Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value

Schedule of assets and liabilities measured at fair value on a recurring basis

	Fair Value Measurements as of March 31, 2020
	Quoted Prices in		Significant
	Active Markets for		Other		Significant
	Identical Assets		Observable		Unobservable
(dollars in thousands)	(Level 1)		Inputs (Level 2)		Inputs (Level 3)		Total
Assets
U.S. Treasury securities	$	—	$	30,927	$	—	$	30,927
Government-sponsored enterprises debt securities		—		26,721		—		26,721
Mortgage-backed securities:
Residential - Government agency(1)		—		278,963		—		278,963
Residential - Government-sponsored enterprises(1)		—		417,667		—		417,667
Commercial - Government-sponsored enterprises		—		186,784		—		186,784
Collateralized mortgage obligations:
Government agency		—		2,320,878		—		2,320,878
Government-sponsored enterprises		—		796,517		—		796,517
Total available-for-sale securities		—		4,058,457		—		4,058,457
Other assets(2)		—		158,711		—		158,711
Liabilities
Other liabilities(3)		—		(1,687)		(3,199)		(4,886)
Total	$	—	$	4,215,481	$	(3,199)	$	4,212,282

(1) Backed by residential real estate.

(2) Other assets include derivative assets.

(3) Other liabilities include derivative liabilities.

	Fair Value Measurements as of December 31, 2019
	Quoted Prices in		Significant
	Active Markets for		Other		Significant
	Identical Assets		Observable		Unobservable
(dollars in thousands)	(Level 1)		Inputs (Level 2)		Inputs (Level 3)		Total
Assets
U.S. Treasury securities	$	—	$	29,888	$	—	$	29,888
Government-sponsored enterprises debt securities		—		101,439		—		101,439
Mortgage-backed securities:
Residential - Government agency(1)		—		291,209		—		291,209
Residential - Government-sponsored enterprises(1)		—		399,492		—		399,492
Commercial - Government-sponsored enterprises		—		101,719		—		101,719
Collateralized mortgage obligations:
Government agency		—		2,381,278		—		2,381,278
Government-sponsored enterprises		—		770,619		—		770,619
Total available-for-sale securities		—		4,075,644		—		4,075,644
Other assets(2)		—		63,539		—		63,539
Liabilities
Other liabilities(3)		—		(682)		(4,233)		(4,915)
Total	$	—	$	4,138,501	$	(4,233)	$	4,134,268

(1) Backed by residential real estate.

(2) Other assets include derivative assets.

(3) Other liabilities include derivative liabilities.

Summary of changes in Level 3 liabilities measured at fair value on a recurring basis

	Visa Derivative
(dollars in thousands)	2020		2019
Three Months Ended March 31,
Balance as of January 1,	$	(4,233)	$	(2,607)
Total net gains included in other noninterest income		6		5
Settlements		1,028		763
Balance as of March 31,	$	(3,199)	$	(1,839)
Total net gains included in net income attributable to the change in unrealized gains or losses related to liabilities still held as of March 31,	$	6	$	5

Summary of estimated fair value of financial instruments not required to be carried at fair value on a recurring basis

	March 31, 2020
			Fair Value Measurements
			Quoted Prices in		Significant		Significant
			Active Markets		Other		Unobservable
			for Identical		Observable		Inputs
(dollars in thousands)	Book Value		Assets (Level 1)		Inputs (Level 2)		(Level 3)		Total
Financial assets:
Cash and cash equivalents	$	1,052,832	$	353,908	$	698,924	$	—	$	1,052,832
Loans held for sale		8,180		—		8,180		—		8,180
Loans(1)		13,143,647		—		—		13,452,051		13,452,051
Financial liabilities:
Time deposits(2)	$	2,912,298	$	—	$	2,922,389	$	—	$	2,922,389
Short-term borrowings		400,000		—		401,418		—		401,418
Long-term borrowings(3)		200,000		—		215,788		—		215,788

	December 31, 2019
			Fair Value Measurements
			Quoted Prices in		Significant		Significant
			Active Markets		Other		Unobservable
			for Identical		Observable		Inputs
(dollars in thousands)	Book Value		Assets (Level 1)		Inputs (Level 2)		(Level 3)		Total
Financial assets:
Cash and cash equivalents	$	694,017	$	360,375	$	333,642	$	—	$	694,017
Loans held for sale		904		—		904		—		904
Loans(1)		13,009,167		—		—		13,140,898		13,140,898
Financial liabilities:
Time deposits(2)	$	2,510,157	$	—	$	2,501,478	$	—	$	2,501,478
Short-term borrowings		400,000		—		401,709		—		401,709
Long-term borrowings(3)		200,000		—		207,104		—		207,104

(1) Excludes financing leases of $236.6 million at March 31, 2020 and $202.5 million at December 31, 2019.

(2) Excludes deposit liabilities with no defined or contractual maturity of $14.1 billion as of March 31, 2020 and $13.9 billion as of December 31, 2019.

(3) Excludes capital lease obligations of $19 thousand as of both March 31, 2020 and December 31, 2019.

Schedule of assets with fair value adjustments on a nonrecurring basis

(dollars in thousands)	Level 1		Level 2		Level 3
March 31, 2020
Collateral-dependent loans	$	—	$	—	$	1,840
December 31, 2019
Collateral-dependent loans	$	—	$	—	$	1,502

Significant unobservable inputs used in fair value measurements for Level 3 assets and liabilities measured at fair value on a recurring or nonrecurring basis

	Quantitative Information about Level 3 Fair Value Measurements at March 31, 2020
				Significant
(dollars in thousands)	Fair value		Valuation Technique	Unobservable Input	Range
Collateral-dependent loans	$	1,840	Appraisal Value	Appraisal Value	n/m(1)
Visa derivative	$	(3,199)	Discounted Cash Flow	Expected Conversation Rate - 1.6228(2)	1.5977-1.6228
				Expected Term - 1 year(3)	0.5 to 1.5 years
				Growth Rate - 13%(4)	4% - 17%

(1) The fair value of these assets is determined based on appraised values of the collateral or broker opinions, the range of which is not meaningful to disclose.

(2) Due to the uncertainty in the movement of the conversion rate, the current conversion rate was utilized in the fair value calculation.

(3) The expected term of 1 year was based on the median of 0.5 to 1.5 years.

(4) The growth rate of 13% was based on the arithmetic average of analyst price targets.

	Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019
				Significant
(dollars in thousands)	Fair value		Valuation Technique	Unobservable Input
Collateral-dependent loans	$	1,502	Appraisal Value	Appraisal Value
Visa derivative	$	(4,233)	Discounted Cash Flow	Expected Conversion Rate - 1.6228
				Expected Term - 1 year
				Growth Rate - 13%