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Available-for-Sale and Held-to-Maturity Securities
 3 Months Ended
Mar. 31, 2022
Investments Debt And Equity Securities [Abstract]  
Available-for-Sale and Held-to-Maturity Securities

NOTE 6 – Available-for-Sale and Held-to-Maturity Securities

The following tables provide a summary of the amortized cost and fair values of the available-for-sale securities and held-to-maturity securities at March 31, 2022 and December 31, 2021 (in thousands):

 

 

March 31, 2022

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

3,010

 

 

$

2

 

 

$

(90

)

 

$

2,922

 

State and municipal securities

 

 

2,366

 

 

 

—

 

 

 

—

 

 

 

2,366

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

909,052

 

 

 

244

 

 

 

(55,350

)

 

 

853,946

 

Commercial

 

 

72,421

 

 

 

—

 

 

 

(2,569

)

 

 

69,852

 

Non-agency

 

 

501

 

 

 

3

 

 

 

—

 

 

 

504

 

Corporate fixed income securities

 

 

764,982

 

 

 

2,041

 

 

 

(36,149

)

 

 

730,874

 

Asset-backed securities

 

 

269,504

 

 

 

3,064

 

 

 

(6,888

)

 

 

265,680

 

 

 

$

2,021,836

 

 

$

5,354

 

 

$

(101,046

)

 

$

1,926,144

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,316,296

 

 

$

3,557

 

 

$

(68,321

)

 

$

5,251,532

 

 

 

 

 

December 31, 2021

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

1,800

 

 

$

8

 

 

$

—

 

 

$

1,808

 

State and municipal securities

 

 

2,372

 

 

 

27

 

 

 

—

 

 

 

2,399

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

954,021

 

 

 

7,181

 

 

 

(9,016

)

 

 

952,186

 

Commercial

 

 

72,765

 

 

 

1,220

 

 

 

—

 

 

 

73,985

 

Non-agency

 

 

564

 

 

 

4

 

 

 

—

 

 

 

568

 

Corporate fixed income securities

 

 

783,289

 

 

 

14,385

 

 

 

(5,781

)

 

 

791,893

 

Asset-backed securities

 

 

289,702

 

 

 

3,581

 

 

 

(2,229

)

 

 

291,054

 

 

 

$

2,104,513

 

 

$

26,406

 

 

$

(17,026

)

 

$

2,113,893

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,348,558

 

 

$

7,659

 

 

$

(12,736

)

 

$

5,343,481

 

 

(1)
Unrealized gains/(losses) related to available-for-sale securities are reported in accumulated other comprehensive income.
(2)
Held-to-maturity securities are carried in the consolidated statements of financial condition at amortized cost, and the changes in the value of these securities, other than impairment charges, are not reported on the consolidated financial statements.

We are required to evaluate our available-for-sale and held-to-maturity debt securities for any expected losses with recognition of an allowance for credit losses, when applicable. At March 31, 2022, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at March 31, 2022 and December 31, 2021 was $28.3 million and $29.1 million, respectively, and is reported in other assets in the consolidated statements of financial condition. We do not include reserves for interest receivable in the measurement of the allowance for credit losses.

During the first quarter of 2021, the Company transferred $312.9 million of certain asset-backed securities from available-for-sale to held-to-maturity. Management determined that it has both the positive intent and ability to hold these securities to maturity. The reclassification of these securities was accounted for at fair value. On the date of transfer, the difference between the par value and the fair value of these securities resulted in a premium or discount that, under amortized cost accounting, will be amortized as a yield adjustment to interest income using the interest method. There were no gains or losses recognized as a result of this transfer.

There were no sales of available-for-sale securities during the three months ended March 31, 2022 and 2021.

The table below summarizes the amortized cost and fair values of our securities by contractual maturity at March 31, 2022 and December 31, 2021 (in thousands). Expected maturities may differ significantly from contractual maturities, as issuers may have the right to call or prepay obligations with or without call or prepayment penalties.

