Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Assets And Liabilities Measured On A Recurring Basis [Table Text Block]

The fair value of financial assets and liabilities measured on a recurring basis was as follows as of March 31, 2020 (in thousands):



	Total		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Trading securities:
U.S. government agency debentures	$	37,740	$	—	$	37,740	$	—
Residential agency mortgage-backed securities	1,922,725		—		1,922,725		—
Municipal and other tax-exempt securities	35,513		—		35,513		—
Asset-backed securities	58,278		—		58,278		—
Other trading securities	56,329		—		56,329		—
Total trading securities	2,110,585		—		2,110,585		—
Available for sale securities:
U.S. Treasury	917		917		—		—
Municipal and other tax-exempt securities	24,034		—		24,034		—
Residential agency mortgage-backed securities	9,259,089		—		9,259,089		—
Residential non-agency mortgage-backed securities	34,866		—		34,866		—
Commercial agency mortgage-backed securities	3,374,899		—		3,374,899		—
Other debt securities	472		—		—		472
Total available for sale securities	12,694,277		917		12,692,888		472
Fair value option securities:
U.S. Treasury	—		—		—		—
Residential agency mortgage-backed securities	1,703,238		—		1,703,238		—
Total fair value option securities	1,703,238		—		1,703,238		—
Residential mortgage loans held for sale	204,720		—		195,146		9,574
Mortgage servicing rights¹	110,828		—		—		110,828
Derivative contracts, net of cash collateral²	922,716		83,268		839,448		—
Liabilities:
Derivative contracts, net of cash collateral²	1,213,445		—		1,213,445		—


¹	A reconciliation of the beginning and ending fair value of mortgage servicing rights and disclosures of significant assumptions used to determine fair value are presented in Note 5, Mortgage Banking Activities.

See Note 3 for detail of fair value of derivative contracts by contract type. Derivative contracts in asset positions that were valued based on quoted prices in active markets for identical instruments (Level 1) are primarily exchange-traded energy, interest rate and agricultural derivative contacts, net of cash margin. Derivative contacts in liability positions that were valued using quoted prices in active markets for identical instruments are exchange-traded interest rate derivative contracts, fully offset by cash margin.

The fair value of financial assets and liabilities measured on a recurring basis was as follows as of December 31, 2019 (in thousands):



	Total		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Trading securities:
U.S. government agency debentures	$	44,264	$	—	$	44,264	$	—
Residential agency mortgage-backed securities	1,504,651		—		1,504,651		—
Municipal and other tax-exempt securities	26,196		—		26,196		—
Asset-backed securities	14,084		—		14,084		—
Other trading securities	34,726		—		34,726		—
Total trading securities	1,623,921		—		1,623,921		—
Available for sale securities:
U.S. Treasury	1,600		1,600		—		—
Municipal and other tax-exempt securities	1,861		—		1,861		—
Residential agency mortgage-backed securities	8,046,096		—		8,046,096		—
Residential non-agency mortgage-backed securities	41,609		—		41,609		—
Commercial agency mortgage-backed securities	3,178,005		—		3,178,005		—
Other debt securities	472		—		—		472
Total available for sale securities	11,269,643		1,600		11,267,571		472
Fair value option securities:
U.S. Treasury	9,917		9,917		—		—
Residential agency mortgage-backed securities	1,088,660		—		1,088,660		—
Total fair value option securities	1,098,577		9,917		1,088,660		—
Residential mortgage loans held for sale	182,271		—		173,958		8,313
Mortgage servicing rights¹	201,886		—		—		201,886
Derivative contracts, net of cash collateral²	323,375		8,944		314,431		—
Liabilities:
Derivative contracts, net of cash collateral²	251,128		—		251,128		—


¹	A reconciliation of the beginning and ending fair value of mortgage servicing rights and disclosures of significant assumptions used to determine fair value are presented in Note 5, Mortgage Banking Activities.

