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Investment Securities
 12 Months Ended
Dec. 31, 2022
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, 2022December 31, 2021
 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$8,232 $10 $261 $7,981 $18,111 $24 $196 $17,939 
Mortgage-backed securities8,767 2 260 8,509 18,154 148 94 18,208 
Total U.S. Treasury and federal agencies16,999 12 521 16,490 36,265 172 290 36,147 
Non-U.S. debt securities:
Mortgage-backed securities1,642 — 19 1,623 1,986 12 3 1,995 
Asset-backed securities(1)
1,696 — 27 1,669 2,087 2 2 2,087 
Non-U.S. sovereign, supranational and non-U.S. agency14,512 1 424 14,089 23,533 114 100 23,547 
Other(2)
2,255 — 164 2,091 3,113 17 32 3,098 
Total non-U.S. debt securities20,105 1 634 19,472 30,719 145 137 30,727 
Asset-backed securities:
Student loans(3)
116 — 1 115 209 2 — 211 
Collateralized loan obligations(4)
2,394 — 39 2,355 2,155 2 2 2,155 
Non-agency CMBS and RMBS(5)
237 — 6 231 52 — — 52 
Other90 — 2 88 90 1 — 91 
Total asset-backed securities2,837 — 48 2,789 2,506 5 2 2,509 
State and political subdivisions839 1 17 823 1,216 59 3 1,272 
Other U.S. debt securities(6)
1,078 — 73 1,005 2,734 23 13 2,744 
Total available-for-sale securities(7)(8)
$41,858 $14 $1,293 $40,579 $73,440 $404 $445 $73,399 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$11,693 $— $341 $11,352 $2,170 $10 $— $2,180 
Mortgage-backed securities42,307 3 6,030 36,280 33,481 362 578 33,265 
Total U.S. Treasury and federal agencies54,000 3 6,371 47,632 35,651 372 578 35,445 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and non-U.S. agency6,603 — 304 6,299 1,564 — 9 1,555 
Total non-U.S. debt securities6,603 — 304 6,299 1,564 — 9 1,555 
Asset-backed securities:
Student loans(3)
3,955 1 134 3,822 4,908 48 14 4,942 
Non-agency CMBS and RMBS(9)
142 18 — 160 307 22 1— 329 
Total asset-backed securities4,097 19 134 3,982 5,215 70 14 5,271 
Total held-to-maturity securities(7)
$64,700 $22 $6,809 $57,913 $42,430 $442 $601 $42,271 
(1) As of December 31, 2022 and 2021, the fair value includes non-U.S. collateralized loan obligations of $0.86 billion and $0.83 billion, respectively.
(2) As of December 31, 2022 and 2021, the fair value includes non-U.S. corporate bonds of $1.14 billion and $1.53 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, 2022 and 2021.
(6) As of December 31, 2022 and 2021, the fair value of U.S. corporate bonds was $1.01 billion and $2.44 billion, respectively.
(7) 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, 2022.
(8) As of both December 31, 2022 and December 31, 2021, total amortized cost included an allowance for credit losses on AFS investment securities of $2 million.
(9) As of December 31, 2022 and 2021, the total amortized cost included $133 million and $292 million, respectively, of non-agency CMBS and $9 million and $14 million of non-agency RMBS, respectively.
Aggregate investment securities with carrying values of approximately $70.52 billion and $80.81 billion as of December 31, 2022 and 2021, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.
In 2022, $23.56 billion 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. Upon transfer of a debt security from AFS to HTM, the amortized cost is reset to fair value. Any net unrealized gain or loss at the date of transfer 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 2021 and 2020, $1.25 billion and $8.60 billion, 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 and $120 million as of December 31, 2021 and 2020, 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 36 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 2022, 2021 and 2020, proceeds from sales of AFS securities was approximately $4.59 billion, $12.82 billion and $2.65 billion, respectively, primarily driven by MBS, ABS, municipal bonds and supranationals, resulting in a pre-tax loss of approximately $2 million in 2022, a pre-tax gain of approximately $57 million in 2021 and a pre-tax loss less than $4 million in 2020.
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, 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 
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 
The following table presents the amortized cost and the fair value of contractual maturities of debt investment securities as of December 31, 2022. 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, 2022
(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$1,966 $1,940 $5,731 $5,496 $535 $545 $— $— $8,232 $7,981 
Mortgage-backed securities51 49 459 454 6,513 6,345 1,744 1,661 8,767 8,509 
Total U.S. Treasury and federal agencies2,017 1,989 6,190 5,950 7,048 6,890 1,744 1,661 16,999 16,490 
Non-U.S. debt securities:
Mortgage-backed securities58 58 385 382 — — 1,199 1,183 1,642 1,623 
Asset-backed securities347 342 587 578 451 444 311 305 1,696 1,669 
Non-U.S. sovereign, supranational and
non-U.S. agency		4,619 4,567 7,236 6,897 2,657 2,625 — — 14,512 14,089 
Other190 187 1,904 1,769 141 120 20 15 2,255 2,091 
Total non-U.S. debt securities5,214 5,154 10,112 9,626 3,249 3,189 1,530 1,503 20,105 19,472 
Asset-backed securities:
Student loans39 39 — — — — 77 76 116 115 
Collateralized loan obligations183 182 397 390 1,225 1,205 589 578 2,394 2,355 
Non-agency CMBS and RMBS— — — — — — 237 231 237 231 
Other— — 90 88 — — — — 90 88 
Total asset-backed securities222 221 487 478 1,225 1,205 903 885 2,837 2,789 
State and political subdivisions146 144 273 266 376 373 44 40 839 823 
Other U.S. debt securities119 117 918 850 41 38 — — 1,078 1,005 
Total$7,718 $7,625 $17,980 $17,170 $11,939 $11,695 $4,221 $4,089 $41,858 $40,579 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$2,329 $2,285 $9,327 $9,032 $24 $22 $13 $13 $11,693 $11,352 
Mortgage-backed securities154 139 578 542 4,627 3,844 36,948 31,755 42,307 36,280 
Total U.S. Treasury and federal agencies2,483 2,424 9,905 9,574 4,651 3,866 36,961 31,768 54,000 47,632 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and
non-U.S. agency		1,518 1,492 4,520 4,293 565 514 — — 6,603 6,299 
Total non-U.S. debt securities1,518 1,492 4,520 4,293 565 514 — — 6,603 6,299 
Asset-backed securities:
Student loans290 279 8 8 931 911 2,726 2,624 3,955 3,822 
Non-agency CMBS and RMBS122 129 — — — — 20 31 142 160 
Total asset-backed securities412 408 8 8 931 911 2,746 2,655 4,097 3,982 
Total$4,413 $4,324 $14,433 $13,875 $6,147 $5,291 $39,707 $34,423 $64,700 $57,913 
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.
We did not have any allowance for credit losses on our HTM securities as of both December 31, 2022 and 2021.
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 as of both December 31, 2022 and 2021.
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, 2022, 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 $8,102 million and $1,046 million related to 2,094 and 954 securities as of December 31, 2022 and 2021, respectively, to be temporary, and not the result of any material changes in the credit characteristics of the securities.