Securities

9 Months Ended

Sep. 30, 2022

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 September 30, 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)	September 30, 2022								December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	25,743	$	5	$	(2,144)	$	23,604	$	45,268	$	1,257	$	(186)	$	46,339
Agency-collateralized mortgage obligations	2,589		—		(220)		2,369		3,331		74		(25)		3,380
Commercial	6,248		24		(499)		5,773		19,036		647		(79)		19,604
Non-agency residential (1)	467		16		(83)		400		591		25		(33)		583
Total mortgage-backed securities	35,047		45		(2,946)		32,146		68,226		2,003		(323)		69,906
U.S. Treasury and government agencies	169,368		42		(1,797)		167,613		197,853		1,610		(318)		199,145
Non-U.S. securities	11,046		1		(44)		11,003		11,933		—		—		11,933
Other taxable securities	3,481		—		(76)		3,405		2,725		39		(3)		2,761
Tax-exempt securities	12,544		—		(372)		12,172		15,155		317		(39)		15,433
Total available-for-sale debt securities	231,486		88		(5,235)		226,339		295,892		3,969		(683)		299,178
Other debt securities carried at fair value (2)	10,223		54		(371)		9,906		8,873		105		(83)		8,895
Total debt securities carried at fair value	241,709		142		(5,606)		236,245		304,765		4,074		(766)		308,073
Held-to-maturity debt securities
Agency mortgage-backed securities	513,977		—		(94,111)		419,866		553,721		3,855		(10,366)		547,210
U.S. Treasury and government agencies	121,585		—		(21,089)		100,496		111,859		254		(2,395)		109,718
Other taxable securities	8,181		—		(990)		7,191		9,011		147		(196)		8,962
Total held-to-maturity debt securities	643,743		—		(116,190)		527,553		674,591		4,256		(12,957)		665,890
Total debt securities (3,4)	$	885,452	$	142	$	(121,796)	$	763,798	$	979,356	$	8,330	$	(13,723)	$	973,963

(1)At September 30, 2022 and December 31, 2021, the underlying collateral type included approximately 17 percent and 21 percent prime and 83 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 $103.1 billion and $111.9 billion at September 30, 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 $296.5 billion and $179.4 billion, and a fair value of $241.8 billion and $145.1 billion at September 30, 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.

At September 30, 2022, 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 $3.9 billion, net of the related income tax benefit of $1.3 billion. At September 30, 2022 and December 31, 2021, nonperforming AFS debt securities held by the Corporation were not significant.

At September 30, 2022 and December 31, 2021, the Corporation had $199.3 billion and $268.5 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. 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 2021 Annual Report on Form 10-K. For the remaining $27.0 billion and $30.7 billion in AFS debt securities at September 30, 2022 and December 31, 2021, the amount of expected credit losses was not significant. At September 30, 2022 and December 31, 2021, the Corporation had $527.6 billion and $665.9 billion in HTM debt securities, which were substantially all U.S agency and U.S. Treasury securities that have a zero credit loss assumption.

At September 30, 2022 and December 31, 2021, the Corporation held equity securities at an aggregate fair value of

$620 million and $513 million and other equity securities, as valued under the measurement alternative, at a carrying value of $311 million and $266 million, both of which are included in other assets. At September 30, 2022 and December 31, 2021, the Corporation also held money market investments at a fair value of $682 million and $707 million, 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 and nine months ended September 30, 2022 and 2021 are presented in the table below.

Gains and Losses on Sales of AFS Debt Securities
	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Gross gains	$	540	$	4	$	1,243	$	19
Gross losses	(526)		—		(1,206)		(15)
Net gains on sales of AFS debt securities	$	14	$	4	$	37	$	4
Income tax expense attributable to realized net gains on sales of AFS debt securities	$	4	$	1	$	9	$	1

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 September 30, 2022 and December 31, 2021.

