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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value Option, Disclosures [Table Text Block]

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Available-for-Sale Investment Securities. When quoted prices are available in an active market, the Company classifies available-for-sale investment securities within Level 1 of the valuation hierarchy. U.S. Treasury Bills are classified within Level 1 of the fair value hierarchy.

When quoted market prices are not available, the Company employs an independent pricing service that utilizes matrix pricing to calculate fair value. Such fair value measurements consider observable data such as dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayments speeds, credit information, and respective terms and conditions for debt instruments. Management maintains procedures to monitor the pricing service's results and has an established process to challenge their valuations, or methodologies, that appear unusual or unexpected. Available-for-Sale investment securities which include Agency CMO, Agency MBS, Agency CMBS, CMBS, CLO, and corporate debt, are classified within Level 2 of the fair value hierarchy.

Derivative Instruments. Foreign exchange contracts are valued based on unadjusted quoted prices in active markets and classified within Level 1 of the fair value hierarchy.

All other derivative instruments are valued using third-party valuation software, which considers the present value of cash flows discounted using observable forward rate assumptions. The resulting fair value is validated against valuations performed by independent third parties and are classified within Level 2 of the fair value hierarchy. Webster evaluates the credit risk of its counterparties to determine if any fair value adjustment related to credit risk may be required, by considering factors such as the likelihood of default by the counterparty, its net exposure, remaining contractual life, as well as the collateral securing the position. The change in value of derivative assets and liabilities attributable to credit risk was not significant during the reported periods.

Mortgage Banking Derivatives. Forward sales of mortgage loans and mortgage-backed securities are utilized by the Company in its efforts to manage risk of loss associated with its mortgage loan commitments and mortgage loans held for sale. Prior to closing and funding certain single-family residential mortgage loans, an interest rate lock commitment is generally extended to the borrower. During the period from commitment date to closing date, the Company is subject to the risk that market rates of interest may change. If market rates rise, investors generally will pay less to purchase such loans resulting in a reduction in the gain on sale of the loans or, possibly, a loss. In an effort to mitigate such risk, forward delivery sales commitments are established, under which the Company agrees to deliver whole mortgage loans to various investors or issue mortgage-backed securities. The fair value of mortgage banking derivatives is determined based on current market prices for similar assets in the secondary market and, therefore, classified within Level 2 of the fair value hierarchy.

Originated Loans Held For Sale. Residential mortgage loans typically are classified as held for sale upon origination based on management's intent to sell such loans. The Company generally records residential mortgage loans held for sale under the fair value option of ASC Topic 825 "Financial Instruments." Electing to measure originated loans held for sale at fair value reduces certain timing differences and better matches changes in the value of these assets with changes in the value of the derivatives used as an economic hedge on these assets. The fair value of residential mortgage loans held for sale is based on quoted market prices of similar loans sold in conjunction with securitization transactions. Accordingly, such loans are classified within Level 2 of the fair value hierarchy.

The following table compares the fair value to unpaid principal balance of assets accounted for under the fair value option:


	At December 31, 2019										At December 31, 2018
(In thousands)	Fair Value		Unpaid Principal Balance		Difference		Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	35,750	$	35,186	$	564	$	7,908	$	8,227	$	(319)

Fair Value Of Assets And Liabilities Measured On Recurring Basis

Summaries of the fair values of assets and liabilities measured at fair value on a recurring basis are as follows:


	At December 31, 2019
(In thousands)	Level 1		Level 2		Level 3		NAV		Total
Financial assets held at fair value:
U.S. Treasury Bills	$	—	$	—	$	—	$	—	$	—
Agency CMO	—		185,801		—		—		185,801
Agency MBS	—		1,612,164		—		—		1,612,164
Agency CMBS	—		581,552		—		—		581,552
CMBS	—		431,871		—		—		431,871
CLO	—		92,205		—		—		92,205
Corporate debt	—		22,240		—		—		22,240
Total available-for-sale investment securities	—		2,925,833		—		—		2,925,833
Gross derivative instruments, before netting ⁽¹⁾	328		145,709		—		—		146,037
Originated loans held for sale	—		35,750		—		—		35,750
Investments held in Rabbi Trust	4,780		—		—		—		4,780
Alternative investments	—		—		—		4,331		4,331
Total financial assets held at fair value	$	5,108	$	3,107,292	$	—	$	4,331	$	3,116,731
Financial liabilities held at fair value:
Gross derivative instruments, before netting ⁽¹⁾	$	611	$	13,202	$	—	$	—	$	13,813


	At December 31, 2018
(In thousands)	Level 1		Level 2		Level 3		NAV		Total
Financial assets held at fair value:
U.S. Treasury Bills	$	7,550	$	—	$	—	$	—	$	7,550
Agency CMO	—		234,923		—		—		234,923
Agency MBS	—		1,481,089		—		—		1,481,089
Agency CMBS	—		566,237		—		—		566,237
CMBS	—		445,581		—		—		445,581
CLO	—		112,771		—		—		112,771
Corporate debt	—		50,579		—		—		50,579
Total available-for-sale investment securities	7,550		2,891,180		—		—		2,898,730
Gross derivative instruments, before netting ⁽¹⁾	758		45,520		—		—		46,278
Originated loans held for sale	—		7,908		—		—		7,908
Investments held in Rabbi Trust	4,307		—		—		—		4,307
Alternative investments	—		—		—		2,563		2,563
Total financial assets held at fair value	$	12,615	$	2,944,608	$	—	$	2,563	$	2,959,786
Financial liabilities held at fair value:
Gross derivative instruments, before netting ⁽¹⁾	$	588	$	38,422	$	—	$	—	$	39,010

(1)For information relating to the impact of netting derivative assets and derivative liabilities as well as the impact from offsetting cash collateral paid to the same derivative counterparties refer to Note 16: Derivative Financial Instruments.

Summary Of Estimated Fair Values Of Significant Financial Instruments

Fair value of selected financial instruments and servicing assets amounts are as follows:


	At December 31,
	2019						2018
(In thousands)	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial Assets:
Level 2
Held-to-maturity investment securities	$	5,293,918	$	5,380,653	$	4,325,420	$	4,209,121
Level 3
Loans and leases, net	19,827,890		19,961,632		18,253,136		18,155,798
Mortgage servicing assets	17,484		33,250		21,215		45,478
Financial Liabilities:
Level 2
Deposit liabilities, other than time deposits	$	20,219,981	$	20,219,981	$	18,662,299	$	18,662,299
Time deposits	3,104,765		3,102,316		3,196,546		3,175,948
Securities sold under agreements to repurchase and other borrowings	1,040,431		1,041,042		581,874		581,874
FHLB advances	1,948,476		1,950,035		1,826,808		1,826,381
Long-term debt ⁽¹⁾	540,364		555,775		226,021		229,306

(1)Adjustments to the carrying amount of long-term debt for basis adjustment, unamortized discount, and debt issuance cost on senior fixed-rate notes are not included for determination of fair value. Refer to Note 11: Borrowings for additional information.