Securities (Tables)

9 Months Ended

Sep. 30, 2013

Summary of Portfolio of Securities Available for Sale

The following table summarizes the Company’s portfolio of securities available for sale at September 30, 2013:


	September 30, 2013
(in thousands)	Amortized Cost			Gross Unrealized Gain			Gross Unrealized Loss			Fair Value
Mortgage-Related Securities:
GSE⁽¹⁾ certificates		$	25,345		$	1,378		$	3		$	26,720
GSE CMOs ⁽²⁾			62,122			772			691			62,203
Private label CMOs			12,317			--			62			12,255

Total mortgage-related securities		$	99,784		$	2,150		$	756		$	101,178

Other Securities:
Municipal bonds		$	1,079		$	86		$	--		$	1,165
Capital trust notes			32,275			5,530			2,003			35,802
Preferred stock			118,206			1,364			4,339			115,231
Common stock			49,744			3,332			749			52,327

Total other securities		$	201,304		$	10,312		$	7,091		$	204,525

Total securities available for sale ⁽³⁾		$	301,088		$	12,462		$	7,847		$	305,703

(1)	Government-sponsored enterprise

(2)	Collateralized mortgage obligations

(3)	At September 30, 2013, the non-credit portion of OTTI recorded in AOCL was $570,000 (before taxes).

As of September 30, 2013, the fair value of marketable equity securities included corporate preferred stock of $115.2 million and common stock of $52.3 million, with the latter primarily consisting of an investment in a large cap equity fund and certain other funds that are Community Reinvestment Act (“CRA”) eligible.

The following table summarizes the Company’s portfolio of securities available for sale at December 31, 2012:


	December 31, 2012
(in thousands)	Amortized Cost			Gross Unrealized Gain			Gross Unrealized Loss			Fair Value
Mortgage-Related Securities:
GSE certificates		$	85,488		$	7,197		$	6		$	92,679
GSE CMOs			62,236			4,924			--			67,160
Private label CMOs			17,276			140			--			17,416

Total mortgage-related securities		$	165,000		$	12,261		$	6		$	177,255

Other Securities:
Municipal bonds		$	46,288		$	128		$	120		$	46,296
Capital trust notes			35,231			7,363			4,159			38,435
Preferred stock			118,205			6,843			30			125,018
Common stock			43,984			1,191			2,913			42,262

Total other securities		$	243,708		$	15,525		$	7,222		$	252,011

Total securities available for sale ⁽¹⁾		$	408,708		$	27,786		$	7,228		$	429,266

(1)	At December 31, 2012, the non-credit portion of OTTI recorded in AOCL was $570,000 (before taxes).

Summary of Portfolio of Securities Held to Maturity

The following tables summarize the Company’s portfolio of securities held to maturity at September 30, 2013 and December 31, 2012:


	September 30, 2013
(in thousands)	Amortized Cost			Carrying Amount			Gross Unrealized Gain			Gross Unrealized Loss			Fair Value
Mortgage-Related Securities:
GSE certificates		$	2,221,859		$	2,221,859		$	37,756		$	48,066		$	2,211,549
GSE CMOs			1,718,497			1,718,497			38,437			12,890			1,744,044
Other mortgage-related securities			3,016			3,016			--			--			3,016

Total mortgage-related securities		$	3,943,372		$	3,943,372		$	76,193		$	60,956		$	3,958,609

Other Securities:
GSE debentures		$	2,624,773		$	2,624,773		$	7,681		$	170,695		$	2,461,759
Corporate bonds			72,799			72,799			10,898			--			83,697
Municipal bonds			61,123			61,123			29			3,710			57,442
Capital trust notes			84,865			75,648			1,288			11,187			65,749

Total other securities		$	2,843,560		$	2,834,343		$	19,896		$	185,592		$	2,668,647

Total securities held to maturity ⁽¹⁾		$	6,786,932		$	6,777,715		$	96,089		$	246,548		$	6,627,256

(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. At September 30, 2013, the non-credit portion of OTTI recorded in AOCL was $9.2 million (before taxes).


