AFS and HTM Debt Securities (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| AFS And HTM Debt Securities [Abstract] |
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| Available-for-Sale and Held-to-Maturity Debt Securities Outstanding |
Table 3.1 provides the amortized cost, net of the allowance for credit losses (ACL) for debt securities, and fair value by major categories of available-for-sale (AFS) debt securities, which are carried at fair value, and held-to-maturity (HTM) debt securities, which are carried at amortized cost, net of the ACL. The net unrealized gains (losses) for AFS debt securities are reported as a component of accumulated other comprehensive income (AOCI), net of the ACL and applicable income taxes. Information on debt securities held for trading is included in Note 2 (Trading Activities). Outstanding balances exclude accrued interest receivable on AFS and HTM debt securities, which are included in other assets. See Note 7 (Intangible Assets and Other Assets) for additional information on accrued interest receivable. Amounts considered to be uncollectible are reversed through interest income. The interest income reversed in the third quarter and first nine months of both 2023 and 2022 was insignificant. Table 3.1: Available-for-Sale and Held-to-Maturity Debt Securities Outstanding | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | Amortized
cost, net (1) | | Gross
unrealized gains | | Gross
unrealized losses | | Net unrealized gains (losses) | | Fair value | | September 30, 2023 | | | | | | | | | | | Available-for-sale debt securities: | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | 48,499 | | | 1 | | | (2,157) | | | (2,156) | | | 46,343 | | | Non-U.S. government securities | 163 | | | — | | | — | | | — | | | 163 | | | Securities of U.S. states and political subdivisions (2) | 20,975 | | | 4 | | | (1,357) | | | (1,353) | | | 19,622 | | | Federal agency mortgage-backed securities | 62,014 | | | 1 | | | (7,475) | | | (7,474) | | | 54,540 | | | Non-agency mortgage-backed securities (3) | 2,948 | | | — | | | (145) | | | (145) | | | 2,803 | | | Collateralized loan obligations | 1,834 | | | — | | | (13) | | | (13) | | | 1,821 | | | Other debt securities | 1,112 | | | 49 | | | (16) | | | 33 | | | 1,145 | | | Total available-for-sale debt securities, excluding portfolio level basis adjustments | 137,545 | | | 55 | | | (11,163) | | | (11,108) | | | 126,437 | | | Portfolio level basis adjustments (4) | (280) | | | | | | | 280 | | | — | | | Total available-for-sale debt securities | 137,265 | | | 55 | | | (11,163) | | | (10,828) | | | 126,437 | | | Held-to-maturity debt securities: | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | 3,790 | | | — | | | (1,786) | | | (1,786) | | | 2,004 | | | Securities of U.S. states and political subdivisions | 18,862 | | | — | | | (4,716) | | | (4,716) | | | 14,146 | | | Federal agency mortgage-backed securities | 212,805 | | | — | | | (43,331) | | | (43,331) | | | 169,474 | | | Non-agency mortgage-backed securities (3) | 1,284 | | | 7 | | | (164) | | | (157) | | | 1,127 | | | Collateralized loan obligations | 28,747 | | | 36 | | | (198) | | | (162) | | | 28,585 | | | Other debt securities | 1,726 | | | — | | | (135) | | | (135) | | | 1,591 | | | Total held-to-maturity debt securities | 267,214 | | | 43 | | | (50,330) | | | (50,287) | | | 216,927 | | | Total | $ | 404,479 | | | 98 | | | (61,493) | | | (61,115) | | | 343,364 | | | December 31, 2022 | | | | | | | | | | | Available-for-sale debt securities: | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | 47,536 | | | 9 | | | (2,260) | | | (2,251) | | | 45,285 | | | Non-U.S. government securities | 162 | | | — | | | — | | | — | | | 162 | | | Securities of U.S. states and political subdivisions (2) | 10,958 | | | 20 | | | (533) | | | (513) | | | 10,445 | | | Federal agency mortgage-backed securities | 53,302 | | | 2 | | | (5,167) | | | (5,165) | | | 48,137 | | | Non-agency mortgage-backed securities (3) | 3,423 | | | 1 | | | (140) | | | (139) | | | 3,284 | | | Collateralized loan obligations | 4,071 | | | — | | | (90) | | | (90) | | | 3,981 | | | Other debt securities | 2,273 | | | 75 | | | (48) | | | 27 | | | 2,300 | | | Total available-for-sale debt securities | 121,725 | | | 107 | | | (8,238) | | | (8,131) | | | 113,594 | | | Held-to-maturity debt securities: | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | 16,202 | | | — | | | (1,917) | | | (1,917) | | | 14,285 | | | Securities of U.S. states and political subdivisions | 30,985 | | | 8 | | | (4,385) | | | (4,377) | | | 26,608 | | | Federal agency mortgage-backed securities | 216,966 | | | 30 | | | (34,252) | | | (34,222) | | | 182,744 | | | Non-agency mortgage-backed securities (3) | 1,253 | | | — | | | (147) | | | (147) | | | 1,106 | | | Collateralized loan obligations | 29,926 | | | 1 | | | (727) | | | (726) | | | 29,200 | | | Other debt securities | 1,727 | | | — | | | (149) | | | (149) | | | 1,578 | | | Total held-to-maturity debt securities | 297,059 | | | 39 | | | (41,577) | | | (41,538) | | | 255,521 | | | Total | $ | 418,784 | | | 146 | | | (49,815) | | | (49,669) | | | 369,115 | |
(1)Represents amortized cost of the securities, net of the ACL of $0 and $6 million related to AFS debt securities at September 30, 2023, and December 31, 2022, respectively, and $87 million and $85 million related to HTM debt securities at September 30, 2023, and December 31, 2022, respectively. (2)Includes investments in tax-exempt preferred debt securities issued by investment funds or trusts that predominantly invest in tax-exempt municipal securities. The amortized cost, net of the ACL, and fair value of these types of securities, was $5.5 billion at September 30, 2023, and $5.1 billion at December 31, 2022. (3)Predominantly consists of commercial mortgage-backed securities at both September 30, 2023, and December 31, 2022. (4)Represents fair value hedge basis adjustments related to active portfolio layer method hedges of AFS debt securities, which are not allocated to individual securities in the portfolio. For additional information, see Note 11 (Derivatives).
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| Held-to-Maturity Debt Securities Purchases and Transfers |
Table 3.2 details the breakout of purchases of and transfers to HTM debt securities by major category of security. The table excludes the transfer of HTM debt securities with a fair value of $23.2 billion to AFS debt securities in first quarter 2023 in connection with the adoption of ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging – Portfolio Layer Method. For additional information, see Note 1 (Summary of Significant Accounting Policies).
Table 3.2: Held-to-Maturity Debt Securities Purchases and Transfers | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Quarter ended September 30, | | Nine months ended September 30, | | | | | | (in millions) | 2023 | | 2022 | | 2023 | | 2022 | | | | | | Purchases of held-to-maturity debt securities (1): | | | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. states and political subdivisions | $ | — | | | — | | | $ | — | | | 843 | | | | | | | Federal agency mortgage-backed securities | — | | | — | | | 4,225 | | | 2,051 | | | | | | | Non-agency mortgage-backed securities | 39 | | | 39 | | | 87 | | | 198 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total purchases of held-to-maturity debt securities | 39 | | | 39 | | | 4,312 | | | 3,092 | | | | | | | Transfers from available-for-sale debt securities to held-to-maturity debt securities (2): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Federal agency mortgage-backed securities | — | | | 5,550 | | | 3,687 | | | 48,591 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total transfers from available-for-sale debt securities to held-to-maturity debt securities | $ | — | | | 5,550 | | | $ | 3,687 | | | 48,591 | | | | | |
(1)Inclusive of securities purchased but not yet settled and noncash purchases from securitization of loans held for sale (LHFS). (2)Represents fair value as of the date of the transfers. Debt securities transferred from available-for-sale to held-to-maturity had pre-tax unrealized losses recorded in AOCI of $0 and $320 million in the third quarter and first nine months of 2023, respectively, and $456 million and $4.3 billion in the third quarter and first nine months of 2022, respectively, at the time of the transfers.
