XML 27 R16.htm IDEA: XBRL DOCUMENT
v3.21.1

Available-For-Sale And Held-To-Maturity Securities | 3 Months Ended
--- | ---
Mar. 31, 2021
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, 2021 and December 31, 2020 (in thousands):
|  | March 31, 2021 |
|  | Amortized Cost |  |  | Gross Unrealized Gains (1) |  |  | Gross Unrealized Losses (1) |  |  | Estimated Fair Value |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency securities |  | $ | 3,595 |  |  | $ | 50 |  |  | $ | — |  |  | $ | 3,645 |
State and municipal securities |  |  | 2,389 |  |  |  | 39 |  |  |  | — |  |  |  | 2,428 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  |  | 997,913 |  |  |  | 14,592 |  |  |  | (8,814 | ) |  |  | 1,003,691 |
Commercial |  |  | 84,555 |  |  |  | 2,914 |  |  |  | (30 | ) |  |  | 87,439 |
Non-agency |  |  | 3,648 |  |  |  | 10 |  |  |  | — |  |  |  | 3,658 |
Corporate fixed income securities |  |  | 695,698 |  |  |  | 19,702 |  |  |  | (3,841 | ) |  |  | 711,559 |
Asset-backed securities |  |  | 378,201 |  |  |  | 3,493 |  |  |  | (3,986 | ) |  |  | 377,708 |
|  | $ | 2,165,999 |  |  | $ | 40,800 |  |  | $ | (16,671 | ) |  | $ | 2,190,128 |
Held-to-maturity securities (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities |  | $ | 4,761,401 |  |  | $ | 10,044 |  |  | $ | (6,421 | ) |  | $ | 4,765,024 |
|  | December 31, 2020 |
|  | Amortized Cost |  |  | Gross Unrealized Gains (1) |  |  | Gross Unrealized Losses (1) |  |  | Estimated 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 loss.
(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, 2021, we did not have an allowance for credit losses recorded on our investment portfolio. Accrued interest receivable for our investment portfolio at March 31, 2021 and December 31, 2020 was $22.5 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. During the three months ended March 31, 2021, we transferred $312.9 million of certain asset-backed securities from available-for-sale 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 this transfer. There were no sales of available-for-sale securities during the three months ended March 31, 2021. For the three months ended March 31, 2020, we received proceeds of $288.3 million from the sale of available-for-sale securities, which resulted in a realized loss of $0.7 million. During the three months ended March 31, 2021 and March 31, 2020, unrealized losses, net of deferred taxes, of $22.7 million and $73.2 million were recorded in accumulated other comprehensive loss in the consolidated statements of financial condition. The table below summarizes the amortized cost and fair values of our securities by contractual maturity at March 31, 2021 and December 31, 2020 (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, 2021 |  |  | December 31, 2020 |
|  | Amortized Cost |  |  | Estimated Fair Value |  |  | Amortized Cost |  |  | Estimated Fair Value |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Within one year |  | $ | 133,899 |  |  | $ | 134,463 |  |  | $ | 143,462 |  |  | $ | 144,362 |
After one year through three years |  |  | 121,840 |  |  |  | 124,825 |  |  |  | 134,040 |  |  |  | 137,625 |
After three years through five years |  |  | 242,071 |  |  |  | 254,774 |  |  |  | 247,907 |  |  |  | 266,139 |
After five years through ten years |  |  | 348,662 |  |  |  | 350,871 |  |  |  | 429,921 |  |  |  | 435,111 |
After ten years |  |  | 1,319,527 |  |  |  | 1,325,195 |  |  |  | 1,229,009 |  |  |  | 1,247,060 |
|  | $ | 2,165,999 |  |  | $ | 2,190,128 |  |  | $ | 2,184,339 |  |  | $ | 2,230,297 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
After three years through five years |  | $ | 1,623 |  |  | $ | 1,623 |  |  | $ | 17,460 |  |  | $ | 17,460 |
After five years through ten years |  |  | 2,157,703 |  |  |  | 2,155,117 |  |  |  | 1,932,439 |  |  |  | 1,926,425 |
After ten years |  |  | 2,602,075 |  |  |  | 2,608,284 |  |  |  | 2,167,485 |  |  |  | 2,164,075 |
|  | $ | 4,761,401 |  |  | $ | 4,765,024 |  |  | $ | 4,117,384 |  |  | $ | 4,107,960 |
The maturities of our available-for-sale (fair value) and held-to-maturity (amortized cost) securities at March 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 |  | $ | 2,522 |  |  | $ | 1,123 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,645 |
State and municipal securities |  |  | — |  |  |  | — |  |  |  | 2,428 |  |  |  | — |  |  |  | 2,428 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  |  | 11 |  |  |  | 272 |  |  |  | 78,213 |  |  |  | 925,195 |  |  |  | 1,003,691 |
Commercial |  |  | 10,416 |  |  |  | 10 |  |  |  | — |  |  |  | 77,013 |  |  |  | 87,439 |
Non-agency |  |  | 2,970 |  |  |  | — |  |  |  | — |  |  |  | 688 |  |  |  | 3,658 |
Corporate fixed income securities |  |  | 118,544 |  |  |  | 378,194 |  |  |  | 214,821 |  |  |  | — |  |  |  | 711,559 |
Asset-backed securities |  |  | — |  |  |  | — |  |  |  | 55,409 |  |  |  | 322,299 |  |  |  | 377,708 |
|  | $ | 134,463 |  |  | $ | 379,599 |  |  | $ | 350,871 |  |  | $ | 1,325,195 |  |  | $ | 2,190,128 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities |  | $ | — |  |  | $ | 1,623 |  |  | $ | 2,157,703 |  |  | $ | 2,602,075 |  |  | $ | 4,761,401 |
(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, 2021 and December 31, 2020, securities of $534.8 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 March 31, 2021 and December 31, 2020, securities of $1.0 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 March 31, 2021 (in thousands):
|  | Less than 12 months |  |  | 12 months or more |  |  | Total |
|  | Gross Unrealized Losses |  |  | Estimated Fair Value |  |  | Gross Unrealized Losses |  |  | Estimated Fair Value |  |  | Gross Unrealized Losses |  |  | Estimated Fair Value |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  | $ | (8,814 | ) |  | $ | 489,231 |  |  | $ | — |  |  | $ | — |  |  | $ | (8,814 | ) |  | $ | 489,231 |
Commercial |  |  | (30 | ) |  |  | 10,416 |  |  |  | — |  |  |  | — |  |  |  | (30 | ) |  |  | 10,416 |
Corporate fixed income securities |  |  | (3,841 | ) |  |  | 143,201 |  |  |  | — |  |  |  | — |  |  |  | (3,841 | ) |  |  | 143,201 |
Asset-backed securities |  |  | (1,267 | ) |  |  | 43,136 |  |  |  | (2,719 | ) |  |  | 150,571 |  |  |  | (3,986 | ) |  |  | 193,707 |
|  | $ | (13,952 | ) |  | $ | 685,984 |  |  | $ | (2,719 | ) |  | $ | 150,571 |  |  | $ | (16,671 | ) |  | $ | 836,555 |
At March 31, 2021, the amortized cost of 45 securities classified as available for sale exceeded their fair value by $16.7 million, of which $2.7 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 March 31, 2021, was $836.6 million, which was 38.2% 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, 2021 (in thousands):
|  | AAA |  |  | AA |  |  | A |  |  | C |  |  | Total |
Held-to-maturity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities |  | $ | 1,280,256 |  |  | $ | 3,445,799 |  |  | $ | 32,855 |  |  | $ | 2,491 |  |  | $ | 4,761,401 |

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration