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Investment Securities | 9 Months Ended
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Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
Investment Securities |
NOTE 2—INVESTMENT SECURITIES
Our investment securities portfolio consists of the following: U.S. government-sponsored enterprise or agency (“Agency”) and non-agency residential mortgage-backed securities (“RMBS”), Agency commercial mortgage-backed securities (“CMBS”), U.S. Treasury securities and other securities. Agency securities include Government National Mortgage Association (“Ginnie Mae”) guaranteed securities, Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) issued securities. The carrying value of our investments in Agency and U.S. Treasury securities represented 96% of our total investment securities portfolio as of both September 30, 2021 and December 31, 2020. The table below presents the amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of September 30, 2021 and December 31, 2020. Accrued interest receivable of $227 million and $230 million as of September 30, 2021, and December 31, 2020, respectively, is not included in the table below. Table 2.1: Investment Securities Available for Sale
|  | September 30, 2021
(Dollars in millions) |  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 9,094 |  |  | $ | 0 |  |  | $ | 15 |  |  | $ | 0 |  |  | $ | 9,109 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 73,924 |  |  | 0 |  |  | 1,325 |  |  | (617) |  |  | 74,632 |
Non-agency |  | 844 |  |  | (1) |  |  | 206 |  |  | 0 |  |  | 1,049 |
Total RMBS |  | 74,768 |  |  | (1) |  |  | 1,531 |  |  | (617) |  |  | 75,681 |
Agency CMBS |  | 9,973 |  |  | 0 |  |  | 265 |  |  | (41) |  |  | 10,197 |
Other securities(1) |  | 3,154 |  |  | 0 |  |  | 8 |  |  | 0 |  |  | 3,162 |
Total investment securities available for sale |  | $ | 96,989 |  |  | $ | (1) |  |  | $ | 1,819 |  |  | $ | (658) |  |  | $ | 98,149 |
|  | December 31, 2020
(Dollars in millions) |  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 9,302 |  |  | $ | 0 |  |  | $ | 16 |  |  | $ | 0 |  |  | $ | 9,318 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 73,248 |  |  | 0 |  |  | 2,326 |  |  | (108) |  |  | 75,466 |
Non-agency |  | 1,035 |  |  | (1) |  |  | 204 |  |  | (1) |  |  | 1,237 |
Total RMBS |  | 74,283 |  |  | (1) |  |  | 2,530 |  |  | (109) |  |  | 76,703 |
Agency CMBS |  | 11,298 |  |  | 0 |  |  | 448 |  |  | (11) |  |  | 11,735 |
Other securities(1) |  | 2,686 |  |  | 0 |  |  | 3 |  |  | 0 |  |  | 2,689 |
Total investment securities available for sale |  | $ | 97,569 |  |  | $ | (1) |  |  | $ | 2,997 |  |  | $ | (120) |  |  | $ | 100,445 |
__________ (1)Includes $2.3 billion and $1.8 billion of asset-backed securities (“ABS”) as of September 30, 2021, and December 31, 2020, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds. Investment Securities in a Gross Unrealized Loss Position The table below provides the gross unrealized losses and fair value of our securities available for sale aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position as of September 30, 2021 and December 31, 2020. The amounts include securities available for sale without an allowance for credit losses. Table 2.2: Securities in a Gross Unrealized Loss Position
|  | September 30, 2021
|  | Less than 12 Months |  | 12 Months or Longer |  | Total
(Dollars in millions) |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses
Investment securities available for sale without an allowance for credit losses: |  |  |  |  |  |  |  |  |  |  |  |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | $ | 35,415 |  |  | $ | (519) |  |  | $ | 4,068 |  |  | $ | (98) |  |  | $ | 39,483 |  |  | $ | (617) |
Non-agency |  | 0 |  |  | 0 |  |  | 1 |  |  | 0 |  |  | 1 |  |  | 0 |
Total RMBS |  | 35,415 |  |  | (519) |  |  | 4,069 |  |  | (98) |  |  | 39,484 |  |  | (617) |
Agency CMBS |  | 1,746 |  |  | (26) |  |  | 561 |  |  | (15) |  |  | 2,307 |  |  | (41) |
Other securities(1) |  | 470 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 470 |  |  | 0 |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2) |  | $ | 37,631 |  |  | $ | (545) |  |  | $ | 4,630 |  |  | $ | (113) |  |  | $ | 42,261 |  |  | $ | (658) |
