Quarterly report pursuant to Section 13 or 15(d)

Securities

v3.22.1
Securities
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022 and December 31, 2021.
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) March 31, 2022 December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 40,166  $ 293  $ (965) $ 39,494  $ 45,268  $ 1,257  $ (186) $ 46,339 
Agency-collateralized mortgage obligations 2,985  11  (102) 2,894  3,331  74  (25) 3,380 
Commercial 19,330  336  (436) 19,230  19,036  647  (79) 19,604 
Non-agency residential (1)
502  5  (53) 454  591  25  (33) 583 
Total mortgage-backed securities 62,983  645  (1,556) 62,072  68,226  2,003  (323) 69,906 
U.S. Treasury and government agencies 193,081  1,186  (1,481) 192,786  197,853  1,610  (318) 199,145 
Non-U.S. securities 15,192  —  (9) 15,183  11,933  —  —  11,933 
Other taxable securities 4,007  12  (29) 3,990  2,725  39  (3) 2,761 
Tax-exempt securities 15,325  81  (150) 15,256  15,155  317  (39) 15,433 
Total available-for-sale debt securities 290,588  1,924  (3,225) 289,287  295,892  3,969  (683) 299,178 
Other debt securities carried at fair value (2)
8,532  91  (210) 8,413  8,873  105  (83) 8,895 
Total debt securities carried at fair value 299,120  2,015  (3,435) 297,700  304,765  4,074  (766) 308,073 
Held-to-maturity debt securities
Agency mortgage-backed securities 542,601  619  (41,454) 501,766  553,721  3,855  (10,366) 547,210 
U.S. Treasury and government agencies 120,863  —  (10,046) 110,817  111,859  254  (2,395) 109,718 
Other taxable securities 8,754  5  (466) 8,293  9,011  147  (196) 8,962 
Total held-to-maturity debt securities 672,218  624  (51,966) 620,876  674,591  4,256  (12,957) 665,890 
Total debt securities (3,4)
$ 971,338  $ 2,639  $ (55,401) $ 918,576  $ 979,356  $ 8,330  $ (13,723) $ 973,963 
(1)At March 31, 2022 and December 31, 2021, the underlying collateral type included approximately 16 percent and 21 percent prime and 84 percent and 79 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 $106.0 billion and $111.9 billion at March 31, 2022 and December 31, 2021.
(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 $334.7 billion and $201.4 billion, and a fair value of $310.5 billion and $185.7 billion at March 31, 2022, and an amortized cost of $345.3 billion and $205.3 billion, and a fair value of $342.5 billion and $202.4 billion at December 31, 2021.
At March 31, 2022, 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 $962 million, net of the related income tax benefit of $309 million. At March 31, 2022 and December 31, 2021, nonperforming AFS debt securities held by the Corporation were insignificant.
At March 31, 2022 and December 31, 2021, the Corporation had $254.4 billion and $268.5 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 $34.9 billion and $30.7 billion in AFS debt securities at March 31, 2022 and December 31, 2021, 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 March 31, 2022 and December 31, 2021, the Corporation held equity securities at an aggregate fair value of $510 million and $513 million and other equity securities, as valued under the measurement alternative, at a carrying value of $296 million and $266 million, both of which are included in other assets. At March 31, 2022 and December 31, 2021, the Corporation also held money market investments at a fair value of $729 million and $707 million, which are included in time deposits placed and other short-term investments.
During the three months ended March 31, 2022 and 2021, gross realized gains and losses on the sales of AFS debt securities were not significant.

