Annual report pursuant to Section 13 and 15(d)

Securities (Tables)

v3.22.4
Securities (Tables)
 12 Months Ended
Dec. 31, 2022
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, 2022 and 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) December 31, 2022 December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 25,204  $ 5  $ (1,767) $ 23,442  $ 45,268  $ 1,257  $ (186) $ 46,339 
Agency-collateralized mortgage obligations 2,452  —  (231) 2,221  3,331  74  (25) 3,380 
Commercial 6,894  28  (515) 6,407  19,036  647  (79) 19,604 
Non-agency residential (1)
461  15  (90) 386  591  25  (33) 583 
Total mortgage-backed securities 35,011  48  (2,603) 32,456  68,226  2,003  (323) 69,906 
U.S. Treasury and government agencies 160,773  18  (1,769) 159,022  197,853  1,610  (318) 199,145 
Non-U.S. securities 13,455  4  (52) 13,407  11,933  —  —  11,933 
Other taxable securities 4,728  1  (84) 4,645  2,725  39  (3) 2,761 
Tax-exempt securities 11,518  19  (279) 11,258  15,155  317  (39) 15,433 
Total available-for-sale debt securities 225,485  90  (4,787) 220,788  295,892  3,969  (683) 299,178 
Other debt securities carried at fair value (2)
8,986  376  (156) 9,206  8,873  105  (83) 8,895 
Total debt securities carried at fair value 234,471  466  (4,943) 229,994  304,765  4,074  (766) 308,073 
Held-to-maturity debt securities
Agency mortgage-backed securities 503,233  —  (87,319) 415,914  553,721  3,855  (10,366) 547,210 
U.S. Treasury and government agencies 121,597  —  (20,259) 101,338  111,859  254  (2,395) 109,718 
Other taxable securities 8,033  —  (1,018) 7,015  9,011  147  (196) 8,962 
Total held-to-maturity debt securities 632,863  —  (108,596) 524,267  674,591  4,256  (12,957) 665,890 
Total debt securities (3,4)
$ 867,334  $ 466  $ (113,539) $ 754,261  $ 979,356  $ 8,330  $ (13,723) $ 973,963 
(1)At December 31, 2022 and 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 20 – Fair Value Measurements.
(3)Includes securities pledged as collateral of $104.5 billion and $111.9 billion at December 31, 2022 and 2021.
(4)The Corporation held debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with 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, 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.
Gross Realized Gains (Losses) on Sales of Available For Sale Debt The gross realized gains and losses on sales of AFS debt securities for 2022, 2021 and 2020 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
(Dollars in millions) 2022 2021 2020
Gross gains $ 1,251  $ 49  $ 423 
Gross losses (1,219) (27) (12)
   Net gains on sales of AFS debt securities $ 32  $ 22  $ 411 
Income tax expense attributable to realized net gains on sales of AFS debt securities
 $ 8  $ 5  $ 103 
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, 2022 and 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) 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)
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)
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, 2022 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 $ —  —  % $ 3  5.67  % $ 56  4.39  % $ 25,145  3.37  % $ 25,204  3.37  %
Agency-collateralized mortgage obligations —  —  10  2.60  —  —  2,442  2.89  2,452  2.89 
Commercial 22  2.09  670  3.07  4,591  2.03  1,624  2.31  6,907  2.20 
Non-agency residential —  —  —  —  —  —  825  9.54  825  9.54 
Total mortgage-backed securities 22  2.09  683  3.08  4,647  2.06  30,036  3.44  35,388  3.25 
U.S. Treasury and government agencies 3,306  1.59  79,618  1.68  78,378  1.64  32  3.38  161,334  1.66 
Non-U.S. securities 17,499  2.41  3,002  4.58  723  3.93  279  6.87  21,503  2.82 
Other taxable securities 2,034  4.77  2,102  4.85  455  3.46  137  3.35  4,728  4.64 
Tax-exempt securities 890  3.36  4,765  3.55  2,022  3.73  3,841  3.88  11,518  3.68 
Total amortized cost of debt securities carried at fair value
 $ 23,751  2.53  $ 90,170  1.96  $ 86,225  1.74  $ 34,325  3.52  $ 234,471  2.16 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 14  2.64  % $ 503,219  2.13  % $ 503,233  2.13  %
U.S. Treasury and government agencies —  —  4,544  1.80  117,053  1.37  —  —  121,597  1.39 
Other taxable securities 38  9.06  1,251  2.23  313  3.00  6,431  2.45  8,033  2.47 
Total amortized cost of HTM debt securities $ 38  9.06  $ 5,795  1.89  $ 117,380  1.37  $ 509,650  2.13  $ 632,863  1.99 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $ 3    $ 56    $ 23,383    $ 23,442   
Agency-collateralized mortgage obligations —    10    —    2,211    2,221   
Commercial 22    650    4,342    1,404    6,418   
Non-agency residential —    2    —    751    753   
Total mortgage-backed securities 22  665  4,398  27,749  32,834 
U.S. Treasury and government agencies 3,312  79,013  77,228  30  159,583 
Non-U.S. securities 17,709    2,960    723    279    21,671   
Other taxable securities 2,028    2,085    413    122    4,648   
Tax-exempt securities 887    4,729    1,997    3,645    11,258   
Total debt securities carried at fair value $ 23,958    $ 89,452    $ 84,759    $ 31,825    $ 229,994   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 13  $ 415,901  $ 415,914 
U.S. Treasury and government agencies —  4,164  97,174  —  101,338 
Other taxable securities 38  1,170  295  5,512  7,015 
Total fair value of HTM debt securities $ 38  $ 5,334  $ 97,482  $ 421,413  $ 524,267 
(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.