XML 18 R9.htm IDEA: XBRL DOCUMENT v3.23.2
Securities
 6 Months Ended
Jun. 30, 2023
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):
 
 June 30, 2023December 31, 2022
 Fair ValueNet Unrealized Gain (Loss)Fair ValueNet Unrealized Gain (Loss)
U.S. government securities$46,994 $(13)$9,823 $(16)
Residential agency mortgage-backed securities
5,334,372 (33,275)4,406,848 4 
Municipal securities49,595 140 21,484 (136)
Other trading securities11,403 (129)26,006 (175)
Total trading securities$5,442,364 $(33,277)$4,464,161 $(323)
Investment Securities
 
The amortized cost and fair values of investment securities are as follows (in thousands):
 June 30, 2023
 AmortizedCarryingFairGross Unrealized
 Cost
Value1
ValueGainLoss
Municipal securities$136,803 $136,803 $141,587 $5,168 $(384)
Mortgage-backed securities:
Residential agency2,397,098 2,205,685 2,014,427 128 (191,386)
Commercial agency17,259 15,760 14,636 — (1,124)
Other debt securities16,288 16,288 14,734 — (1,554)
Total investment securities2,567,448 2,374,536 2,185,384 5,296 (194,448)
Allowance for credit losses(465)(465)— — — 
Investment securities, net of allowance$2,566,983 $2,374,071 $2,185,384 $5,296 $(194,448)
1    Carrying value includes $193 million of net unrealized loss which remains in Accumulated other comprehensive income ("AOCI") in the Consolidated Balance Sheets related to certain securities transferred during the second quarter of 2022 from the Available for Sale securities portfolio to the Investment securities portfolio.
 December 31, 2022
 AmortizedCarryingFairGross Unrealized
 Cost
Value1
ValueGainLoss
Municipal securities$170,629 $170,629 $176,621 $6,456 $(464)
Mortgage-backed securities:
Residential agency2,538,565 2,315,219 2,143,360 155 (172,014)
Commercial agency17,259 15,609 14,588 — (1,021)
Other debt securities12,788 12,788 12,199 — (589)
Total investment securities2,739,241 2,514,245 2,346,768 6,611 (174,088)
Allowance for credit losses(558)(558)— — — 
Investment securities, net of allowance$2,738,683 $2,513,687 $2,346,768 $6,611 $(174,088)
1    Carrying value includes $225 million of net unrealized loss which remains in Accumulated other comprehensive income ("AOCI") in the Consolidated Balance Sheets related to certain securities transferred during the second quarter of 2022 from the Available for Sale securities portfolio to the Investment securities portfolio.
The amortized cost and fair values of investment securities at June 30, 2023, 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:     
Carrying value$26,633 $100,361 $41,844 $13 $168,851 3.59 
Fair value26,772 104,295 39,877 13 170,957  
Residential mortgage-backed securities:      
Carrying value    $2,205,685 2
Fair value    2,014,427  
Total investment securities:      
Carrying value    $2,374,536  
Fair value    2,185,384  
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 5.3 years based upon current prepayment assumptions.

Temporarily Impaired Investment Securities
(dollars in thousands):
June 30, 2023
 Number of SecuritiesLess Than 12 Months12 Months or LongerTotal
Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss
Investment:       
Municipal securities20 $16,740 $79 $6,484 $305 $23,224 $384 
Mortgage-backed securities:
Residential agency116 2,309 128 2,010,981 191,258 2,013,290 191,386 
Commercial agency2 — — 14,637 1,124 14,637 1,124 
Other debt securities3 8,464 1,536 257 18 8,721 1,554 
Total investment securities141 $27,513 $1,743 $2,032,359 $192,705 $2,059,872 $194,448 

December 31, 2022
 Number of SecuritiesLess Than 12 Months12 Months or LongerTotal
Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss
Investment:       
Municipal securities22 $18,037 $406 $544 $58 $18,581 $464 
Mortgage-backed securities:
Residential agency116 2,142,114 172,014 — — 2,142,114 172,014 
Commercial agency2 14,588 1,021 — — 14,588 1,021 
Other debt securities3 9,428 571 257 18 9,685 589 
Total investment securities143 $2,184,167 $174,012 $801 $76 $2,184,968 $174,088 
Available for Sale Securities 

