| SECURITIES |
SECURITIES The amortized cost and fair value of securities are as follows: | | | | | | | | | | | | | | | | | (in thousands) | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | Securities Available for Sale (AFS): | | | | | | | | September 30, 2017 | | | | | | | | U.S. Treasury | $ | 19,976 |
| | $ | 4 |
| | $ | — |
| | $ | 19,980 |
| U.S. government-sponsored entities | 357,706 |
| | 371 |
| | (2,465 | ) | | 355,612 |
| Residential mortgage-backed securities: | | | | | | | | Agency mortgage-backed securities | 1,646,390 |
| | 3,213 |
| | (7,828 | ) | | 1,641,775 |
| Agency collateralized mortgage obligations | 807,342 |
| | 191 |
| | (10,203 | ) | | 797,330 |
| Non-agency collateralized mortgage obligations | 1 |
| | — |
| | — |
| | 1 |
| Commercial mortgage-backed securities | — |
| | — |
| | — |
| | — |
| States of the U.S. and political subdivisions | 29,986 |
| | 28 |
| | (9 | ) | | 30,005 |
| Other debt securities | 9,903 |
| | 11 |
| | (208 | ) | | 9,706 |
| Total debt securities | 2,871,304 |
| | 3,818 |
| | (20,713 | ) | | 2,854,409 |
| Equity securities | 587 |
| | 362 |
| | (8 | ) | | 941 |
| Total securities available for sale | $ | 2,871,891 |
| | $ | 4,180 |
| | $ | (20,721 | ) | | $ | 2,855,350 |
| December 31, 2016 | | | | | | | | U.S. Treasury | $ | 29,874 |
| | $ | 79 |
| | $ | — |
| | $ | 29,953 |
| U.S. government-sponsored entities | 367,604 |
| | 864 |
| | (3,370 | ) | | 365,098 |
| Residential mortgage-backed securities: | | | | | | | | Agency mortgage-backed securities | 1,267,535 |
| | 2,257 |
| | (16,994 | ) | | 1,252,798 |
| Agency collateralized mortgage obligations | 546,659 |
| | 419 |
| | (11,104 | ) | | 535,974 |
| Non-agency collateralized mortgage obligations | 891 |
| | 6 |
| | — |
| | 897 |
| Commercial mortgage-backed securities | 1,292 |
| | — |
| | (1 | ) | | 1,291 |
| States of the U.S. and political subdivisions | 36,065 |
| | 86 |
| | (302 | ) | | 35,849 |
| Other debt securities | 9,828 |
| | 94 |
| | (435 | ) | | 9,487 |
| Total debt securities | 2,259,748 |
| | 3,805 |
| | (32,206 | ) | | 2,231,347 |
| Equity securities | 273 |
| | 367 |
| | — |
| | 640 |
| Total securities available for sale | $ | 2,260,021 |
| | $ | 4,172 |
| | $ | (32,206 | ) | | $ | 2,231,987 |
|
| | | | | | | | | | | | | | | | | (in thousands) | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | Securities Held to Maturity (HTM): | | | | | | | | September 30, 2017 | | | | | | | | U.S. Treasury | $ | 500 |
| | $ | 142 |
| | $ | — |
| | $ | 642 |
| U.S. government-sponsored entities | 247,462 |
| | 268 |
| | (3,413 | ) | | 244,317 |
| Residential mortgage-backed securities: | | | | | | | | Agency mortgage-backed securities | 1,133,911 |
| | 6,811 |
| | (4,355 | ) | | 1,136,367 |
| Agency collateralized mortgage obligations | 713,642 |
| | 557 |
| | (13,703 | ) | | 700,496 |
| Commercial mortgage-backed securities | 81,144 |
| | 867 |
| | (357 | ) | | 81,654 |
| States of the U.S. and political subdivisions | 809,262 |
| | 8,870 |
| | (10,907 | ) | | 807,225 |
| Total securities held to maturity | $ | 2,985,921 |
| | $ | 17,515 |
| | $ | (32,735 | ) | | $ | 2,970,701 |
| December 31, 2016 | | | | | | | | U.S. Treasury | $ | 500 |
| | $ | 137 |
| | $ | — |
| | $ | 637 |
| U.S. government-sponsored entities | 272,645 |
| | 348 |
| | (4,475 | ) | | 268,518 |
| Residential mortgage-backed securities: | | | | | | | | Agency mortgage-backed securities | 852,215 |
| | 5,654 |
| | (8,645 | ) | | 849,224 |
