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Investment Securities

9 Months Ended

Sep. 30, 2024

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:


	September 30, 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	$	1,296	$	2	$	123	$	1,175
GSE CMOs	7,452		67		341		7,178
Private Label collateralized mortgage obligations	160		12		—		172
Total mortgage-related debt securities	$	8,908	$	81	$	464	$	8,525
Other Debt Securities:

GSE debentures	1,502		—		248		1,254
Asset-backed securities (2)	246		—		3		243
Municipal bonds	6		—		—		6
Corporate bonds	364		—		7		357
Foreign notes	35		—		—		35
Capital trust notes	95		6		10		91
Total other debt securities	$	2,248	$	6	$	268	$	1,986
Total debt securities available for sale	$	11,156	$	87	$	732	$	10,511
Equity securities:
Mutual funds	$	16	$	—	$	2	$	14
Total equity securities	$	16	$	—	$	2	$	14
Total securities (3)	$	11,172	$	87	$	734	$	10,525

(1)The amortized cost of investment securities is reported net of allowance for credit losses of $3 million.

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

(3)Excludes accrued interest receivable of $35 million included in other assets in the Consolidated Statements of Condition.


	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 collateralized mortgage obligations	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	$	9,958	$	62	$	861	$	9,159

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

(2)Excludes accrued interest receivable of $38 million included in other assets in the Consolidated Statements of Condition.

At September 30, 2024, the Company had $816 million 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 September 30, 2024, the Company had $219 million of Federal Reserve Bank stock, at cost. The Company had $203 million of Federal Reserve Bank stock, at December 31, 2023.

There were no realized gains and losses on sales of available-for-sale securities in the third quarter 2024 and less than $1 million for the first nine months of 2024. No available-for-sale securities were sold during the three and nine month periods ended September 30, 2023.

The following table summarizes, by contractual maturity, the amortized cost of securities at September 30, 2024:


	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	$	80	$	—	$	—	$	50	$	129
Due from one to five years	115		—		—		303		414
Due from five to ten years	276		1,502		6		101		1,604
Due after ten years	8,437		—		—		285		8,364
Total debt securities available for sale	$	8,908	$	1,502	$	6	$	739	$	10,511

(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 September 30, 2024:


	Less than Twelve Months				Twelve Months or Longer				Total
(in millions)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Securities in a continuous unrealized loss position:

U.S. Government agency and GSE obligations	$	—	$	—	$	1,254	$	248	$	1,254	$	248
GSE certificates	—		—		1,104		123		1,104		123
Private Label collateralized mortgage obligations	—		—		17		—		17		—
GSE collateralized mortgage obligations	1		—		2,958		341		2,959		341
Asset-backed securities	—		—		175		3		175		3
Municipal bonds	—		—		6		—		6		—
Corporate bonds	—		—		356		7		356		7
Foreign notes	—		—		10		—		10		—
Capital trust notes	—		—		33		10		33		10
Equity securities	—		—		14		2		14		2
Total securities in a continuous unrealized loss position	$	1	$	—	$	5,927	$	734	$	5,928	$	734

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, 2023:


	Less than Twelve Months				Twelve Months or Longer				Total
(in millions)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Securities in a continuous unrealized loss position:

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 collateralized mortgage obligations	29		1		—		—		29		1
GSE collateralized mortgage obligations	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 securities in a continuous unrealized loss position	$	2,357	$	84	$	4,198	$	777	$	6,555	$	861

The investment securities having a continuous loss position for twelve months or more at September 30, 2024 consisted of two hundred twenty-two agency collateralized mortgage obligations, five capital trusts notes, five asset-backed securities, twelve corporate bonds, thirty-three US government agency bonds, three hundred twenty-eight mortgage-backed securities, one mutual fund, one municipal bond, two 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 these 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 September 30, 2024 or December 31, 2023 relate 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. 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.