v3.23.2

Securities Available for Sale | 6 Months Ended
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Jun. 30, 2023
Investments, Debt and Equity Securities [Abstract] |
Securities Available for Sale | Securities Available for Sale The amortized cost, gross unrealized gains and losses, credit valuation allowance and fair value of available for sale (AFS) securities were as follows:
June 30, 2023 | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  |  |  | Fair Value
U.S. agency residential mortgage-backed securities | $ | 254,999 |  |  | $ | — |  |  | $ | (40,483) |  |  |  |  | $ | 214,516 |
Senior asset-backed securities related to Structured Program transactions | 144,529 |  |  | — |  |  | (605) |  |  |  |  | 143,924 |
U.S. agency securities | 93,449 |  |  | — |  |  | (14,409) |  |  |  |  | 79,040 |
Mortgage-backed securities | 43,723 |  |  | — |  |  | (5,580) |  |  |  |  | 38,143 |
Other asset-backed securities | 29,187 |  |  | 44 |  |  | (765) |  |  |  |  | 28,466 |
Other asset-backed securities related to Structured Program transactions (1) | 10,550 |  |  | 6,452 |  |  | (22) |  |  |  |  | 16,980 |
Municipal securities | 3,267 |  |  | — |  |  | (757) |  |  |  |  | 2,510 |
Total securities available for sale (2) | $ | 579,704 |  |  | $ | 6,496 |  |  | $ | (62,621) |  |  |  |  | $ | 523,579 |
December 31, 2022 | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  |  |  | Fair Value
U.S. agency residential mortgage-backed securities | $ | 255,675 |  |  | $ | — |  |  | $ | (41,248) |  |  |  |  | $ | 214,427 |
U.S. agency securities | 90,447 |  |  | — |  |  | (16,053) |  |  |  |  | 74,394 |
Mortgage-backed securities | 26,988 |  |  | — |  |  | (4,470) |  |  |  |  | 22,518 |
Asset-backed securities related to Structured Program transactions | 8,322 |  |  | 9,395 |  |  | — |  |  |  |  | 17,717 |
Other asset-backed securities | 14,959 |  |  | 29 |  |  | (785) |  |  |  |  | 14,203 |
Municipal securities | 3,277 |  |  | — |  |  | (834) |  |  |  |  | 2,443 |
Total securities available for sale (2) | $ | 399,668 |  |  | $ | 9,424 |  |  | $ | (63,390) |  |  |  |  | $ | 345,702 |
(1) As of June 30, 2023, $8.5 million of the other asset-backed securities related to Structured Program transactions at fair value are subject to restrictions on transfer pursuant to the Company’s obligations as a “sponsor” under the U.S. Risk Retention Rules. (2) As of June 30, 2023 and December 31, 2022, includes $352.1 million and $319.0 million, respectively, of fair value securities pledged as collateral. A summary of AFS securities with unrealized losses for which a credit valuation allowance has not been recorded, aggregated by period of continuous unrealized loss, is as follows:
| Less than 12 months |  | 12 months or longer |  | Total
June 30, 2023 | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses
U.S. agency residential mortgage-backed securities | $ | 22,653 |  |  | $ | (1,331) |  |  | $ | 191,863 |  |  | $ | (39,152) |  |  | $ | 214,516 |  |  | $ | (40,483) |
Senior asset-backed securities related to Structured Program transactions | 94,552 |  |  | (605) |  |  | — |  |  | — |  |  | 94,552 |  |  | (605) |
U.S. agency securities | 5,878 |  |  | (122) |  |  | 73,162 |  |  | (14,287) |  |  | 79,040 |  |  | (14,409) |
Mortgage-backed securities | 16,946 |  |  | (787) |  |  | 21,197 |  |  | (4,793) |  |  | 38,143 |  |  | (5,580) |
Other asset-backed securities | 14,035 |  |  | (48) |  |  | 8,479 |  |  | (717) |  |  | 22,514 |  |  | (765) |
Other asset-backed securities related to Structured Program transactions | 5,703 |  |  | (22) |  |  | — |  |  | — |  |  | 5,703 |  |  | (22) |
Municipal securities | — |  |  | — |  |  | 2,510 |  |  | (757) |  |  | 2,510 |  |  | (757) |
Total securities with unrealized losses | $ | 159,767 |  |  | $ | (2,915) |  |  | $ | 297,211 |  |  | $ | (59,706) |  |  | $ | 456,978 |  |  | $ | (62,621) |
