SECURITIES (Tables)
|
9 Months Ended |
Sep. 30, 2022 |
|---|
| Amortized Cost of HTM Securities by Security Type and Credit Rating |
The following table presents the amortized cost of HTM securities as of September 30, 2022 and December 31, 2021 by security type and credit rating (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency |
|
Obligations of states and political |
|
Mortgage-backed |
|
Total HTM |
|
|
securities |
|
subdivisions |
|
securities |
|
securities |
September 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
Credit Rating: |
|
|
|
|
|
|
|
|
|
|
|
|
AAA/AA/A |
|
$ |
— |
|
$ |
700,138 |
|
$ |
2,764 |
|
$ |
702,902 |
BBB/BB/B |
|
|
— |
|
|
1,192 |
|
|
— |
|
|
1,192 |
Not Rated - Agency(1) |
|
|
690 |
|
|
— |
|
|
72,176 |
|
|
72,866 |
Not Rated - Non-Agency(2) |
|
|
— |
|
|
23,000 |
|
|
41,389 |
|
|
64,389 |
Total |
|
$ |
690 |
|
$ |
724,330 |
|
$ |
116,329 |
|
$ |
841,349 |
December 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
Credit Rating: |
|
|
|
|
|
|
|
|
|
|
|
|
AAA/AA/A |
|
$ |
— |
|
$ |
620,873 |
|
$ |
— |
|
$ |
620,873 |
Not Rated - Agency(1) |
|
|
2,604 |
|
|
— |
|
|
4,523 |
|
|
7,127 |
Total |
|
$ |
2,604 |
|
$ |
620,873 |
|
$ |
4,523 |
|
$ |
628,000 |
(1) Generally considered not to have credit risk given the government guarantees associated with these agencies
(2) Non-agency mortgage-backed and asset-backed securities have limited credit risk, supported by most receiving a 20% SSFA rating
|
| Gross Realized Gain and Losses on the Sale of Securities |
The following table presents the gross realized gains and losses on and the proceeds from the sale of securities during the three and nine months ended September 30, 2022 and 2021 (dollars in thousands):
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
Nine Months Ended |
|
|
September 30, 2022 |
|
September 30, 2022 |
Realized gains (losses)(1): |
|
|
|
|
|
|
Gross realized gains |
|
$ |
— |
|
$ |
— |
Gross realized losses |
|
|
— |
|
|
(2) |
Net realized gains |
|
$ |
— |
|
$ |
(2) |
|
|
|
|
|
|
|
Proceeds from sales of securities |
|
$ |
17,250 |
|
$ |
29,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
Nine Months Ended |
|
|
September 30, 2021 |
|
September 30, 2021 |
Realized gains (losses)(1): |
|
|
|
|
|
|
Gross realized gains |
|
$ |
9 |
|
$ |
147 |
Gross realized losses |
|
|
— |
|
|
(60) |
Net realized gains |
|
$ |
9 |
|
$ |
87 |
|
|
|
|
|
|
|
Proceeds from sales of securities |
|
$ |
— |
|
$ |
45,436 |
(1) Includes gains (losses) on sales and calls of securities
|
| Available-for-sale Securities |
|
| Amortized Cost, Gross Unrealized Gains and Losses, and Estimated Fair Values of Investment Securities |
The amortized cost, gross unrealized gains and losses, and estimated fair values of AFS securities as of September 30, 2022 are summarized as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized |
|
Gross Unrealized |
|
Estimated |
|
|
Cost |
|
Gains |
|
(Losses) |
|
Fair Value |
September 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
|
$ |
70,399 |
|
$ |
— |
|
$ |
(8,763) |
|
$ |
61,636 |
Obligations of states and political subdivisions |
|
|
961,722 |
|
|
7 |
|
|
(197,186) |
|
|
764,543 |
Corporate and other bonds (1) |
|
|
246,411 |
|
|
— |
|
|
(15,323) |
|
|
231,088 |
Commercial MBS |
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
247,854 |
|
|
84 |
|
|
(36,739) |
|
|
211,199 |
Non-agency |
|
|
101,460 |
|
|
— |
|
|
(4,085) |
|
|
97,375 |
Total commercial MBS |
|
|
349,314 |
|
|
84 |
|
|
(40,824) |
|
|
308,574 |
Residential MBS |
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
1,520,401 |
|
|
68 |
|
|
(238,966) |
|
|
1,281,503 |
Non-agency |
|
|
75,130 |
|
|
— |
|
|
(6,805) |
|
|
68,325 |
Total residential MBS |
|
|
1,595,531 |
|
|
68 |
|
|
(245,771) |
|
|
1,349,828 |
Other securities |
|
|
1,654 |
|
|
— |
|
|
— |
|
|
1,654 |
Total AFS securities |
|
$ |
3,225,031 |
|
$ |
159 |
|
$ |
(507,867) |
|
$ |
2,717,323 |
(1) Other bonds include asset-backed securities
