Notes to Consolidated Financial Statements
These interim consolidated financial statements have been prepared according to the rules and regulations of the SEC and, therefore, certain information and footnote disclosures normally presented in accordance with GAAP have been omitted or abbreviated. The information contained on the consolidated financial statements and footnotes in Associated Banc-Corp's 2021 Annual Report on Form 10-K should be referred to in connection with the reading of these unaudited interim consolidated financial statements.
Note 1 Basis of Presentation
In the opinion of management, the accompanying unaudited consolidated financial statements contain all adjustments necessary to present fairly the financial position, results of operations and comprehensive income, changes in stockholders’ equity, and cash flows of the Corporation and Parent Company for the periods presented, and all such adjustments are of a normal recurring nature. The consolidated financial statements include the accounts of all subsidiaries. All significant intercompany transactions and balances have been eliminated in consolidation. The results of operations for the interim periods are not necessarily indicative of the results to be expected for the full year.
In preparing the consolidated financial statements, management is required to make estimates and assumptions that affect the reported amounts of assets and liabilities as of the date of the balance sheet and revenues and expenses for the period. Actual results could differ significantly from those estimates. Estimates that are particularly susceptible to significant change include the determination of the ACLL and MSRs valuation. Management has evaluated subsequent events for potential recognition or disclosure.
Within the tables presented, certain columns and rows may not sum due to the use of rounded numbers for disclosure purposes.
Note 2 Acquisitions and Dispositions
Acquisitions:
The Corporation did not have any acquisitions during the first six months of 2022 or during 2021.
Dispositions:
2021
On March 1, 2021, the Corporation closed on the sale of its wealth management subsidiary, Whitnell, to Rockefeller for a purchase price of $8 million. Associated reported a first quarter 2021 pre-tax gain of $2 million, included in asset gains, net on the consolidated statements of income, in conjunction with the sale.
On February 26, 2021, the Bank completed the sale of one branch located in Monroe, Wisconsin to Summit Credit Union. Under the terms of the transaction, the Bank sold $31 million in total deposits and no loans. The Bank received an approximately 4% purchase premium on deposits transferred.
Note 3 Summary of Significant Accounting Policies
The accounting and reporting policies of the Corporation conform to U.S. GAAP and to general practice within the financial services industry. A discussion of these policies can be found in Note 1 Summary of Significant Accounting Policies included in the Corporation’s 2021 Annual Report on Form 10-K. As a result of the irrevocable election to account for MSRs under the fair value measurement methodology, as permitted under ASC 860-50-35-3, there has been a change to the Corporation's significant accounting policies since December 31, 2021, which is described below.
Mortgage Servicing Rights
The Corporation sells residential mortgage loans in the secondary market and typically retains the rights to service the loans sold. Upon sale, a MSRs asset is capitalized, which represents the then current fair value of future net cash flows expected to be realized for performing servicing activities. On January 1, 2022, the Corporation made the irrevocable election to account for its MSRs asset under the fair value measurement method. As a result of the change, a cumulative effect adjustment of $2 million, increasing retained earnings on the consolidated balance sheets, was recognized. Under this methodology, changes in the fair value are recognized in earnings as they occur through mortgage banking, net on the consolidated statements of income.
MSRs are not traded in active markets. A cash flow model is used to determine fair value. Key assumptions and estimates, including projected prepayment speeds, assumed servicing costs, ancillary income, costs to service delinquent loans, costs of foreclosure, and discount rates with option-adjusted spreads, used by this model are based on current market sources. Assumptions used to value MSRs are considered significant unobservable inputs. A separate third-party model is used to estimate prepayment speeds based on interest rates, housing turnover rates, estimated loan curtailment, anticipated defaults and other relevant factors. Fair value estimates from outside sources are received periodically to corroborate the results of the valuation model.
New Accounting Pronouncements Adopted
There were no applicable material accounting pronouncements adopted by the Corporation since December 31, 2021.
