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Investment Securities
 9 Months Ended
Sep. 30, 2024
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 2023 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:
 September 30, 2024December 31, 2023
 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$19,146 $38 $60 $19,124 $8,427 $39 $165 $8,301 
Mortgage-backed securities(1)
11,270 78 88 11,260 10,870 49 164 10,755 
Total U.S. Treasury and federal agencies30,416 116 148 30,384 19,297 88 329 19,056 
Non-U.S. debt securities:
Mortgage-backed securities2,536 4 3 2,537 1,861 3 7 1,857 
Asset-backed securities(2)
2,289 6 2 2,293 2,148 2 13 2,137 
Non-U.S. sovereign, supranational and non-U.S. agency15,225 98 34 15,289 15,159 73 132 15,100 
Other(3)
2,842 58 4 2,896 2,733 39 37 2,735 
Total non-U.S. debt securities22,892 166 43 23,015 21,901 117 189 21,829 
Asset-backed securities:
Student loans(4)
91 2 — 93 113 1 — 114 
Collateralized loan obligations(5)
3,054 4 — 3,058 2,530 3 6 2,527 
Non-agency CMBS and RMBS(6)
1 4 — 5 252 — 3 249 
Other90 1 — 91 90 — — 90 
Total asset-backed securities3,236 11 — 3,247 2,985 4 9 2,980 
State and political subdivisions151 — — 151 356 — 1 355 
Other U.S. debt securities(7)
58 — 2 56 314 — 8 306 
Total available-for-sale securities(8)(9)
$56,753 $293 $193 $56,853 $44,853 $209 $536 $44,526 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$5,589 $— $64 $5,525 $8,584 $— $163 $8,421 
Mortgage-backed securities(10)
36,951 13 4,411 32,553 39,472 7 5,271 34,208 
Total U.S. Treasury and federal agencies42,540 13 4,475 38,078 48,056 7 5,434 42,629 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and non-U.S. agency4,332 9 77 4,264 5,757 8 153 5,612 
Total non-U.S. debt securities4,332 9 77 4,264 5,757 8 153 5,612 
Asset-backed securities:
Student loans(4)
2,605 5 27 2,583 3,298 2 62 3,238 
Non-agency CMBS and RMBS(11)
— — — — 6 18 — 24 
Total asset-backed securities2,605 5 27 2,583 3,304 20 62 3,262 
Total held-to-maturity securities(8)(12)
$49,477 $27 $4,579 $44,925 $57,117 $35 $5,649 $51,503 
(1) As of September 30, 2024 and December 31, 2023, the total fair value included $4.81 billion and $5.54 billion, respectively, of agency CMBS and $6.45 billion and $5.21 billion, respectively, of agency MBS.
(2) As of September 30, 2024 and December 31, 2023, the fair value includes non-U.S. collateralized loan obligations of $0.89 billion and $1.02 billion, respectively.
(3) As of September 30, 2024 and December 31, 2023, the fair value includes non-U.S. corporate bonds of $2.59 billion and $2.36 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 RMBS as of September 30, 2024 and entirely of non-agency CMBS as of December 31, 2023.
(7) As of September 30, 2024 and December 31, 2023, the fair value of U.S. corporate bonds was $0.06 billion and $0.31 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 periods ended September 30, 2024 and December 31, 2023.
(9) As of both September 30, 2024 and December 31, 2023, we had no allowance for credit losses on AFS investment securities.
(10) As of September 30, 2024 and December 31, 2023, the total amortized cost included $5.19 billion and $5.23 billion of agency CMBS, respectively.
(11) Consists entirely of non-agency RMBS as December 31, 2023.
(12) As of both September 30, 2024 and December 31, 2023, we had an allowance for credit losses on HTM investment securities of $1 million.
Aggregate investment securities with carrying values of approximately $85.97 billion and $71.30 billion as of September 30, 2024 and December 31, 2023, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.
In the three and nine months ended September 30, 2024, proceeds from sales of AFS securities were approximately $6.93 billion and $8.40 billion, respectively, primarily from sales of U.S. Treasury, non-U.S. agency, supranational and mortgage-backed securities as part of an investment portfolio repositioning in the third quarter of 2024. We recognized a pre-tax loss of approximately $80 million from these sales in both the three and nine months ended September 30, 2024.
