Investment Securities

3 Months Ended

Mar. 31, 2024

(3.) INVESTMENT SECURITIES

The amortized cost and fair value of investment securities are summarized below (in thousands):


	Amortized			Unrealized		Unrealized		Fair
	Cost			Gains		Losses		Value
March 31, 2024
Securities available for sale:
U.S. Government agency and government sponsored enterprises	$	24,535		$	—	$	2,783	$	21,752
U.S. Treasury Bills		64,698			—		1		64,697
Mortgage-backed securities:
Federal National Mortgage Association		440,860			—		65,445		375,415
Federal Home Loan Mortgage Corporation		393,249			292		64,018		329,523
Government National Mortgage Association		125,796			107		22,057		103,846
Collateralized mortgage obligations:
Federal National Mortgage Association		10,649			—		2,313		8,336
Federal Home Loan Mortgage Corporation		19,413			—		4,229		15,184
Government National Mortgage Association		4,469			142		—		4,611
Privately issued		—			397		—		397
Total mortgage-backed securities		994,436			938		158,062		837,312
Total available for sale securities	$	1,083,669		$	938	$	160,846	$	923,761
Securities held to maturity:
U.S. Government agency and government sponsored enterprises	$	16,551		$	—	$	674	$	15,877
State and political subdivisions		66,405			33		5,638		60,800
Mortgage-backed securities:
Federal National Mortgage Association		5,683			—		572		5,111
Federal Home Loan Mortgage Corporation		7,603			—		1,387		6,216
Government National Mortgage Association		19,736			—		2,071		17,665
Collateralized mortgage obligations:
Federal National Mortgage Association		10,851			—		876		9,975
Federal Home Loan Mortgage Corporation		13,450			—		980		12,470
Government National Mortgage Association		3,438			—		283		3,155
Total mortgage-backed securities		60,761			—		6,169		54,592
Total held to maturity securities		143,717		$	33	$	12,481	$	131,269
Allowance for credit losses – securities		(3	)
Total held to maturity securities, net	$	143,714
December 31, 2023
Securities available for sale:
U.S. Government agencies and government sponsored enterprises	$	24,535		$	—	$	2,724	$	21,811
Mortgage-backed securities:
Federal National Mortgage Association		449,418			—		61,219		388,199
Federal Home Loan Mortgage Corporation		402,399			488		59,665		343,222
Government National Mortgage Association		126,417			252		21,409		105,260
Collateralized mortgage obligations:
Federal National Mortgage Association		10,954			—		2,343		8,611
Federal Home Loan Mortgage Corporation		19,766			—		4,186		15,580
Government National Mortgage Association		4,501			221		—		4,722
Privately issued		—			325		—		325
Total mortgage-backed securities		1,013,455			1,286		148,822		865,919
Total available for sale securities	$	1,037,990		$	1,286	$	151,546	$	887,730

(3.) INVESTMENT SECURITIES (Continued)


	Amortized			Unrealized		Unrealized		Fair
	Cost			Gains		Losses		Value
December 31, 2023 (continued)
Securities held to maturity:
U.S. Government agencies and government sponsored enterprises	$	16,513		$	—	$	530	$	15,983
State and political subdivisions		68,854			34		5,106		63,782
Mortgage-backed securities:
Federal National Mortgage Association		5,729			—		467		5,262
Federal Home Loan Mortgage Corporation		7,648			—		1,269		6,379
Government National Mortgage Association		20,223			—		1,703		18,520
Collateralized mortgage obligations:
Federal National Mortgage Association		11,432			—		851		10,581
Federal Home Loan Mortgage Corporation		14,196			—		968		13,228
Government National Mortgage Association		3,565			—		270		3,295
Total mortgage-backed securities		62,793			—		5,528		57,265
Total held to maturity securities		148,160		$	34	$	11,164	$	137,030
Allowance for credit losses – securities		(4	)
Total held to maturity securities, net	$	148,156

The Company elected to exclude accrued interest receivable (“AIR”) from the amortized cost basis of debt securities disclosed throughout this footnote. For available for sale (“AFS”) debt securities, AIR totaled $2.0 million and $2.1 million as of March 31, 2024 and December 31, 2023, respectively. For held to maturity (“HTM”) debt securities, AIR totaled $783 thousand and $571 thousand as of March 31, 2024 and December 31, 2023, respectively. AIR is included in other assets on the Company’s consolidated statements of financial condition.

For the three months ended March 31, 2024 and 2023, provision for credit loss for HTM investment securities was less than $1 thousand in each period.

Investment securities with a total fair value of $1.02 billion and $845.2 million at March 31, 2024 and December 31, 2023, respectively, were pledged as collateral to secure public deposits and for other purposes required or permitted by law.

There were no sales of securities available for sale for the three months ended March 31, 2024 and 2023.

The scheduled maturities of securities available for sale and securities held to maturity at March 31, 2024 are shown below (in thousands). Actual expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations.


