Securities

9 Months Ended

Sep. 30, 2021

Investments Debt And Equity Securities [Abstract]

Note 4. Securities

The following tables summarize the Company’s portfolio of debt securities available for sale and equity investments with readily determinable fair values at September 30, 2021 and December 31, 2020:


	September 30, 2021
(dollars in millions)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Debt securities available-for-sale
Mortgage-Related Debt Securities:
GSE certificates	$	1,117	$	28	$	15	$	1,130
GSE CMOs		1,865		19		35		1,849
Total mortgage-related debt securities	$	2,982	$	47	$	50	$	2,979
Other Debt Securities:
U. S. Treasury obligations	$	65	$	—	$	—	$	65
GSE debentures		1,413		2		43		1,372
Asset-backed securities (1)		493		4		2		495
Municipal bonds		25		—		—		25
Corporate bonds		821		21		1		841
Foreign notes		25		1		—		26
Capital trust notes		96		7		8		95
Total other debt securities	$	2,938	$	35	$	54	$	2,919
Total debt securities available for sale	$	5,920	$	82	$	104	$	5,898
Equity Securities:
Mutual funds	$	16	$	—	$	—	$	16
Total equity securities	$	16	$	—	$	—	$	16
Total securities (2)	$	5,936	$	82	$	104	$	5,914

(1)

The underlying assets of the asset-backed securities are substantially guaranteed by the U.S. Government.

(2)

Excludes accrued interest receivable of $14 million included in other assets in the Consolidated Statements of Condition.


	December 31, 2020
(dollars in millions)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Debt securities available-for-sale
Mortgage-Related Debt Securities:
GSE certificates	$	1,155	$	54	$	—	$	1,209
GSE CMOs		1,787		45		3		1,829
Total mortgage-related debt securities	$	2,942	$	99	$	3	$	3,038
Other Debt Securities:
U.S. Treasury obligations	$	65	$	—	$	—	$	65
GSE debentures		1,158		4		4		1,158
Asset-backed securities (1)		530		2		6		526
Municipal bonds		26		1		—		27
Corporate bonds		871		18		6		883
Foreign notes		25		1		—		26
Capital trust notes		96		6		11		91
Total other debt securities	$	2,771	$	32	$	27	$	2,776
Total other securities available for sale	$	5,713	$	131	$	30	$	5,814
Equity Securities:
Preferred stock	$	15	$	—	$	—	$	15
Mutual funds		16		—		—		16
Total equity securities	$	31	$	—	$	—	$	31
Total securities(2)	$	5,744	$	131	$	30	$	5,845

(1)

The underlying assets of the asset-backed securities are substantially guaranteed by the U.S. Government.

(2)

Excludes accrued interest receivable of $15 million included in other assets in the Consolidated Statements of Condition.

At September 30, 2021 and December 31, 2020, respectively, the Company had $684 million and $714 million of FHLB-NY stock, at cost. The Company maintains an investment in FHLB-NY stock partly in conjunction with its membership in the FHLB and partly related to its access to the FHLB funding it utilizes.

The following table summarizes the gross proceeds, gross realized gains, and gross realized losses from the sale of available-for-sale securities during the nine months ended September 30, 2021 and 2020:


	For the Nine Months Ended September 30,
(dollars in millions)	2021		2020
Gross proceeds	$	-	$	484
Gross realized gains		-		2
Gross realized losses		-		1

Net losses on equity securities recognized in earnings for both the nine months ended September 30, 2021 and 2020 were $0.

The following table summarizes, by contractual maturity, the amortized cost of securities at September 30, 2021:


	Mortgage- Related Securities		Average Yield			U.S. Government and GSE Obligations		Average Yield			State, County, and Municipal		Average Yield (1)			Other Debt Securities (2)		Average Yield			Fair Value
(dollars in millions)
Available-for-Sale Debt Securities:
Due within one year	$	26		2.72	%	$	69		0.17	%	$	—		—	%	$	—		—	%	$	95
Due from one to five years		193		3.25			22		3.52			—		—			403		1.62			646
Due from five to ten years		197		2.52			317		1.58			19		3.52			523		2.26			1,065
Due after ten years		2,566		1.85			1,070		1.54			6		3.33			509		1.18			4,092
Total debt securities available for sale	$	2,982		1.99	%	$	1,478		1.51	%	$	25		3.48	%	$	1,435		1.70	%	$	5,898

(1)

Not presented on a tax-equivalent basis.

