Investment Securities

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

The following tables summarize the Company’s portfolio of debt securities available for sale and equity investments with readily determinable fair values:


	March 31, 2023
(in millions)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Debt securities available-for-sale
Mortgage-Related Debt Securities:
GSE certificates	$	1,388	$	1	$	143	$	1,246
GSE CMOs	3,562		4		284		3,282
Private Label CMOs	183		6		1		188
Total mortgage-related debt securities	$	5,133	$	11	$	428	$	4,716
Other Debt Securities:
U. S. Treasury obligations	$	—	$	—	$	—	$	—
GSE debentures	1,899		—		310		1,589
Asset-backed securities (1)	345		—		10		335
Municipal bonds	18		—		—		18
Corporate bonds	864		2		33		833
Foreign notes	20		—		1		19
Capital trust notes	97		5		13		89
Total other debt securities	$	3,243	$	7	$	367	$	2,883
Total debt securities available for sale	$	8,376	$	18	$	795	$	7,599
Equity securities:
Mutual funds	$	16	$	—	$	2	$	14
Total equity securities	$	16	$	—	$	2	$	14
Total securities (2)	$	8,392	$	18	$	797	$	7,613

(1)The underlying assets of the asset-backed securities are substantially guaranteed by the U.S. Government.

(2)Excludes accrued interest receivable of $30 million included in other assets in the Consolidated Statements of Condition.


	December 31, 2022
(in millions)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Debt securities available-for-sale
Mortgage-Related Debt Securities:
GSE certificates	$	1,457	$	—	$	160	$	1,297
GSE CMOs	3,600		1		300		3,301
Private Label CMOs	185		6		—		191
Total mortgage-related debt securities	$	5,242	$	7	$	460	$	4,789
Other Debt Securities:
U. S. Treasury obligations	$	1,491	$	—	$	4	$	1,487
GSE debentures	1,749		—		351		1,398
Asset-backed securities (1)	375		—		14		361
Municipal bonds	30		—		—		30
Corporate bonds	913		2		30		885
Foreign Notes	20		—		—		20
Capital trust notes	97		5		12		90
Total other debt securities	$	4,675	$	7	$	411	$	4,271
Total other securities available for sale	$	9,917	$	14	$	871	$	9,060
Equity securities:
Mutual funds	$	16	$	—	$	2	$	14
Total equity securities	$	16	$	—	$	2	$	14
Total securities (2)	$	9,933	$	14	$	873	$	9,074

(1)The underlying assets of the asset-backed securities are substantially guaranteed by the U.S. Government.

(2)Excludes accrued interest receivable of $31 million included in other assets in the Consolidated Statements of Condition.

At March 31, 2023, the Company had $827 million and $329 million of FHLB-NY stock, at cost and FHLB-Indianapolis stock, at cost, respectively. At December 31, 2022, the Company had $762 million and $329 million of FHLB-NY stock, at cost and FHLB-Indianapolis stock, at cost, respectively. The Company maintains an investment in FHLB-NY stock partly in conjunction with its membership in the FHLB and partly related to its access to the FHLB funding it utilizes. In addition, at March 31, 2023, the Company had $200 million of Federal Reserve Bank stock, at cost. The Company had $176 million of Federal Reserve Bank stock, at December 31, 2022.

There were no net unrealized (loss) gains on equity securities recognized in earnings for the three months ended March 31, 2023. For the three months ended March 31, 2022, there was a net unrealized loss of $1 million.

The following table summarizes, by contractual maturity, the amortized cost of securities at March 31, 2023:


	Mortgage- Related Securities		U.S. Government and GSE Obligations		State, County, and Municipal		Other Debt Securities (1)		Fair Value
( in millions)
Available-for-Sale Debt Securities:
Due within one year	$	21	$	97	$	—	$	20	$	136
Due from one to five years	175		300		—		459		926
Due from five to ten years	328		1,377		18		469		1,839
Due after ten years	4,609		125		—		378		4,698
Total debt securities available for sale	$	5,133	$	1,899	$	18	$	1,326	$	7,599

(1)Includes corporate bonds, capital trust notes, foreign notes, and asset-backed securities.

