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Investment Securities
 12 Months Ended
Dec. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment Securities
Investment securities held by us are classified as either trading account assets, AFS, HTM or equity securities held at fair value at the time of purchase and reassessed periodically, based on management’s intent.
Generally, trading assets are debt and equity securities purchased in connection with our trading activities and, as such, are expected to be sold in the near term. Our trading activities typically involve active and frequent buying and selling with the objective of generating profits on short-term movements. AFS investment securities are those securities that we intend to hold for an indefinite period of time. AFS investment securities include securities utilized as part of our asset and liability management activities that may be sold in response to changes in interest rates, prepayment risk, liquidity needs or other factors. HTM securities are debt securities that management has the intent and the ability to hold to maturity.
Trading assets are carried at fair value. Both realized and unrealized gains and losses on trading assets are recorded in other fee revenue in our consolidated statement of income. AFS securities are carried at fair value, with any allowance for credit losses recorded through the consolidated statement of income and after-tax net unrealized gains and losses are recorded in AOCI. Gains or losses realized on sales of AFS investment securities are computed using the specific identification method and are recorded in gains (losses) related to investment securities, net, in our consolidated statement of income. HTM investment securities are carried at cost, adjusted for amortization of premiums and accretion of discounts, with any allowance for credit losses recorded through the consolidated statement of income.
The following table presents the amortized cost, fair value and associated unrealized gains and losses of AFS and HTM investment securities as of the dates indicated:
 December 31, 2023December 31, 2022
 Amortized
Cost		Gross
Unrealized		Fair
Value		Amortized
Cost		Gross
Unrealized		Fair
Value
(In millions)GainsLossesGainsLosses
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations$8,427 $39 $165 $8,301 $8,232 $10 $261 $7,981 
Mortgage-backed securities(1)
10,870 49 164 10,755 8,767 2 260 8,509 
Total U.S. Treasury and federal agencies19,297 88 329 19,056 16,999 12 521 16,490 
Non-U.S. debt securities:
Mortgage-backed securities1,861 3 7 1,857 1,642 — 19 1,623 
Asset-backed securities(2)
2,148 2 13 2,137 1,696 — 27 1,669 
Non-U.S. sovereign, supranational and non-U.S. agency15,159 73 132 15,100 14,512 1 424 14,089 
Other(3)
2,733 39 37 2,735 2,255 — 164 2,091 
Total non-U.S. debt securities21,901 117 189 21,829 20,105 1 634 19,472 
Asset-backed securities:
Student loans(4)
113 1 — 114 116 — 1 115 
Collateralized loan obligations(5)
2,530 3 6 2,527 2,394 — 39 2,355 
Non-agency CMBS and RMBS(6)
252 — 3 249 237 — 6 231 
Other90 — — 90 90 — 2 88 
Total asset-backed securities2,985 4 9 2,980 2,837 — 48 2,789 
State and political subdivisions356 — 1 355 839 1 17 823 
Other U.S. debt securities(7)
314 — 8 306 1,078 — 73 1,005 
Total available-for-sale securities(8)(9)
$44,853 $209 $536 $44,526 $41,858 $14 $1,293 $40,579 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$8,584 $— $163 $8,421 $11,693 $— $341 $11,352 
Mortgage-backed securities(10)
39,472 7 5,271 34,208 42,307 3 6,030 36,280 
Total U.S. Treasury and federal agencies48,056 7 5,434 42,629 54,000 3 6,371 47,632 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and non-U.S. agency5,757 8 153 5,612 6,603 — 304 6,299 
Total non-U.S. debt securities5,757 8 153 5,612 6,603 — 304 6,299 
Asset-backed securities:
Student loans(4)
3,298 2 62 3,238 3,955 1 134 3,822 
Non-agency CMBS and RMBS(11)
6 18 — 24 142 18 — 160 
Total asset-backed securities3,304 20 62 3,262 4,097 19 134 3,982 
Total held-to-maturity securities(8)(12)
$57,117 $35 $5,649 $51,503 $64,700 $22 $6,809 $57,913 
(1) As of December 31, 2023 and 2022, the total fair value included $5.54 billion and $6.78 billion, respectively, of agency CMBS and $5.21 billion and $1.73 billion, respectively, of agency MBS.
(2) As of December 31, 2023 and 2022, the fair value includes non-U.S. collateralized loan obligations of $1.02 billion and $0.86 billion, respectively.