| Agency collateralized mortgage obligations | 743,148 |
| | 447 |
| | (17,801 | ) | | 725,794 |
| Non-agency collateralized mortgage obligations | 1,689 |
| | 3 |
| | (6 | ) | | 1,686 |
| Commercial mortgage-backed securities | 49,797 |
| | 181 |
| | (226 | ) | | 49,752 |
| States of the U.S. and political subdivisions | 417,348 |
| | 1,456 |
| | (19,638 | ) | | 399,166 |
| Total securities held to maturity | $ | 2,337,342 |
| | $ | 8,226 |
| | $ | (50,791 | ) | | $ | 2,294,777 |
|
During the first nine months of 2017, we received proceeds of $786.8 million from sales of AFS securities and realized a net gain of $3.7 million (gross gains of $4.7 million and gross losses of $1.0 million). We also received proceeds of $57.0 million from sales of HTM securities with a net carrying value of $54.9 million and realized a net gain of $2.2 million (gross gains of $2.2 million and gross losses of $4,000). The HTM securities that were sold represented amortizing securities that had already returned more than 85% of their principal outstanding at the time we acquired the securities and could be sold without tainting the remaining HTM portfolio.
Gross gains and gross losses were realized on securities as follows:
| | | | | | | | | | | | | | | | | | Three Months Ended
September 30, | | Nine Months Ended
September 30, | (in thousands) | 2017 | | 2016 | | 2017 | | 2016 | Gross gains | $ | 2,834 |
| | $ | 299 |
| | $ | 6,845 |
| | $ | 597 |
| Gross losses | (57 | ) | | — |
| | (950 | ) | | (1 | ) | Net gains | $ | 2,777 |
| | $ | 299 |
| | $ | 5,895 |
| | $ | 596 |
|
As of September 30, 2017, the amortized cost and fair value of securities, by contractual maturities, were as follows:
| | | | | | | | | | | | | | | | | | Available for Sale | | Held to Maturity | (in thousands) | Amortized Cost | | Fair Value | | Amortized Cost | | Fair Value | Due in one year or less | $ | 70,291 |
| | $ | 70,310 |
| | $ | 15,610 |
| | $ | 15,584 |
| Due from one to five years | 326,956 |
| | 324,861 |
| | 240,285 |
| | 237,150 |
| Due from five to ten years | 17,358 |
| | 17,299 |
| | 79,476 |
| | 80,669 |
| Due after ten years | 2,966 |
| | 2,833 |
| | 721,853 |
| | 718,781 |
| | 417,571 |
| | 415,303 |
| | 1,057,224 |
| | 1,052,184 |
| Residential mortgage-backed securities: | | | | | | | | Agency mortgage-backed securities | 1,646,390 |
| | 1,641,775 |
| | 1,133,911 |
| | 1,136,367 |
| Agency collateralized mortgage obligations | 807,342 |
| | 797,330 |
| | 713,642 |
| | 700,496 |
| Non-agency collateralized mortgage obligations | 1 |
| | 1 |
| | — |
| | — |
| Commercial mortgage-backed securities | — |
| | — |
| | 81,144 |
| | 81,654 |
| Equity securities | 587 |
| | 941 |
| | — |
| | — |
| Total securities | $ | 2,871,891 |
| | $ | 2,855,350 |
| | $ | 2,985,921 |
| | $ | 2,970,701 |
|
Maturities may differ from contractual terms because borrowers may have the right to call or prepay obligations with or without penalties. Periodic payments are received on mortgage-backed securities based on the payment patterns of the underlying collateral. Following is information relating to securities pledged:
| | | | | | | | | (dollars in thousands) | September 30,
2017 | | December 31,
2016 | Securities pledged (carrying value): | | | | To secure public deposits, trust deposits and for other purposes as required by law | $ | 3,642,235 |
| | $ | 2,779,335 |
| As collateral for short-term borrowings | 336,392 |
| | 322,038 |
