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

12 Months Ended

Dec. 31, 2019

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

Schedule of financial 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 December 31, 2019 and 2018:




($ in thousands)	Assets and Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2019
($ in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total Fair Value
AFS investment securities:
U.S. Treasury securities	$	176,422	$	—		$	—	$	176,422
U.S. government agency and U.S. government sponsored enterprise debt securities	—		581,245			—		581,245
U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	—		603,471			—		603,471
Residential mortgage-backed securities	—		1,003,897			—		1,003,897
Municipal securities	—		102,302			—		102,302
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	—		88,550			—		88,550
Residential mortgage-backed securities	—		46,548			—		46,548
Corporate debt securities	—		11,149			—		11,149
Foreign bonds	—		354,172			—		354,172
Asset-backed securities	—		64,752			—		64,752
Collateralized loan obligations (“CLOs”)	—		284,706			—		284,706
Total AFS investment securities	$	176,422	$	3,140,792		$	—	$	3,317,214

Investments in tax credit and other investments:
Equity securities ⁽¹⁾	$	21,746	$	9,927		$	—	$	31,673
Total investments in tax credit and other investments	$	21,746	$	9,927		$	—	$	31,673

Derivative assets:
Interest rate contracts	$	—	$	192,883		$	—	$	192,883
Foreign exchange contracts	—		54,637			—		54,637
Credit contracts	—		2			—		2
Equity contracts	—		993			421		1,414
Commodity contracts	—		81,380			—		81,380
Gross derivative assets	$	—	$	329,895		$	421	$	330,316
Netting adjustments ⁽²⁾	$	—	$	(125,319	)	$	—	$	(125,319	)
Net derivative assets	$	—	$	204,576		$	421	$	204,997

Derivative liabilities:
Interest rate contracts	$	—	$	127,317		$	—	$	127,317
Foreign exchange contracts	—		48,610			—		48,610
Credit contracts	—		84			—		84
Commodity contracts	—		80,517			—		80,517
Gross derivative liabilities	$	—	$	256,528		$	—	$	256,528
Netting adjustments⁽²⁾	$	—	$	(159,799	)	$	—	$	(159,799	)
Net derivative liabilities	$	—	$	96,729		$	—	$	96,729


(1)	Equity securities are comprised of mutual funds with readily determinable fair values.


(2)	Represents balance sheet netting of derivative assets and liabilities and related cash collateral under master netting agreements or similar agreements. See Note 6 — Derivatives to the Consolidated Financial Statements in this Form 10-K for additional information.




($ in thousands)	Assets and Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2018
($ in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total Fair Value
AFS investment securities:
U.S. Treasury securities	$	564,815	$	—		$	—	$	564,815
U.S. government agency and U.S. government sponsored enterprise debt securities	—		217,173			—		217,173
U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities:
Commercial mortgage-backed securities	—		408,603			—		408,603
Residential mortgage-backed securities	—		946,693			—		946,693
Municipal securities	—		82,020			—		82,020
Non-agency mortgage-backed securities:
Commercial mortgage-backed securities	—		26,052			—		26,052
Residential mortgage-backed securities	—		9,931			—		9,931
Corporate debt securities	—		10,869			—		10,869
Foreign bonds	—		463,048			—		463,048
Asset-backed securities	—		12,643			—		12,643
Total AFS investment securities	$	564,815	$	2,177,032		$	—	$	2,741,847

Investments in tax credit and other investments:
Equity securities ⁽¹⁾	$	20,678	$	10,531		$	—	$	31,209
Total investments in tax credit and other investments	$	20,678	$	10,531		$	—	$	31,209

Derivative assets:
Interest rate contracts	$	—	$	69,818		$	—	$	69,818
Foreign exchange contracts	—		21,624			—		21,624
Credit contracts	—		1			—		1
Equity contracts	—		1,278			673		1,951
Commodity contracts	—		14,422			—		14,422
Gross derivative assets	$	—	$	107,143		$	673	$	107,816
Netting adjustments ⁽²⁾	$	—	$	(45,146	)	$	—	$	(45,146	)
Net derivative assets	$	—	$	61,997		$	673	$	62,670

Derivative liabilities:
Interest rate contracts	$	—	$	75,133		$	—	$	75,133
Foreign exchange contracts	—		19,940			—		19,940
Credit contracts	—		164			—		164
Commodity contracts	—		23,068			—		23,068
Gross derivative liabilities	$	—	$	118,305		$	—	$	118,305
Netting adjustments ⁽²⁾	$	—	$	(38,402	)	$	—	$	(38,402	)
Net derivative liabilities	$	—	$	79,903		$	—	$	79,903


(1)	Equity securities were comprised of mutual funds with readily determinable fair values.

(2)

Represents balance sheet netting of derivative assets and liabilities and related cash collateral under master netting agreements or similar agreements. See Note 6 — Derivatives to the Consolidated Financial Statements in this Form 10-K for additional information.