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| Income Statement Impacts for Available-for-Sale and Held-to-Maturity Debt Securities |
Table 3.3 shows the composition of interest income, provision for credit losses, and gross realized gains and losses from sales and impairment write-downs included in earnings related to AFS and HTM debt securities (pre-tax). Table 3.3: Income Statement Impacts for Available-for-Sale and Held-to-Maturity Debt Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | Quarter ended September 30, | | Nine months ended September 30, | | | | (in millions) | 2023 | | 2022 | | 2023 | | 2022 | | | | Interest income (1): | | | | | | | | | | Available-for-sale | $ | 1,332 | | | 777 | | | $ | 3,918 | | | 2,162 | | | | Held-to-maturity | 1,790 | | | 1,640 | | | 5,333 | | | 4,423 | | | | | Total interest income | 3,122 | | | 2,417 | | | 9,251 | | | 6,585 | | | | | Provision for credit losses: | | | | | | | | | | Available-for-sale | 8 | | | (2) | | | (31) | | | 2 | | | | Held-to-maturity | 11 | | | 13 | | | 2 | | | (1) | | | | | Total provision for credit losses | 19 | | | 11 | | | (29) | | | 1 | | | | | Realized gains and losses (2): | | | | | | | | | | | Gross realized gains | 28 | | | 27 | | | 34 | | | 276 | | | | | Gross realized losses | (22) | | | (21) | | | (24) | | | (125) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gains | $ | 6 | | | 6 | | | $ | 10 | | | 151 | | | |
(1)Excludes interest income from trading debt securities, which is disclosed in Note 2 (Trading Activities). (2)Realized gains and losses relate to AFS debt securities. There were no realized gains or losses from HTM debt securities in all periods presented.
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| Investment Grade Debt Securities |
Table 3.4 shows the percentage of fair value of AFS debt securities and amortized cost of HTM debt securities determined to be rated investment grade, inclusive of securities rated based on internal credit grades. Table 3.4: Investment Grade Debt Securities | | | | | | | | | | | | | | | | | | | Available-for-Sale | | Held-to-Maturity | | ($ in millions) | Fair value | % investment grade | | Amortized cost | % investment grade | | September 30, 2023 | | | | | | | Total portfolio (1) | $ | 126,437 | | 99 | % | | $ | 267,301 | | 99 | % | | Breakdown by category: | | | | | | | Securities of U.S. Treasury and federal agencies (2) | $ | 100,883 | | 100 | % | | $ | 216,594 | | 100 | % | | Securities of U.S. states and political subdivisions | 19,622 | | 99 | | | 18,873 | | 100 | | | Collateralized loan obligations (3) | 1,821 | | 100 | | | 28,781 | | 100 | | | All other debt securities (4) | 4,111 | | 95 | | | 3,053 | | 62 | | | December 31, 2022 | | | | | | | Total portfolio (1) | $ | 113,594 | | 99 | % | | $ | 297,144 | | 99 | % | | Breakdown by category: | | | | | | | Securities of U.S. Treasury and federal agencies (2) | $ | 93,422 | | 100 | % | | $ | 233,169 | | 100 | % | | Securities of U.S. states and political subdivisions | 10,445 | | 99 | | | 31,000 | | 100 | | | Collateralized loan obligations (3) | 3,981 | | 100 | | | 29,972 | | 100 | | | All other debt securities (4) | 5,746 | | 89 | | | 3,003 | | 63 | |
(1)99% were rated AA- and above at both September 30, 2023, and December 31, 2022. (2)Includes federal agency mortgage-backed securities. (3)100% were rated AA- and above at both September 30, 2023, and December 31, 2022. (4)Includes non-U.S. government, non-agency mortgage-backed, and all other debt securities.
