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FAIR VALUE MEASUREMENT AND FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2015
FAIR VALUE MEASUREMENT AND FAIR VALUE OF FINANCIAL INSTRUMENTS  
Assets (Liabilities) Measured at Fair Value on a Recurring Basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Assets (Liabilities) Measured at Fair Value on a Recurring Basis
as of March 31, 2015

 

($ in thousands)

 

Fair Value
Measurements
March 31, 2015

 

Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)

 

Significant
Other
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

Available-for-sale investment securities:

 

 

 

 

 

 

 

 

 

U.S. Treasury securities

 

 $
1,172,226

 

 $
1,172,226

 

 $

—

 

 $

—

 

U.S. government agency and U.S. government sponsored enterprise debt securities

 
411,966

 

—

 
411,966

 

—

 

U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:

 

 

 

 

 

 

 

 

 

Commercial mortgage-backed securities

 
95,235

 

—

 
95,235

 

—

 

Residential mortgage-backed securities

 
727,356

 

—

 
727,356

 

—

 

Municipal securities

 
191,246

 

—

 
191,246

 

—

 

Other residential mortgage-backed securities:

 

 

 

 

 

 

 

 

 

Investment grade

 
51,501

 

—

 
51,501

 

—

 

Corporate debt securities:

 

 

 

 

 

 

 

 

 

Investment grade

 
140,401

 

—

 
140,401

 

—

 

Non-investment grade

 
9,501

 

—

 
9,501

 

—

 

Other securities

 
41,653

 
32,477

 
9,176

 

—

 

Total available-for-sale investment securities

 

 $
2,841,085

 

 $
1,204,703

 

 $
1,636,382

 

 $

—

 

 

 

 

 

 

 

 

 

 

 

Derivative assets:

 

 

 

 

 

 

 

 

 

Foreign exchange options

 

 $
3,683

 

 $

—

 

 $
3,683

 

 $

—

 

Interest rate swaps and caps

 

 $
66,060

 

 $

—

 

 $
66,060

 

 $

—

 

Foreign exchange contracts

 

 $
13,340

 

 $

—

 

 $
13,340

 

 $

—

 

Derivative liabilities:

 

 

 

 

 

 

 

 

 

Interest rate swaps on certificates of deposits

 

 $
(6,370)

 

 $

—

 

 $
(6,370)

 

 $

—

 

Interest rate swaps and caps

 

 $
(66,914)

 

 $

—

 

 $
(66,914)

 

 $

—

 

Foreign exchange contracts

 

 $
(13,080)

 

 $

—

 

 $
(13,080)

 

 $

—

 

Embedded derivative liabilities

 

 $
(3,412)

 

 $

—

 

 $

—

 

 $
(3,412

)

 

 

 

 

 

 

 

 

Assets (Liabilities) Measured at Fair Value on a Recurring Basis
as of December 31, 2014

 

($ in thousands)

 

Fair Value
Measurements
December 31, 2014

 

Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)

 

Significant
Other
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

Available-for-sale investment securities:

 

 

 

 

 

 

 

 

 

U.S. Treasury securities

 

 $
873,435

 

 $
873,435

 

 $

—

 

 $

—

 

U.S. government agency and U.S. government sponsored enterprise debt securities

 
311,024

 

—

 
311,024

 

—

 

U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:

 

 

 

 

 

 

 

 

 

Commercial mortgage-backed securities

 
141,420

 

—

 
141,420

 

—

 

Residential mortgage-backed securities

 
791,088

 

—

 
791,088

 

—

 

Municipal securities

 
250,448

 

—

 
250,448

 

—

 

Other residential mortgage-backed securities:

 

 

 

 

 

 

 

 

 

Investment grade

 
53,918

 

—

 
53,918

 

—

 

Other commercial mortgage-backed securities:

 

 

 

 

 

 

 

 

 

Investment grade

 
34,053

 

—

 
34,053

 

—

 

Corporate debt securities:

 

 

 

 

 

 

 

 

 

Investment grade

 
115,182

 

—

 
115,182

 

—

 

Non-investment grade

 
14,681

 

—

 
8,153

 
6,528

 

Other securities

 
41,116

 
32,105

 
9,011

 

—

 

Total available-for-sale investment securities

 

 $
2,626,365

 

 $
905,540

 

 $
1,714,297

 

 $
6,528

 

