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Investment Securities
 12 Months Ended
Dec. 31, 2021
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 foreign exchange trading services 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, 2021December 31, 2020
 
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$18,111 $24 $196 $17,939 $6,453 $123 $1 $6,575 
Mortgage-backed securities18,154 148 94 18,208 13,891 421 7 14,305 
Total U.S. Treasury and federal agencies36,265 172 290 36,147 20,344 544 8 20,880 
Non-U.S. debt securities:
Mortgage-backed securities1,986 12 3 1,995 1,994 4 2 1,996 
Asset-backed securities(1)
2,087 2 2 2,087 2,294 1 4 2,291 
Non-U.S. sovereign, supranational and non-U.S. agency23,533 114 100 23,547 21,769 321 3 22,087 
Other(2)
3,113 17 32 3,098 3,297 58 — 3,355 
Total non-U.S. debt securities30,719 145 137 30,727 29,354 384 9 29,729 
Asset-backed securities:
Student loans(3)
209 2 — 211 313 2 1 314 
Collateralized loan obligations(4)
2,155 2 2 2,155 2,969 3 6 2,966 
Non-agency CMBS and RMBS(5)
52 — — 52 76 2 — 78 
Other90 1 — 91 90 — — 90 
Total asset-backed securities2,506 5 2 2,509 3,448 7 7 3,448 
State and political subdivisions(6)
1,216 59 3 1,272 1,470 80 2 1,548 
Other U.S. debt securities(7)
2,734 23 13 2,744 3,371 72 — 3,443 
Total available-for-sale securities$73,440 $404 $445 $73,399 $57,987 $1,087 $26 $59,048 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$2,170 $10 $— $2,180 $6,057 $83 $— $6,140 
Mortgage-backed securities33,481 362 578 33,265 36,901 955 67 37,789 
Total U.S. Treasury and federal agencies35,651 372 578 35,445 42,958 1,038 67 43,929 
Non-U.S. debt securities:
Mortgage-backed securities— — — — 303 68 4 367 
Non-U.S. sovereign, supranational and non-U.S. agency1,564 — 9 1,555 342 — — 342 
Total non-U.S. debt securities1,564 — 9 1,555 645 68 4 709 
Asset-backed securities:
Student loans(3)
4,908 48 14 4,942 4,774 33 25 4,782 
Non-agency CMBS and RMBS(8)
307 22 — 329 554 30 11 583 
Total asset-backed securities5,215 70 14 5,271 5,328 63 26 5,365 
Total(9)
42,430 442 601 42,271 48,931 1,169 97 50,003 
Held-to-maturity under money market mutual fund liquidity facility(9)
— — — — 3,300 4 — 3,304 
Total held-to-maturity securities
$42,430 $442 $601 $42,271 $52,231 $1,173 $97 $53,307 
(1) As of December 31, 2021 and December 31, 2020, the fair value includes non-U.S. collateralized loan obligations of $0.83 billion and $0.96 billion, respectively.
(2) As of December 31, 2021 and December 31, 2020, the fair value includes non-U.S. corporate bonds of $1.53 billion and $1.88 billion, respectively,
(3) 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.
(4) Excludes collateralized loan obligations in loan form. Refer to Note 4 for additional information.
(5) Consists entirely of non-agency CMBS as of both December 31, 2021 and December 31, 2020.
(6) As of December 31, 2021 and December 31, 2020, the fair value of state and political subdivisions includes securities in trusts of $0.52 billion and $0.70 billion, respectively. Additional information about these trusts is provided in Note 14.
(7) As of December 31, 2021 and December 31, 2020, the fair value of U.S. corporate bonds was $2.44 billion and $3.44 billion, respectively.
(8) As of December 31, 2021 and December 31, 2020, the total amortized cost included $292 million and $464 million, respectively, of non-agency CMBS and $14 million and $90 million of non-agency RMBS, respectively.
(9) As of December 31, 2021 and 2020, we recognized an allowance for credit losses on all HTM securities of $0 million and $3 million, respectively, inclusive of $0 million and $1 million, respectively, related to HTM securities purchased under the money market mutual fund liquidity facility.
Aggregate investment securities with carrying values of approximately $80.81 billion and $70.57 billion as of December 31, 2021 and December 31, 2020, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.
In 2021, 2020 and 2019, $1.25 billion, $8.60 billion and $3.98 million, respectively, of agency MBS, 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 gain of $12 million , $120 million and $49 million as of December 31, 2021, 2020 and 2019, respectively, within accumulated other comprehensive loss which will be accreted into interest income over the remaining life of the transferred security (ranging from approximately 1 to 36 years).
In 2021, we transferred $438 million of HTM debt securities that referenced LIBOR and other discontinued reference rates to AFS. $378 million of these securities were sold resulting in a pre-tax gain of $58 million.
In 2021, 2020 and 2019, proceeds from sales of AFS securities was approximately $12.82 billion, $2.65 billion and $5.64 billion, respectively, primarily driven by MBS, ABS, municipal bonds and supranationals, resulting in a pre-tax gain of approximately $57 million in 2021, a pre-tax gain of approximately $4 million in 2020 and a pre-tax loss less than $1 million in 2019.