Future Accounting Pronouncements
The expected impact of applicable material accounting pronouncements recently issued or proposed but not yet required to be adopted are discussed in the table below. To the extent that the adoption of new accounting standards materially affects the Corporation's financial condition, results of operations, liquidity or disclosures, the impacts are discussed in the applicable sections of this financial review.
| | | | | | | | | | | |
| Standard | Description | Date of anticipated adoption | Effect on financial statements |
| | | |
| ASU 2022-02 Financial Instruments-Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures | The FASB issued these amendments to eliminate accounting guidance for TDRs by creditors in Subtopic 310-40, Receivables-Troubled Debt Restructurings by Creditors, while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors when a borrower is experiencing financial difficulty, and to require that an entity disclose current-period gross writeoffs by year of origination for financing receivables and net investments in leases within the scope of Subtopic 326-20, Financial Instruments-Credit Losses-Measured at Amortized Cost. The amendments in this Update are effective for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years, and should be applied prospectively, except as provided in the next sentence. For the transition method related to the recognition and measurement of TDRs, an entity has the option to apply a modified retrospective transition method, resulting in a cumulative-effect adjustment to retained earnings in the period of adoption. Early adoption is permitted if an entity has adopted the amendments in Update 2016-03, including adoption in an interim period. | 1st Quarter 2023 | Adoption of this amendment is not expected to have a material impact on the Corporation's results of operation, financial position or liquidity, but will result in additional disclosure requirements related to gross charge offs by vintage year and the removal of TDR disclosures, replaced by additional disclosures on the types of modifications of loans to borrowers experiencing financial difficulties. |
Note 4 Earnings Per Common Share
Earnings per common share are calculated utilizing the two-class method. Basic earnings per common share are calculated by dividing the sum of distributed earnings to common shareholders and undistributed earnings allocated to common shareholders by the weighted average number of common shares outstanding. Diluted earnings per common share are calculated by dividing the sum of distributed earnings to common shareholders and undistributed earnings allocated to common shareholders by the weighted average number of common shares outstanding adjusted for the dilutive effect of common stock awards (outstanding stock options and unvested restricted stock awards). Presented below are the calculations for basic and diluted earnings per common share: | | | | | | | | | | | | | | | | |
| | Three Months Ended Jun 30, | | Six Months Ended Jun 30, |
| (In Thousands, except per share data) | 2022 | | 2021 | | 2022 | 2021 |
| Net income | $ | 86,824 | | | $ | 91,007 | | | $ | 161,086 | | $ | 185,307 | |
| Preferred stock dividends | (2,875) | | | (4,875) | | | (5,750) | | (10,082) | |
| Net income available to common equity | $ | 83,949 | | | $ | 86,131 | | | $ | 155,336 | | $ | 175,226 | |
| Common shareholder dividends | (30,126) | | | (27,620) | | | (60,499) | | (55,280) | |
| Unvested share-based payment awards | (205) | | | (203) | | | (415) | | (412) | |
| Undistributed earnings | $ | 53,618 | | | $ | 58,309 | | | $ | 94,422 | | $ | 119,533 | |
| Undistributed earnings allocated to common shareholders | $ | 53,257 | | | $ | 57,887 | | | $ | 93,807 | | $ | 118,722 | |
| Undistributed earnings allocated to unvested share-based payment awards | 361 | | | 422 | | | 615 | | 810 | |
| Undistributed earnings | $ | 53,618 | | | $ | 58,309 | | | $ | 94,422 | | $ | 119,533 | |
| Basic | | | | | | |
| Distributed earnings to common shareholders | $ | 30,126 | | | $ | 27,620 | | | $ | 60,499 | | $ | 55,280 | |
