XML 49 R28.htm IDEA: XBRL DOCUMENT v3.22.1
Securities (Tables)
 3 Months Ended
Mar. 31, 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 March 31, 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)March 31, 2022December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency$40,166 $293 $(965)$39,494 $45,268 $1,257 $(186)$46,339 
Agency-collateralized mortgage obligations2,985 11 (102)2,894 3,331 74 (25)3,380 
Commercial19,330 336 (436)19,230 19,036 647 (79)19,604 
Non-agency residential (1)
502 5 (53)454 591 25 (33)583 
Total mortgage-backed securities62,983 645 (1,556)62,072 68,226 2,003 (323)69,906 
U.S. Treasury and government agencies193,081 1,186 (1,481)192,786 197,853 1,610 (318)199,145 
Non-U.S. securities15,192 — (9)15,183 11,933 — — 11,933 
Other taxable securities4,007 12 (29)3,990 2,725 39 (3)2,761 
Tax-exempt securities15,325 81 (150)15,256 15,155 317 (39)15,433 
Total available-for-sale debt securities 290,588 1,924 (3,225)289,287 295,892 3,969 (683)299,178 
Other debt securities carried at fair value (2)
8,532 91 (210)8,413 8,873 105 (83)8,895 
Total debt securities carried at fair value299,120 2,015 (3,435)297,700 304,765 4,074 (766)308,073 
Held-to-maturity debt securities
Agency mortgage-backed securities542,601 619 (41,454)501,766 553,721 3,855 (10,366)547,210 
U.S. Treasury and government agencies120,863 — (10,046)110,817 111,859 254 (2,395)109,718 
Other taxable securities8,754 5 (466)8,293 9,011 147 (196)8,962 
Total held-to-maturity debt securities672,218 624 (51,966)620,876 674,591 4,256 (12,957)665,890 
Total debt securities (3,4)
$971,338 $2,639 $(55,401)$918,576 $979,356 $8,330 $(13,723)$973,963 
(1)At March 31, 2022 and December 31, 2021, the underlying collateral type included approximately 16 percent and 21 percent prime and 84 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 $106.0 billion and $111.9 billion at March 31, 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 $334.7 billion and $201.4 billion, and a fair value of $310.5 billion and $185.7 billion at March 31, 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 March 31, 2022 and December 31, 2021.
Total AFS Debt Securities in a Continuous Unrealized Loss Position
Less than Twelve MonthsTwelve Months or LongerTotal
Fair
Value		Gross
 Unrealized
 Losses		Fair
Value		Gross
 Unrealized
 Losses		Fair
Value		Gross
 Unrealized
 Losses
(Dollars in millions)March 31, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:   
Agency$20,605 $(908)$929 $(57)$21,534 $(965)
Agency-collateralized mortgage obligations2,237 (100)79 (2)2,316 (102)
Commercial7,574 (350)776 (86)8,350 (436)
Non-agency residential268 (35)110 (18)378 (53)
Total mortgage-backed securities30,684 (1,393)1,894 (163)32,578 (1,556)
U.S. Treasury and government agencies141,076 (1,209)16,011 (272)157,087 (1,481)
Non-U.S. securities760 (9)— — 760 (9)
Other taxable securities683 (6)334 (23)1,017 (29)
Tax-exempt securities755 (96)2,285 (54)3,040 (150)
Total AFS debt securities in a continuous
   unrealized loss position		$173,958 $(2,713)$20,524 $(512)$194,482 $(3,225)
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 obligations1,427 (22)122 (3)1,549 (25)
Commercial3,451 (41)776 (38)4,227 (79)
Non-agency residential241 (13)174 (20)415 (33)
Total mortgage-backed securities16,852 (242)1,887 (81)18,739 (323)
U.S. Treasury and government agencies103,307 (272)4,850 (46)108,157 (318)
Other taxable securities— — 82 (3)82 (3)
Tax-exempt securities502 (16)109 (23)611 (39)
Total AFS debt securities in a continuous
   unrealized loss position		$120,661 $(530)$6,928 $(153)$127,589 $(683)
Expected Maturity Distribution
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at March 31, 2022 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgage-backed securities (MBS) or other asset-backed securities (ABS) are passed through to the Corporation.
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities
Due in One
Year or Less		Due after One Year
through Five Years		Due after Five Years
through Ten Years		Due after
Ten Years		Total
(Dollars in millions)Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amortized cost of debt securities carried at fair value          
Mortgage-backed securities:          
Agency$— — %$5 4.80 %$46 4.67 %$40,115 3.12 %$40,166 3.12 %
Agency-collateralized mortgage obligations— — — — 19 2.53 2,966 2.91 2,985 2.91 
Commercial805 2.42 8,880 2.51 7,233 1.80 2,425 2.09 19,343 2.19 
Non-agency residential— — — — — — 937 6.06 937 6.06 
Total mortgage-backed securities805 2.42 8,885 2.51 7,298 1.82 46,443 3.11 63,431 2.87 
U.S. Treasury and government agencies8,462 1.39 46,460 1.75 138,653 1.44 32 2.41 193,607 1.51 
Non-U.S. securities21,308 0.29 1,426 4.35 6 2.02 11 9.16 22,751 0.55 
Other taxable securities1,244 1.31 2,181 1.73 296 2.10 286 2.19 4,007 1.66 
Tax-exempt securities2,351 1.39 5,904 1.48 3,771 1.74 3,298 1.76 15,324 1.59 
Total amortized cost of debt securities carried at fair value
$34,170 0.73 $64,856 1.88 $150,024 1.47 $50,070 3.02 $299,120 1.73 
Amortized cost of HTM debt securities
Agency mortgage-backed securities$— — %$— — %$4 1.75 %$542,597 2.13 %$542,601 2.13 %
U.S. Treasury and government agencies— — 3,830 1.64 117,033 1.37 — — 120,863 1.38 
Other taxable securities43 7.20 1,111 2.17 429 2.76 7,171 2.47 8,754 2.47 
Total amortized cost of HTM debt securities$43 7.20 $4,941 1.76 $117,466 1.37 $549,768 2.13 $672,218 1.99 
Debt securities carried at fair value          
Mortgage-backed securities:          
Agency$—  $5  $48  $39,441  $39,494  
Agency-collateralized mortgage obligations—  —  19  2,875  2,894  
Commercial809  9,079  7,062  2,292  19,242  
Non-agency residential—  3  —  899  902  
Total mortgage-backed securities809 9,087 7,129 45,507 62,532 
U.S. Treasury and government agencies8,533 47,073 137,674 31 193,311 
Non-U.S. securities21,169  1,423  6  10  22,608  
Other taxable securities1,247  2,188  286  272  3,993  
Tax-exempt securities2,351  5,921  3,780  3,204  15,256  
Total debt securities carried at fair value$34,109  $65,692  $148,875  $49,024  $297,700  
Fair value of HTM debt securities
Agency mortgage-backed securities$— $— $3 $501,763 $501,766 
U.S. Treasury and government agencies— 3,687 107,130 — 110,817 
Other taxable securities43 1,086 421 6,743 8,293 
Total fair value of HTM debt securities$43 $4,773 $107,554 $508,506 $620,876 
(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.