
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Allowance for Credit Losses		Net Carrying Amount
December 31, 2021

Residential mortgage-backed securities	$	527,264	$	18,766	$	—	$	546,030	$	—	$	527,264
States and political subdivisions	1,220,573		41,141		101		1,261,613		(158)		1,220,415
Other	1,500		—		—		1,500		—		1,500
Total	$	1,749,337	$	59,907	$	101	$	1,809,143	$	(158)	$	1,749,179
December 31, 2020

Residential mortgage-backed securities	$	528,784	$	41,742	$	—	$	570,526	$	—	$	528,784
States and political subdivisions	1,415,549		65,321		—		1,480,870		(160)		1,415,389
Other	1,500		—		—		1,500		—		1,500
Total	$	1,945,833	$	107,063	$	—	$	2,052,896	$	(160)	$	1,945,673

All mortgage-backed securities included in the above table were issued by U.S. government agencies and corporations. The carrying value of held-to-maturity securities pledged to secure public funds, trust deposits, repurchase agreements and for other purposes, as required or permitted by law was $642.3 million and $659.2 million at December 31, 2021 and 2020, respectively. Accrued interest receivable on held-to-maturity securities totaled $18.4 million and $21.7 million at December 31, 2021 and 2020, respectively and is included in accrued interest receivable and other assets in the accompanying consolidated balance sheets.

From time to time, we have reclassified certain securities from available for sale to held to maturity. During 2019, we reclassified securities with an aggregate fair value of $377.8 million and an aggregate net unrealized gain of $3.3 million ($2.6 million, net of tax) on the date of the transfer. The net unamortized, unrealized gain remaining on transferred securities, including those transferred in 2019 and in years prior, included in accumulated other comprehensive income in the accompanying balance sheet totaled $2.5 million ($2.0 million, net of tax) at December 31, 2021 and $3.5 million ($2.8 million, net of tax) at December 31, 2020. This amount will be amortized out of accumulated other comprehensive income over the remaining life of the underlying securities as an adjustment of the yield on those securities.

The allowance for credit losses on held-to-maturity securities is a contra-asset valuation account that is deducted from the amortized cost basis of held-to-maturity securities to present the net amount expected to be collected. Management measures expected credit losses on held-to-maturity securities on a collective basis by major security type with each type sharing similar risk characteristics, and considers historical credit loss information that is adjusted for current conditions and reasonable and supportable forecasts. With regard to U.S. Treasury and residential mortgage-backed securities issued by the U.S. government, or agencies thereof, it is expected that the securities will not be settled at prices less than the amortized cost bases of the securities as such securities are backed by the full faith and credit of and/or guaranteed by the U.S. government. Accordingly, no allowance for credit losses has been recorded for these securities. With regard to securities issued by States and political subdivisions and other held-to-maturity securities, management considers (i) issuer bond ratings, (ii) historical loss rates for given bond

ratings, (iii) whether issuers continue to make timely principal and interest payments under the contractual terms of the securities, (iv) internal forecasts and (v) whether or not such securities are guaranteed by the Texas Permanent School Fund (“PSF”) or pre-refunded by the issuers.


	States and Political Subdivisions
	Not Guaranteed or Pre-Refunded		Guaranteed by the Texas PSF		Pre-Refunded		Total		Other Securities
Aaa/AAA	$	92,379	$	460,648	$	563,251	$	1,116,278	$	—
Aa/AA	104,295		—		—		104,295		—

Not rated	—		—		—		—		1,500
Total	$	196,674	$	460,648	$	563,251	$	1,220,573	$	1,500

Historical loss rates associated with securities having similar grades as those in our portfolio have generally not been significant. Furthermore, as of December 31, 2021, there were no past due principal or interest payments associated with these securities. The PSF is a sovereign wealth fund which serves to provide revenues for funding of public primary and secondary education in the State of Texas. Based upon (i) the PSF's AAA insurer financial strength rating, (ii) the PSF's substantial capitalization and excess guarantee capacity and (iii) a zero historical loss rate, no allowance for credit losses has been recorded for securities guaranteed by the PSF as there is no current expectation of credit losses related to these securities. Pre-refunded securities have been defeased by the issuer and are fully secured by cash and/or U.S. Treasury securities held in escrow for payment to holders when the underlying call dates of the securities are reached. Accordingly, no allowance for credit losses has been recorded for securities that have been defeased as there is no current expectation of credit losses related to these securities.


