XML 32 R22.htm IDEA: XBRL DOCUMENT

Securities (Tables)

9 Months Ended

Sep. 30, 2021

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


	September 30, 2021				December 31, 2020
	Fair Value		Net Unrealized Gain (Loss)		Fair Value		Net Unrealized Gain (Loss)
U.S. government securities	$	8,863	$	(6)	$	9,183	$	—
Residential agency mortgage-backed securities	5,469,676		(24,868)		4,669,148		(3,624)
Municipal securities	35,894		(261)		19,172		42

Other debt securities	39,607		(73)		10,472		22
Total trading securities	$	5,554,040	$	(25,208)	$	4,707,975	$	(3,560)

Investment Securities (Held-to-Maturity) [Table Text Block]

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


	September 30, 2021
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
Municipal securities	$	207,393	$	229,149	$	21,778	$	(22)
Residential agency mortgage-backed securities	7,412		8,084		672		—
Other debt securities	1,257		1,256		—		(1)
Total investment securities	216,062		238,489		22,450		(23)
Allowance for credit losses	(470)
Investment securities, net of allowance	$	215,592	$	238,489	$	22,450	$	(23)


	December 31, 2020
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
Municipal securities	$	229,245	$	255,270	$	26,169	$	(144)
Residential agency mortgage-backed securities	8,913		9,790		877		—
Other debt securities	7,373		7,371		—		(2)
Total investment securities	245,531		272,431		27,046		(146)
Allowance for credit losses	(688)
Investment securities, net of allowance	$	244,843	$	272,431	$	27,046	$	(146)

The amortized cost and fair values of investment securities at September 30, 2021, 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	$	23,860	$	106,035	$	72,476	$	6,279	$	208,650	4.61
Fair value	24,270		121,113		78,661		6,361		230,405
Residential mortgage-backed securities:
Amortized cost									$	7,412	2
Fair value									8,084
Total investment securities:
Amortized cost									$	216,062
Fair value									238,489

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

2The average expected lives of residential mortgage-backed securities were 4.2 years based upon current prepayment assumptions.

Temporarily Impaired Investment Securities

(in thousands):


	September 30, 2021
	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 securities	2	$	942	$	2	$	582	$	20	$	1,524	$	22

Other debt securities	2	275		1		—		—		275		1
Total investment securities	4	$	1,217	$	3	$	582	$	20	$	1,799	$	23


	December 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 securities	6	$	2,451	$	40	$	2,043	$	104	$	4,494	$	144

Other debt securities	2	250		1		25		1		275		2
Total investment securities	8	$	2,701	$	41	$	2,068	$	105	$	4,769	$	146

Available For Sale Securities [Table Text Block]

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


	September 30, 2021
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
U.S. Treasury	$	500	$	502	$	2	$	—
Municipal securities	464,368		461,619		1,396		(4,145)
Mortgage-backed securities:
Residential agency	7,988,834		8,168,025		217,045		(37,854)
Residential non-agency	11,875		26,072		14,197		—
Commercial agency	4,654,549		4,685,423		60,223		(29,349)
Other debt securities	500		472		—		(28)
Total available for sale securities	$	13,120,626	$	13,342,113	$	292,863	$	(71,376)


	December 31, 2020
	Amortized		Fair		Gross Unrealized
	Cost		Value		Gain		Loss
U.S. Treasury	$	500	$	508	$	8	$	—
Municipal securities	165,318		167,979		2,666		(5)
Mortgage-backed securities:
Residential agency	9,019,013		9,340,471		328,183		(6,725)
Residential non-agency	17,563		32,770		15,207		—
Commercial agency	3,406,956		3,508,465		103,590		(2,081)
Other debt securities	500		472		—		(28)
Total available for sale securities	$	12,609,850	$	13,050,665	$	449,654	$	(8,839)

The amortized cost and fair values of available for sale securities at September 30, 2021, 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	$	62,357	$	2,015,024	$	2,495,766	$	546,770	$	5,119,917	6.89
Fair value	62,773		2,055,544		2,475,406		554,293		5,148,016
Residential mortgage-backed securities:
Amortized cost									$	8,000,709	2
Fair value									8,194,097
Total available for sale securities:
Amortized cost									$	13,120,626
Fair value									13,342,113

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

2The average expected lives of residential mortgage-backed securities were 3.6 years based upon current prepayment assumptions.

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


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Proceeds	$	94,128	$	1,034	$	488,274	$	206,979
Gross realized gains	1,572		54		3,812		5,637
Gross realized losses	(317)		(66)		(660)		(66)
Related federal and state income tax expense (benefit)	301		(3)		756		1,419

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block]


	September 30, 2021
	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 securities	140	$	362,508	$	4,145	$	—	$	—	$	362,508	$	4,145
Mortgage-backed securities:
Residential agency	100	2,384,362		29,149		429,246		8,705		2,813,608		37,854

Commercial agency	147	2,117,039		26,802		406,327		2,547		2,523,366		29,349
Other debt securities	1	—		—		472		28		472		28
Total available for sale securities	388	$	4,863,909	$	60,096	$	836,045	$	11,280	$	5,699,954	$	71,376


	December 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 securities	1	$	6,166	$	5	$	—	$	—	$	6,166	$	5
Mortgage-backed securities:
Residential agency	38	786,890		6,605		160,747		120		947,637		6,725

Commercial agency	37	350,506		1,587		277,627		494		628,133		2,081
Other debt securities	1	—		—		472		28		472		28
Total available for sale securities	77	$	1,143,562	$	8,197	$	438,846	$	642	$	1,582,408	$	8,839

Fair Value Option Securities [Table Text Block]

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


	September 30, 2021				December 31, 2020
	Fair Value		Net Unrealized Gain (Loss)		Fair Value		Net Unrealized Gain (Loss)

Residential agency mortgage-backed securities	$	51,019	$	2,220	$	114,982	$	4,463