The amortized cost, gross unrealized gains and losses, and estimated fair values of AFS securities as of December 31, 2021 are summarized as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized |
|
Gross Unrealized |
|
Estimated |
|
|
Cost |
|
Gains |
|
(Losses) |
|
Fair Value |
December 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
|
$ |
73,830 |
|
$ |
179 |
|
$ |
(160) |
|
$ |
73,849 |
Obligations of states and political subdivisions |
|
|
971,126 |
|
|
39,343 |
|
|
(2,073) |
|
|
1,008,396 |
Corporate and other bonds (1) |
|
|
150,201 |
|
|
3,353 |
|
|
(178) |
|
|
153,376 |
Commercial MBS |
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
361,806 |
|
|
6,761 |
|
|
(4,215) |
|
|
364,352 |
Non-agency |
|
|
107,087 |
|
|
139 |
|
|
(421) |
|
|
106,805 |
Total commercial MBS |
|
|
468,893 |
|
|
6,900 |
|
|
(4,636) |
|
|
471,157 |
Residential MBS |
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
1,691,651 |
|
|
15,180 |
|
|
(24,337) |
|
|
1,682,494 |
Non-agency |
|
|
91,443 |
|
|
243 |
|
|
(948) |
|
|
90,738 |
Total residential MBS |
|
|
1,783,094 |
|
|
15,423 |
|
|
(25,285) |
|
|
1,773,232 |
Other securities |
|
|
1,640 |
|
|
— |
|
|
— |
|
|
1,640 |
Total AFS securities |
|
$ |
3,448,784 |
|
$ |
65,198 |
|
$ |
(32,332) |
|
$ |
3,481,650 |
(1) Other bonds include asset-backed securities
|
| Schedule of Gross Unrealized Losses and Fair Value of Investments |
The following table shows the gross unrealized losses and fair value of the Company’s AFS securities with unrealized losses for which an ACL has not been recorded at September 30, 2022 and December 31, 2021 and that are not deemed to be impaired as of those dates. These are aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position (dollars in thousands).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less than 12 months |
|
More than 12 months |
|
Total |
|
|
Fair |
|
Unrealized |
|
Fair |
|
Unrealized |
|
Fair |
|
Unrealized |
|
|
Value |
|
Losses |
|
Value(2) |
|
Losses |
|
Value |
|
Losses |
September 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
|
$ |
58,670 |
|
$ |
(8,726) |
|
$ |
2,896 |
|
$ |
(37) |
|
$ |
61,566 |
|
$ |
(8,763) |
Obligations of states and political subdivisions |
|
|
601,039 |
|
|
(120,853) |
|
|
159,773 |
|
|
(76,333) |
|
|
760,812 |
|
|
(197,186) |
Corporate and other bonds(1) |
|
|
219,904 |
|
|
(14,111) |
|
|
8,788 |
|
|
(1,212) |
|
|
228,692 |
|
|
(15,323) |
Commercial MBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
113,687 |
|
|
(15,734) |
|
|
92,435 |
|
|
(21,005) |
|
|
206,122 |
|
|
(36,739) |
Non-agency |
|
|
76,779 |
|
|
(2,877) |
|
|
20,596 |
|
|
(1,208) |
|
|
97,375 |
|
|
(4,085) |
Total commercial MBS |
|
|
190,466 |
|
|
(18,611) |
|
|
113,031 |
|
|
(22,213) |
|
|
303,497 |
|
|
(40,824) |
Residential MBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
606,805 |
|
|
(88,065) |
|
|
668,275 |
|
|
(150,901) |
|
|
1,275,080 |
|
|
(238,966) |
Non-agency |
|
|
56,490 |
|
|
(5,356) |
|
|
11,724 |
|
|
(1,449) |
|
|
68,214 |
|
|
(6,805) |
Total residential MBS |
|
|
663,295 |
|
|
(93,421) |
|
|
679,999 |
|
|
(152,350) |
|
|
1,343,294 |
|
|
(245,771) |
Total AFS securities |
|
$ |
1,733,374 |
|
$ |
(255,722) |
|
$ |
964,487 |
|
$ |
(252,145) |
|
$ |
2,697,861 |
|
$ |
(507,867) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
|
$ |
64,474 |
|
$ |
(115) |
|
$ |
3,900 |
|
$ |
(45) |
|
$ |
68,374 |
|
$ |
(160) |
Obligations of states and political subdivisions |
|
|
249,701 |
|
|
(2,020) |
|
|
2,123 |
|
|
(53) |
|
|
251,824 |
|
|
(2,073) |
Corporate and other bonds(1) |
|
|
21,134 |
|
|
(177) |
|
|
703 |
|
|
(1) |
|
|
21,837 |
|
|
(178) |
Commercial MBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
175,588 |
|
|
(4,053) |
|
|
3,172 |
|
|
(162) |
|
|
178,760 |
|
|
(4,215) |
Non-agency |
|
|
33,759 |
|
|
(313) |
|
|
11,029 |
|
|
(108) |
|
|
44,788 |
|
|
(421) |
Total commercial MBS |
|
|
209,347 |
|
|
(4,366) |
|
|
14,201 |
|
|
(270) |
|
|
223,548 |
|
|
(4,636) |
Residential MBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
1,140,701 |
|
|
(21,147) |
|
|
106,104 |
|
|
