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v3.23.1

SECURITIES | 9 Months Ended
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Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract] |
SECURITIES | SECURITIES The amortized cost, carrying amount and fair value for the trading and available-for-sale securities at March 31, 2023 and June 30, 2022 were:
| March 31, 2023
| 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 | $ | — |  |  | $ | 25,620 |  |  | $ | — |  |  | $ | (2,838) |  |  | $ | 22,782 |  |  |  |  |  |  |  |  |
Non-agency 2 | — |  |  | 210,487 |  |  | 1,508 |  |  | (5,695) |  |  | 206,300 |  |  |  |  |  |  |  |  |
Total mortgage-backed securities | — |  |  | 236,107 |  |  | 1,508 |  |  | (8,533) |  |  | 229,082 |  |  |  |  |  |  |  |  |
Non-MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | 400 |  |  | 3,624 |  |  | — |  |  | (240) |  |  | 3,384 |  |  |  |  |  |  |  |  |
Asset-backed securities and structured notes | — |  |  | 47,000 |  |  | 146 |  |  | — |  |  | 47,146 |  |  |  |  |  |  |  |  |
Total Non-MBS | 400 |  |  | 50,624 |  |  | 146 |  |  | (240) |  |  | 50,530 |  |  |  |  |  |  |  |  |
Total debt securities | $ | 400 |  |  | $ | 286,731 |  |  | $ | 1,654 |  |  | $ | (8,773) |  |  | $ | 279,612 |  |  |  |  |  |  |  |  |
| 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. No credit losses were recognized on available-for-sale securities in the three and nine months ended March 31, 2023 and March 31, 2022. Based on the underlying government guarantees and other credit protection supporting our securities, no allowance for credit losses for available-for-sale debt securities was recorded at March 31, 2023 and June 30, 2022. The Company’s analysis is based on: (1) the credit characteristics of the securities, including the forecasted cash flows, credit ratings, credit enhancement, and any external government backing, and (2) whether the Company is intending to sell or is required to sell any securities before recovering the amortized cost basis of the securities. The unrealized losses on available-for-sale securities are primarily driven by the increase in interest rates since the securities were purchased. The Company’s non-agency MBS available-for-sale portfolio, with a total fair value of $206,300 at March 31, 2023, consists of 18 different issues of super senior securities. The face amounts of debt securities available-for-sale pledged to secure borrowings at March 31, 2023 and June 30, 2022 were $1.1 million and $1.2 million, respectively. Securities with unrealized losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position were:
| March 31, 2023
| 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 | $ | 1,657 |  |  | $ | (51) |  |  | $ | 21,051 |  |  | $ | (2,787) |  |  | $ | 22,708 |  |  | $ | (2,838) |  |  |  |  |  |  |  |  |  |  |  |  |
Non-agency | 84,059 |  |  | (3,258) |  |  | 47,310 |  |  | (2,437) |  |  | 131,369 |  |  | (5,695) |  |  |  |  |  |  |  |  |  |  |  |  |
Total MBS | 85,716 |  |  | (3,309) |  |  | 68,361 |  |  | (5,224) |  |  | 154,077 |  |  | (8,533) |  |  |  |  |  |  |  |  |  |  |  |  |
Non-MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal debt | — |  |  | — |  |  | 3,384 |  |  | (240) |  |  | 3,384 |  |  | (240) |  |  |  |  |  |  |  |  |  |  |  |  |
Total Non-MBS | — |  |  | — |  |  | 3,384 |  |  | (240) |  |  | 3,384 |  |  | (240) |  |  |  |  |  |  |  |  |  |  |  |  |
Total debt securities | $ | 85,716 |  |  | $ | (3,309) |  |  | $ | 71,745 |  |  | $ | (5,464) |  |  | $ | 157,461 |  |  | $ | (8,773) |  |  |  |  |  |  |  |  |  |  |  |  |
| 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) |  |  |  |  |  |  |  |  |  |  |  |  |
Total Non-MBS | 3,248 |  |  | (281) |  |  | — |  |  | — |  |  | 3,248 |  |  | (281) |  |  |  |  |  |  |  |  |  |  |  |  |
Total debt securities | $ | 112,490 |  |  | $ | (3,823) |  |  | $ | 12,848 |  |  | $ | (1,498) |  |  | $ | 125,338 |  |  | $ | (5,321) |  |  |  |  |  |  |  |  |  |  |  |  |
On March 31, 2023, there were twenty-nine securities in a continuous loss position for a period of more than 12 months, and twenty-five securities in a continuous loss position for a period of less than 12 months. At June 30, 2022, there were fourteen securities in a continuous loss position for a period of more than 12 months, and twenty-five securities in a continuous loss position for a period of less than 12 months.
