Securities |
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 March 31, 2024 and December 31, 2023.
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Debt Securities |
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Amortized Cost |
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Gross Unrealized Gains |
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Gross Unrealized Losses |
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Fair Value |
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Amortized Cost |
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Gross Unrealized Gains |
|
Gross Unrealized Losses |
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Fair Value |
(Dollars in millions) |
March 31, 2024 |
|
December 31, 2023 |
Available-for-sale debt securities |
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Mortgage-backed securities: |
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Agency |
$ |
37,971
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$ |
28
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|
$ |
(1,487) |
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$ |
36,512
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$ |
39,195 |
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$ |
37 |
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|
$ |
(1,420) |
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$ |
37,812 |
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Agency-collateralized mortgage obligations |
2,661
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|
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8
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(219) |
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|
2,450
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2,739 |
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6 |
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(201) |
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2,544 |
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Commercial |
10,978
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66
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(469) |
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10,575
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10,909 |
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40 |
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(514) |
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10,435 |
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Non-agency residential (1)
|
310
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46
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(58) |
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|
298
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|
|
449 |
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3 |
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(70) |
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|
382 |
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Total mortgage-backed securities |
51,920
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|
148
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|
(2,233) |
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49,835
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53,292 |
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86 |
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(2,205) |
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51,173 |
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U.S. Treasury and government agencies |
229,830
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81
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(1,072) |
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228,839
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179,108 |
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19 |
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(1,461) |
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177,666 |
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Non-U.S. securities |
21,249
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23
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(21) |
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21,251
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22,868 |
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27 |
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(20) |
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22,875 |
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Other taxable securities |
3,285
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2
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(49) |
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3,238
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4,910 |
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1 |
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(76) |
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4,835 |
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Tax-exempt securities |
10,134
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11
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(235) |
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9,910
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10,304 |
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17 |
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(221) |
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10,100 |
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Total available-for-sale debt securities |
316,418
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265
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(3,610) |
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313,073
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270,482 |
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150 |
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(3,983) |
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266,649 |
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Other debt securities carried at fair value (2)
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10,035
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90
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(79) |
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10,046
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10,202 |
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56 |
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(55) |
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10,203 |
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Total debt securities carried at fair value |
326,453
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|
355
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(3,689) |
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323,119
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280,684 |
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206 |
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(4,038) |
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276,852 |
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Held-to-maturity debt securities |
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Agency mortgage-backed securities |
457,841
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—
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(88,505) |
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369,336
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465,456 |
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— |
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(78,930) |
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386,526 |
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U.S. Treasury and government agencies |
121,658
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—
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(19,526) |
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102,132
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121,645 |
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— |
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(17,963) |
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103,682 |
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Other taxable securities |
7,400
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—
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(1,120) |
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6,280
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|
7,490 |
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— |
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(1,101) |
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6,389 |
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Total held-to-maturity debt securities |
586,899
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—
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(109,151) |
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|
477,748
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|
594,591 |
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— |
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(97,994) |
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|
496,597 |
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Total debt securities (3,4)
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$ |
913,352
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$ |
355
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$ |
(112,840) |
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$ |
800,867
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$ |
875,275 |
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$ |
206 |
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$ |
(102,032) |
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$ |
773,449 |
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(1)At March 31, 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 $188.3 billion and $204.9 billion at March 31, 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 $268.0 billion and $169.0 billion, and a fair value of $216.4 billion and $136.6 billion at March 31, 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.
At March 31, 2024, the accumulated net unrealized loss on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $2.5 billion, net of the related income tax benefit of $836 million. At March 31, 2024 and December 31, 2023, nonperforming AFS debt securities held by the Corporation were not significant.
At March 31, 2024 and December 31, 2023, $866.7 billion and $824.9 billion of AFS and HTM debt securities, which were predominantly U.S. agency and U.S. Treasury securities, have a zero credit loss assumption. For the same periods, the expected credit losses on the remaining $36.6 billion and $40.2 billion of AFS and HTM debt securities were insignificant. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.
At March 31, 2024 and December 31, 2023, the Corporation held equity securities at an aggregate fair value of $250 million and $251 million and other equity securities,
as valued under the measurement alternative, at a carrying value of $390 million and $377 million, both of which are included in other assets. At March 31, 2024 and December 31, 2023, the Corporation also held money market investments at a fair value of $1.5 billion and $1.2 billion, which are included in time deposits placed and other short-term investments.