| Securities pledged as a percent of total securities | 68.1 | % | | 67.9 | % |
Following are summaries of the fair values and unrealized losses of temporarily impaired securities, segregated by length of impairment:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or More | | Total | (dollars in thousands) | # | | Fair Value | | Unrealized Losses | | # | | Fair Value | | Unrealized Losses | | # | | Fair Value | | Unrealized Losses | Securities Available for Sale | | | | | | | | | | | | | | | | | | September 30, 2017 | | | | | | | | | | | | | | | | | | U.S. government-sponsored entities | 10 |
| | $ | 193,778 |
| | $ | (1,219 | ) | | 2 |
| | $ | 38,754 |
| | $ | (1,246 | ) | | 12 |
| | $ | 232,532 |
| | $ | (2,465 | ) | Residential mortgage-backed securities: | | | | | | | | | | | | | | | | | | Agency mortgage-backed securities | 49 |
| | 1,032,211 |
| | (7,828 | ) | | — |
| | — |
| | — |
| | 49 |
| | 1,032,211 |
| | (7,828 | ) | Agency collateralized mortgage obligations | 21 |
| | 411,642 |
| | (4,846 | ) | | 18 |
| | 173,880 |
| | (5,357 | ) | | 39 |
| | 585,522 |
| | (10,203 | ) | Non-agency collateralized mortgage obligations | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Commercial mortgage-backed securities | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| States of the U.S. and political subdivisions | 4 |
| | 7,882 |
| | (6 | ) | | 1 |
| | 886 |
| | (3 | ) | | 5 |
| | 8,768 |
| | (9 | ) | Other debt securities | — |
| | — |
| | — |
| | 3 |
| | 4,704 |
| | (208 | ) | | 3 |
| | 4,704 |
| | (208 | ) | Equity securities | 1 |
| | 185 |
| | (8 | ) | | — |
| | — |
| | — |
| | 1 |
| | 185 |
| | (8 | ) | Total temporarily impaired securities AFS | 85 |
| | $ | 1,645,698 |
| | $ | (13,907 | ) | | 24 |
| | $ | 218,224 |
| | $ | (6,814 | ) | | 109 |
| | $ | 1,863,922 |
| | $ | (20,721 | ) | December 31, 2016 | | | | | | | | | | | | | | | | | | U.S. government-sponsored entities | 11 |
| | $ | 211,636 |
| | $ | (3,370 | ) | | — |
| | $ | — |
| | $ | — |
| | 11 |
| | $ | 211,636 |
| | $ | (3,370 | ) | Residential mortgage-backed securities: | | | | | | | | | | | | | | | | | | Agency mortgage-backed securities | 55 |
| | 1,056,731 |
| | (16,994 | ) | | — |
| | — |
| | — |
| | 55 |
| | 1,056,731 |
| | (16,994 | ) | Agency collateralized mortgage obligations | 26 |
| | 346,662 |
| | (7,261 | ) | | 9 |
| | 89,040 |
| | (3,843 | ) | | 35 |
| | 435,702 |
| | (11,104 | ) | Commercial mortgage-backed securities | 1 |
| | 1,291 |
| | (1 | ) | | — |
| | — |
| | — |
| | 1 |
| | 1,291 |
| | (1 | ) | States of the U.S. and political subdivisions | 20 |
| | 28,631 |
| | (302 | ) | | — |
| | — |
| | — |
| | 20 |
| | 28,631 |
| | (302 | ) | Other debt securities | — |
| | — |
| | — |
| | 3 |
| | 4,470 |
| | (435 | ) | | 3 |
| | 4,470 |
| | (435 | ) | Total temporarily impaired securities AFS | 113 |
| | $ | 1,644,951 |
| | $ | (27,928 | ) | | 12 |
| | $ | 93,510 |
| | $ | (4,278 | ) | | 125 |
| | $ | 1,738,461 |
| | $ | (32,206 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or More | | Total | (dollars in thousands) | # | | Fair Value | | Unrealized Losses | | # | | Fair Value | | Unrealized Losses | | # | | Fair Value | | Unrealized Losses | Securities Held to Maturity | | | | | | | | | | | | | | | | | | September 30, 2017 | | | | | | | | | | | | | | | | | | U.S. government-sponsored entities | 9 |
| | $ | 162,966 |
| | $ | (2,035 | ) | | 2 |
| | $ | 38,621 |
| | $ | (1,378 | ) | | 11 |
| | $ | 201,587 |
