Fair Value Measurement and Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis

Schedule of 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 June 30, 2018 and December 31, 2017:




($ in thousands)	Assets (Liabilities) Measured at Fair Value on a Recurring Basis as of June 30, 2018
($ 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	$	629,270	$	629,270	$	—	$	—
U.S. government agency and U.S. government sponsored enterprise debt securities	240,042		—		240,042		—
U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	337,237		—		337,237		—
Residential mortgage-backed securities	936,447		—		936,447		—
Municipal securities	73,619		—		73,619		—
Non-agency residential mortgage-backed securities:
Investment grade	7,835		—		7,835		—
Corporate debt securities:
Investment grade	11,001		—		11,001		—
Foreign bonds:
Investment grade	459,433		—		459,433		—
Asset-backed securities:
Investment grade	12,560		—		12,560		—
Total available-for-sale investment securities	$	2,707,444	$	629,270	$	2,078,174	$	—

Investments in tax credit and other investments:
Equity securities with readily determinable fair value ⁽¹⁾	$	30,929	$	20,431	$	10,498	$	—
Total investments in tax credit and other investments	$	30,929	$	20,431	$	10,498	$	—

Derivative assets:
Interest rate swaps and options	$	64,225	$	—	$	64,225	$	—
Foreign exchange forwards, spot and swaps	11,724		—		11,724		—
RPAs	1		—		1		—
Equity warrants	1,878		—		1,230		648
Commodity swaps and options	3,628		—		3,628		—
Total derivative assets	$	81,456	$	—	$	80,808	$	648

Derivative liabilities:
Interest rate swaps and options	$	100,025	$	—	$	100,025	$	—
Foreign exchange forwards, spot and swaps	11,281		—		11,281		—
RPAs	77		—		77		—
Commodity swaps and options	3,159		—		3,159		—
Total derivative liabilities	$	114,542	$	—	$	114,542	$	—


(1)	Equity securities with readily determinable fair value were comprised of mutual funds as of June 30, 2018.




($ in thousands)	Assets (Liabilities) Measured at Fair Value on a Recurring Basis as of December 31, 2017
($ 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	$	640,280	$	640,280	$	—	$	—
U.S. government agency and U.S. government sponsored enterprise debt securities	203,392		—		203,392		—
U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	318,957		—		318,957		—
Residential mortgage-backed securities	1,190,271		—		1,190,271		—
Municipal securities	99,982		—		99,982		—
Non-agency residential mortgage-backed securities:
Investment grade	9,117		—		9,117		—
Corporate debt securities:
Investment grade	37,003		—		37,003		—
Foreign bonds:
Investment grade	486,408		—		486,408		—
Other securities	31,342		20,735		10,607		—
Total available-for-sale investment securities	$	3,016,752	$	661,015	$	2,355,737	$	—

Derivative assets:
Interest rate swaps and options	$	58,633	$	—	$	58,633	$	—
Foreign exchange forwards, spot and swaps	5,840		—		5,840		—
RPAs	1		—		1		—
Equity warrants	1,672		—		993		679
Total derivative assets	$	66,146	$	—	$	65,467	$	679

Derivative liabilities:
Interest rate swaps	$	6,799	$	—	$	6,799	$	—
Interest rate swaps and options	57,958		—		57,958		—
Foreign exchange forwards, spot and swaps	10,170		—		10,170		—
RPAs	8		—		8		—
Total derivative liabilities	$	74,935	$	—	$	74,935	$	—

Reconciliation of the beginning and ending balances for warrants measured at fair value on a recurring basis using significant unobservable inputs (Level 3)

The following table presents a reconciliation of the beginning and ending balances for these warrants for the three and six months ended June 30, 2018:




($ in thousands)	Three Months Ended			Six Months Ended
($ in thousands)	June 30, 2018			June 30, 2018
Equity warrants
Beginning balance	$	931		$	679
Total (losses) gains included in earnings⁽¹⁾	(76		)	168
Issuances	26			34
Settlements	(233		)	(233		)
Ending balance	$	648		$	648


(1)	Includes unrealized (losses) gains of $(13) thousand and $231 thousand for the three and six months ended June 30, 2018, respectively. The realized/unrealized (losses) gains are included in Ancillary loan fees and other income on the Consolidated Statement of Income.

