Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.22.2
Securities (Tables)
6 Months Ended
Jun. 30, 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 available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at June 30, 2022 and December 31, 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) June 30, 2022 December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 29,999  $ 46  $ (1,320) $ 28,725  $ 45,268  $ 1,257  $ (186) $ 46,339 
Agency-collateralized mortgage obligations 2,741  4  (132) 2,613  3,331  74  (25) 3,380 
Commercial 13,038  130  (608) 12,560  19,036  647  (79) 19,604 
Non-agency residential (1)
477  16  (63) 430  591  25  (33) 583 
Total mortgage-backed securities 46,255  196  (2,123) 44,328  68,226  2,003  (323) 69,906 
U.S. Treasury and government agencies 195,527  540  (2,012) 194,055  197,853  1,610  (318) 199,145 
Non-U.S. securities 11,879    (43) 11,836  11,933  —  —  11,933 
Other taxable securities 3,318  6  (54) 3,270  2,725  39  (3) 2,761 
Tax-exempt securities 12,976  44  (255) 12,765  15,155  317  (39) 15,433 
Total available-for-sale debt securities 269,955  786  (4,487) 266,254  295,892  3,969  (683) 299,178 
Other debt securities carried at fair value (2)
8,645  41  (275) 8,411  8,873  105  (83) 8,895 
Total debt securities carried at fair value 278,600  827  (4,762) 274,665  304,765  4,074  (766) 308,073 
Held-to-maturity debt securities
Agency mortgage-backed securities 528,297  21  (67,193) 461,125  553,721  3,855  (10,366) 547,210 
U.S. Treasury and government agencies 121,574    (14,896) 106,678  111,859  254  (2,395) 109,718 
Other taxable securities 8,413  1  (675) 7,739  9,011  147  (196) 8,962 
Total held-to-maturity debt securities 658,284  22  (82,764) 575,542  674,591  4,256  (12,957) 665,890 
Total debt securities (3,4)
$ 936,884  $ 849  $ (87,526) $ 850,207  $ 979,356  $ 8,330  $ (13,723) $ 973,963 
(1)At June 30, 2022 and December 31, 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 14 – Fair Value Measurements.
(3)Includes securities pledged as collateral of $97.0 billion and $111.9 billion at June 30, 2022 and December 31, 2021.
(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 $310.2 billion and $187.8 billion, and a fair value of $270.6 billion and $162.8 billion at June 30, 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.
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, 2022 and December 31, 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) June 30, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 24,891  $ (1,239) $ 859  $ (81) $ 25,750  $ (1,320)
Agency-collateralized mortgage obligations 2,289  (130) 65  (2) 2,354  (132)
Commercial 7,887  (496) 806  (112) 8,693  (608)
Non-agency residential 302  (50) 102  (13) 404  (63)
Total mortgage-backed securities 35,369  (1,915) 1,832  (208) 37,201  (2,123)
U.S. Treasury and government agencies 152,855  (1,674) 15,518  (338) 168,373  (2,012)
Non-U.S. securities 9,949  (25) 742  (18) 10,691  (43)
Other taxable securities 2,024  (16) 499  (38) 2,523  (54)
Tax-exempt securities 868  (147) 2,794  (108) 3,662  (255)
Total AFS debt securities in a continuous
   unrealized loss position
$ 201,065  $ (3,777) $ 21,385  $ (710) $ 222,450  $ (4,487)
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 June 30, 2022 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 $ —  —  % $ 5.40  % $ 47  4.55  % $ 29,947  3.29  % $ 29,999  3.29  %
Agency-collateralized mortgage obligations —  —  —  —  18  2.56  2,723  2.91  2,741  2.91 
Commercial 74  2.38  3,580  2.64  7,509  1.82  1,888  2.12  13,051  2.09 
Non-agency residential —  —  —  —  —  —  887  7.33  887  7.33 
Total mortgage-backed securities 74  2.38  3,585  2.64  7,574  1.84  35,445  3.30  46,678  3.01 
U.S. Treasury and government agencies 12,918  1.50  61,277  2.02  121,490  1.61  32  2.91  195,717  1.73 
Non-U.S. securities 17,748  0.71  2,030  4.28  6.03  130  4.03  19,911  1.10 
Other taxable securities 899  3.02  1,834  2.61  286  3.22  299  3.01  3,318  2.81 
Tax-exempt securities 938  1.21  5,117  1.93  2,800  2.42  4,121  2.01  12,976  2.01 
Total amortized cost of debt securities carried at fair value
$ 32,577  1.11  $ 73,843  2.12  $ 132,153  1.64  $ 40,027  3.17  $ 278,600  1.93 
Amortized cost of HTM debt securities
Agency mortgage-backed securities $ —  —  % $ —  —  % $ 15  2.60  % $ 528,282  2.13  % $ 528,297  2.13  %
U.S. Treasury and government agencies —  —  4,534  1.80  117,040  1.37  —  —  121,574  1.39 
Other taxable securities 39  8.65  1,074  2.24  442  2.98  6,858  2.49  8,413  2.51 
Total amortized cost of HTM debt securities $ 39  8.65  $ 5,608  1.88  $ 117,497  1.37  $ 535,140  2.13  $ 658,284  1.99 
Debt securities carried at fair value                    
Mortgage-backed securities:                    
Agency $ —    $   $ 48    $ 28,672    $ 28,725   
Agency-collateralized mortgage obligations —    —    18    2,595    2,613   
Commercial 74    3,619    7,159    1,720    12,572   
Non-agency residential —      —    836    839   
Total mortgage-backed securities 74  3,627  7,225  33,823  44,749 
U.S. Treasury and government agencies 13,032  61,242  119,940  31  194,245 
Non-U.S. securities 17,500    2,000      131    19,634   
Other taxable securities 896    1,827    282    267    3,272   
Tax-exempt securities 940    5,112    2,779    3,934    12,765   
Total debt securities carried at fair value $ 32,442    $ 73,808    $ 130,229    $ 38,186    $ 274,665   
Fair value of HTM debt securities
Agency mortgage-backed securities $ —  $ —  $ 14  $ 461,111  $ 461,125 
U.S. Treasury and government agencies —  4,297  102,381  —  106,678 
Other taxable securities 39  1,030  423  6,247  7,739 
Total fair value of HTM debt securities $ 39  $ 5,327  $ 102,818  $ 467,358  $ 575,542 
(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.