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v3.22.2.2

SECURITIES (Tables) | 3 Months Ended
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Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Schedule of Amortized Cost, Carrying Amount and Fair Value of Available-for-sale Securities | The amortized cost, carrying amount and fair value for the trading and available-for-sale securities at September 30, 2022 and June 30, 2022 were:
| September 30, 2022
| Trading |  | Available-for-sale |  |
(Dollars in thousands) | Fair Value |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value |  |  |  |  |  |  |  |
Mortgage-backed securities (MBS): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. agencies 1 | $ | — |  |  | $ | 27,187 |  |  | $ | 1 |  |  | $ | (3,425) |  |  | $ | 23,763 |  |  |  |  |  |  |  |  |
Non-agency 2 | — |  |  | 187,287 |  |  | 1,300 |  |  | (4,575) |  |  | 184,012 |  |  |  |  |  |  |  |  |
Total mortgage-backed securities | — |  |  | 214,474 |  |  | 1,301 |  |  | (8,000) |  |  | 207,775 |  |  |  |  |  |  |  |  |
Non-MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | 75 |  |  | 3,560 |  |  | — |  |  | (565) |  |  | 2,995 |  |  |  |  |  |  |  |  |
Asset-backed securities and structured notes | — |  |  | 47,000 |  |  | — |  |  | (136) |  |  | 46,864 |  |  |  |  |  |  |  |  |
Total Non-MBS | 75 |  |  | 50,560 |  |  | — |  |  | (701) |  |  | 49,859 |  |  |  |  |  |  |  |  |
Total debt securities | $ | 75 |  |  | $ | 265,034 |  |  | $ | 1,301 |  |  | $ | (8,701) |  |  | $ | 257,634 |  |  |  |  |  |  |  |  |
| June 30, 2022
| Trading |  | Available-for-sale |  |
(Dollars in thousands) | Fair Value |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value |  |  |  |  |  |  |  |
Mortgage-backed securities (MBS): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. agencies 1 | $ | — |  |  | $ | 27,722 |  |  | $ | 9 |  |  | $ | (2,406) |  |  | $ | 25,325 |  |  |  |  |  |  |  |  |
Non-agency 2 | — |  |  | 187,616 |  |  | 1,832 |  |  | (2,634) |  |  | 186,814 |  |  |  |  |  |  |  |  |
Total mortgage-backed securities | — |  |  | 215,338 |  |  | 1,841 |  |  | (5,040) |  |  | 212,139 |  |  |  |  |  |  |  |  |
Non-MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | 1,758 |  |  | 3,529 |  |  | — |  |  | (281) |  |  | 3,248 |  |  |  |  |  |  |  |  |
Asset-backed securities and structured notes | — |  |  | 47,000 |  |  | 131 |  |  | — |  |  | 47,131 |  |  |  |  |  |  |  |  |
Total Non-MBS | 1,758 |  |  | 50,529 |  |  | 131 |  |  | (281) |  |  | 50,379 |  |  |  |  |  |  |  |  |
Total debt securities | $ | 1,758 |  |  | $ | 265,867 |  |  | $ | 1,972 |  |  | $ | (5,321) |  |  | $ | 262,518 |  |  |  |  |  |  |  |  |
1 Includes securities guaranteed by Ginnie Mae, a U.S. government agency, and the government sponsored enterprises Fannie Mae and Freddie Mac. 2 Private sponsors of securities collateralized primarily by first-lien mortgage loans on commercial properties or by pools of 1-4 family residential first mortgages. Primarily super senior securities secured by Alt-A or pay-option ARM mortgages. The following table sets forth the expected maturity distribution of our mortgage-backed securities and the contractual maturity distribution of our Non-RMBS securities and the weighted-average yield for each range of maturities:
| At September 30, 2022
| Total Amount |  | Due Within One Year |  | Due After One but within Five Years |  | Due After Five but within Ten Years |  | Due After Ten Years
(Dollars in thousands) | Amount |  | Yield 1 |  | Amount |  | Yield 1 |  | Amount |  | Yield 1 |  | Amount |  | Yield 1 |  | Amount |  | Yield 1
Available-for-sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency 2 | $ | 27,187 |  |  | 1.79 | % |  | $ | 5,018 |  |  | 1.83 | % |  | $ | 13,175 |  |  | 1.79 | % |  | $ | 7,063 |  |  | 1.76 | % |  | $ | 1,931 |  |  | 1.86 | %
Non-Agency 3 | 187,287 |  |  | 5.41 | % |  | 1,285 |  |  | 16.89 | % |  | 183,937 |  |  | 5.30 | % |  | 1,726 |  |  | 8.90 | % |  | 339 |  |  | 4.63 | %
Total Mortgage-Backed Securities | $ | 214,474 |  |  | 4.95 | % |  | $ | 6,303 |  |  | 4.90 | % |  | $ | 197,112 |  |  | 5.07 | % |  | $ | 8,789 |  |  | 3.17 | % |  | $ | 2,270 |  |  | 2.28 | %
Non-RMBS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | 3,560 |  |  | 3.57 | % |  | — |  |  | — | % |  | — |  |  | — | % |  | — |  |  | — | % |  | 3,560 |  |  | 3.57 | %
Asset-backed securities and structured notes | 47,000 |  |  | 8.43 | % |  | 35,155 |  |  | 8.43 | % |  | 11,845 |  |  | 8.43 | % |  | — |  |  | — | % |  | — |  |  | — | %
Total Non-RMBS | $ | 50,560 |  |  | 8.09 | % |  | $ | 35,155 |  |  | 8.43 | % |  | $ | 11,845 |  |  | 8.43 | % |  | $ | — |  |  | — | % |  | $ | 3,560 |  |  | 3.57 | %
Available-for-sale—Amortized Cost | $ | 265,034 |  |  | 5.55 | % |  | $ | 41,458 |  |  | 7.89 | % |  | $ | 208,957 |  |  | 5.26 | % |  | $ | 8,789 |  |  | 3.17 | % |  | $ | 5,830 |  |  | 3.07 | %
Available-for-sale—Fair Value | $ | 257,634 |  |  | 5.57 | % |  | $ | 41,010 |  |  | 7.89 | % |  | $ | 203,814 |  |  | 5.26 | % |  | $ | 7,807 |  |  | 3.17 | % |  | $ | 5,003 |  |  | 3.07 | %
Total available-for-sale securities | $ | 257,634 |  |  | 5.57 | % |  | $ | 41,010 |  |  | 7.89 | % |  | $ | 203,814 |  |  | 5.26 | % |  | $ | 7,807 |  |  | 3.17 | % |  | $ | 5,003 |  |  | 3.07 | %
1 Weighted-average yield is based on amortized cost of the securities. Residential mortgage-backed security yields and maturities include impact of expected prepayments and other timing factors such as interest rate forward curve. 2 Includes securities guaranteed by Ginnie Mae, a U.S. government agency, and the government sponsored enterprises Fannie Mae and Freddie Mac. 3 Private sponsors of securities collateralized primarily by pools of 1-4 family residential first mo prime, Alt-A or pay-option ARM mortgages.
