

	At September 30, 2017									At December 31, 2016
(In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value		Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
Available-for-sale:
U.S. Treasury Bills	$	3,596	$	—	$	—		$	3,596	$	734	$	—	$	—		$	734
Agency CMO	332,341		2,573		(3,116		)	331,798		419,865		3,344		(3,503		)	419,706
Agency MBS	923,819		3,214		(14,056		)	912,977		969,460		4,398		(19,509		)	954,349
Agency CMBS	599,165		—		(14,205		)	584,960		587,776		63		(14,567		)	573,272
CMBS	402,015		1,539		(121		)	403,433		473,974		4,093		(702		)	477,365
CLO	273,172		1,572		(161		)	274,583		425,083		2,826		(519		)	427,390
Trust preferred	30,463		676		(202		)	30,937		30,381		—		(1,748		)	28,633
Corporate debt	48,334		674		(130		)	48,878		108,490		1,502		(350		)	109,642
Available-for-sale	$	2,612,905	$	10,248	$	(31,991	)	$	2,591,162	$	3,015,763	$	16,226	$	(40,898	)	$	2,991,091
Held-to-maturity:
Agency CMO	$	276,367	$	1,138	$	(3,030	)	$	274,475	$	339,455	$	1,977	$	(3,824	)	$	337,608
Agency MBS	2,549,500		24,275		(30,012		)	2,543,763		2,317,449		26,388		(41,768		)	2,302,069
Agency CMBS	708,229		280		(3,549		)	704,960		547,726		694		(1,348		)	547,072
Municipal bonds and notes	705,411		5,213		(13,150		)	697,474		655,813		4,389		(25,749		)	634,453
CMBS	257,361		3,394		(197		)	260,558		298,538		4,107		(411		)	302,234
Private Label MBS	443		2		—			445		1,677		12		—			1,689
Held-to-maturity	$	4,497,311	$	34,302	$	(49,938	)	$	4,481,675	$	4,160,658	$	37,567	$	(73,100	)	$	4,125,125

The balance of OTTI, included in the amortized cost columns above, is related to certain CLO positions that were previously considered Covered Funds as defined by Section 619 of the Dodd-Frank Act, commonly known as the Volcker Rule. The Company has taken measures to bring its CLO positions into conformance with the Volcker Rule.

During the nine months ended September 30, 2017, OTTI of $126 thousand, related to principal held back in conjunction with the exercise of a clean-up call option for a Private Label MBS security, was recognized. To the extent that changes occur in interest rates, credit movements, and other factors that impact fair value and expected recovery of amortized cost of its investment securities, the Company may, in future periods, be required to recognize OTTI in earnings.



	Three months ended September 30,						Nine months ended September 30,
(In thousands)	2017			2016			2017			2016
Beginning balance	$	3,231		$	3,437		$	3,243		$	3,288
Reduction for investment securities sold or called	(1,028		)	(30		)	(1,166		)	(30		)
Additions for OTTI not previously recognized in earnings	—			—			126			149
Ending balance	$	2,203		$	3,407		$	2,203		$	3,407



	At September 30, 2017
	Less Than Twelve Months					Twelve Months or Longer					Total
(Dollars in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			# of Holdings	Fair Value		Unrealized Losses
Available-for-sale:
Agency CMO	$	75,042	$	(1,002	)	$	70,167	$	(2,114	)	16	$	145,209	$	(3,116	)
Agency MBS	464,031		(5,169		)	303,770		(8,887		)	104	767,801		(14,056		)
Agency CMBS	306,025		(6,240		)	278,935		(7,965		)	34	584,960		(14,205		)
CMBS	39,775		(121		)	—		—			5	39,775		(121		)
CLO	82,989		(161		)	—		—			5	82,989		(161		)
Trust preferred	12,570		(97		)	4,574		(105		)	3	17,144		(202		)
Corporate debt	5,797		(87		)	1,825		(43		)	2	7,622		(130		)
Available-for-sale in an unrealized loss position	$	986,229	$	(12,877	)	$	659,271	$	(19,114	)	169	$	1,645,500	$	(31,991	)
Held-to-maturity:
Agency CMO	$	82,839	$	(880	)	$	83,103	$	(2,150	)	19	$	165,942	$	(3,030	)
Agency MBS	870,376		(7,948		)	775,331		(22,064		)	157	1,645,707		(30,012		)
Agency CMBS	570,781		(3,504		)	4,730		(45		)	45	575,511		(3,549		)
Municipal bonds and notes	123,965		(1,745		)	226,545		(11,405		)	140	350,510		(13,150		)
CMBS	40,150		(197		)	250		—			5	40,400		(197		)
Held-to-maturity in an unrealized loss position	$	1,688,111	$	(14,274	)	$	1,089,959	$	(35,664	)	366	$	2,778,070	$	(49,938	)



