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Fair Value Measurements | 6 Months Ended
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Mar. 31, 2016
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements ASC 825 defines fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. ASC 825 also establishes a fair value hierarchy which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard describes three levels of inputs that may be used to measure fair value: Level 1: Quoted prices (unadjusted) for identical assets or liabilities in active exchange markets that the entity has the ability to access as of the measurement date. Level 2: Significant other observable inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active and other inputs that are observable or can be corroborated by observable market data. Level 3: Significant unobservable inputs that reflect a company’s own assumptions about the assumptions that market participants would use in pricing an asset or liability. We have established and documented the Company's process for determining the fair values of the Company's assets and liabilities, where applicable. Fair value is based on quoted market prices, when available, for identical or similar assets or liabilities. In the absence of quoted market prices, fair value is determined using valuation models or third-party appraisals. The following is a description of the valuation methodologies used to measure and report the fair value of financial assets and liabilities on a recurring or nonrecurring basis: Measured on a Recurring Basis Securities Securities available for sale are recorded at fair value on a recurring basis. The fair value of debt securities are priced using model pricing based on the securities' relationship to other benchmark quoted prices as provided by an independent third party, and under GAAP are considered a Level 2 input method. Securities that are traded on active exchanges, including the Company's equity securities, are measured using the closing price in an active market and are considered a Level 1 input method. The bank offers interest rate swaps to its variable rate borrowers who want to manage their interest rate risk. At the same time, the bank enters into the opposite trade with a counter party to offset its interest rate risk. The bank has also entered into a commercial loan hedge as well as long term borrowing hedges using interest rate swaps. The fair value of these interest rate swaps are estimated by a third party pricing service using a discounted cash flow technique. These are considered a Level 2 input method. The following tables present the balance of assets and liabilities measured at fair value on a recurring basis.
| March 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (In thousands)
Financial Assets |  |  |  |  |  |  |
Available-for-sale securities: |  |  |  |  |  |  |
Equity securities | $ | 101,591 |  |  | — |  |  | — |  |  | $ | 101,591 |
Obligations of U.S. government | — |  |  | 264,544 |  |  | — |  |  | 264,544 |
Obligations of states and political subdivisions | — |  |  | 27,335 |  |  | — |  |  | 27,335 |
Corporate debt securities | — |  |  | 506,269 |  |  | — |  |  | 506,269 |
Mortgage-backed securities |  |  |  |  |  |  |
Agency pass-through certificates | — |  |  | 1,105,016 |  |  | — |  |  | 1,105,016 |
Other Commercial MBS | — |  |  | 92,331 |  |  | — |  |  | 92,331 |
Total available-for-sale securities | 101,591 |  |  | 1,995,495 |  |  | — |  |  | 2,097,086 |
Interest rate contracts | — |  |  | 17,498 |  |  | — |  |  | 17,498 |
Total financial assets | $ | 101,591 |  |  | $ | 2,012,993 |  |  | $ | — |  |  | $ | 2,114,584 |
Financial Liabilities |  |  |  |  |  |  |
Interest rate contracts | $ | — |  |  | $ | 17,498 |  |  | $ | — |  |  | $ | 17,498 |
Commercial loan hedge | — |  |  | 2,329 |  |  | — |  |  | 2,329 |
Long term borrowing hedge | — |  |  | 25,242 |  |  | — |  |  | 25,242 |
Total financial liabilities | $ | — |  |  | $ | 45,069 |  |  | $ | — |  |  | $ | 45,069 |
There were no transfers between, into and/or out of Levels 1, 2 or 3 during the six months ended March 31, 2016.