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

The following table provides a reconciliation of the beginning and ending balances of these equity warrants for the years ended December 31, 2019, 2018 and 2017:




($ in thousands)	Year Ended December 31,
	2019			2018			2017
	Equity Warrants			Equity Warrants			Other Securities			Equity Warrants
Beginning balance	$	673		$	679		$	—		$	—
Transfer of investment security from held-to-maturity to AFS	—			—			115,615			—
Total gains included in earnings⁽¹⁾	563			162			1,156			—
Issuances	114			65			—			679
Sales	—			—			(116,771		)	—
Settlements	(929		)	(233		)	—			—
Ending balance	$	421		$	673		$	—		$	679

(1)

Includes unrealized (losses) gains of $(292) thousand and $225 thousand for the years ended December 31, 2019 and 2018, respectively. There were no unrealized gains (losses) for the year ended December 31, 2017. The realized/unrealized gains (losses) of equity warrants are included in Lending fees on the Consolidated Statement of Income.

Schedule of the carrying and fair value estimates per the fair value hierarchy of financial instruments measured on a nonrecurring basis

The following tables present the fair value estimates for financial instruments as of December 31, 2019 and 2018, excluding financial instruments recorded at fair value on a recurring basis as they are included in the tables presented elsewhere in this Note. 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.




($ in thousands)	December 31, 2019
($ in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Estimated Fair Value
Financial assets:
Cash and cash equivalents	$	3,261,149	$	3,261,149	$	—	$	—	$	3,261,149
Interest-bearing deposits with banks	$	196,161	$	—	$	196,161	$	—	$	196,161
Resale agreements ⁽¹⁾	$	860,000	$	—	$	856,025	$	—	$	856,025
Restricted equity securities, at cost	$	78,580	$	—	$	78,580	$	—	$	78,580
Loans held-for-sale	$	434	$	—	$	434	$	—	$	434
Loans held-for-investment, net	$	34,420,252	$	—	$	—	$	35,021,300	$	35,021,300
Mortgage servicing rights	$	6,068	$	—	$	—	$	8,199	$	8,199
Accrued interest receivable	$	144,599	$	—	$	144,599	$	—	$	144,599
Financial liabilities:
Demand, checking, savings and money market deposits	$	27,109,951	$	—	$	27,109,951	$	—	$	27,109,951
Time deposits	$	10,214,308	$	—	$	10,208,895	$	—	$	10,208,895
Short-term borrowings	$	28,669	$	—	$	28,669	$	—	$	28,669
FHLB advances	$	745,915	$	—	$	755,371	$	—	$	755,371
Repurchase agreements ⁽¹⁾	$	200,000	$	—	$	232,597	$	—	$	232,597
Long-term debt	$	147,101	$	—	$	152,641	$	—	$	152,641
Accrued interest payable	$	27,246	$	—	$	27,246	$	—	$	27,246




($ in thousands)	December 31, 2018
($ in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Estimated Fair Value
Financial assets:
Cash and cash equivalents	$	3,001,377	$	3,001,377	$	—	$	—	$	3,001,377
Interest-bearing deposits with banks	$	371,000	$	—	$	371,000	$	—	$	371,000
Resale agreements ⁽¹⁾	$	1,035,000	$	—	$	1,016,724	$	—	$	1,016,724
Restricted equity securities, at cost	$	74,069	$	—	$	74,069	$	—	$	74,069
Loans held-for-sale	$	275	$	—	$	275	$	—	$	275
Loans held-for-investment, net	$	32,073,867	$	—	$	—	$	32,273,157	$	32,273,157
Mortgage servicing rights	$	7,836	$	—	$	—	$	11,427	$	11,427
Accrued interest receivable	$	146,262	$	—	$	146,262	$	—	$	146,262
Financial liabilities:
Demand, checking, savings and money market deposits	$	26,370,562	$	—	$	26,370,562	$	—	$	26,370,562
Time deposits	$	9,069,066	$	—	$	9,084,597	$	—	$	9,084,597
Short-term borrowings	$	57,638	$	—	$	57,638	$	—	$	57,638
FHLB advances	$	326,172	$	—	$	334,793	$	—	$	334,793
Repurchase agreements ⁽¹⁾	$	50,000	$	—	$	87,668	$	—	$	87,668
Long-term debt	$	146,835	$	—	$	152,556	$	—	$	152,556
Accrued interest payable	$	22,893	$	—	$	22,893	$	—	$	22,893

(1)

Resale and repurchase agreements are reported net pursuant to ASC 210-20-45-11, Balance Sheet Offsetting: Repurchase and Reverse Repurchase Agreements. Out of gross repurchase agreements of $450.0 million, $250.0 million and $400.0 million as of December 31, 2019 and 2018, respectively, were eligible for netting against gross resale agreements.

