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Investments in Securities
 12 Months Ended
Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Investments in Securities Investments in Securities
Trading Securities
Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains (losses), net” in our consolidated statements of operations and comprehensive income. The following table displays our investments in trading securities.
As of December 31,
20212020
(Dollars in millions)
Mortgage-related securities:
Fannie Mae$1,576 $2,404 
Other agency(1)
2,893 3,451 
Private-label and other mortgage securities137 158 
Total mortgage-related securities (includes $593 million and $793 million, respectively, related to consolidated trusts)
4,606 6,013 
Non-mortgage-related securities:
U.S. Treasury securities83,581 130,456 
Other securities19 73 
Total non-mortgage-related securities83,600 130,529 
Total trading securities$88,206 $136,542 
(1)Consists of Freddie Mac and Ginnie Mae mortgage-related securities.
The following table displays information about our net trading gains (losses).
For the Year Ended December 31,
202120202019
(Dollars in millions)
Net trading gains (losses)$(1,060)$513 $322 
Net trading gains (losses) recognized in the period related to securities still held at period end(997)252 238 
Available-for-Sale Securities
We record AFS securities at fair value with unrealized gains and losses, recorded net of tax, as a component of “Other comprehensive loss” and we recognize realized gains and losses from the sale of AFS securities in “Investment gains, net” in our consolidated statements of operations and comprehensive income. We define the amortized cost basis of our AFS securities as unpaid principal balance, net of unamortized premiums and discounts, and other cost basis adjustments. Pursuant to the CECL standard, we record an allowance for credit losses for AFS securities that reflects the impairment for credit losses, which are limited to the amount that fair value is less than the amortized cost. Impairment due to non-credit losses are recorded as unrealized losses within “Other comprehensive loss.”
The following tables display the amortized cost, allowance for credit losses, gross unrealized gains and losses in accumulated other comprehensive income (loss) (“AOCI”), and fair value by major security type for AFS securities.
As of December 31, 2021
Total Amortized Cost(1)
Allowance for Credit Losses(3)
Gross Unrealized Gains in AOCIGross Unrealized Losses in AOCI
Total Fair Value(1)
(Dollars in millions)
Fannie Mae$492 $— $14 $(11)$495 
Other agency(2)
12 — — — 12 
Alt-A and subprime private-label securities3 — 2 — 5 
Mortgage revenue bonds142 — 5 (3)144 
Other mortgage-related securities178 — 3 — 181 
Total$827 $— $24 $(14)$837 
As of December 31, 2020
Total Amortized Cost(1)
Allowance for Credit LossesGross Unrealized Gains
Gross Unrealized Losses
Total Fair Value(1)
(Dollars in millions)
Fannie Mae$1,094 $— $86 $(12)$1,168 
Other agency(2)
59 — 6 — 65 
Alt-A and subprime private-label securities4 — 2 — 6 
Mortgage revenue bonds211 (3)8 — 216 
Other mortgage-related securities238 — 4 — 242 
Total$1,606 $(3)$106 $(12)$1,697 
s
(1)We exclude from amortized cost and fair value accrued interest of $2 million and $6 million as of December 31, 2021 and December 31, 2020, respectively, which we record in “Other assets” in our consolidated balance sheets.
(2)Other agency securities consist of securities issued by Freddie Mac and Ginnie Mae.
(3)Total allowance for credit losses is less than $0.5 million as of December 31, 2021.
Fannie Mae and Other Agency Securities
Our Fannie Mae and other agency AFS securities consist of securities issued by us, Freddie Mac, or Ginnie Mae. The principal and interest on these securities are guaranteed by the issuing agency. We believe that the guaranty provided by the issuing agency, the support provided to the agencies by the U.S. government, the importance of the agencies to the liquidity and stability in the secondary mortgage market, and the long history of zero credit losses on agency mortgage-related securities are all indicators that there are currently no credit losses on these securities, even if the security is in an unrealized loss position. In addition, we generally hold these securities that are in an unrealized loss position to recovery. As a result, unless we intend to sell the security, we do not recognize an allowance for credit losses on agency mortgage-related securities.
