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 cumulative other comprehensive income (OCI), 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 (Other Assets) for additional information on accrued interest receivable. Amounts considered to be uncollectible are reversed through interest income. The interest income reversed in first quarter 2022 and 2021 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	Fair value
March 31, 2022
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	47,946	91	(1,604)	46,433
Non-U.S. government securities	116		—	—	116
Securities of U.S. states and political subdivisions (2)	16,484		271	(269)	16,486
Federal agency mortgage-backed securities	94,726		245	(3,534)	91,437
Non-agency mortgage-backed securities (3)	4,641		12	(45)	4,608
Collateralized loan obligations	5,231		—	(34)	5,197
Other debt securities	3,974		200	(15)	4,159
Total available-for-sale debt securities	173,118		819	(5,501)	168,436
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies	16,196		14	(659)	15,551
Securities of U.S. states and political subdivisions	32,969		69	(2,122)	30,916
Federal agency mortgage-backed securities	198,266		115	(13,368)	185,013
Non-agency mortgage-backed securities (3)	1,174		5	(64)	1,115
Collateralized loan obligations	30,475		62	(141)	30,396
Other debt securities	1,728		—	(78)	1,650
Total held-to-maturity debt securities	280,808		265	(16,432)	264,641
Total	$	453,926	1,084	(21,933)	433,077
December 31, 2021
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	39,668	185	(192)	39,661
Non-U.S. government securities	71		—	—	71
Securities of U.S. states and political subdivisions (2)	16,618		350	(51)	16,917
Federal agency mortgage-backed securities	104,661		1,807	(582)	105,886
Non-agency mortgage-backed securities (3)	4,515		32	(15)	4,532
Collateralized loan obligations	5,713		2	(7)	5,708
Other debt securities	4,217		259	(7)	4,469
Total available-for-sale debt securities	175,463		2,635	(854)	177,244
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies	16,544		599	(318)	16,825
Securities of U.S. states and political subdivisions	32,689		847	(61)	33,475
Federal agency mortgage-backed securities	188,909		1,882	(2,807)	187,984
Non-agency mortgage-backed securities (3)	1,082		31	(18)	1,095
Collateralized loan obligations	31,067		194	(2)	31,259
Other debt securities	1,731		17	—	1,748
Total held-to-maturity debt securities	272,022		3,570	(3,206)	272,386
Total	$	447,485	6,205	(4,060)	449,630

(1)Represents amortized cost of the securities, net of the ACL of $9 million and $8 million related to AFS debt securities and $84 million and $96 million related to HTM debt securities at March 31, 2022, and December 31, 2021, 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 $5.3 billion at March 31, 2022, and $5.2 billion at December 31, 2021.

(3)Predominantly consists of commercial mortgage-backed securities at both March 31, 2022, and December 31, 2021.

Table 3.2 details the breakout of purchases of and transfers to HTM debt securities by major category of security.

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


	Quarter ended March 31,
(in millions)		2022		2021
Purchases of held-to-maturity debt securities (1):

Securities of U.S. states and political subdivisions		$	834	1,910
Federal agency mortgage-backed securities		2,051		24,867
Non-agency mortgage-backed securities		104		29
Collateralized loan obligations		—		3,953

Total purchases of held-to-maturity debt securities		2,989		30,759
Transfers from available-for-sale debt securities to held-to-maturity debt securities:


Federal agency mortgage-backed securities		14,651		16,617



Total transfers from available-for-sale debt securities to held-to-maturity debt securities		$	14,651	16,617

(1)Inclusive of securities purchased but not yet settled and noncash purchases from securitization of loans held for sale (LHFS).

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 March 31,
(in millions)		2022		2021
Interest income (1):
Available-for-sale		$	702	811
Held-to-maturity		1,313		972
Total interest income		2,015		1,783
Provision for credit losses:
Available-for-sale		1		22
Held-to-maturity		(13)		47
Total provision for credit losses		(12)		69
Realized gains and losses (2):
Gross realized gains		2		151




Net realized gains		$	2	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.

Credit Quality

We monitor credit quality of debt securities by evaluating various attributes and utilize such information in our evaluation of the appropriateness of the ACL for debt securities. The credit quality indicators that we most closely monitor include credit ratings and delinquency status and are based on information as of our financial statement date.

