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Securities
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Securities Securities

The following tables present the amortized cost, gross unrealized gains and losses, and fair value by major categories of AFS debt securities as of March 31, 2020 and December 31, 2019:
 
($ in thousands)
 
March 31, 2020
 
Amortized
Cost (1)
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
AFS debt securities:
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
50,606

 
$
822

 
$
—

 
$
51,428

U.S. government agency and U.S. government-sponsored enterprise debt securities
 
511,176

 
7,232

 
—

 
518,408

U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
677,644

 
24,472

 
(4,168
)
 
697,948

Residential mortgage-backed securities
 
1,316,009

 
38,770

 
(2,412
)
 
1,352,367

Municipal securities
 
300,551

 
10,147

 
(1,072
)
 
309,626

Non-agency mortgage-backed securities:
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
85,843

 
2,008

 
(737
)
 
87,114

Residential mortgage-backed securities
 
64,112

 
156

 
(2,134
)
 
62,134

Corporate debt securities
 
11,250

 
1

 
(288
)
 
10,963

Foreign bonds
 
283,822

 
749

 
(50
)
 
284,521

Asset-backed securities
 
65,400

 
—

 
(3,844
)
 
61,556

CLOs
 
294,000

 
—

 
(34,122
)
 
259,878

Total AFS debt securities
 
$
3,660,413

 
$
84,357

 
$
(48,827
)
 
$
3,695,943

 
 
($ in thousands)
 
December 31, 2019
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
AFS debt securities:
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
177,215

 
$
—

 
$
(793
)
 
$
176,422

U.S. government agency and U.S. government-sponsored enterprise debt securities
 
584,275

 
1,377

 
(4,407
)
 
581,245

U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
 
 
 
 
 
 
 


Commercial mortgage-backed securities
 
599,814

 
8,551

 
(4,894
)
 
603,471

Residential mortgage-backed securities
 
998,447

 
6,927

 
(1,477
)
 
1,003,897

Municipal securities
 
101,621

 
790

 
(109
)
 
102,302

Non-agency mortgage-backed securities:
 
 
 
 
 
 
 


Commercial mortgage-backed securities
 
86,609

 
1,947

 
(6
)
 
88,550

Residential mortgage-backed securities
 
46,830

 
3

 
(285
)
 
46,548

Corporate debt securities
 
11,250

 
12

 
(113
)
 
11,149

Foreign bonds
 
354,481

 
198

 
(507
)
 
354,172

Asset-backed securities
 
66,106

 
—

 
(1,354
)
 
64,752

CLOs
 
294,000

 
—

 
(9,294
)
 
284,706

Total AFS debt securities
 
$
3,320,648

 
$
19,805

 
$
(23,239
)
 
$
3,317,214

 


As of March 31, 2020, the amortized cost of AFS debt securities excludes accrued interest receivable of $14.4 million which is included in Other assets on the Consolidated Balance Sheet. For our accounting policy related to AFS debt securities’ accrued interest receivable, see Note 2 — Summary of Significant Accounting Policies to the Consolidated Financial Statements in this Form 10-Q.

Unrealized Losses

The following tables present the fair value and the associated gross unrealized losses of the Company’s AFS debt securities, aggregated by investment category and the length of time that the securities have been in a continuous unrealized loss position as of March 31, 2020 and December 31, 2019.
 
($ in thousands)
 
March 31, 2020
 
Less Than 12 Months
 
12 Months or More
 
Total
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
AFS debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
$
116,225

 
$
(2,277
)
 
$
19,252

 
$
(1,891
)
 
$
135,477

 
$
(4,168
)
Residential mortgage-backed securities
 
192,572

 
(2,408
)
 
193

 
(4
)
 
192,765

 
(2,412
)
Municipal securities
 
18,705

 
(1,072
)
 
—

 
—

 
18,705

 
(1,072
)
Non-agency mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
31,087

 
(737
)
 
—

 
—

 
31,087

 
(737
)
Residential mortgage-backed securities
 
47,044

 
(2,134
)
 
—

 
—

 
47,044

 
(2,134
)
Corporate debt securities
 
—

 
—

 
9,713

 
(288
)
 
9,713

 
(288
)
Foreign bonds
 
49,950

 
(50
)
 
—

 
—

 
49,950

 
(50
)
Asset-backed securities
 
50,097

 
(2,657
)
 
11,459

 
(1,187
)
 
61,556

 
(3,844
)
CLOs
 
259,878

 
(34,122
)
 
—

 
—

 
259,878

 
(34,122
)
Total AFS debt securities
 
$
765,558

 
$
(45,457
)
 
$
40,617

 
$
(3,370
)
 
$
806,175

 
$
(48,827
)
 
 
($ in thousands)
 
December 31, 2019
 
Less Than 12 Months
 
12 Months or More
 
Total
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
AFS debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
—

 
$
—

 
$
176,422

 
$
(793
)
 
$
176,422

 
$
(793
)
U.S. government agency and U.S. government-sponsored enterprise debt securities
 
310,349

 
(4,407
)
 
