FAIR VALUE MEASUREMENT AND FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2016

Assets (liabilities) measured at fair value on a recurring basis

The following tables present financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2016 and December 31, 2015:




	Assets (Liabilities) Measured at Fair Value on a Recurring Basis as of March 31, 2016
($ 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)
Available-for-sale investment securities:
U.S. Treasury securities	$	516,755		$	516,755	$	—		$	—
U.S. government agency and U.S. government sponsored enterprise debt securities	788,935			—		788,935			—
U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	326,987			—		326,987			—
Residential mortgage-backed securities	935,099			—		935,099			—
Municipal securities	159,426			—		159,426			—
Non-agency residential mortgage-backed securities:
Investment grade	59,899			—		59,899			—
Corporate debt securities:
Investment grade	365,905			—		365,905			—
Non-investment grade	7,924			—		7,924			—
Other securities	44,308			36,212		8,096			—
Total available-for-sale investment securities	$	3,205,238		$	552,967	$	2,652,271		$	—

Derivative assets:
Interest rate swaps on certificates of deposit	$	54		$	—	$	54		$	—
Interest rate swaps and options	$	129,599		$	—	$	129,599		$	—
Foreign exchange contracts	$	8,817		$	—	$	8,817		$	—

Derivative liabilities:
Interest rate swaps on certificates of deposit	$	(1,038	)	$	—	$	(1,038	)	$	—
Foreign currency forward contracts	$	(430	)	$	—	$	(430	)	$	—
Interest rate swaps and options	$	(130,420	)	$	—	$	(130,420	)	$	—
Foreign exchange contracts	$	(6,196	)	$	—	$	(6,196	)	$	—
Credit risk participation agreements (“RPAs”)	$	(11	)	$	—	$	(11	)	$	—




	Assets (Liabilities) Measured at Fair Value on a Recurring Basis as of December 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)
Available-for-sale investment securities:
U.S. Treasury securities	$	998,515		$	998,515	$	—		$	—
U.S. government agency and U.S. government sponsored enterprise debt securities	768,849			—		768,849			—
U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	351,662			—		351,662			—
Residential mortgage-backed securities	997,396			—		997,396			—
Municipal securities	175,649			—		175,649			—
Non-agency residential mortgage-backed securities:
Investment grade	62,393			—		62,393			—
Corporate debt securities:
Investment grade	364,713			—		364,713			—
Non-investment grade	9,642			—		9,642			—
Other securities	44,407			35,635		8,772			—
Total available-for-sale investment securities	$	3,773,226		$	1,034,150	$	2,739,076		$	—

Derivative assets:
Foreign currency forward contracts	$	2,365		$	—	$	2,365		$	—
Interest rate swaps and options	$	67,215		$	—	$	67,215		$	—
Foreign exchange contracts	$	10,254		$	—	$	10,254		$	—

Derivative liabilities:
Interest rate swaps on certificates of deposit	$	(5,213	)	$	—	$	(5,213	)	$	—
Interest rate swaps and options	$	(67,325	)	$	—	$	(67,325	)	$	—
Foreign exchange contracts	$	(9,350	)	$	—	$	(9,350	)	$	—
RPAs	$	(4	)	$	—	$	(4	)	$	—

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

The following table presents a reconciliation of the beginning and ending balances for major asset and liability categories measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2015:




($ in thousands)	Three Months Ended March 31,
	2015
	Corporate Debt Securities: Non-Investment Grade			Embedded Derivative Liabilities
Beginning balance	$	6,528		$	(3,392	)
Total gains (losses) for the period:
Included in earnings ⁽¹⁾	960			(20		)
Included in other comprehensive income ⁽²⁾	922			—
Sales and settlements:
Sales	(7,219		)	—
Settlements	(98		)	—
Transfers in and/or out of Level 3	(1,093		)	—
Ending balance	$	—		$	(3,412	)
Change in unrealized losses included in earnings relating to assets and liabilities held for the period	$	—		$	(20	)


(1)	Net gains or losses (realized and unrealized) of corporate debt securities and embedded derivative liabilities are included in Net gains on sales of available-for-sale 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

The following tables present the carrying amounts of all assets that were still held as of March 31, 2016 and December 31, 2015 for which a nonrecurring fair value measurement was recorded:




	Assets Measured at Fair Value on a Nonrecurring Basis as of March 31, 2016
($ 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”)	$	13,147	$	—	$	—	$	13,147
Commercial and industrial (“C&I”)	48,788		—		—		48,788
Residential	17,345		—		—		17,345
Consumer	1,570		—		—		1,570
Total non-PCI impaired loans	$	80,850	$	—	$	—	$	80,850
OREO	$	3,490	$	—	$	—	$	3,490
Loans held for sale	$	28,795	$	—	$	28,795	$	—




	Assets Measured at Fair Value on a Nonrecurring Basis as of December 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:
CRE	$	17,252	$	—	$	—	$	17,252
C&I	35,558		—		—		35,558
Residential	16,472		—		—		16,472
Consumer	1,180		—		—		1,180
Total non-PCI impaired loans	$	70,462	$	—	$	—	$	70,462
OREO	$	4,929	$	—	$	—	$	4,929
Loans held for sale	$	29,238	$	—	$	29,238	$	—