	December 31, 2012
(in thousands)	Amortized Cost			Carrying Amount			Gross Unrealized Gain			Gross Unrealized Loss			Fair Value
Mortgage-Related Securities:
GSE certificates		$	1,253,769		$	1,253,769		$	87,860		$	5		$	1,341,624
GSE CMOs			1,898,228			1,898,228			104,764			--			2,002,992
Other mortgage-related securities			3,220			3,220			--			--			3,220

Total mortgage-related securities		$	3,155,217		$	3,155,217		$	192,624		$	5		$	3,347,836

Other Securities:
GSE debentures		$	1,129,618		$	1,129,618		$	15,739		$	--		$	1,145,357
Corporate bonds			72,501			72,501			12,504			--			85,005
Municipal bonds			16,982			16,982			245			--			17,227
Capital trust notes			131,513			109,944			14,588			13,997			110,535

Total other securities		$	1,350,614		$	1,329,045		$	43,076		$	13,997		$	1,358,124

Total securities held to maturity ⁽¹⁾		$	4,505,831		$	4,484,262		$	235,700		$	14,002		$	4,705,960

(1)	At December 31, 2012, the non-credit portion of OTTI recorded in AOCL was $21.6 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 nine months ended September 30, 2013 and 2012:


	For the Nine Months Ended September 30,
(in thousands)	2013		2012
Gross proceeds		$593,551		$561,369
Gross realized gains		6,212		1,369
Gross realized losses		--		--

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 September 30, 2013:


	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			$	407
Fair value			19,977				1,005				953
Unrealized gain			5,013				452				546
Lowest credit rating assigned to security			CCC				C				C
Number of banks/insurance companies currently performing			19				54				10
Actual deferrals and defaults as a percentage of original collateral			9	%			12	%			26	%
Expected deferrals and defaults as a percentage of remaining performing collateral			22				25				46
Expected recoveries as a percentage of remaining performing collateral			--				--				--
Excess subordination as a percentage of remaining performing collateral			15				--				--

Credit Loss Component of Other Than Temporary Impairment on Debt Securities

In the following table, the beginning balance represents the credit loss component for debt securities for which OTTI occurred prior to January 1, 2013. 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 is the first time a debt security was credit-impaired (initial credit impairment) or is not the first time a debt security was credit-impaired (subsequent credit impairment).


(in thousands)	For the Nine Months Ended September 30, 2013
Beginning credit loss amount as of December 31, 2012		$219,978
Add: Initial other-than-temporary credit losses		--
Subsequent other-than-temporary credit losses		--
Amount previously recognized in AOCL		--
Less: Realized losses for securities sold		--
Securities intended or required to be sold		--
Increases in expected cash flows on debt securities		4,256

Ending credit loss amount as of September 30, 2013		$215,722

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 amounts and estimated fair values of held-to-maturity debt securities, and the amortized costs and estimated fair values of available-for-sale debt securities, at September 30, 2013, 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.


	At September 30, 2013
(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		$	--		--%		$	--		--%		$	--		--%		$	--		--%		$	--
Due from one to five years			--		--			60,441		4.17			1,384		2.96			--		--			68,735
Due from five to ten years			2,705,808		3.22			2,048,292		2.63			--		--			46,913		3.15			4,666,410
Due after ten years			1,237,564		3.55			516,040		2.87			59,739		2.85			101,535		5.80			1,892,111

Total debt securities held to maturity		$	3,943,372		3.32%		$	2,624,773		2.72%		$	61,123		2.85%		$	148,448		4.97%		$	6,627,256

Available-for-Sale Securities: ⁽³⁾
Due within one year		$	31		2.26%		$	--		--%		$	125		5.90%		$	--		--%		$	157
Due from one to five years			6,863		6.90			--		--			534		6.36			--		--			7,860
Due from five to ten years			19,113		3.64			--		--			420		6.59			--		--			20,529
Due after ten years			73,777		3.83			--		--			--		--			32,275		4.23			109,598