See Note 3 for detail of fair value of derivative contracts by contract type. Derivative contracts based on quoted prices in active markets for identical instruments (Level 1) are exchange-traded interest rate and energy derivative contacts, net of cash margin. Derivative contracts in liability positions that were valued using quoted prices in active markets for identical instruments (Level 1) are exchange-traded interest rate and agricultural contracts, fully offset by cash margin.

Fair Value Assets Measured On Recurring Basis, Significant Unobservable Inputs [Table Text Block]

The following represents the changes for the three months ended March 31, 2020 related to assets measured at fair value on a recurring basis using significant unobservable inputs (in thousands):



	Available for sale - Other debt securities		Residential mortgage loans held for sale
Balance, December 31, 2019	$	472	$	8,313
Transfer to Level 3 from Level 2¹	—		2,264
Purchases	—		—
Proceeds from sales	—		(940		)
Redemptions and distributions	—		—
Gain (loss) recognized in earnings:
Mortgage banking revenue	—		(63		)
Other comprehensive income (loss):
Net change in unrealized gain (loss)	—		—
Balance, March 31, 2020	$	472	$	9,574


¹	Recurring transfers to Level 3 from Level 2 consist of residential mortgage loans intended for sale to U.S. government agencies that fail to meet conforming standards.

The following represents the changes for the three months ended March 31, 2019 related to assets measured at fair value on a recurring basis using significant unobservable inputs (in thousands):



	Available for sale - Other debt securities		Residential mortgage loans held for sale
Balance, December 31, 2018	$	472	$	15,207
Transfer to Level 3 from Level 2¹	—		982
Purchases	—		—
Proceeds from sales	—		(381		)
Redemptions and distributions	—		—
Gain (loss) recognized in earnings:
Mortgage banking revenue	—		(32		)
Other comprehensive income (loss):
Net change in unrealized gain (loss)	—		—
Balance, March 31, 2019	$	472	$	15,776


¹	Recurring transfers to Level 3 from Level 2 consist of residential mortgage loans intended for sale to U.S. government agencies that fail to meet conforming standards.

Fair Value Inputs, Fair Value Measured On a Recurring Basis, Quantitative Information [Table Text Block]

A summary of quantitative information about assets measured at fair value on a recurring basis using Significant Unobservable Inputs (Level 3) as of March 31, 2020 follows (in thousands):



	Fair Value		Valuation Technique(s)		Unobservable Input	Range (Weighted Average)

Available for sale securities – Other debt securities	$	472	Discounted cash flows	¹	Interest rate spread	6.69%-6.69% (6.69%)	³
Available for sale securities – Other debt securities	$	472	Discounted cash flows	¹	Interest rate spread	94.38%-94.38% (94.38%)	²
Residential mortgage loans held for sale	9,574		Quoted prices of loans sold in securitization transactions, with a liquidity discount applied		Liquidity discount applied to the market value of mortgage loans qualifying for sale to U.S. government agencies.	95.24%


¹	Discounted cash flows developed using discount rates primarily based on reference to interest rate spreads for comparable securities of similar duration and credit rating as determined by the nationally-recognized rating agencies, adjusted for lack of trading volume.


²	Represents fair value as a percentage of par value.


³	Interest rate yields used to value investment grade taxable securities based on comparable short-term taxable securities which are generally yielding approximately 3 percent.

A summary of quantitative information about assets measured at fair value on a recurring basis using Significant Unobservable Inputs (Level 3) as of December 31, 2019 follows (in thousands):



	Fair Value		Valuation Technique(s)		Unobservable Input	Range (Weighted Average)

Available for sale securities – Other debt securities	$	472	Discounted cash flows	¹	Interest rate spread	7.08%-7.08% (7.08%)	³
Available for sale securities – Other debt securities	$	472	Discounted cash flows	¹	Interest rate spread	94.40%-94.40% (94.40%)	²
Residential mortgage loans held for sale	8,313		Quoted prices of loans sold in securitization transactions, with a liquidity discount applied		Liquidity discount applied to the market value of mortgage loans qualifying for sale to U.S. government agencies.	95.23%


¹	Discounted cash flows developed using discount rates primarily based on reference to interest rate spreads for comparable securities of similar duration and credit rating as determined by the nationally-recognized rating agencies, adjusted for lack of trading volume


²	Represents fair value as a percentage of par value.