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| Gross Unrealized Losses and Fair Value - Available-for-Sale Debt Securities |
Table 3.5 shows the gross unrealized losses and fair value of AFS debt securities by length of time those individual securities in each category have been in a continuous loss position. Debt securities on which we have recorded credit impairment are categorized as being “less than 12 months” or “12 months or more” in a continuous loss position based on the point in time that the fair value declined to below the amortized cost basis, net of allowance for credit losses. Table 3.5: Gross Unrealized Losses and Fair Value – Available-for-Sale Debt Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 months | | 12 months or more | | Total | | (in millions) | Gross unrealized losses (1) | | Fair value | | Gross unrealized losses (1) | | Fair value | | Gross unrealized losses (1) | | Fair value | | September 30, 2023 | | | | | | | | | | | | | Available-for-sale debt securities: | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | (365) | | | 13,072 | | | (1,792) | | | 32,149 | | | (2,157) | | | 45,221 | | | | | | | | | | | | | | Securities of U.S. states and political subdivisions | (827) | | | 10,208 | | | (530) | | | 3,381 | | | (1,357) | | | 13,589 | | | Federal agency mortgage-backed securities | (723) | | | 14,256 | | | (6,752) | | | 40,241 | | | (7,475) | | | 54,497 | | | Non-agency mortgage-backed securities | (2) | | | 40 | | | (143) | | | 2,748 | | | (145) | | | 2,788 | | Collateralized loan obligations | — | | | — | | | (13) | | | 1,799 | | | (13) | | | 1,799 | | | Other debt securities | (2) | | | 135 | | | (14) | | | 447 | | | (16) | | | 582 | | | Total available-for-sale debt securities | $ | (1,919) | | | 37,711 | | | (9,244) | | | 80,765 | | | (11,163) | | | 118,476 | | | December 31, 2022 | | | | | | | | | | | | | Available-for-sale debt securities: | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | (291) | | | 9,870 | | | (1,969) | | | 27,899 | | | (2,260) | | | 37,769 | | | | | | | | | | | | | | Securities of U.S. states and political subdivisions | (72) | | | 2,154 | | | (461) | | | 2,382 | | | (533) | | | 4,536 | | | Federal agency mortgage-backed securities | (3,580) | | | 39,563 | | | (1,587) | | | 8,481 | | | (5,167) | | | 48,044 | | | Non-agency mortgage-backed securities | (43) | | | 1,194 | | | (97) | | | 2,068 | | | (140) | | | 3,262 | | Collateralized loan obligations | (65) | | | 3,195 | | | (25) | | | 786 | | | (90) | | | 3,981 | | | Other debt securities | (31) | | | 1,591 | | | (17) | | | 471 | | | (48) | | | 2,062 | | | Total available-for-sale debt securities | $ | (4,082) | | | 57,567 | | | (4,156) | | | 42,087 | | | (8,238) | | | 99,654 | |
(1)Excludes portfolio level basis adjustments.
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| Contractual Maturities - Available-for-Sale Debt Securities |
Table 3.6 and Table 3.7 show the remaining contractual maturities, amortized cost, net of the ACL, fair value and weighted average effective yields of AFS and HTM debt securities, respectively. The remaining contractual principal maturities for mortgage-backed securities (MBS) do not consider prepayments. Remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature. Table 3.6: Contractual Maturities – Available-for-Sale Debt Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | By remaining contractual maturity ($ in millions) | Total | | Within
one year | | After
one year
through
five years | | After
five years
through
ten years | | After
ten years | | September 30, 2023 | | | | | | | | | | | Available-for-sale debt securities (1)(2): | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | | | | | | | | | | | Amortized cost, net | $ | 48,499 | | | 14,934 | | | 28,319 | | | 3,901 | | | 1,345 | | | Fair value | 46,343 | | | 14,603 | | | 26,888 | | | 3,590 | | | 1,262 | | | Weighted average yield | 1.60 | % | | 1.70 | | | 1.58 | | | 1.47 | | | 1.44 | | | Non-U.S. government securities | | | | | | | | | | | Amortized cost, net | $ | 163 | | | 2 | | | 137 | | | 24 | | | — | | | Fair value | 163 | | | 2 | | | 137 | | | 24 | | | — | | | Weighted average yield | 4.73 | % | | 5.80 | | | 4.61 | | | 5.34 | | | — | | | Securities of U.S. states and political subdivisions | | | | | | | | | | | Amortized cost, net | $ | 20,975 | | | 1,581 | | | 4,741 | | | 4,922 | | | 9,731 | | | Fair value | 19,622 | | | 1,573 | | | 4,667 | | | 4,460 | | | 8,922 | | | Weighted average yield | 3.05 | % | | 3.60 | | | 3.54 | | | 3.04 | | | 2.72 | | | Federal agency mortgage-backed securities | | | | | | | | | | | Amortized cost, net | $ | 62,014 | | | 4 | | | 183 | | | 764 | | | 61,063 | | | Fair value | 54,540 | | | 3 | | | 175 | | | 692 | | | 53,670 | | | Weighted average yield | 3.66 | % | | 3.05 | | | 1.99 | | | 2.55 | | | 3.68 | | | Non-agency mortgage-backed securities | | | | | | | | | | | Amortized cost, net | $ | 2,948 | | | — | | | — | | | 59 | | | 2,889 | | | Fair value | 2,803 | | | — | | | — | | | 28 | | | 2,775 | | | Weighted average yield | 5.32 | % | | — | | | — | | | 3.38 | | | 5.36 | | | Collateralized loan obligations | | | | | | | | | | | Amortized cost, net | $ | 1,834 | | | — | | | — | | | 1,409 | | | 425 | | | Fair value | 1,821 | | | — | | | — | | | 1,401 | | | 420 | | | Weighted average yield | 6.96 | % | | — | | | — | | | 6.97 | | | 6.94 | | | Other debt securities | | | | | | | | | | | Amortized cost, net | $ | 1,112 | | | 5 | | | 52 | | | 704 | | | 351 | | | Fair value | 1,145 | | | 5 | | | 52 | | | 704 | | | 384 | | | Weighted average yield | 6.81 | % | | 7.33 | | | 5.75 | | | 6.47 | | | 7.62 | | | Total available-for-sale debt securities | | | | | | | | | | | Amortized cost, net | $ | 137,545 | | | 16,526 | | | 33,432 | | | 11,783 | | | 75,804 | | | Fair value | 126,437 | | | 16,186 | | | 31,919 | | | 10,899 | | | 67,433 | | | Weighted average yield | 2.94 | % | | 1.88 | | | 1.86 | | | 3.16 | | | 3.62 | |
(1)Weighted average yields displayed by maturity bucket are weighted based on amortized cost without effect for any related hedging derivatives and are shown pre-tax. (2)Amortized cost, net excludes portfolio level basis adjustments of $(280) million.