Schedule of assets with fair value changes measured on a nonrecurring basis

following tables present the carrying amounts of assets included on the Consolidated Balance Sheet that had fair value changes measured on a nonrecurring basis as of June 30, 2018 and December 31, 2017:




	Assets Measured at Fair Value on a Nonrecurring Basis as of June 30, 2018
($ 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 lending:
Commercial and industrial (“C&I”)	$	18,574	$	—	$	—	$	18,574
Commercial real estate (“CRE”)	3,053		—		—		3,053
Consumer lending:
Single-family residential	2,584		—		—		2,584
Home equity lines of credit (“HELOCs”)	924		—		—		924
Total non-PCI impaired loans	$	25,135	$	—	$	—	$	25,135




	Assets Measured at Fair Value on a Nonrecurring Basis as of December 31, 2017
($ 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 lending:
C&I	$	31,404	$	—	$	—	$	31,404
CRE	2,667		—		—		2,667
Construction and land	3,973		—		—		3,973
Consumer lending:
Single-family residential	144		—		—		144
Total non-PCI impaired loans	$	38,188	$	—	$	—	$	38,188
OREO	$	9	$	—	$	—	$	9

Schedule of fair value adjustments of assets measured on a nonrecurring basis recognized

following table presents the total change in value of assets for which a fair value adjustment has been included on the Consolidated Statements of Income for the three and six months ended June 30, 2018 and 2017 and held as of those dates:




($ in thousands)	Three Months Ended June 30,						Six Months Ended June 30,
($ in thousands)	2018			2017			2018			2017
Non-PCI impaired loans:
Commercial lending:
C&I	$	4,544		$	(14,060	)	$	595		$	(11,418	)
CRE	66			193			(23		)	118
Multifamily residential	—			(106		)	—			(107		)
Construction and land	—			—			—			(147		)
Consumer lending:
Single-family residential	—			76			15			158
HELOCs	(73		)	24			(73		)	25
Total non-PCI impaired loans nonrecurring fair value gains (losses)	$	4,537		$	(13,873	)	$	514		$	(11,371	)
OREO nonrecurring fair value losses	$	—		$	—		$	—		$	(285	)

Schedule of the carrying and fair values per the fair value hierarchy of certain financial instruments

following tables present the fair value estimates for financial instruments as of June 30, 2018 and December 31, 2017, excluding financial instruments recorded at fair value on a recurring basis as they are included in the tables presented elsewhere in Note 4 — Fair Value Measurement and Fair Value of Financial Instruments. The carrying amounts in the following tables are recorded on the Consolidated Balance Sheet under the indicated captions, except for accrued interest receivable and mortgage servicing rights that are included in Other assets, and accrued interest payable that is included in Accrued expenses and other liabilities. These financial assets and liabilities are measured at amortized cost basis on the Company’s Consolidated Balance Sheet. During the first quarter of 2018, the Company adopted ASU 2016-01 and has updated its valuation methods as necessary to conform to an “exit price” concept as required by ASU 2016-01.




($ in thousands)	June 30, 2018
($ in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Estimated Fair Value
Financial assets:
Cash and cash equivalents	$	2,297,471	$	2,297,471	$	—	$	—	$	2,297,471
Interest-bearing deposits with banks	$	360,900	$	—	$	360,900	$	—	$	360,900
Resale agreements ⁽¹⁾	$	975,000	$	—	$	946,643	$	—	$	946,643
Restricted equity securities, at cost	$	73,524	$	—	$	73,524	$	—	$	73,524
Loans held-for-sale	$	14,658	$	—	$	14,658	$	—	$	14,658
Loans held-for-investment, net	$	29,928,829	$	—	$	—	$	30,073,212	$	30,073,212
Mortgage servicing rights	$	7,865	$	—	$	—	$	12,111	$	12,111
Accrued interest receivable	$	128,339	$	—	$	128,339	$	—	$	128,339
Financial liabilities:
Demand, checking, savings and money market deposits	$	24,916,109	$	—	$	24,916,109	$	—	$	24,916,109
Time deposits	$	7,860,023	$	—	$	7,835,585	$	—	$	7,835,585
Short-term borrowings	$	58,523	$	—	$	58,523	$	—	$	58,523
FHLB advances	$	325,020	$	—	$	337,544	$	—	$	337,544
Repurchase agreements ⁽¹⁾	$	50,000	$	—	$	114,944	$	—	$	114,944
Long-term debt	$	161,704	$	—	$	167,573	$	—	$	167,573
Accrued interest payable	$	15,360	$	—	$	15,360	$	—	$	15,360


(1)	Resale and repurchase agreements are reported net pursuant to ASC 210-20-45-11, Balance Sheet Offsetting: Repurchase and Reverse Repurchase Agreements. As of June 30, 2018, $400.0 million out of $450.0 million of repurchase agreements were eligible for netting against resale agreements.




