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Investments in Securities
 12 Months Ended
Dec. 31, 2022
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,
20222021
(Dollars in millions)
Mortgage-related securities (includes $427 million and $593 million, respectively, related to consolidated trusts)
$3,211 $4,606 
Non-mortgage-related securities (includes $3.9 billion and $4.2 billion, respectively, pledged as collateral)(1)
46,918 83,600 
Total trading securities$50,129 $88,206 
(1)Primarily includes U.S. Treasury securities.
The following table displays information about our net trading gains (losses).
For the Year Ended December 31,
202220212020
(Dollars in millions)
Net trading gains (losses)$(3,504)$(1,060)$513 
Net trading gains (losses) recognized in the period related to securities still held at period end(2,865)(997)252 
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 (losses), 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. 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, 2022
Total Amortized Cost
Allowance for Credit LossesGross Unrealized Gains in AOCIGross Unrealized Losses in AOCITotal Fair Value
(Dollars in millions)
Agency securities(1)
$445 $— $3 $(22)$426 
Other mortgage-related securities269 (3)5 (1)270 
Total$714 $(3)$8 $(23)$696 
As of December 31, 2021
Total Amortized Cost
Allowance for Credit LossesGross Unrealized Gains in AOCI
Gross Unrealized Losses in AOCI
Total Fair Value
(Dollars in millions)
Agency securities(1)
$504 $— $14 $(11)$507 
Other mortgage-related securities323 *10 (3)330 
Total$827 *$24 $(14)$837 
s
* Total allowance for credit losses is less than $0.5 million as of December 31, 2021.
(1)Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.
Our Fannie Mae and other agency AFS securities consist of securities issued by us, Freddie Mac, or Ginnie Mae. The principal and interest on these securities are guaranteed by the issuing agency. We believe that the guaranty provided by the issuing agency, the support provided to the agencies by the U.S. government, the importance of the agencies to the liquidity and stability in the secondary mortgage market, and the long history of zero credit losses on agency mortgage-related securities are all indicators that there are currently no credit losses on these securities, even if the security is in an unrealized loss position. In addition, we generally hold these securities that are in an unrealized loss position to recovery. As a result, unless we intend to sell the security, we do not recognize an allowance for credit losses on agency mortgage-related securities.
The following tables display additional information regarding gross unrealized losses and fair value by major security type for AFS securities in an unrealized loss position, excluding allowance for credit losses.
As of December 31,
20222021
Less Than 12 Consecutive Months12 Consecutive Months or LongerLess Than 12 Consecutive Months12 Consecutive Months or Longer
Gross Unrealized Losses in AOCIFair ValueGross Unrealized Losses in AOCIFair ValueGross Unrealized Losses in AOCIFair ValueGross Unrealized Losses in AOCIFair Value
(Dollars in millions)
Agency securities$(12)$161 $(10)$159 $(5)$225 $(6)$102 
Other mortgage-related securities(1)8 — — (3)3 — — 
Total$(13)$169 $(10)$159 $(8)$228 $(6)$102 
The following table displays the gross realized gains (losses) and proceeds on sales of AFS securities.
For the Year Ended December 31,
202220212020
(Dollars in millions)
Gross realized gains $— $59 $57 
Total proceeds (excludes initial sale of securities from new portfolio securitizations)— 582 361 
The following tables display net unrealized gains and losses on AFS securities and other amounts recorded within our accumulated other comprehensive income, net of tax.
As of December 31,
202220212020
(Dollars in millions)
Net unrealized gains (losses) on AFS securities for which we have not recorded an allowance for credit losses
$(13)$9 $74 
Net unrealized gains (losses) on AFS securities for which we have recorded an allowance for credit losses— (2)— 
Other
48 31 42 
Accumulated other comprehensive income
$35 $38 $116 
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, 2022
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)
Agency securities$445 $426 $— $— $3 $3 $12 $12 $430 $411 
Other mortgage-related securities266 270 1 1 17 17 16 17 232 235 
Total$711 $696 $1 $1 $20 $20 $28 $29 $662 $646 
Weighted-average interest rate(2)
7.27 %7.68 %6.80 %6.64 %7.31 %
(1)Net carrying amount consists of amortized cost, net of allowance for credit losses on AFS 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.