Securities (Tables)
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6 Months Ended |
Jun. 30, 2022 |
Investments, Debt and Equity Securities [Abstract] |
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Reconciliation of Amortized Cost to Fair Value of Securities Available for Sale |
The following tables provide the amortized cost and fair values as of June 30, 2022 and December 31, 2021, and remaining maturities of AFS debt securities as of June 30, 2022. TABLE 39: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF AVAILABLE FOR SALE DEBT SECURITIES | | | | | | | | | | | | | | | | JUNE 30, 2022 | (In Millions) | AMORTIZED COST | GROSS UNREALIZED GAINS | GROSS UNREALIZED LOSSES | FAIR VALUE | U.S. Government | $ | 2,645.2 | | $ | 4.4 | | $ | 61.2 | | $ | 2,588.4 | | Obligations of States and Political Subdivisions | 3,883.1 | | 0.2 | | 430.0 | | 3,453.3 | | Government Sponsored Agency | 17,151.3 | | 13.5 | | 751.6 | | 16,413.2 | | Non-U.S. Government | 396.2 | | — | | 28.9 | | 367.3 | | Corporate Debt | 2,163.4 | | 0.8 | | 76.3 | | 2,087.9 | | Covered Bonds | 541.6 | | 0.3 | | 12.9 | | 529.0 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 2,939.6 | | 1.7 | | 147.5 | | 2,793.8 | | Other Asset-Backed | 5,663.2 | | — | | 271.7 | | 5,391.5 | | Commercial Mortgage-Backed | 1,468.6 | | — | | 75.1 | | 1,393.5 | | Total | $ | 36,852.2 | | $ | 20.9 | | $ | 1,855.2 | | $ | 35,017.9 | |
| | | | | | | | | | | | | | | | DECEMBER 31, 2021 | (In Millions) | AMORTIZED COST | GROSS UNREALIZED GAINS | GROSS UNREALIZED LOSSES | FAIR VALUE | U.S. Government | $ | 2,406.2 | | $ | 29.3 | | $ | 9.4 | | $ | 2,426.1 | | Obligations of States and Political Subdivisions | 3,841.0 | | 73.7 | | 38.6 | | 3,876.1 | | Government Sponsored Agency | 18,092.1 | | 93.7 | | 110.2 | | 18,075.6 | | Non-U.S. Government | 383.4 | | 0.1 | | 9.5 | | 374.0 | | Corporate Debt | 2,319.8 | | 31.6 | | 9.7 | | 2,341.7 | | Covered Bonds | 502.6 | | 3.9 | | 0.9 | | 505.6 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 3,052.4 | | 28.1 | | 35.4 | | 3,045.1 | | Other Asset-Backed | 5,962.0 | | 11.3 | | 31.7 | | 5,941.6 | | Commercial Mortgage-Backed | 1,389.0 | | 38.9 | | 3.2 | | 1,424.7 | | Total | $ | 37,948.5 | | $ | 310.6 | | $ | 248.6 | | $ | 38,010.5 | |
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Remaining Maturity of Securities Available for Sale and Held to Maturity |
TABLE 40: REMAINING MATURITY OF AVAILABLE FOR SALE DEBT SECURITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | JUNE 30, 2022 | ONE YEAR OR LESS | ONE TO FIVE YEARS | FIVE TO TEN YEARS | OVER TEN YEARS | TOTAL | (In Millions) | AMORTIZED COST | FAIR VALUE | AMORTIZED COST | FAIR VALUE | AMORTIZED COST | FAIR VALUE | AMORTIZED COST | FAIR VALUE | AMORTIZED COST | FAIR VALUE | U.S. Government | $ | 494.8 | | $ | 495.9 | | $ | 1,901.8 | | $ | 1,873.4 | | $ | 248.6 | | $ | 219.1 | | $ | — | | $ | — | | $ | 2,645.2 | | $ | 2,588.4 | | Obligations of States and Political Subdivisions | 28.3 | | 28.2 | | 721.7 | | 689.0 | | 3,008.0 | | 2,632.3 | | 125.1 | | 103.8 | | 3,883.1 | | 3,453.3 | | Government Sponsored Agency | 2,633.7 | | 2,578.1 | | 7,043.5 | | 6,852.2 | | 5,752.9 | | 5,398.1 | | 1,721.2 | | 1,584.8 | | 17,151.3 | | 16,413.2 | | Non-U.S. Government | 104.2 | | 103.9 | | 214.9 | | 196.8 | | 77.1 | | 66.6 | | — | | — | | 396.2 | | 367.3 | | Corporate Debt | 486.5 | | 