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, 2021
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$14,749 $194 $1,624 $2 $16,373 $196 
Mortgage-backed securities10,417 80 369 14 10,786 94 
Total U.S. Treasury and federal agencies25,166 274 1,993 16 27,159 290 
Non-U.S. debt securities:
Mortgage-backed securities577 3 30 — 607 3 
Asset-backed securities1,021 2 127 — 1,148 2 
Non-U.S. sovereign, supranational and non-U.S. agency10,406 97 63 3 10,469 100 
Other1,570 31 19 1 1,589 32 
Total non-U.S. debt securities13,574 133 239 4 13,813 137 
Asset-backed securities:
Collateralized loan obligations1,268 2 — — 1,268 2 
Total asset-backed securities1,268 2 — — 1,268 2 
State and political subdivisions10 — 45 3 55 3 
Other U.S. debt securities1,214 13 — — 1,214 13 
Total$41,232 $422 $2,277 $23 $43,509 $445 
As of December 31, 2020
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$1,636 $1 $— $— $1,636 $1 
Mortgage-backed securities1,394 7 63 — 1,457 7 
Total U.S. Treasury and federal agencies3,030 8 63 — 3,093 8 
Asset-backed securities:
Student loans31 — 197 1 228 1 
Collateralized loan obligations1,498 4 369 2 1,867 6 
Total asset-backed securities1,529 4 566 3 2,095 7 
Non-U.S. debt securities:
Mortgage-backed securities600 1 120 1 720 2 
Asset-backed securities1,015 3 446 1 1,461 4 
Non-U.S. sovereign, supranational and non-U.S. agency489 — — — 489 — 
Other715 3 80 — 795 3 
Total non-U.S. debt securities2,819 7 646 2 3,465 9 
State and political subdivisions95 — 76 2 171 2 
Other U.S. debt securities17 — — — 17 — 
Total$7,490 $19 $1,351 $7 $8,841 $26 
The following table presents the amortized cost and the fair value of contractual maturities of debt investment securities as of December 31, 2021. 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, 2021
(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$1,977 $1,976 $15,090 $14,912 $1,044 $1,051 $— $— $18,111 $17,939 
Mortgage-backed securities71 73 839 846 7,619 7,620 9,625 9,669 18,154 18,208 
Total U.S. Treasury and federal agencies2,048 2,049 15,929 15,758 8,663 8,671 9,625 9,669 36,265 36,147 
Non-U.S. debt securities:
Mortgage-backed securities164 164 526 527 33 33 1,263 1,271 1,986 1,995 
Asset-backed securities303 302 1,040 1,041 454 454 290 290 2,087 2,087 
Non-U.S. sovereign, supranational and
non-U.S. agency		4,472 4,480 16,329 16,336 2,717 2,717 15 14 23,533 23,547 
Other823 826 1,954 1,943 279 275 57 54 3,113 3,098 
Total non-U.S. debt securities5,762 5,772 19,849 19,847 3,483 3,479 1,625 1,629 30,719 30,727 
Asset-backed securities:
Student loans113 115 — — — — 96 96 209 211 
Collateralized loan obligations147 147 482 483 1,085 1,084 441 441 2,155 2,155 
Non-agency CMBS and RMBS— — — — — — 52 52 52 52 
Other— — — — 90 91 — — 90 91 
Total asset-backed securities260 262 482 483 1,175 1,175 589 589 2,506 2,509 
State and political subdivisions177 180 491 512 466 499 82 81 1,216 1,272 
Other U.S. debt securities998 1,002 1,696 1,699 40 43 — — 2,734 2,744 
Total$9,245 $9,265 $38,447 $38,299 $13,827 $13,867 $11,921 $11,968 $73,440 $73,399 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$2,150 $2,159 $3 $3 $1 $1 $16 $17 $2,170 $2,180 
Mortgage-backed securities148 151 393 399 4,651 4,591 28,289 28,124 33,481 33,265 
Total U.S. Treasury and federal agencies2,298 2,310 396 402 4,652 4,592 28,305 28,141 35,651 35,445 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and
non-U.S. agency		345 345 1,218 1,209 1 1 — — 1,564 1,555 
Total non-U.S. debt securities345 345 1,218 1,209 1 1 — — 1,564 1,555 
Asset-backed securities:
Student loans341 335 48 47 971 984 3,548 3,576 4,908 4,942 
Non-agency CMBS and RMBS87 95 144 144 — — 76 90 307 329 
Total asset-backed securities428 430 192 191 971 984 3,624 3,666 5,215 5,271 
Total$3,071 $3,085 $1,806 $1,802 $5,624 $5,577 $31,929 $31,807 $42,430 $42,271 
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
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 our HTM securities was approximately nil and $3 million as of December 31, 2021 and 2020, respectively, inclusive of nil and $1 million, respectively related to HTM securities purchased under the money market mutual fund liquidity facility.
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 impaired AFS investment securities 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.
Our allowance for credit losses on our AFS securities was approximately $2 million and nil as of December 31, 2021 and 2020, respectively,
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.
Debt securities that are not deemed to be credit impaired are subject to additional management analysis to assess whether management intends to sell, or, more likely than not, would be required to sell, the security before the expected recovery of its amortized cost basis.
As of December 31, 2021, 99% of our HTM and AFS investment portfolio is publicly rated investment grade.
Prior to the adoption of ASC 326 on January 1, 2020, we assessed our AFS and HTM securities for impairment under an OTTI model. Under this model impairment of AFS and HTM debt securities was recorded in our consolidated statement of income when management intended to sell (or may be required to sell) the securities before they recovered in value, or when management expected the present value of cash flows expected to be collected from the securities to be less than the amortized cost of the impaired security (a credit loss).
We recorded less than $1 million of OTTI, included in other income, in the year ended December 31, 2019, which resulted from adverse changes in the timing of expected future cash flows from non-U.S. mortgage- and asset backed securities.
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 $1,046 million and $123 million related to 954 and 503 securities as of December 31, 2021 and December 31, 2020, respectively, to be temporary, and not the result of any material changes in the credit characteristics of the securities.