Quarterly report pursuant to Section 13 or 15(d)

Securities

v3.23.1
Securities
 3 Months Ended
Mar. 31, 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 March 31, 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) March 31, 2023 December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 24,726  $ 5  $ (1,479) $ 23,252  $ 25,204  $ 5  $ (1,767) $ 23,442 
Agency-collateralized mortgage obligations 2,235  —  (200) 2,035  2,452  —  (231) 2,221 
Commercial 6,890  31  (481) 6,440  6,894  28  (515) 6,407 
Non-agency residential (1)
459  3  (55) 407  461  15  (90) 386 
Total mortgage-backed securities 34,310  39  (2,215) 32,134  35,011  48  (2,603) 32,456 
U.S. Treasury and government agencies 102,943  2  (1,438) 101,507  160,773  18  (1,769) 159,022 
Non-U.S. securities 13,161  5  (46) 13,120  13,455  4  (52) 13,407 
Other taxable securities 4,830  1  (85) 4,746  4,728  1  (84) 4,645 
Tax-exempt securities 11,105  25  (227) 10,903  11,518  19  (279) 11,258 
Total available-for-sale debt securities 166,349  72  (4,011) 162,410  225,485  90  (4,787) 220,788 
Other debt securities carried at fair value (2)
10,081  63  (44) 10,100  8,986  376  (156) 9,206 
Total debt securities carried at fair value 176,430  135  (4,055) 172,510  234,471  466  (4,943) 229,994 
Held-to-maturity debt securities
Agency mortgage-backed securities 494,998  —  (80,664) 414,334  503,233  —  (87,319) 415,914 
U.S. Treasury and government agencies 121,609  —  (17,511) 104,098  121,597  —  (20,259) 101,338 
Other taxable securities 7,921  —  (901) 7,020  8,033  —  (1,018) 7,015 
Total held-to-maturity debt securities 624,528  —  (99,076) 525,452  632,863  —  (108,596) 524,267 
Total debt securities (3,4)
$ 800,958  $ 135  $ (103,131) $ 697,962  $ 867,334  $ 466  $ (113,539) $ 754,261 
(1)At both March 31, 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 $174.4 billion and $104.5 billion at March 31, 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 $285.7 billion and $174.0 billion, and a fair value of $238.6 billion and $144.2 billion at March 31, 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 March 31, 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 $2.9 billion, net of the related income tax benefit of $985 million. At March 31, 2023 and December 31, 2022, nonperforming AFS debt securities held by the Corporation were not significant.
At March 31, 2023 and December 31, 2022, $759.7 billion and $826.5 billion of AFS and HTM debt securities, which were largely U.S. agency and U.S. Treasury securities, have a zero credit loss assumption. The ECL on the remaining $31.2 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 March 31, 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 $354 million and $340 million, both of which are included in other assets. At March 31, 2023 and December 31, 2022, the Corporation also held money market investments at a fair value of $921 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 months ended March 31, 2023 and 2022 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
Three Months Ended March 31
(Dollars in millions) 2023 2022
Gross gains $ 96  $ 37 
Gross losses (306) (30)
   Net gains (losses) on sales of AFS debt securities $ (210) $ 7 
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ (53) $ 2 
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, 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) March 31, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 10,106  $ (323) $ 12,900  $ (1,156) $ 23,006  $ (1,479)
Agency-collateralized mortgage obligations 130  (7) 1,873  (193) 2,003  (200)
Commercial 1,411  (40) 3,741  (441) 5,152  (481)
Non-agency residential 60  (6) 334  (49) 394  (55)
Total mortgage-backed securities 11,707  (376) 18,848  (1,839) 30,555  (2,215)
U.S. Treasury and government agencies 2,230  (74) 99,047  (1,364) 101,277  (1,438)
Non-U.S. securities 5,159  (28) 646  (18) 5,805  (46)
Other taxable securities 2,265  (29) 2,037  (56) 4,302  (85)
Tax-exempt securities 783  (13) 2,302  (214) 3,085  (227)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 22,144  $ (520) $ 122,880  $ (3,491) $ 145,024  $ (4,011)
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 March 31, 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  5.67  % $ 54  4.91  % $ 24,669  3.36  % $ 24,726  3.36  %
Agency-collateralized mortgage obligations —  —  6  2.67  —  —  2,229  2.77  2,235  2.77 
Commercial 14  1.93  789  3.07  4,555  2.22  1,545  2.24  6,903  2.32 
Non-agency residential —  —  —  —  —  —  741  9.63  741  9.63 
Total mortgage-backed securities 14  1.93  798  3.08  4,609  2.25  29,184  3.41  34,605  3.25 
U.S. Treasury and government agencies 1,914  3.36  57,616  2.93  44,698  2.36  38  3.63  104,266  2.69 
Non-U.S. securities 18,460  3.20  2,905  4.79  71  7.57  188  7.31  21,624  3.47 
Other taxable securities 1,341  5.16  2,829  5.44  453  3.72  207  4.39  4,830  5.16 
Tax-exempt securities 670  3.07  4,679  3.67  1,919  3.83  3,837  4.16  11,105  3.83 
Total amortized cost of debt securities carried at fair value
 $ 22,399  3.33  $ 68,827  3.17  $ 51,750  2.42  $ 33,454  3.53  $ 176,430  3.04 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 13  2.77  % $ 494,985  2.12  % $ 494,998  2.12  %
U.S. Treasury and government agencies —  —  4,548  1.80  117,061  1.37  —  —  121,609  1.39 
Other taxable securities 39  9.16  1,289  2.43  273  3.28  6,320  2.48  7,921  2.53 
Total amortized cost of HTM debt securities $ 39  9.16  $ 5,837  1.94  $ 117,347  1.37  $ 501,305  2.12  $ 624,528  1.98 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 3    $ 54    $ 23,195    $ 23,252   
Agency-collateralized mortgage obligations —    6    —    2,029    2,035   
Commercial 14    770    4,334    1,334    6,452   
Non-agency residential —    2    —    705    707   
Total mortgage-backed securities 14  781  4,388  27,263  32,446 
U.S. Treasury and government agencies 1,911  56,952  43,932  35  102,830 
Non-U.S. securities 18,457    2,869    71    185    21,582   
Other taxable securities 1,337    2,795    418    199    4,749   
Tax-exempt securities 669    4,661    1,907    3,666    10,903   
Total debt securities carried at fair value $ 22,388    $ 68,058    $ 50,716    $ 31,348    $ 172,510   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 12  $ 414,322  $ 414,334 
U.S. Treasury and government agencies —  4,235  99,863  —  104,098 
Other taxable securities 38  1,217  261  5,504  7,020 
Total fair value of HTM debt securities $ 38  $ 5,452  $ 100,136  $ 419,826  $ 525,452 
(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.