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Investment Securities
 6 Months Ended
Jun. 30, 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. For additional information on our accounting for investment securities, refer to page 140 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.
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:
 June 30, 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$7,272 $11 $187 $7,096 $8,232 $10 $261 $7,981 
Mortgage-backed securities(1)
9,328 2 227 9,103 8,767 2 260 8,509 
Total U.S. Treasury and federal agencies16,600 13 414 16,199 16,999 12 521 16,490 
Non-U.S. debt securities:
Mortgage-backed securities1,535 1 12 1,524 1,642 — 19 1,623 
Asset-backed securities(2)
1,597 — 20 1,577 1,696 — 27 1,669 
Non-U.S. sovereign, supranational and non-U.S. agency17,391 2 472 16,921 14,512 1 424 14,089 
Other(3)
2,420 1 164 2,257 2,255 — 164 2,091 
Total non-U.S. debt securities22,943 4 668 22,279 20,105 1 634 19,472 
Asset-backed securities:
Student loans(4)
106 — 1 105 116 — 1 115 
Collateralized loan obligations(5)
2,452 1 25 2,428 2,394 — 39 2,355 
Non-agency CMBS and RMBS(6)
275 — 5 270 237 — 6 231 
Other90 — — 90 90 — 2 88 
Total asset-backed securities2,923 1 31 2,893 2,837 — 48 2,789 
State and political subdivisions722 — 11 711 839 1 17 823 
Other U.S. debt securities(7)
1,025 — 61 964 1,078 — 73 1,005 
Total available-for-sale securities(8)(9)
$44,213 $18 $1,185 $43,046 $41,858 $14 $1,293 $40,579 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$11,802 $— $328 $11,474 $11,693 $— $341 $11,352 
Mortgage-backed securities(10)
41,314 1 5,963 35,352 42,307 3 6,030 36,280 
Total U.S. Treasury and federal agencies53,116 1 6,291 46,826 54,000 3 6,371 47,632 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and non-U.S. agency6,802 — 280 6,522 6,603 — 304 6,299 
Total non-U.S. debt securities6,802 — 280 6,522 6,603 — 304 6,299 
Asset-backed securities:
Student loans(4)
3,584 1 96 3,489 3,955 1 134 3,822 
Non-agency CMBS and RMBS(11)
8 18 — 26 142 18 — 160 
Total asset-backed securities3,592 19 96 3,515 4,097 19 134 3,982 
Total held-to-maturity securities(8)
$63,510 $20 $6,667 $56,863 $64,700 $22 $6,809 $57,913 
(1) As of June 30, 2023 and December 31, 2022, the total fair value included $5.97 billion and $6.78 billion, respectively, of agency CMBS and $3.13 billion and $1.73 billion, respectively, of agency MBS.
(2) As of June 30, 2023 and December 31, 2022, the fair value includes non-U.S. collateralized loan obligations of $0.88 billion and $0.86 billion, respectively.
(3) As of June 30, 2023 and December 31, 2022, the fair value includes non-U.S. corporate bonds of $1.33 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 June 30, 2023 and December 31, 2022.
(7) As of June 30, 2023 and December 31, 2022, the fair value of U.S. corporate bonds was $0.96 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 June 30, 2023.
(9) As of June 30, 2023, the total amortized cost had no allowance for credit losses on AFS investment securities. As of December 31, 2022, the total amortized cost included an allowance for credit losses on AFS investment securities of $2 million.
(10) As of June 30, 2023 and December 31, 2022, the total amortized cost included $5.28 billion and $4.99 billion of agency CMBS, respectively.
(11) As of June 30, 2023, the total amortized cost included $8 million of non-agency RMBS. As of December 31, 2022, the total amortized cost included $133 million of non-agency CMBS and $9 million of non-agency RMBS.
Aggregate investment securities with carrying values of approximately $80.10 billion and $70.52 billion as of June 30, 2023 and December 31, 2022, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.
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:
June 30, 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$590 $4 $5,777 $183 $6,367 $187 
Mortgage-backed securities1,655 22 7,128 205 8,783 227 
Total U.S. Treasury and federal agencies2,245 26 12,905 388 15,150 414 
Non-U.S. debt securities:
Mortgage-backed securities150 1 1,076 11 1,226 12 
Asset-backed securities49 — 1,308 20 1,357 20 
Non-U.S. sovereign, supranational and non-U.S. agency5,567 84 10,251 388 15,818 472 
Other366 11 1,711 153 2,077 164 
Total non-U.S. debt securities6,132 96 14,346 572 20,478 668 
Asset-backed securities:
Student loans82 1 — — 82 1 
Collateralized loan obligations260 1 2,059 24 2,319 25 
Non-agency CMBS and RMBS39 1 209 4 248 5 
Total asset-backed securities381 3 2,268 28 2,649 31 
State and political subdivisions404 4 270 7 674 11 
Other U.S. debt securities29 3 928 58 957 61 
Total$9,191 $132 $30,717 $1,053 $39,908 $1,185 

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 $369 $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 June 30, 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.
