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Securities (Tables)
 9 Months Ended
Sep. 30, 2022
Securities [Abstract]  
Amortized Cost and Fair Values of Securities The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at Sept. 30, 2022 and Dec. 31, 2021.
Securities at Sept. 30, 2022Gross
unrealized		Fair
value
Amortized cost
(in millions)GainsLosses
Available-for-sale:
U.S. Treasury$30,902 $103 $2,849 $28,156 
Sovereign debt/sovereign guaranteed10,906 3 574 10,335 
Agency residential mortgage-backed securities (“RMBS”)8,732 119 486 8,365 
Agency commercial mortgage-backed securities (“MBS”)8,723 95 718 8,100 
Supranational8,022 3 426 7,599 
Foreign covered bonds5,546 2 268 5,280 
Collateralized loan obligations (“CLOs”)5,425 — 183 5,242 
Non-agency commercial MBS3,270 — 377 2,893 
Foreign government agencies2,449 — 134 2,315 
Non-agency RMBS2,276 50 213 2,113 
U.S. government agencies2,177 55 235 1,997 
State and political subdivisions2,187 — 321 1,866 
Other asset-backed securities (“ABS”)1,594 — 129 1,465 
Corporate bonds1,409 — 212 1,197 
Other debt securities1 — — 1 
Total securities available-for-sale (a)(b)
$93,619 $430 $7,125 $86,924 
Held-to-maturity:
Agency RMBS$35,349 $1 $4,679 $30,671 
U.S. Treasury10,715 — 966 9,749 
Agency commercial MBS4,117 — 428 3,689 
U.S. government agencies4,209 — 558 3,651 
Sovereign debt/sovereign guaranteed1,374 — 69 1,305 
CLOs983 — 44 939 
Supranational407 — 23 384 
Foreign government agencies 60 — 4 56 
Non-agency RMBS30 1 1 30 
State and political subdivisions13 — 2 11 
Total securities held-to-maturity (a)
$57,257 $2 $6,774 $50,485 
Total securities$150,876 $432 $13,899 $137,409 
(a)    The amortized cost of available-for-sale and held-to-maturity securities are net of the allowance for credit loss of $9 million and less than $1 million, respectively. The allowance for credit loss related to available-for-sale securities primarily relates to CLOs.
(b)    Includes gross unrealized gains of $373 million and gross unrealized losses of $188 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains primarily relate to agency RMBS, U.S. Treasury securities and agency commercial MBS. The unrealized losses primarily relate to agency RMBS and U.S. Treasury securities. The unrealized gains and losses will be amortized into net interest revenue over the contractual lives of the securities.
Securities at Dec. 31, 2021Gross
unrealized
Amortized costFair
value
(in millions)GainsLosses
Available-for-sale:
U.S. Treasury$28,966 $771 $328 $29,409 
Agency RMBS14,333 270 73 14,530 
Sovereign debt/sovereign guaranteed
13,367 79 67 13,379 
Agency commercial MBS
8,102 345 42 8,405 
Supranational7,599 24 50 7,573 
Foreign covered bonds
6,236 25 23 6,238 
CLOs4,441 3 5 4,439 
Non-agency commercial MBS
3,083 65 23 3,125 
Non-agency RMBS2,641 132 25 2,748 
Foreign government agencies
2,694 9 17 2,686 
U.S. government agencies
2,464 99 27 2,536 
State and political subdivisions
2,543 11 40 2,514 
Other ABS
2,205 7 22 2,190 
Corporate bonds2,099 19 52 2,066 
Other debt securities1 — — 1 
Total securities available-for-sale (a)(b)
$100,774 $1,859 $794 $101,839 
Held-to-maturity:
Agency RMBS$36,167 $428 $388 $36,207 
U.S. Treasury11,617 36 103 11,550 
Agency commercial MBS
4,068 41 52 4,057 
U.S. government agencies
2,998 — 71 2,927 
CLOs983 — 1 982 
Sovereign debt/sovereign guaranteed
922 18 2 938 
Supranational
54 — — 54 
Non-agency RMBS43 2 — 45 
State and political subdivisions
14 1 — 15 
Total securities held-to-maturity
$56,866 $526 $617 $56,775 
Total securities$157,640 $2,385 $1,411 $158,614 
(a)    The amortized cost of available-for-sale securities is net of the allowance for credit loss of $10 million. The allowance for credit loss primarily relates to CLOs.
(b)    Includes gross unrealized gains of $455 million and gross unrealized losses of $75 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains primarily relate to U.S. Treasury securities, agency RMBS and agency commercial MBS. The unrealized losses primarily relate to U.S. Treasury securities and agency RMBS. The unrealized gains and losses will be amortized into net interest revenue over the contractual lives of the securities.
Schedule of Realized Gains, Losses, and Impairments
The following table presents the realized gains and losses, on a gross basis.

