AFS and HTM Debt Securities (Tables)

9 Months Ended

Sep. 30, 2024

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 2024 and 2023 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, 2024
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	29,873	9	(926)	(917)	28,956
Securities of U.S. states and political subdivisions (2)	13,007		44	(399)	(355)	12,652
Federal agency mortgage-backed securities	122,203		1,360	(3,471)	(2,111)	120,092
Non-agency mortgage-backed securities (3)	2,021		1	(70)	(69)	1,952
Collateralized loan obligations	1,722		3	—	3	1,725
Other debt securities	591		39	(3)	36	627
Total available-for-sale debt securities, excluding portfolio level basis adjustments	169,417		1,456	(4,869)	(3,413)	166,004
Portfolio level basis adjustments (4)	58				(58)	—
Total available-for-sale debt securities	169,475		1,456	(4,869)	(3,471)	166,004
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies	3,793		—	(1,532)	(1,532)	2,261
Securities of U.S. states and political subdivisions	18,320		2	(2,813)	(2,811)	15,509
Federal agency mortgage-backed securities	197,723		194	(27,305)	(27,111)	170,612
Non-agency mortgage-backed securities (3)	1,285		39	(67)	(28)	1,257
Collateralized loan obligations	20,303		73	(1)	72	20,375
Other debt securities	1,727		—	(25)	(25)	1,702
Total held-to-maturity debt securities	243,151		308	(31,743)	(31,435)	211,716
Total	$	412,626	1,764	(36,612)	(34,906)	377,720
December 31, 2023
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	47,351	2	(1,886)	(1,884)	45,467
Securities of U.S. states and political subdivisions (2)	20,654		36	(624)	(588)	20,066
Federal agency mortgage-backed securities	63,741		111	(4,274)	(4,163)	59,578
Non-agency mortgage-backed securities (3)	2,892		1	(144)	(143)	2,749
Collateralized loan obligations	1,538		—	(5)	(5)	1,533
Other debt securities	1,025		46	(16)	30	1,055
Total available-for-sale debt securities, excluding portfolio level basis adjustments	137,201		196	(6,949)	(6,753)	130,448
Portfolio level basis adjustments (4)	(46)				46	—
Total available-for-sale debt securities	137,155		196	(6,949)	(6,707)	130,448
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies	3,790		—	(1,503)	(1,503)	2,287
Securities of U.S. states and political subdivisions	18,624		3	(2,939)	(2,936)	15,688
Federal agency mortgage-backed securities	209,170		136	(30,918)	(30,782)	178,388
Non-agency mortgage-backed securities (3)	1,276		18	(120)	(102)	1,174
Collateralized loan obligations	28,122		75	(63)	12	28,134
Other debt securities	1,726		—	(81)	(81)	1,645
Total held-to-maturity debt securities	262,708		232	(35,624)	(35,392)	227,316
Total	$	399,863	428	(42,573)	(42,099)	357,764

(1)Represents amortized cost of the securities, net of the ACL of $20 million and $1 million related to AFS debt securities at September 30, 2024, and December 31, 2023, respectively, and $89 million and $93 million related to HTM debt securities at September 30, 2024, and December 31, 2023, 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 $3.0 billion at September 30, 2024, and $5.5 billion at December 31, 2023.

(3)Predominantly consists of commercial mortgage-backed securities at both September 30, 2024, and December 31, 2023.

(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. For additional information, see Note 1 (Summary of Significant Accounting Policies) in our 2023 Form 10-K.

Table 3.2: Held-to-Maturity Debt Securities Purchases and Transfers

	Quarter ended September 30,			Nine months ended September 30,
(in millions)	2024		2023	2024		2023
Purchases of held-to-maturity debt securities (1):
Federal agency mortgage-backed securities	—		—	$	—	4,225
Non-agency mortgage-backed securities	21		39	69		87
Total purchases of held-to-maturity debt securities	21		39	69		4,312
Transfers from available-for-sale debt securities to held-to-maturity debt securities (2):
Federal agency mortgage-backed securities	—		—	—		3,687
Total transfers from available-for-sale debt securities to held-to-maturity debt securities	$	—	—	$	—	3,687

(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 $320 million in the first nine months of 2023, 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)	2024		2023	2024		2023
Interest income (1):
Available-for-sale	$	1,718	1,332	$	4,633	3,918
Held-to-maturity	1,583		1,790	5,016		5,333
Total interest income	3,301		3,122	9,649		9,251
Provision for credit losses:
Available-for-sale	13		8	29		(31)
Held-to-maturity	(7)		11	(4)		2
Total provision for credit losses	6		19	25		(29)
Realized gains and losses (2):
Gross realized gains	8		28	31		34
Gross realized losses	(206)		(22)	(254)		(24)
Impairment write-downs	(249)		—	(249)		—
Net realized gains (losses)	$	(447)	6	$	(472)	10

(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, 2024
Total portfolio (1)	$	166,004	99	%	$	243,240	99	%
Breakdown by category:
Securities of U.S. Treasury and federal agencies (2)	$	149,048	100	%	$	201,516	100	%
Securities of U.S. states and political subdivisions	12,652		99		18,331		100
Collateralized loan obligations (3)	1,725		100		20,326		100
All other debt securities (4)	2,579		92		3,067		64
December 31, 2023
Total portfolio (1)	$	130,448	99	%	$	262,801	99	%
Breakdown by category:
Securities of U.S. Treasury and federal agencies (2)	$	105,045	100	%	$	212,960	100	%
Securities of U.S. states and political subdivisions	20,066		99		18,635		100
Collateralized loan obligations (3)	1,533		100		28,154		100
All other debt securities (4)	3,804		95		3,052		64

(1)99% were rated AA- and above at both September 30, 2024, and December 31, 2023.