June 30, 2023
(In millions)Under 1 Year1 to 5 Years6 to 10 YearsOver 10 YearsTotal
Amortized CostFair ValueAmortized CostFair ValueAmortized CostFair ValueAmortized CostFair ValueAmortized CostFair Value
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations$789 $787 $5,850 $5,667 $633 $642 $— $— $7,272 $7,096 
Mortgage-backed securities56 55 804 793 5,287 5,180 3,181 3,075 9,328 9,103 
Total U.S. Treasury and federal agencies845 842 6,654 6,460 5,920 5,822 3,181 3,075 16,600 16,199 
Non-U.S. debt securities:
Mortgage-backed securities156 156 261 261 — — 1,118 1,107 1,535 1,524 
Asset-backed securities328 323 491 485 479 473 299 296 1,597 1,577 
Non-U.S. sovereign, supranational and non-U.S. agency6,024 5,971 8,554 8,172 2,813 2,778 — — 17,391 16,921 
Other274 269 1,931 1,798 205 183 10 7 2,420 2,257 
Total non-U.S. debt securities6,782 6,719 11,237 10,716 3,497 3,434 1,427 1,410 22,943 22,279 
Asset-backed securities:
Student loans35 35 — — — — 71 70 106 105 
Collateralized loan obligations121 120 358 353 1,458 1,442 515 513 2,452 2,428 
Non-agency CMBS and RMBS— — 20 20 — — 255 250 275 270 
Other— — 90 90 — — — — 90 90 
Total asset-backed securities156 155 468 463 1,458 1,442 841 833 2,923 2,893 
State and political subdivisions125 124 260 253 337 334 — — 722 711 
Other U.S. debt securities255 249 742 689 28 26 — — 1,025 964 
Total$8,163 $8,089 $19,361 $18,581 $11,240 $11,058 $5,449 $5,318 $44,213 $43,046 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$5,797 $5,718 $5,969 $5,722 $24 $22 $12 $12 $11,802 $11,474 
Mortgage-backed securities136 121 570 530 4,611 3,853 35,997 30,848 41,314 35,352 
Total U.S. Treasury and federal agencies5,933 5,839 6,539 6,252 4,635 3,875 36,009 30,860 53,116 46,826 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and non-U.S. agency2,495 2,441 3,663 3,481 644 600 — — 6,802 6,522 
Total non-U.S. debt securities2,495 2,441 3,663 3,481 644 600 — — 6,802 6,522 
Asset-backed securities:
Student loans251 243 37 36 851 834 2,445 2,376 3,584 3,489 
Non-agency CMBS and RMBS2 8 — — — — 6 18 8 26 
Total asset-backed securities253 251 37 36 851 834 2,451 2,394 3,592 3,515 
Total$8,681 $8,531 $10,239 $9,769 $6,130 $5,309 $38,460 $33,254 $63,510 $56,863 
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. We review individual AFS securities periodically to assess if additional impairment is required. For additional information about the Current Expected Credit Loss methodology and the review of investment securities for expected credit losses or impairment, refer to pages 144 to 145 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.
We monitor the credit quality of the HTM and AFS investment securities using a variety of methods, including both external and internal credit ratings. As of June 30, 2023, over 99% of our HTM and AFS investment portfolio is publicly rated investment grade.
We had no allowance for credit losses on our HTM securities as of both June 30, 2023 and December 31, 2022.
As of June 30, 2023, we had no allowance for credit losses on AFS investment securities. As of December 31, 2022, the total amortized cost included an allowance for credit losses on AFS investment securities of $2 million. In the second quarter of 2023, we recorded a $2 million reserve release and no charge-offs on AFS securities.
We have elected to not record an allowance on accrued interest for HTM and AFS 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.
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 resulting gross pre-tax unrealized losses of $7.85 billion related to 2,188 securities as of June 30, 2023 to be primarily related to changes in interest rates, and not the result of any material changes in the credit characteristics of the securities.