XML 48 R34.htm IDEA: XBRL DOCUMENT v3.22.2.2
AFS and HTM Debt Securities (Tables)
 9 Months Ended
Sep. 30, 2022
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 (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 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
September 30, 2022
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies$47,102 3 (2,375)44,730 
Non-U.S. government securities162 — — 162 
Securities of U.S. states and political subdivisions (2)11,218 17 (569)10,666 
Federal agency mortgage-backed securities56,283 3 (5,935)50,351 
Non-agency mortgage-backed securities (3)3,546 1 (121)3,426 
Collateralized loan obligations4,270 — (136)4,134 
Other debt securities2,325 82 (41)2,366 
Total available-for-sale debt securities124,906 106 (9,177)115,835 
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies16,200 — (1,842)14,358 
Securities of U.S. states and political subdivisions31,478 2 (5,563)25,917 
Federal agency mortgage-backed securities219,739 — (36,034)183,705 
Non-agency mortgage-backed securities (3)1,243 1 (174)1,070 
Collateralized loan obligations30,046 1 (1,089)28,958 
Other debt securities1,728 — (165)1,563 
Total held-to-maturity debt securities300,434 4 (44,867)255,571 
Total$425,340 110 (54,044)371,406 
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 securities71 — — 71 
Securities of U.S. states and political subdivisions (2)16,618 350 (51)16,917 
Federal agency mortgage-backed securities104,661 1,807 (582)105,886 
Non-agency mortgage-backed securities (3)4,515 32 (15)4,532 
Collateralized loan obligations5,713 2 (7)5,708 
Other debt securities4,217 259 (7)4,469 
Total available-for-sale debt securities175,463 2,635 (854)177,244 
Held-to-maturity debt securities:
Securities of U.S. Treasury and federal agencies16,544 599 (318)16,825 
Securities of U.S. states and political subdivisions32,689 847 (61)33,475 
Federal agency mortgage-backed securities188,909 1,882 (2,807)187,984 
Non-agency mortgage-backed securities (3)1,082 31 (18)1,095 
Collateralized loan obligations31,067 194 (2)31,259 
Other debt securities1,731 17 — 1,748 
Total held-to-maturity debt securities272,022 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 $6 million and $8 million related to AFS debt securities at September 30, 2022, and December 31, 2021, respectively, and $96 million related to HTM debt securities at both September 30, 2022, and December 31, 2021.
(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 $5.4 billion at September 30, 2022, and $5.2 billion at December 31, 2021.
(3)Predominantly consists of commercial mortgage-backed securities at both September 30, 2022, and December 31, 2021.
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.

Table 3.2: Held-to-Maturity Debt Securities Purchases and Transfers
Quarter ended September 30,Nine months ended September 30,
(in millions)2022202120222021
Purchases of held-to-maturity debt securities (1):
Securities of U.S. states and political subdivisions
$— 1,409 $843 4,492 
Federal agency mortgage-backed securities— 14,296 2,051 64,018 
Non-agency mortgage-backed securities39 30 198 114 
Collateralized loan obligations— 839 — 8,177 
Total purchases of held-to-maturity debt securities
39 16,574 3,092 76,801 
Transfers from available-for-sale debt securities to held-to-maturity debt securities (2):
Federal agency mortgage-backed securities5,550 — 48,591 41,298 
Total transfers from available-for-sale debt securities to held-to-maturity debt securities$5,550 — $48,591 41,298 
(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 $456 million and $4.3 billion in the third quarter and first nine months of 2022, respectively, and $615 million in the first nine months of 2021, 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)2022202120222021
Interest income (1):
Available-for-sale
$777 676 $2,162 2,142 
Held-to-maturity
1,640 1,166 4,423 3,186 
Total interest income 2,417 1,842 6,585 5,328 
Provision for credit losses:
Available-for-sale
(2)(5)2 7 
Held-to-maturity
13 (3)(1)33 
Total provision for credit losses11 (8)1 40 
Realized gains and losses (2):
Gross realized gains27 291 276 443 
Gross realized losses(21)— (125)(1)
Impairment write-downs— (8)— (8)
Net realized gains $6 283 $151 434 
(1)Excludes interest income from trading debt securities, which is disclosed in Note 2 (Trading Activities).
(2)Realized gains and losses relate to AFS debt securities. There were no realized gains or losses from HTM debt securities in all periods presented.
Investment Grade Debt Securities Table 3.4 shows the percentage of fair value of AFS debt securities and amortized cost of HTM debt securities determined to be rated investment grade, inclusive of securities rated based on internal credit grades.
Table 3.4: Investment Grade Debt Securities
Available-for-SaleHeld-to-Maturity
($ in millions)Fair value % investment gradeAmortized cost% investment grade
September 30, 2022
Total portfolio (1)$115,835 99 %$300,530 99 %
Breakdown by category:
Securities of U.S. Treasury and federal agencies (2)$95,081 100 %$235,939 100 %
Securities of U.S. states and political subdivisions10,666 99 31,494 100 
Collateralized loan obligations (3)4,134 100 30,096 100 
All other debt securities (4)5,954 89 3,001 61 
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 subdivisions16,917 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)99% and 98% were rated AA- and above at September 30, 2022, and December 31, 2021, respectively.
