XML 42 R30.htm IDEA: XBRL DOCUMENT v3.23.3
Securities (Tables)
 9 Months Ended
Sep. 30, 2023
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 September 30, 2023 and December 31, 2022.
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, 2023December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency$22,435 $— $(1,931)$20,504 $25,204 $5 $(1,767)$23,442 
Agency-collateralized mortgage obligations1,964 — (266)1,698 2,452 — (231)2,221 
Commercial7,309 14 (582)6,741 6,894 28 (515)6,407 
Non-agency residential (1)
452 3 (68)387 461 15 (90)386 
Total mortgage-backed securities32,160 17 (2,847)29,330 35,011 48 (2,603)32,456 
U.S. Treasury and government agencies104,828 6 (1,198)103,636 160,773 18 (1,769)159,022 
Non-U.S. securities18,901 18 (47)18,872 13,455 4 (52)13,407 
Other taxable securities3,271 1 (93)3,179 4,728 1 (84)4,645 
Tax-exempt securities10,965 — (372)10,593 11,518 19 (279)11,258 
Total available-for-sale debt securities170,125 42 (4,557)165,610 225,485 90 (4,787)220,788 
Other debt securities carried at fair value (2)
9,933 56 (59)9,930 8,986 376 (156)9,206 
Total debt securities carried at fair value180,058 98 (4,616)175,540 234,471 466 (4,943)229,994 
Held-to-maturity debt securities
Agency mortgage-backed securities474,100 — (106,890)367,210 503,233 — (87,319)415,914 
U.S. Treasury and government agencies121,633 — (23,351)98,282 121,597 — (20,259)101,338 
Other taxable securities7,632 — (1,363)6,269 8,033 — (1,018)7,015 
Total held-to-maturity debt securities603,365 — (131,604)471,761 632,863 — (108,596)524,267 
Total debt securities (3,4)
$783,423 $98 $(136,220)$647,301 $867,334 $466 $(113,539)$754,261 
(1)At both September 30, 2023 and December 31, 2022, the underlying collateral type included approximately 17 percent prime 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 $141.0 billion and $104.5 billion at September 30, 2023 and December 31, 2022.
(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 $273.7 billion and $167.8 billion, and a fair value of $211.5 billion and $129.0 billion at September 30, 2023, and an amortized cost of $290.5 billion and $176.7 billion, and a fair value of $239.6 billion and $144.6 billion at December 31, 2022.
Gross Realized Gains (Losses) on Sales of Available For Sale Debt
The gross realized gains and losses on sales of AFS debt securities for the three and nine months ended September 30, 2023 and 2022 are presented in the table below.
Gains and Losses on Sales of AFS Debt Securities
Three Months Ended September 30Nine Months Ended September 30
(Dollars in millions)2023202220232022
Gross gains$— $540 $104 $1,243 
Gross losses— (526)(508)(1,206)
Net gains (losses) on sales of AFS debt securities$— $14 $(404)$37 
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities$— $4 $(101)$9 
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 September 30, 2023 and December 31, 2022.
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)September 30, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:   
Agency$469 $(17)$20,002 $(1,914)$20,471 $(1,931)
Agency-collateralized mortgage obligations2 — 1,696 (266)1,698 (266)
Commercial1,527 (34)4,467 (548)5,994 (582)
Non-agency residential— — 376 (68)376 (68)
Total mortgage-backed securities1,998 (51)26,541 (2,796)28,539 (2,847)
U.S. Treasury and government agencies151 (5)66,979 (1,193)67,130 (1,198)
Non-U.S. securities8,388 (24)1,878 (23)10,266 (47)
Other taxable securities1,883 (13)1,244 (80)3,127 (93)
Tax-exempt securities1,738 (43)2,712 (329)4,450 (372)
Total AFS debt securities in a continuous
   unrealized loss position		$14,158 $(136)$99,354 $(4,421)$113,512 $(4,557)
December 31, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency$18,759 $(1,118)$4,437 $(649)$23,196 $(1,767)
Agency-collateralized mortgage obligations1,165 (96)1,022 (135)2,187 (231)
Commercial3,273 (150)2,258 (365)5,531 (515)
Non-agency residential264 (65)97 (25)361 (90)
Total mortgage-backed securities23,461 (1,429)7,814 (1,174)31,275 (2,603)
U.S. Treasury and government agencies36,730 (308)118,636 (1,461)155,366 (1,769)
Non-U.S. securities9,399 (34)756 (18)10,155 (52)
Other taxable securities2,036 (16)1,580 (68)3,616 (84)
Tax-exempt securities607 (28)2,849 (251)3,456 (279)
Total AFS debt securities in a continuous
   unrealized loss position		$72,233 $(1,815)$131,635 $(2,972)$203,868 $(4,787)
Expected Maturity Distribution
The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 2023 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgage-backed securities (MBS) or other asset-backed securities (ABS) are passed through to the Corporation.
