Investment Securities

3 Months Ended

Mar. 31, 2020

Debt Securities, Available-for-sale [Abstract]

Investment Securities

Investment Securities

Available-for-Sale Debt Securities

The following is a summary of available-for-sale debt securities at March 31, 2020: 

(in thousands)	Amortized Cost(1)		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
March 31, 2020
Available-for-sale debt securities:
Residential mortgage-backed securities	$	4,556	$	132	$	—		$	4,688
Tax-exempt asset-backed securities	178,872		12,602		—			191,474
Credit risk transfer securities	14,713		—		(6,698		)	8,015
Total	$	198,141	$	12,734	$	(6,698	)	$	204,177
December 31, 2019
Available-for-sale debt securities:
Residential mortgage-backed securities	$	4,991	$	275	$	—		$	5,266
Tax-exempt asset-backed securities	183,225		13,802		—			197,027
Credit risk transfer securities	14,713		—		(2,749		)	11,964
Total	$	202,929	$	14,077	$	(2,749	)	$	214,257

(1) Excludes accrued interest receivable of $1.7 million and $1.6 million at March 31, 2020 and December 31, 2019, respectively, that is recorded in accrued interest receivable and other assets.

The amortized cost and estimated fair value, excluding accrued interest receivable, of available-for-sale debt securities are presented below by contractual maturity:  

(in thousands, except percentage data)	Less Than One Year			After One Through Five Years			After Five Through Ten Years			After Ten Years			Total
March 31, 2020
Available-for-sale:
Residential mortgage-backed securities:(1)
Amortized cost	$	—		$	888		$	—		$	3,668		$	4,556
Estimated fair value	—			968			—			3,720			4,688
Weighted average yield(3)	—		%	5.54		%	—		%	4.22		%	4.48		%
Tax-exempt asset-backed securities:(1)
Amortized Cost	—			—			—			178,872			178,872
Estimated fair value	—			—			—			191,474			191,474
Weighted average yield(2)(3)	—		%	—		%	—		%	4.20		%	4.20		%
CRT securities:(1)
Amortized Cost	—			—			—			14,713			14,713
Estimated fair value	—			—			—			8,015			8,015
Weighted average yield(3)	—		%	—		%	—		%	1.63		%	1.63		%
Total available-for-sale debt securities:
Amortized cost													$	198,141
Estimated fair value													$	204,177
December 31, 2019
Available-for-sale:
Residential mortgage-backed securities:(1)
Amortized cost	$	—		$	1,005		$	—		$	3,986		$	4,991
Estimated fair value	—			1,088			—			4,178			5,266
Weighted average yield(3)	—		%	5.54		%	—		%	4.31		%	4.55		%
Tax-exempt asset-backed securities:(1)
Amortized Cost	—			—			—			183,225			183,225
Estimated fair value	—			—			—			197,027			197,027
Weighted average yield(2)(3)	—		%	—		%	—		%	4.20		%	4.20		%
CRT securities:(1)
Amortized Cost	—			—			—			14,713			14,713
Estimated fair value	—			—			—			11,964			11,964
Weighted average yield(3)	—		%	—		%	—		%	1.71		%	1.71		%
Total available-for-sale debt securities:
Amortized cost													$	202,929
Estimated fair value													$	214,257

(1) Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without prepayment penalties.

(2) Yields have been adjusted to a tax equivalent basis assuming a 21% federal tax rate.

(3) Yields are calculated based on amortized cost.

The following table discloses our available-for-sale debt securities that have been in a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 or more months:

	Less Than 12 Months					12 Months or Longer					Total
(in thousands)	Fair Value		Unrealized Loss			Fair Value		Unrealized Loss			Fair Value		Unrealized Loss
March 31, 2020
CRT securities	$	—	$	—		$	8,015	$	(6,698	)	$	8,015	$	(6,698	)
December 31, 2019
CRT securities	$	11,964	$	(2,749	)	$	—	$	—		$	11,964	$	(2,749	)

We conduct periodic reviews of securities with unrealized losses to evaluate whether the decline in fair value has resulted from credit losses or other factors. Based on the results of our periodic review, at March 31, 2020 management believes that unrealized losses on the CRT securities have resulted from factors not deemed credit-related and no allowance for credit loss was recorded. We have evaluated the near-term prospects of the CRT securities in relation to the severity of the non credit-related unrealized losses and adverse conditions related to the securities among other factors. Based on that evaluation management has determined that we have the ability and intent to hold the CRT securities until recovery of fair value and have recorded the non credit-related unrealized losses in AOCI.

Available-for-sale debt securities with carrying values of approximately $3.1 million and $1.5 million were pledged to secure certain customer repurchase agreements and deposits, respectively, at March 31, 2020. The comparative amounts at December 31, 2019 were $3.5 million and $1.2 million, respectively.

Equity Securities

Equity securities consist of Community Reinvestment Act funds and investments related to our non-qualified deferred compensation plan. At March 31, 2020 and December 31, 2019, we had $24.6 million and $25.6 million, respectively, in equity securities recorded at fair value. The following is a summary of unrealized and realized gains/(losses) recognized on equity securities and included in other non-interest income in the consolidated statements of income:

	Three months ended March 31,
(in thousands)	2020			2019
Net gains/(losses) recognized during the period	$	(2,977	)	$	1,266
Less: Realized net gains/(losses) recognized during the period on equity securities sold	(19		)	(30		)
Unrealized net gains/(losses) recognized during the period on equity securities still held	$	(2,958	)	$	1,296