

($ in thousands)	September 30, 2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS debt securities:
U.S. Treasury securities	$	50,410	$	588	$	—	$	50,998
U.S. government agency and U.S. government-sponsored enterprise debt securities	718,907		10,565		(2,410)		727,062
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	937,078		34,292		(4,261)		967,109
Residential mortgage-backed securities	1,206,488		32,578		(1,057)		1,238,009
Municipal securities	327,422		7,199		(1,346)		333,275
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	210,343		5,556		(1,223)		214,676
Residential mortgage-backed securities	277,306		782		(475)		277,613
Corporate debt securities	251,253		1,327		(1,403)		251,177
Foreign government bonds	134,179		26		(1,534)		132,671
Asset-backed securities	64,308		—		(1,160)		63,148
CLOs	294,000		—		(10,578)		283,422
Total AFS debt securities	$	4,471,694	$	92,913	$	(25,447)	$	4,539,160



($ 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 government 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 September 30, 2020, the amortized cost of AFS debt securities excluded accrued interest receivables of $14.8 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 September 30, 2020 and December 31, 2019.



($ in thousands)	September 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	$	336,399	$	(2,410)	$	—	$	—	$	336,399	$	(2,410)
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	224,593		(4,194)		10,456		(67)		235,049		(4,261)
Residential mortgage-backed securities	62,150		(1,057)		—		—		62,150		(1,057)
Municipal securities	151,283		(1,346)		—		—		151,283		(1,346)
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	66,469		(1,210)		7,907		(13)		74,376		(1,223)
Residential mortgage-backed securities	135,192		(475)		—		—		135,192		(475)
Corporate debt securities	145,134		(866)		9,463		(537)		154,597		(1,403)
Foreign government bonds	102,350		(1,534)		—		—		102,350		(1,534)
Asset-backed securities	—		—		63,148		(1,160)		63,148		(1,160)
CLOs	283,422		(10,578)		—		—		283,422		(10,578)
Total AFS debt securities	$	1,506,992	$	(23,670)	$	90,974	$	(1,777)	$	1,597,966	$	(25,447)



($ 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 government 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 September 30, 2020, the Company had 96 AFS debt securities in a gross unrealized loss position with no credit impairment. The AFS debt securities that made up the gross unrealized loss as of September 30, 2020 were comprised primarily of three CLOs, 25 U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities, and 13 U.S. government agency and U.S. government-sponsored enterprise debt 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. The AFS debt securities that made up the gross unrealized loss as of December 31, 2019 were comprised primarily 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 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. Securities that were in unrealized loss positions as of September 30, 2020 were mainly comprised of the following:

•U.S. government agency and U.S. government-sponsored enterprise debt securities — The market value decline as of September 30, 2020 was primarily due to interest rate movement. Since these debt securities are guaranteed or sponsored by agencies of the U.S. government, and the credit profiles are strong (rated A, AA+ and AAA by Moody’s Investors Service (“Moody’s”), Standard and Poor's (“S&P”) and Fitch Ratings (“Fitch”), respectively), the Company expects to receive all contractual interest payments on-time, and believes the risk of credit losses on these securities is remote.

•U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities — The market value decline as of September 30, 2020 was primarily due to interest rate movement. Since these securities are guaranteed or sponsored by agencies of the U.S. government, and the credit profiles are strong (rated A, AA+ and AAA by Moody’s, S&P and Fitch, respectively), the Company expects to receive all contractual interest payments on-time, and believes the risk of credit losses on these securities is remote.

•CLOs — The market value decline as of September 30, 2020 was largely due to market dislocation in the CLO sector, which resulted in wider liquidity spreads. The credit profiles of the securities are strong (rated A or higher by S&P) and the contractual payments from these bonds are expected to be received on-time. Accordingly, the Company believes that the risk of credit losses 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 near-term credit performance deteriorates under the impact of the COVID-19 pandemic.

As of September 30, 2020, the Company had the intent to hold the AFS debt securities with unrealized losses through the anticipated recovery period and it was 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 September 30, 2020 against these securities, and there was no provision for credit losses recognized for the three and nine months ended September 30, 2020. For the three and nine months ended September 30, 2019, there was no OTTI credit loss recognized.



($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Proceeds from sales	$	10,497	$	101,129	$	494,877	$	476,231
Gross realized gains	$	698	$	58	$	11,867	$	3,066
Related tax expense	$	206	$	17	$	3,508	$	906

The following table presents the contractual maturities of AFS debt securities as of September 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	$	756,955	$	757,035
Due after one year through five years	383,722		388,413
Due after five years through ten years	440,452		451,219
Due after ten years	2,890,565		2,942,493
Total AFS debt securities	$	4,471,694	$	4,539,160

As of September 30, 2020 and December 31, 2019, AFS debt securities with fair value of $710.4 million and $479.4 million, respectively, were pledged to secure public deposits, repurchase agreements and for other purposes required or permitted by law.