| Undistributed earnings allocated to common shareholders | 53,257 | | | 57,887 | | | 93,807 | | 118,722 | |
| Total common shareholders earnings, basic | $ | 83,383 | | | $ | 85,506 | | | $ | 154,306 | | $ | 174,002 | |
| Diluted | | | | | | |
| Distributed earnings to common shareholders | $ | 30,126 | | | $ | 27,620 | | | $ | 60,499 | | $ | 55,280 | |
| Undistributed earnings allocated to common shareholders | 53,257 | | | 57,887 | | | 93,807 | | 118,722 | |
| Total common shareholders earnings, diluted | $ | 83,383 | | | $ | 85,506 | | | $ | 154,306 | | $ | 174,002 | |
| Weighted average common shares outstanding | 149,083 | | | 152,042 | | | 148,933 | | 152,198 | |
| Effect of dilutive common stock awards | 1,121 | | | 1,339 | | | 1,332 | | 1,275 | |
| | | | | | |
| Diluted weighted average common shares outstanding | 150,203 | | | 153,381 | | | 150,265 | | 153,473 | |
| Basic earnings per common share | $ | 0.56 | | | $ | 0.56 | | | $ | 1.04 | | $ | 1.14 | |
| Diluted earnings per common share | $ | 0.56 | | | $ | 0.56 | | | $ | 1.03 | | $ | 1.13 | |
Anti-dilutive common stock options of approximately 3 million for the three and six months ended June 30, 2022 and 2021 were excluded from the earnings per common share calculation.
Note 5 Stock-Based Compensation
The fair values of stock options and restricted stock awards are amortized as compensation expense on a straight-line basis over the vesting period of the grants. For colleagues who meet the definition of retirement eligible under the 2017 Incentive Compensation Plan and the 2020 Incentive Compensation Plan, expenses related to stock options and restricted stock awards are fully recognized on the date the colleague meets the definition of normal or early retirement. Compensation expense recognized is included in personnel expense on the consolidated statements of income.
A summary of the Corporation’s stock option activity for the six months ended June 30, 2022 is presented below: | | | | | | | | | | | | | | |
| Stock Options | Shares(a) | Weighted Average
Exercise Price | Weighted Average Remaining Contractual Term | Aggregate Intrinsic Value(a) |
| Outstanding at December 31, 2021 | 4,814 | | $ | 20.72 | | 5.96 years | $ | 12,532 | |
| | | | |
| Exercised | 367 | | 17.64 | | | |
| | | | |
| Outstanding at June 30, 2022 | 4,447 | | $ | 20.97 | | 5.56 years | $ | 1,770 | |
| Options Exercisable at June 30, 2022 | 3,805 | | $ | 21.28 | | 5.24 years | $ | 1,341 | |
(a) In thousands Intrinsic value represents the amount by which the fair market value of the underlying stock exceeds the exercise price of the stock option. For the six months ended June 30, 2022, the intrinsic value of stock options exercised was $3 million compared to $6 million for the six months ended June 30, 2021. For the six months ended June 30, 2022, the total fair value of stock options vested was $2 million compared to $3 million for the six months ended June 30, 2021.
The Corporation recognized compensation expense for the vesting of stock options of approximately $469,000 for the six months ended June 30, 2022, compared to approximately $755,000 for the six months ended June 30, 2021. Compensation expense for the six months ended June 30, 2022 related to accelerated vesting of stock options for retirement eligible colleagues was immaterial. At June 30, 2022, the Corporation had approximately $855,000 of unrecognized compensation expense related to stock options that is expected to be recognized over the remaining requisite service periods that extend predominately through the first quarter of 2024.
The Corporation also has issued time-based and performance-based restricted stock awards under the 2017 Incentive Compensation Plan and subsequent 2020 Incentive Compensation Plan. Performance awards are based on performance goals determined by the Corporation's Compensation and Benefits Committee, with vesting ranging from a minimum of 0% to a maximum of 150% of the target award. Performance awards are valued utilizing a Monte Carlo simulation model to estimate fair value of the awards at the grant date.
