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v3.22.2.2

Investment Securities | 9 Months Ended
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Sep. 30, 2022
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 98% and 96% of our total investment securities portfolio as of September 30, 2022 and December 31, 2021 respectively. The table below presents the amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value aggregated by major security type as of September 30, 2022 and December 31, 2021. Accrued interest receivable of $227 million and $207 million as of September 30, 2022 and December 31, 2021, respectively, is not included in the table below. Table 2.1: Investment Securities Available for Sale
|  | September 30, 2022
(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 |  | $ | 5,124 |  |  | $ | 0 |  |  | $ | 1 |  |  | $ | (98) |  |  | $ | 5,027 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 71,245 |  |  | 0 |  |  | 37 |  |  | (10,069) |  |  | 61,213 |
Non-agency |  | 666 |  |  | (4) |  |  | 112 |  |  | (5) |  |  | 769 |
Total RMBS |  | 71,911 |  |  | (4) |  |  | 149 |  |  | (10,074) |  |  | 61,982 |
Agency CMBS |  | 8,055 |  |  | 0 |  |  | 2 |  |  | (761) |  |  | 7,296 |
Other securities(1) |  | 1,007 |  |  | 0 |  |  | 1 |  |  | (10) |  |  | 998 |
Total investment securities available for sale |  | $ | 86,097 |  |  | $ | (4) |  |  | $ | 153 |  |  | $ | (10,943) |  |  | $ | 75,303 |
|  | December 31, 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 |  | $ | 9,419 |  |  | $ | 0 |  |  | $ | 23 |  |  | $ | 0 |  |  | $ | 9,442 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 72,593 |  |  | 0 |  |  | 958 |  |  | (931) |  |  | 72,620 |
Non-agency |  | 792 |  |  | (1) |  |  | 205 |  |  | 0 |  |  | 996 |
Total RMBS |  | 73,385 |  |  | (1) |  |  | 1,163 |  |  | (931) |  |  | 73,616 |
Agency CMBS |  | 9,237 |  |  | 0 |  |  | 195 |  |  | (63) |  |  | 9,369 |
Other securities(1) |  | 2,830 |  |  | 0 |  |  | 6 |  |  | (2) |  |  | 2,834 |
Total investment securities available for sale |  | $ | 94,871 |  |  | $ | (1) |  |  | $ | 1,387 |  |  | $ | (996) |  |  | $ | 95,261 |
__________ (1)Includes $231 million and $2.0 billion of asset-backed securities (“ABS”) as of September 30, 2022 and December 31, 2021 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, 2022 and December 31, 2021. 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, 2022
|  | 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: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 4,593 |  |  | $ | (98) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 4,593 |  |  | $ | (98) |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 30,124 |  |  | (3,285) |  |  | 30,154 |  |  | (6,784) |  |  | 60,278 |  |  | (10,069) |
Non-agency |  | 16 |  |  | (1) |  |  | 3 |  |  | 0 |  |  | 19 |  |  | (1) |
Total RMBS |  | 30,140 |  |  | (3,286) |  |  | 30,157 |  |  | (6,784) |  |  | 60,297 |  |  | (10,070) |
Agency CMBS |  | 4,866 |  |  | (430) |  |  | 2,258 |  |  | (331) |  |  | 7,124 |  |  | (761) |
Other securities(1) |  | 522 |  |  | (7) |  |  | 81 |  |  | (3) |  |  | 603 |  |  | (10) |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2) |  | $ | 40,121 |  |  | $ | (3,821) |  |  | $ | 32,496 |  |  | $ | (7,118) |  |  | $ | 72,617 |  |  | $ | (10,939) |
|  | December 31, 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 |  | $ | 37,492 |  |  | $ | (632) |  |  | $ | 8,606 |  |  | $ | (299) |  |  | $ | 46,098 |  |  | $ | (931) |
Non-agency |  | 3 |  |  | 0 |  |  | 1 |  |  | 0 |  |  | 4 |  |  | 0 |
Total RMBS |  | 37,495 |  |  | (632) |  |  | 8,607 |  |  | (299) |  |  | 46,102 |  |  | (931) |
Agency CMBS |  | 2,999 |  |  | (36) |  |  | 803 |  |  | (27) |  |  | 3,802 |  |  | (63) |
Other securities(1) |  | 1,207 |  |  | (2) |  |  | 0 |  |  | 0 |  |  | 1,207 |  |  | (2) |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2) |  | $ | 41,701 |  |  | $ | (670) |  |  | $ | 9,410 |  |  | $ | (326) |  |  | $ | 51,111 |  |  | $ | (996) |
__________ (1) Includes primarily ABS, foreign government bonds, and supranational bonds. (2) Consists of approxima tely 2,730 and 740 se cur ities in gross unrealized loss positions as of September 30, 2022 and December 31, 2021, respectively. Maturities and Yields of Investment Securities The table below summarizes, as of September 30, 2022, the fair value of our investment securities by major security type and contractual maturity as well as the total fair value, amortized cost and weighted-average yields of our investment securities by contractual maturity. 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, 2022
(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 |  | $ | 0 |  |  | $ | 5,027 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 5,027 |
RMBS(1): |  |  |  |  |  |  |  |  |  |
Agency |  | 0 |  |  | 113 |  |  | 1,123 |  |  | 59,977 |  |  | 61,213 |
Non-agency |  | 0 |  |  | 0 |  |  | 0 |  |  | 769 |  |  | 769 |
Total RMBS |  | 0 |  |  | 113 |  |  | 1,123 |  |  | 60,746 |  |  | 61,982 |
Agency CMBS(1) |  | 174 |  |  | 2,046 |  |  | 3,391 |  |  | 1,685 |  |  | 7,296 |
Other securities |  | 242 |  |  | 756 |  |  | 0 |  |  | 0 |  |  | 998 |
Total securities available for sale |  | $ | 416 |  |  | $ | 7,942 |  |  | $ | 4,514 |  |  | $ | 62,431 |  |  | $ | 75,303 |
Amortized cost of securities available for sale |  | $ | 417 |  |  | $ | 8,199 |  |  | $ | 5,059 |  |  | $ | 72,422 |  |  | $ | 86,097 |
Weighted-average yield for securities available for sale |  | 3.34 | % |  | 1.69 | % |  | 2.28 | % |  | 2.23 | % |  | 2.19 | %
__________ (1)As of September 30, 2022, the weighted-average expected maturities of RMBS and Agency CMBS were 7.1 years and 5.1 years, respectively. Net Securities Gains or Losses and Proceeds from Sales For the three and nine months ended September 30, 2022, total proceeds from sales of our securities were $330 million and $2.6 billion, respectively, with losses of $3 million and $9 million, respectively. 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. Securities Pledged and Received We pledged investment securities totaling $18.7 billion and $20.8 billion as of September 30, 2022 and December 31, 2021, respectively. These securities are primarily pledged to secure Public Funds deposits and Federal Home Loan Banks (“FHLB”) advances, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $67 million and $1 million as of September 30, 2022 and December 31, 2021, respectively, 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 https://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 https://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 https://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 https://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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