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Available-For-Sale And Held-To-Maturity Securities
 6 Months Ended
Jun. 30, 2024
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 June 30, 2024 and December 31, 2023 (in thousands):

 

 

June 30, 2024

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,392

 

 

$

—

 

 

$

(177

)

 

$

2,215

 

State and municipal securities

 

 

2,350

 

 

 

—

 

 

 

(13

)

 

 

2,337

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

971,702

 

 

 

80

 

 

 

(126,320

)

 

 

845,462

 

Commercial

 

 

69,885

 

 

 

—

 

 

 

(3,055

)

 

 

66,830

 

Non-agency

 

 

233

 

 

 

—

 

 

 

(11

)

 

 

222

 

Corporate fixed income securities

 

 

563,266

 

 

 

—

 

 

 

(55,883

)

 

 

507,383

 

Asset-backed securities

 

 

160,908

 

 

 

40

 

 

 

(1,920

)

 

 

159,028

 

 

 

$

1,770,736

 

 

$

120

 

 

$

(187,379

)

 

$

1,583,477

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

6,059,267

 

 

$

20,034

 

 

$

(5,044

)

 

$

6,074,257

 

 

 

 

December 31, 2023

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,376

 

 

$

5

 

 

$

(162

)

 

$

2,219

 

State and municipal securities

 

 

2,350

 

 

 

1

 

 

 

—

 

 

 

2,351

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

855,456

 

 

 

—

 

 

 

(109,286

)

 

 

746,170

 

Commercial

 

 

70,326

 

 

 

—

 

 

 

(3,655

)

 

 

66,671

 

Non-agency

 

 

274

 

 

 

—

 

 

 

(13

)

 

 

261

 

Corporate fixed income securities

 

 

615,131

 

 

 

—

 

 

 

(58,970

)

 

 

556,161

 

Asset-backed securities

 

 

181,717

 

 

 

—

 

 

 

(3,864

)

 

 

177,853

 

 

 

$

1,727,630

 

 

$

6

 

 

$

(175,950

)

 

$

1,551,686

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,888,798

 

 

$

6,387

 

 

$

(43,009

)

 

$

5,852,176

 

(1)
Unrealized gains/(losses) related to available-for-sale securities are reported in accumulated other comprehensive loss.
(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 June 30, 2024, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at June 30, 2024 and December 31, 2023 was $89.8 million and $95.7 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 and six months ended June 30, 2024. There were no sales of available-for-sale securities during the three months ended June 30, 2023. During the six months ended June 30, 2023, we received proceeds of $2.4 million from the sale of available-for-sale securities, which resulted in a realized loss of $7.6 million.

The table below summarizes the amortized cost and fair values of our securities by contractual maturity at June 30, 2024 and December 31, 2023 (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.

 

 

June 30, 2024

 

 

December 31, 2023

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

97,248

 

 

$

96,116

 

 

$

105,389

 

 

$

104,113

 

After one year through three years

 

 

153,728

 

 

 

145,030

 

 

 

184,975

 

 

 

174,827

 

After three years through five years

 

 

26,293

 

 

 

23,346

 

 

 

38,462

 

 

 

34,316

 

After five years through ten years

 

 

428,283

 

 

 

377,250

 

 

 

448,931

 

 

 

398,624

 

After ten years

 

 

1,065,184

 

 

 

941,735

 

 

 

949,873

 

 

 

839,806

 

 

 

$

1,770,736

 

 

$

1,583,477

 

 

$

1,727,630

 

 

$

1,551,686

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

After three years through five years

 

 

15,000

 

 

 

15,000

 

 

 

—

 

 

 

—

 

After five years through ten years

 

 

2,867,782

 

 

 

2,872,188

 

 

 

2,754,817

 

 

 

2,740,154

 

After ten years

 

 

3,176,485

 

 

 

3,187,069

 

 

 

3,133,981

 

 

 

3,112,022

 

 

 

$

6,059,267

 

 

$

6,074,257

 

 

$

5,888,798

 

 

$

5,852,176

 

The maturities of our available-for-sale (fair value) and held-to-maturity (amortized cost) securities at June 30, 2024, 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

 

$

—

 

 

$

2,215

 

 

$

—

 

 

$

—

 

 

$

2,215

 

State and municipal securities

 

 

—

 

 

 

2,337

 

 

 

—

 

 

 

—

 

 

 

2,337

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

—

 

 

 

241

 

 

 

81,553

 

 

 

763,668

 

 

 

845,462

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

66,830

 

 

 

66,830

 

Non-agency

 

 

—

 

 

 

—

 

 

 

222

 

 

 

—

 

 

 

222

 

Corporate fixed income securities

 

 

96,116

 

 

 

163,583

 

 

 

247,684

 

 

 

—

 

 

 

507,383

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

47,791

 

 

 

111,237

 

 

 

159,028

 

 

 

$

96,116

 

 

$

168,376

 

 

$

377,250

 

 

$

941,735

 

 

$

1,583,477

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

15,000

 

 

$

2,867,782

 

 

$

3,176,485

 

 

$

6,059,267

 

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

At June 30, 2024 and December 31, 2023, securities of $694.4 million and $746.4 million, respectively, were pledged at the Federal Home Loan Bank as collateral for borrowings and letters of credit obtained to secure public deposits. At June 30, 2024 and December 31, 2023, securities of $1.1 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 June 30, 2024 (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

 

$

(3

)

 

$

443

 

 

$

(174

)

 

$

1,772

 

 

$

(177

)

 

$

2,215

 

State and municipal securities

 

 

(13

)

 

 

2,337

 

 

 

—

 

 

 

—

 

 

 

(13

)

 

 

2,337

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

(217

)

 

 

96,388

 

 

 

(126,103

)

 

 

684,458

 

 

 

(126,320

)

 

 

780,846

 

Commercial

 

 

—

 

 

 

—

 

 

 

(3,055

)

 

 

66,830

 

 

 

(3,055

)

 

 

66,830

 

Non-agency

 

 

—

 

 

 

—

 

 

 

(11

)

 

 

222

 

 

 

(11

)

 

 

222

 

Corporate fixed income securities

 

 

(66

)

 

 

6,547

 

 

 

(55,817

)

 

 

500,836

 

 

 

(55,883

)

 

 

507,383

 

Asset-backed securities

 

 

(386

)

 

 

32,908

 

 

 

(1,534

)

 

 

113,079

 

 

 

(1,920

)

 

 

145,987

 

 

 

$

(685

)

 

$

138,623

 

 

$

(186,694

)

 

$

1,367,197

 

 

$

(187,379

)

 

$

1,505,820

 

 

At June 30, 2024, the amortized cost of 270 securities classified as available for sale exceeded their fair value by $187.4 million, of which $186.7 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 June 30, 2024, was $1.5 billion, which was 95.1% 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 June 30, 2024 (in thousands):

 

 

AAA

 

 

AA

 

 

A

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

1,584,129

 

 

$

4,468,981

 

 

$

5,000

 

 

$

1,157

 

 

$

6,059,267