Investments in Securities

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Investments in Securities

Investments in SecuritiesTrading Securities

Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains, net” in

our consolidated statements of operations and comprehensive income. The following table displays our investments in

trading securities.

	As of December 31,
	2023	2022
	(Dollars in millions)
Mortgage-related securities (includes $364 million and $427 million, respectively, related to consolidated trusts)	$4,770	$3,211
Non-mortgage-related securities (includes $5.7 billion and $3.9 billion, respectively, pledged as collateral)(1)	47,782	46,918
Total trading securities	$52,552	$50,129

(1)Primarily includes U.S. Treasury securities.

The following table displays information about our net trading gains (losses).

	For the Year Ended December 31,
	2023		2022		2021
	(Dollars in millions)
Net trading gains (losses)		$1,006		$(3,504)		$(1,060)
Net trading gains (losses) recognized in the period related to securities still held at period end		1,041		(2,865)		(997)

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, 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		$405		$—		$1		$(29)		$377
Other mortgage-related securities		179		(2)		10		—		187
Total		$584		$(2)		$11		$(29)		$564

	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 December 31,
	2023						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		$(3)	$66		$(26)	$238		$(12)	$161		$(10)	$159
Other mortgage-related securities		—	—		—	—		(1)	8		—	—
Total		$(3)	$66		$(26)	$238		$(13)	$169		$(10)	$159

There were no sales of AFS securities during the years ended December 31, 2023 or 2022. For the year ended

December 31, 2021, we had $582 million in proceeds from sales of AFS securities that resulted in $59 million in gross

realized gains.

We held no securities classified as held-to-maturity as of December 31, 2023 or 2022.