Securities

3 Months Ended

Mar. 31, 2020

Marketable Securities [Abstract]

Securities [Text Block]

Securities

Trading Securities

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

	March 31, 2020					December 31, 2019
	Fair Value		Net Unrealized Gain (Loss)			Fair Value		Net Unrealized Gain (Loss)
U.S. government agency debentures	$	37,740	$	264		$	44,264	$	6
Residential agency mortgage-backed securities	1,922,725		26,195			1,504,651		2,293
Municipal and other tax-exempt securities	35,513		(289		)	26,196		60
Asset-backed securities	58,278		(2,381		)	14,084		(21		)
Other debt securities	56,329		(943		)	34,726		21
Total trading securities	$	2,110,585	$	22,846		$	1,623,921	$	2,359

Investment Securities

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

	March 31, 2020
	Amortized			Fair		Gross Unrealized
	Cost			Value		Gain		Loss
Municipal and other tax-exempt	$	86,212		$	89,359	$	3,149	$	(2	)
Residential agency mortgage-backed securities	10,253			11,099		846		—
Other debt securities	177,613			195,944		18,430		(99		)
Total investment securities	274,078			296,402		22,425		(101		)
Allowance for credit losses1	(1,502		)
Investment securities, net of allowance	272,576			296,402		22,425		(101		)

¹ Effective with the adoption of FASB ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 326) on January 1, 2020.

	December 31, 2019
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
Municipal and other tax-exempt	$	93,653	$	96,897	$	3,250	$	(6	)
Residential agency mortgage-backed securities	10,676		11,164		488		—
Other debt securities	189,089		206,341		17,547		(295		)
Total investment securities	$	293,418	$	314,402	$	21,285	$	(301	)

The amortized cost and fair values of investment securities at March 31, 2020, 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	$	38,058	$	91,847	$	122,431	$	11,489	$	263,825	5.12
Fair value	38,380		97,946		137,365		11,612		285,303
Residential mortgage-backed securities:
Amortized cost									$	10,253	2
Fair value									11,099
Total investment securities:
Amortized cost									$	274,078
Fair value									296,402

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.

Temporarily Impaired Investment Securities

(in thousands):

	March 31, 2020
	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Investment:
Municipal and other tax-exempt	2	$	232	$	1	$	347	$	1	$	579	$	2
Other debt securities	8	—		—		5,168		99		5,168		99
Total investment securities	10	$	232	$	1	$	5,515	$	100	$	5,747	$	101

	December 31, 2019
	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Investment:
Municipal and other tax-exempt	4	$	1,001	$	1	$	1,706	$	5	$	2,707	$	6
Other debt securities	13	275		1		8,041		294		8,316		295
Total investment securities	17	$	1,276	$	2	$	9,747	$	299	$	11,023	$	301

Available for Sale Securities 

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

	March 31, 2020
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
U.S. Treasury	$	901	$	917	$	16	$	—
Municipal and other tax-exempt	23,166		24,034		872		(4		)
Mortgage-backed securities:
Residential agency	8,931,771		9,259,089		333,298		(5,980		)
Residential non-agency	24,002		34,866		10,949		(85		)
Commercial agency	3,277,948		3,374,899		103,953		(7,002		)
Other debt securities	500		472		—		(28		)
Total available for sale securities	$	12,258,288	$	12,694,277	$	449,088	$	(13,099	)

	December 31, 2019
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
U.S. Treasury	$	1,598	$	1,600	$	2	$	—
Municipal and other tax-exempt	1,789		1,861		72		—
Mortgage-backed securities:
Residential agency	7,956,297		8,046,096		104,912		(15,113		)
Residential non-agency	25,968		41,609		15,641		—
Commercial agency	3,145,342		3,178,005		37,808		(5,145		)
Other debt securities	500		472		—		(28		)
Total available for sale securities	$	11,131,494	$	11,269,643	$	158,435	$	(20,286	)

The amortized cost and fair values of available for sale securities at March 31, 2020, 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	$	34,239	$	1,223,377	$	1,400,140	$	644,759	$	3,302,515	8.34
Fair value	34,320		1,264,488		1,439,807		661,707		3,400,322
Residential mortgage-backed securities:
Amortized cost									$	8,955,773	2
Fair value									9,293,955
Total available-for-sale securities:
Amortized cost									$	12,258,288
Fair value									12,694,277

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 3.3 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,
	2020		2019
Proceeds	$	26,894	$	245,259
Gross realized gains	3		5,298
Gross realized losses	—		(5,222		)
Related federal and state income tax expense (benefit)	1		19

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 $13.1 billion at March 31, 2020 and $10.1 billion at December 31, 2019. The secured parties do not have the right to sell or repledge these securities.

Temporarily Impaired Available for Sale Securities

(in thousands)

	March 31, 2020
	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Available for sale:
Municipal and other tax-exempt	1	$	1,621	$	4	$	—	$	—	$	1,621	$	4
Mortgage-backed securities:
Residential agency	37	314,479		2,230		177,225		3,750		491,704		5,980
Residential non-agency	1	1,801		85		—		—		1,801		85
Commercial agency	52	740,780		6,203		155,708		799		896,488		7,002
Other debt securities	1	—		—		472		28		472		28
Total available for sale securities	92	$	1,058,681	$	8,522	$	333,405	$	4,577	$	1,392,086	$	13,099

	December 31, 2019
	Number of Securities	Less Than 12 Months				12 Months or Longer				Total
		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Available for sale:
Mortgage-backed securities:
Residential agency	133	$	1,352,597	$	6,690	$	686,002	$	8,423	$	2,038,599	$	15,113
Commercial agency	69	830,047		4,238		210,877		907		1,040,924		5,145
Other debt securities	1	—		—		472		28		472		28
Total available for sale securities	203	$	2,182,644	$	10,928	$	897,351	$	9,358	$	3,079,995	$	20,286

Based on evaluations of impaired securities as of March 31, 2020, 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.

Fair Value Option Securities

Fair value option securities represent securities which the Company has elected to carry at fair value and are separately identified on the Consolidated Balance Sheets. Changes in the fair value are recognized in earnings as they occur. Certain securities are held as an economic hedge of the mortgage servicing rights. 

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

	March 31, 2020				December 31, 2019
	Fair Value		Net Unrealized Gain (Loss)		Fair Value		Net Unrealized Gain (Loss)
U.S. Treasury	$	—	$	—	$	9,917	$	(48	)
Residential agency mortgage-backed securities	1,703,238		60,083		1,088,660		14,109
Total	$	1,703,238	$	60,083	$	1,098,577	$	14,061