The gross realized gains and losses on sales of AFS debt securities for the three months ended March 31, 2024 and 2023 are presented in the table below.
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Gains and Losses on Sales of AFS Debt Securities |
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Three Months Ended March 31 |
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(Dollars in millions) |
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2024 |
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2023 |
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Gross gains |
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|
$ |
11
|
|
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$ |
96 |
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Gross losses |
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|
(1) |
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|
(306) |
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Net gains (losses) on sales of AFS debt securities |
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|
$ |
10
|
|
|
$ |
(210) |
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Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities |
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|
$ |
2
|
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|
$ |
(53) |
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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 March 31, 2024 and December 31, 2023.
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Total AFS Debt Securities in a Continuous Unrealized Loss Position |
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Less than Twelve Months |
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Twelve Months or Longer |
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Total |
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Fair Value |
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Gross Unrealized Losses |
|
Fair Value |
|
Gross Unrealized Losses |
|
Fair Value |
|
Gross Unrealized Losses |
(Dollars in millions) |
March 31, 2024 |
Continuously unrealized loss-positioned AFS debt securities |
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|
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Mortgage-backed securities: |
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|
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|
|
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Agency |
$ |
9,729
|
|
|
$ |
(31) |
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|
$ |
20,061
|
|
|
$ |
(1,456) |
|
|
$ |
29,790
|
|
|
$ |
(1,487) |
|
Agency-collateralized mortgage obligations |
—
|
|
|
—
|
|
|
1,630
|
|
|
(219) |
|
|
1,630
|
|
|
(219) |
|
Commercial |
770
|
|
|
(13) |
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|
4,700
|
|
|
(456) |
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|
5,470
|
|
|
(469) |
|
Non-agency residential |
—
|
|
|
—
|
|
|
158
|
|
|
(58) |
|
|
158
|
|
|
(58) |
|
Total mortgage-backed securities |
10,499
|
|
|
(44) |
|
|
26,549
|
|
|
(2,189) |
|
|
37,048
|
|
|
(2,233) |
|
U.S. Treasury and government agencies |
5,793
|
|
|
(3) |
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|
68,837
|
|
|
(1,069) |
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|
74,630
|
|
|
(1,072) |
|
Non-U.S. securities |
9,661
|
|
|
(11) |
|
|
1,996
|
|
|
(10) |
|
|
11,657
|
|
|
(21) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
608
|
|
|
(3) |
|
|
2,450
|
|
|
(46) |
|
|
3,058
|
|
|
(49) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-exempt securities |
154
|
|
|
(1) |
|
|
3,244
|
|
|
(234) |
|
|
3,398
|
|
|
(235) |
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Total AFS debt securities in a continuous unrealized loss position |
$ |
26,715
|
|
|
$ |
(62) |
|
|
$ |
103,076
|
|
|
$ |
(3,548) |
|
|
$ |
129,791
|
|
|
$ |
(3,610) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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) |
|
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at March 31, 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 |
