Trading securities are recorded at fair value with subsequent changes in fair value recorded as “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
		September 30, 2023		December 31, 2022

	(Dollars in millions)




Mortgage-related securities (includes $375 million and $427 million, respectively, related to consolidated trusts)		$	2,634	$	3,211



Non-mortgage-related securities (includes $5.1 billion and $3.9 billion, respectively, pledged as collateral)(1)		48,654		46,918
Total trading securities		$	51,288	$	50,129



	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2023		2022		2023		2022


Net trading gains (losses)	$	(318)	$	(1,319)	$	(295)	$	(3,754)
Net trading gains (losses) recognized in the period related to securities still held at period end	(297)		(1,064)		(259)		(3,157)

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 September 30, 2023
	Total Amortized Cost			Allowance for Credit Losses		Gross Unrealized Gains in AOCI		Gross Unrealized Losses in AOCI		Total Fair Value

	(Dollars in millions)
Agency securities		$	414	$	—	$	—	$	(38)	$	376





Other mortgage-related securities		202		(2)		9		(1)		208
Total		$	616	$	(2)	$	9	$	(39)	$	584


	As of December 31, 2022
	Total Amortized Cost			Allowance for Credit Losses		Gross Unrealized Gains in AOCI		Gross Unrealized Losses in AOCI		Total Fair Value

	(Dollars in millions)
Agency securities		$	445	$	—	$	3	$	(22)	$	426




Other mortgage-related securities		269		(3)		5		(1)		270
Total		$	714	$	(3)	$	8	$	(23)	$	696

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
	September 30, 2023										December 31, 2022
	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)
Agency securities		$	(2)	$	78		$	(36)	$	271		$	(12)	$	161		$	(10)	$	159
Other mortgage-related securities		(1)		14			—		—			(1)		8			—		—

Total		$	(3)	$	92		$	(36)	$	271		$	(13)	$	169		$	(10)	$	159

There were no sales of AFS securities in the first nine months of 2023 or the first nine months of 2022. As a result, no gross realized gains (losses) or proceeds from sales were recognized in either period.

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 September 30, 2023
	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)
Agency securities		$	414	$	376		$	—	$	—		$	4	$	5		$	17	$	16		$	393	$	355





Other mortgage-related securities		200		208			2		2			13		13			15		16			170		177
Total		$	614	$	584		$	2	$	2		$	17	$	18		$	32	$	32		$	563	$	532

(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.