(2)

Includes corporate bonds, capital trust notes, foreign notes and asset-backed securities.

The following table presents securities with no related allowance having a continuous unrealized loss position for less than twelve months and for twelve months or longer as of September 30, 2021:


	Less than Twelve Months				Twelve Months or Longer				Total
(dollars in millions)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Temporarily Impaired Securities:
GSE certificates	$	497	$	15	$	—	$	—	$	497	$	15
US Treasuries		45		—		—		—		45		—
GSE CMOs		969		35		—		—		969		35
GSE debentures		927		26		393		17		1,320		43
Asset-backed securities		138		—		141		2		279		2
Municipal bonds		—		—		8		—		8		—
Corporate bonds		—		—		249		1		249		1
Capital trust notes		—		—		36		8		36		8
Equity securities		12		—		—		—		12		—
Total temporarily impaired securities	$	2,588	$	76	$	827	$	28	$	3,415	$	104

The following table presents securities having a continuous unrealized loss position for less than twelve months and for twelve months or longer as of December 31, 2020:


	Less than Twelve Months				Twelve Months or Longer				Total
(dollars in millions)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Temporarily Impaired Securities:
U. S. Treasury obligations	$	—	$	—	$	—	$	—	$	—	$	—
U. S. Government agency and GSE obligations		59		—		—		—		59		—
GSE certificates		442		3		74		—		516		3
GSE CMOs		522		4		—		—		522		4
Asset-backed securities		—		—		364		6		364		6
Municipal bonds		—		—		9		—		9		—
Corporate bonds		72		3		246		3		318		6
Foreign notes		—		—		—		—		—		—
Capital trust notes		—		—		33		11		33		11
Equity securities		—		—		—		—		—		—
Total temporarily impaired securities	$	1,095	$	10	$	726	$	20	$	1,821	$	30

The investment securities designated as having a continuous loss position for twelve months or more at September 30, 2021 consisted of five capital trusts notes, four asset-backed securities, four corporate bonds, eight U.S. government agency obligations, and one municipal bond. The investment securities designated as having a continuous loss position for twelve months or more at December 31, 2020 consisted of four agency collateralized mortgage obligations, five capital trusts notes, seven asset-backed securities, three corporate bonds, and one municipal bond.

The Company evaluates available-for-sale debt securities in unrealized loss positions at least quarterly to determine if an allowance for credit losses is required. Based on an evaluation of available information about past events, current conditions, and reasonable and supportable forecasts that are relevant to collectability, the Company has concluded that it expects to receive all contractual cash flows from each security held in its available-for-sale securities portfolio.

We first assess whether (i) we intend to sell, or (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis. If either of these criteria is met, any previously recognized allowances are charged off and the security’s amortized cost basis is written down to fair value through income. If neither of the aforementioned criteria is met, we evaluate whether the decline in fair value has resulted from credit losses or other factors. If this assessment indicates that a credit loss exists, the present value of cash flows expected to be collected from the security is 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, a credit loss exists and an allowance for credit losses 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 allowance for credit losses is recognized in other comprehensive income.

None of the unrealized losses identified as of September 30, 2021 or December 31, 2020 relates to the marketability of the securities or the issuers’ ability to honor redemption obligations. Rather, the unrealized losses relate to changes in interest rates relative to when the investment securities were purchased, and do not indicate credit-related impairment. Management based this conclusion on an analysis of each issuer including a detailed credit assessment of each issuer. The Company does not intend to sell, and it is not more likely than not that the Company will be required to sell the positions before the recovery of their amortized cost basis, which may be at maturity. As such, no allowance for credit losses was recorded with respect to debt securities as of or during the nine months ended September 30, 2021.

Management has made the accounting policy election to exclude accrued interest receivable on available-for-sale securities from the estimate of credit losses. Available-for-sale debt securities are placed on non-accrual status when we no longer expect to receive all contractual amounts due, which is generally at 90 days past due. Accrued interest receivable is reversed against interest income when a security is placed on non-accrual status.