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Investment Securities | 6 Months Ended
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Jun. 30, 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 June 30, 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 June 30, 2024 and December 31, 2023. Accrued interest receivable of $245 million and $227 million as of June 30, 2024 and December 31, 2023, respectively, is not included in the table below. Table 3.1: Investment Securities Available for Sale
|  | June 30, 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 |  | $ | 6,053 |  |  | $ | 0 |  |  | $ | 2 |  |  | $ | (26) |  |  | $ | 6,029 |
RMBS: |  |  |  |  |  |  |  |  |  |
Agency |  | 71,516 |  |  | 0 |  |  | 56 |  |  | (9,756) |  |  | 61,816 |
Non-agency |  | 589 |  |  | (3) |  |  | 78 |  |  | (6) |  |  | 658 |
Total RMBS |  | 72,105 |  |  | (3) |  |  | 134 |  |  | (9,762) |  |  | 62,474 |
Agency CMBS |  | 8,853 |  |  | 0 |  |  | 22 |  |  | (675) |  |  | 8,200 |
Other securities(1) |  | 2,543 |  |  | 0 |  |  | 4 |  |  | 0 |  |  | 2,547 |
Total investment securities available for sale |  | $ | 89,554 |  |  | $ | (3) |  |  | $ | 162 |  |  | $ | (10,463) |  |  | $ | 79,250 |
|  | 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 $2.1 billion and $1.4 billion of asset-backed securities (“ABS”) as of June 30, 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 June 30, 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
|  | June 30, 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 |  | $ | 1,329 |  |  | $ | (3) |  |  | $ | 2,014 |  |  | $ | (23) |  |  | $ | 3,343 |  |  | $ | (26) |
RMBS: |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | 5,024 |  |  | (42) |  |  | 53,037 |  |  | (9,714) |  |  | 58,061 |  |  | (9,756) |
Non-agency |  | 4 |  |  | 0 |  |  | 12 |  |  | (1) |  |  | 16 |  |  | (1) |
Total RMBS |  | 5,028 |  |  | (42) |  |  | 53,049 |  |  | (9,715) |  |  | 58,077 |  |  | (9,757) |
Agency CMBS |  | 632 |  |  | (7) |  |  | 6,262 |  |  | (668) |  |  | 6,894 |  |  | (675) |
Other securities |  | 713 |  |  | 0 |  |  | 96 |  |  | 0 |  |  | 809 |  |  | 0 |
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1) |  | $ | 7,702 |  |  | $ | (52) |  |  | $ | 61,421 |  |  | $ | (10,406) |  |  | $ | 69,123 |  |  | $ | (10,458) |
|  | 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 approximately 2,790 and 2,740 securities in gross unrealized loss positions as of June 30, 2024 and December 31, 2023, respectively. Maturities and Yields of Investment Securities The table below summarizes, as of June 30, 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
|  | June 30, 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 |  | $ | 4,004 |  | $ | 1,128 |  | $ | 897 |  | $ | 0 |  | $ | 6,029
RMBS(1): |  |  |  |  |  |  |  |  |  |
Agency |  | 2 |  | 79 |  | 1,058 |  | 60,677 |  | 61,816
Non-agency |  | 0 |  | 0 |  | 8 |  | 650 |  | 658
Total RMBS |  | 2 |  | 79 |  | 1,066 |  | 61,327 |  | 62,474
Agency CMBS(1) |  | 523 |  | 2,643 |  | 3,082 |  | 1,952 |  | 8,200
Other securities |  | 277 |  | 2,250 |  | 20 |  | 0 |  | 2,547
Total securities available for sale |  | $ | 4,806 |  | $ | 6,100 |  | $ | 5,065 |  | $ | 63,279 |  | $ | 79,250
Amortized cost of securities available for sale |  | $ | 4,825 |  | $ | 6,277 |  | $ | 5,441 |  | $ | 73,011 |  | $ | 89,554
Weighted-average yield for securities available for sale |  | 4.44% |  | 4.19% |  | 3.77% |  | 3.18% |  | 3.36%
__________ (1)As of June 30, 2024, the weighted-average expected maturities of RMBS and Agency CMBS were 7.9 years and 4.2 years, respectively. Net Securities Gains or Losses and Proceeds from Sales We had no sales of securities for the three and six months ended June 30, 2024 and 2023. Securities Pledged and Received We pledged investment securities totaling $40.6 billion and $45.1 billion as of June 30, 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 $6 million and $16 million as of June 30, 2024 and December 31, 2023, respectively, related to our derivative transactions.

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