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Investment Securities (Tables)

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

A summary of the amortized cost, fair value, and allowance for credit losses on investment securities held-to-maturity is presented below:


	At June 30, 2020
(In thousands)	Amortized Cost ⁽¹⁾		Unrealized Gains		Unrealized Losses		Fair Value		Allowance ⁽²⁾		Net Carrying Value
Agency CMO	$	138,529	$	3,469	$	(223)	$	141,775	$	—	$	138,529
Agency MBS	2,766,764		148,003		(73)		2,914,694		—		2,766,764
Agency CMBS	1,585,929		60,543		—		1,646,472		—		1,585,929
Municipal bonds and notes	752,537		49,298		—		801,835		309		752,228
CMBS	233,367		7,416		—		240,783		—		233,367
Held-to-maturity securities	$	5,477,126	$	268,729	$	(296)	$	5,745,559	$	309	$	5,476,817


	At December 31, 2019
(In thousands)	Amortized Cost ⁽¹⁾		Unrealized Gains		Unrealized Losses		Fair Value		Allowance ⁽²⁾		Net Carrying Value
Agency CMO	$	167,443	$	1,123	$	(1,200)	$	167,366	$	—	$	167,443
Agency MBS	2,957,900		60,602		(8,733)		3,009,769		—		2,957,900
Agency CMBS	1,172,491		6,444		(5,615)		1,173,320		—		1,172,491
Municipal bonds and notes	740,431		32,709		(21)		773,119		—		740,431
CMBS	255,653		2,278		(852)		257,079		—		255,653
Held-to-maturity securities	$	5,293,918	$	103,156	$	(16,421)	$	5,380,653	$	—	$	5,293,918

(1)Amortized cost excludes accrued interest receivable of $21.8 million at both June 30, 2020 and December 31, 2019, which is included in accrued interest and other assets in the consolidated balance sheet.

(2)The Company adopted the new accounting standard for credit losses on January 1, 2020. For periods subsequent to adoption Allowance is calculated under the CECL methodology and the resulting provision includes expected credit losses on held-to-maturity securities. The prior period did not have an allowance under applicable GAAP for that period.

The following table summarizes the activity in the allowance for credit losses on investment securities held-to-maturity:


	Three months ended		Six months ended
	June 30, 2020		June 30, 2020
(In thousands)	Municipal bonds and notes		Municipal bonds and notes
Balance beginning of period	$	312	$	—
Adoption of ASU No. 2016-13 (CECL)	—		397
Recovery of credit losses	(3)		(88)
Balance end of period	$	309	$	309

The following table summarizes credit ratings for amortized cost of held-to-maturity debt securities according to their lowest public credit rating as of June 30, 2020:


	Investment Grade
(In thousands)	Aaa		Aa1		Aa2		Aa3		A1		A2		A3		Baa2		Not Rated
Agency CMOs	$	—	$	138,529	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Agency MBS	—		2,766,764		—		—		—		—		—		—		—
Agency CMBS	—		1,585,929		—		—		—		—		—		—		—
Municipal bonds and notes	210,126		165,467		201,773		117,544		42,227		8,667		2,066		285		4,382
CMBS	233,367		—		—		—		—		—		—		—		—
Total held-to-maturity	$	443,493	$	4,656,689	$	201,773	$	117,544	$	42,227	$	8,667	$	2,066	$	285	$	4,382

The amortized cost and fair value of held-to-maturity debt securities by contractual maturity are set forth below:


	At June 30, 2020
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	1,085	$	1,089
Due after one year through five years	5,833		6,130
Due after five through ten years	264,751		277,660
Due after ten years	5,205,457		5,460,680
Total held-to-maturity debt securities	$	5,477,126	$	5,745,559

Debt Securities, Available-for-sale

A summary of the amortized cost and fair value of available-for-sale securities is presented below:


	At June 30, 2020
(In thousands)	Amortized Cost⁽¹⁾		Unrealized Gains		Unrealized Losses		Fair Value⁽²⁾

Agency CMO	$	182,484	$	7,339	$	(220)	$	189,603
Agency MBS	1,512,525		75,054		(343)		1,587,236
Agency CMBS	827,782		27,131		—		854,913
CMBS	472,418		433		(16,597)		456,254
CLO	86,705		6		(2,228)		84,483
Corporate debt	14,544		—		(3,409)		11,135
Available-for-sale securities	$	3,096,458	$	109,963	$	(22,797)	$	3,183,624

	At December 31, 2019
(In thousands)	Amortized Cost⁽¹⁾		Unrealized Gains		Unrealized Losses		Fair Value⁽²⁾

Agency CMO	$	184,500	$	2,218	$	(917)	$	185,801
Agency MBS	1,580,743		35,456		(4,035)		1,612,164
Agency CMBS	587,974		513		(6,935)		581,552
CMBS	432,085		38		(252)		431,871
CLO	92,628		45		(468)		92,205
Corporate debt	23,485		—		(1,245)		22,240
Available-for-sale securities	$	2,901,415	$	38,270	$	(13,852)	$	2,925,833

(1)Amortized cost excludes accrued interest receivable of $7.7 million and $8.1 million at June 30, 2020 and December 31, 2019, respectively, which is included in accrued interest and other assets in the consolidated balance sheet.

(2)Fair value represents net carrying value as there is no allowance for credit losses recorded on investment securities available-for-sale, as the securities are high credit quality, investment grade.

The following tables provide information on fair value and unrealized losses for the individual available-for-sale securities with an unrealized loss, for which an allowance for credit losses on investment securities available-for-sale has not been recorded, aggregated by classification and length of time that the individual investment securities have been in a continuous unrealized loss position:


	At June 30, 2020
	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

Agency CMO	$	13,657	$	(118)	$	9,339	$	(102)	3	$	22,996	$	(220)
Agency MBS	28,377		(149)		13,154		(194)		27	41,531		(343)
Agency CMBS	—		—		—		—		—	—		—
CMBS	424,793		(16,204)		7,107		(393)		40	431,900		(16,597)
CLO	64,791		(1,509)		17,982		(719)		4	82,773		(2,228)
Corporate debt	3,480		(779)		7,655		(2,630)		3	11,135		(3,409)
Available-for-sale in unrealized loss position	$	535,098	$	(18,759)	$	55,237	$	(4,038)	77	$	590,335	$	(22,797)


	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

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)
Available-for-sale in unrealized loss position	$	607,521	$	(1,914)	$	762,631	$	(11,938)	157	$	1,370,152	$	(13,852)

The amortized cost and fair value of available-for-sale debt securities by contractual maturity are set forth below:


	At June 30, 2020
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	—	$	—
Due after one year through five years	1,705		1,710
Due after five through ten years	264,913		255,748
Due after ten years	2,829,840		2,926,166
Total available-for-sale debt securities	$	3,096,458	$	3,183,624