Interest rate yields used to value investment grade taxable securities based on comparable short-term taxable securities which are generally yielding less than 3 percent.

Fair Value Assets Measured on Nonrecurring Basis [Table Text Block]

The following represents the carrying value of assets measured at fair value on a non-recurring basis (and related losses) during the period. The carrying value represents only those assets with a balance at March 31, 2020 for which the fair value was adjusted during the three months ended March 31, 2020:



							Fair Value Adjustments for the
	Carrying Value at March 31, 2020						Three Months Ended March 31, 2020 Recognized in:
	Quoted Prices in Active Markets for Identical Instruments		Significant Other Observable Inputs		Significant Unobservable Inputs		Gross charge-offs against allowance for loan losses		Net losses and operating expenses of repossessed assets
Nonaccruing loans	$	—	$	293	$	22,746	$	15,789	$	—
Real estate and other repossessed assets	—		1,066		400		—		226

The following represents the carrying value of assets measured at fair value on a non-recurring basis (and related losses) during the period. The carrying value represents only those assets with a balance at March 31, 2019 for which the fair value was adjusted during the three months ended March 31, 2019:



							Fair Value Adjustments for the
	Carrying Value at March 31, 2019						Three Months Ended March 31, 2019 Recognized in:
	Quoted Prices in Active Markets for Identical Instruments		Significant Other Observable Inputs		Significant Unobservable Inputs		Gross charge-offs against allowance for loan losses		Net losses and operating expenses of repossessed assets
Nonaccruing loans	$	—	$	—	$	9,712	$	9,581	$	—
Real estate and other repossessed assets	—		2,688		144		—		434

Fair Value Inputs, Fair Value Measured On a Nonrecurring Basis, Quantitative Information [Table Text Block]

A summary of quantitative information about Non-recurring Fair Value Measurements based on Significant Unobservable Inputs (Level 3) as of March 31, 2020 follows (in thousands):



	Fair Value		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
Nonaccruing loans	$	22,746	Discounted cash flows	Management knowledge of industry and non-real estate collateral including but not limited to recoverable oil and gas reserves, forward-looking commodity prices, estimated operating costs	6% - 71% (36%)¹
Real estate and other repossessed assets	400		Appraised value, as adjusted	Marketability adjustments off appraised value²	87% - 87% (87%)


¹	Represents fair value as a percentage of the unpaid principal balance.


²	Marketability adjustments include consideration of estimated costs to sell which is approximately 10% of the fair value.

A summary of quantitative information about Non-recurring Fair Value Measurements based on Significant Unobservable Inputs (Level 3) as of March 31, 2019 follows (in thousands):



	Fair Value		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
Nonaccruing loans	$	9,712	Discounted cash flows	Management knowledge of industry and non-real estate collateral including but not limited to recoverable oil and gas reserves, forward-looking commodity prices, estimated operating costs	14% - 74% (31%)¹
Real estate and other repossessed assets	144		Appraised value, as adjusted	Marketability adjustments off appraised value²	75% - 85% (79%)


¹	Represents fair value as a percentage of the unpaid principal balance.


²	Marketability adjustments include consideration of estimated costs to sell which is approximately 10% of the fair value.

