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Investment Securities
 9 Months Ended
Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment Securities
A summary of the amortized cost and fair value of investment securities is presented below:
 
At September 30, 2019
 
At December 31, 2018
(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
$
19,918

$
6

$
—

$
19,924

 
$
7,549

$
1

$
—

$
7,550

Agency CMO
198,917

2,704

(665
)
200,956

 
238,968

412

(4,457
)
234,923

Agency MBS
1,573,984

29,930

(5,078
)
1,598,836

 
1,521,534

1,631

(42,076
)
1,481,089

Agency CMBS
611,925

1,239

(2,814
)
610,350

 
608,167

—

(41,930
)
566,237

CMBS
403,782

182

(46
)
403,918

 
447,897

645

(2,961
)
445,581

CLO
95,099

73

(367
)
94,805

 
114,641

94

(1,964
)
112,771

Corporate debt
35,567

—

(4,253
)
31,314

 
55,860

—

(5,281
)
50,579

Available-for-sale
$
2,939,192

$
34,134

$
(13,223
)
$
2,960,103

 
$
2,994,616

$
2,783

$
(98,669
)
$
2,898,730

Held-to-maturity:




 
 
 
 
 
Agency CMO
$
179,773

$
1,430

$
(680
)
$
180,523

 
$
208,113

$
287

$
(5,255
)
$
203,145

Agency MBS
3,085,000

54,083

(11,249
)
3,127,834

 
2,517,823

8,250

(79,701
)
2,446,372

Agency CMBS
950,217

13,430

(1,569
)
962,078

 
667,500

53

(22,572
)
644,981

Municipal bonds and notes
742,844

33,780

(17
)
776,607

 
715,041

2,907

(18,285
)
699,663

CMBS
235,687

3,012

(36
)
238,663

 
216,943

405

(2,388
)
214,960

Held-to-maturity
$
5,193,521

$
105,735

$
(13,551
)
$
5,285,705

 
$
4,325,420

$
11,902

$
(128,201
)
$
4,209,121


Other-Than-Temporary Impairment
The amount in the amortized cost columns in the table above includes other-than-temporary impairment (OTTI) related to certain CLO positions that were previously considered Covered Funds as defined by Section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company has taken measures to bring its CLO positions into conformance with these requirements.
The following table presents activity for OTTI:
 
Three months ended September 30,
 
Nine months ended September 30,
(In thousands)
2019
 
2018
 
2019
 
2018
Beginning balance
$
822

 
$
1,103

 
$
822

 
$
1,364

Reduction for investment securities called
—

 
(281
)
 
—

 
(542
)
Ending balance
$
822

 
$
822

 
$
822

 
$
822

 
 
 
 
 
 
 
 


Fair Value and Unrealized Losses
The following tables provide information on fair value and unrealized losses for the individual investment securities with an unrealized loss, aggregated by classification and length of time that the individual investment securities have been in a continuous unrealized loss position:
 
At September 30, 2019
 
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
$
18,109

$
(146
)
 
$
35,751

$
(519
)
 
11
$
53,860

$
(665
)
Agency MBS
47,966

(33
)
 
419,082

(5,045
)
 
85
467,048

(5,078
)
Agency CMBS
—

—

 
461,840

(2,814
)
 
28
461,840

(2,814
)
CMBS
49,418

(35
)
 
3,489

(11
)
 
8
52,907

(46
)
CLO
18,405

(294
)
 
24,927

(73
)
 
2
43,332

(367
)
Corporate debt
7,787

(767
)
 
23,527

(3,486
)
 
7
31,314

(4,253
)
Available-for-sale in an unrealized loss position
$
141,685

$
(1,275
)
 
$
968,616

$
(11,948
)
 
141
$
1,110,301

$
(13,223
)
Held-to-maturity:
 
 
 
 
 
 
 
 
 
Agency CMO
$
15,744

$
(40
)
 
$
58,852

$
(640
)
 
