Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table summarizes the Company’s assets and liabilities measured at estimated fair value on a recurring basis.

Assets and Liabilities Measured at Fair Value on a Recurring Basis (dollars in millions)

	Total			Level 1		Level 2			Level 3
March 31, 2020
Assets
Residential MBS – U.S. government/sponsored agency	$	4,392.0		$	—	$	4,392.0		$	—
U.S. treasury securities		9.3			—		9.3			—
Other securities		1,453.4			—		1,387.7			65.7
Total debt securities AFS		5,854.7			—		5,789.0			65.7

Interest rate contracts — non-qualifying hedges		524.8			—		524.1			0.7
Other derivative — non-qualifying hedges		21.0			—		20.2			0.8
Total derivative assets at fair value — non-qualifying hedges⁽¹⁾		545.8			—		544.3			1.5
Foreign currency forward contracts — net investment qualifying hedges		0.7			—		0.7			—
Total Derivative assets at fair value — qualifying hedges⁽¹⁾		0.7			—		0.7			—
Total	$	6,401.2		$	—	$	6,334.0		$	67.2
Liabilities
Interest rate contracts — non-qualifying hedges	$	(80.1	)	$	—	$	(80.1	)	$	—
Other derivative— non-qualifying hedges		(15.0	)		—		(12.4	)		(2.6	)
Total derivative liabilities at fair value — non-qualifying hedges⁽¹⁾		(95.1	)		—		(92.5	)		(2.6	)
FDIC True-up liability		(69.3	)		—		—			(69.3	)
Total	$	(164.4	)	$	—	$	(92.5	)	$	(71.9	)
December 31, 2019
Assets
Residential MBS – U.S. government/sponsored agency	$	4,773.8		$	—	$	4,773.8		$	—
U.S. treasury securities		11.3			4.7		6.6			—
Other securities		1,226.7			—		1,159.6			67.1
Total debt securities AFS		6,011.8			4.7		5,940.0			67.1
Securities carried at fair value with changes recorded in net income		47.2			0.1		47.1			—

Interest rate contracts — non-qualifying hedges		176.9			—		176.7			0.2
Other derivative — non-qualifying hedges		13.8			—		13.7			0.1
Total derivative assets at fair value — non-qualifying hedges⁽¹⁾		190.7			—		190.4			0.3
Total	$	6,249.7		$	4.8	$	6,177.5		$	67.4
Liabilities
Interest rate contracts — non-qualifying hedges	$	(14.5	)	$	—	$	(14.5	)	$	—
Other derivative— non-qualifying hedges		(6.9	)		—		(6.1	)		(0.8	)
Total derivative liabilities at fair value — non-qualifying hedges⁽¹⁾		(21.4	)		—		(20.6	)		(0.8	)
Foreign currency forward contracts — net investment qualifying hedges		(10.6	)		—		(10.6	)		—
Total derivative liabilities at fair value — qualifying hedges		(10.6	)		—		(10.6	)		—
FDIC True-up liability		(68.8	)		—		—			(68.8	)
Total	$	(100.8	)	$	—	$	(31.2	)	$	(69.6	)

⁽¹⁾	^{Derivative fair values include accrued interest.}

Quantitative Information about Level 3 Fair Value Measurements-Recurring

The following tables summarize information about significant unobservable inputs related to the Company’s categories of Level 3 financial assets and liabilities measured on a recurring basis.

Quantitative Information about Level 3 Fair Value Measurements — Recurring (dollars in millions)

Financial Instrument	Estimated Fair Value			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average
March 31, 2020
Assets
Debt Securities — AFS	$	65.7		Discounted cash flow	Discount Rate	6.0% - 6.2%	6.1%
Derivative assets — non-qualifying		1.5		Internal valuation model	Borrower Rate	2.6% - 4.8%	3.2%
Total Assets	$	67.2
Liabilities
FDIC True-up liability	$	(69.3	)	FDIC True-up payment
Derivative liabilities — non-qualifying		(2.6	)	Internal valuation model
Total Liabilities	$	(71.9	)
December 31, 2019
Assets
Debt Securities — AFS	$	67.1		Discounted cash flow	Discount Rate	6.0% - 6.2%	6.0%
Derivative assets — non-qualifying		0.3		Internal valuation model	Borrower Rate	2.8% - 5.0%	3.6%
Total Assets	$	67.4
Liabilities
FDIC True-up liability	$	(68.8	)	Discounted cash flow	Discount Rate	2.2%	2.2%
Derivative liabilities — non-qualifying		(0.8	)	Market comparable
Total Liabilities	$	(69.6	)

Changes in Estimated Fair Value for Financial Assets and Liabilities Measured on Recurring Basis

The following table summarizes the changes in estimated fair value for all assets and liabilities measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3).