$ |
— |
|
|
— |
% |
|
$ |
4 |
|
|
4.00 |
% |
|
$ |
8 |
|
|
3.13 |
% |
|
$ |
37,959 |
|
|
4.70 |
% |
|
$ |
37,971 |
|
|
4.70 |
% |
Agency-collateralized mortgage obligations |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
2,661 |
|
|
3.38 |
|
|
2,661 |
|
|
3.38 |
|
Commercial |
32 |
|
|
3.03 |
|
|
1,940 |
|
|
5.88 |
|
|
7,449 |
|
|
3.92 |
|
|
1,570 |
|
|
2.74 |
|
|
10,991 |
|
|
4.09 |
|
Non-agency residential |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
576 |
|
|
10.15 |
|
|
576 |
|
|
10.15 |
|
Total mortgage-backed securities |
32 |
|
|
3.03 |
|
|
1,944 |
|
|
5.88 |
|
|
7,457 |
|
|
3.92 |
|
|
42,766 |
|
|
4.62 |
|
|
52,199 |
|
|
4.57 |
|
U.S. Treasury and government agencies |
82,297 |
|
|
5.29 |
|
|
135,534 |
|
|
3.72 |
|
|
13,857 |
|
|
2.75 |
|
|
37 |
|
|
3.92 |
|
|
231,725 |
|
|
4.21 |
|
Non-U.S. securities |
18,124 |
|
|
3.91 |
|
|
6,087 |
|
|
1.49 |
|
|
3,751 |
|
|
5.34 |
|
|
1,148 |
|
|
5.09 |
|
|
29,110 |
|
|
3.63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
733 |
|
|
6.55 |
|
|
2,233 |
|
|
6.11 |
|
|
244 |
|
|
4.36 |
|
|
75 |
|
|
2.82 |
|
|
3,285 |
|
|
6.01 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-exempt securities |
1,066 |
|
|
4.18 |
|
|
3,881 |
|
|
3.65 |
|
|
996 |
|
|
3.29 |
|
|
4,191 |
|
|
4.02 |
|
|
10,134 |
|
|
3.82 |
|
Total amortized cost of debt securities carried at fair value |
$ |
102,252
|
|
|
5.04
|
|
|
$ |
149,679
|
|
|
3.69
|
|
|
$ |
26,305
|
|
|
3.49
|
|
|
$ |
48,217
|
|
|
4.57
|
|
|
$ |
326,453
|
|
|
4.23
|
|
Amortized cost of HTM debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency mortgage-backed securities |
$ |
— |
|
|
— |
% |
|
$ |
— |
|
|
— |
% |
|
$ |
11 |
|
|
2.73 |
% |
|
$ |
457,830 |
|
|
2.16 |
% |
|
$ |
457,841 |
|
|
2.16 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
— |
|
|
— |
|
|
13,043 |
|
|
1.93 |
|
|
108,615 |
|
|
1.32 |
|
|
— |
|
|
— |
|
|
121,658 |
|
|
1.39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
76 |
|
|
1.73 |
|
|
1,219 |
|
|
2.58 |
|
|
279 |
|
|
3.46 |
|
|
5,826 |
|
|
2.49 |
|
|
7,400 |
|
|
2.54 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total amortized cost of HTM debt securities |
$ |
76
|
|
|
1.73
|
|
|
$ |
14,262
|
|
|
1.98
|
|
|
$ |
108,905
|
|
|
1.33
|
|
|
$ |
463,656
|
|
|
2.16
|
|
|
$ |
586,899
|
|
|
2.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
$ |
— |
|
|
|
|
$ |
4 |
|
|
|
|
$ |
7 |
|
|
|
|
$ |
36,501 |
|
|
|
|
$ |
36,512 |
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
2,450 |
|
|
|
|
2,450 |
|
|
|
Commercial |
32 |
|
|
|
|
1,899 |
|
|
|
|
7,291 |
|
|
|
|
1,364 |
|
|
|
|
10,586 |
|
|
|
Non-agency residential |
— |
|
|
|
|
2 |
|
|
|
|
— |
|
|
|
|
559 |
|
|
|
|
561 |
|
|
|
Total mortgage-backed securities |
32 |
|
|
|
|
1,905 |
|
|
|
|
7,298 |
|
|
|
|
40,874 |
|
|
|
|
50,109 |
|
|
|
U.S. Treasury and government agencies |
82,294 |
|
|
|
|
134,902 |
|
|
|
|
13,502 |
|
|
|
|
36 |
|
|
|
|
230,734 |
|
|
|
Non-U.S. securities |
18,136 |
|
|
|
|
6,089 |
|
|
|
|
3,750 |
|
|
|
|
1,149 |
|
|
|
|
29,124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
730 |
|
|
|
|
2,222 |
|
|
|
|
222 |
|
|
|
|
68 |
|
|
|
|
3,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-exempt securities |
1,065 |
|
|
|
|
3,847 |
|
|
|
|
971 |
|
|
|
|
4,027 |
|
|
|
|
9,910 |
|
|
|
Total debt securities carried at fair value |
$ |
102,257
|
|
|
|
|
$ |
148,965
|
|
|
|
|
$ |
25,743
|
|
|
|
|
$ |
46,154
|
|
|
|
|
$ |
323,119
|
|
|
|
Fair value of HTM debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency mortgage-backed securities |
$ |
— |
|
|
|
|
$ |
— |
|
|
|
|
$ |
10 |
|
|
|
|
$ |
369,326 |
|
|
|
|
$ |
369,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
— |
|
|
|
|
11,695 |
|
|
|
|
90,437 |
|
|
|
|
— |
|
|
|
|
102,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
75 |
|
|
|
|
1,156 |
|
|
|
|
225 |
|
|
|
|
4,824 |
|
|
|
|
6,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value of HTM debt securities |
$ |
75
|
|
|
|
|
$ |
12,851
|
|
|
|
|
$ |
90,672
|
|
|
|
|
$ |
374,150
|
|
|
|
|
$ |
477,748
|
|
|
|
(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.
|