Quarterly report pursuant to Section 13 or 15(d)

Securities

v3.23.2
Securities
 6 Months Ended
Jun. 30, 2023
Investments, Debt and Equity Securities [Abstract]  
Securities Securities
The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at June 30, 2023 and December 31, 2022.
Debt Securities
Amortized
Cost		 Gross
Unrealized
Gains		 Gross
Unrealized
Losses		 Fair
Value		 Amortized
Cost		 Gross
Unrealized
Gains		 Gross
Unrealized
Losses		 Fair
Value
(Dollars in millions) June 30, 2023 December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 23,621  $ 1  $ (1,469) $ 22,153  $ 25,204  $ 5  $ (1,767) $ 23,442 
Agency-collateralized mortgage obligations 2,033  —  (230) 1,803  2,452  —  (231) 2,221 
Commercial 6,966  26  (511) 6,481  6,894  28  (515) 6,407 
Non-agency residential (1)
455  3  (59) 399  461  15  (90) 386 
Total mortgage-backed securities 33,075  30  (2,269) 30,836  35,011  48  (2,603) 32,456 
U.S. Treasury and government agencies 72,422  1  (1,065) 71,358  160,773  18  (1,769) 159,022 
Non-U.S. securities 15,445  33  (70) 15,408  13,455  4  (52) 13,407 
Other taxable securities 3,858  1  (86) 3,773  4,728  1  (84) 4,645 
Tax-exempt securities 10,884  14  (268) 10,630  11,518  19  (279) 11,258 
Total available-for-sale debt securities 135,684  79  (3,758) 132,005  225,485  90  (4,787) 220,788 
Other debt securities carried at fair value (2)
10,008  122  (95) 10,035  8,986  376  (156) 9,206 
Total debt securities carried at fair value 145,692  201  (3,853) 142,040  234,471  466  (4,943) 229,994 
Held-to-maturity debt securities
Agency mortgage-backed securities 484,753  —  (85,005) 399,748  503,233  —  (87,319) 415,914 
U.S. Treasury and government agencies 121,621  —  (19,788) 101,833  121,597  —  (20,259) 101,338 
Other taxable securities 7,775  —  (1,005) 6,770  8,033  —  (1,018) 7,015 
Total held-to-maturity debt securities 614,149  —  (105,798) 508,351  632,863  —  (108,596) 524,267 
Total debt securities (3,4)
$ 759,841  $ 201  $ (109,651) $ 650,391  $ 867,334  $ 466  $ (113,539) $ 754,261 
(1)At both June 30, 2023 and December 31, 2022, the underlying collateral type included approximately 17 percent prime and 83 percent subprime.
(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 14 – Fair Value Measurements.
(3)Includes securities pledged as collateral of $138.6 billion and $104.5 billion at June 30, 2023 and December 31, 2022.
(4)The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $279.8 billion and $170.8 billion, and a fair value of $230.3 billion and $139.6 billion at June 30, 2023, and an amortized cost of $290.5 billion and $176.7 billion, and a fair value of $239.6 billion and $144.6 billion at December 31, 2022.
At June 30, 2023, the accumulated net unrealized loss on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $2.7 billion, net of the related income tax benefit of $916 million. At June 30, 2023 and December 31, 2022, nonperforming AFS debt securities held by the Corporation were not significant.
At June 30, 2023 and December 31, 2022, $717.5 billion and $826.5 billion of AFS and HTM debt securities, which were predominantly U.S. agency and U.S. Treasury securities, have a zero credit loss assumption. For the same periods, the ECL on the remaining $32.3 billion and $31.8 billion of AFS and HTM debt securities were insignificant. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2022 Annual Report on Form 10-K.
At June 30, 2023 and December 31, 2022, the Corporation held equity securities at an aggregate fair value of $574 million and $581 million and other equity securities, as valued under the measurement alternative, at a carrying value of $366 million
and $340 million, both of which are included in other assets. At June 30, 2023 and December 31, 2022, the Corporation also held money market investments at a fair value of $902 million and $868 million, which are included in time deposits placed and other short-term investments.
The gross realized gains and losses on sales of AFS debt securities for the three and six months ended June 30, 2023 and 2022 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
Three Months Ended June 30 Six Months Ended June 30
(Dollars in millions) 2023 2022 2023 2022
Gross gains $ 8  $ 666  $ 104  $ 702 
Gross losses (202) (650) (508) (680)
Net gains (losses) on sales of AFS debt securities $ (194) $ 16  $ (404) $ 22 
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ (48) $ 4  $ (101) $ 6 
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at June 30, 2023 and December 31, 2022.