Net securities gains (losses)
(in millions)3Q222Q223Q21YTD22YTD21
Realized gross gains$9 $7 $3 $89 $21 
Realized gross losses(8)(7)(1)(84)(17)
Total net securities gains$1 $— $2 $5 $4 
Pre-Tax Securities Gains (Losses) by Type
The following table presents pre-tax net securities gains (losses) by type.

Net securities gains (losses)
(in millions)3Q222Q223Q21YTD22YTD21
Non-agency RMBS$— $— $— $49 $2 
U.S. Treasury— 1 — 12 (4)
State and political subdivisions— — — (13)— 
Corporate bonds— (4)— (51)— 
Other1 3 2 8 6 
Total net securities gains$1 $— $2 $5 $4 
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value
The following tables show the aggregate fair value of available-for-sale securities with a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 months or more without an allowance for credit losses.

Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Sept. 30, 2022
Less than 12 months12 months or moreTotal
Fair
value		Unrealized
losses		Fair
value		Unrealized
losses		Fair
value		Unrealized
losses
(in millions)
U.S. Treasury$22,678 $1,942 $5,479 $907 $28,157 $2,849 
Sovereign debt/sovereign guaranteed7,361 334 1,738 240 9,099 574 
Agency RMBS7,912 416 384 70 8,296 486 
Agency commercial MBS6,602 518 1,410 200 8,012 718 
Supranational4,590 214 1,491 212 6,081 426 
CLOs4,815 164 324 15 5,139 179 
Foreign covered bonds3,657 166 945 102 4,602 268 
Non-agency commercial MBS2,249 259 594 118 2,843 377 
Foreign government agencies1,700 68 615 66 2,315 134 
Non-agency RMBS1,058 82 804 131 1,862 213 
State and political subdivisions757 128 991 193 1,748 321 
U.S. government agencies1,515 197 206 38 1,721 235 
Other ABS925 75 505 54 1,430 129 
Corporate bonds521 39 665 173 1,186 212 
Total securities available-for-sale (a)
$66,340 $4,602 $16,151 $2,519 $82,491 $7,121 
(a)    Includes $126 million gross unrealized losses for less than 12 months and $62 million of gross unrealized losses for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to agency RMBS and U.S. Treasury securities and will be amortized into net interest revenue over the contractual lives of the securities.


Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Dec. 31, 2021
Less than 12 months12 months or moreTotal
Fair
value		Unrealized
losses		Fair
value		Unrealized
losses		Fair
value		Unrealized
losses
(in millions)
U.S. Treasury$16,855 $235 $1,944 $93 $18,799 $328 
Sovereign debt/sovereign guaranteed6,040 66 58 1 6,098 67 
Agency RMBS4,089 44 457 29 4,546 73 
Supranational3,093 44 305 6 3,398 50 
Agency commercial MBS2,233 39 585 3 2,818 42 
Foreign covered bonds2,694 23 — — 2,694 23 
CLOs1,808 3 318 2 2,126 5 
Non-agency RMBS1,573 20 345 5 1,918 25 
State and political subdivisions1,848 40 13 — 1,861 40 
U.S. government agencies1,780 27 — — 1,780 27 
Other ABS1,383 20 201 2 1,584 22 
Foreign government agencies1,446 17 15 — 1,461 17 
Corporate bonds1,247 42 198 10 1,445 52 
Non-agency commercial MBS947 16 222 7 1,169 23 
Total securities available-for-sale (a)
$47,036 $636 $4,661 $158 $51,697 $794 
(a)    Includes $47 million of gross unrealized losses for less than 12 months and $28 million of gross unrealized losses for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to U.S. Treasury securities and agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.
Debt Securities, Held-to-maturity, Credit Quality Indicator
The following tables show the credit quality of the held-to-maturity securities. We have included certain credit ratings information because the information can indicate the degree of credit risk to which we are exposed. Significant changes in ratings classifications could indicate increased credit risk for us and could be accompanied by an increase in the allowance for credit losses and/or a reduction in the fair value of our securities portfolio.

