Annual report pursuant to Section 13 and 15(d)

Securities (Tables)

v3.24.0.1
Securities (Tables)
 12 Months Ended
Dec. 31, 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 AFS debt securities, other debt securities carried at fair value and HTM debt securities at December 31, 2023 and 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) December 31, 2023 December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 39,195  $ 37  $ (1,420) $ 37,812  $ 25,204  $ 5  $ (1,767) $ 23,442 
Agency-collateralized mortgage obligations 2,739  6  (201) 2,544  2,452  —  (231) 2,221 
Commercial 10,909  40  (514) 10,435  6,894  28  (515) 6,407 
Non-agency residential (1)
449  3  (70) 382  461  15  (90) 386 
Total mortgage-backed securities 53,292  86  (2,205) 51,173  35,011  48  (2,603) 32,456 
U.S. Treasury and government agencies 179,108  19  (1,461) 177,666  160,773  18  (1,769) 159,022 
Non-U.S. securities 22,868  27  (20) 22,875  13,455  4  (52) 13,407 
Other taxable securities 4,910  1  (76) 4,835  4,728  1  (84) 4,645 
Tax-exempt securities 10,304  17  (221) 10,100  11,518  19  (279) 11,258 
Total available-for-sale debt securities 270,482  150  (3,983) 266,649  225,485  90  (4,787) 220,788 
Other debt securities carried at fair value (2)
10,202  56  (55) 10,203  8,986  376  (156) 9,206 
Total debt securities carried at fair value 280,684  206  (4,038) 276,852  234,471  466  (4,943) 229,994 
Held-to-maturity debt securities
Agency mortgage-backed securities 465,456  —  (78,930) 386,526  503,233  —  (87,319) 415,914 
U.S. Treasury and government agencies 121,645  —  (17,963) 103,682  121,597  —  (20,259) 101,338 
Other taxable securities 7,490  —  (1,101) 6,389  8,033  —  (1,018) 7,015 
Total held-to-maturity debt securities 594,591  —  (97,994) 496,597  632,863  —  (108,596) 524,267 
Total debt securities (3,4)
$ 875,275  $ 206  $ (102,032) $ 773,449  $ 867,334  $ 466  $ (113,539) $ 754,261 
(1)At both December 31, 2023 and 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 20 – Fair Value Measurements.
(3)Includes securities pledged as collateral of $204.9 billion and $104.5 billion at December 31, 2023 and 2022.
(4)The Corporation held debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $272.5 billion and $171.5 billion, and a fair value of $226.4 billion and $142.3 billion at December 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.
Gross Realized Gains (Losses) on Sales of Available For Sale Debt
The gross realized gains and losses on sales of AFS debt securities for 2023, 2022 and 2021 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
(Dollars in millions) 2023 2022 2021
Gross gains $ 109  $ 1,251  $ 49 
Gross losses (514) (1,219) (27)
Net gains (losses) on sales of AFS debt securities $ (405) $ 32  $ 22 
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ (101) $ 8  $ 5 
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 December 31, 2023 and 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) December 31, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 8,624  $ (21) $ 20,776  $ (1,399) $ 29,400  $ (1,420)
Agency-collateralized mortgage obligations —  —  1,701  (201) 1,701  (201)
Commercial 2,363  (27) 4,588  (487) 6,951  (514)
Non-agency residential —  —  370  (70) 370  (70)
Total mortgage-backed securities 10,987  (48) 27,435  (2,157) 38,422  (2,205)
U.S. Treasury and government agencies 14,907  (12) 69,669  (1,449) 84,576  (1,461)
Non-U.S. securities 7,702  (8) 1,524  (12) 9,226  (20)
Other taxable securities 3,269  (19) 1,437  (57) 4,706  (76)
Tax-exempt securities 466  (5) 2,106  (216) 2,572  (221)
Total AFS debt securities in a continuous
   unrealized loss position		 $ 37,331  $ (92) $ 102,171  $ (3,891) $ 139,502  $ (3,983)
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 December 31, 2023 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the MBS or other 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  4.00  % $ 8  3.38  % $ 39,183  4.66  % $ 39,195  4.66  %
Agency-collateralized mortgage obligations —  —  —  —  —  —  2,739  3.39  2,739  3.39 
Commercial —  —  1,759  6.18  7,475  4.59  1,688  2.61  10,922  4.54 
Non-agency residential —  —  —  —  —  —  732  10.48  732  10.48 
Total mortgage-backed securities —  —  1,763  6.17  7,483  4.59  44,342  4.60  53,588  4.65 
U.S. Treasury and government agencies 79,257  5.29  86,631  3.39  14,868  2.72  42  3.90  180,798  4.17 
Non-U.S. securities 19,138  3.96  6,546  1.82  4,203  5.49  1,197  5.07  31,084  3.76 
Other taxable securities 422  6.09  3,995  6.14  377  4.30  116  3.27  4,910  5.93 
Tax-exempt securities 1,801  4.53  3,698  3.62  873  3.11  3,932  4.17  10,304  3.94 
Total amortized cost of debt securities carried at fair value
 $ 100,618  5.03  $ 102,633  3.45  $ 27,804  3.68  $ 49,629  4.57  $ 280,684  4.24 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 12  2.67  % $ 465,444  2.12  % $ 465,456  2.12  %
U.S. Treasury and government agencies —  —  4,563  1.80  117,082  1.38  —  —  121,645  1.40 
Other taxable securities 58  1.85  1,240  2.57  253  3.28  5,939  2.49  7,490  2.52 
Total amortized cost of HTM debt securities $ 58  1.85  $ 5,803  1.96  $ 117,347  1.38  $ 471,383  2.12  $ 594,591  1.97 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 4    $ 8    $ 37,800    $ 37,812   
Agency-collateralized mortgage obligations —    —    —    2,544    2,544   
Commercial 1    1,720    7,260    1,465    10,446   
Non-agency residential —    2    —    660    662   
Total mortgage-backed securities 1  1,726  7,268  42,469  51,464 
U.S. Treasury and government agencies 79,268  85,674  14,374  40  179,356 
Non-U.S. securities 19,138    6,554    4,204    1,198    31,094   
Other taxable securities 419    3,966    346    107    4,838   
Tax-exempt securities 1,797    3,687    855    3,761    10,100   
Total debt securities carried at fair value $ 100,623    $ 101,607    $ 27,047    $ 47,575    $ 276,852   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 11  $ 386,515  $ 386,526 
U.S. Treasury and government agencies —  4,279  99,403  —  103,682 
Other taxable securities 57  1,177  194  4,961  6,389 
Total fair value of HTM debt securities $ 57  $ 5,456  $ 99,608  $ 391,476  $ 496,597 
(1)The weighted-average yield is computed based on a constant effective yield over the contractual life of each security. The yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.