

($ in thousands)	September 30, 2021
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS debt securities:
U.S. Treasury securities	$	950,260	$	233	$	(8,769)	$	941,724
U.S. government agency and U.S. government-sponsored enterprise debt securities	1,386,236		4,401		(27,528)		1,363,109
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	1,277,989		19,063		(22,585)		1,274,467
Residential mortgage-backed securities	2,814,111		13,875		(36,922)		2,791,064
Municipal securities	500,907		8,194		(7,612)		501,489
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	463,358		4,704		(3,292)		464,770
Residential mortgage-backed securities	902,002		2,490		(3,236)		901,256
Corporate debt securities	626,531		9,445		(17,305)		618,671
Foreign government bonds	258,119		657		(3,928)		254,848
Asset-backed securities	76,417		437		(55)		76,799
CLOs	527,250		5		(2,446)		524,809
Total AFS debt securities	$	9,783,180	$	63,504	$	(133,678)	$	9,713,006



($ 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

The amortized cost of AFS debt securities excludes accrued interest receivables, which are a component of Other assets on the Consolidated Balance Sheet. The accrued interest receivables for AFS debt securities were $27.0 million and $22.3 million as of September 30, 2021 and December 31, 2020, respectively. For the Company’s accounting policy related to AFS debt securities’ accrued interest receivables, 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 the Company’s 2020 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 September 30, 2021 and December 31, 2020.



($ in thousands)	September 30, 2021
	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	$	768,909	$	(8,769)	$	—	$	—	$	768,909	$	(8,769)
U.S. government agency and U.S. government- sponsored enterprise debt securities	1,008,979		(21,747)		144,196		(5,781)		1,153,175		(27,528)
U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	603,554		(17,164)		107,752		(5,421)		711,306		(22,585)
Residential mortgage-backed securities	1,904,559		(35,792)		17,591		(1,130)		1,922,150		(36,922)
Municipal securities	249,055		(7,612)		—		—		249,055		(7,612)
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	151,915		(2,158)		40,233		(1,134)		192,148		(3,292)
Residential mortgage-backed securities	561,635		(3,233)		8,145		(3)		569,780		(3,236)
Corporate debt securities	207,861		(6,139)		178,833		(11,166)		386,694		(17,305)
Foreign government bonds	54,228		(3,514)		84,977		(414)		139,205		(3,928)
Asset-backed securities	21,631		(55)		—		—		21,631		(55)
CLOs	183,192		(58)		291,612		(2,388)		474,804		(2,446)
Total AFS debt securities	$	5,715,518	$	(106,241)	$	873,339	$	(27,437)	$	6,588,857	$	(133,678)



($ 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. Treasury 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)

As of September 30, 2021, the Company had a total of 359 AFS debt securities in a gross unrealized loss position with no credit impairment, consisting primarily of 150 U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities, 48 U.S. government agency and U.S. government-sponsored enterprise debt securities, and 22 corporate debt securities. In comparison, as of December 31, 2020, the Company had a total of 104 AFS debt securities in a gross unrealized loss position with no credit impairment, consisting primarily of 46 U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities and 17 corporate 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 the Company’s 2020 Form 10-K.

•U.S. government agency and U.S. government-sponsored enterprise mortgage-backed securities — The market value decline as of September 30, 2021 was primarily due to interest rate movement. These securities (issued by Ginnie Mae, Fannie Mae, and Freddie Mac) 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 and Poor's (“S&P”) and Fitch Ratings (“Fitch”), respectively). The Company expects to receive all contractual cash flows on time and believes the risk of credit losses on these securities is remote.

•Corporate debt securities — The market value decline as of September 30, 2021 was primarily due to interest rate movement and spread widening. Since credit profiles of these securities are strong (rated BBB- or higher by Moody’s, S&P, Fitch, and Kroll Bond Rating Agency), and the contractual payments from these securities have been and are expected to be received on time, the Company believes that the risk of credit losses on these securities is remote.

The impact of the Coronavirus Disease 2019 (“COVID-19”) pandemic has been greatly mitigated by the government’s aggressive monetary policy and economic stimulus plans, including benchmark rate cuts, and various relief measures that contributed to the gradual and steady recovery of the market to pre-pandemic levels. 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 suffer from future unpredictable impacts of the COVID-19 pandemic, including new and more contagious variants.

As of September 30, 2021 and 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 the 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, 2021 and December 31, 2020 provided against these securities. In addition, there was no provision for credit losses recognized for the three and nine months ended September 30, 2021 and 2020.

The following table presents the contractual maturities of AFS debt securities as of September 30, 2021. 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	$	1,522,146	$	1,486,148
Due after one year through five years	845,850		848,562
Due after five years through ten years	1,618,344		1,618,061
Due after ten years	5,796,840		5,760,235
Total AFS debt securities	$	9,783,180	$	9,713,006