XML 39 R28.htm IDEA: XBRL DOCUMENT v3.20.2
Investment Securities (Tables)
 9 Months Ended
Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Debt Securities, Held-to-maturity
A summary of the amortized cost, fair value, and allowance for credit losses on investment securities held-to-maturity is presented below:
At September 30, 2020
(In thousands)
Amortized
Cost (1)
Unrealized
Gains		Unrealized
Losses		Fair Value
Allowance (2)
Net Carrying Value
Agency CMO$116,020 $2,743 $(261)$118,502 $— $116,020 
Agency MBS2,595,711 155,221 (106)2,750,826 — 2,595,711 
Agency CMBS2,033,826 63,401 (599)2,096,628 — 2,033,826 
Municipal bonds and notes750,847 53,457 — 804,304 306 750,541 
CMBS227,030 9,126 — 236,156 — 227,030 
Held-to-maturity securities$5,723,434 $283,948 $(966)$6,006,416 $306 $5,723,128 

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 MBS2,957,900 60,602 (8,733)3,009,769 — 2,957,900 
Agency CMBS1,172,491 6,444 (5,615)1,173,320 — 1,172,491 
Municipal bonds and notes740,431 32,709 (21)773,119 — 740,431 
CMBS255,653 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 $18.5 million and $21.8 million at September 30, 2020 and December 31, 2019, respectively, 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 September 30, 2020Nine months ended September 30, 2020
(In thousands)Municipal bonds and notesMunicipal bonds and notes
Balance beginning of period$309$—
Adoption of ASU No. 2016-13 (CECL)—397
Recovery of credit losses(3)(91)
Balance end of period$306$306
The following table summarizes credit ratings for amortized cost of held-to-maturity debt securities according to their lowest public credit rating as of September 30, 2020:
Investment Grade
(In thousands)AaaAa1Aa2Aa3A1A2A3Baa2Not Rated
Agency CMOs$— $116,020 $— $— $— $— $— $— $— 
Agency MBS— 2,595,711 — — — — — — — 
Agency CMBS— 2,033,826 — — — — — — — 
Municipal bonds and notes209,751 165,261 201,423 117,320 41,697 8,663 2,066 285 4,381 
CMBS227,030 — — — — — — — — 
Total held-to-maturity$436,781 $4,910,818 $201,423 $117,320 $41,697 $8,663 $2,066 $285 $4,381 
The amortized cost and fair value of held-to-maturity debt securities by contractual maturity are set forth below:
At September 30, 2020
(In thousands)Amortized
Cost		Fair
Value
Due in one year or less$1,085 $1,089 
Due after one year through five years5,340 5,611 
Due after five through ten years279,056 295,103 
Due after ten years5,437,953 5,704,613 
Total held-to-maturity debt securities$5,723,434 $6,006,416 
Debt Securities, Available-for-sale
A summary of the amortized cost and fair value of available-for-sale securities is presented below:
 At September 30, 2020
(In thousands)
Amortized
Cost(1)
Unrealized
Gains		Unrealized
Losses
Fair Value(2)
Agency CMO$166,623 $6,908 $(177)$173,354 
Agency MBS1,446,100 81,533 (363)1,527,270 
Agency CMBS1,024,133 27,621 — 1,051,754 
CMBS464,071 794 (9,840)455,025 
CLO85,601 1 (1,241)84,361 
Corporate debt14,551 — (2,098)12,453 
Available-for-sale securities$3,201,079 $116,857 $(13,719)$3,304,217 
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 MBS1,580,743 35,456 (4,035)1,612,164
Agency CMBS587,974 513 (6,935)581,552
CMBS432,085 38 (252)431,871
CLO92,628 45 (468)92,205
Corporate debt23,485 — (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 $7.4 million and $8.1 million at September 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 September 30, 2020
 Less Than Twelve MonthsTwelve Months or LongerTotal
(Dollars in thousands)Fair
Value		Unrealized
Losses		Fair
Value		Unrealized
Losses		# of
Holdings		Fair
Value		Unrealized
Losses
Agency CMO$11,358 $(92)$7,935 $(85)3$19,293 $(177)
Agency MBS30,077 (208)11,591 (155)3041,668 (363)
Agency CMBS— — — — —— — 
CMBS407,322 (9,205)22,868 (635)38430,190 (9,840)
CLO65,711 (589)18,048 (652)483,759 (1,241)
Corporate debt3,892 (371)8,561 (1,727)312,453 (2,098)
Available-for-sale in unrealized loss position$518,360 $(10,465)$69,003 $(3,254)78$587,363 $(13,719)

 At December 31, 2019
 Less Than Twelve MonthsTwelve Months or LongerTotal
(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 MBS41,408 (193)299,674 (3,842)79341,082 (4,035)
Agency CMBS174,406 (1,137)357,717 (5,798)34532,123 (6,935)
CMBS355,260 (232)7,480 (20)29362,740 (252)
CLO— — 43,232 (468)243,232 (468)
Corporate debt— — 22,240 (1,245)422,240 (1,245)
Available-for-sale in unrealized loss position$607,521 $(1,914)$762,631 $(11,938)157$1,370,152 $(13,852)
The amortized cost and fair value of available-for-sale debt securities by contractual maturity are set forth below:
At September 30, 2020
(In thousands)Amortized
Cost		Fair
Value
Due in one year or less$— $— 
Due after one year through five years601 602 
Due after five through ten years263,579 257,909 
Due after ten years2,936,899 3,045,706 
Total available-for-sale debt securities$3,201,079 $3,304,217