($ in thousands)	December 31, 2017
($ in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Estimated Fair Value
Financial assets:
Cash and cash equivalents	$	2,174,592	$	2,174,592	$	—	$	—	$	2,174,592
Interest-bearing deposits with banks	$	398,422	$	—	$	398,422	$	—	$	398,422
Resale agreements ⁽¹⁾	$	1,050,000	$	—	$	1,035,158	$	—	$	1,035,158
Restricted equity securities, at cost	$	73,521	$	—	$	73,521	$	—	$	73,521
Loans held-for-sale	$	85	$	—	$	85	$	—	$	85
Loans held-for-investment, net	$	28,688,590	$	—	$	—	$	28,956,349	$	28,956,349
Branch assets held-for-sale	$	91,318	$	5,143	$	10,970	$	78,132	$	94,245
Mortgage servicing rights	$	7,771	$	—	$	—	$	11,324	$	11,324
Accrued interest receivable	$	121,719	$	—	$	121,719	$	—	$	121,719
Financial liabilities:
Demand, checking, savings and money market deposits	$	25,974,314	$	—	$	25,974,314	$	—	$	25,974,314
Time deposits	$	5,640,749	$	—	$	5,626,855	$	—	$	5,626,855
Branch liability held-for-sale	$	605,111	$	—	$	—	$	643,937	$	643,937
FHLB advances	$	323,891	$	—	$	335,901	$	—	$	335,901
Repurchase agreements ⁽¹⁾	$	50,000	$	—	$	104,830	$	—	$	104,830
Long-term debt	$	171,577	$	—	$	171,673	$	—	$	171,673
Accrued interest payable	$	10,724	$	—	$	10,724	$	—	$	10,724


(1)	Resale and repurchase agreements are reported net pursuant to ASC 210-20-45-11, Balance Sheet Offsetting: Repurchase and Reverse Repurchase Agreements. As of December 31, 2017, $400.0 million out of $450.0 million of repurchase agreements were eligible for netting against resale agreements.

Fair Value, Measurements, Recurring

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis

Schedule of quantitative information about significant unobservable inputs used in the valuation of assets classified as Level 3

he following table presents quantitative information about the significant unobservable inputs used in the valuation of assets measured on a recurring basis classified as Level 3 as of June 30, 2018. The significant unobservable inputs presented in the table below are those that the Company considers significant to the fair value of the Level 3 assets. The Company considers unobservable inputs to be significant if, by their exclusion, the fair value of the Level 3 assets would be impacted by a predetermined percentage change.




($ in thousands)	Fair Value Measurements (Level 3)		Valuation Technique	Unobservable Input(s)	Weighted- Average
Derivative assets:
Equity warrants	$	648	Black-Scholes option pricing model	Volatility	47%
				Liquidity discount	47%

Ass

Fair Value, Measurements, Nonrecurring

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis

Schedule of quantitative information about significant unobservable inputs used in the valuation of assets classified as Level 3

he following table presents the quantitative information about the significant unobservable inputs used in the valuation of assets measured on a nonrecurring basis classified as Level 3 as of June 30, 2018 and December 31, 2017:




($ in thousands)	Fair Value Measurements (Level 3)		Valuation Technique(s)	Unobservable Input(s)	Range(s) of Input(s)	Weighted- Average
June 30, 2018
Non-PCI impaired loans	$	21,048	Discounted cash flows	Discount	4% — 7%	6%
	$	3,167	Fair value of property	Selling cost	8%	8%
	$	318	Fair value of collateral	Discount	15%	15%
	$	602	Fair value of collateral	Contract value	NM	NM
December 31, 2017
Non-PCI impaired loans	$	22,802	Discounted cash flows	Discount	4% — 10%	6%
	$	9,773	Fair value of property	Selling cost	8%	8%
	$	3,207	Fair value of collateral	Discount	20% — 32%	29%
	$	2,406	Fair value of collateral	Contract value	NM	NM
OREO	$	9	Fair value of property	Selling cost	8%	8%

NM — Not meaningful.