
	March 31, 2024
(in millions)	Amortized Cost (1)		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Debt securities available-for-sale
Mortgage-Related Debt Securities:
GSE certificates	$	1,342	$	1	$	163	$	1,180
GSE CMOs	6,167		25		412		5,780
Private Label CMOs	171		5		—		176
Total mortgage-related debt securities	$	7,680	$	31	$	575	$	7,136
Other Debt Securities:
U. S. Treasury obligations	$	—	$	—	$	—	$	—
GSE debentures	1,752		—		312		1,440
Asset-backed securities (2)	291		—		4		287
Municipal bonds	6		—		—		6
Corporate bonds	364		—		24		340
Foreign notes	35		—		—		35
Capital trust notes	97		5		10		92
Total other debt securities	$	2,545	$	5	$	350	$	2,200
Total debt securities available for sale	$	10,225	$	36	$	925	$	9,336
Equity securities:
Mutual funds	$	16	$	—	$	2	$	14
Total equity securities	$	16	$	—	$	2	$	14
Total securities (3)	$	10,241	$	36	$	927	$	9,350


	December 31, 2023
(in millions)	Amortized Cost (1)		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Debt securities available-for-sale
Mortgage-Related Debt Securities:
GSE certificates	$	1,366	$	1	$	146	$	1,221
GSE CMOs	5,495		48		381		5,162
Private Label CMOs	174		7		1		180
Total mortgage-related debt securities	$	7,035	$	56	$	528	$	6,563
Other Debt Securities:
U. S. Treasury obligations	$	198	$	—	$	—	$	198
GSE debentures	1,899		1		291		1,609
Asset-backed securities (2)	307		—		5		302
Municipal bonds	6		—		—		6
Corporate bonds	365		—		22		343
Foreign Notes	35		—		1		34
Capital trust notes	97		5		12		90
Total other debt securities	$	2,907	$	6	$	331	$	2,582
Total other securities available for sale	$	9,942	$	62	$	859	$	9,145
Equity securities:
Mutual funds	$	16	$	—	$	2	$	14
Total equity securities	$	16	$	—	$	2	$	14
Total securities (3)	$	9,958	$	62	$	861	$	9,159

At March 31, 2024, the Company had $1.0 billion of FHLB-NY stock, at cost and $329 million of FHLB-Indianapolis stock, at cost. At December 31, 2023, the Company had $861 million of FHLB-NY stock, at cost and $329 million of FHLB-Indianapolis stock, at cost. The Company maintains an investment in FHLB 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, 2024, the Company had $203 million of Federal Reserve Bank stock, at cost. The Company had $203 million of Federal Reserve Bank stock, at December 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	$	2	$	250	$	—	$	50	$	299
Due from one to five years	172		—		—		304		455
Due from five to ten years	311		1,502		6		102		1,565
Due after ten years	7,195		—		—		331		7,017
Total debt securities available for sale	$	7,680	$	1,752	$	6	$	787	$	9,336


	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	$	—	$	—	$	—	$	—	$	—	$	—
U.S. Government agency and GSE obligations	—		—		1,441		311		1,441		311
GSE certificates	53		1		1,087		163		1,140		164
Private Label CMOs	15		—		3		—		18		—
GSE CMOs	1,292		27		2,340		385		3,632		412
Asset-backed securities	—		—		207		4		207		4
Municipal bonds	—		—		6		—		6		—
Corporate bonds	—		—		341		24		341		24
Foreign notes	—		—		10		—		10		—
Capital trust notes	—		—		82		10		82		10
Equity securities	—		—		14		2		14		2
Total temporarily impaired securities	$	1,360	$	28	$	5,531	$	899	$	6,891	$	927


	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	$	—	$	—	$	—	$	—	$	—	$	—
U.S. Government agency and GSE obligations	181		1		1,362		290		1,543		291
GSE certificates	312		5		843		141		1,155		146
Private Label CMOs	29		1		—		—		29		1
GSE CMOs	1,835		77		1,312		304		3,147		381
Asset-backed securities	—		—		228		5		228		5
Municipal bonds	—		—		6		—		6		—
Corporate bonds	—		—		343		22		343		22
Foreign notes	—		—		9		1		9		1
Capital trust notes	—		—		81		12		81		12
Equity securities	—		—		14		2		14		2
Total temporarily impaired securities	$	2,357	$	84	$	4,198	$	777	$	6,555	$	861

The investment securities designated as having a continuous loss position for twelve months or more at March 31, 2024 consisted of one hundred eighty agency collateralized mortgage obligations, six capital trusts notes, seven asset-backed securities, twelve corporate bonds, thirty-nine US government agency bonds, three hundred twenty-six mortgage-backed securities, one mutual fund, one municipal bond, one private collateralized mortgage obligations and one foreign note. The investment securities designated as having a continuous loss position for twelve months or more at December 31, 2023 consisted of eighty-four agency collateralized mortgage obligations, six capital trusts notes, eight asset-backed securities, twelve corporate bonds, thirty-seven US government agency bonds, three hundred two mortgage-backed securities, one mutual fund, one foreign debt 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.

None of the remaining unrealized losses identified as of March 31, 2024 or December 31, 2023 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 additional allowance for credit losses was recorded with respect to debt securities as of March 31, 2024.