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities
Due in One
Year or Less		Due after One Year
through Five Years		Due after Five Years
through Ten Years		Due after
Ten Years		Total
(Dollars in millions)Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amount
Yield (1)
Amortized cost of debt securities carried at fair value          
Mortgage-backed securities:          
Agency$— — %$4 3.75 %$31 5.35 %$22,400 3.53 %$22,435 3.53 %
Agency-collateralized mortgage obligations— — — — — — 1,964 2.79 1,964 2.79 
Commercial— — 1,129 3.06 4,619 2.59 1,574 2.45 7,322 2.63 
Non-agency residential— — — — — — 735 10.18 735 10.18 
Total mortgage-backed securities— — 1,133 3.07 4,650 2.61 26,673 3.60 32,456 3.44 
U.S. Treasury and government agencies37,773 5.23 45,637 3.05 22,437 2.33 39 3.89 105,886 3.67 
Non-U.S. securities17,748 2.04 5,850 1.17 3,203 5.40 678 5.26 27,479 2.33 
Other taxable securities409 5.60 2,355 6.08 294 3.00 213 3.60 3,271 5.59 
Tax-exempt securities1,234 4.13 3,801 3.64 1,997 3.85 3,934 4.23 10,966 3.95 
Total amortized cost of debt securities carried at fair value
$57,164 4.22 $58,776 3.02 $32,581 2.77 $31,537 3.71 $180,058 3.48 
Amortized cost of HTM debt securities
Agency mortgage-backed securities$— — %$— — %$12 2.75 %$474,088 2.12 %$474,100 2.12 %
U.S. Treasury and government agencies— — 4,558 1.80 117,075 1.37 — — 121,633 1.39 
Other taxable securities42 5.82 1,262 2.50 272 3.29 6,056 2.49 7,632 2.54 
Total amortized cost of HTM debt securities$42 5.82 $5,820 1.95 $117,359 1.37 $480,144 2.12 $603,365 1.97 
Debt securities carried at fair value          
Mortgage-backed securities:          
Agency$—  $4  $31  $20,469  $20,504  
Agency-collateralized mortgage obligations—  —  —  1,698  1,698  
Commercial1  1,092  4,354  1,305  6,752  
Non-agency residential—  2  —  668  670  
Total mortgage-backed securities1 1,098 4,385 24,140 29,624 
U.S. Treasury and government agencies37,776 44,973 21,910 35 104,694 
Non-U.S. securities17,737  5,834  3,199  678  27,448  
Other taxable securities407  2,330  248  198  3,183  
Tax-exempt securities1,229  3,725  1,942  3,695  10,591  
Total debt securities carried at fair value$57,150  $57,960  $31,684  $28,746  $175,540  
Fair value of HTM debt securities
Agency mortgage-backed securities$— $— $10 $367,200 $367,210 
U.S. Treasury and government agencies— 4,153 94,129 — 98,282 
Other taxable securities42 1,169 210 4,848 6,269 
Total fair value of HTM debt securities$42 $5,322 $94,349 $372,048 $471,761 
(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.