
December 31, 2023	Amortized Cost		Allowance for Credit Losses		Unrealized Gains		Unrealized Losses		Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	7,489	$	—	$	22	$	(225)	$	7,286
U.S. Government sponsored enterprises:
Mortgage-backed securities	5,864		—		—		(845)		5,019
Collateralized mortgage obligations	1,436		—		—		(300)		1,136
Direct agency obligations	1,719		—		—		(38)		1,681
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	5,804		—		1		(378)		5,427
Collateralized mortgage obligations	2,865		—		—		(506)		2,359
Direct agency obligations	215		—		3		(3)		215

Asset-backed securities collateralized by:


Home equity	13		—		—		(1)		12

Other	103		—		—		(11)		92

Foreign debt securities(1)	2,472		—		—		(3)		2,469
Total available-for-sale securities	$	27,980	$	—	$	26	$	(2,310)	$	25,696
Securities held-to-maturity:
U.S. Treasury	$	1,917	$	—	$	1	$	(18)	$	1,900
U.S. Government sponsored enterprises:
Mortgage-backed securities	1,069		—		—		(68)		1,001
Collateralized mortgage obligations	297		—		3		(16)		284
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	10,043		—		43		(180)		9,906
Collateralized mortgage obligations	1,745		—		—		(152)		1,593
Obligations of U.S. states and political subdivisions	4		—		—		—		4
Asset-backed securities collateralized by residential mortgages	1		—		—		—		1

Total held-to-maturity securities	$	15,076	$	—	$	47	$	(434)	$	14,689


December 31, 2022	Amortized Cost		Allowance for Credit Losses		Unrealized Gains		Unrealized Losses		Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	7,662	$	—	$	32	$	(242)	$	7,452
U.S. Government sponsored enterprises:
Mortgage-backed securities	6,537		—		—		(1,024)		5,513
Collateralized mortgage obligations	1,549		—		—		(323)		1,226
Direct agency obligations	1,807		—		1		(71)		1,737
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	7,477		—		—		(772)		6,705
Collateralized mortgage obligations	3,163		—		—		(567)		2,596
Direct agency obligations	165		—		1		(4)		162

Asset-backed securities collateralized by:


Home equity	16		—		—		(1)		15

Other	105		—		—		(12)		93

Foreign debt securities(1)	1,854		—		1		(9)		1,846
Total available-for-sale securities	$	30,335	$	—	$	35	$	(3,025)	$	27,345
Securities held-to-maturity:
U.S. Treasury	$	873	$	—	$	—	$	(15)	$	858
U.S. Government sponsored enterprises:
Mortgage-backed securities	$	1,146	$	—	$	—	$	(80)	$	1,066
Collateralized mortgage obligations	358		—		3		(19)		342
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	2,895		—		—		(177)		2,718
Collateralized mortgage obligations	2,039		—		—		(167)		1,872
Obligations of U.S. states and political subdivisions	5		—		—		—		5
Asset-backed securities collateralized by residential mortgages	1		—		—		—		1

Total held-to-maturity securities	$	7,317	$	—	$	3	$	(458)	$	6,862

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 charge 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 (loss). 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, 2023 and 2022 classified as to the length of time the losses have existed:


	One Year or Less					Greater Than One Year
	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)
At December 31, 2023
U.S. Treasury	3	$	(1)	$	1,008	41	$	(224)	$	4,906
U.S. Government sponsored enterprises	2	—		80		293	(1,183)		7,701
U.S. Government agency issued or guaranteed	—	—		—		151	(887)		7,765

Asset-backed securities	—	—		—		6	(12)		104

Foreign debt securities	17	(1)		1,801		4	(2)		183
Securities available-for-sale	22	$	(2)	$	2,889	495	$	(2,308)	$	20,659
At December 31, 2022
U.S. Treasury	22	$	(105)	$	2,800	19	$	(137)	$	2,013
U.S. Government sponsored enterprises	233	(316)		3,270		79	(1,102)		4,959
U.S. Government agency issued or guaranteed	107	(534)		4,547		55	(809)		4,856

Asset-backed securities	3	(1)		14		3	(12)		92

Foreign debt securities	4	(1)		337		3	(8)		286
Securities available-for-sale	369	$	(957)	$	10,968	159	$	(2,068)	$	12,206

Gross unrealized losses decreased as compared with December 31, 2022 due primarily to decreasing yields on U.S. Government agency mortgage-backed and U.S. Government sponsored mortgage-backed securities as well as the sale of certain securities that were in an unrealized loss position at December 31, 2022.

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, higher market rates or 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, 2023, 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.

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, 2023 and 2022, the allowance for credit losses on securities held-to-maturity was nil.

During the fourth quarter of 2023, we sold certain U.S. Government agency mortgage-backed and U.S. Government sponsored mortgage-backed securities classified as available-for-sale with a total carrying value of $960 million and realized a loss of $246 million. These securities were sold to manage our exposure to the changing interest rate environment as part of our continuing strategy to maximize returns while balancing the securities portfolio for risk management purposes. We have reinvested the proceeds into higher yielding U.S. Government agency mortgage-backed securities classified as held-to-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, 2023 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, 2023, 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, 2023.


	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	$	—	—	%	$	3,910	1.61	%	$	632	1.51	%	$	2,947	2.70	%
U.S. Government sponsored enterprises	803		.98		1,055		2.56		1,362		2.20		5,799		1.84
U.S. Government agency issued or guaranteed	—		—		69		3.16		2		5.97		8,813		2.98

Asset-backed securities	—		—		55		4.38		48		3.90		13		5.64

Foreign debt securities	1,334		(.03)		1,138		4.34		—		—		—		—
Total amortized cost	$	2,137	.35	%	$	6,227	2.31	%	$	2,044	2.03	%	$	17,572	2.56	%
Total fair value	$	2,113			$	6,121			$	1,940			$	15,522
Held-to-maturity:
U.S. Treasury	$	—	—	%	$	1,095	3.75	%	$	822	3.71	%	$	—	—	%
U.S. Government sponsored enterprises	86		2.31		81		3.64		786		3.41		413		2.91
U.S. Government agency issued or guaranteed	—		—		—		—		12		5.75		11,776		4.46
Obligations of U.S. states and political subdivisions	1		5.14		3		2.73		—		—		—		—
Asset-backed securities	—		—		—		—		1		4.44		—		—

Total amortized cost	$	87	2.35	%	$	1,179	3.74	%	$	1,621	3.58	%	$	12,189	4.41	%
Total fair value	$	85			$	1,170			$	1,563			$	11,871

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 2023, we determined that certain equity securities without readily determinable fair values were impaired and, as a result, we recorded impairment losses of $5 million as a component of other income (loss) in the consolidated statement of income compared with impairment losses of $3 million during both 2022 and 2021, respectively.

Also included in other assets were investments in Federal Home Loan Bank ("FHLB") stock and Federal Reserve Bank stock of $95 million and $438 million, respectively, at December 31, 2023 and $95 million and $498 million, respectively, at December 31, 2022. Our investment in Federal Reserve Bank stock represents approximately half of the total subscription price for our subscribed shares. The remaining half is unpaid and remains subject to call by the Federal Reserve Board ("FRB").