XML 22 R13.htm IDEA: XBRL DOCUMENT v3.22.2
Securities
 6 Months Ended
Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Securities

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 June 30, 2022 and December 31, 2021:

 

 

 

 

June 30, 2022

 

(in millions)

 

 

Amortized
Cost

 

 

 

Gross
Unrealized
Gain

 

 

 

Gross
Unrealized
Loss

 

 

 

Fair
Value

 

Debt securities available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Related Debt Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GSE certificates

 

$

 

1,161

 

 

$

 

1

 

 

$

 

112

 

 

$

 

1,050

 

GSE CMOs

 

 

 

1,611

 

 

 

 

—

 

 

 

 

195

 

 

 

 

1,416

 

Total mortgage-related debt securities

 

$

 

2,772

 

 

$

 

1

 

 

$

 

307

 

 

$

 

2,466

 

Other Debt Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U. S. Treasury obligations

 

$

 

295

 

 

$

 

—

 

 

$

 

1

 

 

$

 

294

 

GSE debentures

 

 

 

1,750

 

 

 

 

—

 

 

 

 

248

 

 

 

 

1,502

 

Asset-backed securities (1)

 

 

 

422

 

 

 

 

—

 

 

 

 

15

 

 

 

 

407

 

Corporate bonds

 

 

 

881

 

 

 

 

4

 

 

 

 

26

 

 

 

 

859

 

Municipal bonds

 

 

 

19

 

 

 

 

—

 

 

 

 

1

 

 

 

 

18

 

Foreign notes

 

 

 

25

 

 

 

 

—

 

 

 

 

—

 

 

 

 

25

 

Capital trust notes

 

 

 

96

 

 

 

 

6

 

 

 

 

9

 

 

 

 

93

 

Total other debt securities

 

$

 

3,488

 

 

$

 

10

 

 

$

 

300

 

 

$

 

3,198

 

Total debt securities available for sale

 

$

 

6,260

 

 

$

 

11

 

 

$

 

607

 

 

$

 

5,664

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mutual funds

 

$

 

15

 

 

$

 

—

 

 

$

 

1

 

 

$

 

14

 

Total equity securities

 

$

 

15

 

 

$

 

—

 

 

$

 

1

 

 

$

 

14

 

Total securities (2)

 

$

 

6,275

 

 

$

 

11

 

 

$

 

608

 

 

$

 

5,678

 

 

(1)
The underlying assets of the asset-backed securities are substantially guaranteed by the U.S. Government.
(2)
Excludes accrued interest receivable of $18 million included in other assets in the Consolidated Statements of Condition.

 

 

 

December 31, 2021

 

(in millions)

 

Amortized
Cost

 

 

Gross
Unrealized
Gain

 

 

Gross
Unrealized
Loss

 

 

Fair
Value

 

Debt securities available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Related Debt Securities:

 

 

 

 

 

 

 

 

 

 

 

 

GSE certificates

 

$

1,102

 

 

$

20

 

 

$

15

 

 

$

1,107

 

GSE CMOs

 

 

1,717

 

 

 

11

 

 

 

45

 

 

 

1,683

 

Total mortgage-related debt securities

 

$

2,819

 

 

$

31

 

 

$

60

 

 

$

2,790

 

Other Debt Securities:

 

 

 

 

 

 

 

 

 

 

 

 

U. S. Treasury obligations

 

$

45

 

 

$

—

 

 

$

—

 

 

$

45

 

GSE debentures

 

 

1,524

 

 

 

1

 

 

 

45

 

 

 

1,480

 

Asset-backed securities (1)

 

 

479

 

 

 

3

 

 

 

3

 

 

 

479

 

Corporate bonds

 

 

821

 

 

 

18

 

 

 

1

 

 

 

838

 

Municipal bonds

 

 

25

 

 

 

—

 

 

 

—

 

 

 

25

 

Foreign Notes

 

 

25

 

 

 

1

 

 

 

—

 

 

 

26

 

    Capital trust notes

 

 

96

 

 

 

8

 

 

 

7

 

 

 

97

 

Total other debt securities

 

$

3,015

 

 

$

31

 

 

$

56

 

 

$

2,990

 

Total other securities available for sale

 

$

5,834

 

 

$

62

 

 

$

116

 

 

$

5,780

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

Mutual funds

 

$

16

 

 

$

—

 

 

$

—

 

 

$

16

 

Total equity securities

 

$

16

 

 

$

—

 

 

$

—

 

 

$

16

 

Total securities (2)

 

$

5,850

 

 

$

62

 

 

$

116

 

 

$

5,796

 

 

(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 June 30, 2022 and December 31, 2021, respectively, the Company had $635 million and $734 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.

 

Net losses on equity securities recognized in earnings for the six months ended June 30, 2022 and 2021 were $1 and $0, respectively.