(2)Includes federal agency mortgage-backed securities.
(3)100% were rated AA- and above at both September 30, 2022, and December 31, 2021, respectively.
(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 lossesFair value Gross unrealized lossesFair value Gross unrealized lossesFair value 
September 30, 2022
Available-for-sale debt securities:
Securities of U.S. Treasury and federal agencies
$(1,157)27,415 (1,218)15,567 (2,375)42,982 
Securities of U.S. states and political subdivisions
(313)4,015 (256)1,147 (569)5,162 
Federal agency mortgage-backed securities(5,262)46,912 (673)3,311 (5,935)50,223 
Non-agency mortgage-backed securities(78)2,343 (43)1,059 (121)3,402 
Collateralized loan obligations
(117)3,659 (19)475 (136)4,134 
Other debt securities(25)1,633 (16)476 (41)2,109 
Total available-for-sale debt securities$(6,952)85,977 (2,225)22,035 (9,177)108,012 
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 
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) TotalWithin
one year		After
one year
through
five years		After
five years
through
ten years		After
ten years
September 30, 2022
Available-for-sale debt securities (1): 
Securities of U.S. Treasury and federal agencies
Amortized cost, net$47,102 2,039 17,556 25,968 1,539 
Fair value44,730 2,008 17,082 24,160 1,480 
Weighted average yield1.06 %1.44 0.39 1.46 1.44 
Non-U.S. government securities
Amortized cost, net$162 1 137 24 — 
Fair value162 1 137 24 — 
Weighted average yield2.31 %1.51 2.50 1.23 — 
Securities of U.S. states and political subdivisions
Amortized cost, net$11,218 1,169 2,554 5,064 2,431 
Fair value10,666 1,167 2,539 4,708 2,252 
Weighted average yield2.74 %3.14 2.64 2.59 2.96 
Federal agency mortgage-backed securities
Amortized cost, net$56,283 — 306 898 55,079 
Fair value50,351 — 293 831 49,227 
Weighted average yield3.25 %— 1.87 2.45 3.27 
Non-agency mortgage-backed securities
Amortized cost, net$3,546 — — 72 3,474 
Fair value3,426 — — 68 3,358 
Weighted average yield3.65 %— — 3.43 3.66 
Collateralized loan obligations
Amortized cost, net$4,270 — 2 3,865 403 
Fair value4,134 — 2 3,749 383 
Weighted average yield4.01 %— 4.44 4.00 4.01 
Other debt securities
Amortized cost, net$2,325 84 216 829 1,196 
Fair value2,366 82 212 827 1,245 
Weighted average yield3.68 %3.58 4.42 2.94 4.06 
Total available-for-sale debt securities
Amortized cost, net$124,906 3,293 20,771 36,720 64,122 
Fair value115,835 3,258 20,265 34,367 57,945 
Weighted average yield2.42 %2.10 0.73 1.94 3.25 
(1)Weighted average yields displayed by maturity bucket are weighted based on amortized cost without effect for any related hedging derivatives and are shown pre-tax.
Contractual Maturities - Held-to-Maturity Debt Securities
Table 3.7: Contractual Maturities – Held-to-Maturity Debt Securities
By remaining contractual maturity ($ in millions) TotalWithin
one year		After
one year
through
five years		After
five years
through
ten years		After
ten years
September 30, 2022
Held-to-maturity debt securities (1): 
Securities of U.S. Treasury and federal agencies
Amortized cost, net$16,200 — 12,414 — 3,786 
Fair value14,358 — 11,968 — 2,390 
Weighted average yield
2.18 %— 2.37 — 1.58 
Securities of U.S. states and political subdivisions
Amortized cost, net$31,478 1,845 2,056 2,100 25,477 
Fair value25,917 1,827 1,977 2,022 20,091 
Weighted average yield
2.13 %1.64 1.49 2.33 2.20 
Federal agency mortgage-backed securities
Amortized cost, net$219,739 — — — 219,739 
Fair value183,705 — — — 183,705 
Weighted average yield
2.26 %— — — 2.26 
Non-agency mortgage-backed securities
Amortized cost, net$1,243 15 18 52 1,158 
Fair value1,070 14 17 47 992 
Weighted average yield
3.08 %3.24 2.93 3.47 3.07 
Collateralized loan obligations
Amortized cost, net$30,046 — — 13,386 16,660 
Fair value28,958 — — 13,072 15,886 
Weighted average yield
4.09 %— — 4.17 4.03 
Other debt securities
Amortized cost, net$1,728 — 759 969 — 
Fair value1,563 — 711 852 — 
Weighted average yield4.47 %— 4.13 4.74 — 
Total held-to-maturity debt securities
Amortized cost, net$300,434 1,860 15,247 16,507 266,820 
Fair value255,571 1,841 14,673 15,993 223,064 
Weighted average yield
2.44 %1.66 2.34 3.97 2.36 
(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.