| September 30, 2015
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (In thousands)
Financial Assets |  |  |  |  |  |  |
Available-for-sale securities: |  |  |  |  |  |  |
Equity securities | $ | 101,952 |  |  | — |  |  | — |  |  | $ | 101,952 |
Obligations of U.S. government | — |  |  | 482,464 |  |  | — |  |  | 482,464 |
Obligations of states and political subdivisions | — |  |  | 27,123 |  |  | — |  |  | 27,123 |
Corporate debt securities | — |  |  | 505,800 |  |  | — |  |  | 505,800 |
Mortgage-backed securities |  |  |  |  |  |  |
Agency pass-through certificates | — |  |  | 1,160,518 |  |  | — |  |  | 1,160,518 |
Other Commercial MBS | — |  |  | 102,706 |  |  | — |  |  | 102,706 |
Total available-for-sale securities | 101,952 |  |  | 2,278,611 |  |  | — |  |  | 2,380,563 |
Interest rate contracts | — |  |  | 11,879 |  |  | — |  |  | 11,879 |
Total financial assets | $ | 101,952 |  |  | $ | 2,290,490 |  |  | $ | — |  |  | $ | 2,392,442 |
Financial Liabilities |  |  |  |  |  |  |
Interest rate contracts | $ | — |  |  | $ | 11,879 |  |  | $ | — |  |  | $ | 11,879 |
Commercial loan hedge | — |  |  | 966 |  |  | — |  |  | 966 |
Long term borrowing hedge | — |  |  | 14,555 |  |  | — |  |  | 14,555 |
Total financial liabilities | $ | — |  |  | $ | 27,400 |  |  | $ | — |  |  | $ | 27,400 |
There were no transfers between, into and/or out of Levels 1, 2 or 3 during the fiscal year ended September 30, 2015. Measured on a Nonrecurring Basis Impaired Loans & Real Estate Owned Real estate owned ("REO") consists principally of properties acquired through foreclosure. From time to time, and on a nonrecurring basis, adjustments using fair value measurements are recorded to reflect increases or decreases based on the current appraisal or estimated value of the collateral, but only up to the fair value of the real estate owned as of the initial transfer date less selling costs. When management determines that the fair value of the collateral or the real estate owned requires additional adjustments, either as a result of an updated appraised value or when there is no observable market price, the Company classifies the impaired loan or real estate owned as Level 3. Level 3 assets recorded at fair value on a nonrecurring basis at March 31, 2016 included loans for which a specific reserve allowance was established or a partial charge-off was recorded based on the fair value of collateral, as well as real estate owned where the fair value of the property was less than the cost basis. The following tables present the aggregated balance of assets that were measured at fair value on a nonrecurring basis at March 31, 2016 and March 31, 2015, and the total gains (losses) resulting from those fair value adjustments for the six months ended March 31, 2016 and March 31, 2015. The estimated fair value measurements are shown gross of estimated selling costs.
| March 31, 2016 |  | Three Months Ended March 31, 2016 |  | Six Months Ended March 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Total Gains (Losses)
| (In thousands) |  |
Impaired loans (1) | $ | — |  |  | $ | — |  |  | $ | 12,164 |  |  | $ | 12,164 |  |  | $ | (1,389 | ) |  | $ | (3,070 | )
Real estate owned (2) | — |  |  | — |  |  | 12,804 |  |  | 12,804 |  |  | (577 | ) |  | (2,332 | )
Balance at end of period | $ | — |  |  | $ | — |  |  | $ | 24,968 |  |  | $ | 24,968 |  |  | $ | (1,966 | ) |  | $ | (5,402 | )
(1) The gains (losses) represent remeasurements of collateral-dependent loans. (2) The gains (losses) represent aggregate writedowns and charge-offs on REO.
| March 31, 2015 |  | Three Months Ended March 31, 2015 |  | Six Months Ended March 31, 2015
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Total Gains (Losses)
| (In thousands) |  |
Impaired loans (1) | $ | — |  |  | $ | — |  |  | $ | 3,478 |  |  | $ | 3,478 |  |  | $ | (515 | ) |  | $ | (580 | )
Real estate owned (2) | — |  |  | — |  |  | 48,255 |  |  | 48,255 |  |  | 2,533 |  |  | 10,769 |
Balance at end of period | $ | — |  |  | $ | — |  |  | $ | 51,733 |  |  | $ | 51,733 |  |  | $ | 2,018 |  |  | $ | 10,189 |
(1) | The gains (losses) represent remeasurements of collateral-dependent loans.
(2) | The gains (losses) represent aggregate writedowns and charge-offs on REO.