(2)Includes federal agency mortgage-backed securities.

(3)100% were rated AA- and above at both September 30, 2024, and December 31, 2023.

(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 the 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, 2024
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	(5)	1,788	(921)	19,746	(926)	21,534
Securities of U.S. states and political subdivisions	(4)		348	(395)	7,526	(399)	7,874
Federal agency mortgage-backed securities	(36)		7,592	(3,435)	43,826	(3,471)	51,418
Non-agency mortgage-backed securities	—		—	(70)	1,881	(70)	1,881
Other debt securities	—		—	(3)	109	(3)	109
Total available-for-sale debt securities	$	(45)	9,728	(4,824)	73,088	(4,869)	82,816
December 31, 2023
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	(5)	942	(1,881)	43,722	(1,886)	44,664
Securities of U.S. states and political subdivisions	(12)		1,405	(612)	11,247	(624)	12,652
Federal agency mortgage-backed securities	(76)		7,149	(4,198)	41,986	(4,274)	49,135
Non-agency mortgage-backed securities	(1)		42	(143)	2,697	(144)	2,739
Collateralized loan obligations	—		—	(5)	979	(5)	979
Other debt securities	—		—	(16)	420	(16)	420
Total available-for-sale debt securities	$	(94)	9,538	(6,855)	101,051	(6,949)	110,589

(1)Gross unrealized losses exclude portfolio level basis adjustments.

Contractual Maturities – Available-for-Sale Debt Securities

Table 3.6 and Table 3.7 show the remaining contractual maturities of AFS and HTM debt securities, respectively.

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, 2024
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies
Amortized cost, net	$	29,873		5,627	22,535	234	1,477
Fair value	28,956			5,604	21,737	214	1,401
Weighted average yield	1.90		%	2.38	1.81	1.81	1.44
Securities of U.S. states and political subdivisions
Amortized cost, net	$	13,007		324	3,624	3,202	5,857
Fair value	12,652			323	3,596	2,988	5,745
Weighted average yield	3.22		%	3.45	3.51	2.85	3.23
Federal agency mortgage-backed securities
Amortized cost, net	$	122,203		20	35	662	121,486
Fair value	120,092			20	35	640	119,397
Weighted average yield	4.40		%	2.79	3.80	2.92	4.41
Non-agency mortgage-backed securities
Amortized cost, net	$	2,021		—	—	124	1,897
Fair value	1,952			—	—	107	1,845
Weighted average yield	4.83		%	—	—	5.48	4.78
Collateralized loan obligations
Amortized cost, net	$	1,722		—	—	894	828
Fair value	1,725			—	—	894	831
Weighted average yield	6.85		%	—	—	6.96	6.73
Other debt securities
Amortized cost, net	$	591		58	166	351	16
Fair value	627			58	173	373	23
Weighted average yield	5.40		%	3.15	6.68	5.34	1.62
Total available-for-sale debt securities
Amortized cost, net (1)	$	169,417		6,029	26,360	5,467	131,561
Fair value	166,004			6,005	25,541	5,216	129,242
Weighted average yield (2)	3.90		%	2.42	2.06	3.71	4.35

(1)Amortized cost, net excludes portfolio level basis adjustments of $58 million.

(2)Weighted average yields are calculated using the effective yield method and are weighted based on amortized cost, net of ACL. The effective yield method is calculated using the contractual coupon and the impact of any premiums and discounts and is shown pre-tax. We have not included the effect of any related hedging derivatives. The effective yield for mortgage-backed securities excludes unscheduled principal payments, and remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature.

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, 2024
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies
Amortized cost, net	$	3,793		—	—	—	3,793
Fair value	2,261			—	—	—	2,261
Weighted average yield	1.59		%	—	—	—	1.59
Securities of U.S. states and political subdivisions
Amortized cost, net	$	18,320		189	459	556	17,116
Fair value	15,509			187	448	544	14,330
Weighted average yield	2.37		%	1.18	2.19	2.85	2.38
Federal agency mortgage-backed securities
Amortized cost, net	$	197,723		—	—	—	197,723
Fair value	170,612			—	—	—	170,612
Weighted average yield	2.35		%	—	—	—	2.35
Non-agency mortgage-backed securities
Amortized cost, net	$	1,285		—	41	32	1,212
Fair value	1,257			—	47	33	1,177
Weighted average yield	3.38		%	—	5.57	4.37	3.27
Collateralized loan obligations
Amortized cost, net	$	20,303		—	102	15,824	4,377
Fair value	20,375			—	102	15,884	4,389
Weighted average yield	6.95		%	—	7.13	7.00	6.76
Other debt securities
Amortized cost, net	$	1,727		—	976	751	—
Fair value	1,702			—	953	749	—
Weighted average yield	4.70		%	—	4.75	4.63	—
Total held-to-maturity debt securities
Amortized cost, net	$	243,151		189	1,578	17,163	224,221
Fair value	211,716			187	1,550	17,210	192,769
Weighted average yield (1)	2.75		%	1.18	4.19	6.76	2.43

(1)Weighted average yields are calculated using the effective yield method and are weighted based on amortized cost, net of ACL. The effective yield method is calculated using the contractual coupon and the impact of any premiums and discounts and is shown pre-tax. We have not included the effect of any related hedging derivatives. The effective yield for mortgage-backed securities excludes unscheduled principal payments, and remaining expected maturities will differ from contractual maturities because borrowers may have the right to prepay obligations before the underlying mortgages mature.