	At December 31, 2016
	Less Than Twelve Months					Twelve Months or Longer					Total
(Dollars in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			# of Holdings	Fair Value		Unrealized Losses
Available-for-sale:
Agency CMO	$	107,853	$	(2,168	)	$	67,351	$	(1,335	)	15	$	175,204	$	(3,503	)
Agency MBS	512,075		(10,503		)	252,779		(9,006		)	97	764,854		(19,509		)
Agency CMBS	554,246		(14,567		)	—		—			32	554,246		(14,567		)
CMBS	12,427		(24		)	63,930		(678		)	12	76,357		(702		)
CLO	49,946		(54		)	50,237		(465		)	5	100,183		(519		)
Trust preferred	—		—			28,633		(1,748		)	5	28,633		(1,748		)
Corporate debt	—		—			7,384		(350		)	2	7,384		(350		)
Available-for-sale in an unrealized loss position	$	1,236,547	$	(27,316	)	$	470,314	$	(13,582	)	168	$	1,706,861	$	(40,898	)
Held-to-maturity:
Agency CMO	$	163,439	$	(3,339	)	$	17,254	$	(485	)	16	$	180,693	$	(3,824	)
Agency MBS	1,394,623		(32,942		)	273,779		(8,826		)	150	1,668,402		(41,768		)
Agency CMBS	347,725		(1,348		)	—		—			25	347,725		(1,348		)
Municipal bonds and notes	384,795		(25,745		)	1,192		(4		)	196	385,987		(25,749		)
CMBS	60,768		(411		)	—		—			8	60,768		(411		)
Held-to-maturity in an unrealized loss position	$	2,351,350	$	(63,785	)	$	292,225	$	(9,315	)	395	$	2,643,575	$	(73,100	)

The following impairment analysis by investment security type, summarizes the basis for evaluating if investment securities within the Company’s available-for-sale and held-to-maturity portfolios have been impacted by OTTI. Unless otherwise noted for an investment security type, management does not intend to sell these investment securities and has determined, based upon available evidence, that it is more likely than not that the Company will not be required to sell these investment securities before the recovery of their amortized cost. As such, based on the following impairment analysis, the Company does not consider these investment securities, in unrealized loss positions, to be other-than-temporarily impaired at September 30, 2017.

Agency CMO. There were unrealized losses of $3.1 million on the Company’s investment in Agency CMO at September 30, 2017, compared to $3.5 million at December 31, 2016. Unrealized losses decreased due to lower principal balances for this asset class at September 30, 2017 compared to December 31, 2016. Market prices remained essentially unchanged. These investments are issued by a government agency or a government-sponsored agency and, therefore, are backed by certain government guarantees, either direct or indirect. The contractual cash flows for these investments are performing as expected, and there has been no change in the underlying credit quality.

Agency MBS. There were unrealized losses of $14.1 million on the Company’s investment in Agency MBS at September 30, 2017, compared to $19.5 million at December 31, 2016. Unrealized losses decreased due to lower principal balances for this asset class at September 30, 2017 compared to December 31, 2016. Market prices remained essentially unchanged. These investments are issued by a government agency or a government-sponsored agency and, therefore, are backed by certain government guarantees, either direct or indirect. The contractual cash flows for these investments are performing as expected, and there has been no change in the underlying credit quality.

Agency CMBS. There were unrealized losses of $14.2 million on the Company's investment in Agency CMBS at September 30, 2017, compared to $14.6 million at December 31, 2016. Unrealized losses decreased while principal balances remained essentially unchanged. Market prices were slightly higher at September 30, 2017 compared to December 31, 2016. These investments are issued by a government agency or a government-sponsored agency and, therefore, are backed by certain government guarantees, either direct or indirect. The contractual cash flows for these investments are performing as expected, and there has been no change in the underlying credit quality.

CMBS. There were unrealized losses of $0.1 million on the Company’s investment in CMBS at September 30, 2017, compared to $0.7 million at December 31, 2016. The portfolio of mainly floating rate CMBS experienced lower principal balances and lower market spreads which resulted in higher security prices and smaller unrealized losses at September 30, 2017 compared to December 31, 2016. Internal and external metrics are considered when evaluating potential OTTI. Internal stress tests are performed on individual bonds to monitor potential losses under stress scenarios. Contractual cash flows for these investments are performing as expected.

CLO. There were unrealized losses of $0.2 million on the Company's investment in CLO at September 30, 2017, compared to $0.5 million at December 31, 2016. Unrealized losses decreased due to lower principal balances and lower market spreads for the CLO portfolio at September 30, 2017 compared to December 31, 2016. Internal and external metrics are considered when evaluating potential OTTI. Contractual cash flows for these investments are performing as expected.