Impaired loans - The Company adjusts the carrying amount of impaired loans when there is evidence of probable loss and the expected fair value of the loan is less than its contractual amount. The amount of the impairment may be determined based on the estimated present value of future cash flows or the fair value of the underlying collateral. Impaired loans with a specific reserve allowance based on cash flow analysis or the value of the underlying collateral are classified as Level 3 assets. The evaluations for impairment are prepared by the Problem Loan Review Committee, which is chaired by the Chief Credit Officer and includes the Loan Review manager and Special Credits manager, as well as senior credit officers, division managers and group executives, as applicable. These evaluations are performed in conjunction with the quarterly allowance for loan loss process. Applicable loans that were included in the previous quarter's review are reevaluated and if their values are materially different from the prior quarter evaluation, the underlying information (loan balance and collateral value) are compared. Material differences are evaluated for reasonableness and discussions are held between the relationship manager and their division manager to understand the difference and determine if any adjustment is necessary. The inputs are developed and substantiated on a quarterly basis, based on current borrower developments, market conditions and collateral values. The following methods are used to value impaired loans:
• | The fair value of the collateral, which may take the form of real estate or personal property, is based on internal estimates, field observations, assessments provided by third-party appraisers and other valuation models. The Company performs or reaffirms valuations of collateral-dependent impaired loans at least annually. Adjustments are made if management believes that more recent information is available and relevant with respect to the fair value of the collateral.
• | The present value of the expected future cash flows of the loans is used for measurement of non collateral-dependent loans to test for impairment. The Company calculates the amount and timing of the future cash flows, the effective interest rate to be used to discount the cash flows and the basis for determination of the cash flows, including consideration of current economic and environmental factors, as well as other information relating to current or previous conditions.
Real estate owned - When a loan is reclassified from loan status to real estate owned due to the Company taking possession of the collateral, a Special Credits officer, along with the Special Credits manager, obtains a valuation, which may include appraisals or third-party price options, which is used to establish the fair value of the underlying collateral. The determined fair value, less selling costs, becomes the carrying value of the REO asset. The fair value of REO assets is re-evaluated quarterly and the REO asset is adjusted to reflect the fair value as necessary. After foreclosure, the valuations are updated periodically and current market conditions may require the assets to be written down further or up to the cost basis established on the date of transfer. The carrying balance of REO assets are also written down or up once a bona fide offer is contractually accepted, through execution of a Purchase and Sale Agreement, where the accepted price is lower than the cost established on the transfer date. Fair Values of Financial Instruments U. S. GAAP requires disclosure of fair value information about financial instruments, whether or not recognized on the statement of financial condition, for which it is practicable to estimate those values. Certain financial instruments and all non-financial instruments are excluded from the disclosure requirements. Accordingly, the aggregate fair value estimates presented do not reflect the underlying fair value of the Company. Although management is not aware of any factors that would materially affect the estimated fair value amounts presented below, such amounts have not been comprehensively revalued for purposes of these financial statements since the dates shown, and therefore, estimates of fair value subsequent to those dates may differ significantly from the amounts presented below.