8
$
74,596

$
(680
)
Agency MBS
183,181

(1,219
)
 
858,373

(10,030
)
 
119
1,041,554

(11,249
)
Agency CMBS
127,662

(1,552
)
 
4,187

(17
)
 
6
131,849

(1,569
)
Municipal bonds and notes
2,517

(17
)
 
—

—

 
1
2,517

(17
)
CMBS
46,610

(36
)
 
—

—

 
3
46,610

(36
)
Held-to-maturity in an unrealized loss position
$
375,714

$
(2,864
)
 
$
921,412

$
(10,687
)
 
137
$
1,297,126

$
(13,551
)
 
At December 31, 2018
 
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
$
15,524

$
(72
)
 
$
180,641

$
(4,385
)
 
36
$
196,165

$
(4,457
)
Agency MBS
321,678

(2,078
)
 
975,084

(39,998
)
 
184
1,296,762

(42,076
)
Agency CMBS
—

—

 
566,237

(41,930
)
 
37
566,237

(41,930
)
CMBS
343,457

(2,937
)
 
5,193

(24
)
 
39
348,650

(2,961
)
CLO
83,305

(1,695
)
 
14,873

(269
)
 
5
98,178

(1,964
)
Corporate debt
35,990

(1,820
)
 
14,589

(3,461
)
 
8
50,579

(5,281
)
Available-for-sale in an unrealized loss position
$
799,954

$
(8,602
)
 
$
1,756,617

$
(90,067
)
 
309
$
2,556,571

$
(98,669
)
Held-to-maturity:
 
 
 
 
 
 
 
 
 
Agency CMO
$
691

$
(1
)
 
$
182,396

$
(5,254
)
 
25
$
183,087

$
(5,255
)
Agency MBS
288,635

(1,916
)
 
1,892,951

(77,785
)
 
272
2,181,586

(79,701
)
Agency CMBS
—

—

 
635,284

(22,572
)
 
56
635,284

(22,572
)
Municipal bonds and notes
68,351

(882
)
 
414,776

(17,403
)
 
223
483,127

(18,285
)
CMBS
24,881

(270
)
 
132,464

(2,118
)
 
20
157,345

(2,388
)
Held-to-maturity in an unrealized loss position
$
382,558

$
(3,069
)
 
$
3,257,871

$
(125,132
)
 
596
$
3,640,429

$
(128,201
)