Schedule of Securities in a Continuous Unrealized Loss Position | Securities with unrealized losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position were:
| September 30, 2022
| Available-for-sale securities in loss position for |  |
| Less Than 12 Months |  | More Than 12 Months |  | Total |  |  |  |  |  |
(Dollars in thousands) | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  |  |  |  |  |  |  |  |  |  |  |
MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. agencies | $ | 15,070 |  |  | $ | (1,882) |  |  | $ | 8,493 |  |  | $ | (1,543) |  |  | $ | 23,563 |  |  | $ | (3,425) |  |  |  |  |  |  |  |  |  |  |  |  |
Non-agency | 127,685 |  |  | (4,095) |  |  | 4,516 |  |  | (480) |  |  | 132,201 |  |  | (4,575) |  |  |  |  |  |  |  |  |  |  |  |  |
Total MBS | 142,755 |  |  | (5,977) |  |  | 13,009 |  |  | (2,023) |  |  | 155,764 |  |  | (8,000) |  |  |  |  |  |  |  |  |  |  |  |  |
Non-MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal debt | 2,995 |  |  | (565) |  |  | — |  |  | — |  |  | 2,995 |  |  | (565) |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities and structured notes | 46,864 |  |  | (136) |  |  | — |  |  | — |  |  | 46,864 |  |  | (136) |  |  |  |  |  |  |  |  |  |  |  |  |
Total Non-MBS | 49,859 |  |  | (701) |  |  | — |  |  | — |  |  | 49,859 |  |  | (701) |  |  |  |  |  |  |  |  |  |  |  |  |
Total debt securities | $ | 192,614 |  |  | $ | (6,678) |  |  | $ | 13,009 |  |  | $ | (2,023) |  |  | $ | 205,623 |  |  | $ | (8,701) |  |  |  |  |  |  |  |  |  |  |  |  |
| June 30, 2022
| Available-for-sale securities in loss position for |  |
| Less Than 12 Months |  | More Than 12 Months |  | Total |  |  |  |  |  |
(Dollars in thousands) | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  |  |  |  |  |  |  |  |  |  |  |
MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. agencies | $ | 16,446 |  |  | $ | (1,338) |  |  | $ | 8,097 |  |  | $ | (1,068) |  |  | $ | 24,543 |  |  | $ | (2,406) |  |  |  |  |  |  |  |  |  |  |  |  |
Non-agency | 92,796 |  |  | (2,204) |  |  | 4,751 |  |  | (430) |  |  | 97,547 |  |  | (2,634) |  |  |  |  |  |  |  |  |  |  |  |  |
Total MBS | 109,242 |  |  | (3,542) |  |  | 12,848 |  |  | (1,498) |  |  | 122,090 |  |  | (5,040) |  |  |  |  |  |  |  |  |  |  |  |  |
Non-MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal debt | 3,248 |  |  | (281) |  |  | — |  |  | — |  |  | 3,248 |  |  | (281) |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities and structured notes | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  |  |  |  |  |  |  |
Total Non-MBS | 3,248 |  |  | (281) |  |  | — |  |  | — |  |  | 3,248 |  |  | (281) |  |  |  |  |  |  |  |  |  |  |  |  |
Total debt securities | $ | 112,490 |  |  | $ | (3,823) |  |  | $ | 12,848 |  |  | $ | (1,498) |  |  | $ | 125,338 |  |  | $ | (5,321) |  |  |  |  |  |  |  |  |  |  |  |  |
Components of Other Comprehensive Income (Loss) | The components of the Company’s accumulated other comprehensive income (loss) are:
(Dollars in thousands) | September 30, 2022 |  | June 30, 2022
Available-for-sale debt securities—net unrealized gains (losses) | $ | (7,400) |  |  | $ | (3,349) |
Available-for-sale debt securities—non-credit related losses | (845) |  |  | (845) |
Subtotal | (8,245) |  |  | (4,194) |
Tax benefit (expense) | 2,475 |  |  | 1,261 |
Net unrealized gain (loss) on investment securities in accumulated other comprehensive income (loss) | $ | (5,770) |  |  | $ | (2,933) |

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