Trading securities are recorded at fair value with subsequent changes in fair value recorded in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. The following table displays our investments in trading securities.


		As of
		March 31, 2022		December 31, 2021

	(Dollars in millions)
Mortgage-related securities:
Fannie Mae		$	1,789	$	1,576
Other agency(1)		2,710		2,893
Private-label and other mortgage securities		127		137
Total mortgage-related securities (includes $499 million and $593 million, respectively, related to consolidated trusts)		4,626		4,606
Non-mortgage-related securities:
U.S. Treasury securities		79,987		83,581
Other securities		16		19
Total non-mortgage-related securities		80,003		83,600
Total trading securities		$	84,629	$	88,206


		For the Three Months Ended March 31,

			2022		2021

	(Dollars in millions)
Net trading losses			$	(1,770)	$	(758)
Net trading losses recognized in the period related to securities still held at period end			(1,714)		(759)

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 (losses), net” in our condensed 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. 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 March 31, 2022
	Total Amortized Cost(1)			Allowance for Credit Losses(2)		Gross Unrealized Gains in AOCI		Gross Unrealized Losses in AOCI		Total Fair Value(1)

	(Dollars in millions)
Fannie Mae		$	478	$	—	$	10	$	(12)	$	476
Other agency(3)		11		—		1		—		12
Alt-A and subprime private-label securities		3		—		2		—		5

Mortgage revenue bonds		139		—		4		(2)		141
Other mortgage-related securities		171		—		1		—		172
Total		$	802	$	—	$	18	$	(14)	$	806


	As of December 31, 2021
	Total Amortized Cost(1)			Allowance for Credit Losses(2)		Gross Unrealized Gains in AOCI		Gross Unrealized Losses in AOCI		Total Fair Value(1)

	(Dollars in millions)
Fannie Mae		$	492	$	—	$	14	$	(11)	$	495
Other agency(3)		12		—		—		—		12
Alt-A and subprime private-label securities		3		—		2		—		5
Mortgage revenue bonds		142		—		5		(3)		144
Other mortgage-related securities		178		—		3		—		181
Total		$	827	$	—	$	24	$	(14)	$	837

(1)We exclude from amortized cost and fair value accrued interest of $2 million as of March 31, 2022 and December 31, 2021, which we record in “Accrued interest receivable, net” in our condensed consolidated balance sheets.

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.

The following table displays 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
	March 31, 2022										December 31, 2021
	Less Than 12 Consecutive Months					12 Consecutive Months or Longer					Less Than 12 Consecutive Months					12 Consecutive Months or Longer
	Gross Unrealized Losses in AOCI			Fair Value		Gross Unrealized Losses in AOCI			Fair Value		Gross Unrealized Losses in AOCI			Fair Value		Gross Unrealized Losses in AOCI			Fair Value

	(Dollars in millions)
Fannie Mae		$	(9)	$	214		$	(3)	$	97		$	(5)	$	225		$	(6)	$	102
Mortgage revenue bonds		(2)		3			—		—			(3)		3			—		—

Total		$	(11)	$	217		$	(3)	$	97		$	(8)	$	228		$	(6)	$	102


	For the Three Months Ended March 31,

		2022		2021

		(Dollars in millions)
Gross realized gains		$	—	$	13
Total proceeds (excludes initial sale of securities from new portfolio securitizations)		—		115


	As of
	March 31, 2022		December 31, 2021

	(Dollars in millions)
Net unrealized gains on AFS securities for which we have not recorded an allowance for credit losses	$	4	$	9
Net unrealized gains (losses) on AFS securities for which we have recorded an allowance for credit losses	(2)		(2)
Other	29		31
Accumulated other comprehensive income	$	31	$	38

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 March 31, 2022
	Total Carrying Amount(1)			Total Fair Value		One Year or Less					After One Year Through Five Years					After Five Years Through Ten Years					After 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		$	478	$	476		$	—	$	—		$	3	$	3		$	15	$	16		$	460	$	457
Other agency		11		12			—		—			—		—			1		1			10		11
Alt-A and subprime private-label securities		3		5			—		—			—		—			2		2			1		3

Mortgage revenue bonds		139		141			4		4			20		21			10		10			105		106
Other mortgage-related securities		171		172			—		—			—		—			3		3			168		169
Total		$	802	$	806		$	4	$	4		$	23	$	24		$	31	$	32		$	744	$	746