SECURITIES (Tables)

12 Months Ended

Dec. 31, 2011

Summary of Portfolio of Securities Available for Sale

The following table summarizes the Company’s portfolio of securities available for sale at December 31, 2011:

	December 31, 2011
(in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Mortgage-Related Securities:
GSE certificates	$	97,642	$	5,013	$	10	$	102,645
GSE CMOs(1)		62,373		2,903		—		65,276
Private label CMOs		25,306		—		1,265		24,041
Total mortgage-related securities	$	185,321	$	7,916	$	1,275	$	191,962
Other Securities:
GSE debentures	$	456,969	$	1,797	$	—	$	458,766
State, county, and municipal		1,188		97		—		1,285
Capital trust notes		36,754		141		4,692		32,203
Preferred stock		—		195		—		195
Common stock		42,863		1,604		4,216		40,251
Total other securities	$	537,774	$	3,834	$	8,908	$	532,700
Total securities available for sale(2)	$	723,095	$	11,750	$	10,183	$	724,662

(1) Collateralized mortgage obligations

(2) The non-credit portion of OTTI recorded in AOCL was $570,000 (before taxes).

As of December 31, 2011, the fair value of marketable equity securities included common stock of $40.3 million and Freddie Mac preferred stock of $195,000. The common stock primarily consisted of an investment in a large cap equity fund and certain other funds that are Community Reinvestment Act (“CRA”) eligible. The Freddie Mac preferred stock was recognized by the Company as other-than-temporarily impaired in the fourth quarter of 2008.

The following table summarizes the Company’s portfolio of securities available for sale at December 31, 2010:

	December 31, 2010
(in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Mortgage-Related Securities:
GSE certificates	$	203,480	$	8,067	$	32	$	211,515
GSE CMOs		213,839		8,464		—		222,303
Private label CMOs		51,657		110		405		51,362
Total mortgage-related securities	$	468,976	$	16,641	$	437	$	485,180
Other Securities:
U.S. Treasury obligations	$	57,859	$	694	$	—	$	58,553
GSE debentures		620		—		—		620
Corporate bonds		4,814		—		564		4,250
State, county, and municipal		1,304		41		11		1,334
Capital trust notes		38,843		8,550		5,389		42,004
Preferred stock		30,574		2,129		11,964		20,739
Common stock		42,044		3,786		5,554		40,276
Total other securities	$	176,058	$	15,200	$	23,482	$	167,776
Total securities available for sale(1)	$	645,034	$	31,841	$	23,919	$	652,956

(1) The non-credit portion of OTTI recorded in AOCL was $12.5 million (before taxes).

Summary of Portfolio of Securities Held to Maturity

The following tables summarize the Company’s portfolio of securities held to maturity at December 31, 2011 and 2010:

	December 31, 2011
(in thousands)	Amortized Cost		Carrying Amount		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Mortgage-Related Securities:
GSE certificates	$	660,945	$	660,945	$	47,064	$	—	$	708,009
GSE CMOs		2,331,916		2,331,916		93,216		—		2,425,132
Other mortgage-related securities		3,379		3,379		—		—		3,379
Total mortgage-related securities	$	2,996,240	$	2,996,240	$	140,280	$	—	$	3,136,520
Other Securities:
GSE debentures	$	633,258	$	633,258	$	14,878	$	146	$	647,990
Corporate bonds		54,759		54,759		2,826		12		57,573
Capital trust notes		153,334		131,597		12,362		19,857		124,102
Total other securities	$	841,351	$	819,614	$	30,066	$	20,015	$	829,665
Total securities held to maturity(1)	$	3,837,591	$	3,815,854	$	170,346	$	20,015	$	3,966,185

(1) Held-to-maturity securities are reported at a carrying amount equal to amortized cost less the non-credit portion of OTTI recorded in AOCL. The non-credit portion of OTTI recorded in AOCL was $21.7 million (before taxes).

	December 31, 2010
(in thousands)	Amortized Cost		Carrying Amount		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Mortgage-Related Securities:
GSE certificates	$	208,993	$	208,993	$	12,206	$	1,094	$	220,105
GSE CMOs		2,763,545		2,763,545		47,352		28,345		2,782,552
Other mortgage-related securities		6,777		6,777		—		—		6,777
Total mortgage-related securities	$	2,979,315	$	2,979,315	$	59,558	$	29,439	$	3,009,434
Other Securities:
GSE debentures	$	924,663	$	924,663	$	4,524	$	10,592	$	918,595
Corporate bonds		86,483		86,483		8,647		13		95,117
Capital trust notes		167,355		145,474		11,410		22,708		134,176
Total other securities	$	1,178,501	$	1,156,620	$	24,581	$	33,313	$	1,147,888
Total securities held to maturity(1)	$	4,157,816	$	4,135,935	$	84,139	$	62,752	$	4,157,322

(1) The non-credit portion of OTTI recorded in AOCL was $21.9 million (before taxes).