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| Contractual Maturities - Held-to-Maturity Debt Securities |
Table 3.7: Contractual Maturities – Held-to-Maturity Debt Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | By remaining contractual maturity ($ in millions) | Total | | Within
one year | | After
one year
through
five years | | After
five years
through
ten years | | After
ten years | | September 30, 2023 | | | | | | | | | | | Held-to-maturity debt securities (1): | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | | | | | | | | | | | Amortized cost, net | $ | 3,790 | | | — | | | — | | | — | | | 3,790 | | | Fair value | 2,004 | | | — | | | — | | | — | | | 2,004 | | Weighted average yield | 1.58 | % | | — | | | — | | | — | | | 1.58 | | | Securities of U.S. states and political subdivisions | | | | | | | | | | | Amortized cost, net | $ | 18,862 | | | 276 | | | 485 | | | 716 | | | 17,385 | | | Fair value | 14,146 | | | 274 | | | 458 | | | 656 | | | 12,758 | | Weighted average yield | 2.37 | % | | 2.67 | | | 1.65 | | | 2.79 | | | 2.37 | | | Federal agency mortgage-backed securities | | | | | | | | | | | Amortized cost, net | $ | 212,805 | | | — | | | — | | | — | | | 212,805 | | | Fair value | 169,474 | | | — | | | — | | | — | | | 169,474 | | Weighted average yield | 2.36 | % | | — | | | — | | | — | | | 2.36 | | | Non-agency mortgage-backed securities | | | | | | | | | | | Amortized cost, net | $ | 1,284 | | | — | | | 40 | | | 36 | | | 1,208 | | | Fair value | 1,127 | | | — | | | 42 | | | 34 | | | 1,051 | | Weighted average yield | 3.25 | % | | — | | | 4.17 | | | 4.34 | | | 3.18 | | | Collateralized loan obligations | | | | | | | | | | | Amortized cost, net | $ | 28,747 | | | — | | | 30 | | | 15,092 | | | 13,625 | | | Fair value | 28,585 | | | — | | | 31 | | | 15,051 | | | 13,503 | | Weighted average yield | 6.99 | % | | — | | | 7.28 | | | 7.09 | | | 6.88 | | | Other debt securities | | | | | | | | | | | Amortized cost, net | $ | 1,726 | | | — | | | 1,726 | | | — | | | — | | | Fair value | 1,591 | | | — | | | 1,591 | | | — | | | — | | | Weighted average yield | 4.47 | % | | — | | | 4.47 | | | — | | | — | | | Total held-to-maturity debt securities | | | | | | | | | | | Amortized cost, net | $ | 267,214 | | | 276 | | | 2,281 | | | 15,844 | | | 248,813 | | | Fair value | 216,927 | | | 274 | | | 2,122 | | | 15,741 | | | 198,790 | | Weighted average yield | 2.87 | % | | 2.67 | | | 3.91 | | | 6.89 | | | 2.60 | |
(1)Weighted average yields displayed by maturity bucket are weighted based on amortized cost, excluding unamortized basis adjustments related to the transfer of certain debt securities from AFS to HTM, and are shown pre-tax.
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