AFS and HTM Debt Securities (Tables)

9 Months Ended

Sep. 30, 2023

AFS And HTM Debt Securities [Abstract]

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).

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.

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.

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.

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.

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.

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.