 

 

 

 

 

 

 

 

 

 

Derivative assets:

 

 

 

 

 

 

 

 

 

Foreign exchange options

 

 $
6,136

 

 $

—

 

 $
6,136

 

 $

—

 

Interest rate swaps and caps

 

 $
41,534

 

 $

—

 

 $
41,534

 

 $

—

 

Foreign exchange contracts

 

 $
8,123

 

 $

—

 

 $
8,123

 

 $

—

 

Derivative liabilities:

 

 

 

 

 

 

 

 

 

Interest rate swaps on certificates of deposits

 

 $
(9,922)

 

 $

—

 

 $
(9,922)

 

 $

—

 

Interest rate swaps and caps

 

 $
(41,779)

 

 $

—

 

 $
(41,779)

 

 $

—

 

Foreign exchange contracts

 

 $
(9,171)

 

 $

—

 

 $
(9,171)

 

 $

—

 

Embedded derivative liabilities

 

 $
(3,392)

 

 $

—

 

 $

—

 

 $
(3,392

)
 

Reconciliation of assets and liabilities measured at fair value using significant unobservable inputs

 

 

 

 

 

2015

 

2014

 

($ in thousands)

 

Corporate Debt
Securities:
Non-Investment Grade

 

Embedded
Derivatives
Liabilities

 

Corporate Debt
Securities:
Non-Investment Grade

 

Embedded
Derivatives
Liabilities

 

Beginning balance, January 1

 

 $
6,528

 

 $
(3,392)

 

 $
6,371

 

 $
(3,655

)

Total gains or (losses) for the period: 

 

 

 

 

 

 

 

 

 

Included in earnings (1)

 
960

 
(20)

 

—

 
257

 

Included in other comprehensive income (unrealized)(2)

 
922

 

—

 
434

 

—

 

Purchases, issues, sales, settlements:

 

 

 

 

 

 

 

 

 

Purchases

 

—

 

—

 

—

 

—

 

Issues

 

—

 

—

 

—

 

—

 

Sales

 
(7,219)

 

—

 

—

 

—

 

Settlements

 
(98)

 

—

 
(88)

 

—

 

Transfer from investment grade to non-investment grade

 

—

 

—

 

—

 

—

 

Transfers in and/or out of Level 3

 
(1,093)

 

—

 

—

 

—

 

Ending balance, March 31

 

 $

—

 

 $
(3,412)

 

 $
6,717

 

 $
(3,398

)

Changes in unrealized losses included in earnings relating to assets and liabilities held at the end of March 31

 

 $

—

 

 $
20

 

 $

—

 

 $
(257

)

 

 

 

(1)

Realized gains or losses of corporate debt securities and embedded derivative liabilities are included in net gains on sales of investment securities and other operating expense, respectively, in the consolidated statements of income.

(2)

Unrealized gains or losses on available-for-sale investment securities are reported in other comprehensive income, net of tax, in the consolidated statements of comprehensive income.

 

 

Assets Measured at Fair Value on a Nonrecurring Basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets Measured at Fair Value on a Nonrecurring Basis
as of March 31, 2015

 

($ in thousands)

 

Fair Value
Measurements

 

Quoted Prices in
Active Markets
for Identical Assets
(Level 1)

 

Significant
Other
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

Non-PCI impaired loans:

 

 

 

 

 

 

 

 

 

Commercial Real Estate (“CRE”)

 

 $
13,648 

 

 $

—

 

 $

—

 

 $
13,648 

 

Commercial and Industrial (“C&I”)

 
11,356 

 

—

 

—

 
11,356 

 

Residential

 
14,306 

 

—

 

—

 
14,306 

 

Consumer

 
107 

 

—

 

—

 
107 

 

Total non-PCI impaired loans

 

 $
39,417 

 

 $

—

 

 $

—

 

 $
39,417 

 

OREO

 

 $
1,676 

 

 $

—

 

 $

—

 

 $
1,676 

 

 

 

 

 

 

 

 

 

Assets Measured at Fair Value on a Nonrecurring Basis
as of December 31, 2014

 

($ in thousands)

 

Fair Value
Measurements

 

Quoted Prices in
Active Markets
for Identical Assets
(Level 1)

 

Significant
Other
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

Non-PCI impaired loans:

 

 

 

 

 

 

 

 

 