The following table summarizes information about the Corporation’s restricted stock awards activity for the six months ended June 30, 2022: | | | | | | | | |
| Restricted Stock Awards | Shares(a) | Weighted Average
Grant Date Fair Value |
| Outstanding at December 31, 2021 | 2,635 | | $ | 19.87 | |
| Granted | 673 | | 23.44 | |
| Vested | 754 | | 23.16 | |
| Forfeited | 22 | | 21.35 | |
| Outstanding at June 30, 2022 | 2,532 | | $ | 20.64 | |
(a) In thousands
The Corporation amortizes the expense related to restricted stock awards as compensation expense over the vesting period specified in the grant's award agreement. Performance-based restricted stock awards granted during 2021 and 2022 will cliff-vest after the three year performance period has ended. Service-based restricted stock awards granted during 2021 and 2022 will vest ratably over a period of four years. Expense for restricted stock awards of $10 million was recorded for the six months ended June 30, 2022 and $8 million was recorded for the six months ended June 30, 2021. Included in compensation expense for the first six months of 2022 was $3 million of expense for the accelerated vesting of restricted stock awards granted to retirement eligible colleagues. The Corporation had $27 million of unrecognized compensation costs related to restricted stock awards at June 30, 2022 that are expected to be recognized over the remaining requisite service periods that extend predominately through the first quarter of 2026.
The Corporation has the ability to issue shares from treasury or new shares upon the exercise of stock options or the granting of restricted stock awards. The Board of Directors has authorized management to repurchase shares of the Corporation’s common stock in the market, to be made available for issuance in connection with the Corporation’s employee incentive plans and for other corporate purposes. The repurchase of shares, if any, will be based on market and investment opportunities, capital levels, growth prospects, and regulatory constraints. Such repurchases may occur from time to time in open market purchases, block transactions, private transactions, accelerated share repurchase programs, or similar facilities.
Note 6 Investment Securities
Investment securities are designated as AFS, HTM, or equity on the consolidated balance sheets at the time of purchase. The amortized cost and fair values of AFS and HTM securities at June 30, 2022 were as follows: | | | | | | | | | | | | | | |
| ($ in Thousands) | Amortized
Cost | Gross
Unrealized
Gains | Gross
Unrealized
(Losses) | Fair Value |
|
|
| AFS investment securities | | | | |
| U. S. Treasury securities | $ | 124,365 | | $ | — | | $ | (11,256) | | $ | 113,109 | |
| Agency securities | 15,000 | | — | | (1,041) | | 13,959 | |
| Obligations of state and political subdivisions (municipal securities) | 361,712 | | 648 | | (3,518) | | 358,842 | |
| Residential mortgage-related securities | | | | |
| FNMA / FHLMC | 1,959,641 | | 547 | | (148,585) | | 1,811,603 | |
| GNMA | 87,779 | | — | | (1,542) | | 86,238 | |
| | | | |
| Commercial mortgage-related securities | | | | |
| FNMA / FHLMC | 19,207 | | — | | (601) | | 18,606 | |
| GNMA | 108,153 | | — | | (2,473) | | 105,680 | |
| Asset backed securities | | | | |
| FFELP | 168,357 | | — | | (7,092) | | 161,264 | |
| SBA | 5,287 | | 40 | | (45) | | 5,281 | |
| | | | |
| Other debt securities | 3,000 | | — | | (71) | | 2,929 | |
| Total AFS investment securities | $ | 2,852,501 | | $ | 1,234 | | $ | (176,224) | | $ | 2,677,511 | |
| HTM investment securities | | | | |
| U. S. Treasury securities | $ | 998 | | $ | — | | $ | (44) | | $ | 955 | |
| Obligations of state and political subdivisions (municipal securities) | 1,717,627 | | 4,002 | | (161,116) | | 1,560,514 | |
| Residential mortgage-related securities | | | | |
| FNMA / FHLMC | 967,421 | | 34,108 | | (125,444) | | 876,085 | |
| GNMA | 42,248 | | 37 | | (1,637) | | 40,649 | |
| Private-label | 375,638 | | 12,693 | | (54,490) | | 333,841 | |
| Commercial mortgage-related securities | | | | |
| FNMA/FHLMC | 762,086 | | 16,835 | | (131,851) | | 647,070 | |
| GNMA | 79,250 | | 799 | | (4,970) | | 75,079 | |
| Total HTM investment securities | $ | 3,945,269 | | $ | 68,474 | | $ | (479,551) | | $ | 3,534,192 | |
During the first quarter of 2022, the Corporation redesignated approximately $1.6 billion of mortgage-related securities from AFS to HTM. The reclassification of these investment securities was accounted for at fair value. Management elected to transfer these investment securities as the Corporation has the positive intent and ability to hold these investment securities to maturity. See Note 16 for additional information on the unrealized losses on investment securities transferred from AFS to HTM.
