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Available-For-Sale And Held-To-Maturity Securities
 6 Months Ended
Jun. 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 June 30, 2023 and December 31, 2022 (in thousands):

 

 

June 30, 2023

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,360

 

 

$

2

 

 

$

(199

)

 

$

2,163

 

State and municipal securities

 

 

2,350

 

 

 

—

 

 

 

—

 

 

 

2,350

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

897,921

 

 

 

—

 

 

 

(129,373

)

 

 

768,548

 

Commercial

 

 

70,886

 

 

 

—

 

 

 

(5,308

)

 

 

65,578

 

Non-agency

 

 

368

 

 

 

—

 

 

 

(25

)

 

 

343

 

Corporate fixed income securities

 

 

622,129

 

 

 

10

 

 

 

(76,175

)

 

 

545,964

 

Asset-backed securities

 

 

201,442

 

 

 

26

 

 

 

(3,996

)

 

 

197,472

 

 

 

$

1,797,456

 

 

$

38

 

 

$

(215,076

)

 

$

1,582,418

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,951,482

 

 

$

3,793

 

 

$

(165,487

)

 

$

5,789,788

 

 

 

 

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 June 30, 2023, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at June 30, 2023 and December 31, 2022 was $90.4 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 June 30, 2023. During the six months ended June 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. There were no sales of available-for-sale securities during the six months ended June 30, 2022.

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

 

 

June 30, 2023

 

 

December 31, 2022

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

56,855

 

 

$

55,602

 

 

$

16,047

 

 

$

15,877

 

After one year through three years

 

 

152,950

 

 

 

145,768

 

 

 

185,012

 

 

 

178,776

 

After three years through five years

 

 

125,721

 

 

 

109,486

 

 

 

123,696

 

 

 

108,707

 

After five years through ten years

 

 

454,032

 

 

 

393,435

 

 

 

442,055

 

 

 

380,362

 

After ten years

 

 

1,007,898

 

 

 

878,127

 

 

 

1,096,409

 

 

 

952,319

 

 

 

$

1,797,456

 

 

$

1,582,418

 

 

$

1,863,219

 

 

$

1,636,041

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

After five years through ten years

 

$

2,788,861

 

 

$

2,722,380

 

 

$

2,413,239

 

 

$

2,323,608

 

After ten years

 

 

3,162,621

 

 

 

3,067,408

 

 

 

3,577,212

 

 

 

3,414,810

 

 

 

$

5,951,482

 

 

$

5,789,788

 

 

$

5,990,451

 

 

$

5,738,418

 

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

 

$

—

 

 

$

2,163

 

 

$

—

 

 

$

—

 

 

$

2,163

 

State and municipal securities

 

 

—

 

 

 

2,350

 

 

 

—

 

 

 

—

 

 

 

2,350

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

1

 

 

 

324

 

 

 

91,851

 

 

 

676,372

 

 

 

768,548

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

65,578

 

 

 

65,578

 

Non-agency

 

 

—

 

 

 

—

 

 

 

343

 

 

 

—

 

 

 

343

 

Corporate fixed income securities

 

 

55,601

 

 

 

250,417

 

 

 

239,946

 

 

 

—

 

 

 

545,964

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

61,295

 

 

 

136,177

 

 

 

197,472

 

 

 

$

55,602

 

 

$

255,254

 

 

$

393,435

 

 

$

878,127

 

 

$

1,582,418

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

—

 

 

$

2,788,861

 

 

$

3,162,621

 

 

$

5,951,482

 

(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, 2023 and December 31, 2022, securities of $769.4 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 June 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 June 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

 

$

—

 

 

$

—

 

 

$

(199

)

 

$

1,730

 

 

$

(199

)

 

$

1,730

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

(3,621

)

 

 

66,805

 

 

 

(125,752

)

 

 

701,743

 

 

 

(129,373

)

 

 

768,548

 

Commercial

 

 

—

 

 

 

—

 

 

 

(5,308

)

 

 

65,578

 

 

 

(5,308

)

 

 

65,578

 

Non-agency

 

 

(25

)

 

 

343

 

 

 

—

 

 

 

—

 

 

 

(25

)

 

 

343

 

Corporate fixed income securities

 

 

(3,991

)

 

 

46,252

 

 

 

(72,184

)

 

 

497,209

 

 

 

(76,175

)

 

 

543,461

 

Asset-backed securities

 

 

(759

)

 

 

68,335

 

 

 

(3,237

)

 

 

122,997

 

 

 

(3,996

)

 

 

191,332

 

 

 

$

(8,396

)

 

$

181,735

 

 

$

(206,680

)

 

$

1,389,257

 

 

$

(215,076

)

 

$

1,570,992

 

 

At June 30, 2023, the amortized cost of 282 securities classified as available for sale exceeded their fair value by $215.1 million, of which $206.7 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, 2023, was $1.6 billion, which was 99.3% 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, 2023 (in thousands):

 

 

AAA

 

 

AA

 

 

A

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

1,186,942

 

 

$

4,757,815

 

 

$

5,000

 

 

$

1,725

 

 

$

5,951,482