Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

v3.24.1.u1
Securities (Tables)
3 Months Ended
Mar. 31, 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 March 31, 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) March 31, 2024 December 31, 2023
Available-for-sale debt securities
Mortgage-backed securities:
Agency $ 37,971  $ 28  $ (1,487) $ 36,512  $ 39,195  $ 37  $ (1,420) $ 37,812 
Agency-collateralized mortgage obligations 2,661  8  (219) 2,450  2,739  (201) 2,544 
Commercial 10,978  66  (469) 10,575  10,909  40  (514) 10,435 
Non-agency residential (1)
310  46  (58) 298  449  (70) 382 
Total mortgage-backed securities 51,920  148  (2,233) 49,835  53,292  86  (2,205) 51,173 
U.S. Treasury and government agencies 229,830  81  (1,072) 228,839  179,108  19  (1,461) 177,666 
Non-U.S. securities 21,249  23  (21) 21,251  22,868  27  (20) 22,875 
Other taxable securities 3,285  2  (49) 3,238  4,910  (76) 4,835 
Tax-exempt securities 10,134  11  (235) 9,910  10,304  17  (221) 10,100 
Total available-for-sale debt securities 316,418  265  (3,610) 313,073  270,482  150  (3,983) 266,649 
Other debt securities carried at fair value (2)
10,035  90  (79) 10,046  10,202  56  (55) 10,203 
Total debt securities carried at fair value 326,453  355  (3,689) 323,119  280,684  206  (4,038) 276,852 
Held-to-maturity debt securities
Agency mortgage-backed securities 457,841    (88,505) 369,336  465,456  —  (78,930) 386,526 
U.S. Treasury and government agencies 121,658    (19,526) 102,132  121,645  —  (17,963) 103,682 
Other taxable securities 7,400    (1,120) 6,280  7,490  —  (1,101) 6,389 
Total held-to-maturity debt securities 586,899    (109,151) 477,748  594,591  —  (97,994) 496,597 
Total debt securities (3,4)
$ 913,352  $ 355  $ (112,840) $ 800,867  $ 875,275  $ 206  $ (102,032) $ 773,449 
(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.
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 months ended March 31, 2024 and 2023 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
Three Months Ended March 31
(Dollars in millions) 2024 2023
Gross gains $ 11  $ 96 
Gross losses (1) (306)
Net gains (losses) on sales of AFS debt securities $ 10  $ (210)
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities $ 2  $ (53)
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 March 31, 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) March 31, 2024
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:      
Agency $ 9,729  $ (31) $ 20,061  $ (1,456) $ 29,790  $ (1,487)
Agency-collateralized mortgage obligations     1,630  (219) 1,630  (219)
Commercial 770  (13) 4,700  (456) 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) 68,837  (1,069) 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)
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)
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 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 $ —  —  % $ 4.00  % $ 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 $ —    $   $   $ 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 —      —    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.