The amortized cost and fair values of AFS and HTM securities at December 31, 2021 were as follows: | | | | | | | | | | | | | | |
| ($ in Thousands) | Amortized
Cost | Gross
Unrealized
Gains | Gross
Unrealized
(Losses) | Fair Value |
|
|
| AFS investment securities | | | | |
| U. S. Treasury securities | $ | 124,291 | | $ | — | | $ | (1,334) | | $ | 122,957 | |
| Agency securities | 15,000 | | — | | (103) | | 14,897 | |
| Obligations of state and political subdivisions (municipal securities) | 381,517 | | 18,940 | | — | | 400,457 | |
| Residential mortgage-related securities | | | | |
| FNMA / FHLMC | 2,709,399 | | 3,729 | | (21,249) | | 2,691,879 | |
| GNMA | 66,189 | | 1,591 | | — | | 67,780 | |
| Private-label | 332,028 | | 31 | | (2,335) | | 329,724 | |
| Commercial mortgage-related securities | | | | |
| FNMA / FHLMC | 357,240 | | 2,686 | | (9,302) | | 350,623 | |
| GNMA | 165,439 | | 1,360 | | — | | 166,799 | |
| Asset backed securities | | | | |
| FFELP | 177,974 | | 475 | | (1,123) | | 177,325 | |
| SBA | 6,594 | | 39 | | (54) | | 6,580 | |
| Other debt securities | 3,000 | | — | | (6) | | 2,994 | |
| Total AFS investment securities | $ | 4,338,671 | | $ | 28,850 | | $ | (35,506) | | $ | 4,332,015 | |
| HTM investment securities | | | | |
| U. S. Treasury securities | $ | 1,000 | | $ | 1 | | $ | — | | $ | 1,001 | |
| Obligations of state and political subdivisions (municipal securities) | 1,628,759 | | 113,179 | | (1,951) | | 1,739,988 | |
| Residential mortgage-related securities | | | | |
| FNMA / FHLMC | 34,347 | | 1,792 | | — | | 36,139 | |
| GNMA | 48,053 | | 1,578 | | — | | 49,631 | |
| Commercial mortgage-related securities | | | | |
| FNMA / FHLMC | 425,937 | | 122 | | (6,659) | | 419,400 | |
| GNMA | 100,907 | | 1,799 | | (200) | | 102,506 | |
| Total HTM investment securities | $ | 2,239,003 | | $ | 118,471 | | $ | (8,809) | | $ | 2,348,664 | |
Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. The expected maturities of AFS and HTM securities at June 30, 2022, are shown below: | | | | | | | | | | | | | | |
| | AFS | HTM |
| ($ in Thousands) | Amortized
Cost | Fair
Value | Amortized
Cost | Fair
Value |
| Due in one year or less | $ | 6,905 | | $ | 6,895 | | $ | 15,582 | | $ | 15,627 | |
| Due after one year through five years | 98,473 | | 94,572 | | 34,915 | | 35,027 | |
| Due after five years through ten years | 361,344 | | 350,609 | | 169,413 | | 167,713 | |
| Due after ten years | 37,355 | | 36,762 | | 1,498,715 | | 1,343,101 | |
| Total debt securities | 504,077 | | 488,839 | | 1,718,625 | | 1,561,468 | |
| Residential mortgage-related securities | | | | |
| FNMA / FHLMC | 1,959,641 | | 1,811,603 | | 967,421 | | 876,085 | |
| GNMA | 87,779 | | 86,238 | | 42,248 | | 40,649 | |
| Private-label | — | | — | | 375,638 | | 333,841 | |
| Commercial mortgage-related securities | | | | |
| FNMA / FHLMC | 19,207 | | 18,606 | | 762,086 | | 647,070 | |
| GNMA | 108,153 | | 105,680 | | 79,250 | | 75,079 | |
| Asset backed securities | | | | |
| FFELP | 168,357 | | 161,264 | | — | | — | |
| SBA | 5,287 | | 5,281 | | — | | — | |
| | | | |
| Total investment securities | $ | 2,852,501 | | $ | 2,677,511 | | $ | 3,945,269 | | $ | 3,534,192 | |
| Ratio of fair value to amortized cost | | 93.9 | % | | 89.6 | % |