Total AFS Debt Securities in a Continuous Unrealized Loss Position
Less than Twelve Months Twelve Months or Longer Total
Fair
Value		 Gross
 Unrealized
 Losses		 Fair
Value		 Gross
 Unrealized
 Losses		 Fair
Value		 Gross
 Unrealized
 Losses
(Dollars in millions) June 30, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 7,176  $ (256) $ 14,675  $ (1,213) $ 21,851  $ (1,469)
Agency-collateralized mortgage obligations 92  (9) 1,709  (221) 1,801  (230)
Commercial 1,073  (29) 4,287  (482) 5,360  (511)
Non-agency residential —  —  387  (59) 387  (59)
Total mortgage-backed securities 8,341  (294) 21,058  (1,975) 29,399  (2,269)
U.S. Treasury and government agencies 2,047  (96) 66,308  (969) 68,355  (1,065)
Non-U.S. securities 6,906  (40) 1,319  (30) 8,225  (70)
Other taxable securities 2,312  (27) 1,205  (59) 3,517  (86)
Tax-exempt securities 671  (6) 2,899  (262) 3,570  (268)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 20,277  $ (463) $ 92,789  $ (3,295) $ 113,066  $ (3,758)
December 31, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency $ 18,759  $ (1,118) $ 4,437  $ (649) $ 23,196  $ (1,767)
Agency-collateralized mortgage obligations 1,165  (96) 1,022  (135) 2,187  (231)
Commercial 3,273  (150) 2,258  (365) 5,531  (515)
Non-agency residential 264  (65) 97  (25) 361  (90)
Total mortgage-backed securities 23,461  (1,429) 7,814  (1,174) 31,275  (2,603)
U.S. Treasury and government agencies 36,730  (308) 118,636  (1,461) 155,366  (1,769)
Non-U.S. securities 9,399  (34) 756  (18) 10,155  (52)
Other taxable securities 2,036  (16) 1,580  (68) 3,616  (84)
Tax-exempt securities 607  (28) 2,849  (251) 3,456  (279)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 72,233  $ (1,815) $ 131,635  $ (2,972) $ 203,868  $ (4,787)
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at June 30, 2023 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgage-backed securities (MBS) or other asset-backed securities (ABS) are passed through to the Corporation.
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities
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
(Dollars in millions) Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amortized cost of debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —  —  % $ 3  4.67  % $ 53  4.85  % $ 23,565  3.41  % $ 23,621  3.41  %
Agency-collateralized mortgage obligations —  —  2  2.00  —  —  2,031  2.79  2,033  2.79 
Commercial 13  1.85  790  2.99  4,587  2.37  1,588  2.33  6,978  2.43 
Non-agency residential —  —  —  —  —  —  736  10.62  736  10.62 
Total mortgage-backed securities 13  1.85  795  2.99  4,640  2.40  27,920  3.49  33,368  3.33 
U.S. Treasury and government agencies 4,012  4.35  38,478  3.12  30,720  2.43  37  3.79  73,247  2.90 
Non-U.S. securities 16,323  1.69  4,093  2.20  3,371  5.07  548  5.14  24,335  2.32 
Other taxable securities 477  5.58  2,865  4.66  309  3.03  207  4.47  3,858  4.64 
Tax-exempt securities 961  3.66  4,019  3.79  2,104  3.82  3,800  4.23  10,884  3.94 
Total amortized cost of debt securities carried at fair value
 $ 21,786  2.35  $ 50,250  3.18  $ 41,144  2.72  $ 32,512  3.61  $ 145,692  3.02 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 13  2.62  % $ 484,740  2.12  % $ 484,753  2.12  %
U.S. Treasury and government agencies —  —  4,553  1.80  117,068  1.37  —  —  121,621  1.39 
Other taxable securities 41  9.33  1,275  2.43  278  3.24  6,181  2.48  7,775  2.53 
Total amortized cost of HTM debt securities $ 41  9.33  $ 5,828  1.94  $ 117,359  1.37  $ 490,921  2.12  $ 614,149  1.97 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 3    $ 53    $ 22,097    $ 22,153   
Agency-collateralized mortgage obligations —    2    —    1,801    1,803   
Commercial 13    765    4,356    1,358    6,492   
Non-agency residential —    2    —    693    695   
Total mortgage-backed securities 13  772  4,409  25,949  31,143 
U.S. Treasury and government agencies 4,010  37,941  30,195  36  72,182 
Non-U.S. securities 16,307    4,093    3,362    546    24,308   
Other taxable securities 474    2,830    276    197    3,777   
Tax-exempt securities 960    3,981    2,081    3,608    10,630   
Total debt securities carried at fair value $ 21,764    $ 49,617    $ 40,323    $ 30,336    $ 142,040   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 12  $ 399,736  $ 399,748 
U.S. Treasury and government agencies —  4,171  97,662  —  101,833 
Other taxable securities 41  1,194  266  5,269  6,770 
Total fair value of HTM debt securities $ 41  $ 5,365  $ 97,940  $ 405,005  $ 508,351 
(1)The weighted-average yield is computed based on a constant effective interest rate over the contractual life of each security. The average yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.