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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis in the consolidated balance sheets at June 30, 2020 and December 31, 2019:

	June 30, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available for sale debt securities:
U.S. Treasury and government agency securities	$	—	$	148,616	$	—	$	148,616
Municipal obligations		—		254,686		—		254,686
Corporate debt securities		—		8,206		—		8,206
Residential mortgage-backed securities		—		2,077,323		—		2,077,323
Commercial mortgage-backed securities		—		1,858,489		—		1,858,489
Collateralized mortgage obligations		—		584,822		—		584,822
Total available for sale securities		—		4,932,142		—		4,932,142
Derivative assets (1)		—		181,111		—		181,111
Total recurring fair value measurements - assets		—	$	5,113,253		—	$	5,113,253
Liabilities
Derivative liabilities (1)	$	—	$	53,952	$	4,982	$	58,934
Total recurring fair value measurements - liabilities	$	—	$	53,952	$	4,982	$	58,934

	December 31, 2019
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available for sale debt securities:
U.S. Treasury and government agency securities	$	—	$	98,672	$	—	$	98,672
Municipal obligations		—		249,805		—		249,805
Corporate debt securities		—		7,988		—		7,988
Residential mortgage-backed securities		—		1,924,157		—		1,924,157
Commercial mortgage-backed securities		—		1,586,467		—		1,586,467
Collateralized mortgage obligations		—		808,215		—		808,215
Total available for sale securities		—		4,675,304		—		4,675,304
Derivative assets (1)		—		54,446		—		54,446
Total recurring fair value measurements - assets		—	$	4,729,750		—	$	4,729,750
Liabilities
Derivative liabilities (1)	$	—	$	15,385	$	5,704	$	21,089
Total recurring fair value measurements - liabilities	$	—	$	15,385	$	5,704	$	21,089

(1)	For further disaggregation of derivative assets and liabilities, see Note 7 - Derivatives.

Consolidated Balance Sheets for Financial Instruments of Material Nature Measured at Fair Value on Recurring Basis

The table below presents a rollforward of the amounts on the consolidated balance sheets for the six months ended June 30, 2020 and the year ended December 31, 2019 for financial instruments of a material nature that are classified within Level 3 of the fair value hierarchy and are measured at fair value on a recurring basis:

(in thousands)
Balance at December 31, 2018	$	7,304
Cash settlement		(1,900	)
Losses included in earnings		300
Balance at December 31, 2019		5,704
Cash settlement		(826	)
Losses included in earnings		104
Balance at June 30, 2020	$	4,982

Overview of the Valuation Techniques and Significant Unobservable Inputs

($ in thousands)
	Fair Value
Level 3 Class	June 30, 2020		December 31, 2019
Derivative liability	$	4,982	$	5,704
Valuation technique	Discounted cash flow		Discounted cash flow
Unobservable inputs:
Visa Class A appreciation - range	6% - 18%		6% - 18%
Visa Class A appreciation - weighted average	12%		12%
Conversion rate - range	1.63x - 1.59x		1.63x - 1.59x
Conversion rate -weighted average	1.6228x		1.616x
Time until resolution	6 - 30 months		12 - 36 months

Financial Assets Measured at Fair Value on Nonrecurring Basis

The following tables present the Company’s financial assets that are measured at fair value on a nonrecurring basis for each of the fair value hierarchy levels.

	June 30, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Collateral-dependent impaired loans	$	—	$	116,205	$	—	$	116,205
Other real estate owned and foreclosed assets, net		—		—		18,724		18,724
Total nonrecurring fair value measurements	$	—	$	116,205	$	18,724	$	134,929

	December 31, 2019
(in thousands)	Level 1		Level 2		Level 3		Total
Collateral-dependent impaired loans	$	—	$	182,377	$	—	$	182,377
Other real estate owned and foreclosed assets, net		—		—		24,422		24,422
Total nonrecurring fair value measurements	$	—	$	182,377	$	24,422	$	206,799

Estimated Fair Values of Financial Instruments

The following tables present the estimated fair values of the Company’s financial instruments by fair value hierarchy levels and the corresponding carrying amounts:

	June 30, 2020
							Total Fair		Carrying
(in thousands)	Level 1		Level 2		Level 3		Value		Amount
Financial assets:
Cash, interest-bearing bank deposits, and federal funds sold	$	1,295,428	$	—	$	—	$	1,295,428	$	1,295,428
Available for sale securities		—		4,932,142		—		4,932,142		4,932,142
Held to maturity securities		—		1,553,593		—		1,553,593		1,449,661
Loans, net		—		116,205		22,886,354		23,002,559		22,185,739
Loans held for sale		—		364,416		—		364,416		364,416
Derivative financial instruments		—		181,111		—		181,111		181,111
Financial liabilities:
Deposits		—		—		27,315,521		27,315,521		27,322,268
Federal funds purchased		575		—		—		575		575
Securities sold under agreements to repurchase		654,300		—		—		654,300		654,300
FHLB short-term borrowings		1,100,000		—		—		1,100,000		1,100,000
Long-term debt		—		436,837		—		436,837		386,269
Derivative financial instruments		—		53,952		4,982		58,934		58,934

	December 31, 2019
(in thousands)	Level 1		Level 2		Level 3		Total Fair Value		Carrying Amount
Financial assets:
Cash, interest-bearing bank deposits, and federal funds sold	$	542,333	$	—	$	—	$	542,333	$	542,333
Available for sale securities		—		4,675,304		—		4,675,304		4,675,304
Held to maturity securities		—		1,611,004		—		1,611,004		1,568,009
Loans, net		—		182,377		20,861,702		21,044,079		21,021,504
Loans held for sale		—		55,864		—		55,864		55,864
Derivative financial instruments		—		54,446		—		54,446		54,446
Financial liabilities:
Deposits	$	—	$	—	$	23,786,775	$	23,786,775	$	23,803,575
Federal funds purchased		195,450		—		—		195,450		195,450
Securities sold under agreements to repurchase		484,422		—		—		484,422		484,422
FHLB short-term borrowings		2,035,000		—		—		2,035,000		2,035,000
Long-term debt		—		226,098		—		226,098		233,462
Derivative financial instruments		—		15,385		5,704		21,089		21,089