|  |  |  | March 31, 2016 |  | September 30, 2015
|  | Level in Fair Value Hierarchy |  | Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
|  |  |  | (In thousands)
Financial assets |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | 1 |  | $ | 276,084 |  |  | $ | 276,084 |  |  | $ | 284,049 |  |  | $ | 284,049 |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |
Equity securities |  | 1 |  | 101,591 |  |  | 101,591 |  |  | 101,952 |  |  | 101,952 |
Obligations of U.S. government |  | 2 |  | 264,544 |  |  | 264,544 |  |  | 482,464 |  |  | 482,464 |
Obligations of states and political subdivisions |  | 2 |  | 27,335 |  |  | 27,335 |  |  | 27,123 |  |  | 27,123 |
Corporate debt securities |  | 2 |  | 506,269 |  |  | 506,269 |  |  | 505,800 |  |  | 505,800 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
Agency pass-through certificates |  | 2 |  | 1,105,016 |  |  | 1,105,016 |  |  | 1,160,518 |  |  | 1,160,518 |
Other commercial MBS |  | 2 |  | 92,331 |  |  | 92,331 |  |  | 102,706 |  |  | 102,706 |
Total available-for-sale securities |  |  |  | 2,097,086 |  |  | 2,097,086 |  |  | 2,380,563 |  |  | 2,380,563 |
Held-to-maturity securities |  | 2 |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
Agency pass-through certificates |  | 2 |  | 1,558,087 |  |  | 1,564,349 |  |  | 1,643,216 |  |  | 1,637,420 |
Total held-to-maturity securities |  |  |  | 1,558,087 |  |  | 1,564,349 |  |  | 1,643,216 |  |  | 1,637,420 |
Loans receivable |  | 3 |  | 9,545,322 |  |  | 10,059,040 |  |  | 9,170,634 |  |  | 9,667,750 |
FDIC indemnification asset |  | 3 |  | 13,480 |  |  | 12,803 |  |  | 16,275 |  |  | 15,522 |
FHLB and FRB stock |  | 2 |  | 113,187 |  |  | 113,187 |  |  | 107,198 |  |  | 107,198 |
Other assets - interest rate contracts |  | 2 |  | 17,498 |  |  | 17,498 |  |  | 11,879 |  |  | 11,879 |
Financial liabilities |  |  |  |  |  |  |  |  |  |
Customer accounts |  | 2 |  | 10,543,384 |  |  | 9,671,338 |  |  | 10,631,703 |  |  | 10,004,290 |
FHLB advances |  | 2 |  | 1,980,000 |  |  | 2,086,109 |  |  | 1,830,000 |  |  | 1,938,384 |
Other liabilities - interest rate contracts |  | 2 |  | 17,498 |  |  | 17,498 |  |  | 11,879 |  |  | 11,879 |
Other liabilities - commercial loan hedge |  | 2 |  | 2,329 |  |  | 2,329 |  |  | 966 |  |  | 966 |
Other liabilities - long term borrowing hedge |  | 2 |  | 25,242 |  |  | 25,242 |  |  | 14,555 |  |  | 14,555 |
The following methods and assumptions were used to estimate the fair value of financial instruments: Cash and cash equivalents – The carrying amount of these items is a reasonable estimate of their fair value. Available-for-sale securities and held-to-maturity securities – Securities at fair value are primarily priced using model pricing based on the securities' relationship to other benchmark quoted prices as provided by an independent third party, and are considered a Level 2 input method. Equity securities which are exchange traded are considered a Level 1 input method. Loans receivable and covered loans – For certain homogeneous categories of loans, such as fixed- and variable-rate residential mortgages, fair value is estimated for securities backed by similar loans, adjusted for differences in loan characteristics, using the same methodology described above for AFS and HTM securities. The fair value of other loan types is estimated by discounting the future cash flows and estimated prepayments using the current rates at which similar loans would be made to borrowers with similar credit ratings and for the same remaining term. Some loan types were valued at carrying value because of their floating rate or expected maturity characteristics. Net deferred loan fees are not included in the fair value calculation but are included in the carrying amount. FDIC indemnification asset – The fair value of the indemnification asset is estimated by discounting the expected future cash flows using the current rates. FHLB and FRB stock – The fair value is based upon the par value of the stock which equates to its carrying value. Customer accounts – The fair value of demand deposits, savings accounts, and money market accounts is the amount payable on demand at the reporting date. The fair value of fixed-maturity certificates of deposit is estimated by discounting the estimated future cash flows using the rates currently offered for deposits with similar remaining maturities. FHLB advances – The fair value of FHLB advances and other borrowings is estimated by discounting the estimated future cash flows using rates currently available to the Company for debt with similar remaining maturities. Interest Rate Contracts – The bank offers interest rate swaps to its variable rate borrowers who want to manage their interest rate risk. At the same time, the bank enters into the opposite trade with a counterparty to offset its interest rate risk. The fair value of these interest rate swaps are estimated by a third party pricing service using a discounted cash flow technique. Commercial Loan Hedge – The fair value of the interest rate swap is estimated by a third party pricing service using a discounted cash flow technique. Long Term Borrowing Hedges – The fair value of the forward starting interest rate swaps are estimated by a third party pricing service using a discounted cash flow technique. The following tables provide a reconciliation of amortized cost to fair value of available-for-sale and held-to-maturity securities.