Impairment Analysis
The following impairment analysis summarizes the basis for evaluating if investment securities within the Company’s available-for-sale and held-to-maturity portfolios are other-than-temporarily impaired as of September 30, 2019. 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 any of these investment securities, in unrealized loss positions, to be other-than-temporarily impaired at September 30, 2019.
Available-for-Sale Securities
Agency CMO. There were unrealized losses of $0.7 million on the Company’s investment in Agency CMO securities issued by government agencies at September 30, 2019, compared to $4.5 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances decreased for this asset class since December 31, 2018. These investments are issued by a government or government sponsored agency and therefore, are backed by certain government guarantees, either direct or implicit. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
Agency MBS. There were unrealized losses of $5.1 million on the Company’s investment in Agency MBS securities issued by government agencies at September 30, 2019, compared to $42.1 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances increased for this asset class since December 31, 2018. These investments are issued by a government or government sponsored agency and therefore, are backed by certain government guarantees, either direct or implicit. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
Agency CMBS. There were unrealized losses of $2.8 million on the Company's investment in Agency Commercial Mortgage-Backed Securities (CMBS) issued by government agencies at September 30, 2019, compared to $41.9 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances increased for this asset class since December 31, 2018. These investments are issued by a government or government sponsored agency and therefore, are backed by certain government guarantees, either direct or implicit. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
CMBS. There were unrealized losses of $46 thousand on the Company’s investment in CMBS at September 30, 2019, compared to $3.0 million at December 31, 2018. Unrealized losses decreased due to reduced market spreads while balances decreased for the portfolio of mainly floating rate CMBS at September 30, 2019 compared to December 31, 2018. Internal stress tests are performed on individual bonds to monitor potential losses under stress scenarios. Contractual cash flows for the bonds continue to perform as expected.
CLO. There were unrealized losses of $0.4 million on the Company’s investments in CLO at September 30, 2019 compared to $2.0 million unrealized losses at December 31, 2018. Unrealized losses decreased due to reduced market spreads while principal decreased from December 31, 2018. Internal stress tests are performed on individual bonds to monitor potential losses under stress scenarios. Contractual cash flows for the bonds continue to perform as expected.
Corporate debt. There were unrealized losses of $4.3 million on the Company's corporate debt portfolio at September 30, 2019, compared to $5.3 million at December 31, 2018. Unrealized losses decreased due to reduced market spreads while principal balances decreased since December 31, 2018. The Company performs periodic credit reviews of the issuer to assess the likelihood for ultimate recovery of amortized cost. Contractual cash flows for the bonds continue to perform as expected.
Held-to-Maturity Securities
Agency CMO. There were unrealized losses of $0.7 million on the Company’s investment in Agency CMO securities issued by government agencies at September 30, 2019, compared to $5.3 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances decreased since December 31, 2018. These investments are issued by a government or government sponsored agency and therefore, are backed by certain government guarantees, either direct or implicit. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
Agency MBS. There were unrealized losses of $11.2 million on the Company’s investment Agency MBS securities issued by government agencies at September 30, 2019, compared to $79.7 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances increased for this asset class since December 31, 2018. These investments are issued by a government or government sponsored agency and therefore, are backed by certain government guarantees, either direct or implicit. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
Agency CMBS. There were unrealized losses of $1.6 million on the Company’s investment in Agency CMBS at September 30, 2019, compared to $22.6 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances increased since December 31, 2018. These investments are issued by a government or government sponsored agency and therefore, are backed by certain government guarantees, either direct or implicit. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
Municipal bonds and notes. There were unrealized losses of $17 thousand on the Company’s investment in municipal bonds and notes at September 30, 2019, compared to $18.3 million at December 31, 2018. Unrealized losses decreased due to lower market rates while principal balances increased since December 31, 2018. The Company performs periodic credit reviews of the issuers and the securities are currently performing as expected.
CMBS. There were unrealized losses of $36 thousand on the Company’s investment in CMBS at September 30, 2019, compared to $2.4 million unrealized losses at December 31, 2018. Unrealized losses decreased due to lower market rates on mainly seasoned fixed rate conduit transactions while principal balances increased since December 31, 2018. Internal stress tests are performed on individual bonds to monitor potential losses under stress scenarios. There has been no change in the credit quality, and the contractual cash flows are performing as expected.
Sales of Available-for Sale Investment Securities
 

There were no sales during the three and nine months ended September 30, 2019 and 2018.
Contractual Maturities
The amortized cost and fair value of debt securities by contractual maturity are set forth below:
 
At September 30, 2019
 
Available-for-Sale
 
Held-to-Maturity
(In thousands)
Amortized
Cost
Fair
Value
 
Amortized
Cost
Fair
Value
Due in one year or less
$
19,918

$
19,924

 
$
1,045

$
1,049

Due after one year through five years
17,000

17,000

 
6,260

6,392

Due after five through ten years
305,691

305,533

 
222,076

228,011

Due after ten years
2,596,583

2,617,646

 
4,964,140

5,050,253

Total debt securities
$
2,939,192

$
2,960,103

 
$
5,193,521

$
5,285,705


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, 2019, the Company had a carrying value of $1.3 billion in callable debt securities in its CMBS, CLO, and municipal bond portfolios. These maturities may change due to calls. The Company considers this prepayment risk in the evaluation of its interest rate risk profile.
Investment securities with a carrying value totaling $3.0 billion at September 30, 2019 and $2.2 billion December 31, 2018 were pledged to secure public funds, trust deposits, repurchase agreements, and for other purposes, as required or permitted by law.