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v3.23.1

Investment Securities (Tables) | 3 Months Ended
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Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract] |
Schedule of Available-for-Sale Securities | 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 March 31, 2023 and December 31, 2022. Accrued interest receivable of $247 million and $215 million as of March 31, 2023 and December 31, 2022, respectively, is not included in the table below. Table 2.1: Investment Securities Available for Sale
|  | March 31, 2023
(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 |  | $ | 5,230 |  |  | $ | 0 |  |  | $ | 3 |  |  | $ | (70) |  |  | $ | 5,163 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 73,853 |  |  | 0 |  |  | 106 |  |  | (8,338) |  |  | 65,621 |
Non-agency |  | 641 |  |  | (2) |  |  | 97 |  |  | (6) |  |  | 730 |
Total RMBS |  | 74,494 |  |  | (2) |  |  | 203 |  |  | (8,344) |  |  | 66,351 |
Agency CMBS |  | 9,076 |  |  | 0 |  |  | 14 |  |  | (661) |  |  | 8,429 |
Other securities(1) |  | 1,985 |  |  | 0 |  |  | 4 |  |  | (7) |  |  | 1,982 |
Total investment securities available for sale |  | $ | 90,785 |  |  | $ | (2) |  |  | $ | 224 |  |  | $ | (9,082) |  |  | $ | 81,925 |
|  | December 31, 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 |  | $ | 5,129 |  |  | $ | 0 |  |  | $ | 2 |  |  | $ | (90) |  |  | $ | 5,041 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 71,212 |  |  | 0 |  |  | 53 |  |  | (9,413) |  |  | 61,852 |
Non-agency |  | 653 |  |  | (3) |  |  | 93 |  |  | (6) |  |  | 737 |
Total RMBS |  | 71,865 |  |  | (3) |  |  | 146 |  |  | (9,419) |  |  | 62,589 |
Agency CMBS |  | 8,626 |  |  | 0 |  |  | 4 |  |  | (760) |  |  | 7,870 |
Other securities(1) |  | 1,427 |  |  | 0 |  |  | 2 |  |  | (10) |  |  | 1,419 |
Total investment securities available for sale |  | $ | 87,047 |  |  | $ | (3) |  |  | $ | 154 |  |  | $ | (10,279) |  |  | $ | 76,919 |
__________ (1)Includes $1.3 billion and $707 million of asset-backed securities (“ABS”) as of March 31, 2023 and December 31, 2022, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds.
Schedule of Available-for-Sale Securities in 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 March 31, 2023 and December 31, 2022. The amounts include securities available for sale without an allowance for credit losses. Table 2.2: Securities in a Gross Unrealized Loss Position
|  | March 31, 2023
|  | 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 |  | $ | 1,059 |  |  | $ | (20) |  |  | $ | 1,155 |  |  | $ | (50) |  |  | $ | 2,214 |  |  | $ | (70) |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 9,925 |  |  | (267) |  |  | 50,456 |  |  | (8,071) |  |  | 60,381 |  |  | (8,338) |
Non-agency |  | 8 |  |  | 0 |  |  | 9 |  |  | (1) |  |  | 17 |  |  | (1) |
Total RMBS |  | 9,933 |  |  | (267) |  |  | 50,465 |  |  | (8,072) |  |  | 60,398 |  |  | (8,339) |
Agency CMBS |  | 1,884 |  |  | (42) |  |  | 5,633 |  |  | (619) |  |  | 7,517 |  |  | (661) |
Other securities |  | 531 |  |  | 0 |  |  | 374 |  |  | (7) |  |  | 905 |  |  | (7) |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1) |  | $ | 13,407 |  |  | $ | (329) |  |  | $ | 57,627 |  |  | $ | (8,748) |  |  | $ | 71,034 |  |  | $ | (9,077) |
|  | December 31, 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 |  | $ | 2,464 |  |  | $ | (57) |  |  | $ | 448 |  |  | $ | (33) |  |  | $ | 2,912 |  |  | $ | (90) |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 23,271 |  |  | (1,809) |  |  | 36,803 |  |  | (7,604) |  |  | 60,074 |  |  | (9,413) |
Non-agency |  | 14 |  |  | (1) |  |  | 3 |  |  | 0 |  |  | 17 |  |  | (1) |
Total RMBS |  | 23,285 |  |  | (1,810) |  |  | 36,806 |  |  | (7,604) |  |  | 60,091 |  |  | (9,414) |
Agency CMBS |  | 4,325 |  |  | (267) |  |  | 3,214 |  |  | (493) |  |  | 7,539 |  |  | (760) |
Other securities |  | 555 |  |  | (7) |  |  | 76 |  |  | (3) |  |  | 631 |  |  | (10) |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1) |  | $ | 30,629 |  |  | $ | (2,141) |  |  | $ | 40,544 |  |  | $ | (8,133) |  |  | $ | 71,173 |  |  | $ | (10,274) |
__________ (1) Consists of approxima tely 2,760 and 2,840 se cur ities in gross unrealized loss positions as of March 31, 2023 and December 31, 2022, respectively.
Schedule of Contractual Maturities for Securities | The table below summarizes, as of March 31, 2023, 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. Since 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
|  | March 31, 2023
(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 |  | $ | 217 |  | $ | 4,946 |  | $ | 0 |  | $ | 0 |  | $ | 5,163
RMBS(1): |  |  |  |  |  |  |  |  |  |
Agency |  | 0 |  | 91 |  | 1,146 |  | 64,384 |  | 65,621
Non-agency |  | 0 |  | 0 |  | 0 |  | 730 |  | 730
Total RMBS |  | 0 |  | 91 |  | 1,146 |  | 65,114 |  | 66,351
Agency CMBS(1) |  | 180 |  | 2,533 |  | 3,588 |  | 2,128 |  | 8,429
Other securities |  | 487 |  | 1,465 |  | 30 |  | 0 |  | 1,982
Total securities available for sale |  | $ | 884 |  | $ | 9,035 |  | $ | 4,764 |  | $ | 67,242 |  | $ | 81,925
Amortized cost of securities available for sale |  | $ | 889 |  | $ | 9,255 |  | $ | 5,194 |  | $ | 75,447 |  | $ | 90,785
Weighted-average yield for securities available for sale |  | 3.46% |  | 3.49% |  | 2.97% |  | 2.80% |  | 2.88%
__________ (1)As of March 31, 2023, the weighted-average expected maturities of RMBS and Agency CMBS were 6.9 years and 4.8 years, respectively.

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