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Investment Securities | 12 Months Ended
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Dec. 31, 2023
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 97% of our total investment securities portfolio as of both December 31, 2023 and 2022. 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. 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 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. Maturities and Yields of Investment 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. 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 |
Securities Pledged and Received We pledged investment securities totaling $45.1 billion and $21.3 billion as of December 31, 2023 and 2022, respectively. These securities are primarily pledged to support our access to FHLB advances, the Bank Term Funding Program (“BTFP”) and Public Fund Deposits, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $16 million and $82 million as of December 31, 2023 and 2022, respectively, related to our derivative transactions.

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