 

 

March 31, 2022

 

 

December 31, 2021

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

18,283

 

 

$

18,356

 

 

$

36,671

 

 

$

36,899

 

After one year through three years

 

 

266,201

 

 

 

266,561

 

 

 

217,606

 

 

 

222,942

 

After three years through five years

 

 

155,351

 

 

 

146,970

 

 

 

192,271

 

 

 

196,380

 

After five years through ten years

 

 

440,797

 

 

 

413,995

 

 

 

455,429

 

 

 

455,848

 

After ten years

 

 

1,141,204

 

 

 

1,080,262

 

 

 

1,202,536

 

 

 

1,201,824

 

 

 

$

2,021,836

 

 

$

1,926,144

 

 

$

2,104,513

 

 

$

2,113,893

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

After three years through five years

 

$

—

 

 

$

—

 

 

$

2,825

 

 

$

2,825

 

After five years through ten years

 

 

2,217,675

 

 

 

2,198,375

 

 

 

2,282,162

 

 

 

2,278,597

 

After ten years

 

 

3,098,621

 

 

 

3,053,157

 

 

 

3,063,571

 

 

 

3,062,059

 

 

 

$

5,316,296

 

 

$

5,251,532

 

 

$

5,348,558

 

 

$

5,343,481

 

 

The maturities of our available-for-sale (fair value) and held-to-maturity (amortized cost) securities at March 31, 2022, are as follows (in thousands):

 

 

Within 1
Year

 

 

1-5 Years

 

 

5-10 Years

 

 

After 10
Years

 

 

Total

 

Available-for-sale securities (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

1,102

 

 

$

—

 

 

$

1,820

 

 

$

—

 

 

$

2,922

 

State and municipal securities

 

 

—

 

 

 

—

 

 

 

2,366

 

 

 

—

 

 

 

2,366

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

34

 

 

 

155

 

 

 

51,139

 

 

 

802,618

 

 

 

853,946

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

69,852

 

 

 

69,852

 

Non-agency

 

 

—

 

 

 

—

 

 

 

504

 

 

 

—

 

 

 

504

 

Corporate fixed income securities

 

 

17,220

 

 

 

413,376

 

 

 

300,278

 

 

 

—

 

 

 

730,874

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

57,888

 

 

 

207,792

 

 

 

265,680

 

 

 

$

18,356

 

 

$

413,531

 

 

$

413,995

 

 

$

1,080,262

 

 

$

1,926,144

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

—

 

 

$

2,217,675

 

 

$

3,098,621

 

 

$

5,316,296

 

 

(1)
Due to the immaterial amount of income recognized on tax-exempt securities, yields were not calculated on a tax-equivalent basis.

At March 31, 2022 and December 31, 2021, securities of $569.7 million and $639.6 million, respectively, were pledged at the Federal Home Loan Bank as collateral for borrowings and letters of credit obtained to secure public deposits. At March 31, 2022 and December 31, 2021, securities of $1.2 billion and $1.2 billion, respectively, were pledged with the Federal Reserve discount window.

The following table shows the gross unrealized losses and fair value of the Company’s investment securities with unrealized losses, aggregated by investment category and length of time the individual investment securities have been in continuous unrealized loss positions, at March 31, 2022 (in thousands):

 

 

Less than 12 months

 

 

12 months or more

 

 

Total

 

 

 

Gross
Unrealized
Losses

 

 

Fair Value

 

 

Gross
Unrealized
Losses

 

 

Fair Value

 

 

Gross
Unrealized
Losses

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

(90

)

 

$

1,820

 

 

$

—

 

 

$

—

 

 

$

(90

)

 

$

1,820

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

(40,093

)

 

 

679,722

 

 

 

(15,257

)

 

 

149,962

 

 

 

(55,350

)

 

 

829,684

 

Commercial

 

 

(2,569

)

 

 

69,841

 

 

 

—

 

 

 

—

 

 

 

(2,569

)

 

 

69,841

 

Corporate fixed income securities

 

 

(36,149

)

 

 

398,824

 

 

 

—

 

 

 

—

 

 

 

(36,149

)

 

 

398,824

 

Asset-backed securities

 

 

(6,188

)

 

 

134,272

 

 

 

(700

)

 

 

33,946

 

 

 

(6,888

)

 

 

168,218

 

 

 

$

(85,089

)

 

$

1,284,479

 

 

$

(15,957

)

 

$

183,908

 

 

$

(101,046

)

 

$

1,468,387

 

At March 31, 2022, the amortized cost of 201 securities classified as available for sale exceeded their fair value by $101.0 million, of which $16.0 million related to investment securities that had been in a loss position for 12 months or longer. The total fair value of these investments at March 31, 2022, was $1.5 billion, which was 76.2% of our available-for-sale portfolio.

Credit Quality Indicators

The Company uses Moody credit ratings as the primary credit quality indicator for its held-to-maturity debt securities. Each security is evaluated at least quarterly. The indicators represent the rating for debt securities, as of the date presented, based on the most recent assessment performed. The following table shows the amortized cost of our held-to-maturity securities by credit quality indicator at March 31, 2022 (in thousands):

 

 

AAA

 

 

AA

 

 

A

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

1,019,552

 

 

$

4,289,453

 

 

$

5,000

 

 

$

2,291

 

 

$

5,316,296