(3,190) |
|
|
1,246,805 |
|
|
(24,337) |
Non-agency |
|
|
48,392 |
|
|
(584) |
|
|
12,716 |
|
|
(364) |
|
|
61,108 |
|
|
(948) |
Total residential MBS |
|
|
1,189,093 |
|
|
(21,731) |
|
|
118,820 |
|
|
(3,554) |
|
|
1,307,913 |
|
|
(25,285) |
Total AFS securities |
|
$ |
1,733,749 |
|
$ |
(28,409) |
|
$ |
139,747 |
|
$ |
(3,923) |
|
$ |
1,873,496 |
|
$ |
(32,332) |
(1) Other bonds include asset-backed securities
(2) Comprised of 302 and 33 individual securities as of September 30, 2022 and December 31, 2021, respectively
|
| Schedule of Amortized Cost and Estimated Fair Value of Securities |
The following table presents the amortized cost and estimated fair value of AFS securities as of September 30, 2022 and December 31, 2021, by contractual maturity (dollars in thousands). Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2022 |
|
December 31, 2021 |
|
|
Amortized |
|
Estimated |
|
Amortized |
|
Estimated |
|
|
Cost |
|
Fair Value |
|
Cost |
|
Fair Value |
Due in one year or less |
|
$ |
31,089 |
|
$ |
30,799 |
|
$ |
18,247 |
|
$ |
18,317 |
Due after one year through five years |
|
|
165,998 |
|
|
160,945 |
|
|
180,080 |
|
|
183,981 |
Due after five years through ten years |
|
|
338,619 |
|
|
308,149 |
|
|
324,615 |
|
|
331,215 |
Due after ten years |
|
|
2,689,325 |
|
|
2,217,430 |
|
|
2,925,842 |
|
|
2,948,137 |
Total AFS securities |
|
$ |
3,225,031 |
|
$ |
2,717,323 |
|
$ |
3,448,784 |
|
$ |
3,481,650 |
|
| Held-to-maturity Securities |
|
| Schedule of Amortized Cost and Estimated Fair Value of Securities |
The following table presents the amortized cost and estimated fair value of HTM securities as of September 30, 2022 and December 31, 2021, by contractual maturity (dollars in thousands). Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2022 |
|
December 31, 2021 |
|
|
Carrying |
|
Estimated |
|
Carrying |
|
Estimated |
|
|
Value |
|
Fair Value |
|
Value |
|
Fair Value |
Due in one year or less |
|
$ |
25,025 |
|
$ |
25,016 |
|
$ |
3,034 |
|
$ |
3,027 |
Due after one year through five years |
|
|
35,709 |
|
|
35,656 |
|
|
5,852 |
|
|
6,065 |
Due after five years through ten years |
|
|
15,798 |
|
|
15,587 |
|
|
14,019 |
|
|
15,984 |
Due after ten years |
|
|
764,817 |
|
|
689,221 |
|
|
605,095 |
|
|
668,698 |
Total HTM securities |
|
$ |
841,349 |
|
$ |
765,480 |
|
$ |
628,000 |
|
$ |
693,774 |
|
| Schedule of Carrying Values, Gross Unrealized Gains and Losses and Estimated Fair Value of Securities |
The carrying value, gross unrealized gains and losses, and estimated fair values of HTM securities as of September 30, 2022 are summarized as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carrying |
|
Gross Unrealized |
|
Estimated |
|
|
Value |
|
Gains |
|
(Losses) |
|
Fair Value |
September 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
|
$ |
690 |
|
$ |
— |
|
$ |
(39) |
|
$ |
651 |
Obligations of states and political subdivisions |
|
|
724,330 |
|
|
176 |
|
|
(64,366) |
|
|
660,140 |
Commercial Agency MBS |
|
|
29,096 |
|
|
— |
|
|
(4,360) |
|
|
24,736 |
Residential MBS |
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
|
|
43,080 |
|
|
— |
|
|
(6,732) |
|
|
36,348 |
Non-agency |
|
|
44,153 |
|
|
— |
|
|
(548) |
|
|
43,605 |
Total residential MBS |
|
|
87,233 |
|
|
— |
|
|
(7,280) |
|
|
79,953 |
Total HTM securities |
|
$ |
841,349 |
|
$ |
176 |
|
$ |
(76,045) |
|
$ |
765,480 |
The carrying value, gross unrealized gains and losses, and estimated fair values of HTM securities as of December 31, 2021 are summarized as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carrying |
|
Gross Unrealized |
|
Estimated |
|
|
Value |
|
Gains |
|
(Losses) |
|
Fair Value |
December 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
|
$ |
2,604 |
|
$ |
— |
|
$ |
(29) |
|
$ |
2,575 |
Obligations of states and political subdivisions |
|
|
620,873 |
|
|
65,982 |
|
|
(121) |
|
|
686,734 |
Commercial Agency MBS |
|
|
4,523 |
|
|
— |
|
|
(58) |
|
|
4,465 |
Total HTM securities |
|
$ |
628,000 |
|
$ |
65,982 |
|
$ |
(208) |
|
$ |
693,774 |
|