| March 31, 2016
| Amortized Cost |  | Gross Unrealized |  | Fair Value |  | Yield
| Gains |  | Losses |
| (In thousands)
Available-for-sale securities |  |  |  |  |  |  |  |  |
U.S. government and agency securities due |  |  |  |  |  |  |  |  |
1 to 5 years | $ | 44,763 |  |  | $ | 1,467 |  |  | $ | (257 | ) |  | $ | 45,973 |  |  | 2.72 | %
5 to 10 years | 50,399 |  |  | — |  |  | (1,726 | ) |  | 48,673 |  |  | 1.04 |
Over 10 years | 173,258 |  |  | — |  |  | (3,361 | ) |  | 169,897 |  |  | 1.06 |
Equity Securities |  |  |  |  |  |  |  |  |
Within 1 year | 500 |  |  | 19 |  |  | — |  |  | 519 |  |  | 1.80 |
1 to 5 years | 99,922 |  |  | 1,150 |  |  | — |  |  | 101,072 |  |  | 1.90 |
Corporate bonds due |  |  |  |  |  |  |  |  |
Within 1 year | 274,957 |  |  | 258 |  |  | — |  |  | 275,215 |  |  | 1.02 |
1 to 5 years | 91,505 |  |  | 355 |  |  | (113 | ) |  | 91,747 |  |  | 1.85 |
5 to 10 years | 89,953 |  |  | 1,167 |  |  | (2,787 | ) |  | 88,333 |  |  | 2.00 |
Over 10 years | 50,000 |  |  | 974 |  |  | — |  |  | 50,974 |  |  | 3.00 |
Municipal bonds due |  |  |  |  |  |  |  |  |
1 to 5 years | 2,300 |  |  | 8 |  |  | — |  |  | 2,308 |  |  | 1.23 |
5 to 10 years | 1,319 |  |  | 34 |  |  | — |  |  | 1,353 |  |  | 2.05 |
Over 10 years | 20,372 |  |  | 3,302 |  |  | — |  |  | 23,674 |  |  | 6.45 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 1,093,626 |  |  | 15,593 |  |  | (4,202 | ) |  | 1,105,017 |  |  | 2.58 |
Other Commercial MBS | 92,542 |  |  | 260 |  |  | (471 | ) |  | 92,331 |  |  | 1.73 |
| 2,085,416 |  |  | 24,587 |  |  | (12,917 | ) |  | 2,097,086 |  |  | 2.13 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 1,558,087 |  |  | 12,358 |  |  | (6,096 | ) |  | 1,564,349 |  |  | 3.19 |
| $ | 3,643,503 |  |  | $ | 36,945 |  |  | $ | (19,013 | ) |  | $ | 3,661,435 |  |  | 2.58 | %
| September 30, 2015
| Amortized Cost |  | Gross Unrealized |  | Fair Value |  | Yield
| Gains | Losses |
| (In thousands)
Available-for-sale securities |  |  |  |  |  |  |  |  |
U.S. government and agency securities due |  |  |  |  |  |  |  |  |
1 to 5 years | $ | 105,065 |  |  | $ | 1,923 |  |  | $ | (274 | ) |  | $ | 106,714 |  |  | 1.74 | %
5 to 10 years | 119,071 |  |  | 35 |  |  | (1,247 | ) |  | 117,859 |  |  | 1.54 |
Over 10 years | 262,832 |  |  | — |  |  | (4,941 | ) |  | 257,891 |  |  | 1.23 |
Equity Securities |  |  |  |  |  |  |  |  |
Within 1 year | 500 |  |  | 17 |  |  | — |  |  | 517 |  |  | 1.80 |
1 to 5 years | 99,922 |  |  | 1,513 |  |  | — |  |  | 101,435 |  |  | 1.90 |
Corporate bonds due |  |  |  |  |  |  |  |  |
Within 1 year | 24,787 |  |  | 191 |  |  | — |  |  | 24,978 |  |  | 0.53 |
1 to 5 years | 311,435 |  |  | 1,190 |  |  | (58 | ) |  | 312,567 |  |  | 0.88 |
5 to 10 years | 100,000 |  |  | 876 |  |  | (3,524 | ) |  | 97,352 |  |  | 1.47 |
Over 10 years | 69,950 |  |  | 953 |  |  | — |  |  | 70,903 |  |  | 3.00 |
Municipal bonds due |  |  |  |  |  |  |  |  |
1 to 5 years | 2,285 |  |  | 8 |  |  | — |  |  | 2,293 |  |  | 1.23 |
5 to 10 years | 1,303 |  |  | 7 |  |  | — |  |  | 1,310 |  |  | 2.05 |