CREDIT RATINGS Credit ratings express opinions about the credit quality of a debt security. We determine the credit rating of a security according to the lowest credit rating made available by national recognized statistical rating organizations (NRSROs). Debt securities rated investment grade, that is those with ratings similar to BBB-/Baa3 or above, as defined by NRSROs, are generally considered by the rating agencies and market

participants to be low credit risk. Conversely, debt securities rated below investment grade, labeled as “speculative grade” by the rating agencies, are considered to be distinctively higher credit risk than investment grade debt securities. For debt securities not rated by NRSROs, we determine an internal credit grade of the debt securities (used for credit risk management purposes) equivalent to the credit ratings assigned by major credit agencies. Substantially all of our debt securities were rated by NRSROs at March 31, 2022, and December 31, 2021.

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
March 31, 2022
Total portfolio (1)	$	168,436	99	%	280,892	99	%
Breakdown by category:
Securities of U.S. Treasury and federal agencies (2)	$	137,870	100	%	214,462	100	%
Securities of U.S. states and political subdivisions	16,486		99		32,984	100
Collateralized loan obligations (3)	5,197		100		30,518	100
All other debt securities (4)	8,883		89		2,928	62
December 31, 2021
Total portfolio (1)	$	177,244	99	%	272,118	99	%
Breakdown by category:
Securities of U.S. Treasury and federal agencies (2)	$	145,547	100	%	205,453	100	%
Securities of U.S. states and political subdivisions	16,917		99		32,704	100
Collateralized loan obligations (3)	5,708		100		31,128	100
All other debt securities (4)	9,072		88		2,833	64

(1)98% were rated AA- and above at both March 31, 2022, and December 31, 2021, respectively.

(2)Includes federal agency mortgage-backed securities.

(3)100% were rated AA- and above at both March 31, 2022, and December 31, 2021, respectively.

(4)Includes non-U.S. government, non-agency mortgage-backed, and all other debt securities.

DELINQUENCY STATUS AND NONACCRUAL DEBT SECURITIES Debt security issuers that are delinquent in payment of amounts due under contractual debt agreements have a higher probability of recognition of credit losses. As such, as part of our monitoring of the credit quality of the debt security portfolio, we consider whether debt securities we own are past due in payment of principal or interest payments and whether any securities have been placed into nonaccrual status.

Debt securities that are past due and still accruing were insignificant at both March 31, 2022, and December 31, 2021. The carrying value of debt securities in nonaccrual status was insignificant at both March 31, 2022, and December 31, 2021. Charge-offs on debt securities were insignificant in the first quarter of both 2022 and 2021.

Purchased debt securities with credit deterioration (PCD) are not considered to be in nonaccrual status, as payments from issuers of these securities remain current. PCD securities were insignificant in the first quarter of both 2022 and 2021.

Unrealized Losses of 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		Fair value	Gross unrealized losses	Fair value	Gross unrealized losses	Fair value
March 31, 2022
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	(1,559)	41,680	(45)	1,257	(1,604)	42,937

Securities of U.S. states and political subdivisions	(186)		3,036	(83)	610	(269)	3,646
Federal agency mortgage-backed securities	(2,276)		63,258	(1,258)	15,441	(3,534)	78,699
Non-agency mortgage-backed securities	(29)		3,027	(16)	534	(45)	3,561
Collateralized loan obligations	(28)		4,523	(6)	581	(34)	5,104
Other debt securities	(6)		763	(9)	521	(15)	1,284
Total available-for-sale debt securities	$	(4,084)	116,287	(1,417)	18,944	(5,501)	135,231
December 31, 2021
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies	$	(192)	24,418	—	—	(192)	24,418

Securities of U.S. states and political subdivisions	(36)		2,308	(15)	532	(51)	2,840
Federal agency mortgage-backed securities	(334)		40,695	(248)	9,464	(582)	50,159
Non-agency mortgage-backed securities	(4)		1,966	(11)	543	(15)	2,509
Collateralized loan obligations	(3)		1,619	(4)	1,242	(7)	2,861
Other debt securities	—		—	(7)	624	(7)	624
Total available-for-sale debt securities	$	(569)	71,006	(285)	12,405	(854)	83,411

We have assessed each debt security with gross unrealized losses included in the previous table for credit impairment. As part of that assessment we evaluated and concluded that we do not intend to sell any of the debt securities, and that it is more likely than not that we will not be required to sell, prior to recovery of the amortized cost basis. We evaluate, where necessary, whether credit impairment exists by comparing the present value of the expected cash flows to the debt securities’ amortized cost basis. Credit impairment is recorded as an ACL for debt securities.