(3) As of December 31, 2023 and 2022, the fair value includes non-U.S. corporate bonds of $2.36 billion and $1.14 billion, respectively.
(4) Primarily comprised of securities guaranteed by the federal government with respect to at least 97% of defaulted principal and accrued interest on the underlying loans.
(5) Excludes collateralized loan obligations in loan form. Refer to Note 4 for additional information.
(6) Consists entirely of non-agency CMBS as of both December 31, 2023 and 2022.
(7) As of December 31, 2023 and 2022, the fair value of U.S. corporate bonds was $0.31 billion and $1.01 billion, respectively.
(8) An immaterial amount of accrued interest related to HTM and AFS investment securities was excluded from the amortized cost basis for the period ended December 31, 2023.
(9) As of December 31, 2023, we had no allowance for credit losses on AFS investment securities. As of December 31, 2022, we had an allowance for credit losses on AFS investment securities of $2 million.
(10) As of December 31, 2023 and 2022, the total amortized cost included $5.23 billion and $4.99 billion of agency CMBS, respectively.
(11) Consists entirely of non-agency RMBS as of December 31, 2023. As of December 31, 2022, the total amortized cost included $133 million of non-agency CMBS and $9 million of non-agency RMBS.
(12) As of December 31, 2023, we had an allowance for credit losses on HTM investment securities of $1 million. As of December 31, 2022, we had no allowance for credit losses on HTM investment securities.
Aggregate investment securities with carrying values of approximately $71.30 billion and $70.52 billion as of December 31, 2023 and 2022, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.
In 2022 and 2021, $23.56 billion and $1.25 billion, respectively, of investment securities previously classified as AFS were transferred to HTM. These transfers reflect our intent to hold these securities until their maturity. These securities were transferred at fair value, which included a net unrealized loss of $1.26 billion and net unrealized gain $12 million as of December 31, 2022 and 2021, respectively, which will remain in AOCI and be amortized into net interest income over the remaining life of the security (ranging from approximately 1 to 37 years). The amortization of amounts retained in AOCI will offset the effect on net interest income of the amortization of the premium or discount resulting from transferring securities at fair value.
In 2023, 2022 and 2021, proceeds from sales of AFS securities was approximately $4.92 billion, $4.59 billion and $12.82 billion, respectively, resulting in a pre-tax loss of approximately $294 million and $2 million in 2023 and 2022, respectively, and a pre-tax gain of approximately $57 million in 2021. The pre-tax loss in 2023 was primarily driven by sales of non-U.S. sovereign and agency, corporate and municipal bonds as part of an investment portfolio repositioning in the third quarter of 2023.
The following tables present the aggregate fair values of AFS investment securities that have been in a continuous unrealized loss position for less than 12 months, and those that have been in a continuous unrealized loss position for 12 months or longer, as of the dates indicated:
As of December 31, 2023
Less than 12 months12 months or longerTotal
(In millions)Fair
Value		Gross
Unrealized
Losses		Fair
Value		Gross
Unrealized
Losses		Fair
Value		Gross
Unrealized
Losses
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations$333 $2 $5,416 $163 $5,749 $165 
Mortgage-backed securities961 6 6,512 158 7,473 164 
Total U.S. Treasury and federal agencies1,294 8 11,928 321 13,222 329 
Non-U.S. debt securities:
Mortgage-backed securities424 1 719 6 1,143 7 
Asset-backed securities358 — 1,052 13 1,410 13 
Non-U.S. sovereign, supranational and non-U.S. agency3,972 7 5,788 125 9,760 132 
Other50 — 893 37 943 37 
Total non-U.S. debt securities4,804 8 8,452 181 13,256 189 
Asset-backed securities:
Collateralized loan obligations183 — 1,605 6 1,788 6 
Non-agency CMBS and RMBS35 — 180 3 215 3 
Total asset-backed securities218 — 1,785 9 2,003 9 
State and political subdivisions64 — 104 1 168 1 
Other U.S. debt securities3 — 303 8 306 8 
