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Securities Available for Sale
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Securities Available for Sale Securities Available for Sale

The Company’s Structured Program transactions include i) asset-backed securitization transactions and ii) Certificate Program transactions. Certificate Program transactions include CLUB Certificate and Levered Certificate transactions.

In connection with asset-backed securitizations, the Company is the sponsor and establishes trusts to ultimately purchase the unsecured personal loans from the Company and/or third-party whole loan investors. Securities issued from our asset-backed securitizations are senior or subordinated based on the waterfall criteria of loan payments to each security class. The subordinated residual interests issued from these transactions are first to absorb credit losses in accordance with the waterfall criteria. The assets are transferred into a trust such that the assets are legally isolated from the creditors of the Company and are not available to satisfy obligations of the Company. These assets can only be used to settle obligations of the underlying trusts. The asset-backed securitization senior securities and subordinated residual interests retained by the Company are presented as “Asset-backed senior securities” and “Asset-backed subordinated securities,” respectively, in the securities available for sale tables below.

In addition, the Company sponsors the sale of unsecured personal loans through the issuance of certificate securities under our Certificate Program. The certificate securities are collateralized by loans transferred to a series of a master trust and trade in the over-the-counter market with a CUSIP. The assets are transferred into a trust such that the assets are legally isolated from the creditors of the Company and are not available to satisfy obligations of the Company. These assets can only be used to settle obligations of the underlying Certificate Program trusts. The CLUB Certificate issued securities are pass-through securities of which each owner has an undivided and equal interest in the underlying loans of each transaction. The Levered Certificate issued securities include senior and subordinated securities based on the waterfall criteria of loan payments to each security class. The subordinated securities issued from these transactions are first to absorb credit losses in accordance with the waterfall criteria. The CLUB Certificate issued securities retained by the Company are presented as “CLUB Certificate asset-backed securities” in the securities available for sale tables below.

The Levered Certificate issued senior and subordinated securities retained by the Company are presented in aggregate with securities from asset-backed securitizations as “Asset-backed senior securities” and “Asset-backed subordinated securities,” respectively, in the tables below. The “Other asset-backed securities” caption in the tables below primarily includes investment-grade rated bonds that are collateralized by automobile loan receivables.

The amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of December 31, 2019 and 2018, were as follows:
December 31, 2019
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
Asset-backed senior securities (1)
$
108,780

 
$
597

 
$
(38
)
 
$
109,339

CLUB Certificate asset-backed securities (1)
90,728

 
41

 
(1,063
)
 
89,706

Asset-backed subordinated securities (1)
20,888

 
423

 
(221
)
 
21,090

Corporate debt securities
14,333

 
11

 
(1
)
 
14,343

Certificates of deposit
13,100

 
—

 
—

 
13,100

Other asset-backed securities
12,075

 
6

 
(1
)
 
12,080

Commercial paper
9,274

 
—

 
—

 
9,274

U.S. agency securities
1,995

 
—

 
—

 
1,995

Total securities available for sale (2)
$
271,173

 
$
1,078

 
$
(1,324
)
 
$
270,927

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
Asset-backed senior securities (1)(2)
$
56,363

 
$
188

 
$
(62
)
 
$
56,489

CLUB Certificate asset-backed securities (1)
48,505

 
150

 
(225
)
 
48,430

Corporate debt securities
17,339

 
1

 
(12
)
 
17,328

Certificates of deposit
14,929

 
—

 
—

 
14,929

Asset-backed subordinated securities (1)
11,602

 
249

 
(2
)
 
11,849

Other asset-backed securities
11,232

 
—

 
(7
)
 
11,225

Commercial paper
9,720

 
—

 
—

 
9,720

Other securities
499

 
—

 
—

 
499

Total securities available for sale
$
170,189

 
$
588

 
$
(308
)
 
$
170,469


(1) 
As of December 31, 2019 and 2018, $219.0 million and $115.1 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 I – Item 1A. Risk Factors – Risk retention rules may increase our compliance costs, impair our liquidity and otherwise adversely affect our operating results.”)
(2) 
As of December 31, 2019 and 2018, includes $174.8 million and $53.6 million, respectively, of securities pledged as collateral at fair value.


A summary of securities available for sale with unrealized losses as of December 31, 2019 and 2018, aggregated by period of continuous unrealized loss, is as follows:
 
Less than
12 months
 
12 months
or longer
 
Total
December 31, 2019
Fair
Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
Asset-backed securities related to Structured Program transactions
$
91,350

 
$
(1,287
)
 
$
1,875

 
$
(35
)
 
$
93,225

 
$
(1,322
)
Corporate debt securities
4,613

 
(1
)
 
—

 
—

 
4,613

 
(1
)
Other asset-backed securities
3,062

 
(1
)
 
—

 
—

 
3,062

 
(1
)
Total securities with unrealized losses (1)
$
99,025

 
$
(1,289
)
 
$
1,875

 
$
(35
)
 
$
100,900

 
$
(1,324
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Less than
12 months
 
12 months
or longer
 
Total
December 31, 2018
Fair
Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
Asset-backed securities related to Structured Program transactions
$
49,047

 
$
(285
)
 
$
1,745

 
$
(4
)
 
$
50,792

 
$
(289
)
Corporate debt securities
14,538

 
(12
)
 
—

 
—

 
14,538

 
(12
)
Other asset-backed securities
11,208

 
(7
)
 
—

 
—

 
11,208

 
(7
)
Total securities with unrealized losses (1)
$
74,793

 
$
(304
)
 
$
1,745

 
$
(4
)
 
$
76,538

 
$
(308
)
(1) 
The number of investment positions with unrealized losses at December 31, 2019 and 2018 totaled 70 and 56, respectively.

During the years ended December 31, 2019, 2018 and 2017, the Company recognized $3.6 million, $3.0 million and $1.5 million, respectively, in other-than-temporary impairment charges on its asset-backed securities related to Structured Program transactions. There were no credit losses recognized into earnings for other-than-temporarily impaired securities held by the Company during the years ended December 31, 2019, 2018 and 2017 for which a portion of the impairment was previously recognized in other comprehensive income.

The contractual maturities of securities available for sale at December 31, 2019, were as follows:
 
Amortized Cost
 
Fair Value
Within 1 year:
 
 
 
Corporate debt securities
$
14,333

 
$
14,343

Certificates of deposit
13,100

 
13,100

Other asset-backed securities
7,756

 
7,758

Commercial paper
9,274

 
9,274

U.S. agency securities
1,995

 
1,995

Total
46,458

 
46,470

After 1 year through 5 years:
 
 
 
Other asset-backed securities
4,319

 
4,322

Total
4,319

 
4,322

Asset-backed securities related to Structured Program transactions
220,396

 
220,135

Total securities available for sale
$
271,173

 
$
270,927


During the years ended December 31, 2019, 2018 and 2017, the Company, Consumer Loan Underlying Bond Depositor LLC (Depositor), a subsidiary of the Company, and a majority-owned affiliate (MOA) of the Company sold a combined $4.5 billion, $2.0 billion and $831.1 million, respectively, in asset-backed securities related to Structured Program transactions. There were no realized gains or losses related to such sales. For further information see “Note 7. Securitizations and Variable Interest Entities.” Proceeds and gross realized gains and losses from other sales of securities available for sale were as follows:
Year Ended December 31,
2019
 
2018
 
2017
Proceeds
$
12,548

 
$
497

 
$
125,522

Gross realized gains
$
9

 
$
1

 
$
196

Gross realized losses
$
(1
)
 
$
(3
)
 
$
(26
)