Securities

6 Months Ended

Jun. 30, 2021

Investments, Debt and Equity Securities [Abstract]

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 June 30, 2021 and December 31, 2020.

Debt Securities
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
(Dollars in millions)	June 30, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	56,258	$	1,696	$	(65)	$	57,889
Agency-collateralized mortgage obligations	4,111		123		(8)		4,226
Commercial	18,062		882		(25)		18,919
Non-agency residential (1)	829		33		(10)		852
Total mortgage-backed securities	79,260		2,734		(108)		81,886
U.S. Treasury and agency securities	158,691		1,906		(264)		160,333
Non-U.S. securities	17,165		4		(2)		17,167
Other taxable securities	2,873		48		—		2,921
Total taxable securities	257,989		4,692		(374)		262,307
Tax-exempt securities	15,529		347		(2)		15,874
Total available-for-sale debt securities	273,518		5,039		(376)		278,181
Other debt securities carried at fair value (2)	10,713		113		(94)		10,732
Total debt securities carried at fair value	284,231		5,152		(470)		288,913
Held-to-maturity debt securities
Agency mortgage-backed securities	547,508		6,040		(5,849)		547,699
U.S. Treasury and agency securities	94,353		327		(2,017)		92,663
Other taxable securities	9,573		246		(156)		9,663
Total held-to-maturity debt securities	651,434		6,613		(8,022)		650,025
Total debt securities (3,4)	$	935,665	$	11,765	$	(8,492)	$	938,938
	December 31, 2020
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	59,518	$	2,370	$	(39)	$	61,849
Agency-collateralized mortgage obligations	5,112		161		(13)		5,260
Commercial	15,470		1,025		(4)		16,491
Non-agency residential (1)	899		127		(17)		1,009
Total mortgage-backed securities	80,999		3,683		(73)		84,609
U.S. Treasury and agency securities	114,157		2,236		(13)		116,380
Non-U.S. securities	14,009		15		(7)		14,017
Other taxable securities	2,656		61		(6)		2,711
Total taxable securities	211,821		5,995		(99)		217,717
Tax-exempt securities	16,417		389		(32)		16,774
Total available-for-sale debt securities	228,238		6,384		(131)		234,491
Other debt securities carried at fair value (2)	11,720		429		(39)		12,110
Total debt securities carried at fair value	239,958		6,813		(170)		246,601
Held-to-maturity debt securities
Agency mortgage-backed securities	414,289		9,768		(36)		424,021
U.S. Treasury and agency securities	16,084		—		(71)		16,013
Other taxable securities	7,906		327		(87)		8,146
Total held-to-maturity debt securities	438,279		10,095		(194)		448,180
Total debt securities (3, 4)	$	678,237	$	16,908	$	(364)	$	694,781

(1)At both June 30, 2021 and December 31, 2020, the underlying collateral type included approximately 37 percent prime, two percent Alt-A and 61 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 $82.8 billion and $65.5 billion at June 30, 2021 and December 31, 2020.

(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 $338.3 billion and $197.8 billion, and a fair value of $339.7 billion and $197.3 billion at June 30, 2021, and an amortized cost of $260.1 billion and $118.1 billion, and a fair value of $267.5 billion and $120.7 billion at December 31, 2020.

At June 30, 2021, the accumulated net unrealized gain on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $3.5 billion, net of the related income tax expense of $1.2 billion. The Corporation had nonperforming AFS debt securities of $19 million and $20 million at June 30, 2021 and December 31, 2020.

At June 30, 2021 and December 31, 2020, the Corporation had $241.4 billion and $200.0 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For the remaining $36.8 billion and $34.5 billion in AFS debt securities at June 30, 2021 and December 31, 2020, the amount of expected credit losses was insignificant. Substantially all of the

Corporation's HTM debt securities consist of U.S. agency and U.S. Treasury securities and have a zero credit loss assumption.

At June 30, 2021 and December 31, 2020, the Corporation held equity securities at an aggregate fair value of $616 million and $769 million and other equity securities, as valued under the measurement alternative, at a carrying value of $270 million and $240 million, both of which are included in other assets. At June 30, 2021 and December 31, 2020, the Corporation also held money market investments at a fair value of $1.5 billion and $1.6 billion, which are included in time deposits placed and other short-term investments.

In the three months ended June 30, 2021, sales of AFS securities were not significant. In the six months ended June 30, 2021, the Corporation recorded gross realized gains on the

sales of AFS debt securities of $15 million and gross realized losses of $15 million. For the same periods in 2020, the Corporation recorded gross realized gains of $63 million and $379 million and gross realized losses of $1 million and $2 million, resulting in net gains of $62 million and $377 million, with $15 million and $94 million of income taxes attributable to the realized net gains on sales of these AFS debt securities.

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, 2021 and December 31, 2020.