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 March 31, 2022 and December 31, 2021.
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) March 31, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 20,605  $ (908) $ 929  $ (57) $ 21,534  $ (965)
Agency-collateralized mortgage obligations 2,237  (100) 79  (2) 2,316  (102)
Commercial 7,574  (350) 776  (86) 8,350  (436)
Non-agency residential 268  (35) 110  (18) 378  (53)
Total mortgage-backed securities 30,684  (1,393) 1,894  (163) 32,578  (1,556)
U.S. Treasury and government agencies 141,076  (1,209) 16,011  (272) 157,087  (1,481)
Non-U.S. securities 760  (9) —  —  760  (9)
Other taxable securities 683  (6) 334  (23) 1,017  (29)
Tax-exempt securities 755  (96) 2,285  (54) 3,040  (150)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 173,958  $ (2,713) $ 20,524  $ (512) $ 194,482  $ (3,225)
December 31, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency $ 11,733  $ (166) $ 815  $ (20) $ 12,548  $ (186)
Agency-collateralized mortgage obligations 1,427  (22) 122  (3) 1,549  (25)
Commercial 3,451  (41) 776  (38) 4,227  (79)
Non-agency residential 241  (13) 174  (20) 415  (33)
Total mortgage-backed securities 16,852  (242) 1,887  (81) 18,739  (323)
U.S. Treasury and government agencies 103,307  (272) 4,850  (46) 108,157  (318)
Other taxable securities —  —  82  (3) 82  (3)
Tax-exempt securities 502  (16) 109  (23) 611  (39)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 120,661  $ (530) $ 6,928  $ (153) $ 127,589  $ (683)
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at March 31, 2022 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 $ —  —  % $ 5  4.80  % $ 46  4.67  % $ 40,115  3.12  % $ 40,166  3.12  %
Agency-collateralized mortgage obligations —  —  —  —  19  2.53  2,966  2.91  2,985  2.91 
Commercial 805  2.42  8,880  2.51  7,233  1.80  2,425  2.09  19,343  2.19 
Non-agency residential —  —  —  —  —  —  937  6.06  937  6.06 
Total mortgage-backed securities 805  2.42  8,885  2.51  7,298  1.82  46,443  3.11  63,431  2.87 
U.S. Treasury and government agencies 8,462  1.39  46,460  1.75  138,653  1.44  32  2.41  193,607  1.51 
Non-U.S. securities 21,308  0.29  1,426  4.35  6  2.02  11  9.16  22,751  0.55 
Other taxable securities 1,244  1.31  2,181  1.73  296  2.10  286  2.19  4,007  1.66 
Tax-exempt securities 2,351  1.39  5,904  1.48  3,771  1.74  3,298  1.76  15,324  1.59 
Total amortized cost of debt securities carried at fair value
 $ 34,170  0.73  $ 64,856  1.88  $ 150,024  1.47  $ 50,070  3.02  $ 299,120  1.73 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 4  1.75  % $ 542,597  2.13  % $ 542,601  2.13  %
U.S. Treasury and government agencies —  —  3,830  1.64  117,033  1.37  —  —  120,863  1.38 
Other taxable securities 43  7.20  1,111  2.17  429  2.76  7,171  2.47  8,754  2.47 
Total amortized cost of HTM debt securities $ 43  7.20  $ 4,941  1.76  $ 117,466  1.37  $ 549,768  2.13  $ 672,218  1.99 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 5    $ 48    $ 39,441    $ 39,494   
Agency-collateralized mortgage obligations —    —    19    2,875    2,894   
Commercial 809    9,079    7,062    2,292    19,242   
Non-agency residential —    3    —    899    902   
Total mortgage-backed securities 809  9,087  7,129  45,507  62,532 
U.S. Treasury and government agencies 8,533  47,073  137,674  31  193,311 
Non-U.S. securities 21,169    1,423    6    10    22,608   
Other taxable securities 1,247    2,188    286    272    3,993   
Tax-exempt securities 2,351    5,921    3,780    3,204    15,256   
Total debt securities carried at fair value $ 34,109    $ 65,692    $ 148,875    $ 49,024    $ 297,700   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 3  $ 501,763  $ 501,766 
U.S. Treasury and government agencies —  3,687  107,130  —  110,817 
Other taxable securities 43  1,086  421  6,743  8,293 
Total fair value of HTM debt securities $ 43  $ 4,773  $ 107,554  $ 508,506  $ 620,876 
(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.