Summary of Gross Proceeds, Gross Realized Gains, and Gross Realized Losses from Sale of Available-for-Sale Securities

The following table summarizes the gross proceeds, gross realized gains, and gross realized losses from the sale of available-for-sale securities during the years ended December 31, 2011, 2010, and 2009:

	December 31,
(in thousands)	2011		2010		2009
Gross proceeds	$	862,755	$	23,098	$	10,338
Gross realized gains		28,116		22,438		338
Gross realized losses		11		8		—

Pooled Trust Preferred Securities that have at Least One Credit Rating Below Investment Grade

The following table details the pooled trust preferred securities that had at least one credit rating below investment grade as of December 31, 2011:

	INCAPS Funding I			Alesco Preferred Funding VII Ltd.			Preferred Term Securities II
(dollars in thousands)	Class B-2 Notes			Class C-1 Notes			Mezzanine Notes
Book value	$	14,964		$	553		$	629
Fair value		14,887			266			753
Unrealized (loss) gain		(77	)		(287	)		124
Lowest credit rating assigned to security		CCC-			C			C
Number of banks/insurance companies currently performing		24			59			24
Actual deferrals and defaults as a percentage of original collateral		11	%		33	%		36	%
Expected deferrals and defaults as a percentage of remaining performing collateral		24			25			19
Expected recoveries as a percentage of remaining performing collateral		—			—			2
Excess subordination as a percentage of remaining performing collateral		11			—			—

Changes in Credit Loss Component of Credit-Impaired Debt Securities

The following table presents a roll-forward, from December 31, 2010 through December 31, 2011, of the credit loss component of OTTI on debt securities for which a non-credit component of OTTI was recognized in AOCL. The beginning balance represents the credit loss component for debt securities for which OTTI occurred prior to January 1, 2011. For credit-impaired debt securities, OTTI recognized in earnings after that date is presented as an addition in two components, based upon whether the current period was the first time a debt security was credit-impaired (initial credit impairment) or was not the first time a debt security was credit-impaired (subsequent credit impairment).

(in thousands)	For the Twelve Months Ended December 31, 2011
Beginning credit loss amount as of December 31, 2010	$	201,854
Add: Initial other-than-temporary credit losses		—
Subsequent other-than-temporary credit losses		6,160
Amount previously recognized in AOCL		11,964
Less: Realized losses for securities sold		—
Securities intended or required to be sold		—
Increases in expected cash flows on debt securities		—
Ending credit loss amount as of December 31, 2011	$	219,978

Summary of Carrying Amount and Estimated Fair Value of Held-to-Maturity Debt Securities and Amortized Cost and Estimated Fair Value of Available-for-Sale Debt Securities by Contractual Maturity

The following table summarizes the carrying amount and estimated fair value of held-to-maturity debt securities and the amortized cost and estimated fair value of available-for-sale debt securities at December 31, 2011 by contractual maturity. Mortgage-related securities held to maturity and available for sale, all of which have prepayment provisions, are distributed to a maturity category based on the ends of the estimated average lives of such securities. Principal and amortization prepayments are not shown in maturity categories as they occur, but are considered in the determination of estimated average life.

	Carrying Amount at December 31, 2011
(dollars in thousands)	Mortgage- Related Securities		Average Yield			U.S. Treasury and GSE Obligations		Average Yield			State, County, and Municipal		Average Yield(1)			Other Debt Securities(2)		Average Yield			Fair Value
Held-to-Maturity Securities:
Due within one year	$	—		—	%	$	—		—	%	$	—		—	%	$	23,989		5.80	%	$	24,512
Due from one to five years		—		—			—		—			—		—			—		—			—
Due from five to ten years		867,030		3.75			633,258		3.70			—		—			—		—			1,576,945
Due after ten years		2,129,210		3.86			—		—			—		—			162,367		7.19			2,364,728
Total debt securities held to maturity	$	2,996,240		3.83	%	$	633,258		3.70	%	$	—		—	%	$	186,356		7.02	%	$	3,966,185
Available-for-Sale Securities:(3)
Due within one year	$	—		—	%	$	—		—	%	$	125		5.63	%	$	—		—	%	$	128
Due from one to five years		2,461		6.81			—		—			509		6.21			—		—			3,045
Due from five to ten years		77,953		3.87			456,380		3.51			554		6.56			—		—			541,193
Due after ten years		104,907		4.16			589		2.75			—		—			36,754		4.74			139,850
Total debt securities available for sale	$	185,321		4.07	%	$	456,969		3.51	%	$	1,188		6.31	%	$	36,754		4.74	%	$	684,216