|  | December 31, 2020
|  | Less than 12 Months |  | 12 Months or Longer |  | Total
(Dollars in millions) |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses
Investment securities available for sale without an allowance for credit losses: |  |  |  |  |  |  |  |  |  |  |  |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | $ | 7,424 |  |  | $ | (57) |  |  | $ | 1,791 |  |  | $ | (51) |  |  | $ | 9,215 |  |  | $ | (108) |
Non-agency |  | 12 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 12 |  |  | 0 |
Total RMBS |  | 7,436 |  |  | (57) |  |  | 1,791 |  |  | (51) |  |  | 9,227 |  |  | (108) |
Agency CMBS |  | 1,545 |  |  | (7) |  |  | 267 |  |  | (4) |  |  | 1,812 |  |  | (11) |
Other securities(1) |  | 114 |  |  | 0 |  |  | 1 |  |  | 0 |  |  | 115 |  |  | 0 |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2) |  | $ | 9,095 |  |  | $ | (64) |  |  | $ | 2,059 |  |  | $ | (55) |  |  | $ | 11,154 |  |  | $ | (119) |
__________ (1) Includes primarily other asset-backed securities, foreign government bonds, and supranational bonds. (2) Consists of approxima tely 540 and 320 se cur ities in gross unrealized loss positions as of September 30, 2021 and December 31, 2020, respectively. Maturities and Yields of Investment Securities The table below summarizes, by major security type, the contractual maturities and weighted-average yields of our investment securities as of September 30, 2021. Because borrowers may have the right to call or prepay certain obligations, the expected maturities of our securities are likely to differ from the scheduled contractual maturities presented below. The weighted-average yield below represents the effective yield for the investment securities and is calculated based on the amortized cost of each security. Table 2.3: Contractual Maturities and Weighted-Average Yields of Securities
|  | September 30, 2021
(Dollars in millions) |  | Due in 1 Year or Less |  | Due > 1 Year through 5 Years |  | Due > 5 Years through 10 Years |  | Due > 10 Years |  | Total
Fair value of securities available for sale: |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 5,203 |  |  | $ | 3,906 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 9,109 |
RMBS(1): |  |  |  |  |  |  |  |  |  |
Agency |  | 0 |  |  | 137 |  |  | 1,106 |  |  | 73,389 |  |  | 74,632 |
Non-agency |  | 0 |  |  | 0 |  |  | 0 |  |  | 1,049 |  |  | 1,049 |
Total RMBS |  | 0 |  |  | 137 |  |  | 1,106 |  |  | 74,438 |  |  | 75,681 |
Agency CMBS(1) |  | 570 |  |  | 2,489 |  |  | 4,462 |  |  | 2,676 |  |  | 10,197 |
Other securities |  | 252 |  |  | 2,585 |  |  | 325 |  |  | 0 |  |  | 3,162 |
Total securities available for sale |  | $ | 6,025 |  |  | $ | 9,117 |  |  | $ | 5,893 |  |  | $ | 77,114 |  |  | $ | 98,149 |
Amortized cost of securities available for sale |  | $ | 6,019 |  |  | $ | 9,062 |  |  | $ | 5,761 |  |  | $ | 76,147 |  |  | $ | 96,989 |
Weighted-average yield for securities available for sale |  | 0.31 | % |  | 0.72 | % |  | 1.66 | % |  | 1.71 | % |  | 1.53 | %
__________ (1)As of September 30, 2021, the weighted-average expected maturities of RMBS and Agency CMBS were 5.3 years and 5.5 years, respectively. Net Securities Gains or Losses and Proceeds from Sales For the three and nine months ended September 30, 2021, total proceeds from sales of our securities were $1.1 billion and $1.7 billion, respectively, with gains of $2 million and $6 million, respectively. For the three and nine months ended September 30, 2020, total proceeds from the sale of our securities were $668 million and $812 million respectively, with gains of $25 million in both periods. Securities Pledged and Received We pledged investment securities totaling $19.6 billion and $16.5 billion as of September 30, 2021 and December 31, 2020, respectively. These securities are primarily pledged to secure FHLB advances and Public Funds deposits, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $1 million as of both September 30, 2021 and December 31, 2020, related to our derivative transactions.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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