Investment Securities

9 Months Ended

Sep. 30, 2011

Investment Securities

Investment Securities

4. INVESTMENT SECURITIES

Investment securities classified as current and long-term were as follows at September 30, 2011 and December 31, 2010, respectively:

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
	(in thousands)
September 30, 2011
U.S. Treasury and other U.S. government corporations and agencies:
U.S. Treasury and agency obligations	$	859,543	$	21,656	$	(480	)	$	880,719
Mortgage-backed securities		1,711,452		91,379		(1,179	)		1,801,652
Tax-exempt municipal securities		2,617,120		112,228		(3,659	)		2,725,689
Mortgage-backed securities:
Residential		48,557		512		(1,641	)		47,428
Commercial		371,278		17,798		(1,165	)		387,911
Asset-backed securities		106,186		1,397		(130	)		107,453
Corporate debt securities		3,393,537		238,427		(27,569	)		3,604,395
Redeemable preferred stock		5,333		0		0			5,333
Total debt securities	$	9,113,006	$	483,397	$	(35,823	)	$	9,560,580
December 31, 2010
U.S. Treasury and other U.S. government corporations and agencies:
U.S. Treasury and agency obligations	$	697,816	$	14,412	$	(615	)	$	711,613
Mortgage-backed securities		1,614,569		49,783		(1,173	)		1,663,179
Tax-exempt municipal securities		2,439,659		37,294		(43,619	)		2,433,334
Mortgage-backed securities:
Residential		58,017		545		(2,675	)		55,887
Commercial		306,291		14,911		(171	)		321,031
Asset-backed securities		148,068		1,727		(44	)		149,751
Corporate debt securities		2,906,228		139,793		(13,710	)		3,032,311
Redeemable preferred stock		5,333		0		0			5,333
Total debt securities	$	8,175,981	$	258,465	$	(62,007	)	$	8,372,439

We participate in a securities lending program where we loan certain investment securities for short periods of time in exchange for collateral, consisting of cash or U.S. Government securities, initially equal to at least 102% of the fair value of the investment securities on loan. Investment securities with a fair value of $8.1 million at September 30, 2011 and $54.0 million at December 31, 2010 were on loan as of those respective dates. At September 30, 2011, all collateral from lending our investment securities was in the form of cash which has been reinvested in money market funds.

Gross unrealized losses and fair values aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position were as follows at September 30, 2011 and December 31, 2010, respectively:

	Less than 12 months					12 months or more					Total
	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
	(in thousands)
September 30, 2011
U.S. Treasury and other U.S. government corporations and agencies:
U.S. Treasury and agency obligations	$	168,248	$	(480	)	$	0	$	0		$	168,248	$	(480	)
Mortgage-backed securities		23,462		(517	)		19,428		(662	)		42,890		(1,179	)
Tax-exempt municipal securities		140,105		(1,634	)		66,439		(2,025	)		206,544		(3,659	)
Mortgage-backed securities:
Residential		4,911		(104	)		25,560		(1,537	)		30,471		(1,641	)
Commercial		42,559		(1,165	)		0		0			42,559		(1,165	)
Asset-backed securities		18,932		(112	)		3,656		(18	)		22,588		(130	)
Corporate debt securities		681,567		(25,344	)		16,505		(2,225	)		698,072		(27,569	)
Total debt securities	$	1,079,784	$	(29,356	)	$	131,588	$	(6,467	)	$	1,211,372	$	(35,823	)
December 31, 2010
U.S. Treasury and other U.S. government corporations and agencies:
U.S. Treasury and agency obligations	$	141,766	$	(615	)	$	0	$	0		$	141,766	$	(615	)
Mortgage-backed securities		110,358		(1,054	)		5,557		(119	)		115,915		(1,173	)
Tax-exempt municipal securities		1,168,221		(33,218	)		97,809		(10,401	)		1,266,030		(43,619	)
Mortgage-backed securities:
Residential		0		0			32,671		(2,675	)		32,671		(2,675	)
Commercial		0		0			2,752		(171	)		2,752		(171	)
Asset-backed securities		17,069		(42	)		283		(2	)		17,352		(44	)
Corporate debt securities		383,677		(9,572	)		31,464		(4,138	)		415,141		(13,710	)
Total debt securities	$	1,821,091	$	(44,501	)	$	170,536	$	(17,506	)	$	1,991,627	$	(62,007	)

Approximately 96% of our debt securities were investment-grade quality at September 30, 2011, with a weighted average credit rating of AA by S&P. Most of the debt securities that were below investment-grade were rated BB, the higher end of the below investment-grade rating scale. At September 30, 2011, 12% of our tax-exempt municipal securities were pre-refunded, generally with U.S. government and agency securities, and 23% of our tax-exempt securities were insured by bond insurers and had an equivalent S&P credit rating of AA exclusive of the bond insurers' guarantee. Our investment policy limits investments in a single issuer and requires diversification among various asset types.

The recoverability of our residential and commercial mortgage-backed securities is supported by factors such as seniority, underlying collateral characteristics and credit enhancements. Our residential and commercial mortgage-backed securities at September 30, 2011 primarily were composed of senior tranches having high credit support, with 99% of the collateral consisting of prime loans. The weighted average credit rating of all commercial mortgage-backed securities was AA at September 30, 2011.

All issuers of securities we own that were trading at an unrealized loss at September 30, 2011 remain current on all contractual payments. After taking into account these and other factors previously described, we believe these unrealized losses primarily were caused by an increase in market interest rates and tighter liquidity conditions in the current markets than when the securities were purchased. At September 30, 2011, we did not intend to sell the securities with an unrealized loss position in accumulated other comprehensive income, and it is not likely that we will be required to sell these securities before recovery of their amortized cost basis. As a result, we believe that the securities with an unrealized loss were not other-than-temporarily impaired at September 30, 2011.

The detail of realized gains (losses) related to investment securities and included within investment income was as follows for the three and nine months ended September 30, 2011 and 2010:

	For the three months ended September 30,						For the nine months ended September 30,
	2011			2010			2011			2010
	(in thousands)
Gross realized gains	$	4,894		$	4,649		$	15,742		$	28,402
Gross realized losses		(2,748	)		(339	)		(8,487	)		(16,116	)
Net realized capital gains	$	2,146		$	4,310		$	7,255		$	12,286

There were no material other-than-temporary impairments for the three and nine months ended September 30, 2011 or 2010.

The contractual maturities of debt securities available for sale at September 30, 2011, regardless of their balance sheet classification, are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

	Amortized Cost		Fair Value
	(in thousands)
Due within one year	$	513,749	$	517,127
Due after one year through five years		1,966,077		2,029,429
Due after five years through ten years		2,602,607		2,729,133
Due after ten years		1,793,100		1,940,447
Mortgage and asset-backed securities		2,237,473		2,344,444
Total debt securities	$	9,113,006	$	9,560,580