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

The following table presents fair value adjustments of certain assets measured on a nonrecurring basis recognized for the three months ended and still held as of March 31, 2016 and 2015:




	Three Months Ended March 31,
($ in thousands)	2016			2015
Non-PCI impaired loans:
CRE	$	2,178		$	841
C&I	(1,935		)	(2,470		)
Residential	(83		)	(239		)
Consumer	3			—
Total non-PCI impaired loans	$	163		$	(1,868	)
OREO	$	(461	)	$	(277	)
Loans held for sale	$	(2,351	)	$	—

Carrying amounts and fair values of financial instruments

The following tables present the carrying and fair values per the fair value hierarchy of certain financial instruments, excluding those measured at fair value on a recurring basis, as of March 31, 2016 and December 31, 2015:




($ in thousands)	March 31, 2016
($ in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Estimated Fair Value
Financial assets:
Cash and cash equivalents	$	2,265,297	$	2,265,297	$	—	$	—	$	2,265,297
Short-term investments	$	305,548	$	—	$	305,548	$	—	$	305,548
Resale agreements ⁽¹⁾	$	1,800,000	$	—	$	1,571,665	$	—	$	1,571,665
Held-to-maturity investment security	$	160,135	$	—	$	—	$	160,135	$	160,135
Loans held for sale	$	28,795	$	—	$	28,795	$	—	$	28,795
Loans receivable, net	$	23,494,126	$	—	$	—	$	23,344,433	$	23,344,433
Investment in FHLB stock	$	18,157	$	—	$	18,157	$	—	$	18,157
Investment in Federal Reserve Bank stock	$	55,079	$	—	$	55,079	$	—	$	55,079
Accrued interest receivable	$	88,804	$	—	$	88,804	$	—	$	88,804
Financial liabilities:
Customer deposit accounts:
Demand, savings and money market deposits	$	22,531,531	$	—	$	22,531,531	$	—	$	22,531,531
Time deposits	$	6,064,716	$	—	$	6,063,265	$	—	$	6,063,265
Short-term borrowings	$	10,093	$	—	$	10,093	$	—	$	10,093
FHLB advances	$	319,973	$	—	$	332,474	$	—	$	332,474
Repurchase agreements ⁽¹⁾	$	200,000	$	—	$	271,367	$	—	$	271,367
Accrued interest payable	$	8,507	$	—	$	8,507	$	—	$	8,507
Long-term debt	$	201,102	$	—	$	194,189	$	—	$	194,189


(1)	Resale and repurchase agreements are reported net pursuant to ASC 210-20-45, Balance Sheet Offsetting. As of March 31, 2016, $250.0 million out of $450.0 million of repurchase agreements was eligible for netting against resale agreements.




	December 31, 2015
($ in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Estimated Fair Value
Financial assets:
Cash and cash equivalents	$	1,360,887	$	1,360,887	$	—	$	—	$	1,360,887
Short-term investments	$	299,916	$	—	$	299,916	$	—	$	299,916
Resale agreements ⁽¹⁾	$	1,600,000	$	—	$	1,533,961	$	—	$	1,533,961
Loans held for sale	$	31,958	$	—	$	31,958	$	—	$	31,958
Loans receivable, net	$	23,378,789	$	—	$	—	$	23,000,817	$	23,000,817
Investment in FHLB stock	$	28,770	$	—	$	28,770	$	—	$	28,770
Investment in Federal Reserve Bank stock	$	54,932	$	—	$	54,932	$	—	$	54,932
Accrued interest receivable	$	89,243	$	—	$	89,243	$	—	$	89,243
Financial liabilities:
Customer deposit accounts:
Demand, savings and money market deposits	$	20,859,086	$	—	$	20,859,086	$	—	$	20,859,086
Time deposits	$	6,616,895	$	—	$	6,606,942	$	—	$	6,606,942
FHLB advances	$	1,019,424	$	—	$	1,032,000	$	—	$	1,032,000
Accrued interest payable	$	8,848	$	—	$	8,848	$	—	$	8,848
Long-term debt	$	206,084	$	—	$	186,593	$	—	$	186,593


(1)	Resale and repurchase agreements are reported net pursuant to ASC 210-20-45, Balance Sheet Offsetting. As of December 31, 2015, the carrying amount of $450.0 million of repurchase agreements was eligible for netting against resale agreements, resulting in no repurchase agreements’ balances reported.

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

The following table presents quantitative information about significant unobservable inputs used in the valuation of assets measured on a nonrecurring basis classified as Level 3 as of March 31, 2016 and December 31, 2015:




($ in thousands)	Fair Value Measurements (Level 3)		Valuation Technique(s)	Unobservable Input(s)	Range of Inputs	Weighted Average
March 31, 2016
Non-PCI impaired loans	$	40,719	Discounted cash flow	Discount rate	0% - 84%	23%
	$	40,131	Market comparables	Discount rate ⁽¹⁾	0% - 43%	12%
OREO	$	3,490	Appraisal	Selling cost	8%	8%
December 31, 2015
Non-PCI impaired loans	$	27,522	Discounted cash flow	Discount rate	0% - 87%	30%
	$	42,940	Market comparables	Discount rate ⁽¹⁾	0% - 100%	17%
OREO	$	4,929	Appraisal	Selling cost	8%	8%


(1)	Discount rate is adjusted for factors such as liquidation cost of collateral and selling cost.