(1) Not presented on a tax-equivalent basis.

(2) Includes corporate bonds and capital trust notes. Included in capital trust notes are $15.5 million and $629,000 of pooled trust preferred securities available for sale and held to maturity, respectively, all of which are due after ten years. The remaining capital trust notes consist of single-issue trust preferred securities.

(3) As equity securities have no contractual maturity, they have been excluded from this table.

Summary of Held-to-Maturity and Available-for-Sale Securities having a Continuous Unrealized Loss Position

The following tables present held-to-maturity and available-for-sale securities having a continuous unrealized loss position for less than twelve months or for twelve months or longer as of December 31, 2011:

At December 31, 2011	Less than Twelve Months				Twelve Months or Longer				Total
(in thousands)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Temporarily Impaired Held-to-Maturity Debt Securities:
GSE debentures	$	62,601	$	146	$	—	$	—	$	62,601	$	146
GSE certificates		—		—		—		—		—		—
GSE CMOs		—		—		—		—		—		—
Corporate bonds		4,987		12		—		—		4,987		12
Capital trust notes		971		43		68,570		19,814		69,541		19,857
Total temporarily impaired held-to-maturity debt securities	$	68,559	$	201	$	68,570	$	19,814	$	137,129	$	20,015
Temporarily Impaired Available-for-Sale Securities:
Debt Securities:
GSE certificates	$	181	$	9	$	13	$	1	$	194	$	10
Private label CMOs		24,041		1,265		—		—		24,041		1,265
Corporate bonds		—		—		—		—		—		—
State, county, and municipal		—		—		—		—		—		—
Capital trust notes		15,154		363		9,810		4,329		24,964		4,692
Total temporarily impaired available-for-sale debt securities	$	39,376	$	1,637	$	9,823	$	4,330	$	49,199	$	5,967
Equity securities		784		40		26,651		4,176		27,435		4,216
Total temporarily impaired available-for-sale securities	$	40,160	$	1,677	$	36,474	$	8,506	$	76,634	$	10,183

The twelve months or longer unrealized losses of $4.2 million at December 31, 2011 relate to available-for-sale equity securities that consisted primarily of a large cap equity fund. The twelve months or longer unrealized loss on this large cap equity fund was $3.6 million.

The following tables present held-to-maturity and available-for-sale securities having a continuous unrealized loss position for less than twelve months or for twelve months or longer as of December 31, 2010:

At December 31, 2010	Less than Twelve Months				Twelve Months or Longer				Total
(in thousands)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Temporarily Impaired Held-to-Maturity Debt Securities:
GSE debentures	$	569,361	$	10,592	$	—	$	—	$	569,361	$	10,592
GSE certificates		54,623		1,094		—		—		54,623		1,094
GSE CMOs		1,251,850		28,345		—		—		1,251,850		28,345
Corporate bonds		4,987		13		—		—		4,987		13
Capital trust notes		—		—		66,698		22,708		66,698		22,708
Total temporarily impaired held-to-maturity debt securities	$	1,880,821	$	40,044	$	66,698	$	22,708	$	1,947,519	$	62,752
Temporarily Impaired Available-for-Sale Securities:
Debt Securities:
GSE certificates	$	12,809	$	28	$	779	$	4	$	13,588	$	32
Private label CMOs		—		—		35,511		405		35,511		405
Corporate bonds		—		—		4,250		564		4,250		564
State, county, and municipal		399		11		—		—		399		11
Capital trust notes		1,988		102		8,848		5,287		10,836		5,389
Total temporarily impaired available-for-sale debt securities	$	15,196	$	141	$	49,388	$	6,260	$	64,584	$	6,401
Equity securities		79		11		25,339		17,507		25,418		17,518
Total temporarily impaired available-for-sale securities	$	15,275	$	152	$	74,727	$	23,767	$	90,002	$	23,919