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Securities

3 Months Ended

Mar. 31, 2019

Securities

Trading Securities

The fair value and net unrealized gain (loss) included in trading securities are as follows (in thousands):



	March 31, 2019				December 31, 2018
	Fair Value		Net Unrealized Gain (Loss)		Fair Value		Net Unrealized Gain (Loss)
U.S. government agency debentures	$	51,576	$	52	$	63,765	$	254
U.S. government agency residential mortgage-backed securities	1,952,742		12,377		1,791,584		9,966
Municipal and other tax-exempt securities	50,637		225		34,507		(1		)
Asset-backed securities	40,890		128		42,656		685
Other trading securities	44,481		116		24,411		65
Total trading securities	$	2,140,326	$	12,898	$	1,956,923	$	10,969

Investment Securities

The amortized cost and fair values of investment securities are as follows (in thousands):



	March 31, 2019
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
Municipal and other tax-exempt	$	126,544	$	129,072	$	2,712	$	(184	)
U.S. government agency residential mortgage-backed securities	12,106		12,388		349		(67		)
Other debt securities	192,816		207,028		15,091		(879		)
Total investment securities	$	331,466	$	348,488	$	18,152	$	(1,130	)



	December 31, 2018
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
Municipal and other tax-exempt	$	137,296	$	138,562	$	1,858	$	(592	)
U.S. government agency residential mortgage-backed securities	12,612		12,770		293		(135		)
Other debt securities	205,279		215,966		12,257		(1,570		)
Total investment securities	$	355,187	$	367,298	$	14,408	$	(2,297	)

The amortized cost and fair values of investment securities at March 31, 2019, by contractual maturity, are as shown in the following table (dollars in thousands):



	Less than One Year		One to Five Years		Six to Ten Years		Over Ten Years		Total		Weighted Average Maturity¹
Fixed maturity debt securities:
Amortized cost	$	52,230	$	105,189	$	136,731	$	25,210	$	319,360	5.23
Fair value	52,406		108,571		149,919		25,204		336,100
Residential mortgage-backed securities:
Amortized cost									$	12,106	²
Fair value									12,388
Total investment securities:
Amortized cost									$	331,466
Fair value									348,488


¹	Expected maturities may differ from contractual maturities, because borrowers may have the right to call or prepay obligations with or without penalty.


²	The average expected lives of residential mortgage-backed securities were 4.7 years based upon current prepayment assumptions.

Available for Sale Securities

The amortized cost and fair value of available for sale securities are as follows (in thousands):



	March 31, 2019
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
U.S. Treasury	$	1,880	$	1,878	$	—	$	(2	)
Municipal and other tax-exempt	2,365		2,447		82		—
Mortgage-backed securities:
Residential agency	6,056,710		6,040,086		35,131		(51,755		)
Residential non-agency	33,305		47,958		14,653		—
Commercial agency	2,933,046		2,932,357		17,022		(17,711		)
Other debt securities	500		472		—		(28		)
Total available for sale securities	$	9,027,806	$	9,025,198	$	66,888	$	(69,496	)



	December 31, 2018
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
U.S. Treasury	$	496	$	493	$	—	$	(3	)
Municipal and other tax-exempt	2,782		2,864		82		—
Mortgage-backed securities:
Residential agency	5,886,323		5,804,708		16,149		(97,764		)
Residential non-agency	40,948		59,736		18,788		—
Commercial agency	2,986,297		2,953,889		7,955		(40,363		)
Other debt securities	35,545		35,430		12		(127		)
Total available for sale securities	$	8,952,391	$	8,857,120	$	42,986	$	(138,257	)

The amortized cost and fair values of available for sale securities at March 31, 2019, by contractual maturity, are as shown in the following table (dollars in thousands):



	Less than One Year		One to Five Years		Six to Ten Years		Over Ten Years		Total		Weighted Average Maturity¹
Fixed maturity debt securities:
Amortized cost	$	94,933	$	983,438	$	1,467,481	$	391,939	$	2,937,791	7.30
Fair value	94,398		976,737		1,473,499		392,520		2,937,154
Residential mortgage-backed securities:
Amortized cost									$	6,090,015	²
Fair value									6,088,044
Total available-for-sale securities:
Amortized cost									$	9,027,806
Fair value									9,025,198


¹	Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without penalty.


²	The average expected lives of mortgage-backed securities were 4.1 years based upon current prepayment assumptions.

Sales of available for sale securities resulted in gains and losses as follows (in thousands):



	Three Months Ended March 31,
	2019			2018
Proceeds	$	245,259		$	44,790
Gross realized gains	5,298			193
Gross realized losses	(5,222		)	(483		)
Related federal and state income tax expense (benefit)	19			(74		)

The fair value of debt securities pledged as collateral for repurchase agreements, public trust funds on deposit and for other purposes, as required by law was $10.3 billion at March 31, 2019 and $9.1 billion at December 31, 2018. The secured parties do not have the right to sell or repledge these securities.

Temporarily Impaired Securities as of March 31, 2019

(in thousands):



	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
	Number of Securities	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Investment:
Municipal and other tax-exempt	50	$	234	$	1	$	52,434	$	183	$	52,668	$	184
U.S. government agency residential mortgage-backed securities	2	—		—		5,468		67		5,468		67
Other debt securities	30	25		1		16,932		878		16,957		879
Total investment securities	82	$	259	$	2	$	74,834	$	1,128	$	75,093	$	1,130



	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
	Number of Securities	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Available for sale:
U.S. Treasury	1	$	—	$	—	$	495	$	2	$	495	$	2
Mortgage-backed securities:
Residential agency	244	300,369		1,016		3,251,359		50,739		3,551,728		51,755
Commercial agency	169	432,254		833		1,590,803		16,878		2,023,057		17,711
Other debt securities	1	—		—		472		28		472		28
Total available for sale securities	415	$	732,623	$	1,849	$	4,843,129	$	67,647	$	5,575,752	$	69,496

Temporarily Impaired Securities as of December 31, 2018

(In thousands)



	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
	Number of Securities	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Investment:
Municipal and other tax-exempt	72	$	18,255	$	69	$	66,141	$	523	$	84,396	$	592
U.S. government agency residential mortgage-backed securities	2	—		—		5,633		135		5,633		135
Other debt securities	72	13,372		64		23,028		1,506		36,400		1,570
Total investment securities	146	$	31,627	$	133	$	94,802	$	2,164	$	126,429	$	2,297



	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
	Number of Securities	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Available for sale:
U.S. Treasury	1	$	—	$	—	$	493	$	3	$	493	$	3
Mortgage-backed securities:
Residential agency	289	510,824		1,158		3,641,370		96,606		4,152,194		97,764
Commercial agency	197	179,258		394		1,969,504		39,969		2,148,762		40,363
Other debt securities	3	9,982		63		20,436		64		30,418		127
Total available for sale securities	490	$	700,064	$	1,615	$	5,631,803	$	136,642	$	6,331,867	$	138,257

Based on evaluations of impaired securities as of March 31, 2019, the Company does not intend to sell any impaired available for sale debt securities before fair value recovers to the current amortized cost and it is more-likely-than-not that the Company will not be required to sell impaired securities before fair value recovers, which may be maturity.