XML 23 R11.htm IDEA: XBRL DOCUMENT
v3.24.1.u1

Investment Securities | 3 Months Ended
--- | ---
Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract] |
Investment Securities |
NOTE 3—INVESTMENT SECURITIES
Our investment securities portfolio consists of the following: U.S. government-sponsored enterprise or agency (“GSE” or “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% and 97% of our total investment securities portfolio as of March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023. Accrued interest receivable of $248 million and $227 million as of March 31, 2024 and December 31, 2023, respectively, is not included in the table below. Table 3.1: Investment Securities Available for Sale
|  | March 31, 2024
(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 |  | $ | 5,764 |  |  | $ | 0 |  |  | $ | 3 |  |  | $ | (39) |  |  | $ | 5,728 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 71,153 |  |  | 0 |  |  | 74 |  |  | (9,506) |  |  | 61,721 |
Non-agency |  | 600 |  |  | (4) |  |  | 86 |  |  | (5) |  |  | 677 |
Total RMBS |  | 71,753 |  |  | (4) |  |  | 160 |  |  | (9,511) |  |  | 62,398 |
Agency CMBS |  | 8,867 |  |  | 0 |  |  | 19 |  |  | (693) |  |  | 8,193 |
Other securities(1) |  | 2,075 |  |  | 0 |  |  | 4 |  |  | 0 |  |  | 2,079 |
Total investment securities available for sale |  | $ | 88,459 |  |  | $ | (4) |  |  | $ | 186 |  |  | $ | (10,243) |  |  | $ | 78,398 |
|  | 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 |
__________ (1)Includes $1.6 billion and $1.4 billion of asset-backed securities (“ABS”) as of March 31, 2024 and December 31, 2023, respectively. The remaining amount is primarily comprised of supranational bonds, foreign government bonds and U.S. agency debt 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 March 31, 2024 and December 31, 2023. The amounts include securities available for sale without an allowance for credit losses. Table 3.2: Securities in a Gross Unrealized Loss Position
|  | March 31, 2024
|  | 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 |  | $ | 443 |  |  | $ | (1) |  |  | $ | 2,099 |  |  | $ | (38) |  |  | $ | 2,542 |  |  | $ | (39) |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 3,213 |  |  | (36) |  |  | 53,912 |  |  | (9,470) |  |  | 57,125 |  |  | (9,506) |
Non-agency |  | 5 |  |  | 0 |  |  | 14 |  |  | (1) |  |  | 19 |  |  | (1) |
Total RMBS |  | 3,218 |  |  | (36) |  |  | 53,926 |  |  | (9,471) |  |  | 57,144 |  |  | (9,507) |
Agency CMBS |  | 544 |  |  | (5) |  |  | 6,509 |  |  | (688) |  |  | 7,053 |  |  | (693) |
Other securities |  | 398 |  |  | 0 |  |  | 99 |  |  | 0 |  |  | 497 |  |  | 0 |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1) |  | $ | 4,603 |  |  | $ | (42) |  |  | $ | 62,633 |  |  | $ | (10,197) |  |  | $ | 67,236 |  |  | $ | (10,239) |
|  | 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) |
__________ (1) Consists of approxima tely 2,770 and 2,740 se cur ities in gross unrealized loss positions as of March 31, 2024 and December 31, 2023, respectively. Maturities and Yields of Investment Securities The table below summarizes, as of March 31, 2024, 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 3.3: Contractual Maturities and Weighted-Average Yields of Securities
|  | March 31, 2024
(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 |  | $ | 1,892 |  | $ | 3,542 |  | $ | 294 |  | $ | 0 |  | $ | 5,728
RMBS(1): |  |  |  |  |  |  |  |  |  |
Agency |  | 2 |  | 92 |  | 1,073 |  | 60,554 |  | 61,721
Non-agency |  | 0 |  | 0 |  | 5 |  | 672 |  | 677
Total RMBS |  | 2 |  | 92 |  | 1,078 |  | 61,226 |  | 62,398
Agency CMBS(1) |  | 494 |  | 2,482 |  | 3,221 |  | 1,996 |  | 8,193
Other securities |  | 373 |  | 1,682 |  | 24 |  | 0 |  | 2,079
Total securities available for sale |  | $ | 2,761 |  | $ | 7,798 |  | $ | 4,617 |  | $ | 63,222 |  | $ | 78,398
Amortized cost of securities available for sale |  | $ | 2,788 |  | $ | 7,986 |  | $ | 5,013 |  | $ | 72,672 |  | $ | 88,459
Weighted-average yield for securities available for sale |  | 3.50% |  | 4.43% |  | 3.52% |  | 3.10% |  | 3.26%
__________ (1)As of March 31, 2024, the weighted-average expected maturities of RMBS and Agency CMBS were 7.8 years and 4.4 years, respectively. Net Securities Gains or Losses and Proceeds from Sales We had no sales of securities for both the three months ended March 31, 2024 and 2023. Securities Pledged and Received We pledged investment securities totaling $40.7 billion and $45.1 billion as of March 31, 2024 and December 31, 2023, respectively. These securities are primarily pledged to support our access to FHLB advances 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 $13 million and $16 million as of March 31, 2024 and December 31, 2023, respectively, related to our derivative transactions.

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 The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//320/tableOfContent Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 10 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-10 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6B -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-6B Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6B -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-6B Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) -Publisher SEC Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 946 -SubTopic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//946-320/tableOfContent Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 940 -SubTopic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//940-320/tableOfContent Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//942-320/tableOfContent + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration