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Securities | 6 Months Ended
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Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract] |
Securities | Securities The following tables present the amortized cost, gross unrealized gains and losses, and fair value by major categories of AFS debt securities as of June 30, 2020 and December 31, 2019:
($ 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 $17.8 million which are included in Other assets on the Consolidated Balance Sheet. For the Company’s accounting policy related to AFS debt securities’ accrued interest receivable, see Note 2 — Current Accounting Developments and Summary of Significant Accounting Policies to the Consolidated Financial Statements in this Form 10-Q. Unrealized Losses The following tables present the fair value and the associated gross unrealized losses of the Company’s AFS debt securities, aggregated by investment category and the length of time that the securities have been in a continuous unrealized loss position as of June 30, 2020 and December 31, 2019.
($ 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. Allowance for Credit Losses 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. Realized Gains and Losses The following table presents the proceeds, gross realized gains and tax expense related to the sales of AFS debt securities for the three and six months ended June 30, 2020 and 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 |
Contractual Maturities of Available-for-Sale Debt Securities 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 valu e of $745.2 million and $479.4 million, respectively, were pledged to secure public deposits, repurchase agreements and for other purposes required or permitted by law. Restricted Equity Securities The following table presents the restricted equity securities on the Consolidated Balance Sheet as of June 30, 2020 and December 31, 2019:
($ in thousands) |  | June 30, 2020 |  | December 31, 2019
Federal Reserve Bank (“FRB”) stock |  | $ | 58,781 |  |  | $ | 58,330 |
FHLB stock |  | 20,182 |  |  | 20,250 |
Total restricted equity securities |  | $ | 78,963 |  |  | $ | 78,580 |

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