For descriptions of the factors we consider when analyzing debt securities for impairment as well as methodology and significant inputs used to measure credit losses, see Note 1 (Summary of Significant Accounting Policies) in our 2021 Form 10-K.

Contractual Maturities

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
March 31, 2022
Available-for-sale debt securities (1):
Securities of U.S. Treasury and federal agencies
Amortized cost, net	$	47,946		251	18,089	27,778	1,828
Fair value	46,433			247	17,794	26,478	1,914
Weighted average yield	1.01		%	0.25	0.34	1.42	1.44
Non-U.S. government securities
Amortized cost, net	$	116		1	90	25	—
Fair value	116			1	90	25	—
Weighted average yield	0.40		%	1.49	0.38	0.43	—
Securities of U.S. states and political subdivisions
Amortized cost, net	$	16,484		752	2,177	5,757	7,798
Fair value	16,486			751	2,181	5,599	7,955
Weighted average yield	2.03		%	1.41	1.41	1.51	2.65
Federal agency mortgage-backed securities
Amortized cost, net	$	94,726		—	247	2,415	92,064
Fair value	91,437			—	249	2,381	88,807
Weighted average yield	2.60		%	—	2.86	2.32	2.61
Non-agency mortgage-backed securities
Amortized cost, net	$	4,641		—	—	110	4,531
Fair value	4,608			—	—	110	4,498
Weighted average yield	2.06		%	—	—	2.63	2.04
Collateralized loan obligations
Amortized cost, net	$	5,231		—	4	4,824	403
Fair value	5,197			—	4	4,794	399
Weighted average yield	1.55		%	—	2.26	1.55	1.56
Other debt securities
Amortized cost, net	$	3,974		55	400	1,030	2,489
Fair value	4,159			55	398	1,030	2,676
Weighted average yield	2.00		%	1.99	1.65	1.87	2.10
Total available-for-sale debt securities
Amortized cost, net	$	173,118		1,059	21,007	41,939	109,113
Fair value	168,436			1,054	20,716	40,417	106,249
Weighted average yield	2.04		%	1.17	0.50	1.51	2.55

(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.

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
March 31, 2022
Held-to-maturity debt securities (1):
Securities of U.S. Treasury and federal agencies
Amortized cost, net	$	16,196		—	12,411	—	3,785
Fair value	15,551			—	12,386	—	3,165
Weighted average yield	2.18		%	—	2.37	—	1.57
Securities of U.S. states and political subdivisions
Amortized cost, net	$	32,969		1,243	2,949	2,235	26,542
Fair value	30,916			1,246	2,914	2,234	24,522
Weighted average yield	2.12		%	2.11	1.32	2.51	2.18
Federal agency mortgage-backed securities
Amortized cost, net	$	198,266		—	—	—	198,266
Fair value	185,013			—	—	—	185,013
Weighted average yield	2.16		%	—	—	—	2.16
Non-agency mortgage-backed securities
Amortized cost, net	$	1,174		15	18	30	1,111
Fair value	1,115			15	18	29	1,053
Weighted average yield	2.97		%	3.24	2.93	3.16	2.97
Collateralized loan obligations
Amortized cost, net	$	30,475		—	—	13,361	17,114
Fair value	30,396			—	—	13,396	17,000
Weighted average yield	1.65		%	—	—	1.73	1.59
Other debt securities
Amortized cost, net	$	1,728		—	762	966	—
Fair value	1,650			—	732	918	—
Weighted average yield	4.47		%	—	4.13	4.74	—
Total held-to-maturity debt securities
Amortized cost, net	$	280,808		1,258	16,140	16,592	246,818
Fair value	264,641			1,261	16,050	16,577	230,753
Weighted average yield	2.12		%	2.12	2.26	2.01	2.12

(1)Weighted average yields displayed by maturity bucket are weighted based on amortized cost and are shown pre-tax.