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Available-For-Sale And Held-To-Maturity Securities
 9 Months Ended
Sep. 30, 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 September 30, 2022 and December 31, 2021 (in thousands):

 

 

September 30, 2022

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,118

 

 

$

—

 

 

$

(224

)

 

$

1,894

 

State and municipal securities

 

 

2,354

 

 

 

—

 

 

 

(40

)

 

 

2,314

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

944,794

 

 

 

9

 

 

 

(143,342

)

 

 

801,461

 

Commercial

 

 

71,762

 

 

 

—

 

 

 

(4,773

)

 

 

66,989

 

Non-agency

 

 

461

 

 

 

3

 

 

 

—

 

 

 

464

 

Corporate fixed income securities

 

 

653,983

 

 

 

193

 

 

 

(85,425

)

 

 

568,751

 

Asset-backed securities

 

 

232,564

 

 

 

250

 

 

 

(13,840

)

 

 

218,974

 

 

 

$

1,908,036

 

 

$

455

 

 

$

(247,644

)

 

$

1,660,847

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,991,450

 

 

$

2,906

 

 

$

(328,822

)

 

$

5,665,534

 

 

 

 

 

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 September 30, 2022, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at September 30, 2022 and December 31, 2021 was $61.0 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 nine months ended September 30, 2022 and 2021.

The table below summarizes the amortized cost and fair values of our securities by contractual maturity at September 30, 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.

 

 

September 30, 2022

 

 

December 31, 2021

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

13,806

 

 

$

13,561

 

 

$

36,671

 

 

$

36,899

 

After one year through three years

 

 

186,574

 

 

 

180,120

 

 

 

217,606

 

 

 

222,942

 

After three years through five years

 

 

130,327

 

 

 

112,975

 

 

 

192,271

 

 

 

196,380

 

After five years through ten years

 

 

444,058

 

 

 

376,305

 

 

 

455,429

 

 

 

455,848

 

After ten years

 

 

1,133,271

 

 

 

977,886

 

 

 

1,202,536

 

 

 

1,201,824

 

 

 

$

1,908,036

 

 

$

1,660,847

 

 

$

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

 

 

2,358,696

 

 

 

2,247,400

 

 

 

2,282,162

 

 

 

2,278,597

 

After ten years

 

 

3,632,754

 

 

 

3,418,134

 

 

 

3,063,571

 

 

 

3,062,059

 

 

 

$

5,991,450

 

 

$

5,665,534

 

 

$

5,348,558

 

 

$

5,343,481

 

The maturities of our available-for-sale (fair value) and held-to-maturity (amortized cost) securities at September 30, 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

 

$

200

 

 

$

—

 

 

$

1,694

 

 

$

—

 

 

$

1,894

 

State and municipal securities

 

 

—

 

 

 

—

 

 

 

2,314

 

 

 

—

 

 

 

2,314

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

15

 

 

 

89

 

 

 

45,489

 

 

 

755,868

 

 

 

801,461

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

66,989

 

 

 

66,989

 

Non-agency

 

 

—

 

 

 

—

 

 

 

464

 

 

 

—

 

 

 

464

 

Corporate fixed income securities

 

 

13,346

 

 

 

293,006

 

 

 

262,399

 

 

 

—

 

 

 

568,751

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

63,945

 

 

 

155,029

 

 

 

218,974

 

 

 

$

13,561

 

 

$

293,095

 

 

$

376,305

 

 

$

977,886

 

 

$

1,660,847

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

—

 

 

$

2,358,696

 

 

$

3,632,754

 

 

$

5,991,450

 

 

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

At September 30, 2022 and December 31, 2021, securities of $799.2 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 September 30, 2022 and December 31, 2021, securities of $1.1 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 September 30, 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 securities

 

$

(224

)

 

$

1,894

 

 

$

—

 

 

$

—

 

 

$

(224

)

 

$

1,894

 

State and municipal securities

 

 

(40

)

 

 

2,314

 

 

 

—

 

 

 

—

 

 

 

(40

)

 

 

2,314

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

(61,691

)

 

 

451,197

 

 

 

(81,651

)

 

 

347,054

 

 

 

(143,342

)

 

 

798,251

 

Commercial

 

 

(4,773

)

 

 

66,989

 

 

 

—

 

 

 

—

 

 

 

(4,773

)

 

 

66,989

 

Corporate fixed income securities

 

 

(48,271

)

 

 

413,188

 

 

 

(37,154

)

 

 

145,876

 

 

 

(85,425

)

 

 

559,064

 

Asset-backed securities

 

 

(2,104

)

 

 

76,306

 

 

 

(11,736

)

 

 

102,733

 

 

 

(13,840

)

 

 

179,039

 

 

 

$

(117,103

)

 

$

1,011,888

 

 

$

(130,541

)

 

$

595,663

 

 

$

(247,644

)

 

$

1,607,551

 

 

At September 30, 2022, the amortized cost of 278 securities classified as available for sale exceeded their fair value by $247.6 million, of which $130.5 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 September 30, 2022, was $1.6 billion, which was 96.8% 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 September 30, 2022 (in thousands):

 

 

AAA

 

 

AA

 

 

A

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

1,223,263

 

 

$

4,761,020

 

 

$

5,000

 

 

$

2,167

 

 

$

5,991,450