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Available-for-Sale and Held-to-Maturity Securities
 3 Months Ended
Mar. 31, 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 March 31, 2024 and December 31, 2023 (in thousands):

 

 

March 31, 2024

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains (1)

 

 

Gross
Unrealized
Losses (1)

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agency securities

 

$

2,384

 

 

$

—

 

 

$

(175

)

 

$

2,209

 

State and municipal securities

 

 

2,350

 

 

 

—

 

 

 

—

 

 

 

2,350

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

837,331

 

 

 

1

 

 

 

(123,393

)

 

 

713,939

 

Commercial

 

 

70,106

 

 

 

—

 

 

 

(3,252

)

 

 

66,854

 

Non-agency

 

 

259

 

 

 

—

 

 

 

(11

)

 

 

248

 

Corporate fixed income securities

 

 

600,776

 

 

 

—

 

 

 

(57,779

)

 

 

542,997

 

Asset-backed securities

 

 

173,938

 

 

 

69

 

 

 

(2,622

)

 

 

171,385

 

 

 

$

1,687,144

 

 

$

70

 

 

$

(187,232

)

 

$

1,499,982

 

Held-to-maturity securities (2)

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

5,793,750

 

 

$

10,699

 

 

$

(11,503

)

 

$

5,792,946

 

 

 

 

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 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 March 31, 2024, we did not have an allowance for credit losses recorded on our investment portfolio.

Accrued interest receivable for our investment portfolio at March 31, 2024 and December 31, 2023 was $89.7 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 months ended March 31, 2024. During the three months ended March 31, 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 March 31, 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.

 

 

March 31, 2024

 

 

December 31, 2023

 

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Available-for-sale securities

 

 

 

 

 

 

 

 

 

 

 

 

Within one year

 

$

134,400

 

 

$

132,638

 

 

$

105,389

 

 

$

104,113

 

After one year through three years

 

 

153,908

 

 

 

144,869

 

 

 

184,975

 

 

 

174,827

 

After three years through five years

 

 

26,315

 

 

 

23,483

 

 

 

38,462

 

 

 

34,316

 

After five years through ten years

 

 

436,074

 

 

 

384,607

 

 

 

448,931

 

 

 

398,624

 

After ten years

 

 

936,447

 

 

 

814,385

 

 

 

949,873

 

 

 

839,806

 

 

 

$

1,687,144

 

 

$

1,499,982

 

 

$

1,727,630

 

 

$

1,551,686

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

After five years through ten years

 

 

2,626,367

 

 

 

2,625,796

 

 

 

2,754,817

 

 

 

2,740,154

 

After ten years

 

 

3,167,383

 

 

 

3,167,150

 

 

 

3,133,981

 

 

 

3,112,022

 

 

 

$

5,793,750

 

 

$

5,792,946

 

 

$

5,888,798

 

 

$

5,852,176

 

 

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

 

$

—

 

 

$

2,209

 

 

$

—

 

 

$

—

 

 

$

2,209

 

State and municipal securities

 

 

—

 

 

 

2,350

 

 

 

—

 

 

 

—

 

 

 

2,350

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

—

 

 

 

262

 

 

 

86,846

 

 

 

626,831

 

 

 

713,939

 

Commercial

 

 

—

 

 

 

—

 

 

 

—

 

 

 

66,854

 

 

 

66,854

 

Non-agency

 

 

—

 

 

 

—

 

 

 

248

 

 

 

—

 

 

 

248

 

Corporate fixed income securities

 

 

132,638

 

 

 

163,531

 

 

 

246,828

 

 

 

—

 

 

 

542,997

 

Asset-backed securities

 

 

—

 

 

 

—

 

 

 

50,685

 

 

 

120,700

 

 

 

171,385

 

 

 

$

132,638

 

 

$

168,352

 

 

$

384,607

 

 

$

814,385

 

 

$

1,499,982

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

—

 

 

$

—

 

 

$

2,626,367

 

 

$

3,167,383

 

 

$

5,793,750

 

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

At March 31, 2024 and December 31, 2023, securities of $713.7 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 March 31, 2024 and December 31, 2023, 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 March 31, 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

 

$

(1

)

 

$

442

 

 

$

(174

)

 

$

1,767

 

 

$

(175

)

 

$

2,209

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency

 

 

(240

)

 

 

14,817

 

 

 

(123,153

)

 

 

698,787

 

 

 

(123,393

)

 

 

713,604

 

Commercial

 

 

—

 

 

 

—

 

 

 

(3,252

)

 

 

66,854

 

 

 

(3,252

)

 

 

66,854

 

Non-agency

 

 

—

 

 

 

—

 

 

 

(11

)

 

 

248

 

 

 

(11

)

 

 

248

 

Corporate fixed income securities

 

 

(96

)

 

 

6,526

 

 

 

(57,683

)

 

 

536,471

 

 

 

(57,779

)

 

 

542,997

 

Asset-backed securities

 

 

(822

)

 

 

34,623

 

 

 

(1,800

)

 

 

111,062

 

 

 

(2,622

)

 

 

145,685

 

 

 

$

(1,159

)

 

$

56,408

 

 

$

(186,073

)

 

$

1,415,189

 

 

$

(187,232

)

 

$

1,471,597

 

At March 31, 2024, the amortized cost of 276 securities classified as available for sale exceeded their fair value by $187.2 million, of which $186.1 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 March 31, 2024, was $1.5 billion, which was 98.1% 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 March 31, 2024 (in thousands):

 

 

AAA

 

 

AA

 

 

C

 

 

Total

 

Held-to-maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

1,708,655

 

 

$

4,083,852

 

 

$

1,243

 

 

$

5,793,750