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:
September 30, 2024
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$11,115 $28 $2,436 $32 $13,551 $60 
Mortgage-backed securities460 2 4,774 86 5,234 88 
Total U.S. Treasury and federal agencies11,575 30 7,210 118 18,785 148 
Non-U.S. debt securities:
Mortgage-backed securities750 1 381 2 1,131 3 
Asset-backed securities221 — 667 2 888 2 
Non-U.S. sovereign, supranational and non-U.S. agency3,220 9 3,126 25 6,346 34 
Other231 — 146 4 377 4 
Total non-U.S. debt securities4,422 10 4,320 33 8,742 43 
Other U.S. debt securities— — 53 2 53 2 
Total$15,997 $40 $11,583 $153 $27,580 $193 

December 31, 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$333 $2 $5,416 $163 $5,749 $165 
Mortgage-backed securities961 6 6,512 158 7,473 164 
Total U.S. Treasury and federal agencies1,294 8 11,928 321 13,222 329 
Non-U.S. debt securities:
Mortgage-backed securities424 1 719 6 1,143 7 
Asset-backed securities358 — 1,052 13 1,410 13 
Non-U.S. sovereign, supranational and non-U.S. agency3,972 7 5,788 125 9,760 132 
Other50 — 893 37 943 37 
Total non-U.S. debt securities4,804 8 8,452 181 13,256 189 
Asset-backed securities:
Collateralized loan obligations183 — 1,605 6 1,788 6 
Non-agency CMBS and RMBS35 — 180 3 215 3 
Total asset-backed securities218 — 1,785 9 2,003 9 
State and political subdivisions64 — 104 1 168 1 
Other U.S. debt securities3 — 303 8 306 8 
Total$6,383 $16 $22,572 $520 $28,955 $536 
The following table presents the amortized cost and the fair value of contractual maturities of debt investment securities as of September 30, 2024. 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.
September 30, 2024
(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$4,884 $4,890 $11,563 $11,545 $2,699 $2,689 $— $— $19,146 $19,124 
Mortgage-backed securities38 38 2,011 2,007 2,804 2,774 6,417 6,441 11,270 11,260 
Total U.S. Treasury and federal agencies4,922 4,928 13,574 13,552 5,503 5,463 6,417 6,441 30,416 30,384 
Non-U.S. debt securities:
Mortgage-backed securities127 128 411 411 52 52 1,946 1,946 2,536 2,537 
Asset-backed securities349 347 415 415 1,083 1,086 442 445 2,289 2,293 
Non-U.S. sovereign, supranational and non-U.S. agency3,090 3,087 10,584 10,653 1,551 1,549 — — 15,225 15,289 
Other320 319 2,391 2,441 131 136 — — 2,842 2,896 
Total non-U.S. debt securities3,886 3,881 13,801 13,920 2,817 2,823 2,388 2,391 22,892 23,015 
Asset-backed securities:
Student loans24 25 — — 12 12 55 56 91 93 
Collateralized loan obligations20 20 151 151 1,776 1,778 1,107 1,109 3,054 3,058 
Non-agency CMBS and RMBS— — — — — — 1 5 1 5 
Other— — 90 91 — — — — 90 91 
Total asset-backed securities44 45 241 242 1,788 1,790 1,163 1,170 3,236 3,247 
State and political subdivisions30 30 67 67 54 54 — — 151 151 
Other U.S. debt securities32 31 26 25 — — — — 58 56 
Total$8,914 $8,915 $27,709 $27,806 $10,162 $10,130 $9,968 $10,002 $56,753 $56,853 
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations$3,520 $3,487 $2,060 $2,029 $1 $1 $8 $8 $5,589 $5,525 
Mortgage-backed securities137 126 1,329 1,246 3,678 3,220 31,807 27,961 36,951 32,553 
Total U.S. Treasury and federal agencies3,657 3,613 3,389 3,275 3,679 3,221 31,815 27,969 42,540 38,078 
Non-U.S. debt securities:
Non-U.S. sovereign, supranational and non-U.S. agency1,524 1,511 2,545 2,498 263 255 — — 4,332 4,264 
Total non-U.S. debt securities1,524 1,511 2,545 2,498 263 255 — — 4,332 4,264 
Asset-backed securities:
Student loans156 153 283 283 421 421 1,745 1,726 2,605 2,583 
Total asset-backed securities156 153 283 283 421 421 1,745 1,726 2,605 2,583 
Total$5,337 $5,277 $6,217 $6,056 $4,363 $3,897 $33,560 $29,695 $49,477 $44,925 
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 page 145 to 146 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2023 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 September 30, 2024, over 99% of our HTM and AFS investment portfolio is publicly rated investment grade.
As of both September 30, 2024 and December 31, 2023, we had an allowance for credit losses on HTM investment securities of $1 million. In the third quarter of 2024, we recorded no provision for credit losses and no charge-offs on HTM securities.
As of both September 30, 2024 and December 31, 2023, we had no allowance for credit losses on AFS investment securities. In the third quarter of 2024, we recorded no provision for credit losses 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 aggregate decline in fair value of the investment securities portfolio and the resulting gross pre-tax unrealized losses of $4.77 billion related to 1,478 securities as of September 30, 2024 to be primarily related to changes in interest rates, and not the result of any material changes in the credit characteristics of the securities.