Quarterly report pursuant to Section 13 or 15(d)

AVAILABLE-FOR-SALE AND OTHER SECURITIES (Tables)

v3.4.0.3
AVAILABLE-FOR-SALE AND OTHER SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2016
Investments, Debt and Equity Securities [Abstract]  
Contractual maturities of investment securities
Listed below are the contractual maturities (1 year or less, 1-5 years, 6-10 years, and over 10 years) of available-for-sale and other securities at March 31, 2016 and December 31, 2015:
 
March 31, 2016
 
December 31, 2015
(dollar amounts in thousands)
Amortized
Cost
 
Fair Value
 
Amortized
Cost
 
Fair Value
U.S. Treasury, Federal agency, and other agency securities:
 
 
 
 
 
 
 
U.S. Treasury:
 
 
 
 
 
 
 
1 year or less
$
798

 
$
798

 
$
—

 
$
—

After 1 year through 5 years
5,463

 
5,509

 
5,457

 
5,472

After 5 years through 10 years
—

 
—

 
—

 
—

After 10 years
—

 
—

 
—

 
—

Total U.S. Treasury
6,261

 
6,307

 
5,457

 
5,472

Federal agencies: mortgage-backed securities:
 
 
 
 
 
 
 
1 year or less
51,065

 
50,983

 
51,146

 
51,050

After 1 year through 5 years
104,732

 
106,924

 
111,655

 
113,393

After 5 years through 10 years
241,927

 
247,936

 
254,397

 
257,765

After 10 years
4,371,145

 
4,436,149

 
4,088,120

 
4,099,480

Total Federal agencies: mortgage-backed securities
4,768,869

 
4,841,992

 
4,505,318

 
4,521,688

Other agencies:
 
 
 
 
 
 
 
1 year or less
2,202

 
2,242

 
801

 
805

After 1 year through 5 years
8,146

 
8,549

 
9,101

 
9,395

After 5 years through 10 years
101,107

 
103,705

 
105,174

 
105,713

After 10 years
—

 
—

 
—

 
—

Total other agencies
111,455

 
114,496

 
115,076

 
115,913

Total U.S. Treasury, Federal agency, and other agency securities
4,886,585

 
4,962,795

 
4,625,851

 
4,643,073

Municipal securities:
 
 
 
 
 
 
 
1 year or less
285,763

 
275,832

 
281,644

 
280,823

After 1 year through 5 years
587,570

 
592,057

 
587,664

 
587,345

After 5 years through 10 years
1,164,206

 
1,171,111

 
1,053,502

 
1,048,550

After 10 years
557,927

 
594,756

 
509,133

 
539,678

Total municipal securities
2,595,466

 
2,633,756

 
2,431,943

 
2,456,396

Asset-backed securities:
 
 
 
 
 
 
 
1 year or less
—

 
—

 
—

 
—

After 1 year through 5 years
150,053

 
149,844

 
110,115

 
109,300

After 5 years through 10 years
88,267

 
89,019

 
128,342

 
128,208

After 10 years
641,296

 
598,511

 
662,602

 
623,905

Total asset-backed securities
879,616

 
837,374

 
901,059

 
861,413

Corporate debt:
 
 
 
 
 
 
 
1 year or less
29,307

 
29,919

 
300

 
302

After 1 year through 5 years
346,591

 
353,571

 
356,513

 
360,653

After 5 years through 10 years
152,382

 
153,171

 
107,394

 
105,522

After 10 years
—

 
—

 
—

 
—

Total corporate debt
528,280

 
536,661

 
464,207

 
466,477

Other:
 
 
 
 
 
 
 
1 year or less
—

 
—

 
—

 
—

After 1 year through 5 years
3,950

 
3,931

 
3,950

 
3,898

After 5 years through 10 years
—

 
—

 
—

 
—

After 10 years
—

 
—

 
—

 
—

Non-marketable equity securities
333,460

 
333,460

 
332,786

 
332,786

Mutual funds
10,506

 
10,506

 
10,604

 
10,604

Marketable equity securities
524

 
898

 
523

 
794

Total other
348,440

 
348,795

 
347,863

 
348,082

Total available-for-sale and other securities
$
9,238,387

 
$
9,319,381

 
$
8,770,923

 
$
8,775,441

Amortized cost, fair value, and gross unrealized gains and losses recognized in accumulated other comprehensive income
The following tables provide amortized cost, fair value, and gross unrealized gains and losses recognized in OCI by investment category at March 31, 2016 and December 31, 2015:
 
