XML 31 R17.htm IDEA: XBRL DOCUMENT v3.22.0.1
Available-For-Sale And Held-To-Maturity Securities
 12 Months Ended
Dec. 31, 2021
Investments Debt And Equity Securities [Abstract]  
Available-For-Sale And Held-To-Maturity Securities

NOTE 7 – 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 December 31, 2021 and 2020 (in thousands):

 

 

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

 

 

 

 

December 31, 2020

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

4,293

 

 

$

68

 

 

$

—

 

 

$

4,361

 

State and municipal securities

 

 

2,395

 

 

 

58

 

 

 

—

 

 

 

2,453

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

777,025

 

 

 

16,401

 

 

 

(16

)

 

 

793,410

 

Commercial

 

 

91,237

 

 

 

4,376

 

 

 

—

 

 

 

95,613

 

Non-agency

 

 

4,550

 

 

 

28

 

 

 

(9

)

 

 

4,569

 

Corporate fixed income securities

 

 

604,662

 

 

 

27,096

 

 

 

—

 

 

 

631,758

 

Asset-backed securities

 

 

700,177

 

 

 

3,522

 

 

 

(5,566

)

 

 

698,133

 

 

 

$

2,184,339

 

 

$

51,549

 

 

$

(5,591

)

 

$

2,230,297

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

 

4,117,384

 

 

 

8,111

 

 

 

(17,535

)

 

 

4,107,960

 

 

(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. For more information, see Note 2 – Summary of Significant Accounting Policies. At December 31, 2021, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at December 31, 2021 and 2020, was $29.1 million and $26.0 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 year ended December 31, 2021. For the year ended December 31, 2020, we received proceeds of $491.9 million from the sale of available-for-sale securities, which resulted in a realized loss of $0.5 million. For the year ended December 31, 2019, we received proceeds of $641.8 million from the sale of available-for-sale securities, which resulted in a realized loss of $0.3 million.

During the year ended December 31, 2021, the Company transferred $312.9 million of certain asset-backed securities from the available-for-sale category 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 these transfers.

During the year ended December 31, 2020, the Company transferred $1.0 billion of certain asset-backed securities from the available-for-sale category 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. There were no gains or losses recognized as a result of these transfers.

The table below summarizes the amortized cost and fair values of our securities by contractual maturity (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.

 

 

 

December 31, 2021

 

 

December 31, 2020

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

36,671

 

 

$

36,899

 

 

$

143,462

 

 

$

144,362

 

After one year through three years

 

 

217,606

 

 

 

222,942

 

 

 

134,040

 

 

 

137,625

 

After three years through five years

 

 

192,271

 

 

 

196,380

 

 

 

247,907

 

 

 

266,139

 

After five years through ten years

 

 

455,429

 

 

 

455,848

 

 

 

429,921

 

 

 

435,111

 

After ten years

 

 

1,202,536

 

 

 

1,201,824

 

 

 

1,229,009

 

 

 

1,247,060

 

 

 

$

2,104,513

 

 

$

2,113,893

 

 

$

2,184,339

 

 

$

2,230,297

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

After three years through five years

 

 

2,825

 

 

 

2,825

 

 

 

17,460

 

 

 

17,460

 

After five years through ten years

 

 

2,282,162

 

 

 

2,278,597

 

 

 

1,932,439

 

 

 

1,926,425

 

After ten years

 

 

3,063,571

 

 

 

3,062,059

 

 

 

2,167,485

 

 

 

2,164,075

 

 

 

$

5,348,558

 

 

$

5,343,481

 

 

$

4,117,384

 

 

$

4,107,960

 

 

The maturities of our available-for-sale (fair value) and held-to-maturity (amortized cost) securities at December 31, 2021, 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

 

$

1,808

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

1,808

 

State and municipal securities

 

 

—

 

 

 

—

 

 

 

2,399

 

 

 

—

 

 

 

2,399

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

58

 

 

 

102

 

 

 

57,163

 

 

 

894,863

 

 

 

952,186

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

73,985

 

 

 

73,985

 

Non-agency

 

 

—

 

 

 

—

 

 

 

568

 

 

 

—

 

 

 

568

 

Corporate fixed income securities

 

 

35,033

 

 

 

419,220

 

 

 

337,640

 

 

 

—

 

 

 

791,893

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

58,078

 

 

 

232,976

 

 

 

291,054

 

 

 

$

36,899

 

 

$

419,322

 

 

$

455,848

 

 

$

1,201,824

 

 

$

2,113,893

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

2,825

 

 

$

2,282,162

 

 

$

3,063,571

 

 

$

5,348,558

 

 

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

At December 31, 2021 and 2020, securities of $639.6 million and $368.4 million, respectively, were pledged at the Federal Home Loan Bank as collateral for borrowings and letters of credit obtained to secure public deposits. At December 31, 2021 and 2020, securities of $1.2 billion and $1.4 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 December 31, 2021 (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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency mortgage-backed securities

 

$

(5,833

)

 

$

499,332

 

 

$

(3,183

)

 

$

104,035

 

 

$

(9,016

)

 

$

603,367

 

Corporate fixed income securities

 

 

(5,781

)

 

 

305,324

 

 

 

—

 

 

 

—

 

 

 

(5,781

)

 

 

305,324

 

Asset-backed securities

 

 

(1,933

)

 

 

117,388

 

 

 

(296

)

 

 

35,800

 

 

 

(2,229

)

 

 

153,188

 

 

 

$

(13,547

)

 

$

922,044

 

 

$

(3,479

)

 

$

139,835

 

 

$

(17,026

)

 

$

1,061,879

 

At December 31, 2021, the amortized cost of 89 securities classified as available for sale exceeded their fair value by $17.0 million, of which $3.5 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 December 31, 2021, was $1.1 billion, which was 50.2% of our available-for-sale portfolio.

Credit Quality Indicators

The Company uses Moody credit ratings as the 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 December 31, 2021 (in thousands):

 

 

AAA

 

 

AA

 

 

A

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

976,695

 

 

$

4,364,523

 

 

$

5,000

 

 

$

2,340

 

 

$

5,348,558