Accumulated net unrealized loss on AFS debt securities

  
NOTE 4 Securities The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at September 30, 2022 and December 31, 2021.

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| Debt Securities  |  |  |  |  |  |  |  |  |  |  |  |  |
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|  | AmortizedCost |  | GrossUnrealizedGains |  | GrossUnrealizedLosses |  | Fair Value |  | AmortizedCost |  | GrossUnrealizedGains |  | GrossUnrealizedLosses |  | Fair Value |
| (Dollars in millions) | September 30, 2022 |  | December 31, 2021 |
| Available-for-sale debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Agency | $ | 25,743  |  |  | $ | 5  |  |  | $ | (2,144) |  |  | $ | 23,604  |  |  | $ | 45,268  |  |  | $ | 1,257  |  |  | $ | (186) |  |  | $ | 46,339  |  |
| Agency-collateralized mortgage obligations | 2,589  |  |  | —  |  |  | (220) |  |  | 2,369  |  |  | 3,331  |  |  | 74  |  |  | (25) |  |  | 3,380  |  |
| Commercial | 6,248  |  |  | 24  |  |  | (499) |  |  | 5,773  |  |  | 19,036  |  |  | 647  |  |  | (79) |  |  | 19,604  |  |
| Non-agency residential (1) | 467  |  |  | 16  |  |  | (83) |  |  | 400  |  |  | 591  |  |  | 25  |  |  | (33) |  |  | 583  |  |
| Total mortgage-backed securities | 35,047  |  |  | 45  |  |  | (2,946) |  |  | 32,146  |  |  | 68,226  |  |  | 2,003  |  |  | (323) |  |  | 69,906  |  |
| U.S. Treasury and government agencies | 169,368  |  |  | 42  |  |  | (1,797) |  |  | 167,613  |  |  | 197,853  |  |  | 1,610  |  |  | (318) |  |  | 199,145  |  |
| Non-U.S. securities | 11,046  |  |  | 1  |  |  | (44) |  |  | 11,003  |  |  | 11,933  |  |  | —  |  |  | —  |  |  | 11,933  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Other taxable securities | 3,481  |  |  | —  |  |  | (76) |  |  | 3,405  |  |  | 2,725  |  |  | 39  |  |  | (3) |  |  | 2,761  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Tax-exempt securities | 12,544  |  |  | —  |  |  | (372) |  |  | 12,172  |  |  | 15,155  |  |  | 317  |  |  | (39) |  |  | 15,433  |  |
| Total available-for-sale debt securities  | 231,486  |  |  | 88  |  |  | (5,235) |  |  | 226,339  |  |  | 295,892  |  |  | 3,969  |  |  | (683) |  |  | 299,178  |  |
| Other debt securities carried at fair value (2) | 10,223  |  |  | 54  |  |  | (371) |  |  | 9,906  |  |  | 8,873  |  |  | 105  |  |  | (83) |  |  | 8,895  |  |
| Total debt securities carried at fair value | 241,709  |  |  | 142  |  |  | (5,606) |  |  | 236,245  |  |  | 304,765  |  |  | 4,074  |  |  | (766) |  |  | 308,073  |  |
| Held-to-maturity debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Agency mortgage-backed securities | 513,977  |  |  | —  |  |  | (94,111) |  |  | 419,866  |  |  | 553,721  |  |  | 3,855  |  |  | (10,366) |  |  | 547,210  |  |
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| U.S. Treasury and government agencies | 121,585  |  |  | —  |  |  | (21,089) |  |  | 100,496  |  |  | 111,859  |  |  | 254  |  |  | (2,395) |  |  | 109,718  |  |
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| Other taxable securities | 8,181  |  |  | —  |  |  | (990) |  |  | 7,191  |  |  | 9,011  |  |  | 147  |  |  | (196) |  |  | 8,962  |  |
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| Total held-to-maturity debt securities | 643,743  |  |  | —  |  |  | (116,190) |  |  | 527,553  |  |  | 674,591  |  |  | 4,256  |  |  | (12,957) |  |  | 665,890  |  |
| Total debt securities (3,4) | $ | 885,452  |  |  | $ | 142  |  |  | $ | (121,796) |  |  | $ | 763,798  |  |  | $ | 979,356  |  |  | $ | 8,330  |  |  | $ | (13,723) |  |  | $ | 973,963  |  |
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(1)At September 30, 2022 and December 31, 2021, the underlying collateral type included approximately 17 percent and 21 percent prime and 83 percent and 79 percent subprime.(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 14 – Fair Value Measurements. (3)Includes securities pledged as collateral of $103.1 billion and $111.9 billion at September 30, 2022 and December 31, 2021.(4)The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $296.5 billion and $179.4 billion, and a fair value of $241.8 billion and $145.1 billion at September 30, 2022, and an amortized cost of $345.3 billion and $205.3 billion, and a fair value of $342.5 billion and $202.4 billion at December 31, 2021.At September 30, 2022, the accumulated net unrealized loss on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $3.9 billion, net of the related income tax benefit of $1.3 billion. At September 30, 2022 and December 31, 2021, nonperforming AFS debt securities held by the Corporation were not significant.At September 30, 2022 and December 31, 2021, the Corporation had $199.3 billion and $268.5 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. For the remaining $27.0 billion and $30.7 billion in AFS debt securities at September 30, 2022 and December 31, 2021, the amount of expected credit losses was not significant. At September 30, 2022 and December 31, 2021, the Corporation had $527.6 billion and $665.9 billion in HTM debt securities, which were substantially all U.S agency and U.S. Treasury securities that have a zero credit loss assumption. At September 30, 2022 and December 31, 2021, the Corporation held equity securities at an aggregate fair value of $620 million and $513 million and other equity securities, as valued under the measurement alternative, at a carrying value of $311 million and $266 million, both of which are included in other assets. At September 30, 2022 and December 31, 2021, the Corporation also held money market investments at a fair value of $682 million and $707 million, which are included in time deposits placed and other short-term investments.The gross realized gains and losses on sales of AFS debt securities for the three and nine months ended September 30, 2022 and 2021 are presented in the table below.

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| Gains and Losses on Sales of AFS Debt Securities |
|  |  |  | Three Months Ended September 30 |  | Nine Months Ended September 30 |
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| (Dollars in millions) |  |  |  |  | 2022 |  | 2021 |  | 2022 |  | 2021 |
| Gross gains |  |  |  |  | $ | 540  |  |  | $ | 4  |  |  | $ | 1,243  |  |  | $ | 19  |  |
| Gross losses |  |  |  |  | (526) |  |  | —  |  |  | (1,206) |  |  | (15) |  |
| Net gains on sales of AFS debt securities |  |  |  |  | $ | 14  |  |  | $ | 4  |  |  | $ | 37  |  |  | $ | 4  |  |
| Income tax expense attributable to realized net gains on sales of AFS debt securities |  |  |  |  | $ | 4  |  |  | $ | 1  |  |  | $ | 9  |  |  | $ | 1  |  |

 

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|  |  | Bank of America  62 |