On a quarterly basis, the Corporation refreshes the credit quality of each HTM security. The following table summarizes the credit quality indicators of HTM securities at amortized cost at June 30, 2022: | | | | | | | | | | | | | | | | | | | | |
| ($ in Thousands) | AAA | AA | A | | | | Not Rated | Total |
| U. S. Treasury securities | $ | 998 | | $ | — | | $ | — | | | | | $ | — | | $ | 998 | |
| Obligations of state and political subdivisions (municipal securities) | 799,925 | | 908,098 | | 8,710 | | | | | 894 | | 1,717,627 | |
| Residential mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 967,421 | | — | | — | | | | | — | | 967,421 | |
| GNMA | 42,248 | | — | | — | | | | | — | | 42,248 | |
| Private-label | 375,638 | | — | | — | | | | | — | | 375,638 | |
| Commercial mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 762,086 | | — | | — | | | | | — | | 762,086 | |
| GNMA | 79,250 | | — | | — | | | | | — | | 79,250 | |
| Total HTM securities | $ | 3,027,567 | | $ | 908,098 | | $ | 8,710 | | | | | $ | 894 | | $ | 3,945,269 | |
The following table summarizes the credit quality indicators of HTM securities at amortized cost at December 31, 2021: | | | | | | | | | | | | | | | | | | | | |
| ($ in Thousands) | AAA | AA | A | | | | Not Rated | Total |
| U. S. Treasury securities | $ | 1,000 | | $ | — | | $ | — | | | | | $ | — | | $ | 1,000 | |
| Obligations of state and political subdivisions (municipal securities) | 702,399 | | 914,591 | | 10,873 | | | | | 896 | | 1,628,759 | |
| Residential mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 34,347 | | — | | — | | | | | — | | 34,347 | |
| GNMA | 48,053 | | — | | — | | | | | — | | 48,053 | |
| Commercial mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 425,937 | | — | | — | | | | | — | | 425,937 | |
| GNMA | 100,907 | | — | | — | | | | | — | | 100,907 | |
| Total HTM securities | $ | 1,312,642 | | $ | 914,591 | | $ | 10,873 | | | | | $ | 896 | | $ | 2,239,003 | |
Investment securities gains (losses), net includes proceeds from the sale of AFS investment securities. The proceeds from the sale of AFS investment securities for the three and six months ended June 30, 2022 and 2021, are shown below: | | | | | | | | | | | | | | |
| Three Months Ended Jun 30, | Six Months Ended Jun 30, |
| ($ in Thousands) | 2022 | 2021 | 2022 | 2021 |
| Gross gains on AFS securities | $ | — | | $ | 386 | | $ | 21 | | $ | 421 | |
| | | | |
| | | | |
| Gross (losses) on AFS securities | (8) | | (362) | | (8) | | (437) | |
| | | | |
| | | | |
| | | | |
| Investment securities gains (losses), net | $ | (8) | | $ | 24 | | $ | 12 | | $ | (16) | |
| Proceeds from sales of AFS investment securities | $ | 327 | | $ | 107,412 | | $ | 1,061 | | $ | 158,708 | |
During the second quarter of 2021, the Corporation sold $107 million of lower yielding FFELP student loan asset backed securities at an immaterial gain and reinvested the proceeds into higher yielding mortgage backed securities. During the first quarter of 2021, the Corporation sold $51 million of lower yielding U.S. Treasury and Agency securities at an immaterial loss to take advantage of the steeper yield curve by reinvesting the proceeds into similar but higher yielding, longer duration securities.
