Fair Value of Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Summary of asset and liabilities measure at fair value on a recurring basis

The following tables summarize the financial assets and liabilities measured at fair value on a recurring basis.



			Fair Value Measurements at the End of the Reporting Period Using
	Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
	March 31, 2020		(Level 1)		(Level 2)		(Level 3)
	(In Thousands)
Recurring fair value measurements
Assets:
Trading account assets:
U.S. Treasury and other U.S. government agencies	$	170,378	$	170,378	$	—	$	—
State and political subdivisions	348		—		348		—
Interest rate contracts	780,757		—		780,757		—
Foreign exchange contracts	57,647		—		57,647		—
Total trading account assets	1,009,130		170,378		838,752		—
Debt securities available for sale:
U.S. Treasury and other U.S. government agencies	2,570,313		2,091,237		479,076		—
Mortgage-backed securities	1,185,676		—		1,185,676		—
Collateralized mortgage obligations	2,588,110		—		2,588,110		—
States and political subdivisions	717		—		717		—
Total debt securities available for sale	6,344,816		2,091,237		4,253,579		—
Loans held for sale	117,752		—		117,752		—
Derivative assets:
Interest rate contracts	31,191		—		16,867		14,324
Equity contracts	2,572		—		2,572		—
Foreign exchange contracts	7,577		—		7,577		—
Total derivative assets	41,340		—		27,016		14,324
Other assets:
Equity securities	19,990		19,990		—		—
MSR	31,232		—		—		31,232
SBIC	156,400		—		—		156,400
Liabilities:
Trading account liabilities:
Interest rate contracts	$	187,995	$	—	$	187,995	$	—
Foreign exchange contracts	54,890		—		54,890		—
Total trading account liabilities	242,885		—		242,885		—
Derivative liabilities:
Interest rate contracts	17,133		—		15,219		1,914
Equity contracts	2,141		—		2,141		—
Foreign exchange contracts	3,245		—		3,245		—
Total derivative liabilities	22,519		—		20,605		1,914



			Fair Value Measurements at the End of the Reporting Period Using
	Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
	December 31, 2019		(Level 1)		(Level 2)		(Level 3)
	(In Thousands)
Recurring fair value measurements
Assets:
Trading account assets:
U.S. Treasury and other U.S. government agencies	$	137,637	$	137,637	$	—	$	—
Interest rate contracts	313,573		—		313,573		—
Foreign exchange contracts	22,766		—		22,766		—
Total trading account assets	473,976		137,637		336,339		—
Debt securities available for sale:
U.S. Treasury and other U.S. government agencies	3,127,525		2,598,471		529,054		—
Mortgage-backed securities	1,325,857		—		1,325,857		—
Collateralized mortgage obligations	2,781,125		—		2,781,125		—
States and political subdivisions	798		—		798		—
Total debt securities available for sale	7,235,305		2,598,471		4,636,834		—
Loans held for sale	112,058		—		112,058		—
Derivative assets:
Interest rate contracts	13,907		38		10,781		3,088
Equity contracts	4,460		—		4,460		—
Foreign exchange contracts	276		—		276		—
Total derivative assets	18,643		38		15,517		3,088
Other assets:
Equity securities	19,038		19,038		—		—
MSR	42,022		—		—		42,022
SBIC	119,475		—		—		119,475
Liabilities:
Trading account liabilities:
Interest rate contracts	$	97,881	$	—	$	97,881	$	—
Foreign exchange contracts	20,678		—		20,678		—
Total trading account liabilities	118,559		—		118,559		—
Derivative liabilities:
Interest rate contracts	3,732		—		3,732		—
Equity contracts	3,765		—		3,765		—
Foreign exchange contracts	3,940		—		3,940		—
Total derivative liabilities	11,437		—		11,437		—

Reconciliation of assets measured on a recurring basis using significant unobservable inputs

The following tables reconcile the assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3).



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three Months Ended March 31,	Interest Rate Contracts, net		Other Assets - MSR			Other Assets - SBIC
	(In Thousands)
Balance, December 31, 2018	$	2,012	$	51,539		$	80,074
Transfers into Level 3	—		—			—
Transfers out of Level 3	—		—			—
Total gains or losses (realized/unrealized):
Included in earnings (1)	1,146		(5,053		)	7,557
Included in other comprehensive income	—		—			—
Purchases, issuances, sales and settlements:
Purchases	—		—			5,712
Issuances	—		1,059			—
Sales	—		—			—
Settlements	—		—			—
Balance, March 31, 2019	$	3,158	$	47,545		$	93,343
Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at March 31, 2019	$	1,146	$	(5,053	)	$	7,557

Balance, December 31, 2019	$	3,088	$	42,022		$	119,475
Transfers into Level 3	—		—			—
Transfers out of Level 3	—		—			—
Total gains or losses (realized/unrealized):
Included in earnings (1)	9,322		(12,461		)	27,658
Included in other comprehensive income	—		—			—
Purchases, issuances, sales and settlements:
Purchases	—		—			9,267
Issuances	—		1,671			—
Sales	—		—			—
Settlements	—		—			—
Balance, March 31, 2020	$	12,410	$	31,232		$	156,400
Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at March 31, 2020	$	9,322	$	(12,461	)	$	27,658


(1)	Included in noninterest income in the Unaudited Condensed Consolidated Statements of Income.