At March 31, 2023, one non-agency MBS with a total carrying amount of $1.5 million was determined to have cumulative credit losses of $0.8 million of which none was recognized in earnings during the three months ended March 31, 2023. During the nine months ended March 31, 2023 the Company sold no available-for-sale securities.
The components of the Company’s accumulated other comprehensive income (loss) are:
(Dollars in thousands) | March 31, 2023 |  | June 30, 2022
Available-for-sale debt securities—net unrealized gains (losses) | $ | (7,119) |  |  | $ | (3,349) |
Available-for-sale debt securities (losses) | (845) |  |  | (845) |
Subtotal | (7,964) |  |  | (4,194) |
Tax benefit (expense) | 2,391 |  |  | 1,261 |
Net unrealized gain (loss) on investment securities in accumulated other comprehensive income (loss) | $ | (5,573) |  |  | $ | (2,933) |
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 March 31, 2023
| 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 | $ | 25,620 |  |  | 2.10 | % |  | $ | 5,087 |  |  | 2.05 | % |  | $ | 12,293 |  |  | 2.09 | % |  | $ | 6,459 |  |  | 2.18 | % |  | $ | 1,781 |  |  | 1.99 | %
Non-Agency 3 | 210,487 |  |  | 5.58 | % |  | 6,868 |  |  | 4.13 | % |  | 200,227 |  |  | 5.61 | % |  | 1,822 |  |  | 5.84 | % |  | 1,570 |  |  | 8.59 | %
Total Mortgage-Backed Securities | $ | 236,107 |  |  | 5.20 | % |  | $ | 11,955 |  |  | 3.25 | % |  | $ | 212,520 |  |  | 5.40 | % |  | $ | 8,281 |  |  | 2.98 | % |  | $ | 3,351 |  |  | 5.08 | %
Non-RMBS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | 3,624 |  |  | 3.57 | % |  | — |  |  | — | % |  | — |  |  | — | % |  | — |  |  | — | % |  | 3,624 |  |  | 3.57 | %
Asset-backed securities and structured notes | 47,000 |  |  | 9.53 | % |  | 47,000 |  |  | 9.53 | % |  | — |  |  | — | % |  | — |  |  | — | % |  | — |  |  | — | %
Total Non-RMBS | $ | 50,624 |  |  | 9.10 | % |  | $ | 47,000 |  |  | 9.53 | % |  | $ | — |  |  | — | % |  | $ | — |  |  | — | % |  | $ | 3,624 |  |  | 3.57 | %
Available-for-sale—Amortized Cost | $ | 286,731 |  |  | 5.89 | % |  | $ | 58,955 |  |  | 8.26 | % |  | $ | 212,520 |  |  | 5.40 | % |  | $ | 8,281 |  |  | 2.98 | % |  | $ | 6,975 |  |  | 4.30 | %
Available-for-sale—Fair Value | $ | 279,612 |  |  | 5.91 | % |  | $ | 58,326 |  |  | 8.26 | % |  | $ | 207,028 |  |  | 5.40 | % |  | $ | 7,494 |  |  | 2.98 | % |  | $ | 6,764 |  |  | 4.30 | %
Total available-for-sale securities | $ | 279,612 |  |  | 5.91 | % |  | $ | 58,326 |  |  | 8.26 | % |  | $ | 207,028 |  |  | 5.40 | % |  | $ | 7,494 |  |  | 2.98 | % |  | $ | 6,764 |  |  | 4.30 | %
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, Alt-A or pay-option ARM mortgages and commercial mortgages.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI https://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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