Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2020

Schedule of assets and liabilities measured at fair value

Assets and liabilities measured at fair value are as follows:



	Fair Value Measurements Using
(in thousands)	Level 1		Level 2		Level 3
September 30, 2020
Available-for-sale debt securities:(1)
U.S. government agency securities	$	—	$	123,948	$	—
Residential mortgage-backed securities	—		1,001,782		—
Tax-exempt asset-backed securities	—		—		200,821
CRT securities	—		—		11,058
Equity securities(1)(2)	22,442		7,262		—
Loans held for sale(3)	—		632,071		6,974
Loans held for investment(4)	—		—		36,490
Derivative assets(5)	—		124,627		—
Derivative liabilities(5)	—		114,259		—
Non-qualified deferred compensation plan liabilities(6)	23,342		—		—

December 31, 2019
Available-for-sale debt securities:(1)
Residential mortgage-backed securities	$	—	$	5,266	$	—
Tax-exempt asset-backed securities	—		—		197,027
CRT securities	—		—		11,964
Equity securities(1)(2)	18,484		7,130		—
Loans held for sale(3)	—		2,564,281		7,043
Loans held for investment(4)	—		—		109,585
Derivative assets(5)	—		48,684		—
Derivative liabilities(5)	—		51,310		—
Non-qualified deferred compensation plan liabilities(6)	18,484		—		—


(1)	Securities are measured at fair value on a recurring basis, generally monthly, except for tax-exempt asset-backed securities and CRT securities which are measured quarterly.


(2)	Equity securities consist of Community Reinvestment Act funds and investments related to our non-qualified deferred compensation plan.


(3)	Loans held for sale purchased through our MCA program are measured at fair value on a recurring basis, generally monthly.


(4)	Includes certain collateral-dependent loans held for investment for which a specific allocation of the allowance for credit losses is based upon the fair value of the loan’s underlying collateral. These loans held for investment are measured on a nonrecurring basis, generally annually or more often as warranted by market and economic conditions.


(5)	Derivative assets and liabilities are measured at fair value on a recurring basis, generally quarterly.

(6)

Non-qualified deferred compensation plan liabilities represent the fair value of the obligation to the employee, which generally corresponds to the fair value of the invested assets, and are measured at fair value on a recurring basis, generally monthly.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents a reconciliation of the level 3 fair value category measured at fair value on a recurring basis:



								Net Realized/Unrealized Gains (Losses)
(in thousands)	Balance at Beginning of Period		Purchases / Additions		Sales / Reductions			Realized			Unrealized			Balance at End of Period
Three months ended September 30, 2020
Available-for-sale debt securities:(1)
Tax-exempt asset-backed securities	$	191,417	$	—	$	(2,248	)	$	—		$	11,652		$	200,821
CRT securities	$	10,953	$	—	$	—		$	—		$	105		$	11,058
Loans held for sale(2)	$	6,159	$	785	$	(170	)	$	132		$	68		$	6,974
Three months ended September 30, 2019
Available-for-sale debt securities:(1)
Tax-exempt asset-backed securities	$	201,339	$	—	$	(4,116	)	$	—		$	390		$	197,613
CRT securities	$	10,953	$	—	$	—		$	—		$	502		$	11,455
Loans held for sale(2)	$	10,930	$	—	$	(2,056	)	$	102		$	222		$	9,198

Nine months ended September 30, 2020
Available-for-sale debt securities:(1)
Tax-exempt asset-backed securities	$	197,027	$	8,470	$	(6,733	)	$	—		$	2,057		$	200,821
CRT securities	$	11,964	$	—	$	—		$	—		$	(906	)	$	11,058
Loans held for sale(2)	$	7,043	$	1,105	$	(1,634	)	$	248		$	212		$	6,974
Nine months ended September 30, 2019
Available-for-sale debt securities:(1)
Tax-exempt asset-backed securities	$	95,804	$	92,010	$	(4,254	)	$	—		$	14,053		$	197,613
CRT securities	$	—	$	15,044	$	—		$	(331	)	$	(3,258	)	$	11,455
Loans held for sale(2)	$	16,415	$	—	$	(8,466	)	$	450		$	799		$	9,198


(1)	Unrealized gains/(losses) on available-for-sale debt securities are recorded in AOCI and relate to assets that remain outstanding at period end. Realized gains/(losses) are recorded in other non-interest income.

(2)

Realized and unrealized gains/(losses) on loans held for sale are recorded in gain/(loss) on sale of loans held for sale.

Summary of the carrying amounts and estimated fair values of financial instruments

A summary of the carrying amounts and estimated fair values of financial instruments is as follows:



	September 30, 2020				December 31, 2019
(in thousands)	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Financial assets:
Level 1 inputs:
Cash and cash equivalents	$	10,646,786	$	10,646,786	$	4,425,583	$	4,425,583
Investment securities	22,442		22,442		18,484		18,484
Level 2 inputs:
Investment securities	1,132,992		1,132,992		12,396		12,396
Loans held for sale	632,071		632,071		2,570,091		2,570,091
Derivative assets	124,627		124,627		48,684		48,684
Level 3 inputs:
Investment securities	211,879		211,879		208,991		208,991
Loans held for sale	6,974		6,974		7,043		7,043
Loans held for investment, net	24,877,897		24,925,427		24,451,215		24,478,586
Financial liabilities:
Level 2 inputs:
Federal funds purchased	202,605		202,605		132,270		132,270
Customer repurchase agreements	5,578		5,578		9,496		9,496
Other borrowings	2,700,000		2,700,000		2,400,000		2,400,000
Subordinated notes	282,400		289,012		282,129		292,302
Trust preferred subordinated debentures	113,406		113,406		113,406		113,406
Derivative liabilities	114,259		114,259		51,310		51,310
Level 3 inputs:
Deposits	31,959,487		31,960,471		26,478,593		26,486,090