Investment Securities Held-to-Maturity

9 Months Ended

Sep. 30, 2020

Note 3. Investment Securities

Held-to-Maturity


	September 30, 2020								December 31, 2019
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
	(in thousands)
U.S. Government Sponsored Enterprises	$	248,211	$	594	$	494	$	248,311	$	98,867	$	527	$	96	$	99,298
SBA Backed Securities		39,384		2,375		—		41,759		44,379		182		303		44,258
U.S. Government Sponsored Enterprises Mortgage- Backed Securities		2,119,581		76,185		889		2,194,877		2,207,874		20,720		10,846		2,217,748

Total	$	2,407,176	$	79,154	$	1,383	$	2,484,947	$	2,351,120	$	21,429	$	11,245	$	2,361,304

Included in total investment securities

held-to-maturity

are securities pledged to secure public deposits and repurchase agreements at fair value amounting to $1,722,363,000 and $1,776,399,000 at September 30, 2020 and December 31, 2019, respectively. Also included are securities pledged for borrowing at the Federal Home Loan Bank of Boston at fair value amounting to $597,810,000 and $399,646,000 at September 30, 2020 and December 31, 2019, respectively. Also included in investment securities

held-to-maturity

are securities at fair value pledged for borrowing at the Federal Reserve Bank discount window of $156,360,000 and $0 at September 30, 2020 and December 31, 2019, respectively. There were no sales of

held-to-maturity

securities for the nine months ended September 30, 2020. The Company realized gross gains of $48,000 from the proceeds of $1,194,000 from the sales of

held-to-maturity

securities for the nine months ended September 30, 2019. The sales of securities

held-to-maturity

relate to certain mortgage backed securities for which the company has previously collected a substantial portion of its principal investment.

At September 30, 2020 and December 31, 2019, all mortgage-backed securities are obligations of U.S. Government Sponsored Enterprises. Debt securities of U.S. Government Sponsored Enterprises and U.S. Government Sponsored Enterprises Mortgage-Backed Securities primarily refer to debt securities of Fannie Mae and Freddie Mac.

The following table shows the maturity distribution of the Company’s securities

held-to-maturity

at September 30, 2020.


	Amortized Cost		Fair Value
	(in thousands)
Within one year	$	64,436	$	64,929
After one but within five years		1,954,304		2,018,674
After five but within ten years		385,428		397,910
More than ten years		3,008		3,434

Total	$	2,407,176	$	2,484,947

The weighted average remaining life of investment securities

held-to-maturity

at September 30, 2020 was 3.6 years. Included in the weighted average remaining life calculation at September 30, 2020 were $207,730,000 of U.S. Government Sponsored Enterprises obligations that are callable at the discretion of the issuer. The contractual maturities, which were used in the table above, of mortgage-backed securities, will differ from the actual maturities, due to the ability of the issuers to prepay underlying obligations. Also $89,000 of the securities are floating rate or adjustable rate and reprice prior to maturity.

As of September 30, 2020 and December 31, 2019, management concluded that the unrealized losses of its investment securities are temporary in nature since they are not related to the underlying credit quality of the issuers, and the Company does not intend to sell these debt securities and it is not more likely than not that it will be required to sell these debt securities before the anticipated recovery of their remaining amortized costs. In making its other-than-temporary impairment evaluation, the Company considered the fact that the principal and interest on these securities are from issuers that are investment grade.

The unrealized loss on U.S. Government Sponsored Enterprises, SBA Backed Securities, and U.S. Government Sponsored Enterprises Mortgage-Backed Securities related primarily to interest rates and not credit quality, and because the Company does not intend to sell any of these securities and it is not more likely than not that it will be required to sell these securities before the anticipated recovery of the remaining amortized cost, the Company does not consider these investments to be other-than-temporarily impaired at September 30, 2020 or December 31, 2019. In evaluating the underlying credit quality of a security, management considers several factors such as the credit rating of the obligor and the issuer, if applicable. Internal reviews of issuer financial statements are performed as deemed necessary.

The following table shows the temporarily impaired securities of the Company’s

held-to-maturity

portfolio September 30, 2020. This table shows the unrealized market loss of securities that have been in a continuous unrealized loss position for 12 months or less and a continuous loss position for 12 months or longer. There are 30 and 3 securities that are temporarily impaired for less than 12 months and for 12 months or longer, respectively, out of a total of 576 holdings at September 30, 2020.


	September 30, 2020
	Less Than 12 Months				12 Months or Longer				Total
Temporarily Impaired Investments	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(in thousands)
SBA Backed Securities	$	—	$	—	$	—	$	—	$	—	$	—
US Government Sponsored Enterprises Mortgage-Backed Securities		128,240		494		—		—		128,240		494
U.S. Government Agency and Sponsored Enterprise Mortgage-Backed Securities		129,158		840		4,176		49		133,334		889

Total temporarily impaired securities	$	257,398	$	1,334	$	4,176	$	49	$	261,574	$	1,383

The following table shows the temporarily impaired securities of the Company’s

held-to-maturity

portfolio at December 31, 2019. This table shows the unrealized market loss of securities that have been in a continuous unrealized loss position for less than 12 months and a continuous loss position for 12 months or longer. There are 114 and 103 securities that are temporarily impaired for less than 12 months and for 12 months or longer, respectively, out of a total of 531 holdings at December 31, 2019.


	December 31, 2019
	Less Than 12 Months				12 Months or Longer				Total
Temporarily Impaired Investments	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(in thousands)
U.S. Treasury	$	—	$	—	$	—	$	—	$	—	$	—
U.S. Government Sponsored Enterprises		24,420		72		9,976		24		34,396		96
SBA Backed Securities		25,251		303		—		—		25,251		303
U.S. Government Agency and Sponsored Enterprise Mortgage-Backed Securities		613,905		3,949		389,919		6,897		1,003,824		10,846

Total temporarily impaired securities	$	663,576	$	4,324	$	399,895	$	6,921	$	1,063,471	$	11,245