484.2 | | 1,655.9 | | 1,585.7 | | 18.2 | | 15.6 | | 2.8 | | 2.4 | | 2,163.4 | | 2,087.9 | | Covered Bonds | 178.4 | | 178.4 | | 363.2 | | 350.6 | | — | | — | | — | | — | | 541.6 | | 529.0 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 506.1 | | 506.8 | | 2,083.1 | | 1,979.7 | | 350.4 | | 307.3 | | — | | — | | 2,939.6 | | 2,793.8 | | Other Asset-Backed | 694.9 | | 676.0 | | 3,563.1 | | 3,382.1 | | 1,291.3 | | 1,223.5 | | 113.9 | | 109.9 | | 5,663.2 | | 5,391.5 | | Commercial Mortgage-Backed | 49.4 | | 47.4 | | 1,115.5 | | 1,068.5 | | 303.7 | | 277.6 | | — | | — | | 1,468.6 | | 1,393.5 | | Total | $ | 5,176.3 | | $ | 5,098.9 | | $ | 18,662.7 | | $ | 17,978.0 | | $ | 11,050.2 | | $ | 10,140.1 | | $ | 1,963.0 | | $ | 1,800.9 | | $ | 36,852.2 | | $ | 35,017.9 | | Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments. TABLE 43: REMAINING MATURITY OF HELD TO MATURITY DEBT SECURITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | JUNE 30, 2022 | ONE YEAR OR LESS | ONE TO FIVE YEARS | FIVE TO TEN YEARS | OVER TEN YEARS | TOTAL | (In Millions) | Amortized Cost | Fair Value | Amortized Cost | Fair Value | Amortized Cost | Fair Value | Amortized Cost | Fair Value | Amortized Cost | Fair Value | U.S. Government | $ | 56.9 | | $ | 56.5 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 56.9 | | $ | 56.5 | | | | | | | | | | | | | Government Sponsored Agency | 640.5 | | 583.4 | | 1,865.3 | | 1,689.6 | | 2,094.9 | | 1,872.7 | | 1,206.0 | | 1,078.6 | | 5,806.7 | | 5,224.3 | | Non-U.S. Government | 1,615.6 | | 1,614.0 | | 1,335.0 | | 1,269.4 | | 146.4 | | 134.2 | | — | | — | | 3,097.0 | | 3,017.6 | | Corporate Debt | 228.8 | | 228.0 | | 629.6 | | 600.0 | | 14.8 | | 12.6 | | — | | — | | 873.2 | | 840.6 | | Covered Bonds | 489.6 | | 489.5 | | 1,678.4 | | 1,630.4 | | 510.3 | | 457.3 | | — | | — | | 2,678.3 | | 2,577.2 | | Certificates of Deposit | 554.3 | | 554.3 | | — | | — | | — | | — | | — | | — | | 554.3 | | 554.3 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 932.8 | | 931.7 | | 4,752.8 | | 4,523.6 | | 380.2 | | 338.8 | | — | | — | | 6,065.8 | | 5,794.1 | | Other Asset-Backed | 58.1 | | 58.0 | | 344.8 | | 344.0 | | 93.2 | | 92.7 | | — | | — | | 496.1 | | 494.7 | | Other | 24.5 | | 23.9 | | 286.1 | | 258.2 | | 57.5 | | 45.4 | | 116.2 | | 38.7 | | 484.3 | | 366.2 | | Total | $ | 4,601.1 | | $ | 4,539.3 | | $ | 10,892.0 | | $ | 10,315.2 | | $ | 3,297.3 | | $ | 2,953.7 | | $ | 1,322.2 | | $ | 1,117.3 | | $ | 20,112.6 | | $ | 18,925.5 | | Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments
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Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value |
The following table provides information regarding AFS debt securities with no credit losses reported that had been in a continuous unrealized loss position for less than twelve months and for twelve months or longer as of June 30, 2022 and December 31, 2021.TABLE 41: AVAILABLE FOR SALE DEBT SECURITIES IN UNREALIZED LOSS POSITION WITH NO CREDIT LOSSES REPORTED | | | | | | | | | | | | | | | | | | | | | JUNE 30, 2022 | LESS THAN 12 MONTHS | 12 MONTHS OR LONGER | TOTAL | (In Millions) | FAIR VALUE | UNREALIZED LOSSES | FAIR VALUE | UNREALIZED LOSSES | FAIR VALUE | UNREALIZED LOSSES | U.S. Government | $ | 988.2 | | $ | 31.7 | | $ | 219.1 | | $ | 29.5 | | $ | 1,207.3 | | $ | 61.2 | | Obligations of States and Political Subdivisions | 2,492.4 | | 261.3 | | 871.9 | | 168.7 | | 3,364.3 | | 430.0 | | Government Sponsored Agency | 11,012.3 | | 348.4 | | 3,833.4 | | 403.2 | | 14,845.7 | | 751.6 | | Non-U.S. Government | 168.4 | | 3.4 | | 198.9 | | 25.5 | | 367.3 | | 28.9 | | Corporate Debt | 1,653.9 | | 57.9 | | 53.3 | | 5.6 | | 1,707.2 | | 63.5 | | Covered Bonds | 407.2 | | 12.9 | | — | | — | | 407.2 | | 12.9 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 1,238.1 | | 58.7 | | 731.4 | | 82.1 | | 1,969.5 | | 140.8 | | Other Asset-Backed | 5,120.4 | | 253.0 | | 271.1 | | 18.7 | | 5,391.5 | | 271.7 | | Commercial Mortgage-Backed | 1,346.5 | | 69.3 | | 47.0 | | 5.8 | | 1,393.5 | | 75.1 | | Total | $ | 24,427.4 | | $ | 1,096.6 | | $ | 6,226.1 | | $ | 739.1 | | $ | 30,653.5 | | $ | 1,835.7 | |
Note: Five corporate debt AFS securities with a fair value of $144.4 million and unrealized losses of $12.8 million and one sub-sovereign, supranational and non-U.S. agency bonds AFS securities with a fair value of $70.7 million and unrealized losses of $6.7 million have been excluded from the table above as these AFS securities have a $1.7 million allowance for credit losses reported as of June 30, 2022. Refer to the discussion further below and Note 7 - Allowance for Credit Losses for further information. | | | | | | | | | | | | | | | | | | | | | DECEMBER 31, 2021 | LESS THAN 12 MONTHS | 12 MONTHS OR LONGER | TOTAL | (In Millions) | FAIR VALUE | UNREALIZED LOSSES | FAIR VALUE | UNREALIZED LOSSES | FAIR VALUE | UNREALIZED LOSSES | U.S. Government | $ | 239.0 | | $ | 9.4 | | $ | — | | $ | — | | $ | 239.0 | | $ | 9.4 | | Obligations of States and Political Subdivisions | 1,699.5 | | 37.4 | | 31.6 | | 1.2 | | 1,731.1 | | 38.6 | | Government Sponsored Agency | 8,207.3 | | 90.2 | | 1,821.4 | | 20.0 | | 10,028.7 | | 110.2 | | Non-U.S. Government | 230.0 | | 9.5 | | — | | — | | 230.0 | | 9.5 | | Corporate Debt | 693.7 | | 9.7 | | — | | — | | 693.7 | | 9.7 | | Covered Bonds | 92.1 | | 0.9 | | — | | — | | 92.1 | | 0.9 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 1,116.8 | | 31.9 | | 172.3 | | 3.5 | | 1,289.1 | | 35.4 | | Other Asset-Backed | 3,815.5 | | 31.4 | | 11.7 | | 0.3 | | 3,827.2 | | 31.7 | | Commercial Mortgage-Backed | 566.8 | | 3.2 | | — | | — | | 566.8 | | 3.2 | | Total | $ | 16,660.7 | | $ | 223.6 | | $ | 2,037.0 | | $ | 25.0 | | $ | 18,697.7 | | $ | 248.6 | |
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Debt Securities, Held-to-maturity |
The following tables provide the amortized cost and fair values as of June 30, 2022 and December 31, 2021, and remaining maturities of held to maturity (HTM) debt securities as of June 30, 2022. TABLE 42: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF HELD TO MATURITY DEBT SECURITIES | | | | | | | | | | | | | | | | JUNE 30, 2022 | (In Millions) | AMORTIZED COST | GROSS UNREALIZED GAINS | GROSS UNREALIZED LOSSES | FAIR VALUE | U.S Government | $ | 56.9 | | $ | 0.1 | | $ | 0.5 | | $ | 56.5 | | | | | | | Government Sponsored Agency | 5,806.7 | | 0.1 | | 582.5 | | 5,224.3 | | Non-U.S. Government | 3,097.0 | | 0.1 | | 79.5 | | 3,017.6 | | Corporate Debt | 873.2 | | — | | 32.6 | | 840.6 | | Covered Bonds | 2,678.3 | | 0.4 | | 101.5 | | 2,577.2 | | Certificates of Deposit | 554.3 | | — | | — | | 554.3 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 6,065.8 | | 1.9 | | 273.6 | | 5,794.1 | | Other Asset-Backed | 496.1 | | — | | 1.4 | | 494.7 | | Other | 484.3 | | — | | 118.1 | | 366.2 | | Total | $ | 20,112.6 | | $ | 2.6 | | $ | 1,189.7 | | $ | 18,925.5 | |