Investment securities with a carrying value of $2.6 billion and $2.3 billion at June 30, 2022 and December 31, 2021, respectively, were pledged to secure certain deposits or for other purposes.
Accrued interest receivable on HTM securities totaled $18 million and $15 million at June 30, 2022 and December 31, 2021, respectively. Accrued interest receivable on AFS securities totaled $7 million and $9 million at June 30, 2022 and December 31, 2021, respectively. Accrued interest receivable on both HTM and AFS securities is included in interest receivable on the consolidated balance sheets. There was no interest income reversed for investments going into nonaccrual at both June 30, 2022 and 2021.
A security is considered past due once it is 30 days past due under the terms of the agreement. At both June 30, 2022 and December 31, 2021, the Corporation had no past due HTM securities.
The allowance for credit losses on HTM securities was approximately $63,000 at June 30, 2022 and approximately $55,000 at December 31, 2021, attributable entirely to the Corporation's municipal securities, included in HTM investment securities, net, at amortized cost on the consolidated balance sheets. The Corporation also holds U.S. Treasury, municipal and mortgage-related securities issued by the U.S. government or a GSE which are backed by the full faith and credit of the U.S. government and, as a result, no allowance for credit losses has been recorded related to these securities.
The following represents gross unrealized losses and the related fair value of AFS and HTM securities, aggregated by investment category and length of time individual securities have been in a continuous unrealized loss position, at June 30, 2022: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or more | Total |
| ($ in Thousands) | Number
of
Securities | Unrealized
(Losses) | Fair
Value | Number
of
Securities | Unrealized
(Losses) | Fair
Value | Unrealized
(Losses) | Fair
Value |
| AFS investment securities | | | | | | | | |
| U.S. Treasury securities | 5 | | $ | (10,141) | | $ | 104,289 | | 2 | | $ | (1,115) | | $ | 8,820 | | $ | (11,256) | | $ | 113,109 | |
| Agency securities | 1 | | (1,041) | | 13,959 | | — | | — | | — | | (1,041) | | 13,959 | |
| Obligations of state and political subdivisions (municipal securities) | 373 | | (3,518) | | 224,804 | | — | | — | | — | | (3,518) | | 224,804 | |
| Residential mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 95 | | (125,142) | | 1,554,774 | | 8 | | (23,443) | | 222,626 | | (148,585) | | 1,777,400 | |
| GNMA | 17 | | (1,542) | | 86,238 | | — | | — | | — | | (1,542) | | 86,238 | |
| | | | | | | | |
| Commercial mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 1 | | (601) | | 18,606 | | — | | — | | — | | (601) | | 18,606 | |
| GNMA | 35 | | (2,473) | | 105,680 | | — | | — | | — | | (2,473) | | 105,680 | |
| Asset backed securities | | | | | | | | |
| FFELP | 6 | | (2,905) | | 72,610 | | 9 | | (4,187) | | 88,655 | | (7,092) | | 161,264 | |
| SBA | — | | — | | — | | 7 | | (45) | | 2,456 | | (45) | | 2,456 | |
| Other debt securities | 3 | | (71) | | 2,929 | | — | | — | | — | | (71) | | 2,929 | |