—

 
—

 
310,349

 
(4,407
)
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
204,675

 
(2,346
)
 
108,314

 
(2,548
)
 
312,989

 
(4,894
)
Residential mortgage-backed securities
 
325,354

 
(1,234
)
 
34,337

 
(243
)
 
359,691

 
(1,477
)
Municipal securities
 
31,130

 
(109
)
 
—

 
—

 
31,130

 
(109
)
Non-agency mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
7,914

 
(6
)
 
—

 
—

 
7,914

 
(6
)
Residential mortgage-backed securities
 
42,894

 
(285
)
 
—

 
—

 
42,894

 
(285
)
Corporate debt securities
 
—

 
—

 
9,888

 
(113
)
 
9,888

 
(113
)
Foreign bonds
 
129,074

 
(407
)
 
9,900

 
(100
)
 
138,974

 
(507
)
Asset-backed securities
 
52,565

 
(902
)
 
12,187

 
(452
)
 
64,752

 
(1,354
)
CLOs

 
284,706

 
(9,294
)
 
—

 
—

 
284,706

 
(9,294
)
Total AFS debt securities
 
$
1,388,661

 
$
(18,990
)
 
$
351,048

 
$
(4,249
)
 
$
1,739,709

 
$
(23,239
)
 


Allowance for Credit Losses

Each reporting period, the Company assesses each AFS debt security that is in an unrealized loss position to determine whether the decline in fair value below the amortized cost basis resulted from a credit loss or other factors. For a discussion of the factors and criteria the Company uses in analyzing securities for impairment related to credit losses, see Note 2 — Summary of Significant Accounting Policies — Allowance for Credit Losses on Available-For-Sale Debt Securities to the Consolidated Financial Statements in this Form 10-Q. Prior to January 1, 2020, the Company assessed individual securities that were in an unrealized loss position for OTTI.

The gross unrealized losses across all major security types presented in the above tables were primarily attributable to yield curve movements and widened spreads arising from the negative outlook and uncertainty as a result of the COVID-19 pandemic. The Company believes that the credit support levels of the Company’s AFS debt securities are strong and, based on current assessments and macroeconomic forecasts, expects that full contractual cash flows will be received even if the credit performance deteriorates under the impact of the COVID-19 pandemic.

As of March 31, 2020, the Company has the intent to hold the AFS debt securities with unrealized losses through the anticipated recovery period and it is more-likely-than-not that the Company will not have to sell these securities before recovery of their amortized cost. The issuers of these securities have not, to the Company’s knowledge, established any cause for default on these securities. As a result, the Company expects to recover the entire amortized cost basis of these securities. Accordingly, no allowance for credit losses as of March 31, 2020, nor provision for credit losses for the three months ended March 31, 2020 were recorded. In comparison, no OTTI credit loss was recognized for the three months ended March 31, 2019.

As of March 31, 2020, the Company had 56 AFS debt securities in a gross unrealized loss position with no credit impairment, primarily consisting of three CLOs, 32 U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities, and four asset-backed securities. In comparison, as of December 31, 2019, the Company had 101 AFS debt securities in a gross unrealized loss position with no credit impairment, primarily consisting of three CLOs, 57 U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities, and 14 U.S. government agency and U.S. government-sponsored enterprise debt securities.

Realized Gains and Losses

The following table presents the proceeds, gross realized gains and tax expense related to the sales of AFS debt securities for the three months ended March 31, 2020 and 2019:
 
($ in thousands)
 
Three Months Ended March 31,
 
2020
 
2019
Proceeds from sales
 
$
306,463

 
$
151,339

Gross realized gains
 
$
1,529

 
$
1,561

Related tax expense
 
$
452

 
$
461

 


Contractual Maturities of Available-for-Sale Debt Securities

The following table presents the contractual maturities of AFS debt securities as of March 31, 2020:
 
($ in thousands)
 
Amortized Cost
 
Fair Value
Due within one year
 
$
588,392

 
$
590,461

Due after one year through five years
 
314,312

 
319,938

Due after five years through ten years
 
240,566

 
252,057

Due after ten years
 
2,517,143

 
2,533,487

Total AFS debt securities
 
$
3,660,413

 
$
3,695,943

 

Actual maturities of mortgage-backed securities can differ from contractual maturities as the borrowers have the right to prepay obligations. In addition, factors such as prepayments and interest rates may affect the yields on the carrying values of mortgage-backed securities.

As of March 31, 2020 and December 31, 2019, AFS debt securities with fair value of $742.4 million and $479.4 million, respectively, were pledged to secure public deposits, repurchase agreements and for other purposes required or permitted by law.

Restricted Equity Securities

The following table presents the restricted equity securities on the Consolidated Balance Sheet as of March 31, 2020 and December 31, 2019:
 
($ in thousands)
 
March 31, 2020
 
December 31, 2019
Federal Reserve Bank of San Francisco (“FRB”) stock
 
$
58,563

 
$
58,330

FHLB stock
 
20,182

 
20,250

Total restricted equity securities
 
$
78,745

 
$
78,580