Schedule of carrying amounts and estimated fair values within the fair value hierarchy

The following tables represent those assets that were subject to fair value adjustments during the three months ended March 31, 2020 and 2019, and still held as of the end of the period, and the related gains and losses from fair value adjustments on assets sold during the period as well as assets still held as of the end of the period.



			Fair Value Measurements at the End of the Reporting Period Using
	Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs		Total Gains (Losses)
	March 31, 2020		(Level 1)		(Level 2)		(Level 3)		Three Months Ended March 31, 2020
	(In Thousands)
Nonrecurring fair value measurements
Assets:
OREO	$	21,392	$	—	$	—	$	21,392	$	(707	)

			Fair Value Measurements at the End of the Reporting Period Using
	Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs		Total Gains (Losses)
	March 31, 2019		(Level 1)		(Level 2)		(Level 3)		Three Months Ended March 31, 2019
	(In Thousands)
Nonrecurring fair value measurements
Assets:
OREO	$	14,983	$	—	$	—	$	14,983	$	(1,973	)


(1)	Total gains (losses) represent charge-offs on impaired loans for which adjustments are based on the appraised value of the collateral.

Schedule of fair value measurement inputs

The tables below present information about the significant unobservable inputs for material assets and liabilities measured at fair value using significant unobservable inputs (Level 3) on a recurring and nonrecurring basis.



			Quantitative Information about Level 3 Fair Value Measurements
	Fair Value at				Range of Unobservable Inputs
	March 31, 2020		Valuation Technique	Unobservable Input(s)	(Weighted Average)
	(In Thousands)
Recurring fair value measurements:
Interest rate contracts, net	$	12,410	Discounted cash flow	Closing ratios (pull-through)	7.8% - 99.8% (61.6%)
				Cap grids	-0.2% - 2.6% (0.9%)
Other assets - MSRs	31,232		Discounted cash flow	Option adjusted spread	6.0% - 8.3% (6.2%)
				Constant prepayment rate or life speed	0.4% - 79.2% (19.4%)
				Cost to service	$65 - $4,000 ($92)
Other assets - SBIC investments	156,400		Transaction price	Transaction price	N/A
Nonrecurring fair value measurements:
OREO	21,392		Appraised value	Appraised value	8.0% (1)


(1)	Represents discount to appraised value for estimated costs to sell.



			Quantitative Information about Level 3 Fair Value Measurements
	Fair Value at				Range of Unobservable Inputs
	December 31, 2019		Valuation Technique	Unobservable Input(s)	(Weighted Average)
	(In Thousands)
Recurring fair value measurements:
Interest rate contracts, net	$	3,088	Discounted cash flow	Closing ratios (pull-through)	16.8% - 100.0% (60.1%)
				Cap grids	0.5% - 2.5% (0.9%)
Other assets - MSRs	42,022		Discounted cash flow	Option adjusted spread	6.0% - 9.0% (6.4%)
				Constant prepayment rate or life speed	0.0% - 80.0% (14.6%)
				Cost to service	$65 - $4,000 ($90)
Other assets - SBIC investments	119,475		Transaction price	Transaction price	N/A
Nonrecurring fair value measurements:
Debt securities held to maturity	$	2,177	Discounted cash flow	Prepayment rate	13.7% - 14.7% (14.2%)
				Default rate	3.1% - 4.9% (4.0%)
				Loss severity	50.3% - 61.9% (56.1%)
Impaired loans	484		Appraised value	Appraised value	0.0% - 70.0% (9.7%)
OREO	21,583		Appraised value	Appraised value	8.0% (1)


(1)	Represents discount to appraised value for estimated costs to sell.

Schedule of fair value by balance sheet location

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company’s financial instruments, excluding financial instruments measured at fair value on a recurring basis, are as follows:



	March 31, 2020
	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
	(In Thousands)
Financial Instruments:
Assets:
Cash and cash equivalents	$	5,513,268	$	5,513,268	$	5,513,268	$	—	$	—
Debt securities held to maturity	7,878,158		8,267,393		1,415,683		6,220,857		630,853
Loans	67,539,414		67,372,923		—		—		67,372,923
Liabilities:
Deposits	$	77,234,507	$	77,257,753	$	—	$	77,257,753	$	—
FHLB and other borrowings	3,790,137		3,580,396		—		3,580,396		—
Federal funds purchased and securities sold under agreements to repurchase	409,784		409,784		—		409,784		—



	December 31, 2019
	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
	(In Thousands)
Financial Instruments:
Assets:
Cash and cash equivalents	$	6,938,698	$	6,938,698	$	6,938,698	$	—	$	—
Debt securities held to maturity	6,797,046		6,921,158		1,340,448		4,912,399		668,311
Loans	63,946,857		60,869,662		—		—		60,869,662
Liabilities:
Deposits	$	74,985,283	$	75,024,350	$	—	$	75,024,350	$	—
FHLB and other borrowings	3,690,044		3,721,949		—		3,721,949		—
Federal funds purchased and securities sold under agreements to repurchase	173,028		173,028		—		173,028		—

Schedule of differences between aggregate fair value and aggregate unpaid principle balance

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for residential mortgage loans measured at fair value.



	Aggregate Fair Value		Aggregate Unpaid Principal Balance		Difference
	(In Thousands)
March 31, 2020
Residential mortgage loans held for sale	$	117,752	$	111,440	$	6,312
December 31, 2019
Residential mortgage loans held for sale	$	112,058	$	108,345	$	3,713

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details