 
 
Unrealized
 
 
(dollar amounts in thousands)
Amortized
Cost
 
Gross
Gains
 
Gross
Losses
 
Fair Value
March 31, 2016
 
 
 
 
 
 
 
U.S. Treasury
$
6,261

 
$
46

 
$
—

 
$
6,307

Federal agencies:
 
 
 
 
 
 
 
Mortgage-backed securities
4,768,869

 
74,186

 
(1,063
)
 
4,841,992

Other agencies
111,455

 
3,041

 
—

 
114,496

Total U.S. Treasury, Federal agency securities
4,886,585

 
77,273

 
(1,063
)
 
4,962,795

Municipal securities
2,595,466

 
72,956

 
(34,666
)
 
2,633,756

Asset-backed securities
879,616

 
1,724

 
(43,966
)
 
837,374

Corporate debt
528,280

 
8,495

 
(114
)
 
536,661

Other securities
348,440

 
375

 
(20
)
 
348,795

Total available-for-sale and other securities
$
9,238,387

 
$
160,823

 
$
(79,829
)
 
$
9,319,381

 
 
 
Unrealized
 
 
(dollar amounts in thousands)
Amortized
Cost
 
Gross
Gains
 
Gross
Losses
 
Fair Value
December 31, 2015
 
 
 
 
 
 
 
U.S. Treasury
$
5,457

 
$
15

 
$
—

 
$
5,472

Federal agencies:
 
 
 
 
 
 
 
Mortgage-backed securities
4,505,318

 
30,078

 
(13,708
)
 
4,521,688

Other agencies
115,076

 
888

 
(51
)
 
115,913

Total U.S. Treasury, Federal agency securities
4,625,851

 
30,981

 
(13,759
)
 
4,643,073

Municipal securities
2,431,943

 
51,558

 
(27,105
)
 
2,456,396

Asset-backed securities
901,059

 
535

 
(40,181
)
 
861,413

Corporate debt
464,207

 
4,824

 
(2,554
)
 
466,477

Other securities
347,863

 
271

 
(52
)
 
348,082

Total available-for-sale and other securities
$
8,770,923

 
$
88,169

 
$
(83,651
)
 
$
8,775,441

Available for sale securities in an unrealized loss position table text block
The following tables provide detail on investment securities with unrealized losses aggregated by investment category and the length of time the individual securities have been in a continuous loss position, at March 31, 2016 and December 31, 2015:
 
Less than 12 Months
 
Over 12 Months
 
Total
(dollar amounts in thousands )
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
March 31, 2016
 
 
 
 
 
 
 
 
 
 
 
Federal agencies:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
$
266,950

 
$
(709
)
 
$
61,611

 
$
(354
)
 
$
328,561

 
$
(1,063
)
Other agencies
—

 
—

 
—

 
—

 
—

 
—

Total Federal agency securities
266,950

 
(709
)
 
61,611

 
(354
)
 
328,561

 
(1,063
)
Municipal securities
521,994

 
(19,927
)
 
208,458

 
(14,739
)
 
730,452

 
(34,666
)
Asset-backed securities
305,927

 
(5,319
)
 
173,013

 
(38,647
)
 
478,940

 
(43,966
)
Corporate debt
17,333

 
(35
)
 
10,217

 
(79
)
 
27,550

 
(114
)
Other securities


 


 
2,280

 
(20
)
 
2,280

 
(20
)
Total temporarily impaired securities
$
1,112,204

 
$
(25,990
)
 
$
455,579

 
$
(53,839
)
 
$
1,567,783

 
$
(79,829
)
 
Less than 12 Months
 
Over 12 Months
 
Total
(dollar amounts in thousands )
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Federal agencies:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
$
1,658,516