The following table presents securities having a continuous unrealized loss position for less than twelve months and for twelve months or longer as of March 31, 2023:


	Less than Twelve Months				Twelve Months or Longer				Total
(in millions)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Temporarily Impaired Securities:

U.S. Government agency and GSE obligations	$	343	$	4	$	1,196	$	306	$	1,539	$	310
GSE certificates	239		5		757		138		996		143
Private Label CMOs	4		1		—		—		4		1
GSE CMOs	1,378		17		1,215		267		2,593		284
Asset-backed securities	94		1		241		9		335		10
Municipal bonds	—		—		7		—		7		—
Corporate bonds	334		3		373		30		707		33
Foreign notes	19		1		—		—		19		1
Capital trust notes	23		1		56		12		79		13
Equity securities	—		—		14		2		14		2
Total temporarily impaired securities	$	2,434	$	33	$	3,859	$	764	$	6,293	$	797

The following table presents securities having a continuous unrealized loss position for less than twelve months and for twelve months or longer as of December 31, 2022:


	Less than Twelve Months				Twelve Months or Longer				Total
(in millions)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Temporarily Impaired Securities:
U. S. Treasury obligations	$	1,487	$	4	$	—	$	—	$	1,487	$	4
U.S. Government agency and GSE obligations	243		5		1,156		346		1,399		351
GSE certificates	871		46		420		114		1,291		160
GSE CMOs	2,219		36		925		264		3,144		300
Asset-backed securities	61		2		262		12		323		14
Municipal bonds	9		—		7		—		16		—
Corporate bonds	698		27		97		4		795		31
Foreign notes	20		—		—		—		20		—
Capital trust notes	46		2		34		10		80		12
Equity securities	4		—		10		2		14		2
Total temporarily impaired securities	$	5,658	$	122	$	2,911	$	752	$	8,569	$	874

The investment securities designated as having a continuous loss position for twelve months or more at March 31, 2023 consisted of fifty-four agency collateralized mortgage obligations, six capital trusts notes, seven asset-backed securities, eight corporate bonds, thirty-three US government agency bonds, 242 mortgage-backed securities, one mutual fund, and one municipal bond. The investment securities designated as having a continuous loss position for twelve months or more at December 31, 2022 consisted of twenty-three agency collateralized mortgage obligations, five capital trusts notes, seven asset-backed securities, two corporate bonds, thirty-three US government agency bonds, 133 mortgage-backed securities, one mutual fund, and one municipal bond.

The Company evaluates available-for-sale debt securities in unrealized loss positions at least quarterly to determine if an allowance for credit losses is required. We also assess whether (i) we intend to sell, or (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis. If either of these criteria is met, any previously recognized allowances are charged off and the security’s amortized cost basis is written down to fair value through income. If neither of the aforementioned criteria are met, we evaluate whether the decline in fair value has resulted from credit losses or other factors. If this assessment indicates that a credit loss exists, the present value of cash flows expected to be collected from the security are compared to the amortized cost basis of the security. If the present value of cash flows expected to be collected is less than the amortized cost basis, a credit loss exists and an allowance for credit losses is recorded for the credit loss, limited by the amount that the fair value is less than the amortized cost basis. Any impairment that has not been recorded through an allowance for credit losses is recognized in other comprehensive income.

In the first quarter of 2023, the company held a $20 million corporate bond in Signature Bank which was placed into receivership on March 12, 2023. We have taken a $20 million provision for credit loss and charged-off this security during the three months ended March 31, 2023.

None of the remaining unrealized losses identified as of March 31, 2023 or December 31, 2022 relates to the marketability of the securities or the issuers’ ability to honor redemption obligations. Rather, the unrealized losses relate to changes in interest rates relative to when the investment securities were purchased, and do not indicate credit-related impairment. Management based this conclusion on an analysis of each issuer including a detailed credit assessment of each issuer. The Company does not intend to sell, and it is not more likely than not that the Company will be required to sell the positions before the recovery of their amortized cost basis, which may be at maturity. As such, no allowance for credit losses remains with respect to debt securities as of March 31, 2023.