	Amortized		Fair
	Cost		Value
Debt securities available for sale:
Due in one year or less	$	64,727	$	64,726
Due from one to five years		40,836		37,238
Due after five years through ten years		131,967		116,668
Due after ten years		846,139		705,129
Total available for sale securities	$	1,083,669	$	923,761
Debt securities held to maturity:
Due in one year or less	$	25,506	$	25,331
Due from one to five years		28,882		28,036
Due after five years through ten years		29,400		26,387
Due after ten years		59,929		51,515
Total held to maturity securities	$	143,717	$	131,269

(3.) INVESTMENT SECURITIES (Continued)

Unrealized losses on investment securities for which an allowance for credit losses has not been recorded and the fair value of the related securities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, were as follows (in thousands):


	Less than 12 months				12 months or longer				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
	Value		Losses		Value		Losses		Value		Losses
March 31, 2024
Securities available for sale:
U.S. Government agencies and government sponsored enterprises	$	—	$	—	$	21,752	$	2,783	$	21,752	$	2,783
U.S. Treasury bills		64,697		1		—		—		64,697		1
Mortgage-backed securities:
Federal National Mortgage Association		—		—		375,415		65,445		375,415		65,445
Federal Home Loan Mortgage Corporation		—		—		303,577		64,018		303,577		64,018
Government National Mortgage Association		—		—		85,257		22,057		85,257		22,057
Collateralized mortgage obligations:
Federal National Mortgage Association		—		—		8,336		2,313		8,336		2,313
Federal Home Loan Mortgage Corporation		—		—		15,184		4,229		15,184		4,229
Government National Mortgage Association		—		—		—		—		—		—
Total mortgage-backed securities		—		—		787,769		158,062		787,769		158,062
Total available for sale securities		64,697		1		809,521		160,845		874,218		160,846
Total AFS debt securities with unrealized losses	$	64,697	$	1	$	809,521	$	160,845	$	874,218	$	160,846

December 31, 2023
Securities available for sale:
U.S. Government agencies and government sponsored enterprises	$	—	$	—	$	21,811	$	2,724	$	21,811	$	2,724
Mortgage-backed securities:
Federal National Mortgage Association		8		—		388,191		61,219		388,199		61,219
Federal Home Loan Mortgage Corporation		—		—		314,854		59,665		314,854		59,665
Government National Mortgage Association		—		—		86,475		21,409		86,475		21,409
Collateralized mortgage obligations:
Federal National Mortgage Association		—		—		8,611		2,343		8,611		2,343
Federal Home Loan Mortgage Corporation		—		—		15,580		4,186		15,580		4,186
Total mortgage-backed securities		8		—		813,711		148,822		813,719		148,822
Total available for sale securities		8		—		835,522		151,546		835,530		151,546
Total AFS debt securities with unrealized losses	$	8	$	—	$	835,522	$	151,546	$	835,530	$	151,546

(3.) INVESTMENT SECURITIES (Continued)

The total number of AFS securities positions in the investment portfolio in an unrealized loss position was 201 at both March 31, 2024 and December 31, 2023. At March 31, 2024, the Company had positions in 197 investment securities with a fair value of $809.5 million and a total unrealized loss of $160.8 million that had been in a continuous unrealized loss position for more than 12 months. At March 31, 2024, there were a total of four securities positions in the Company’s investment portfolio with a fair value of $64.7 million and a total unrealized loss of $1 thousand that had been in a continuous unrealized loss position for less than 12 months. At December 31, 2023, the Company had a position in 198 investment securities with a fair value of $835.5 million and a total unrealized loss of $151.5 million that had been in a continuous unrealized loss position for more than 12 months. At December 31, 2023, there were a total of three securities positions in the Company’s investment portfolio with a fair value of $8 thousand and a total unrealized loss of less than $1 thousand that had been in a continuous unrealized loss position for less than 12 months. The unrealized loss on investment securities was predominantly caused by changes in market interest rates subsequent to purchase. The fair value of the Company’s portfolio fluctuates as market interest rates change.

Securities Available for Sale

As of March 31, 2024 and December 31, 2023, no allowance for credit losses had been recognized on AFS securities in an unrealized loss position as management does not believe any of the securities were impaired due to reasons of credit quality. This is based upon our analysis of the underlying risk characteristics, including credit ratings, and other qualitative factors related to our available for sale securities and in consideration of our historical credit loss experience and internal forecasts. The issuers of these securities continue to make timely principal and interest payments under the contractual terms of the securities. Furthermore, the Company expects to recover the amortized cost basis of its investments and more than likely will not need to sell before the recovery period for operating purposes, with no impairment identified. As the portfolio is managed from a liquidity, earnings, and risk standpoint, sales from the AFS portfolio may be warranted based upon prevailing market factors. The unrealized losses are due to increases in market interest rates over the yields available at the time the underlying securities were purchased. The fair value is expected to recover as the securities approach their maturity date or repricing date or if market yields for such investments decline.

Securities Held to Maturity

The Company’s HTM investment securities include debt securities that are issued by U.S. government agencies or U.S. government-sponsored enterprises. These securities carry the explicit and/or implicit guarantee of the U.S. government, are widely recognized as “risk free,” and have a long history of zero credit loss. In addition, the Company’s HTM investment securities include debt securities that are issued by state and local government agencies, or municipal bonds.

The Company monitors the credit quality of our municipal bonds through the use of a credit rating agency or by ratings that are derived by an internal scoring model. The scoring methodology for the internally derived ratings is based on a series of financial ratios for the municipality being reviewed as compared to typical industry figures. This information is used to determine the financial strengths and weaknesses of the municipality, which is indicated with a numeric rating. This number is then converted into a letter rating to better match the system used by the credit rating agencies. As of March 31, 2024, $62.3 million of our municipal bonds were rated as an equivalent to Standard & Poor’s A/AA/AAA, with $4.1 million internally rated to be the equivalent of Standard & Poor’s A/AA/AAA rating. Additionally, no municipal bonds were rated below investment grade. As of December 31, 2023, $64.6 million of our municipal bonds were rated as an equivalent to Standard & Poor’s A/AA/AAA, with $4.2 million internally rated to be the equivalent of Standard & Poor’s A/AA/AAA rating, and no municipal bonds were rated below investment grade.

As of March 31, 2024 and December 31, 2023, the Company had no past due or nonaccrual held to maturity investment securities.