Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.24.2
Securities (Tables)
 6 Months Ended
Jun. 30, 2024
Investments, Debt and Equity Securities [Abstract]  
Marketable 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 June 30, 2024 and December 31, 2023.
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) June 30, 2024 December 31, 2023
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 37,022  $ 4  $ (1,664) $ 35,362  $ 39,195  $ 37  $ (1,420) $ 37,812 
Agency-collateralized mortgage obligations 9,652  17  (225) 9,444  2,739  6  (201) 2,544 
Commercial 12,421  69  (469) 12,021  10,909  40  (514) 10,435 
Non-agency residential (1)
303  46  (64) 285  449  3  (70) 382 
Total mortgage-backed securities 59,398  136  (2,422) 57,112  53,292  86  (2,205) 51,173 
U.S. Treasury and government agencies 201,441  22  (1,183) 200,280  179,108  19  (1,461) 177,666 
Non-U.S. securities 21,396  12  (23) 21,385  22,868  27  (20) 22,875 
Other taxable securities 2,246  2  (54) 2,194  4,910  1  (76) 4,835 
Tax-exempt securities 10,542  11  (229) 10,324  10,304  17  (221) 10,100 
Total available-for-sale debt securities 295,023  183  (3,911) 291,295  270,482  150  (3,983) 266,649 
Other debt securities carried at fair value (2)
9,789  62  (95) 9,756  10,202  56  (55) 10,203 
Total debt securities carried at fair value 304,812  245  (4,006) 301,051  280,684  206  (4,038) 276,852 
Held-to-maturity debt securities
Agency mortgage-backed securities 448,483  —  (89,989) 358,494  465,456  —  (78,930) 386,526 
U.S. Treasury and government agencies 121,670  —  (19,651) 102,019  121,645  —  (17,963) 103,682 
Other taxable securities 7,249  —  (1,126) 6,123  7,490  —  (1,101) 6,389 
Total held-to-maturity debt securities 577,402  —  (110,766) 466,636  594,591  —  (97,994) 496,597 
Total debt securities (3,4)
$ 882,214  $ 245  $ (114,772) $ 767,687  $ 875,275  $ 206  $ (102,032) $ 773,449 
(1)At June 30, 2024 and December 31, 2023, the underlying collateral type included approximately 24 percent and 17 percent prime and 76 percent 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 $219.1 billion and $204.9 billion at June 30, 2024 and December 31, 2023.
(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 $263.6 billion and $166.4 billion, and a fair value of $211.3 billion and $133.5 billion at June 30, 2024, and 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.
Gross Realized Gains (Losses) on Sales of Available For Sale Debt
The gross realized gains and losses on sales of AFS debt securities for the three and six months ended June 30, 2024 and 2023 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
Three Months Ended June 30 Six Months Ended June 30
(Dollars in millions) 2024 2023 2024 2023
Gross gains $ 4  $ 8  $ 15  $ 104 
Gross losses (1) (202) (1) (508)
Net gains (losses) on sales of AFS debt securities $ 3  $ (194) $ 14  $ (404)
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ 1  $ (48) $ 4  $ (101)
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 June 30, 2024 and December 31, 2023.
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) June 30, 2024
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 14,403  $ (79) $ 19,359  $ (1,585) $ 33,762  $ (1,664)
Agency-collateralized mortgage obligations 2,903  (9) 1,578  (216) 4,481  (225)
Commercial 1,554  (12) 4,731  (457) 6,285  (469)
Non-agency residential —  —  155  (64) 155  (64)
Total mortgage-backed securities 18,860  (100) 25,823  (2,322) 44,683  (2,422)
U.S. Treasury and government agencies 91,552  (73) 68,083  (1,110) 159,635  (1,183)
Non-U.S. securities 8,346  (12) 2,593  (11) 10,939  (23)
Other taxable securities 672  (4) 1,394  (50) 2,066  (54)
Tax-exempt securities 813  (7) 2,685  (222) 3,498  (229)
Total AFS debt securities in a continuous unrealized loss position
 $ 120,243  $ (196) $ 100,578  $ (3,715) $ 220,821  $ (3,911)
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)
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 June 30, 2024 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 $ —  —  % $ 23  4.43  % $ 6  3.50  % $ 36,993  4.69  % $ 37,022  4.69  %
Agency-collateralized mortgage obligations —  —  —  —  2  0.50  9,650  5.55  9,652  5.55 
Commercial 87  3.93  2,205  3.32  8,373  3.86  1,769  3.24  12,434  3.68 
Non-agency residential —  —  —  —  —  —  569  10.97  569  10.97 
Total mortgage-backed securities 87  3.93  2,228  3.33  8,381  3.86  48,981  4.88  59,677  4.67 
U.S. Treasury and government agencies 14,582  5.20  173,163  3.94  15,502  2.95  37  3.85  203,284  3.96 
Non-U.S. securities 18,334  3.82  5,351  1.72  3,723  5.18  1,655  4.75  29,063  3.66 
Other taxable securities 467  6.66  1,467  6.02  237  4.30  75  2.77  2,246  5.86 
Tax-exempt securities 1,220  3.62  3,751  4.01  704  2.91  4,867  4.40  10,542  4.07 
Total amortized cost of debt securities carried at fair value
 $ 34,690  4.43  $ 185,960  3.89  $ 28,547  3.52  $ 55,615  4.83  $ 304,812  4.09 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 10  2.90  % $ 448,473  2.12  % $ 448,483  2.12  %
U.S. Treasury and government agencies 244  2.66  13,337  1.91  108,089  1.33  —  —  121,670  1.40 
Other taxable securities 80  1.59  1,146  2.55  143  3.28  5,880  2.53  7,249  2.54 
Total amortized cost of HTM debt securities $ 324  2.40  $ 14,483  1.96  $ 108,242  1.33  $ 454,353  2.12  $ 577,402  1.97 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 22    $ 6    $ 35,334    $ 35,362   
Agency-collateralized mortgage obligations —    —    2    9,442    9,444   
Commercial 86    2,156    8,233    1,557    12,032   
Non-agency residential —    2    —    539    541   
Total mortgage-backed securities 86  2,180  8,241  46,872  57,379 
U.S. Treasury and government agencies 14,575  172,384  15,130  34  202,123 
Non-U.S. securities 18,306    5,345    3,723    1,654    29,028   
Other taxable securities 465    1,450    216    66    2,197   
Tax-exempt securities 1,213    3,719    681    4,711    10,324   
Total debt securities carried at fair value $ 34,645    $ 185,078    $ 27,991    $ 53,337    $ 301,051   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 10  $ 358,484  $ 358,494 
U.S. Treasury and government agencies 238  11,931  89,850  —  102,019 
Other taxable securities 25  1,089  115  4,894  6,123 
Total fair value of HTM debt securities $ 263  $ 13,020  $ 89,975  $ 363,378  $ 466,636 
(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 open hedging derivatives.