| | | | | | | | |
| Total | 536 | | $ | (147,433) | | $ | 2,183,889 | | 26 | | $ | (28,791) | | $ | 322,556 | | $ | (176,224) | | $ | 2,506,446 | |
| HTM investment securities | | | | | | | | |
| U.S. Treasury securities | 1 | | $ | (44) | | $ | 955 | | — | | $ | — | | $ | — | | $ | (44) | | $ | 955 | |
| Obligations of state and political subdivisions (municipal securities) | 717 | | (156,757) | | 1,127,009 | | 9 | | (4,359) | | 11,242 | | (161,116) | | 1,138,251 | |
| Residential mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 81 | | (125,444) | | 872,561 | | — | | — | | — | | (125,444) | | 872,561 | |
| GNMA | 74 | | (1,637) | | 40,113 | | — | | — | | — | | (1,637) | | 40,113 | |
| Private-label | 18 | | (54,490) | | 333,841 | | — | | — | | — | | (54,490) | | 333,841 | |
| Commercial mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 15 | | (119,046) | | 313,359 | | 7 | | (12,804) | | 68,980 | | (131,851) | | 382,339 | |
| GNMA | 33 | | (4,970) | | 339,810 | | — | | — | | — | | (4,970) | | 339,810 | |
| Total | 939 | | $ | (462,387) | | $ | 3,027,647 | | 16 | | $ | (17,163) | | $ | 80,222 | | $ | (479,551) | | $ | 3,107,869 | |
For comparative purposes, the following represents gross unrealized losses and the related fair value of AFS and HTM securities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, at December 31, 2021: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or more | Total |
| ($ in Thousands) | Number
of
Securities | Unrealized
(Losses) | Fair
Value | Number
of
Securities | Unrealized
(Losses) | Fair
Value | Unrealized
(Losses) | Fair
Value |
| AFS investment securities | | | | | | | | |
| U.S. Treasury securities | 7 | | $ | (1,334) | | $ | 122,957 | | — | | $ | — | | $ | — | | $ | (1,334) | | $ | 122,957 | |
| Agency securities | 1 | | (103) | | 14,897 | | — | | — | | — | | (103) | | 14,897 | |
| | | | | | | | |
| Residential mortgage-related securities | | | | | | | | |
| FNMA / FHLMC | 74 | | (21,249) | | 2,172,837 | | — | | — | | — | | (21,249) | | 2,172,837 | |
| | | | | | | | |
| Private-label | 12 | | (2,335) | | 248,617 | | — | | — | | — | | (2,335) | | 248,617 | |
| | | | | | | | |
| FNMA / FHLMC commercial mortgage-related securities | 19 | | (9,302) | | 328,568 | | — | | — | | — | | (9,302) | | 328,568 | |
| Asset backed securities | | | | | | | | |
| FFELP | 4 | | (256) | | 64,282 | | 8 | | (867) | | 62,576 | | (1,123) | | 126,858 | |
| SBA | — | | — | | — | | 9 | | (54) | | 3,902 | | (54) | | 3,902 | |
| Other debt securities | 3 | | (6) | | 2,994 | | — | | — | | — | | (6) | | 2,994 | |
| | | | | | | | |
| Total | 120 | | $ | (34,586) | | $ | 2,955,152 | | 17 | | $ | (920) | | $ | 66,478 | | $ | (35,506) | | $ | 3,021,630 | |
| HTM investment securities | | | | | | | | |
| Obligations of state and political subdivisions (municipal securities) | 49 | | $ | (1,951) | | $ | 112,038 | | — | | $ | — | | $ | — | | $ | (1,951) | | $ | 112,038 | |
| | | | | | | | |
| | | | | | | | |
| Commercial mortgage-related securities | | | | | | | | |
| FNMA/FHLMC | 18 | | (6,272) | | 388,072 | | 1 | | (387) | | 10,775 | | (6,659) | | 398,847 | |
| GNMA | 5 |