| | | | | | | | | | | | | | | | DECEMBER 31, 2021 | (In Millions) | AMORTIZED COST | GROSS UNREALIZED GAINS | GROSS UNREALIZED LOSSES | FAIR VALUE | U.S. Government | $ | 47.0 | | $ | — | | $ | — | | $ | 47.0 | | Obligations of States and Political Subdivisions | 0.8 | | — | | — | | 0.8 | | Government Sponsored Agency | 5,927.6 | | 1.1 | | 106.1 | | 5,822.6 | | Non-U.S. Government | 5,773.3 | | 3.9 | | 9.8 | | 5,767.4 | | Corporate Debt | 901.8 | | 2.5 | | 6.5 | | 897.8 | | Covered Bonds | 2,942.4 | | 8.3 | | 9.6 | | 2,941.1 | | Certificates of Deposit | 674.7 | | — | | — | | 674.7 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 6,098.0 | | 14.3 | | 80.0 | | 6,032.3 | | Other Asset-Backed | 682.6 | | 1.0 | | — | | 683.6 | | Other | 516.3 | | 3.4 | | 71.6 | | 448.1 | | Total | $ | 23,564.5 | | $ | 34.5 | | $ | 283.6 | | $ | 23,315.4 | |
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Debt Securities, Held-to-maturity, Credit Quality Indicator |
The following table provides the amortized cost of HTM debt securities by credit rating. TABLE 44: AMORTIZED COST OF HELD TO MATURITY DEBT SECURITIES BY CREDIT RATING | | | | | | | | | | | | | | | | | | | | | | JUNE 30, 2022 | (In Millions) | AAA | AA | A | BBB | NOT RATED | TOTAL | U.S. Government | $ | 56.9 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 56.9 | | | | | | | | | Government Sponsored Agency | 5,806.7 | | — | | — | | — | | — | | 5,806.7 | | Non-U.S. Government | 720.4 | | 923.9 | | 1,136.7 | | 316.0 | | — | | 3,097.0 | | Corporate Debt | 2.1 | | 353.4 | | 517.7 | | — | | — | | 873.2 | | Covered Bonds | 2,678.3 | | — | | — | | — | | — | | 2,678.3 | | Certificates of Deposit | — | | — | | — | | — | | 554.3 | | 554.3 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 4,380.3 | | 1,656.0 | | 28.4 | | 1.1 | | — | | 6,065.8 | | Other Asset-Backed | 496.1 | | — | | — | | — | | — | | 496.1 | | Other | 69.8 | | — | | — | | — | | 414.5 | | 484.3 | | Total | $ | 14,210.6 | | $ | 2,933.3 | | $ | 1,682.8 | | $ | 317.1 | | $ | 968.8 | | $ | 20,112.6 | | Percent of Total | 71 | % | 15 | % | 8 | % | 1 | % | 5 | % | 100 | % |
| | | | | | | | | | | | | | | | | | | | | | DECEMBER 31, 2021 | (In Millions) | AAA | AA | A | BBB | NOT RATED | TOTAL | U.S. Government | $ | 47.0 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 47.0 | | Obligations of States and Political Subdivisions | — | | 0.8 | | — | | — | | — | | 0.8 | | Government Sponsored Agency | 5,927.6 | | — | | — | | — | | — | | 5,927.6 | | Non-U.S. Government | 398.0 | | 942.6 | | 4,088.8 | | 343.9 | | — | | 5,773.3 | | Corporate Debt | 2.3 | | 386.7 | | 512.8 | | — | | — | | 901.8 | | Covered Bonds | 2,942.4 | | — | | — | | — | | — | | 2,942.4 | | Certificates of Deposit | — | | — | | — | | — | | 674.7 | | 674.7 | | Sub-Sovereign, Supranational and Non-U.S. Agency Bonds | 4,207.6 | | 1,858.0 | | 31.3 | | 1.1 | | — | | 6,098.0 | | Other Asset-Backed | 682.6 | | — | | — | | — | | — | | 682.6 | | Other | — | | — | | — | | — | | 516.3 | | 516.3 | | Total | $ | 14,207.5 | | $ | 3,188.1 | | $ | 4,632.9 | | $ | 345.0 | | $ | 1,191.0 | | $ | 23,564.5 | | Percent of Total | 60 | % | 14 | % | 20 | % | 1 | % | 5 | % | 100 | % |
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