The amortized cost and fair value of available for sale securities are as follows (in thousands):
 June 30, 2023
 AmortizedFairGross Unrealized
 CostValueGainLoss
U.S. Treasury$1,000 $901 $— $(99)
Municipal securities547,510 491,715 — (55,795)
Mortgage-backed securities:    
Residential agency6,492,794 6,114,202 852 (379,444)
Residential non-agency746,481 699,178 10,458 (57,761)
Commercial agency5,049,144 4,632,054 556 (417,646)
Other debt securities500 473 — (27)
Total available for sale securities$12,837,429 $11,938,523 $11,866 $(910,772)
 December 31, 2022
 AmortizedFairGross Unrealized
 CostValueGainLoss
U.S. Treasury$1,000 $898 $— $(102)
Municipal securities687,875 624,500 321 (63,696)
Mortgage-backed securities:   
Residential agency6,161,358 5,814,496 13,085 (359,947)
Residential non-agency616,423 577,576 11,776 (50,623)
Commercial agency4,892,257 4,475,917 3,479 (419,819)
Other debt securities500 473 — (27)
Total available for sale securities$12,359,413 $11,493,860 $28,661 $(894,214)

The amortized cost and fair values of available for sale securities at June 30, 2023, 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$180,223 $2,894,432 $1,987,608 $535,891 $5,598,154 5.71 
Fair value178,499 2,675,529 1,769,950 501,165 5,125,143 
Residential mortgage-backed securities:
Amortized cost$7,239,275 2
Fair value6,813,380 
Total available for sale securities:
Amortized cost$12,837,429 
Fair value11,938,523 
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 4.5 years based upon current prepayment assumptions.
Sales of available for sale securities resulted in gains and losses as follows (in thousands):
 Three Months Ended
June 30,		Six Months Ended June 30,
 2023202220232022
Proceeds$135,489 $156,116 $135,489 $211,301 
Gross realized gains703 1,461 703 3,394 
Gross realized losses(3,713)(273)(3,713)(1,269)
Related federal and state income tax expense(708)278 (708)497 

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 $14.6 billion at June 30, 2023 and $11.2 billion at December 31, 2022. The secured parties do not have the right to sell or repledge these securities.

Temporarily Impaired Available for Sale Securities
(Dollars in thousands)
June 30, 2023
 Number of SecuritiesLess Than 12 Months12 Months or LongerTotal
Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss
Available for sale:       
U.S. Treasury1 $— $— $901 $99 $901 $99 
Municipal securities192 35,516 1,022 456,199 54,773 491,715 55,795 
Mortgage-backed securities:
    
Residential agency716 2,853,011 74,530 3,035,935 304,914 5,888,946 379,444 
Residential non-agency35 278,467 9,156 369,937 48,605 648,404 57,761 
Commercial agency302 998,353 23,530 3,528,331 394,116 4,526,684 417,646 
Other debt securities1 — — 473 27 473 27 
Total available for sale securities1,247 $4,165,347 $108,238 $7,391,776 $802,534 $11,557,123 $910,772 

December 31, 2022
 Number of SecuritiesLess Than 12 Months12 Months or LongerTotal
Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss		Fair
Value		Unrealized
Loss
Available for sale:     
U.S. Treasury
1 $— $— $899 $102 $899 $102 
Municipal securities227 146,634 5,301 428,248 58,395 574,882 63,696 
Mortgage-backed securities:
     
Residential agency
613 3,879,582 256,973 863,732 102,974 4,743,314 359,947 
Residential non-agency26 499,716 50,623 — — 499,716 50,623 
Commercial agency
285 1,647,778 63,701 2,535,816 356,118 4,183,594 419,819 
Other debt securities1 — — 473 27 473 27 
Total available for sale securities
1,153 $6,173,710 $376,598 $3,829,168 $517,616 $10,002,878 $894,214 

Based on evaluations of impaired securities as of June 30, 2023, 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):
 June 30, 2023December 31, 2022
 Fair ValueNet Unrealized Gain (Loss)Fair ValueNet Unrealized Gain (Loss)
Residential agency mortgage-backed securities212,321 (2,492)296,590 338