XML 65 R35.htm IDEA: XBRL DOCUMENT
v3.24.0.1

Investment Securities (Tables) | 12 Months Ended
--- | ---
Dec. 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 December 31, 2023 and 2022. Accrued interest receivable of $227 million and $215 million as of December 31, 2023 and 2022, respectively, is not included in the table below. Table 2.1: Investment Securities Available for Sale
|  | December 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 |  | $ | 5,330 |  |  | $ | 0 |  |  | $ | 1 |  |  | $ | (49) |  |  | $ | 5,282 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 71,294 |  |  | 0 |  |  | 104 |  |  | (8,450) |  |  | 62,948 |
Non-agency |  | 610 |  |  | (4) |  |  | 89 |  |  | (5) |  |  | 690 |
Total RMBS |  | 71,904 |  |  | (4) |  |  | 193 |  |  | (8,455) |  |  | 63,638 |
Agency CMBS |  | 8,961 |  |  | 0 |  |  | 14 |  |  | (652) |  |  | 8,323 |
Other securities(1) |  | 1,868 |  |  | 0 |  |  | 6 |  |  | 0 |  |  | 1,874 |
Total investment securities available for sale |  | $ | 88,063 |  |  | $ | (4) |  |  | $ | 214 |  |  | $ | (9,156) |  |  | $ | 79,117 |
|  | 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 $1.4 billion and $707 million of asset-backed securities (“ABS”) as of December 31, 2023 and 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 December 31, 2023 and 2022. The amounts include securities available for sale without an allowance for credit losses. Table 2.2: Securities in a Gross Unrealized Loss Position
|  | December 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 |  | $ | 733 |  |  | $ | 0 |  |  | $ | 2,242 |  |  | $ | (49) |  |  | $ | 2,975 |  |  | $ | (49) |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 3,511 |  |  | (43) |  |  | 53,987 |  |  | (8,407) |  |  | 57,498 |  |  | (8,450) |
Non-agency |  | 1 |  |  | 0 |  |  | 13 |  |  | (1) |  |  | 14 |  |  | (1) |
Total RMBS |  | 3,512 |  |  | (43) |  |  | 54,000 |  |  | (8,408) |  |  | 57,512 |  |  | (8,451) |
Agency CMBS |  | 547 |  |  | (7) |  |  | 6,465 |  |  | (645) |  |  | 7,012 |  |  | (652) |
Other securities |  | 276 |  |  | 0 |  |  | 4 |  |  | 0 |  |  | 280 |  |  | 0 |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1) |  | $ | 5,068 |  |  | $ | (50) |  |  | $ | 62,711 |  |  | $ | (9,102) |  |  | $ | 67,779 |  |  | $ | (9,152) |
|  | 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 2,740 and 2,840 se cur ities in gross unrealized loss positions as of December 31, 2023 and 2022, respectively.
Schedule of Contractual Maturities for Securities | The table below summarizes, as of December 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
|  | December 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 |  | $ | 1,927 |  | $ | 3,355 |  | $ | 0 |  | $ | 0 |  | $ | 5,282
RMBS(1): |  |  |  |  |  |  |  |  |  |
Agency |  | 1 |  | 107 |  | 1,123 |  | 61,717 |  | 62,948
Non-agency |  | 0 |  | 0 |  | 5 |  | 685 |  | 690
Total RMBS |  | 1 |  | 107 |  | 1,128 |  | 62,402 |  | 63,638
Agency CMBS(1) |  | 259 |  | 2,623 |  | 3,502 |  | 1,939 |  | 8,323
Other securities |  | 282 |  | 1,566 |  | 26 |  | 0 |  | 1,874
Total securities available for sale |  | $ | 2,469 |  | $ | 7,651 |  | $ | 4,656 |  | $ | 64,341 |  | $ | 79,117
Amortized cost of securities available for sale |  | $ | 2,491 |  | $ | 7,840 |  | $ | 5,038 |  | $ | 72,694 |  | $ | 88,063
Weighted-average yield for securities available for sale |  | 3.71% |  | 4.04% |  | 3.45% |  | 2.92% |  | 3.08%
__________ (1)As of December 31, 2023, the weighted-average expected maturities of RMBS and Agency CMBS were 6.8 years and 4.6 years, respectively.
Schedule of Realized Gain (Loss) | Table 2.4 Net Securities Gains or Losses and Proceeds from Sales The following table presents the gross realized gains or losses and proceeds from the sale of securities available for sale for the years ended December 31, 2023, 2022 and 2021.
|  | Year Ended December 31,
(Dollars in millions) |  | 2023 |  | 2022 |  | 2021
Realized gains (losses): |  |  |  |  |  |
Gross realized gains |  | $ | 0 |  |  | $ | 1 |  |  | $ | 10 |
Gross realized losses |  | (34) |  |  | (10) |  |  | (8) |
Net realized gains (losses) |  | $ | (34) |  |  | $ | (9) |  |  | $ | 2 |
Total proceeds from sales |  | $ | 290 |  |  | $ | 2,570 |  |  | $ | 2,776 |

X
- Definition Tabular disclosure of fair value of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale), in unrealized loss position, without allowance for credit loss. Includes beneficial interest in securitized financial asset. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 326 -SubTopic 30 -Name Accounting Standards Codification -Section 55 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147479081/326-30-55-8 Reference 2: http://fasb.org/us-gaap/role/ref/otherTransitionRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-6 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 326 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147479106/326-30-50-4 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleUnrealizedLossPositionFairValueTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of maturities of an entity's investments as well as any other information pertinent to the investments. + References No definition available. + Details
Name: | us-gaap_InvestmentsClassifiedByContractualMaturityDateTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the reconciliation of available-for-sale securities from cost basis to fair value. + References No definition available. + Details
Name: | us-gaap_ScheduleOfAvailableForSaleSecuritiesReconciliationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the proceeds from sales of available-for-sale securities and the gross realized gains and gross realized losses that have been included in earnings as a result of those sales. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 9 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-9 + Details
Name: | us-gaap_ScheduleOfRealizedGainLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration