Quarterly report pursuant to Section 13 or 15(d)

Securities

v3.21.2
Securities
 9 Months Ended
Sep. 30, 2021
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 September 30, 2021 and December 31, 2020.
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, 2021 December 31, 2020
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 50,756  $ 1,631  $ (90) $ 52,297  $ 59,518  $ 2,370  $ (39) $ 61,849 
Agency-collateralized mortgage obligations 3,684  103  (11) 3,776  5,112  161  (13) 5,260 
Commercial 18,091  778  (50) 18,819  15,470  1,025  (4) 16,491 
Non-agency residential (1)
799  39  (35) 803  899  127  (17) 1,009 
Total mortgage-backed securities 73,330  2,551  (186) 75,695  80,999  3,683  (73) 84,609 
U.S. Treasury and government agencies 167,419  1,869  (163) 169,125  114,157  2,236  (13) 116,380 
Non-U.S. securities 12,289  4  —  12,293  14,009  15  (7) 14,017 
Other taxable securities 2,589  45  (1) 2,633  2,656  61  (6) 2,711 
Tax-exempt securities 15,312  321  (21) 15,612  16,417  389  (32) 16,774 
Total available-for-sale debt securities 270,939  4,790  (371) 275,358  228,238  6,384  (131) 234,491 
Other debt securities carried at fair value (2)
10,076  101  (158) 10,019  11,720  429  (39) 12,110 
Total debt securities carried at fair value 281,015  4,891  (529) 285,377  239,958  6,813  (170) 246,601 
Held-to-maturity debt securities
Agency mortgage-backed securities 562,124  5,497  (8,031) 559,590  414,289  9,768  (36) 424,021 
U.S. Treasury and government agencies 111,855  167  (2,614) 109,408  16,084  —  (71) 16,013 
Other taxable securities 9,295  197  (157) 9,335  7,906  327  (87) 8,146 
Total held-to-maturity debt securities 683,274  5,861  (10,802) 678,333  438,279  10,095  (194) 448,180 
Total debt securities (3,4)
$ 964,289  $ 10,752  $ (11,331) $ 963,710  $ 678,237  $ 16,908  $ (364) $ 694,781 
(1)At both September 30, 2021 and December 31, 2020, the underlying collateral type included approximately 37 percent prime, 2 percent Alt-A and 61 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 $76.4 billion and $65.5 billion at September 30, 2021 and December 31, 2020.
(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 $348.6 billion and $205.7 billion, and a fair value of $348.4 billion and $204.1 billion at September 30, 2021, and an amortized cost of $260.1 billion and $118.1 billion, and a fair value of $267.5 billion and $120.7 billion at December 31, 2020.
At September 30, 2021, the accumulated net unrealized gain on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $3.3 billion, net of the related income tax expense of $1.1 billion. The Corporation had nonperforming AFS debt securities of $18 million and $20 million at September 30, 2021 and December 31, 2020.
At September 30, 2021 and December 31, 2020, the Corporation had $244.0 billion and $200.0 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For the remaining $31.3 billion and $34.5 billion in AFS debt securities at September 30, 2021 and December 31, 2020, the amount of expected credit losses was insignificant. Substantially all of the Corporation's HTM debt securities consist of U.S. agency and U.S. Treasury securities and have a zero credit loss assumption.

