Included in short-term investments are interest-bearing deposits at the Federal Reserve Bank of New York  (the “FRB-NY”) totaling $525.6 million at March 31, 2020 and $219.4 million at December 31, 2019. These deposits represent an alternative to overnight federal funds sold and yielded 0.10% and 1.55% at March 31, 2020 and December 31, 2019, respectively.

For available-for sale securities in an unrealized loss position, management first assesses whether (i) the Company intends to sell, or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If either criteria are met, any previously recognized allowances are charged-off and the security's amortized cost is written down to fair value through income. If neither criteria are met, the security is evaluated to determine whether the decline in fair value has resulted from credit losses or other factors. In making this assessment, management considers the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency and any adverse conditions specifically related to the security, among other factors.

If this assessment indicates that a credit loss exists, the present value of cash flows expected to be collected from the security are compared to the amortized cost basis of the security. If the present value of cash flows expected to be collected is less than the amortized cost basis, an ACL is recorded for the credit loss, limited by the amount that the fair value is less than the amortized cost basis. Any impairment that has not been recorded through an ACL is recognized in other comprehensive income. Adjustments to the allowance are reported as a component of credit loss expense. Available-for-sale securities are charged-off against the allowance or, in the absence of any allowance, written down through income when deemed uncollectible or when either of the aforementioned criteria regarding intent or requirement to sell is met. The Company has made the accounting policy election to exclude accrued interest receivable on available-for-sale securities from the estimate of credit losses. Accrued interest receivable associated with debt securities available-for-sale totaling $11.4 million at  March 31, 2020 is reported in other assets in the Consolidated Statements of Condition.

Management measures expected credit losses on held-to-maturity securities on a collective basis by major security type with each type sharing similar risk characteristics, and considers historical credit loss information that is adjusted for current conditions and reasonable and supportable forecasts. Held-to-maturity securities are charged-off against the allowance when deemed to be uncollectible and adjustments to the allowance are reported as a component of credit loss expense. The Company has made the accounting policy election to exclude accrued interest receivable on held-to-maturity securities from the estimate of credit losses. Accrued interest receivable associated with debt securities held-to-maturity totaling $32.0 million at  March 31, 2020 is reported in other assets in the Consolidated Statements of Condition.

With regard to U.S. Treasury and residential mortgage-backed securities issued by the U.S. government, or agencies thereof, it is expected that the securities will not be settled at prices less than the amortized cost bases of the securities as such securities are backed by the full faith and credit of and/or guaranteed by the U.S. government. Accordingly, no ACL has been recorded for these securities. With regard to securities issued by corporations, states and/or political subdivisions and other held-to-maturity securities, management considers a number of factors, including: (i) issuer bond ratings; (ii) historical loss rates for given bond ratings; and (iii) whether issuers continue to make timely principal and interest payments under the contractual terms of the securities.


As of March 31, 2020 (in millions)	Amortized Cost		ACL (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Debt securities available-for-sale:
U.S. Treasury and agency	$	731.3	$	—	$	15.9	$	—	$	747.2
GSE (2) mortgage-backed and CMO (3) securities	3,425.1		—		104.4		(0.1)		3,529.4
Total debt securities available-for-sale	$	4,156.4	$	—	$	120.3	$	(0.1)	$	4,276.6
Debt securities held-to-maturity:
State and municipal	$	2,574.9	$	0.1	$	151.4	$	(1.5)	$	2,724.9
GSE mortgage-backed securities	1,190.8		—		49.7		—		1,240.5
Corporate	96.2		1.8		1.6		(1.3)		98.3
Other	1.5		—		—		—		1.5
Total debt securities held-to-maturity	$	3,863.4	$	1.9	$	202.7	$	(2.8)	$	4,065.2


As of December 31, 2019 (in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Debt securities available-for-sale:
U.S. Treasury and agency	$	689.5	$	0.4	$	(2.8)	$	687.1
GSE mortgage-backed and CMO securities	2,856.3		25.0		(4.1)		2,877.2
Total debt securities available-for-sale	$	3,545.8	$	25.4	$	(6.9)	$	3,564.3
Debt securities held-to-maturity:
State and municipal	$	2,503.9	$	142.0	$	(0.4)	$	2,645.5
GSE mortgage-backed securities	1,271.4		8.0		(0.3)		1,279.1
Corporate	92.4		1.5		—		93.9
Other	1.5		—		—		1.5
Total debt securities held-to-maturity	$	3,869.2	$	151.5	$	(0.7)	$	4,020.0

Both at adoption of the CECL standard on January 1, 2020 and at March 31, 2020, the ACL on debt securities held-to-maturity totaled $1.8 million related to corporate bonds and $0.1 million related to state and municipal securities. At March 31, 2020, no debt securities held-to-maturity were past due or in non-accrual status.

Credit ratings, which are updated monthly, are a key measure for estimating the probability of a bond's default and for monitoring credit quality on an on-going basis. For bonds other than U.S. Treasuries and bonds issued or guaranteed by U.S. government agencies, credit ratings issued by one or more nationally recognized statistical rating organizations such as Moody's, S&P, Fitch or Kroll are considered in conjunction with an assessment by the Company's risk management department. In the case of multiple ratings, generally the lower rating prevails. Investment grade reflects a credit rating of BBB- or above.


As of March 31, 2020 (in millions)	Investment Grade		Non-Investment Grade		Total
State and municipal	$	2,574.5	$	0.4	$	2,574.9
GSE mortgage-backed securities	1,190.8		—		1,190.8
Corporate	91.2		5.0		96.2
Other	1.5		—		1.5
Total	$	3,858.0	$	5.4	$	3,863.4


	Continuous Unrealized Loss Position
	Less Than 12 Months						12 Months Or Longer						Total
As of March 31, 2020 (in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Debt securities available-for-sale:
GSE mortgage-backed and CMO securities	$	10.9	$	(0.1)	$	—	$	—	$	10.9	$	(0.1)

Total	$	10.9	$	(0.1)	$	—	$	—	$	10.9	$	(0.1)

At March 31, 2020, two of the 272 available-for-sale debt securities owned by the Company had gross unrealized losses totaling less than $0.1 million. The GSE mortgage-backed and CMO securities with unrealized losses had AAA credit ratings and an average contractual maturity of 27 years.

As of March 31, 2020, no ACL has been recognized on available-for-sale debt securities in an unrealized loss position as management does not believe any of the securities are impaired due to reasons of credit quality. Rather, the cause of the gross unrealized losses with respect to all of the debt securities is directly related to changes in interest rates. At this time, management does not intend to sell such securities nor is it more likely than not, based upon available evidence, that management will be required to sell such securities prior to recovery. No credit impairment losses were recognized in the Consolidated Statements of Income for the three months ended March 31, 2020 or 2019.


	Continuous Unrealized Loss Position
	Less Than 12 Months						12 Months Or Longer						Total
As of December 31, 2019 (in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Debt securities available-for-sale:
GSE mortgage-backed and CMO securities	$	565.4	$	(3.1)	$	509.3	$	(1.0)	$	1,074.7	$	(4.1)
U.S. Treasury and agency	181.0		(0.4)		362.4		(2.4)		543.4		(2.8)
Total debt securities available-for-sale	$	746.4	$	(3.5)	$	871.7	$	(3.4)	$	1,618.1	$	(6.9)
Debt securities held-to-maturity:
GSE mortgage-backed securities	$	100.9	$	(0.3)	$	9.1	$	—	$	110.0	$	(0.3)
State and municipal	33.0		(0.2)		11.4		(0.2)		44.4		(0.4)
Corporate	3.5		—		8.6		—		12.1		—
Total debt securities held-to-maturity	$	137.4	$	(0.5)	$	29.1	$	(0.2)	$	166.5	$	(0.7)

At March 31, 2020 and December 31, 2019, debt securities available-for-sale with fair values of $2.46 billion and $2.43 billion, respectively, and debt securities held-to-maturity with amortized costs of $1.62 billion and $1.47 billion, respectively, were pledged as collateral for public deposits and for other purposes.

The following table is a summary of the amortized cost and fair value of debt securities as of March 31, 2020, based on remaining period to contractual maturity. Information for GSE mortgage-backed and CMO securities is based on the final contractual maturity dates without considering repayments and prepayments.


	Available-for-Sale						Held-to-Maturity
(in millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
U.S. Treasury and agency:
Within 1 year	$	200.8	$	201.4	$	—	$	—
After 1 but within 5 years	530.5		545.8		—		—


Total	731.3		747.2		—		—
GSE mortgage-backed and CMO securities:

After 1 but within 5 years	83.2		87.3		841.2		879.3
After 5 but within 10 years	880.8		918.9		77.5		82.4
After 10 years	2,461.1		2,523.2		272.1		278.8
Total	3,425.1		3,529.4		1,190.8		1,240.5
State and municipal:
Within 1 year	—		—		10.0		10.0
After 1 but within 5 years	—		—		245.5		254.3
After 5 but within 10 years	—		—		471.4		499.4
After 10 years	—		—		1,848.0		1,961.2
Total	—		—		2,574.9		2,724.9
Corporate:
Within 1 year	—		—		5.0		5.0
After 1 but within 5 years	—		—		2.5		2.5
After 5 but within 10 years	—		—		88.7		90.8

Total	—		—		96.2		98.3
Other:
Within 1 year	—		—		1.5		1.5



Total	—		—		1.5		1.5
Total:
Within 1 year	200.8		201.4		16.5		16.5
After 1 but within 5 years	613.7		633.1		1089.2		1,136.1
After 5 but within 10 years	880.8		918.9		637.6		672.6
After 10 years	2,461.1		2,523.2		2,120.1		2,240.0
Total	$	4,156.4	$	4,276.6	$	3,863.4	$	4,065.2

Equity investments (other than equity method investments) are measured at fair value with changes in fair value recognized in net income. People’s United recorded unrealized losses of $1.4 million and unrealized gains of $0.2 million for the three months ended March 31, 2020 and 2019, respectively (included in other non-interest income in the Consolidated Statements of Income) relating to the change in fair value of its equity securities during the respective periods.

The Bank, as a member of the Federal Home Loan Bank (the “FHLB”) of Boston, is currently required to purchase and hold shares of capital stock in the FHLB of Boston (total cost of $178.7 million and $136.6 million at March 31, 2020 and December 31, 2019, respectively) in an amount equal to its membership base investment plus an activity based investment determined according to the Bank’s level of outstanding FHLB advances. As a result of prior acquisitions, the Bank acquired shares of capital stock in the FHLB of New York (total cost of $0.7 million at both March 31, 2020 and December 31, 2019). Based on the current capital adequacy and liquidity position of both the FHLB of Boston and the FHLB of New York, management believes there is no impairment in the Company’s investment at March 31, 2020 and the cost of the investment approximates fair value.

The Bank, as a member of the Federal Reserve Bank system, is currently required to purchase and hold shares of capital stock in the FRB-NY (total cost of $227.8 million and $203.8 million at March 31, 2020 and December 31, 2019, respectively) in an amount equal to 6% of its capital and surplus. Based on the current capital adequacy and liquidity position of the  FRB-NY, management believes there is no impairment in the Company’s investment at March 31, 2020 and the cost of the investment approximates fair value.