CRE

 

 $
26,089 

 

 $

—

 

 $

—

 

 $
26,089 

 

C&I

 
16,581 

 

—

 

—

 
16,581 

 

Residential

 
25,034 

 

—

 

—

 
25,034 

 

Consumer

 
107 

 

—

 

—

 
107 

 

Total non-PCI impaired loans

 

 $
67,811 

 

 $

—

 

 $

—

 

 $
67,811 

 

OREO

 

 $
17,521 

 

 $

—

 

 $

—

 

 $
17,521 

 

 

 

 

 

 

 

 

 

 

 

 

Summary of increase (decrease) in value of certain assets for which a nonrecurring fair value adjustment has been recognized

 

 

 

 

 

 

 

Three Months Ended March 31,

 

($ in thousands)

 

2015

 

2014

 

Non-PCI impaired loans:

 

 

 

 

 

CRE

 

 $
841 

 

 $
(464)

 

C&I

 
(2,470)

 
(6,530)

 

Residential

 
(239)

 
(365)

 

Consumer

 

—

 

—

 

Total non-PCI impaired loans

 

 $
(1,868)

 

 $
(7,359)

 

OREO

 

 $
(277)

 

 $
(526)

 

 

 

Carrying amounts and fair values of financial instruments

 

 

 

 

 

 

 

 

March 31, 2015

 

($ in thousands)

 

Carrying
Amount

 

Level 1

 

Level 2

 

Level 3

 

Estimated
Fair Value

 

Financial Assets:

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

 $
1,886,199 

 

 $
1,886,199 

 

 $

—

 

 $

—

 

 $
1,886,199 

 

Short-term investments

 

 $
325,350 

 

 $

—

 

 $
325,350 

 

 $

—

 

 $
325,350 

 

Securities purchased under resale agreements

 

 $
1,550,000 

 

 $

—

 

 $
1,597,101 

 

 $

—

 

 $
1,597,101 

 

Loans held for sale

 

 $
196,111 

 

 $

—

 

 $
196,111 

 

 $

—

 

 $
196,111 

 

Loans receivable, net

 

 $
21,116,931 

 

 $

—

 

 $

—

 

 $
20,905,743 

 

 $
20,905,743 

 

Investment in Federal Home Loan Bank stock

 

 $
28,603 

 

 $

—

 

 $
28,603 

 

 $

—

 

 $
28,603 

 

Investment in Federal Reserve Bank stock

 

 $
54,556 

 

 $

—

 

 $
54,556 

 

 $

—

 

 $
54,556 

 

Accrued interest receivable

 

 $
86,186 

 

 $

—

 

 $
86,186 

 

 $

—

 

 $
86,186 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Customer deposit accounts:

 

 

 

 

 

 

 

 

 

 

 

Demand, savings and money market deposits

 

 $
18,786,462 

 

 $

—

 

 $
18,786,462 

 

 $

—

 

 $
18,786,462 

 

Time deposits

 

 $
6,376,371 

 

 $

—

 

 $

—

 

 $
6,358,260 

 

 $
6,358,260 

 

Federal Home Loan Bank advances

 

 $
317,777 

 

 $

—

 

 $
334,286 

 

 $

—

 

 $
334,286 

 

Securities sold under repurchase agreements

 

 $
695,000 

 

 $

—

 

 $
751,270 

 

 $

—

 

 $
751,270 

 

Accrued interest payable

 

 $
12,141 

 

 $

—

 

 $
12,141 

 

 $

—

 

 $
12,141 

 

Long-term debt

 

 $
220,905 

 

 $

—

 

 $
207,906 

 

 $

—

 

 $
207,906 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

($ in thousands)

 

Carrying
Amount

 

Level 1

 

Level 2

 

Level 3

 

Estimated
Fair Value

 

Financial Assets:

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

 $
1,039,885 

 

 $
1,039,885 

 

 $

—

 

 $

—

 

 $
1,039,885 

 

Short-term investments

 

 $
338,714 

 

 $

—

 

 $
338,714 

 

 $

—

 

 $
338,714 

 

Securities purchased under resale agreements

 

 $
1,225,000 

 

 $

—

 

 $
1,191,060 

 

 $

—

 

 $
1,191,060 

 

Loans held for sale

 

 $
45,950 

 

 $

—

 

 $
45,950 

 

 $

—

 