Total$6,383 $16 $22,572 $520 $28,955 $536 
As of December 31, 2022
Less than 12 months12 months or longerTotal
(In millions)Fair
Value		Gross
Unrealized
Losses		Fair
Value		Gross
Unrealized
Losses		Fair
Value		Gross
Unrealized
Losses
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations$1,337 $15 $5,745 $246 $7,082 $261 
Mortgage-backed securities5,524 130 2,815 130 8,339 260 
Total U.S. Treasury and federal agencies6,861 145 8,560 376 15,421 521 
Non-U.S. debt securities:
Mortgage-backed securities1,278 15 272 4 1,550 19 
Asset-backed securities859 11 765 16 1,624 27 
Non-U.S. sovereign, supranational and non-U.S. agency6,750 108 5,800 316 12,550 424 
Other771 27 1,233 137 2,004 164 
Total non-U.S. debt securities9,658 161 8,070 473 17,728 634 
Asset-backed securities:
Student loans89 1 — — 89 1 
Collateralized loan obligations1,577 27 710 12 2,287 39 
Non-agency CMBS and RMBS193 6 3 — 196 6 
Other88 2 — — 88 2 
Total asset-backed securities1,947 36 713 12 2,660 48 
State and political subdivisions669 12 42 5 711 17 
Other U.S. debt securities294 15 708 58 1,002 73 
Total$19,429 $368 $18,093 $924 $37,522 $1,293 
The following table presents the amortized cost and the fair value of contractual maturities of debt investment securities as of December 31, 2023. The maturities of certain ABS, MBS and collateralized mortgage obligations are based on expected principal payments. Actual maturities may differ from these expected maturities since certain borrowers have the right to prepay obligations with or without prepayment penalties.
As of December 31, 2023
(In millions)Under 1 Year1 to 5 Years6 to 10 YearsOver 10 YearsTotal
Amortized Cost
Fair Value
Amortized Cost
Fair Value
Amortized Cost
Fair Value
Amortized Cost
Fair Value
Amortized Cost
Fair Value
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations$279 $279 $7,519 $7,385 $629 $637 $— $— $8,427 $8,301 
Mortgage-backed securities40 39 1,732 1,718 3,865 3,797 5,233 5,201 10,870 10,755 
Total U.S. Treasury and federal agencies319 318 9,251 9,103 4,494 4,434 5,233 5,201 19,297 19,056 
Non-U.S. debt securities:
Mortgage-backed securities244 243 262 262 — — 1,355 1,352 1,861 1,857 
Asset-backed securities343 339 561 558 652 649 592 591 2,148 2,137 
Non-U.S. sovereign, supranational and
non-U.S. agency		5,501 5,472 7,311 7,291 2,347 2,337 — — 15,159 15,100 
Other339 335 2,171 2,169 223 231 — — 2,733 2,735 
Total non-U.S. debt securities6,427 6,389 10,305 10,280 3,222 3,217 1,947 1,943 21,901 21,829 
Asset-backed securities:
Student loans31 32 — — 16 16 66 66 113 114 
Collateralized loan obligations80 80 325 323 1,425 1,422 700 702 2,530 2,527 
Non-agency CMBS and RMBS— — 20 20 — — 232 229 252 249 
Other— — 90 90 — — — — 90 90 
Total asset-backed securities111 112 435 433 1,441 1,438 998 997 2,985 2,980 
State and political subdivisions95 93 129 128 132 134 — — 356 355 
Other U.S. debt securities232 228 82 78 — — — — 314 306 
Total$7,184 $7,140 $20,202 $20,022 $9,289 $9,223 $8,178 $8,141 $44,853 $44,526 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$3,277 $3,260 $5,272 $5,127 $24 $23 $11 $11 $8,584 $8,421 
Mortgage-backed securities130 117 727 679 4,359 3,714 34,256 29,698 39,472 34,208 
Total U.S. Treasury and federal agencies3,407 3,377 5,999 5,806 4,383 3,737 34,267 29,709 48,056 42,629 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and
non-U.S. agency		1,971 1,941 3,262 3,167 524 504 — — 5,757 5,612 
Total non-U.S. debt securities1,971 1,941 3,262 3,167 524 504 — — 5,757 5,612 
Asset-backed securities:
Student loans225 219 317 315 500 493 2,256 2,211 3,298 3,238 
Non-agency CMBS and RMBS1 8 — — — — 5 16 6 24 
Total asset-backed securities226 227 317 315 500 493 2,261 2,227 3,304 3,262 
Total$5,604 $5,545 $9,578 $9,288 $5,407 $4,734 $36,528 $31,936 $57,117 $51,503 
Interest income related to debt securities is recognized in our consolidated statement of income using the effective interest method, or on a basis approximating a level rate of return over the contractual or estimated life of the security. The level rate of return considers any non-refundable fees or costs, as well as purchase premiums or discounts, adjusted as prepayments occur, resulting in amortization or accretion, accordingly.