Changes in Estimated Fair Value of Level 3 Financial Assets and Liabilities Measured on a Recurring Basis (dollars in millions)

	Securities- AFS			Derivative Assets- Non- Qualifying			Derivative Liabilities- Non- Qualifying			FDIC True-up Liability
Balance as of December 31, 2019	$	67.1		$	0.3		$	(0.8	)	$	(68.8	)
Included in earnings		—			1.2			(1.8	)		(0.5	)
Included in comprehensive income		(1.4	)		—			—			—
Balance as of March 31, 2020	$	65.7		$	1.5		$	(2.6	)	$	(69.3	)
Balance as of December 31, 2018	$	65.9		$	0.4		$	—		$	(66.9	)
Included in earnings		—			(0.1	)		(0.1	)		(0.5	)
Included in comprehensive income		1.3			—			—			—
Balance as of March 31, 2019	$	67.2		$	0.3		$	(0.1	)	$	(67.4	)

Carrying Value of Assets Measured at Fair Value on a Non-Recurring Basis

The following table presents assets measured at estimated fair value on a non-recurring basis for which a non-recurring change in fair value has been recorded in the current year.

Carrying Value of Assets Measured at Fair Value on a Non-recurring Basis (dollars in millions)

	Carrying Value		Fair Value Measurements at Reporting Date Using:
	Total		Level 1		Level 2		Level 3		Total Gains (Losses)
March 31, 2020
Assets held for sale	$	27.1	$	—	$	2.7	$	24.4	$	(4.0	)
Collateral-dependent loans		12.8		—		—		12.8		(26.6	)
Mortgage Servicing Rights		7.8		—		—		7.8		(2.0	)
Total	$	47.7	$	—	$	2.7	$	45.0	$	(32.6	)
December 31, 2019
Assets held for sale	$	22.6	$	—	$	1.9	$	20.7	$	2.2
Impaired loans		244.8		—		—		244.8		(73.5	)
Tax credit investments		82.0		—		—		82.0		(5.1	)
Total	$	349.4	$	—	$	1.9	$	347.5	$	(76.4	)

Carrying and Estimated Fair Values of Financial Instruments

The carrying values and estimated fair values of financial instruments not measured at fair value presented below exclude leases and certain other assets and liabilities, which were not required for disclosure.

Carrying Value and Fair Value of Financial Instruments (dollars in millions)

				Estimated Fair Value
	Carrying Value			Level 1		Level 2			Level 3			Total
March 31, 2020
Financial Assets
Cash and interest-bearing deposits	$	3,698.5		$	3,698.5	$	—		$	—		$	3,698.5
Assets held for sale (excluding leases)		49.2			—		21.3			28.1			49.4
Loans (excluding leases)⁽¹⁾		36,278.9			—		855.9			32,406.9			33,262.8
Investment securities⁽²⁾		273.9			—		—			273.9			273.9
Other assets subject to fair value disclosure ⁽³⁾		566.2			—		—			566.2			566.2
Financial Liabilities
Deposits⁽⁴⁾		(42,182.0	)		—		—			(42,334.2	)		(42,334.2	)
Borrowings⁽⁴⁾		(8,121.4	)		—		(7,430.6	)		(551.9	)		(7,982.5	)
Credit balances of factoring clients		(1,023.7	)		—		—			(1,023.7	)		(1,023.7	)
Other liabilities subject to fair value disclosure⁽⁵⁾		(637.2	)		—		—			(637.2	)		(637.2	)
December 31, 2019
Financial Assets
Cash and interest-bearing deposits	$	2,685.6		$	2,685.6	$	—		$	—		$	2,685.6
Assets held for sale (excluding leases)		29.6			—		7.5			22.2			29.7
Loans (excluding leases)⁽¹⁾		28,744.5			—		1,114.5			27,684.3			28,798.8
Securities purchased under agreement to resell		950.0			—		950.0			—			950.0
Investment securities⁽²⁾		217.8			—		—			217.8			217.8
Other assets subject to fair value disclosure ⁽³⁾		418.2			—		—			418.2			418.2
Financial Liabilities
Deposits⁽⁴⁾		(35,156.2	)		—		—			(35,263.8	)		(35,263.8	)
Borrowings⁽⁴⁾		(6,549.6	)		—		(6,532.0	)		(365.2	)		(6,897.2	)
Credit balances of factoring clients		(1,176.2	)		—		—			(1,176.2	)		(1,176.2	)
Other liabilities subject to fair value disclosure⁽⁵⁾		(831.6	)		—		—			(831.6	)		(831.6	)

⁽¹⁾	^{Carrying value of loans (excluding leases) excludes the ACL.}

⁽²⁾	^{Non-marketable investments carried at cost. See Assets and Liabilities Measured at Fair Value on a Recurring Basis in this note above for debt securities AFS and securities carried at fair value with changes recorded in net income.}

⁽³⁾	^{Other assets subject to fair value disclosure primarily include accrued interest receivable and miscellaneous receivables. The remaining assets have carrying values that approximated fair value, generally due to their short-term nature.}

⁽⁴⁾	^{Deposits and borrowings include accrued interest, which is included in “Other liabilities”.}

⁽⁵⁾	^{Other liabilities subject to fair value disclosure include accounts payable, accrued liabilities, customer security and maintenance deposits and miscellaneous liabilities. The carrying value of these approximated fair value.}