Over 10 years | 20,382 |  |  | 3,138 |  |  | — |  |  | 23,520 |  |  | 6.45 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 1,144,787 |  |  | 18,222 |  |  | (2,491 | ) |  | 1,160,518 |  |  | 2.48 |
Other Commercial MBS | 103,131 |  |  | 85 |  |  | (510 | ) |  | 102,706 |  |  | 1.51 |
| 2,365,450 |  |  | 28,158 |  |  | (13,045 | ) |  | 2,380,563 |  |  | 1.97 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 1,643,216 |  |  | 10,516 |  |  | (16,312 | ) |  | 1,637,420 |  |  | 3.19 |
| $ | 4,008,666 |  |  | $ | 38,674 |  |  | $ | (29,357 | ) |  | $ | 4,017,983 |  |  | 2.46 | %
There were no available-for-sale securities sold during the three or six months ended March 31, 2016 or March 31, 2015. Substantially all of the agency mortgage-backed securities have contractual due dates that exceed 10 years. The following tables show the unrealized gross losses and fair value of securities as of March 31, 2016 and September 30, 2015, by length of time that individual securities in each category have been in a continuous loss position. The decline in fair value is attributable to changes in interest rates. Because the Company does not intend to sell these securities and does not consider it more likely than not that it will be required to sell these securities before the recovery of amortized cost basis, which may be upon maturity, the Company does not consider these investments to be other than temporarily impaired.
March 31, 2016 | Less than 12 months |  | 12 months or more |  | Total
| Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value
| (In thousands) |  |
Corporate bonds due | $ | (1,001 | ) |  | $ | 24,000 |  |  | $ | (1,899 | ) |  | $ | 33,101 |  |  | $ | (2,900 | ) |  | $ | 57,101 |
U.S. government and agency securities due | (3,136 | ) |  | 138,259 |  |  | (2,208 | ) |  | 115,518 |  |  | (5,344 | ) |  | 253,777 |
Agency pass-through certificates | (1,475 | ) |  | 308,151 |  |  | (9,294 | ) |  | 1,217,456 |  |  | (10,769 | ) |  | 1,525,607 |
| $ | (5,612 | ) |  | $ | 470,410 |  |  | $ | (13,401 | ) |  | $ | 1,366,075 |  |  | $ | (19,013 | ) |  | $ | 1,836,485 |
September 30, 2015 | Less than 12 months |  | 12 months or more |  | Total
| Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value
| (In thousands) |  |
Corporate bonds due | $ | (183 | ) |  | $ | 72,862 |  |  | $ | (3,399 | ) |  | $ | 46,601 |  |  | $ | (3,582 | ) |  | $ | 119,463 |
U.S. government and agency securities due | (5,010 | ) |  | 336,243 |  |  | (1,452 | ) |  | 57,344 |  |  | (6,462 | ) |  | 393,587 |
Agency pass-through certificates | (1,036 | ) |  | 169,541 |  |  | (18,277 | ) |  | 1,193,463 |  |  | (19,313 | ) |  | 1,363,004 |
| $ | (6,229 | ) |  | $ | 578,646 |  |  | $ | (23,128 | ) |  | $ | 1,297,408 |  |  | $ | (29,357 | ) |  | $ | 1,876,054 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=49121117&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=49121117&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=49121117&loc=d3e13433-108611 + Details
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