 
$
(11,341
)
 
$
84,147

 
$
(2,367
)
 
$
1,742,663

 
$
(13,708
)
Other agencies
37,982

 
(51
)
 
—

 
—

 
37,982

 
(51
)
Total Federal agency securities
1,696,498

 
(11,392
)
 
84,147

 
(2,367
)
 
1,780,645

 
(13,759
)
Municipal securities
570,916

 
(15,992
)
 
248,204

 
(11,113
)
 
819,120

 
(27,105
)
Asset-backed securities
552,275

 
(5,791
)
 
207,639

 
(34,390
)
 
759,914

 
(40,181
)
Corporate debt
167,144

 
(1,673
)
 
21,965

 
(881
)
 
189,109

 
(2,554
)
Other securities
772

 
(28
)
 
1,476

 
(24
)
 
2,248

 
(52
)
Total temporarily impaired securities
$
2,987,605

 
$
(34,876
)
 
$
563,431

 
$
(48,775
)
 
$
3,551,036

 
$
(83,651
)
Realized securities gains and losses
 
 
 
 
or the three-month periods ended March 31, 2016 and 2015.
 
 
 
 
Trust Preferred Securities Data
The following table summarizes the relevant characteristics of our CDO securities portfolio, which are included in asset-backed securities, at March 31, 2016. Each security is part of a pool of issuers and supports a more senior tranche of securities except for the MM Comm III securities which are the most senior class.
Collateralized Debt Obligation Data
March 31, 2016
(dollar amounts in thousands)
Deal Name
Par Value
 
Amortized
Cost
 
Fair
Value
 
Unrealized
Loss (2)
 
Lowest
Credit
Rating
(3)
 
# of Issuers
Currently
Performing/
Remaining (4)
 
Actual
Deferrals
and
Defaults
as a % of
Original
Collateral
 
Expected
Defaults
as a % of
Remaining
Performing
Collateral
 
Excess
Subordination
(5)
Alesco II
$
41,646

 
$
27,794

 
$
23,447

 
$
(4,347
)
 
C
 
30/36
 
15
%
 
6
%
 
5
%
ICONS
19,214

 
19,214

 
15,131

 
(4,083
)
 
BB
 
19/21
 
7

 
14

 
51

MM Comm III
4,684

 
4,475

 
3,545

 
(930
)
 
BB
 
5/8
 
5

 
7

 
33

Pre TSL IX
5,000

 
3,955

 
2,963

 
(992
)
 
C
 
27/38
 
18

 
10

 
7

Pre TSL XI
25,000

 
20,020

 
14,288

 
(5,732
)
 
C
 
43/55
 
16

 
8

 
11

Pre TSL XIII
27,530

 
19,588

 
15,505

 
(4,083
)
 
C
 
46/56
 
10

 
11

 
24

Reg Diversified (1)
25,500

 
5,104

 
1,762

 
(3,342
)
 
D
 
22/38
 
33

 
7

 
—

Tropic III
31,000

 
31,000

 
17,689

 
(13,311
)
 
CCC+
 
30/40
 
19

 
8

 
39

Total at March 31, 2016
$
179,574

 
$
131,150

 
$
94,330

 
$
(36,820
)
 
 
 
 
 
 
 
 
 
 
Total at December 31, 2015
$
179,574

 
$
131,911

 
$
100,338

 
$
(31,654
)
 
 
 
 
 
 
 
 
 
 
(1)
Security was determined to have OTTI. As such, the book value is net of recorded credit impairment.
(2)
The majority of securities have been in a continuous loss position for 12 months or longer.
(3)
For purposes of comparability, the lowest credit rating expressed is equivalent to Fitch ratings even where the lowest rating is based on another nationally recognized credit rating agency.
(4)
Includes both banks and/or insurance companies.
(5)
Excess subordination percentage represents the additional defaults in excess of both current and projected defaults that the CDO can absorb before the bond experiences credit impairment. Excess subordinated percentage is calculated by (a) determining what percentage of defaults a deal can experience before the bond has credit impairment, and (b) subtracting from this default breakage percentage both total current and expected future default percentages.