Securities Available for Sale

The amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of September 30, 2018 and December 31, 2017, were as follows:



September 30, 2018	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Securitized asset-backed senior securities ⁽¹⁾⁽²⁾	$	67,058	$	55	$	(58	)	$	67,055
CLUB Certificate asset-backed securities ⁽¹⁾	29,004		152		(110		)	29,046
Certificates of deposit	22,446		—		—			22,446
Securitized asset-backed subordinated residual certificates ⁽¹⁾	13,302		291		(15		)	13,578
Asset-backed securities	12,037		—		(1		)	12,036
Corporate debt securities	11,690		3		(3		)	11,690
Commercial paper	9,093		—		—			9,093
Other securities	498		—		—			498
Total securities available for sale	$	165,128	$	501	$	(187	)	$	165,442


December 31, 2017	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Securitized asset-backed senior securities ⁽¹⁾	$	36,953	$	73	$	(6	)	$	37,020
Certificates of deposit	24,758		—		—			24,758
Corporate debt securities	16,268		1		(11		)	16,258
Asset-backed securities	14,843		1		(1		)	14,843
Commercial paper	14,665		—		—			14,665
Securitized asset-backed subordinated residual certificates ⁽¹⁾	8,262		—		(26		)	8,236
CLUB Certificate asset-backed securities ⁽¹⁾	1,796		11		(14		)	1,793
Total securities available for sale	$	117,545	$	86	$	(58	)	$	117,573

⁽¹⁾

As of September 30, 2018, and December 31, 2017, $108.0 million and $45.3 million, respectively, of the asset-backed securities related to structured program transactions at fair value are subject to restrictions on transfer pursuant to the Company's obligations as a “sponsor” under the U.S. Risk Retention Rules (as more fully described in “Part II. Other Information – Item 1A. Risk Factors – Risk retention rules and recent developments in our business may increase our compliance costs, impair our liquidity and otherwise adversely affect our operating results” in the Annual Report).


⁽²⁾	Includes $24.7 million of securities pledged as collateral at fair value. See “Note 13. Debt” for further information.

The senior securities and the subordinated residual certificates related to Company-sponsored securitization transactions and the retained portion of any CLUB Certificates are accounted for as securities available for sale, as described in “Note 7. Securitizations and Variable Interest Entities.” The senior securities are valued using prices obtained from third-party pricing services (Level 2 of the fair value hierarchy), as described in the Annual Report (“Note 2. Summary of Significant Accounting Policies”). The subordinated residual certificates and retained portions of the CLUB Certificates are valued using discounted cash flow models that incorporate contractual payment terms and estimated discount rates, credit losses, and prepayment rates (Level 3 of the fair value hierarchy).

A summary of securities available for sale with unrealized losses as of September 30, 2018, and December 31, 2017, aggregated by period of continuous unrealized loss, is as follows:



	Less than 12 months					12 months or longer				Total
September 30, 2018	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Asset-backed securities related to structured program transactions ⁽¹⁾	$	44,930	$	(183	)	$	—	$	—	$	44,930	$	(183	)
Asset-backed securities	5,796		(1		)	—		—		5,796		(1		)
Corporate debt securities	3,386		(3		)	—		—		3,386		(3		)
Other securities	498		—			—		—		498		—
Total securities with unrealized losses ⁽²⁾	$	54,610	$	(187	)	$	—	$	—	$	54,610	$	(187	)


	Less than 12 months					12 months or longer				Total
December 31, 2017	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Asset-backed securities related to structured program transactions	$	26,534	$	(46	)	$	—	$	—	$	26,534	$	(46	)
Corporate debt securities	14,368		(11		)	—		—		14,368		(11		)
Asset-backed securities	4,401		(1		)	—		—		4,401		(1		)
Total securities with unrealized losses ⁽²⁾	$	45,303	$	(58	)	$	—	$	—	$	45,303	$	(58	)


⁽¹⁾	Includes $24.7 million of securities pledged as collateral at fair value. See “Note 13. Debt” for further information.


⁽²⁾	The number of investment positions with unrealized losses at September 30, 2018 and December 31, 2017 totaled 34 and 24, respectively.

During the third quarter and first nine months of 2018, the Company recognized $0.2 million and $2.3 million, respectively, in other-than-temporary impairment charges on its subordinated residual certificates held as a result of its Company-sponsored securitization transactions and on the retained portions of any CLUB Certificates. There were no credit losses recognized into earnings for other-than-temporarily impaired securities held by the Company during the third quarter and first nine months of 2018 for which a portion of the impairment was previously recognized in other comprehensive income. During the third quarter and first nine months of 2017, the Company recognized $505 thousand in other-than-temporary impairment charges on its subordinated residual certificates held as a result of its Company-sponsored securitization transactions.

The contractual maturities of securities available for sale at September 30, 2018, were as follows:



	Fair Value		Amortized Cost
Within 1 year:
Certificates of deposit	$	22,446	$	22,446
Corporate debt securities	11,690		11,690
Asset-backed securities	10,536		10,537
Commercial paper	9,093		9,093
Other securities	498		498
Total	$	54,263	$	54,264
After 1 year through 5 years:
Asset-backed securities	$	1,500	$	1,500
Total	$	1,500	$	1,500
Asset-backed securities related to structured program transactions ⁽¹⁾	$	109,679	$	109,364
Total securities available for sale	$	165,442	$	165,128


⁽¹⁾	Includes $24.7 million of securities pledged as collateral at fair value. See “Note 13. Debt” for further information.

During the third quarter and first nine months of 2018, the Company and Consumer Loan Underlying Bond Depositor LLC (Depositor), a subsidiary of the Company, sold a combined $576.7 million and $1.5 billion, respectively, in asset-backed securities related to structured program transactions. During the third quarter and first nine months of 2017, the Company’s Depositor and a majority-owned affiliate (MOA) of the Company sold a combined $313.2 million and $578.6 million, respectively, in asset-backed securities related to Company-sponsored securitization transactions. There were no realized gains or losses related to such sales. For further information, see “Note 7. Securitizations and Variable Interest Entities.” Proceeds from other sales of securities available for sale during the first nine months of 2018 were $0.5 million resulting in an immaterial loss. There were no other sales of securities available for sale during the first nine months of 2017.