Allowance for Credit Losses on Debt Securities and Impairment of AFS Securities
An allowance for credit losses is recognized on HTM securities upon acquisition of the security, and on AFS securities when the fair value and expected future cash flows of the investment securities are less than their amortized cost basis. Our assessment of impairment involves an evaluation of economic and security-specific factors. Such factors are based on estimates, derived by management, which contemplate current market conditions and security-specific performance. To the extent that market conditions are worse than management's expectations or due to idiosyncratic bond performance, the credit-related component of impairment, in particular, could increase and would be recorded in the provision for credit losses.
We conduct quarterly reviews of HTM and AFS securities on a collective (pool) basis when similar risk characteristics exist to determine whether an allowance for credit losses should be recognized. HTM securities are evaluated for expected credit loss utilizing a probability of default methodology, or discounted cash flows assessed against the amortized cost of the investment security excluding accrued interest.
We monitor the credit quality of the HTM investment securities using a variety of methods, including both external and internal credit ratings.
With respect to certain classes of debt securities, primarily U.S. Treasuries and agency securities (mainly issued by U.S. Government entities and agencies, as well as Group of Seven sovereigns), we consider the history of credit losses, current conditions and reasonable and supportable forecasts, which may indicate that the expectation that nonpayment of the amortized cost basis is or continues to be zero. Therefore, for those securities, we do not record expected credit losses.
Our allowance for credit losses on HTM investment securities was approximately $1 million as of December 31, 2023. As of December 31, 2022, we had no allowance for credit losses on HTM investment securities.
We have elected to not record an allowance on accrued interest for HTM securities. Accrued interest on these securities is reversed against interest income when payment on a security is delinquent for greater than 90 days from the date of payment.
An AFS security is impaired when the current fair value of an individual security is below its amortized cost basis. An allowance for credit losses on impaired AFS securities is recorded when the present value of expected future cash flows of the investment security is less than its amortized cost basis, limited to the amount by which the security’s
amortized cost basis exceeds the fair value. Investment securities will be written down to fair value through the consolidated statement of income when management intends to sell (or may be required to sell) the securities before they recover in value.
Our review of AFS investment securities for credit impairment generally includes:
•the identification and evaluation of securities that have indications of potential impairment, such as issuer-specific concerns, including deteriorating financial condition or bankruptcy;
•the analysis of expected future cash flows of securities, based on quantitative and qualitative factors;
•the analysis of the collectability of those future cash flows, including information about past events, current conditions, and reasonable and supportable forecasts;
•the analysis of the underlying collateral for MBS and ABS;
•the analysis of individual impaired securities, including the anticipated recovery period and the magnitude of the overall price decline;
•evaluation of factors or triggers that could cause individual securities to be deemed impaired and those that would not support impairment; and
•documentation of the results of these analyses.
As of December 31, 2023, we had no allowance for credit losses on AFS investment securities. Our allowance for credit losses on AFS investment securities was approximately $2 million as of December 31, 2022.
Substantially all of our investment securities portfolio is composed of debt securities. A critical component of our assessment of impairment of these debt securities is the identification of credit-impaired securities for which management does not expect to receive cash flows sufficient to recover the entire amortized cost basis of the security.
As of December 31, 2023, 99% of our HTM and AFS investment portfolio is publicly rated investment grade.
After a review of the investment portfolio, taking into consideration then-current economic conditions, adverse situations that might affect our ability to fully collect principal and interest, the timing of future payments, the credit quality and performance of the collateral underlying MBS and ABS and other relevant factors, management considered the aggregate decline in fair value of the investment securities portfolio and the resulting gross pre-tax unrealized losses of $6.19 billion and $8.10 billion related to 1,704 and 2,094 securities as of December 31, 2023 and 2022, respectively, to be primarily related to changes in interest rates, and not the result of any material changes in the credit characteristics of the securities. The unrealized loss has not been recognized as of December 31, 2023, as management did not have the intent to sell, nor was it more likely than not that we would be required to sell these securities before the expected recovery of their amortized cost basis.