Held-to-maturity securities portfolio at Sept. 30, 2022
Ratings (a)
Net unrealized gain (loss)BB+
and
lower
(dollars in millions)Amortized
cost		AAA/
AA-		A+/
A-		BBB+/
BBB-		Not
rated
Agency RMBS$35,349 $(4,678)100 %— %— %— %— %
U.S. Treasury10,715 (966)100 — — — — 
Agency commercial MBS4,117 (428)100 — — — — 
U.S. government agencies4,209 (558)100 — — — — 
Sovereign debt/sovereign guaranteed (b)
1,374 (69)100 — — — — 
CLOs983 (44)100 — — — — 
Supranational407 (23)100 — — — — 
Foreign government agencies60 (4)100 — — — — 
Non-agency RMBS30 — 22 58 2 17 1 
State and political subdivisions13 (2)2 2 3 — 93 
Total held-to-maturity securities$57,257 $(6,772)100 %— %— %— %— %
(a)    Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.
(b)    Primarily consists of exposure to Germany, France and UK.


Held-to-maturity securities portfolio at Dec. 31, 2021
Ratings (a)
Net unrealized gain (loss)BB+
and
lower
(dollars in millions)Amortized
cost		AAA/
AA-		A+/
A-		BBB+/
BBB-		Not
rated
Agency RMBS$36,167 $40 100 %— %— %— %— %
U.S. Treasury11,617 (67)100 — — — — 
Agency commercial MBS4,068 (11)100 — — — — 
U.S. government agencies2,998 (71)100 — — — — 
CLOs983 (1)100 — — — — 
Sovereign debt/sovereign guaranteed (b)
922 16 100 — — — — 
Supranational54 — 100 — — — — 
Non-agency RMBS43 2 23 59 2 15 1 
State and political subdivisions14 1 5 2 5 — 88 
Total held-to-maturity securities$56,866 $(91)100 %— %— %— %— %
(a)    Represents ratings by S&P or the equivalent.
(b)    Primarily consists of exposure to France, UK and Germany.
Maturity Distribution by Carrying Amount and Yield (on Tax Equivalent Basis) of Investment Securities Portfolio
The following table shows the maturity distribution by carrying amount and yield (on a tax equivalent basis) of our securities portfolio.

Maturity distribution and yields on securities at Sept. 30, 2022
Within 1 year1-5 years5-10 yearsAfter 10 yearsTotal
(dollars in millions)Amount
Yield (a)
Amount
Yield (a)
Amount
Yield (a)
Amount
Yield (a)
Amount
Yield (a)
Available-for-sale:
U.S. Treasury$4,837 1.87 %$13,970 0.93 %$7,324 1.25 %$2,025 2.92 %$28,156 1.32 %
Sovereign debt/sovereign guaranteed3,846 1.82 5,734 1.13 710 0.42 45 2.65 10,335 1.32 
Supranational1,303 1.21 4,745 1.90 1,536 2.26 15 (0.09)7,599 1.86 
Foreign covered bonds1,131 1.66 3,619 1.64 530 0.18 — — 5,280 1.48 
Foreign government agencies540 1.03 1,743 1.49 32 0.16 — — 2,315 1.36 
U.S. government agencies— — 711 2.52 1,122 2.41 164 2.54 1,997 2.46 
State and political subdivisions119 3.98 688 1.50 889 1.62 170 2.41 1,866 1.79 
Corporate bonds82 2.40 338 2.75 757 1.61 20 2.01 1,197 1.95 
Other debt securities— — — — — — 1 3.60 1 3.60 
Mortgage-backed securities:
Agency RMBS8,365 3.10 
Non-agency RMBS2,113 3.32 
Agency commercial MBS8,100 2.60 
Non-agency commercial MBS2,893 2.81 
CLOs5,242 3.72 
Other ABS1,465 1.94 
Total securities available-for-sale$11,858 1.75 %$31,548 1.29 %$12,900 1.41 %$2,440 2.82 %$86,924 1.96 %
Held-to-maturity:
U.S. Treasury$1,464 1.79 %$7,292 1.25 %$1,959 1.16 %$— — %$10,715 1.31 %
U.S. government agencies— — 2,309 1.40 1,639 1.56 261 1.90 4,209 1.49 
Sovereign debt/sovereign guaranteed132 0.16 1,133 0.88 109 0.95 — — 1,374 0.82 
Supranational45 0.54 362 1.01 — — — — 407 0.96 
Foreign government agencies— — 60 0.79 — — — — 60 0.79 
State and political subdivisions1 5.48 1 5.93 3 4.65 8 4.80 13 4.84 
Mortgage-backed securities:
Agency RMBS35,349 2.29 
Non-agency RMBS30 2.22 
Agency commercial MBS4,117 2.31 
CLOs983 3.80 
Total securities held-to-maturity$1,642 1.63 %$11,157 1.23 %$3,710 1.33 %$269 1.98 %$57,257 2.03 %
Total securities$13,500 1.73 %$42,705 1.27 %$16,610 1.40 %$2,709 2.75 %$144,181 1.99 %
(a)    Yields are based upon the amortized cost of securities and consider the contractual coupon, amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.