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Available-for-Sale and Held-to-Maturity Securities
 9 Months Ended
Sep. 30, 2023
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, 2023 and December 31, 2022 (in thousands):

 

 

September 30, 2023

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,368

 

 

$

—

 

 

$

(233

)

 

$

2,135

 

State and municipal securities

 

 

2,350

 

 

 

—

 

 

 

(56

)

 

 

2,294

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

876,007

 

 

 

—

 

 

 

(160,757

)

 

 

715,250

 

Commercial

 

 

70,563

 

 

 

—

 

 

 

(4,868

)

 

 

65,695

 

Non-agency

 

 

351

 

 

 

—

 

 

 

(19

)

 

 

332

 

Corporate fixed income securities

 

 

618,164

 

 

 

5

 

 

 

(80,319

)

 

 

537,850

 

Asset-backed securities

 

 

192,936

 

 

 

—

 

 

 

(4,259

)

 

 

188,677

 

 

 

$

1,762,739

 

 

$

5

 

 

$

(250,511

)

 

$

1,512,233

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,900,379

 

 

$

5,476

 

 

$

(94,255

)

 

$

5,811,600

 

 

 

 

December 31, 2022

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,345

 

 

$

6

 

 

$

(203

)

 

$

2,148

 

State and municipal securities

 

 

2,350

 

 

 

1

 

 

 

—

 

 

 

2,351

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

921,676

 

 

 

—

 

 

 

(130,654

)

 

 

791,022

 

Commercial

 

 

71,462

 

 

 

—

 

 

 

(5,349

)

 

 

66,113

 

Non-agency

 

 

442

 

 

 

—

 

 

 

(54

)

 

 

388

 

Corporate fixed income securities

 

 

643,379

 

 

 

18

 

 

 

(77,103

)

 

 

566,294

 

Asset-backed securities

 

 

221,565

 

 

 

126

 

 

 

(13,966

)

 

 

207,725

 

 

 

$

1,863,219

 

 

$

151

 

 

$

(227,329

)

 

$

1,636,041

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,990,451

 

 

$

3,213

 

 

$

(255,246

)

 

$

5,738,418

 

(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, 2023, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at September 30, 2023 and December 31, 2022 was $94.8 million and $82.3 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.

There were no sales of available-for-sale securities during the three months ended September 30, 2023. During the nine months ended September 30, 2023, we received proceeds of $10.0 million from the sale of available-for-sale securities, which resulted in a realized loss of $7.6 million. During the three and nine months ended September 30, 2022, we received proceeds of $80.0 million from the sale of available-for-sale securities, which resulted in a realized gain of $0.1 million.

The table below summarizes the amortized cost and fair values of our securities by contractual maturity at September 30, 2023 and December 31, 2022 (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, 2023

 

 

December 31, 2022

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

86,971

 

 

$

85,380

 

 

$

16,047

 

 

$

15,877

 

After one year through three years

 

 

206,234

 

 

 

191,070

 

 

 

185,012

 

 

 

178,776

 

After three years through five years

 

 

38,502

 

 

 

32,679

 

 

 

123,696

 

 

 

108,707

 

After five years through ten years

 

 

456,440

 

 

 

386,538

 

 

 

442,055

 

 

 

380,362

 

After ten years

 

 

974,592

 

 

 

816,566

 

 

 

1,096,409

 

 

 

952,319

 

 

 

$

1,762,739

 

 

$

1,512,233

 

 

$

1,863,219

 

 

$

1,636,041

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

After five years through ten years

 

$

2,765,980

 

 

$

2,725,890

 

 

$

2,413,239

 

 

$

2,323,608

 

After ten years

 

 

3,134,399

 

 

 

3,085,710

 

 

 

3,577,212

 

 

 

3,414,810

 

 

 

$

5,900,379

 

 

$

5,811,600

 

 

$

5,990,451

 

 

$

5,738,418

 

The maturities of our available-for-sale (fair value) and held-to-maturity (amortized cost) securities at September 30, 2023, 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

 

$

—

 

 

$

2,135

 

 

$

—

 

 

$

—

 

 

$

2,135

 

State and municipal securities

 

 

—

 

 

 

2,294

 

 

 

—

 

 

 

—

 

 

 

2,294

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

—

 

 

 

295

 

 

 

92,085

 

 

 

622,870

 

 

 

715,250

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

65,695

 

 

 

65,695

 

Non-agency

 

 

—

 

 

 

—

 

 

 

332

 

 

 

—

 

 

 

332

 

Corporate fixed income securities

 

 

85,380

 

 

 

219,025

 

 

 

233,445

 

 

 

—

 

 

 

537,850

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

60,676

 

 

 

128,001

 

 

 

188,677

 

 

 

$

85,380

 

 

$

223,749

 

 

$

386,538

 

 

$

816,566

 

 

$

1,512,233

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

—

 

 

$

2,765,980

 

 

$

3,134,399

 

 

$

5,900,379

 

(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, 2023 and December 31, 2022, securities of $721.0 million and $796.2 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, 2023 and December 31, 2022, securities of $1.3 billion and $1.3 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, 2023 (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

 

$

(8

)

 

$

427

 

 

$

(225

)

 

$

1,708

 

 

$

(233

)

 

$

2,135

 

State and municipal securities

 

 

(56

)

 

 

2,294

 

 

 

—

 

 

 

—

 

 

 

(56

)

 

 

2,294

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

(1,228

)

 

 

24,100

 

 

 

(159,529

)

 

 

691,150

 

 

 

(160,757

)

 

 

715,250

 

Commercial

 

 

—

 

 

 

—

 

 

 

(4,868

)

 

 

65,695

 

 

 

(4,868

)

 

 

65,695

 

Non-agency

 

 

—

 

 

 

—

 

 

 

(19

)

 

 

332

 

 

 

(19

)

 

 

332

 

Corporate fixed income securities

 

 

(235

)

 

 

6,438

 

 

 

(80,084

)

 

 

528,914

 

 

 

(80,319

)

 

 

535,352

 

Asset-backed securities

 

 

(1,649

)

 

 

64,008

 

 

 

(2,610

)

 

 

124,669

 

 

 

(4,259

)

 

 

188,677

 

 

 

$

(3,176

)

 

$

97,267

 

 

$

(247,335

)

 

$

1,412,468

 

 

$

(250,511

)

 

$

1,509,735

 

 

At September 30, 2023, the amortized cost of 284 securities classified as available for sale exceeded their fair value by $250.5 million, of which $247.3 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, 2023, was $1.5 billion, which was 99.8% 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, 2023 (in thousands):

 

 

AAA

 

 

AA

 

 

A

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

1,156,155

 

 

$

4,737,652

 

 

$

5,000

 

 

$

1,572

 

 

$

5,900,379