| Less than 12 months |  | 12 months or longer |  | Total
December 31, 2022 | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses
U.S. agency residential mortgage-backed securities | $ | 111,843 |  |  | $ | (15,831) |  |  | $ | 102,584 |  |  | $ | (25,417) |  |  | $ | 214,427 |  |  | $ | (41,248) |
U.S. agency securities | 50,352 |  |  | (7,213) |  |  | 24,042 |  |  | (8,840) |  |  | 74,394 |  |  | (16,053) |
Mortgage-backed securities | 2,441 |  |  | (229) |  |  | 20,077 |  |  | (4,241) |  |  | 22,518 |  |  | (4,470) |
Other asset-backed securities | 4,086 |  |  | (73) |  |  | 6,945 |  |  | (712) |  |  | 11,031 |  |  | (785) |
Municipal securities | — |  |  | — |  |  | 2,443 |  |  | (834) |  |  | 2,443 |  |  | (834) |
Total securities with unrealized losses | $ | 168,722 |  |  | $ | (23,346) |  |  | $ | 156,091 |  |  | $ | (40,044) |  |  | $ | 324,813 |  |  | $ | (63,390) |
There was no activity in the allowance for AFS securities during the second quarters and first halves of 2023 and 2022. At June 30, 2023, the majority of the Company’s AFS investment portfolio was comprised of U.S. agency-backed securities and asset-backed securities related to Structured Program transactions. Management considers U.S. agency-backed securities to be of the highest credit quality and rating given the guarantee of principal and interest by certain U.S. government agencies. Most of the remaining securities in an unrealized loss position in the Company’s AFS investment portfolio at June 30, 2023, were rated investment grade. Substantially all of these unrealized losses in the AFS investment portfolio were caused by interest rate increases. The Company does not intend to sell the investment portfolio, and it is not more likely than not that it will be required to sell any investment before recovery of its amortized cost basis. For a description of management’s quarterly evaluation of AFS securities in an unrealized loss position, see “Part II – Item 8. Financial Statements and Supplementary Data – Note 1. Summary of Significant Accounting Policies” in our Annual Report. The contractual maturities of AFS securities were as follows:
June 30, 2023 | Amortized Cost |  | Fair Value |  | Weighted- average Yield (1)
Due after 1 year through 5 years: |  |  |  |  |
Senior asset-backed securities related to Structured Program transactions | $ | 144,529 |  |  | $ | 143,924 |  |  |
Other asset-backed securities related to Structured Program transactions | 10,550 |  |  | 16,980 |  |  |
U.S. agency securities | 9,000 |  |  | 8,595 |  |  |
Mortgage-backed securities | 1,788 |  |  | 1,583 |  |  |
U.S. agency residential mortgage-backed securities | 4 |  |  | 4 |  |  |
Total due after 1 year through 5 years | 165,871 |  |  | 171,086 |  |  | 5.19 | %
Due after 5 years through 10 years: |  |  |  |  |
U.S. agency securities | 18,847 |  |  | 17,257 |  |  |
Other asset-backed securities | 16,491 |  |  | 16,471 |  |  |
U.S. agency residential mortgage-backed securities | 5,512 |  |  | 5,127 |  |  |
Mortgage-backed securities | 2,047 |  |  | 1,693 |  |  |
Municipal securities | 622 |  |  | 541 |  |  |
Total due after 5 years through 10 years | 43,519 |  |  | 41,089 |  |  | 4.19 | %
Due after 10 years: |  |  |  |  |
U.S. agency residential mortgage-backed securities | 249,483 |  |  | 209,385 |  |  |
U.S. agency securities | 65,602 |  |  | 53,188 |  |  |
Mortgage-backed securities | 39,888 |  |  | 34,867 |  |  |
Other asset-backed securities | 12,696 |  |  | 11,995 |  |  |
Municipal securities | 2,645 |  |  | 1,969 |  |  |
Total due after 10 years | 370,314 |  |  | 311,404 |  |  | 2.69 | %
Total securities available for sale | $ | 579,704 |  |  | $ | 523,579 |  |  | 3.52 | %
(1) The weighted-average yield is computed using the amortized cost at June 30, 2023. There were no sales of AFS securities during the second quarters and first halves of 2023 and 2022

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