 $
45,950 

 

Loans receivable, net

 

 $
21,468,270 

 

 $

—

 

 $

—

 

 $
20,997,379 

 

 $
20,997,379 

 

Investment in Federal Home Loan Bank stock

 

 $
31,239 

 

 $

—

 

 $
31,239 

 

 $

—

 

 $
31,239 

 

Investment in Federal Reserve Bank stock

 

 $
54,451 

 

 $

—

 

 $
54,451 

 

 $

—

 

 $
54,451 

 

Accrued interest receivable

 

 $
88,303 

 

 $

—

 

 $
88,303 

 

 $

—

 

 $
88,303 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Customer deposit accounts:

 

 

 

 

 

 

 

 

 

 

 

Demand, savings and money market deposits

 

 $
17,896,035 

 

 $

—

 

 $
17,896,035 

 

 $

—

 

 $
17,896,035 

 

Time deposits

 

 $
6,112,739 

 

 $

—

 

 $

—

 

 $
6,095,217 

 

 $
6,095,217 

 

Federal Home Loan Bank advances

 

 $
317,241 

 

 $

—

 

 $
336,302 

 

 $

—

 

 $
336,302 

 

Securities sold under repurchase agreements

 

 $
795,000 

 

 $

—

 

 $
870,434 

 

 $

—

 

 $
870,434 

 

Accrued interest payable

 

 $
11,303 

 

 $

—

 

 $
11,303 

 

 $

—

 

 $
11,303 

 

Long-term debt

 

 $
225,848 

 

 $

—

 

 $
205,777 

 

 $

—

 

 $
205,777 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value, Measurements, Recurring  
Quantitative information  
Schedule of quantitative information about significant unobservable inputs used in the valuation of assets and liabilities classified as Level 3

 

 

($ in thousands)

 

 

Fair Value
Measurements
(Level 3)

 

Valuation
Technique(s)

 

Unobservable
Input(s)

 

Range of Inputs

 

Weighted
Average

 

March 31, 2015

 

 

 

 

 

 

 

 

 

 

 

Embedded derivative liabilities

 

 $
(3,412

)

Discounted cash flow

 

Credit risk

 

0.03% - 0.07%

 

0.06%

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

 

 

 

 

 

 

 

 

 

 

Available-for-sale investment securities:

 

 

 

 

 

 

 

 

 

 

 

Corporate debt securities:

 

 

 

 

 

 

 

 

 

 

 

Non-investment grade

 

 $
6,528

 

Discounted cash flow

 

Constant prepayment rate

 

0.00% - 1.00%

 

0.73%

 

 

 

 

 

 

 

Constant default rate

 

0.75% - 1.20%

 

0.87%

 

 

 

 

 

 

 

Loss severity

 

85.00%

 

85.00%

 

 

 

 

 

 

 

Discount margin

 

4.50% - 7.50%

 

6.94%

 

Embedded derivative liabilities

 

 $
(3,392

)

Discounted cash flow

 

Credit risk

 

0.12% - 0.14%

 

0.13%

 

 

 

 

 

Fair Value, Measurements, Nonrecurring  
Quantitative information  
Schedule of quantitative information about significant unobservable inputs used in the valuation of assets and liabilities classified as Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

Fair Value
Measurements
(Level 3)

 

Valuation
Technique(s)

 

Unobservable
Input(s)

 

Range of Inputs

 

Weighted
Average

 

March 31, 2015

 

 

 

 

 

 

 

 

 

 

 

Non-PCI impaired loans

 

 $
3,578 

 

Discounted cash flow

 

Discount rate

 

0% - 86%

 

58%

 

 

 

 $
35,839 

 

Market comparables

 

Discount rate (1)

 

0% - 100%

 

7%

 

OREO

 

 $
1,676 

 

Appraisal

 

Selling cost

 

8%

 

8%

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

 

 

 

 

 

 

 

 

 

 

Non-PCI impaired loans

 

 $
11,499 

 

Discounted cash flow

 

Discount rate

 

0% - 81%

 

49%

 

 

 

 $
56,312 

 

Market comparables

 

Discount rate (1)

 

0% - 100%

 

4%

 

OREO

 

 $
17,521 

 

Appraisal

 

Selling cost

 

8%

 

8%

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Discount rate is adjusted for factors such as liquidation cost of collateral and selling costs.