Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.23.3
Securities (Tables)
 9 Months Ended
Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]  
Marketable 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 September 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) September 30, 2023 December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 22,435  $ —  $ (1,931) $ 20,504  $ 25,204  $ 5  $ (1,767) $ 23,442 
Agency-collateralized mortgage obligations 1,964  —  (266) 1,698  2,452  —  (231) 2,221 
Commercial 7,309  14  (582) 6,741  6,894  28  (515) 6,407 
Non-agency residential (1)
452  3  (68) 387  461  15  (90) 386 
Total mortgage-backed securities 32,160  17  (2,847) 29,330  35,011  48  (2,603) 32,456 
U.S. Treasury and government agencies 104,828  6  (1,198) 103,636  160,773  18  (1,769) 159,022 
Non-U.S. securities 18,901  18  (47) 18,872  13,455  4  (52) 13,407 
Other taxable securities 3,271  1  (93) 3,179  4,728  1  (84) 4,645 
Tax-exempt securities 10,965  —  (372) 10,593  11,518  19  (279) 11,258 
Total available-for-sale debt securities 170,125  42  (4,557) 165,610  225,485  90  (4,787) 220,788 
Other debt securities carried at fair value (2)
9,933  56  (59) 9,930  8,986  376  (156) 9,206 
Total debt securities carried at fair value 180,058  98  (4,616) 175,540  234,471  466  (4,943) 229,994 
Held-to-maturity debt securities
Agency mortgage-backed securities 474,100  —  (106,890) 367,210  503,233  —  (87,319) 415,914 
U.S. Treasury and government agencies 121,633  —  (23,351) 98,282  121,597  —  (20,259) 101,338 
Other taxable securities 7,632  —  (1,363) 6,269  8,033  —  (1,018) 7,015 
Total held-to-maturity debt securities 603,365  —  (131,604) 471,761  632,863  —  (108,596) 524,267 
Total debt securities (3,4)
$ 783,423  $ 98  $ (136,220) $ 647,301  $ 867,334  $ 466  $ (113,539) $ 754,261 
(1)At both September 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 $141.0 billion and $104.5 billion at September 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 $273.7 billion and $167.8 billion, and a fair value of $211.5 billion and $129.0 billion at September 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.
Gross Realized Gains (Losses) on Sales of Available For Sale Debt
The gross realized gains and losses on sales of AFS debt securities for the three and nine months ended September 30, 2023 and 2022 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
Three Months Ended September 30 Nine Months Ended September 30
(Dollars in millions) 2023 2022 2023 2022
Gross gains $ —  $ 540  $ 104  $ 1,243 
Gross losses —  (526) (508) (1,206)
Net gains (losses) on sales of AFS debt securities $ —  $ 14  $ (404) $ 37 
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ —  $ 4  $ (101) $ 9 
Amortized Cost and Fair Value of Corporations Investment
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 September 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) September 30, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 469  $ (17) $ 20,002  $ (1,914) $ 20,471  $ (1,931)
Agency-collateralized mortgage obligations 2  —  1,696  (266) 1,698  (266)
Commercial 1,527  (34) 4,467  (548) 5,994  (582)
Non-agency residential —  —  376  (68) 376  (68)
Total mortgage-backed securities 1,998  (51) 26,541  (2,796) 28,539  (2,847)
U.S. Treasury and government agencies 151  (5) 66,979  (1,193) 67,130  (1,198)
Non-U.S. securities 8,388  (24) 1,878  (23) 10,266  (47)
Other taxable securities 1,883  (13) 1,244  (80) 3,127  (93)
Tax-exempt securities 1,738  (43) 2,712  (329) 4,450  (372)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 14,158  $ (136) $ 99,354  $ (4,421) $ 113,512  $ (4,557)
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)
Expected Maturity Distribution
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 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 $ —  —  % $ 4  3.75  % $ 31  5.35  % $ 22,400  3.53  % $ 22,435  3.53  %
Agency-collateralized mortgage obligations —  —  —  —  —  —  1,964  2.79  1,964  2.79 
Commercial —  —  1,129  3.06  4,619  2.59  1,574  2.45  7,322  2.63 
Non-agency residential —  —  —  —  —  —  735  10.18  735  10.18 
Total mortgage-backed securities —  —  1,133  3.07  4,650  2.61  26,673  3.60  32,456  3.44 
U.S. Treasury and government agencies 37,773  5.23  45,637  3.05  22,437  2.33  39  3.89  105,886  3.67 
Non-U.S. securities 17,748  2.04  5,850  1.17  3,203  5.40  678  5.26  27,479  2.33 
Other taxable securities 409  5.60  2,355  6.08  294  3.00  213  3.60  3,271  5.59 
Tax-exempt securities 1,234  4.13  3,801  3.64  1,997  3.85  3,934  4.23  10,966  3.95 
Total amortized cost of debt securities carried at fair value
 $ 57,164  4.22  $ 58,776  3.02  $ 32,581  2.77  $ 31,537  3.71  $ 180,058  3.48 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 12  2.75  % $ 474,088  2.12  % $ 474,100  2.12  %
U.S. Treasury and government agencies —  —  4,558  1.80  117,075  1.37  —  —  121,633  1.39 
Other taxable securities 42  5.82  1,262  2.50  272  3.29  6,056  2.49  7,632  2.54 
Total amortized cost of HTM debt securities $ 42  5.82  $ 5,820  1.95  $ 117,359  1.37  $ 480,144  2.12  $ 603,365  1.97 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 4    $ 31    $ 20,469    $ 20,504   
Agency-collateralized mortgage obligations —    —    —    1,698    1,698   
Commercial 1    1,092    4,354    1,305    6,752   
Non-agency residential —    2    —    668    670   
Total mortgage-backed securities 1  1,098  4,385  24,140  29,624 
U.S. Treasury and government agencies 37,776  44,973  21,910  35  104,694 
Non-U.S. securities 17,737    5,834    3,199    678    27,448   
Other taxable securities 407    2,330    248    198    3,183   
Tax-exempt securities 1,229    3,725    1,942    3,695    10,591   
Total debt securities carried at fair value $ 57,150    $ 57,960    $ 31,684    $ 28,746    $ 175,540   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 10  $ 367,200  $ 367,210 
U.S. Treasury and government agencies —  4,153  94,129  —  98,282 
Other taxable securities 42  1,169  210  4,848  6,269 
Total fair value of HTM debt securities $ 42  $ 5,322  $ 94,349  $ 372,048  $ 471,761 
(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.