| | $ | (3,413 | ) | Residential mortgage-backed securities: | | | | | | | | | | | | | | | | | | Agency mortgage-backed securities | 29 |
| | 518,680 |
| | (4,355 | ) | | — |
| | — |
| | — |
| | 29 |
| | 518,680 |
| | (4,355 | ) | Agency collateralized mortgage obligations | 15 |
| | 197,186 |
| | (2,462 | ) | | 23 |
| | 332,491 |
| | (11,241 | ) | | 38 |
| | 529,677 |
| | (13,703 | ) | Commercial mortgage-backed securities | 3 |
| | 14,730 |
| | (106 | ) | | 1 |
| | 7,562 |
| | (251 | ) | | 4 |
| | 22,292 |
| | (357 | ) | States of the U.S. and political subdivisions | 53 |
| | 189,773 |
| | (6,956 | ) | | 12 |
| | 33,177 |
| | (3,951 | ) | | 65 |
| | 222,950 |
| | (10,907 | ) | Total temporarily impaired securities HTM | 109 |
| | $ | 1,083,335 |
| | $ | (15,914 | ) | | 38 |
| | $ | 411,851 |
| | $ | (16,821 | ) | | 147 |
| | $ | 1,495,186 |
| | $ | (32,735 | ) | December 31, 2016 | | | | | | | | | | | | | | | | | | U.S. government-sponsored entities | 10 |
| | $ | 185,525 |
| | $ | (4,475 | ) | | — |
| | $ | — |
| | $ | — |
| | 10 |
| | $ | 185,525 |
| | $ | (4,475 | ) | Residential mortgage-backed securities: | | | | | | | | | | | | | | | | | | Agency mortgage-backed securities | 36 |
| | 551,404 |
| | (8,645 | ) | | — |
| | — |
| | — |
| | 36 |
| | 551,404 |
| | (8,645 | ) | Agency collateralized mortgage obligations | 29 |
| | 516,237 |
| | (13,710 | ) | | 12 |
| | 112,690 |
| | (4,091 | ) | | 41 |
| | 628,927 |
| | (17,801 | ) | Non-agency collateralized mortgage obligations | 3 |
| | 1,128 |
| | (6 | ) | | — |
| | — |
| | — |
| | 3 |
| | 1,128 |
| | (6 | ) | Commercial mortgage-backed securities | 1 |
| | 12,317 |
| | (10 | ) | | 1 |
| | 8,267 |
| | (216 | ) | | 2 |
| | 20,584 |
| | (226 | ) | States of the U.S. and political subdivisions | 94 |
| | 247,301 |
| | (19,638 | ) | | — |
| | — |
| | — |
| | 94 |
| | 247,301 |
| | (19,638 | ) | Total temporarily impaired securities HTM | 173 |
| | $ | 1,513,912 |
| | $ | (46,484 | ) | | 13 |
| | $ | 120,957 |
| | $ | (4,307 | ) | | 186 |
| | $ | 1,634,869 |
| | $ | (50,791 | ) |
We do not intend to sell the debt securities and it is not more likely than not that we will be required to sell the securities before recovery of their amortized cost basis. Other-Than-Temporary Impairment We evaluate our investment securities portfolio for other-than-temporary impairment (OTTI) on a quarterly basis. Impairment is assessed at the individual security level. We consider an investment security impaired if the fair value of the security is less than its cost or amortized cost basis. We did not recognize any OTTI losses on securities for the nine months ended September 30, 2017 or 2016. States of the U.S. and Political Subdivisions Our municipal bond portfolio with a carrying amount of $839.3 million as of September 30, 2017 is highly rated with an average entity-specific rating of AA and 99% of the portfolio rated A or better. All of the securities in the municipal portfolio are general obligation bonds. Geographically, municipal bonds support our primary footprint as 64.1% of the securities are from municipalities located throughout Pennsylvania, Ohio, Maryland, North Carolina and South Carolina. The average holding size of the securities in the municipal bond portfolio is $2.8 million. In addition to the strong stand-alone ratings, 62.0% of the municipalities have some formal credit enhancement insurance that strengthens the creditworthiness of their issue. Management reviews the credit profile of each issuer on a quarterly basis. |