Investment Securities

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Investment Securities

The following tables summarize the Company’s AFS and HTM securities:


March 31, 2023 (Dollars in millions)	Amortized Cost		Gross Unrealized				Fair Value
			Gains		Losses
AFS securities:
U.S. Treasury	$	11,083	$	2	$	644	$	10,441
GSE	332		—		31		301
Agency MBS - residential	64,382		1		9,208		55,175
Agency MBS - commercial	2,872		—		474		2,398
States and political subdivisions	425		17		17		425
Non-agency MBS	3,884		—		786		3,098
Other	20		—		—		20
Total AFS securities	$	82,998	$	20	$	11,160	$	71,858
HTM securities:


Agency MBS - residential	$	56,932	$	—	$	8,835	$	48,097





December 31, 2022 (Dollars in millions)	Amortized Cost		Gross Unrealized				Fair Value
			Gains		Losses
AFS securities:
U.S. Treasury	$	11,080	$	—	$	785	$	10,295
GSE	339		—		36		303
Agency MBS - residential	65,377		—		10,152		55,225
Agency MBS - commercial	2,887		—		463		2,424
States and political subdivisions	425		15		24		416
Non-agency MBS	3,927		—		810		3,117
Other	21		—		—		21
Total AFS securities	$	84,056	$	15	$	12,270	$	71,801
HTM securities:


Agency MBS - residential	$	57,713	$	—	$	9,922	$	47,791

The amortized cost and estimated fair value of certain MBS securities issued by FNMA and FHLMC that exceeded 10% of shareholders’ equity are shown in the table below:


	March 31, 2023
(Dollars in millions)	Amortized Cost		Fair Value
FNMA	$	41,783	$	35,517
FHLMC	42,308		35,747

The amortized cost and estimated fair value of the securities portfolio by contractual maturity are shown in the following table. The expected life of MBS may be shorter than the contractual maturities because borrowers have the right to prepay their obligations with or without penalties.


	Amortized Cost										Fair Value
March 31, 2023 (Dollars in millions)	Due in one year or less		Due after one year through five years		Due after five years through ten years		Due after ten years		Total		Due in one year or less		Due after one year through five years		Due after five years through ten years		Due after ten years		Total
AFS securities:
U.S. Treasury	$	2,587	$	8,448	$	19	$	29	$	11,083	$	2,528	$	7,869	$	18	$	26	$	10,441
GSE	—		7		11		314		332		—		7		10		284		301
Agency MBS - residential	—		65		580		63,737		64,382		—		62		547		54,566		55,175
Agency MBS - commercial	1		7		71		2,793		2,872		1		7		68		2,322		2,398
States and political subdivisions	3		94		139		189		425		3		93		148		181		425
Non-agency MBS	—		—		—		3,884		3,884		—		—		—		3,098		3,098
Other	6		—		14		—		20		6		—		14		—		20
Total AFS securities	$	2,597	$	8,621	$	834	$	70,946	$	82,998	$	2,538	$	8,038	$	805	$	60,477	$	71,858
HTM securities:


Agency MBS - residential	$	—	$	—	$	—	$	56,932	$	56,932	$	—	$	—	$	—	$	48,097	$	48,097

The following tables present the fair values and gross unrealized losses of investments based on the length of time that individual securities have been in a continuous unrealized loss position:


	Less than 12 months				12 months or more				Total
March 31, 2023 (Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
AFS securities:
U.S. Treasury	$	1,267	$	27	$	8,977	$	617	$	10,244	$	644
GSE	112		5		175		26		287		31
Agency MBS - residential	1,267		65		53,717		9,143		54,984		9,208
Agency MBS - commercial	318		24		2,066		450		2,384		474
States and political subdivisions	42		1		210		16		252		17
Non-agency MBS	—		—		3,098		786		3,098		786
Other	5		—		15		—		20		—
Total	$	3,011	$	122	$	68,258	$	11,038	$	71,269	$	11,160
HTM securities:


Agency MBS - residential	$	—	$	—	$	48,097	$	8,835	$	48,097	$	8,835








	Less than 12 months				12 months or more				Total
December 31, 2022 (Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses

AFS securities:
U.S. Treasury	$	2,069	$	49	$	8,186	$	736	$	10,255	$	785
GSE	180		14		114		22		294		36
Agency MBS - residential	25,041		3,263		30,050		6,889		55,091		10,152
Agency MBS - commercial	790		92		1,631		371		2,421		463
States and political subdivisions	251		21		20		3		271		24
Non-agency MBS	—		—		3,117		810		3,117		810
Other	21		—		—		—		21		—
Total	$	28,352	$	3,439	$	43,118	$	8,831	$	71,470	$	12,270
HTM securities:


Agency MBS - residential	$	29,369	$	5,613	$	18,422	$	4,309	$	47,791	$	9,922

At March 31, 2023 and December 31, 2022, no ACL was established for AFS or HTM securities. Substantially all of the unrealized losses on the securities portfolio, including non-agency MBS, were the result of changes in market interest rates compared to the date the securities were acquired rather than the credit quality of the issuers or underlying loans. HTM debt securities consist of residential agency MBS. Accordingly, the Company does not expect to incur any credit losses on investment securities.

The following table presents gross securities gains and losses recognized in earnings:


(Dollars in millions)	Three Months Ended March 31,
		2023		2022
Gross realized gains		$	—	$	13
Gross realized losses		—		(82)


Securities gains (losses), net		$	—	$	(69)