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Estimated Fair Value
December 31, 2021
U.S. Treasury	$	2,165,702	$	23,333	$	9,602	$	—	$	2,179,433

Residential mortgage-backed securities	4,059,692		31,662		25,089		—		4,066,265
States and political subdivisions	7,178,135		463,810		5,374		—		7,636,571
Other	42,359		—		—		—		42,359
Total	$	13,445,888	$	518,805	$	40,065	$	—	$	13,924,628

December 31, 2020
U.S. Treasury	$	1,084,542	$	35,091	$	—	$	—	$	1,119,633

Residential mortgage-backed securities	1,916,581		71,102		4		—		1,987,679
States and political subdivisions	6,683,927		603,975		—		—		7,287,902
Other	42,351		—		—		—		42,351
Total	$	9,727,401	$	710,168	$	4	$	—	$	10,437,565

All mortgage-backed securities included in the above table were issued by U.S. government agencies and corporations. At December 31, 2021 all of the securities in our available for sale municipal bond portfolio were issued by the State of Texas or political subdivisions or agencies within the State of Texas, of which approximately 76.6% are either guaranteed by the PSF or have been pre-refunded. Securities with limited marketability, such as stock in the Federal Reserve Bank and the Federal Home Loan Bank, are carried at cost and are reported as other available for sale securities in the table above. The carrying value of available-for-sale securities pledged to secure public funds, trust deposits, repurchase agreements and for other purposes, as required or permitted by law was $5.8 billion and $4.4 billion at December 31, 2021 and 2020, respectively. Accrued interest receivable on available-for-sale securities totaled $120.5 million and $111.0 million at December 31, 2021 and 2020, respectively, and is included in accrued interest receivable and other assets in the accompanying consolidated balance sheets.

The table below summarizes, as of December 31, 2021, securities available for sale in an unrealized loss position for which an allowance for credit losses has not been recorded, aggregated by type of security and length of time in a continuous unrealized loss position.


	Less than 12 Months				More than 12 Months				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
U.S. Treasury	$	684,242	$	9,602	$	—	$	—	$	684,242	$	9,602
Residential mortgage-backed securities	2,219,261		23,625		45,963		1,464		2,265,224		25,089
States and political subdivisions	364,056		5,074		5,675		300		369,731		5,374
Total	$	3,267,559	$	38,301	$	51,638	$	1,764	$	3,319,197	$	40,065

As of December 31, 2021, no allowance for credit losses has been recognized on available for sale securities in an unrealized loss position as management does not believe any of the securities are 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, management does not have the intent to sell any of the securities classified as available for sale in the table above and believes that it is more likely than not that we will not have to sell any such securities before a recovery of cost. 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.

Contractual Maturities. The following table summarizes the maturity distribution schedule of securities held to maturity and securities available for sale as of December 31, 2021. Mortgage-backed securities are included in maturity categories based on their stated maturity date. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Other securities classified as available for sale include stock in the Federal Reserve Bank and the Federal Home Loan Bank, which have no maturity date. These securities have been included in the total column only.


	Within 1 Year		1 - 5 Years		5 - 10 Years		After 10 Years		Total
Held To Maturity
Amortized Cost

Residential mortgage-backed securities	$	37	$	—	$	515,100	$	12,127	$	527,264
States and political subdivisions	464,112		180,373		73,808		502,280		1,220,573
Other	1,500		—		—		—		1,500
Total	$	465,649	$	180,373	$	588,908	$	514,407	$	1,749,337
Estimated Fair Value

Residential mortgage-backed securities	$	37	$	—	$	533,454	$	12,539	$	546,030
States and political subdivisions	468,685		185,458		74,729		532,741		1,261,613
Other	1,500		—		—		—		1,500
Total	$	470,222	$	185,458	$	608,183	$	545,280	$	1,809,143
Available For Sale
Amortized Cost
U. S. Treasury	$	—	$	1,030,591	$	943,417	$	191,694	$	2,165,702
Residential mortgage-backed securities	63		15,278		19,175		4,025,176		4,059,692
States and political subdivisions	86,485		1,611,040		808,323		4,672,287		7,178,135
Other	—		—		—		—		42,359
Total	$	86,548	$	2,656,909	$	1,770,915	$	8,889,157	$	13,445,888
Estimated Fair Value
U. S. Treasury	$	—	$	1,038,734	$	942,113	$	198,586	$	2,179,433
Residential mortgage-backed securities	64		15,954		19,624		4,030,623		4,066,265
States and political subdivisions	87,493		1,715,065		858,485		4,975,528		7,636,571
Other	—		—		—		—		42,359
Total	$	87,557	$	2,769,753	$	1,820,222	$	9,204,737	$	13,924,628