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, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	11,555	$	(41)	$	1,114	$	(24)	$	12,669	$	(65)
Agency-collateralized mortgage obligations	1,661		—		301		(8)		1,962		(8)
Commercial	1,535		(25)		2		—		1,537		(25)
Non-agency residential	498		—		158		(10)		656		(10)
Total mortgage-backed securities	15,249		(66)		1,575		(42)		16,824		(108)
U.S. Treasury and agency securities	56,061		(259)		695		(5)		56,756		(264)
Non-U.S. securities	—		—		105		(2)		105		(2)
Other taxable securities	291		—		56		—		347		—
Total taxable securities	71,601		(325)		2,431		(49)		74,032		(374)
Tax-exempt securities	11		—		185		(2)		196		(2)
Total AFS debt securities in a continuous    unrealized loss position	$	71,612	$	(325)	$	2,616	$	(51)	$	74,228	$	(376)
	December 31, 2020
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	2,841	$	(39)	$	2	$	—	$	2,843	$	(39)
Agency-collateralized mortgage obligations	187		(2)		364		(11)		551		(13)
Commercial	566		(4)		9		—		575		(4)
Non-agency residential	342		(9)		56		(8)		398		(17)
Total mortgage-backed securities	3,936		(54)		431		(19)		4,367		(73)
U.S. Treasury and agency securities	8,282		(9)		498		(4)		8,780		(13)
Non-U.S. securities	1,861		(6)		135		(1)		1,996		(7)
Other taxable securities	576		(2)		396		(4)		972		(6)
Total taxable securities	14,655		(71)		1,460		(28)		16,115		(99)
Tax-exempt securities	4,108		(29)		617		(3)		4,725		(32)
Total AFS debt securities in a continuous    unrealized loss position	$	18,763	$	(100)	$	2,077	$	(31)	$	20,840	$	(131)

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at June 30, 2021 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the 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	$	—	—	%	$	7	5.39	%	$	54	4.48	%	$	56,197	3.14	%	$	56,258	3.14	%
Agency-collateralized mortgage obligations	—		—		—		—		21		2.50		4,090		2.92		4,111		2.92
Commercial	364		2.31		8,408		2.50		6,765		1.94		2,538		2.16		18,075		2.24
Non-agency residential	—		—		—		—		—		—		1,500		6.55		1,500		6.55
Total mortgage-backed securities	364		2.31		8,415		2.50		6,840		1.96		64,325		3.17		79,944		2.99
U.S. Treasury and agency securities	4,558		1.11		29,528		1.85		125,093		0.81		32		2.53		159,211		1.02
Non-U.S. securities	24,990		0.31		1,291		1.75		330		1.12		65		20.09		26,676		0.44
Other taxable securities	869		1.37		1,401		2.24		352		1.85		251		1.63		2,873		1.88
Total taxable securities	30,781		0.48		40,635		1.99		132,615		0.88		64,673		3.18		268,704		1.55
Tax-exempt securities	1,426		1.04		8,124		1.31		3,414		1.68		2,563		1.32		15,527		1.37
Total amortized cost of debt securities carried at fair value	$	32,207	0.51		$	48,759	1.88		$	136,029	0.90		$	67,236	3.11		$	284,231	1.55
Amortized cost of HTM debt securities
Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	—	—	%	$	547,508	2.18	%	$	547,508	2.18	%
U.S. Treasury and agency securities	—		—		—		—		94,353		1.37		—		—		94,353		1.37
Other taxable securities	54		2.71		715		2.42		401		2.85		8,403		2.55		9,573		2.55
Total amortized cost of HTM debt securities	$	54	2.71		$	715	2.42		$	94,754	1.38		$	555,911	2.19		$	651,434	2.07
Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	6			$	60			$	57,823			$	57,889
Agency-collateralized mortgage obligations	—				—				21				4,205				4,226
Commercial	369				8,884				7,050				2,629				18,932
Non-agency residential	—				—				6				1,579				1,585
Total mortgage-backed securities	369				8,890				7,137				66,236				82,632
U.S. Treasury and agency securities	4,582				30,758				125,479				33				160,852
Non-U.S. securities	24,930				1,304				334				66				26,634
Other taxable securities	873				1,431				361				256				2,921
Total taxable securities	30,754				42,383				133,311				66,591				273,039
Tax-exempt securities	1,431				8,284				3,552				2,607				15,874
Total debt securities carried at fair value	$	32,185			$	50,667			$	136,863			$	69,198			$	288,913
Fair value of HTM debt securities
Agency mortgage-backed securities	$	—			$	—			$	—			$	547,699			$	547,699
U.S. Treasury and agency securities	—				—				92,663				—				92,663
Other taxable securities	53				753				422				8,435				9,663
Total fair value of HTM debt securities	$	53			$	753			$	93,085			$	556,134			$	650,025

(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.