Non-Agency Mortgage-Related Securities
As of December 31, 2021, substantially all of our non-agency mortgage-related securities were in an unrealized gain position. As a result, we have not recognized an allowance for credit losses on these securities.
The following tables display additional information regarding gross unrealized losses and fair value by major security type for AFS securities in an unrealized loss position, excluding allowance for credit losses.
As of December 31, 2021
Less Than 12 Consecutive Months12 Consecutive Months or Longer
Gross Unrealized Losses in AOCIFair ValueGross Unrealized Losses in AOCIFair Value
(Dollars in millions)
Fannie Mae$(5)$225 $(6)$102 
Mortgage revenue bonds(3)3 — — 
Total$(8)$228 $(6)$102 
As of December 31, 2020
Less Than 12 Consecutive Months12 Consecutive Months or Longer
Gross Unrealized Losses in AOCIFair ValueGross Unrealized Losses in AOCIFair Value
(Dollars in millions)
Fannie Mae$(1)$40 $(11)$94 
Mortgage revenue bonds— — — — 
Total$(1)$40 $(11)$94 
The following table displays the gross realized gains and proceeds on sales of AFS securities.
For the Year Ended December 31,
202120202019
(Dollars in millions)
Gross realized gains $59 $57 $265 
Total proceeds (excludes initial sale of securities from new portfolio securitizations)582 361 537 
The following tables display net unrealized gains and losses on AFS securities and other amounts accumulated within our accumulated other comprehensive income, net of tax.
As of December 31,
20212020
(Dollars in millions)
 Net unrealized gains on AFS securities for which we have not recorded an allowance for credit losses
$9 $74 
Net unrealized gains (losses) on AFS securities for which we have recorded an allowance for credit losses(2)— 
Other
31 42 
Accumulated other comprehensive income
$38 $116 
As of December 31,
2019
(Dollars in millions)
Net unrealized gains on AFS securities for which we have not recorded other-than-temporary impairment (“OTTI”)
$97 
Net unrealized gains (losses) on AFS securities for which we have recorded OTTI
— 
Other
34 
Accumulated other comprehensive income
$131 
Prior to our adoption of the CECL standard on January 1, 2020, we evaluated AFS securities for other-than-temporary impairment. The balance of the unrealized credit-loss component of AFS securities held by us and recognized in our consolidated statements of operations and comprehensive income was $36 million as of December 31, 2019.
Maturity Information
The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining contractual maturity, assuming no principal prepayments. The contractual maturity of mortgage-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any time.
As of December 31, 2021
Total Carrying Amount (1)
Total
Fair
Value
One Year or Less
After One Year
Through Five Years
After Five Years Through Ten YearsAfter Ten Years
Net Carrying Amount (1)
Fair Value
Net Carrying Amount (1)
Fair Value
Net Carrying Amount (1)
Fair Value
Net Carrying Amount (1)
Fair Value
(Dollars in millions)
Fannie Mae$492 $495 $— $— $3 $3 $11 $12 $478 $480 
Other agency12 12 — — — — 1 1 11 11 
Alt-A and subprime private-label securities3 5 — — — — 2 2 1 3 
Mortgage revenue bonds142 144 4 4 21 22 10 10 107 108 
Other mortgage-related securities178 181 — — — — 3 4 175 177 
Total$827 $837 $4 $4 $24 $25 $27 $29 $772 $779 
Weighted-average interest rate (2)
5.32 %6.09 %6.66 %7.75 %5.19 %
(1)Net carrying amount consists of amortized cost, net of allowance for credit losses on AFS debt securities but does not include any unrealized fair value gains or losses.
(2)Weighted-average interest rate includes the effects of discounts, premiums and other cost basis adjustments