Total debt securities available for sale		$	99,784		4.01%		$	--		--%		$	1,079		6.39%		$	32,275		4.23%		$	138,144

(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 $407,000 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 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 and for twelve months or longer as of September 30, 2013:


At September 30, 2013 (in thousands)	Less than Twelve Months				Twelve Months or Longer					Total
At September 30, 2013 (in thousands)	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss			Fair Value		Unrealized Loss
Temporarily Impaired Held-to-Maturity Debt Securities:
GSE debentures		$2,344,708		$170,695		$ --		$ --			$2,344,708		$170,695
GSE Certificates		1,087,114		48,066		--		--			1,087,114		48,066
GSE CMOs		500,367		12,890		--		--			500,367		12,890
Municipal notes/bonds		56,029		3,710		--		--			56,029		3,710
Capital trust notes		24,581		419		35,393		10,768			59,974		11,187

Total temporarily impaired held-to-maturity debt securities		$4,012,799		$235,780		$35,393		$10,768			$4,048,192		$246,548

Temporarily Impaired Available-for-Sale Securities:
Debt Securities:
GSE certificates		$ --		$ --		$ 167		$ 3			$ 167		$ 3
Private label CMOs		12,255		62		--		--			12,255		62
GSE CMOs		45,883		691							45,883		691
Capital trust notes		1,966		33		5,446		1,970			7,412		2,003

Total temporarily impaired available-for-sale debt securities		$ 60,104		$ 786		$ 5,613		$ 1,973			$ 65,717		$ 2,759
Equity securities		75,517		4,458		1,046		630	⁽¹⁾		76,563		5,088

Total temporarily impaired available-for-sale securities		$ 135,621		$ 5,244		$ 6,659		$ 2,603			$ 142,280		$ 7,847

(1)	The twelve months or longer unrealized losses on equity securities of $630,000 at September 30, 2013 relate to an investment in a financial institution. The principal balance of the investment was $1.7 million at that date.


At December 31, 2012	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		$	--		$	--		$	--		$	--			$	--		$	--
GSE certificates			2,238			5			--			--				2,238			5
GSE CMOs			--			--			--			--				--			--
Corporate bonds			--			--			--			--				--			--
Capital trust notes			--			--			32,148			13,997				32,148			13,997

Total temporarily impaired held-to-maturity debt securities		$	2,238		$	5		$	32,148		$	13,997			$	34,386		$	14,002

Temporarily Impaired Available-for-Sale Securities:
Debt Securities:
GSE certificates		$	297		$	5		$	53		$	1			$	350		$	6
Private label CMOs			--			--			--			--				--			--
Corporate bonds			--			--			--			--				--			--
State, county, and municipal			45,096			120			--			--				45,096			120
Capital trust notes			--			--			4,371			4,159				4,371			4,159

Total temporarily impaired available-for-sale debt securities		$	45,393		$	125		$	4,424		$	4,160			$	49,817		$	4,285
Equity securities			15,262			30			28,989			2,913	⁽¹⁾			44,251			2,943

Total temporarily impaired available-for-sale securities		$	60,655		$	155		$	33,413		$	7,073			$	94,068		$	7,228

(1)

The twelve months or longer unrealized losses on equity securities of $2.9 million at December 31, 2012 relate to available-for-sale equity securities that consisted of a large cap equity fund and investments in certain financial institutions. The principal balance of the large cap equity fund was $30.2 million and the twelve months or longer unrealized loss was $2.2 million at that date. The principal balance of investments in financial institutions totaled $1.7 million and the twelve months or longer unrealized loss was $709,000 at that date.

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

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- Definition

Tabular disclosure of all investments in certain debt and equity securities for which the entity has the positive intent and ability to hold until maturity.

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- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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