

($ in thousands)	June 30, 2020
			Amortized Cost			Gross Unrealized Gains			Gross Unrealized Losses			Fair Value
AFS debt securities:
U.S. Treasury securities	$	250,494		$	707		$	—		$	251,201
U.S. government agency and U.S. government-sponsored enterprise debt securities	433,923			8,853			(132)			442,644
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	827,929			34,585			(4,074)			858,440
Residential mortgage-backed securities	1,246,609			34,445			(159)			1,280,895
Municipal securities	208,333			7,002			(151)			215,184
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	148,322			3,989			(943)			151,368
Residential mortgage-backed securities	113,548			804			(14)			114,338
Corporate debt securities	31,254			74			(502)			30,826
Foreign bonds	204,540			106			(566)			204,080
Asset-backed securities	64,762			—			(3,143)			61,619
CLOs	294,000			—			(20,021)			273,979
Total AFS debt securities	$	3,823,714		$	90,565		$	(29,705)		$	3,884,574



($ 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 June 30, 2020, the amortized cost of AFS debt securities excludes accrued interest receivables of $17.8 million which are included in Other assets on the Consolidated Balance Sheet. For the Company’s accounting policy related to AFS debt securities’ accrued interest receivable, see Note 2 — Current Accounting Developments and Summary of Significant Accounting Policies to the Consolidated Financial Statements in this Form 10-Q.

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 June 30, 2020 and December 31, 2019.



($ in thousands)	June 30, 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 debt securities	$	24,868		$	(132)		$	—		$	—		$	24,868		$	(132)
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	139,097			(3,477)			11,572			(597)			150,669			(4,074)
Residential mortgage-backed securities	91,491			(157)			195			(2)			91,686			(159)
Municipal securities	8,617			(151)			—			—			8,617			(151)
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	59,418			(943)			—			—			59,418			(943)
Residential mortgage-backed securities	23,720			(14)			—			—			23,720			(14)
Corporate debt securities	1,002			(2)			9,500			(500)			10,502			(502)
Foreign bonds	85,274			(566)			—			—			85,274			(566)
Asset-backed securities	18,359			(483)			43,260			(2,660)			61,619			(3,143)
CLOs	273,979			(20,021)			—			—			273,979			(20,021)
Total AFS debt securities	$	725,825		$	(25,946)		$	64,527		$	(3,759)		$	790,352		$	(29,705)



($ 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)

As of June 30, 2020, the Company had 41 AFS debt securities in a gross unrealized loss position with no credit impairment, primarily consisting of three CLOs, 19 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.

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 — Current Accounting Developments and 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 increase in unrealized losses during the six months ended June 30, 2020 was primarily due to further deterioration in the market values of the following security types:

•U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities — The market value decline was primarily due to the interest rate movement. Since these securities were guaranteed or sponsored by agencies of the U.S. government, and the credit profiles were strong (rated A, AA+ and AAA by Moody’s Investors Service (“Moody’s”), S&P and Fitch Ratings (“Fitch”), respectively), the Company expects to receive all contractual interest payments on-time, and believes the credit loss exposure on these securities is remote.

•Asset-backed securities — The market value decline of these securitized student loans was primarily due to the interest rate movement and the widening in spreads. Since credit profiles of these securities were strong (rated Aa1, AA+, and AA or higher by Moody’s Investors Service, S&P and Fitch Ratings, respectively), were backed by the Federal Family Education Loan Program, and the contractual payments from these bonds have been on-time, the Company deemed that the credit loss exposure on these securities is low and no credit loss is expected.

•CLOs — The market value decline was largely due to market dislocation in this sector resulting in wider liquidity spreads. The credit profiles of the securities were strong (rated A or higher by Standard and Poor's (“S&P”)) and the contractual payments from these bonds are expected to be received on-time. Accordingly, the Company believes that credit loss exposure on these securities is remote.

Overall, the Company believes that the credit support levels of the AFS debt securities are strong and, based on current assessments and macroeconomic forecasts, expects that full contractual cash flows will be received even if credit performance deteriorates under the impact of the COVID-19 pandemic.

As of June 30, 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, there was no allowance for credit losses as of June 30, 2020, and there were no provision for credit losses recognized for the three and six months ended June 30, 2020. In comparison, no OTTI credit loss was recognized for the three and six months ended June 30, 2019.



($ in thousands)	Three Months Ended June 30,									Six Months Ended June 30,
			2020			2019			2020			2019
Proceeds from sales	$	177,917		$	223,763		$	484,380		$	375,102
Gross realized gains	$	9,640		$	1,447		$	11,169		$	3,008
Related tax expense	$	2,850		$	428		$	3,302		$	889

The following table presents the contractual maturities of AFS debt securities as of June 30, 2020. Expected maturities will differ from contractual maturities on certain securities as the issuers and borrowers of the underlying collateral may have the right to call or prepay obligations with or without prepayment penalties.



($ in thousands)	Amortized Cost		Fair Value
Due within one year	$	561,935	$	562,869
Due after one year through five years	366,403		371,895
Due after five years through ten years	277,823		289,730
Due after ten years	2,617,553		2,660,080
Total AFS debt securities	$	3,823,714	$	3,884,574

As of June 30, 2020 and December 31, 2019, AFS debt securities with fair value of $745.2 million and $479.4 million, respectively, were pledged to secure public deposits, repurchase agreements and for other purposes required or permitted by law.