Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.24.3
Securities (Tables)
 9 Months Ended
Sep. 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 AFS debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at September 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) September 30, 2024 December 31, 2023
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 35,978  $ 15  $ (1,399) $ 34,594  $ 39,195  $ 37  $ (1,420) $ 37,812 
Agency-collateralized mortgage obligations 16,640  21  (157) 16,504  2,739  6  (201) 2,544 
Commercial 19,358  78  (450) 18,986  10,909  40  (514) 10,435 
Non-agency residential (1)
298  51  (53) 296  449  3  (70) 382 
Total mortgage-backed securities 72,274  165  (2,059) 70,380  53,292  86  (2,205) 51,173 
U.S. Treasury and government agencies 211,314  255  (1,374) 210,195  179,108  19  (1,461) 177,666 
Non-U.S. securities 22,884  52  (22) 22,914  22,868  27  (20) 22,875 
Other taxable securities 2,637  2  (30) 2,609  4,910  1  (76) 4,835 
Tax-exempt securities 9,764  34  (177) 9,621  10,304  17  (221) 10,100 
Total available-for-sale debt securities 318,873  508  (3,662) 315,719  270,482  150  (3,983) 266,649 
Other debt securities carried at fair value (2)
9,555  219  (57) 9,717  10,202  56  (55) 10,203 
Total debt securities carried at fair value 328,428  727  (3,719) 325,436  280,684  206  (4,038) 276,852 
Held-to-maturity debt securities
Agency mortgage-backed securities 438,824  —  (69,878) 368,946  465,456  —  (78,930) 386,526 
U.S. Treasury and government agencies 121,683  —  (14,929) 106,754  121,645  —  (17,963) 103,682 
Other taxable securities 7,082  1  (896) 6,187  7,490  —  (1,101) 6,389 
Total held-to-maturity debt securities 567,589  1  (85,703) 481,887  594,591  —  (97,994) 496,597 
Total debt securities (3,4)
$ 896,017  $ 728  $ (89,422) $ 807,323  $ 875,275  $ 206  $ (102,032) $ 773,449 
(1)At September 30, 2024 and December 31, 2023, the underlying collateral type included approximately 25 percent and 17 percent prime and 75 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 $195.5 billion and $204.9 billion at September 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 $261.6 billion and $168.2 billion, and a fair value of $220.9 billion and $142.3 billion at September 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 nine months ended September 30, 2024 and 2023 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) 2024 2023 2024 2023
Gross gains $ 4  $ —  $ 19  $ 104 
Gross losses (23) —  (25) (508)
Net gains (losses) on sales of AFS debt securities $ (19) $ —  $ (6) $ (404)
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ (5) $ —  $ (1) $ (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 September 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) September 30, 2024
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 11,822  $ (61) $ 19,671  $ (1,338) $ 31,493  $ (1,399)
Agency-collateralized mortgage obligations 1,979  (2) 1,583  (155) 3,562  (157)
Commercial 6,232  (29) 4,876  (421) 11,108  (450)
Non-agency residential —  —  162  (53) 162  (53)
Total mortgage-backed securities 20,033  (92) 26,292  (1,967) 46,325  (2,059)
U.S. Treasury and government agencies 110,927  (191) 70,551  (1,183) 181,478  (1,374)
Non-U.S. securities 3,982  (12) 3,000  (10) 6,982  (22)
Other taxable securities 1,360  (2) 1,022  (28) 2,382  (30)
Tax-exempt securities 117  (11) 2,428  (166) 2,545  (177)
Total AFS debt securities in a continuous unrealized loss position
 $ 136,419  $ (308) $ 103,293  $ (3,354) $ 239,712  $ (3,662)
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 September 30, 2024 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the 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  3.40  % $ 6  3.83  % $ 35,967  4.62  % $ 35,978  4.62  %
Agency-collateralized mortgage obligations —  —  —  —  1  1.00  16,639  5.92  16,640  5.92 
Commercial 119  4.02  5,187  5.02  12,091  4.11  1,973  3.37  19,370  4.28 
Non-agency residential —  —  —  —  —  —  567  11.94  567  11.94 
Total mortgage-backed securities 119  4.02  5,192  5.02  12,098  4.11  55,146  5.04  72,555  4.88 
U.S. Treasury and government agencies 2,819  4.64  197,391  3.87  13,450  2.78  36  3.95  213,696  3.81 
Non-U.S. securities 18,915  3.39  4,962  1.84  4,194  5.01  1,705  4.44  29,776  3.42 
Other taxable securities 525  6.16  1,803  5.78  234  4.25  75  2.95  2,637  5.64 
Tax-exempt securities 1,018  3.13  3,577  3.65  1,031  3.15  4,138  3.84  9,764  3.62 
Total amortized cost of debt securities carried at fair value
 $ 23,396  3.60  $ 212,925  3.87  $ 31,007  3.62  $ 61,100  4.94  $ 328,428  4.02 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 10  2.70  % $ 438,814  2.12  % $ 438,824  2.12  %
U.S. Treasury and government agencies 490  2.71  23,190  1.84  98,003  1.28  —  —  121,683  1.39 
Other taxable securities 91  1.59  1,137  2.55  120  3.37  5,734  2.53  7,082  2.54 
Total amortized cost of HTM debt securities $ 581  2.53  $ 24,327  1.87  $ 98,133  1.28  $ 444,548  2.12  $ 567,589  1.96 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 5    $ 6    $ 34,583    $ 34,594   
Agency-collateralized mortgage obligations —    —    1    16,503    16,504   
Commercial 118    5,149    11,940    1,790    18,997   
Non-agency residential —    2    —    560    562   
Total mortgage-backed securities 118  5,156  11,947  53,436  70,657 
U.S. Treasury and government agencies 2,815  196,614  13,116  34  212,579 
Non-U.S. securities 19,103    4,968    4,193    1,703    29,967   
Other taxable securities 525    1,799    218    70    2,612   
Tax-exempt securities 1,015    3,571    1,024    4,011    9,621   
Total debt securities carried at fair value $ 23,576    $ 212,108    $ 30,498    $ 59,254    $ 325,436   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 10  $ 368,936  $ 368,946 
U.S. Treasury and government agencies 485  20,961  85,308  —  106,754 
Other taxable securities 90  1,103  97  4,897  6,187 
Total fair value of HTM debt securities $ 575  $ 22,064  $ 85,415  $ 373,833  $ 481,887 
(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.