Fair Value, Measurements, Recurring

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

Schedule of quantitative information about significant unobservable inputs used in the valuation of level 3 fair value measurements

The following table presents quantitative information about the significant unobservable inputs used in the valuation of Level 3 fair value measurements as of December 31, 2019 and 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 Inputs	Range of Inputs	Weighted- Average⁽¹⁾
December 31, 2019
Derivative assets:
Equity warrants	$	421	Black-Scholes option pricing model	Equity volatility	39% — 44%	42%
				Liquidity discount	47%	47%
December 31, 2018
Derivative assets:
Equity warrants	$	673	Black-Scholes option pricing model	Equity volatility	49% — 52%	51%
				Liquidity discount	47%	47%


(1)	Weighted-average is calculated based on fair value of equity warrants as of December 31, 2019 and 2018, respectively.

Fair Value, Measurements, Nonrecurring

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

Schedule of quantitative information about significant unobservable inputs used in the valuation of level 3 fair value measurements

The following table presents the quantitative information about the significant unobservable inputs used in the valuation of Level 3 fair value measurements that are measured on a nonrecurring basis as of December 31, 2019 and 2018:




($ in thousands)	Fair Value Measurements (Level 3)		Valuation Technique(s)	Unobservable Input(s)	Range of Input(s)	Weighted- Average ⁽¹⁾
December 31, 2019
Non-PCI impaired loans	$	27,841	Discounted cash flows	Discount	4% — 15%	14%
	$	1,014	Fair value of collateral	Discount	8% — 20%	19%
	$	20,824	Fair value of collateral	Contract value	NM	NM
OREO	$	125	Fair value of property	Selling cost	8%	8%
Investments in tax credit and other investments, net	$	3,076	Individual analysis of each investment	Expected future tax benefits and distributions	NM	NM
December 31, 2018
Non-PCI impaired loans	$	16,921	Discounted cash flows	Discount	4% — 7%	6%
	$	2,751	Fair value of collateral	Discount	15% — 50%	21%
	$	11,499	Fair value of collateral	Contract value	NM	NM
	$	1,687	Fair value of property	Selling cost	8%	8%

NM — Not meaningful.

(1)

Weighted-average is based on the relative fair value of the respective assets as of December 31, 2019 and 2018.

Schedule of carrying amounts of assets that were still held and had fair value changes measured on a nonrecurring basis

The following tables present the carrying amounts of assets that were still held and had fair value changes measured on a nonrecurring basis as of December 31, 2019 and 2018:




($ in thousands)	Assets Measured at Fair Value on a Nonrecurring Basis as of December 31, 2019
($ in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value Measurements
Non-PCI impaired loans:
Commercial:
C&I	$	—	$	—	$	47,554	$	47,554
CRE:
CRE	—		—		753		753
Total commercial	—		—		48,307		48,307
Consumer:
Residential mortgage:
HELOCs	—		—		1,372		1,372
Total consumer	—		—		1,372		1,372
Total non-PCI impaired loans	$	—	$	—	$	49,679	$	49,679
OREO ⁽¹⁾	$	—	$	—	$	125	$	125
Investments in tax credit and other investments, net	$	—	$	—	$	3,076	$	3,076


(1)	Amounts are included in Other assets on the Consolidated Balance Sheet and represent the carrying value of OREO properties that were written down subsequent to their initial classification as OREO.




($ in thousands)	Assets Measured at Fair Value on a Nonrecurring Basis as of December 31, 2018
($ in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value Measurements
Non-PCI impaired loans:
Commercial:
C&I	$	—	$	—	$	26,873	$	26,873
CRE:
CRE	—		—		3,434		3,434
Total commercial	—		—		30,307		30,307
Consumer:
Residential mortgage:
Single-family residential	—		—		2,551		2,551
Total consumer	—		—		2,551		2,551
Total non-PCI impaired loans	$	—	$	—	$	32,858	$	32,858

Schedule of increase (decrease) in fair value of assets for which a fair value adjustment has been recognized, nonrecurring basis

The following table presents the increase (decrease) in fair value of assets for which a fair value adjustment has been recognized for the years ended December 31, 2019, 2018 and 2017, related to assets that were still held as of those dates:




($ in thousands)	Year Ended December 31,
($ in thousands)	2019			2018			2017
Non-PCI impaired loans:
Commercial:
C&I	$	(35,365	)	$	(9,341	)	$	(19,703	)
CRE:
CRE	9			270			(272		)
Construction and land	—			—			(147		)
Total CRE	9			270			(419		)
Total commercial	(35,356		)	(9,071		)	(20,122		)
Consumer:
Residential mortgage:
Single-family residential	—			15			(11		)
HELOCs	(2		)	—			—
Total residential mortgage	(2		)	15			(11		)
Other consumer	—			—			(2,491		)
Total consumer	$	(2	)	$	15		$	(2,502	)
Total non-PCI impaired loans	$	(35,358	)	$	(9,056	)	$	(22,624	)
OREO	$	(8	)	$	—		$	(1	)
Investments in tax credit and other investments, net	$	(13,023	)	$	—		$	—