 

The following table summarizes, by contractual maturity, the amortized cost of securities at June 30, 2022:

 

 

 

 

Mortgage-
Related
Securities

 

 

 

U.S.
Government
and GSE
Obligations

 

 

 

State,
County,
and
Municipal

 

 

 

Other
Debt
Securities (1)

 

 

 

Fair
Value

 

(in millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Available-for-Sale Debt
   Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Due within one year

 

$

 

28

 

 

$

 

295

 

 

$

 

—

 

 

$

 

5

 

 

$

 

327

 

Due from one to five years

 

 

 

141

 

 

 

 

247

 

 

 

 

—

 

 

 

 

458

 

 

 

 

844

 

Due from five to ten years

 

 

 

241

 

 

 

 

674

 

 

 

 

19

 

 

 

 

517

 

 

 

 

1,305

 

Due after ten years

 

 

 

2,362

 

 

 

 

829

 

 

 

 

—

 

 

 

 

444

 

 

 

 

3,188

 

Total debt securities available
   for sale

 

$

 

2,772

 

 

$

 

2,045

 

 

$

 

19

 

 

$

 

1,424

 

 

$

 

5,664

 

 

(1)
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 June 30, 2022:

 

 

 

 

Less than Twelve Months

 

 

 

Twelve Months or Longer

 

 

 

Total

 

(in millions)

 

 

Fair Value

 

 

 

Unrealized
Loss

 

 

 

Fair Value

 

 

 

Unrealized
Loss

 

 

 

Fair Value

 

 

 

Unrealized
Loss

 

Temporarily Impaired Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U. S. Treasury obligations

 

$

 

197

 

 

$

 

1

 

 

$

 

—

 

 

$

 

—

 

 

$

 

197

 

 

$

 

1

 

GSE certificates

 

 

 

683

 

 

 

 

58

 

 

 

 

252

 

 

 

 

54

 

 

 

 

935

 

 

 

 

112

 

GSE CMOs

 

 

 

800

 

 

 

 

73

 

 

 

 

596

 

 

 

 

122

 

 

 

 

1,396

 

 

 

 

195

 

U.S. Government agency and GSE obligations

 

 

 

421

 

 

 

 

44

 

 

 

 

959

 

 

 

 

204

 

 

 

 

1,380

 

 

 

 

248

 

Asset-backed securities

 

 

 

227

 

 

 

 

7

 

 

 

 

180

 

 

 

 

8

 

 

 

 

407

 

 

 

 

15

 

Corporate bonds

 

 

 

713

 

 

 

 

21

 

 

 

 

95

 

 

 

 

5

 

 

 

 

808

 

 

 

 

26

 

Municipal bonds

 

 

 

—

 

 

 

 

—

 

 

 

 

7

 

 

 

 

1

 

 

 

 

7

 

 

 

 

1

 

Foreign notes

 

 

 

5

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

5

 

 

 

 

—

 

Capital trust notes

 

 

 

46

 

 

 

 

1

 

 

 

 

36

 

 

 

 

8

 

 

 

 

82

 

 

 

 

9

 

Equity securities

 

 

 

4

 

 

 

 

—

 

 

 

 

11

 

 

 

 

1

 

 

 

 

15

 

 

 

 

1

 

Total temporarily impaired
   securities

 

$

 

3,096

 

 

$

 

205

 

 

$

 

2,136

 

 

$

 

403

 

 

$

 

5,232

 

 

$

 

608

 

 

 

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, 2021:

 

 

 

Less than Twelve Months

 

 

 

Twelve Months or Longer

 

 

 

Total

 

(in millions)

 

Fair Value

 

 

 

Unrealized
Loss

 

 

 

Fair Value

 

 

 

Unrealized
Loss

 

 

 

Fair Value

 

 

 

Unrealized
Loss

 

Temporarily Impaired Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U. S. Treasury obligations

$

 

45

 

 

$

 

—

 

 

$

 

—

 

 

$

 

—

 

 

$

 

45

 

 

$

 

—

 

U.S. Government agency and GSE obligations

 

 

317

 

 

 

 

7

 

 

 

 

185

 

 

 

 

8

 

 

 

 

502

 

 

 

 

15

 

GSE certificates

 

 

846

 

 

 

 

28

 

 

 

 

293

 

 

 

 

17

 

 

 

 

1,139

 

 

 

 

45

 

GSE CMOs

 

 

491

 

 

 

 

8

 

 

 

 

926

 

 

 

 

37

 

 

 

 

1,417

 

 

 

 

45

 

Asset-backed securities

 

 

130

 

 

 

 

1

 

 

 

 

135

 

 

 

 

2

 

 

 

 

265

 

 

 

 

3

 

Corporate bonds

 

 

—

 

 

 

 

—

 

 

 

 

99

 

 

 

 

1

 

 

 

 

99

 

 

 

 

1

 

Municipal bonds

 

 

—

 

 

 

 

—

 

 

 

 

8

 

 

 

 

—

 

 

 

 

8

 

 

 

 

—

 

Foreign notes

 

 

5

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

5

 

 

 

 

—

 

Capital trust notes

 

 

—

 

 

 

 

—

 

 

 

 

37

 

 

 

 

7

 

 

 

 

37

 

 

 

 

7

 

Equity securities

 

 

12

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

12

 

 

 

 

—

 

Total temporarily impaired
   securities

$

 

1,846

 

 

$

 

44

 

 

$

 

1,683

 

 

$

 

72

 

 

$

 

3,529

 

 

$

 

116

 

 

The investment securities designated as having a continuous loss position for twelve months or more at June 30, 2022 consisted of 50 agency MBS, 11 agency CMOs, five capital trusts notes, five asset-backed securities, two corporate bonds, 24 U.S. government agency bonds, one municipal bond and one equity security. The investment securities designated as having a continuous loss position for twelve months or more at December 31, 2021 consisted of four agency collateralized mortgage obligations, five capital trusts notes, four asset-backed securities, two corporate bonds, 20 US government agency bonds, 21 agency mortgage-backed securities 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 June 30, 2022 or December 31, 2021 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 six months ended June 30, 2022.

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.