Quarterly report pursuant to Section 13 or 15(d)

Securities

v3.22.2.2
Securities
 9 Months Ended
Sep. 30, 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 September 30, 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) September 30, 2022 December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 25,743  $ 5  $ (2,144) $ 23,604  $ 45,268  $ 1,257  $ (186) $ 46,339 
Agency-collateralized mortgage obligations 2,589  —  (220) 2,369  3,331  74  (25) 3,380 
Commercial 6,248  24  (499) 5,773  19,036  647  (79) 19,604 
Non-agency residential (1)
467  16  (83) 400  591  25  (33) 583 
Total mortgage-backed securities 35,047  45  (2,946) 32,146  68,226  2,003  (323) 69,906 
U.S. Treasury and government agencies 169,368  42  (1,797) 167,613  197,853  1,610  (318) 199,145 
Non-U.S. securities 11,046  1  (44) 11,003  11,933  —  —  11,933 
Other taxable securities 3,481  —  (76) 3,405  2,725  39  (3) 2,761 
Tax-exempt securities 12,544  —  (372) 12,172  15,155  317  (39) 15,433 
Total available-for-sale debt securities 231,486  88  (5,235) 226,339  295,892  3,969  (683) 299,178 
Other debt securities carried at fair value (2)
10,223  54  (371) 9,906  8,873  105  (83) 8,895 
Total debt securities carried at fair value 241,709  142  (5,606) 236,245  304,765  4,074  (766) 308,073 
Held-to-maturity debt securities
Agency mortgage-backed securities 513,977  —  (94,111) 419,866  553,721  3,855  (10,366) 547,210 
U.S. Treasury and government agencies 121,585  —  (21,089) 100,496  111,859  254  (2,395) 109,718 
Other taxable securities 8,181  —  (990) 7,191  9,011  147  (196) 8,962 
Total held-to-maturity debt securities 643,743  —  (116,190) 527,553  674,591  4,256  (12,957) 665,890 
Total debt securities (3,4)
$ 885,452  $ 142  $ (121,796) $ 763,798  $ 979,356  $ 8,330  $ (13,723) $ 973,963 
(1)At September 30, 2022 and December 31, 2021, the underlying collateral type included approximately 17 percent and 21 percent prime and 83 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 $103.1 billion and $111.9 billion at September 30, 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 $296.5 billion and $179.4 billion, and a fair value of $241.8 billion and $145.1 billion at September 30, 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 September 30, 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 $3.9 billion, net of the related income tax benefit of $1.3 billion. At September 30, 2022 and December 31, 2021, nonperforming AFS debt securities held by the Corporation were not significant.
At September 30, 2022 and December 31, 2021, the Corporation had $199.3 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 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 2021 Annual Report on Form 10-K. For the remaining $27.0 billion and $30.7 billion in AFS debt securities at September 30, 2022 and December 31, 2021, the amount of expected credit losses was not significant. At September 30, 2022 and December 31, 2021, the Corporation had $527.6 billion and $665.9 billion in HTM debt securities, which were substantially all U.S agency and U.S. Treasury securities that have a zero credit loss assumption.
At September 30, 2022 and December 31, 2021, the Corporation held equity securities at an aggregate fair value of
$620 million and $513 million and other equity securities, as valued under the measurement alternative, at a carrying value of $311 million and $266 million, both of which are included in other assets. At September 30, 2022 and December 31, 2021, the Corporation also held money market investments at a fair value of $682 million and $707 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 nine months ended September 30, 2022 and 2021 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) 2022 2021 2022 2021
Gross gains $ 540  $ 4  $ 1,243  $ 19 
Gross losses (526) —  (1,206) (15)
Net gains on sales of AFS debt securities $ 14  $ 4  $ 37  $ 4 
Income tax expense attributable to realized net gains on sales of AFS debt securities
 $ 4  $ 1  $ 9  $ 1 
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, 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) September 30, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 20,518  $ (1,625) $ 2,937  $ (519) $ 23,455  $ (2,144)
Agency-collateralized mortgage obligations 1,342  (87) 989  (133) 2,331  (220)
Commercial 3,831  (264) 1,366  (235) 5,197  (499)
Non-agency residential 272  (60) 101  (23) 373  (83)
Total mortgage-backed securities 25,963  (2,036) 5,393  (910) 31,356  (2,946)
U.S. Treasury and government agencies 125,543  (1,129) 31,867  (668) 157,410  (1,797)
Non-U.S. securities 9,221  (23) 732  (21) 9,953  (44)
Other taxable securities 2,373  (20) 759  (56) 3,132  (76)
Tax-exempt securities 931  (98) 4,297  (274) 5,228  (372)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 164,031  $ (3,306) $ 43,048  $ (1,929) $ 207,079  $ (5,235)
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 September 30, 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  5.20  % $ 40  4.88  % $ 25,698  3.36  % $ 25,743  3.36  %
Agency-collateralized mortgage obligations —  —  15  2.60  —  —  2,574  2.91  2,589  2.91 
Commercial 36  2.22  488  2.79  4,227  1.78  1,509  2.07  6,260  1.93 
Non-agency residential —  —  —  —  —  —  867  8.31  867  8.31 
Total mortgage-backed securities 36  2.22  508  2.81  4,267  1.81  30,648  3.40  35,459  3.20 
U.S. Treasury and government agencies 7,222  1.40  62,354  1.76  100,285  1.65  28  3.00  169,889  1.68 
Non-U.S. securities 17,773  1.67  2,429  4.22  6  4.24  128  5.34  20,336  2.00 
Other taxable securities 1,635  3.56  1,241  3.56  469  3.04  136  3.46  3,481  3.49 
Tax-exempt securities 939  1.60  5,135  2.45  2,330  2.67  4,140  3.03  12,544  2.62 
Total amortized cost of debt securities carried at fair value
 $ 27,605  1.71  $ 71,667  1.93  $ 107,357  1.68  $ 35,080  3.36  $ 241,709  2.01 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 14  2.71  % $ 513,963  2.13  % $ 513,977  2.13  %
U.S. Treasury and government agencies —  —  4,539  1.80  117,046  1.37  —  —  121,585  1.39 
Other taxable securities 37  9.52  1,064  2.13  433  2.93  6,647  2.49  8,181  2.49 
Total amortized cost of HTM debt securities $ 37  —  $ 5,603  1.86  $ 117,493  1.37  $ 520,610  2.13  $ 643,743  1.99 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 5    $ 40    $ 23,559    $ 23,604   
Agency-collateralized mortgage obligations —    15    —    2,354    2,369   
Commercial 36    473    3,977    1,297    5,783   
Non-agency residential —    2    —    787    789   
Total mortgage-backed securities 36  495  4,017  27,997  32,545 
U.S. Treasury and government agencies 7,250  61,839  99,020  25  168,134 
Non-U.S. securities 17,466    2,396    6    121    19,989   
Other taxable securities 1,631    1,224    428    122    3,405   
Tax-exempt securities 937    5,051    2,267    3,917    12,172   
Total debt securities carried at fair value $ 27,320    $ 71,005    $ 105,738    $ 32,182    $ 236,245   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 13  $ 419,853  $ 419,866 
U.S. Treasury and government agencies —  4,129  96,367  —  100,496 
Other taxable securities 37  993  401  5,760  7,191 
Total fair value of HTM debt securities $ 37  $ 5,122  $ 96,781  $ 425,613  $ 527,553 
(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.