Trust preferred. There were unrealized losses of $0.2 million on the Company's investment in trust preferred at September 30, 2017, compared to $1.7 million at December 31, 2016. Unrealized losses decreased due to lower market spreads for this asset class, which resulted in higher security prices compared to December 31, 2016. The trust preferred portfolio consists of three floating rate investments issued by two different large capitalization money center financial institutions, which continue to service the debt. The Company performs periodic credit reviews of the issuer to assess the likelihood for ultimate recovery of amortized cost.

Corporate debt. There were $0.1 million unrealized losses on the Company's corporate debt at September 30, 2017, compared to $0.4 million at December 31, 2016. Unrealized losses decreased due to lower principal balances for this asset class at September 30, 2017 compared to December 31, 2016. Market prices remained essentially unchanged. The Company performs periodic credit reviews of the issuer to assess the likelihood for ultimate recovery of amortized cost.

Agency CMO. There were unrealized losses of $3.0 million on the Company’s investment in Agency CMO at September 30, 2017 compared to $3.8 million at December 31, 2016. Unrealized losses decreased due to lower principal balances for this asset class at September 30, 2017 compared to December 31, 2016. Market prices remained essentially unchanged. These investments are issued by a government agency or a government-sponsored agency and, therefore, are backed by certain government guarantees, either direct or indirect. The contractual cash flows for these investments are performing as expected, and there has been no change in the underlying credit quality.

Agency MBS. There were unrealized losses of $30.0 million on the Company’s investment in Agency MBS at September 30, 2017, compared to $41.8 million at December 31, 2016. Unrealized losses decreased due to lower principal balances for this asset class at September 30, 2017 compared to December 31, 2016. Market prices remained essentially unchanged. These investments are issued by a government agency or a government-sponsored agency and, therefore, are backed by certain government guarantees, either direct or indirect. There has been no change in the underlying credit quality, and the contractual cash flows are performing as expected.

Agency CMBS. There were unrealized losses of $3.5 million on the Company's investment in Agency CMBS at September 30, 2017, compared to $1.3 million at December 31, 2016. Unrealized losses increased due to lower prices on recently purchased ACMBS as principal balances increased at September 30, 2017 compared to December 31, 2016. These investments are issued by a government agency or a government-sponsored agency and, therefore, are backed by certain government guarantees, either direct or indirect. There has been no change in the underlying credit quality, and the contractual cash flows are performing as expected.

Municipal bonds and notes. There were unrealized losses of $13.2 million on the Company’s investment in municipal bonds and notes at September 30, 2017, compared to $25.7 million at December 31, 2016. Unrealized losses decreased due to lower market rates which resulted in higher prices at September 30, 2017. The Company performs periodic credit reviews of the issuers and these investments are currently performing as expected.

CMBS. There were unrealized losses of $0.2 million on the Company’s investment in CMBS at September 30, 2017, compared to $0.4 million at December 31, 2016. Unrealized losses were approximately the same, for the portfolio comprised mainly of seasoned fixed rate conduit transactions, at September 30, 2017 compared to December 31, 2016. Internal and external metrics are considered when evaluating potential OTTI. Internal stress tests are performed on individual bonds to monitor potential losses under stress scenarios. The contractual cash flows for these investments are performing as expected.

There were no sales during the three and nine months ended September 30, 2017, or the three months ended September 30, 2016. For the nine months ended September 30, 2016, there were sales resulting in proceeds of $259.3 million, with the related gross realized gains and gross realized losses of $2.9 million and $2.5 million, respectively.



	At September 30, 2017
	Available-for-Sale				Held-to-Maturity
(In thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	18,668	$	18,714	$	40,146	$	40,753
Due after one year through five years	40,246		40,748		13,410		13,684
Due after five through ten years	381,547		383,721		38,323		39,102
Due after ten years	2,172,444		2,147,979		4,405,432		4,388,136
Total debt securities	$	2,612,905	$	2,591,162	$	4,497,311	$	4,481,675

For the maturity schedule above, mortgage-backed securities and CLO, which are not due at a single maturity date, have been categorized based on the maturity date of the underlying collateral. Actual principal cash flows may differ from this maturity date presentation as borrowers have the right to prepay obligations with or without prepayment penalties.

At September 30, 2017, the Company had a carrying value of $1.2 billion in callable investment securities in its CMBS, CLO, and municipal bond portfolios. The Company considers prepayment risk in the evaluation of its interest rate risk profile. These maturities may not reflect actual durations, which may be impacted by prepayments.