At September 30, 2021 and December 31, 2020, the Corporation held equity securities at an aggregate fair value of $611 million and $769 million and other equity securities, as valued under the measurement alternative, at a carrying value of $268 million and $240 million, both of which are included in other assets. At September 30, 2021 and December 31, 2020, the Corporation also held money market investments at a fair value of $336 million and $1.6 billion, which are included in time deposits placed and other short-term investments.
During the three and nine months ended September 30, 2021, sales of AFS securities were not significant. For the same periods in 2020, the Corporation recorded gross realized gains of $4 million and $383 million and gross realized losses of $2 million and $4 million, resulting in net gains of $2 million and $379 million, with $1 million and $95 million of income taxes attributable to the realized net gains on sales of these AFS debt securities.
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, 2021 and December 31, 2020.
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, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 10,421  $ (72) $ 1,037  $ (18) $ 11,458  $ (90)
Agency-collateralized mortgage obligations 1,528  (6) 192  (5) 1,720  (11)
Commercial 2,517  (35) 322  (15) 2,839  (50)
Non-agency residential 479  (25) 113  (10) 592  (35)
Total mortgage-backed securities 14,945  (138) 1,664  (48) 16,609  (186)
U.S. Treasury and government agencies 45,297  (151) 944  (12) 46,241  (163)
Other taxable securities 336  (1) —  —  336  (1)
Tax-exempt securities 373  (9) 422  (12) 795  (21)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 60,951  $ (299) $ 3,030  $ (72) $ 63,981  $ (371)
December 31, 2020
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency $ 2,841  $ (39) $ 2  $ —  $ 2,843  $ (39)
Agency-collateralized mortgage obligations 187  (2) 364  (11) 551  (13)
Commercial 566  (4) 9  —  575  (4)
Non-agency residential 342  (9) 56  (8) 398  (17)
Total mortgage-backed securities 3,936  (54) 431  (19) 4,367  (73)
U.S. Treasury and government agencies 8,282  (9) 498  (4) 8,780  (13)
Non-U.S. securities 1,861  (6) 135  (1) 1,996  (7)
Other taxable securities 576  (2) 396  (4) 972  (6)
Tax-exempt securities 4,108  (29) 617  (3) 4,725  (32)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 18,763  $ (100) $ 2,077  $ (31) $ 20,840  $ (131)
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 2021 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the 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 $ —  —  % $ 5  4.73  % $ 53  4.51  % $ 50,698  3.12  % $ 50,756  3.12  %
Agency-collateralized mortgage obligations —  —  —  —  21  2.52  3,663  2.91  3,684  2.91 
Commercial 354  2.32  10,257  2.48  5,857  1.75  1,636  2.18  18,104  2.21 
Non-agency residential —  —  —  —  —  —  1,442  6.59  1,442  6.59 
Total mortgage-backed securities 354  2.32  10,262  2.48  5,931  1.78  57,439  3.17  73,986  2.96 
U.S. Treasury and government agencies 4,988  1.25  33,785  1.65  128,893  1.07  29  2.57  167,695  1.20 
Non-U.S. securities 20,658  0.30  370  3.01  344  1.03  61  51.33  21,433  0.51 
Other taxable securities 666  1.53  1,336  2.27  341  2.44  246  1.63  2,589  2.04 
Tax-exempt securities 1,542  1.07  7,539  1.35  3,445  1.65  2,786  1.40  15,312  1.40 
Total amortized cost of debt securities carried at fair value
 $ 28,208  0.57  $ 53,292  1.79  $ 138,954  1.12  $ 60,561  3.13  $ 281,015  1.62 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 4  2.33  % $ 562,120  2.15  % $ 562,124  2.15  %
U.S. Treasury and government agencies —  —  —  —  111,855  1.35  —  —  111,855  1.35 
Other taxable securities 234  6.51  824  2.36  314  3.05  7,923  2.52  9,295  2.63 
Total amortized cost of HTM debt securities $ 234  6.51  $ 824  2.36  $ 112,173  1.35  $ 570,043  2.16  $ 683,274  2.03 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 5    $ 57    $ 52,235    $ 52,297   
Agency-collateralized mortgage obligations —    —    21    3,755    3,776   
Commercial 358    10,798    5,998    1,678    18,832   
Non-agency residential —    —    4    1,506    1,510   
Total mortgage-backed securities 358  10,803  6,080  59,174  76,415 
U.S. Treasury and government agencies 5,024  34,884  129,463  30  169,401 
Non-U.S. securities 20,534    373    347    59    21,313   
Other taxable securities 671    1,368    346    251    2,636   
Tax-exempt securities 1,544    7,681    3,577    2,810    15,612   
Total debt securities carried at fair value $ 28,131    $ 55,109    $ 139,813    $ 62,324    $ 285,377   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 4  $ 559,586  $ 559,590 
U.S. Treasury and government agencies —  —  109,408  —  109,408 
Other taxable securities 234  863  326  7,912  9,335 
Total fair value of HTM debt securities $ 234  $ 863  $ 109,738  $ 567,498  $ 678,333 
(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.