3)	$	950	351	$	(24)	$	2,227

Allowance for credit losses Due to the composition of our portfolio of securities held-to-maturity, substantially all of our portfolio qualifies for the Zero Expected Credit Loss Exception and has been excluded from our lifetime ECL calculation. See Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," for further discussion. At both December 31, 2020 and January 1, 2020, the allowance for credit losses on securities held-to-maturity was $2 million.

Credit risk profile Securities are assigned a credit rating based on the estimated probability of default. The credit ratings are used as a credit quality indicator to monitor our securities held-to-maturity portfolio. We utilize Standard and Poor's ("S&P") as the primary source of our credit ratings. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order. Investment grade includes securities with credit ratings of at least BBB- or above. The following table shows the credit risk profile of our securities held-to-maturity portfolio:


At December 31, 2020	Investment Grade		Non-Investment Grade		Total
	(in millions)

U.S. Government sponsored enterprises	$	1,917	$	—	$	1,917
U.S. Government agency issued or guaranteed	7,054		—		7,054
Obligations of U.S. states and political subdivisions	10		—		10
Asset-backed securities collateralized by residential mortgages	2		—		2
Total securities held-to-maturity	$	8,983	$	—	$	8,983

As discussed in Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," we adopted new accounting guidance during the second quarter of 2020 that allows entities to make a one-time election to sell and/or transfer held-to-maturity debt securities that reference a rate affected by reference rate reform (e.g., LIBOR). During the second quarter of 2020, we elected to sell all of our LIBOR-linked variable rate held-to-maturity securities maturing beyond 2021, consisting of U.S. Government agency and U.S. Government sponsored securities with a total carrying value of $340 million, and recognized a gain of less than $1 million. These sales did not affect the held-to-maturity accounting treatment based on our intent and ability to hold our remaining held-to-maturity portfolio until maturity.

Contractual Maturities and Yields The following table summarizes the amortized cost and fair values of securities available-for-sale and securities held-to-maturity at December 31, 2020 by contractual maturity. Expected maturities differ from contractual maturities because borrowers have the right to prepay obligations without prepayment penalties in certain cases. The table below also reflects the distribution of maturities of debt securities held at December 31, 2020, together with the approximate yield of the portfolio. The yields shown are calculated by dividing annualized interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at December 31, 2020.


	Within One Year				After One But Within Five Years				After Five But Within Ten Years				After Ten Years
	Amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield
	(dollars are in millions)
Available-for-sale:
U.S. Treasury	$	1,026	3.27	%	$	4,777	1.00	%	$	6,090	1.39	%	$	4,194	2.00	%
U.S. Government sponsored enterprises	30		2.78		803		2.12		3,098		2.43		4,967		1.78
U.S. Government agency issued or guaranteed	—		—		97		1.81		1		7.87		9,284		2.02

Asset-backed securities	—		—		—		—		61		4.90		81		3.14

Foreign debt securities	3,796		.24		1,331		.93		—		—		—		—
Total amortized cost	$	4,852	.90	%	$	7,008	1.12	%	$	9,250	1.76	%	$	18,526	1.96	%
Total fair value	$	4,879			$	7,161			$	9,709			$	18,923
Held-to-maturity:
U.S. Government sponsored enterprises	$	110	2.49	%	$	258	2.72	%	$	436	2.25	%	$	1,113	3.25	%
U.S. Government agency issued or guaranteed	—		—		9		3.79		13		4.51		7,032		2.57
Obligations of U.S. states and political subdivisions	1		2.69		6		3.20		3		4.93		—		—
Asset-backed securities	—		—		—		—		—		—		2		5.95

Total amortized cost	$	111	2.49	%	$	273	2.76	%	$	452	2.34	%	$	8,147	2.67	%
Total fair value	$	111			$	283			$	467			$	8,508

On a quarterly basis, we perform an assessment to determine whether any equity securities without readily determinable fair values are impaired. In the event an equity security is deemed impaired, the security is written down to fair value with impairment recorded in earnings. During 2020, we determined that certain equity securities without readily determinable fair values were impaired and, as a result, we recorded an impairment loss of $2 million as a component of other income in the consolidated statement of income (loss). During 2019 and 2018, none of our equity securities without readily determinable fair values were determined to be impaired.