
	At December 31,
	2019														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	$	—	$	—	$	—	$	—	$	7,549	$	1	$	—	$	7,550
Agency CMO	184,500		2,218		(917)		185,801		238,968		412		(4,457)		234,923
Agency MBS	1,580,743		35,456		(4,035)		1,612,164		1,521,534		1,631		(42,076)		1,481,089
Agency CMBS	587,974		513		(6,935)		581,552		608,167		—		(41,930)		566,237
CMBS	432,085		38		(252)		431,871		447,897		645		(2,961)		445,581
CLO	92,628		45		(468)		92,205		114,641		94		(1,964)		112,771
Corporate debt	23,485		—		(1,245)		22,240		55,860		—		(5,281)		50,579
Total available-for-sale	$	2,901,415	$	38,270	$	(13,852)	$	2,925,833	$	2,994,616	$	2,783	$	(98,669)	$	2,898,730
Held-to-maturity:
Agency CMO	$	167,443	$	1,123	$	(1,200)	$	167,366	$	208,113	$	287	$	(5,255)	$	203,145
Agency MBS	2,957,900		60,602		(8,733)		3,009,769		2,517,823		8,250		(79,701)		2,446,372
Agency CMBS	1,172,491		6,444		(5,615)		1,173,320		667,500		53		(22,572)		644,981
Municipal bonds and notes	740,431		32,709		(21)		773,119		715,041		2,907		(18,285)		699,663
CMBS	255,653		2,278		(852)		257,079		216,943		405		(2,388)		214,960
Total held-to-maturity	$	5,293,918	$	103,156	$	(16,421)	$	5,380,653	$	4,325,420	$	11,902	$	(128,201)	$	4,209,121

The amount in the amortized cost columns in the table above includes OTTI related to certain CLO positions that were previously considered Covered Funds as defined by Section 619 of Dodd-Frank. The Company has taken measures to bring its CLO positions into compliance with these requirements.


	Years ended December 31,
(In thousands)	2019		2018		2017
Beginning balance	$	822	$	1,364	$	3,243
Reduction for investment securities called	—		(542)		(2,005)
Additions for OTTI not previously recognized in earnings	—		—		126
Ending balance	$	822	$	822	$	1,364

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 December 31, 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	$	36,447	$	(352)	$	32,288	$	(565)	9	$	68,735	$	(917)
Agency MBS	41,408		(193)		299,674		(3,842)		79	341,082		(4,035)
Agency CMBS	174,406		(1,137)		357,717		(5,798)		34	532,123		(6,935)
CMBS	355,260		(232)		7,480		(20)		29	362,740		(252)
CLO	—		—		43,232		(468)		2	43,232		(468)
Corporate debt	—		—		22,240		(1,245)		4	22,240		(1,245)
Total available-for-sale in an unrealized loss position	$	607,521	$	(1,914)	$	762,631	$	(11,938)	157	$	1,370,152	$	(13,852)
Held-to-maturity:
Agency CMO	$	26,480	$	(174)	$	54,602	$	(1,026)	11	$	81,082	$	(1,200)
Agency MBS	164,269		(1,165)		727,778		(7,568)		105	892,047		(8,733)
Agency CMBS	488,091		(5,591)		4,148		(24)		21	492,239		(5,615)
Municipal bonds and notes	2,508		(21)		—		—		1	2,508		(21)
CMBS	85,422		(852)		—		—		8	85,422		(852)
Total held-to-maturity in an unrealized loss position	$	766,770	$	(7,803)	$	786,528	$	(8,618)	146	$	1,553,298	$	(16,421)


	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)
Total 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)
Total held-to-maturity in an unrealized loss position	$	382,558	$	(3,069)	$	3,257,871	$	(125,132)	596	$	3,640,429	$	(128,201)

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 December 31, 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 December 31, 2019.

Agency CMO. There were unrealized losses of $0.9 million on the Company’s investment in Agency CMO at December 31, 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 $4.0 million on the Company’s investment in residential mortgage-backed securities issued by government agencies at December 31, 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 $6.9 million on the Company's investment in commercial mortgage-backed securities issued by government agencies at December 31, 2019, compared to $41.9 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.

CMBS. There were unrealized losses of $252 thousand on the Company’s investment in CMBS at December 31, 2019, compared to $3.0 million at December 31, 2018. The portfolio of mainly floating rate CMBS experienced reduced market spreads which resulted in higher market prices and lower unrealized losses while principal balances declined for this asset class since 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 $468 thousand on the Company’s investments in CLO at December 31, 2019 compared to $2.0 million of unrealized losses at December 31, 2018. Unrealized losses decreased due to reduced market spreads while principal balances decreased due to call activity and amortization for this asset class since 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 $1.2 million of unrealized losses on the Company's corporate debt portfolio at December 31, 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.

Agency CMO. There were unrealized losses of $1.2 million on the Company’s investment in Agency CMO at December 31, 2019, compared to $5.3 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 $8.7 million on the Company’s investment in residential mortgage-backed securities issued by government agencies at December 31, 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 $5.6 million on the Company’s investment in commercial mortgage-backed securities issued by government agencies at December 31, 2019, compared to $22.6 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.

Municipal bonds and notes. There were unrealized losses of $21 thousand on the Company’s investment in municipal bonds and notes at December 31, 2019, compared to $18.3 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. The Company performs periodic credit reviews of the issuers and the securities are currently performing as expected.

CMBS. There were unrealized losses of $852 thousand on the Company’s investment in CMBS at December 31, 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 for this asset class since December 31, 2018. Internal stress tests are performed on individual bonds to monitor potential losses under stress scenarios.

For the year ended December 31, 2019, proceeds from sales of available-for-sale securities were $70.1 million. These sales produced gross realized gains of $773 thousand and a gross realized loss of $744 thousand from the tender of a corporate debt security, which resulted in a net gain on sale of investment securities of $29 thousand. There were no sales during the years ended December 31, 2018 and 2017.


	At December 31, 2019
	Available-for-Sale						Held-to-Maturity
(In thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	—	$	—	$	1,084	$	1,088
Due after one year through five years	—		—		4,621		4,747
Due after five through ten years	299,979		299,531		245,473		249,501
Due after ten years	2,601,436		2,626,302		5,042,740		5,125,317
Total debt securities	$	2,901,415	$	2,925,833	$	5,293,918	$	5,380,653

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 December 31, 2019, the Company had a carrying value of $1.3 billion in callable debt 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.

Investment securities with a carrying value totaling $2.7 billion at December 31, 2019 and $2.2 billion at December 31, 2018 were pledged to secure public funds, trust deposits, repurchase agreements, and for other purposes, as required or permitted by law.