

($ in thousands)	December 31, 2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS debt securities:
U.S. Treasury securities	$	50,310	$	451	$	—	$	50,761
U.S. government agency and U.S. government-sponsored enterprise debt securities	806,814		8,765		(1,260)		814,319
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	1,125,174		34,306		(5,710)		1,153,770
Residential mortgage-backed securities	1,634,553		27,952		(1,611)		1,660,894
Municipal securities	382,573		13,588		(88)		396,073
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	234,965		6,107		(1,230)		239,842
Residential mortgage-backed securities	288,520		1,761		(506)		289,775
Corporate debt securities	406,323		3,493		(3,848)		405,968
Foreign government bonds	183,828		163		(1,460)		182,531
Asset-backed securities	63,463		10		(242)		63,231
CLOs	294,000		—		(6,506)		287,494
Total AFS debt securities	$	5,470,523	$	96,596	$	(22,461)	$	5,544,658



($ 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 December 31, 2020 and 2019, the amortized cost of AFS debt securities excluded accrued interest receivables of $22.3 million and $11.1 million, respectively, 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 1 — Summary of Significant Accounting Policies — Allowance for Credit Losses on Available-for-Sale Debt Securities to the Consolidated Financial Statements in this Form 10-K.

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 December 31, 2020 and 2019:



($ in thousands)	December 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 debt securities	$	352,521	$	(1,260)	$	—	$	—	$	352,521	$	(1,260)
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	292,596		(5,656)		3,543		(54)		296,139		(5,710)
Residential mortgage-backed securities	342,561		(1,611)		—		—		342,561		(1,611)
Municipal securities	24,529		(88)		—		—		24,529		(88)
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	58,738		(1,230)		7,920		—		66,658		(1,230)
Residential mortgage-backed securities	90,156		(506)		—		—		90,156		(506)
Corporate debt securities	251,674		(3,645)		9,798		(203)		261,472		(3,848)
Foreign government bonds	106,828		(1,460)		—		—		106,828		(1,460)
Asset-backed securities	—		—		34,104		(242)		34,104		(242)
CLOs	—		—		287,494		(6,506)		287,494		(6,506)
Total AFS debt securities	$	1,519,603	$	(15,456)	$	342,859	$	(7,005)	$	1,862,462	$	(22,461)



($ 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 December 31, 2020, the Company had 104 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, 2020 were comprised primarily of 46 U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities, three CLOs, and 17 corporate 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 1 — Summary of Significant Accounting Policies — Significant Accounting Policies — Allowance for Credit Losses on Available-for-Sale Debt Securities to the Consolidated Financial Statements in this Form 10-K. 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. Securities that were in unrealized loss positions as of December 31, 2020 were mainly comprised of the following:

•U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities — The market value decline as of December 31, 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 Aaa, AA+ and AAA by Moody’s Investors Service (“Moody’s”), Standard & 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.

•CLOs — The market value decline as of December 31, 2020 was largely due to the widening in 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.

•Corporate debt securities — The market value decline as of December 31, 2020 was primarily due to interest rate movement and the widening in spreads. Since credit profiles of the securities are strong (rated BBB- or higher by Moody’s, S&P, Kroll Bond Rating Agency and Fitch, respectively), and the contractual payments from these bonds are expected to be received on time, 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 could possibly be under the impact of the COVID-19 pandemic.

As of December 31, 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 December 31, 2020 against these securities, and there was no provision for credit losses recognized for the year ended December 31, 2020. For the years ended December 31, 2019 and 2018, there was no OTTI credit loss recognized.

The following table presents the contractual maturities of AFS debt securities as of December 31, 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	$	893,162	$	892,648
Due after one year through five years	639,543		646,245
Due after five years through ten years	483,606		499,880
Due after ten years	3,454,212		3,505,885
Total AFS debt securities	$	5,470,523	$	5,544,658