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)	September 30, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	20,518	$	(1,625)	$	2,937	$	(519)	$	23,455	$	(2,144)
Agency-collateralized mortgage obligations	1,342		(87)		989		(133)		2,331		(220)
Commercial	3,831		(264)		1,366		(235)		5,197		(499)
Non-agency residential	272		(60)		101		(23)		373		(83)
Total mortgage-backed securities	25,963		(2,036)		5,393		(910)		31,356		(2,946)
U.S. Treasury and government agencies	125,543		(1,129)		31,867		(668)		157,410		(1,797)
Non-U.S. securities	9,221		(23)		732		(21)		9,953		(44)
Other taxable securities	2,373		(20)		759		(56)		3,132		(76)
Tax-exempt securities	931		(98)		4,297		(274)		5,228		(372)
Total AFS debt securities in a continuous    unrealized loss position	$	164,031	$	(3,306)	$	43,048	$	(1,929)	$	207,079	$	(5,235)
	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 obligations	1,427		(22)		122		(3)		1,549		(25)
Commercial	3,451		(41)		776		(38)		4,227		(79)
Non-agency residential	241		(13)		174		(20)		415		(33)
Total mortgage-backed securities	16,852		(242)		1,887		(81)		18,739		(323)
U.S. Treasury and government agencies	103,307		(272)		4,850		(46)		108,157		(318)
Other taxable securities	—		—		82		(3)		82		(3)
Tax-exempt securities	502		(16)		109		(23)		611		(39)
Total AFS debt securities in a continuous    unrealized loss position	$	120,661	$	(530)	$	6,928	$	(153)	$	127,589	$	(683)

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 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	5.20	%	$	40	4.88	%	$	25,698	3.36	%	$	25,743	3.36	%
Agency-collateralized mortgage obligations	—		—		15		2.60		—		—		2,574		2.91		2,589		2.91
Commercial	36		2.22		488		2.79		4,227		1.78		1,509		2.07		6,260		1.93
Non-agency residential	—		—		—		—		—		—		867		8.31		867		8.31
Total mortgage-backed securities	36		2.22		508		2.81		4,267		1.81		30,648		3.40		35,459		3.20
U.S. Treasury and government agencies	7,222		1.40		62,354		1.76		100,285		1.65		28		3.00		169,889		1.68
Non-U.S. securities	17,773		1.67		2,429		4.22		6		4.24		128		5.34		20,336		2.00
Other taxable securities	1,635		3.56		1,241		3.56		469		3.04		136		3.46		3,481		3.49
Tax-exempt securities	939		1.60		5,135		2.45		2,330		2.67		4,140		3.03		12,544		2.62
Total amortized cost of debt securities carried at fair value	$	27,605	1.71		$	71,667	1.93		$	107,357	1.68		$	35,080	3.36		$	241,709	2.01
Amortized cost of HTM debt securities
Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	14	2.71	%	$	513,963	2.13	%	$	513,977	2.13	%
U.S. Treasury and government agencies	—		—		4,539		1.80		117,046		1.37		—		—		121,585		1.39
Other taxable securities	37		9.52		1,064		2.13		433		2.93		6,647		2.49		8,181		2.49
Total amortized cost of HTM debt securities	$	37	—		$	5,603	1.86		$	117,493	1.37		$	520,610	2.13		$	643,743	1.99
Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	40			$	23,559			$	23,604
Agency-collateralized mortgage obligations	—				15				—				2,354				2,369
Commercial	36				473				3,977				1,297				5,783
Non-agency residential	—				2				—				787				789
Total mortgage-backed securities	36				495				4,017				27,997				32,545
U.S. Treasury and government agencies	7,250				61,839				99,020				25				168,134
Non-U.S. securities	17,466				2,396				6				121				19,989
Other taxable securities	1,631				1,224				428				122				3,405
Tax-exempt securities	937				5,051				2,267				3,917				12,172
Total debt securities carried at fair value	$	27,320			$	71,005			$	105,738			$	32,182			$	236,245
Fair value of HTM debt securities
Agency mortgage-backed securities	$	—			$	—			$	13			$	419,853			$	419,866
U.S. Treasury and government agencies	—				4,129				96,367				—				100,496
Other taxable securities	37				993				401				5,760				7,191
Total fair value of HTM debt securities	$	37			$	5,122			$	96,781			$	425,613			$	527,553

(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.