Fair Value of Financial Instruments [Table Text Block]

The following table presents the carrying values and estimated fair values of all financial instruments, including those financial assets and liabilities that are not measured and reported at fair value on a recurring basis or non-recurring basis as of March 31, 2020 (dollars in thousands):



	Carrying Value			Estimated Fair Value		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Cash and due from banks	$	670,500		$	670,500	$	670,500	$	—	$	—
Interest-bearing cash and cash equivalents	302,577			302,577		302,577		—		—
Trading securities:
U.S. government agency debentures	37,740			37,740		—		37,740		—
Residential agency mortgage-backed securities	1,922,725			1,922,725		—		1,922,725		—
Municipal and other tax-exempt securities	35,513			35,513		—		35,513		—
Asset-backed securities	58,278			58,278		—		58,278		—
Other trading securities	56,329			56,329		—		56,329		—
Total trading securities	2,110,585			2,110,585		—		2,110,585		—
Investment securities:
Municipal and other tax-exempt securities	86,212			89,359		—		89,359		—
Residential agency mortgage-backed securities	10,253			11,099		—		11,099		—
Other debt securities	177,613			195,944		—		8,547		187,397
Total investment securities	274,078			296,402		—		109,005		187,397
Allowance for credit losses	(1,502		)	—		—		—		—
Investment securities, net of allowance	272,576			296,402		—		109,005		187,397
Available for sale securities:
U.S. Treasury	917			917		917		—		—
Municipal and other tax-exempt securities	24,034			24,034		—		24,034		—
Residential agency mortgage-backed securities	9,259,089			9,259,089		—		9,259,089		—
Residential non-agency mortgage-backed securities	34,866			34,866		—		34,866		—
Commercial agency mortgage-backed securities	3,374,899			3,374,899		—		3,374,899		—
Other debt securities	472			472		—		—		472
Total available for sale securities	12,694,277			12,694,277		917		12,692,888		472
Fair value option securities:
U.S. Treasury	—			—		—		—		—
Residential agency mortgage-backed securities	1,703,238			1,703,238		—		1,703,238		—
Total fair value option securities	1,703,238			1,703,238		—		1,703,238		—
Residential mortgage loans held for sale	204,720			204,720		—		195,146		9,574
Loans:
Commercial	14,795,975			14,733,781		—		—		14,733,781
Commercial real estate	4,450,085			4,469,491		—		—		4,469,491
Loans to individuals	3,217,910			3,236,809		—		—		3,236,809
Total loans	22,463,970			22,440,081		—		—		22,440,081
Allowance for loan losses	(315,311		)	—		—		—		—
Loans, net of allowance	22,148,659			22,440,081		—		—		22,440,081
Mortgage servicing rights	110,828			110,828		—		—		110,828
Derivative instruments with positive fair value, net of cash collateral	922,716			922,716		83,268		839,448		—
Deposits with no stated maturity	27,011,679			27,011,679		—		—		27,011,679
Time deposits	2,232,473			2,257,136		—		—		2,257,136
Other borrowed funds	10,113,322			10,110,076		—		—		10,110,076
Subordinated debentures	275,942			263,674		—		263,674		—
Derivative instruments with negative fair value, net of cash collateral	1,213,445			1,213,445		—		1,213,445		—



	Carrying Value			Estimated Fair Value		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Cash and due from banks	$	735,836		$	735,836	$	735,836	$	—	$	—
Interest-bearing cash and cash equivalents	522,985			522,985		522,985		—		—
Trading securities:
U.S. government agency debentures	44,264			44,264		—		44,264		—
Residential agency mortgage-backed securities	1,504,651			1,504,651		—		1,504,651		—
Municipal and other tax-exempt securities	26,196			26,196		—		26,196		—
Asset-backed securities	14,084			14,084		—		14,084		—
Other trading securities	34,726			34,726		—		34,726		—
Total trading securities	1,623,921			1,623,921		—		1,623,921		—
Investment securities:
Municipal and other tax-exempt securities	93,653			96,897		—		96,897		—
Residential agency mortgage-backed securities	10,676			11,164		—		11,164		—
Other debt securities	189,089			206,341		—		8,206		198,135
Total investment securities	293,418			314,402		—		116,267		198,135
Available for sale securities:
U.S. Treasury	1,600			1,600		1,600		—		—
Municipal and other tax-exempt securities	1,861			1,861		—		1,861		—
Residential agency mortgage-backed securities	8,046,096			8,046,096		—		8,046,096		—
Residential non-agency mortgage-backed securities	41,609			41,609		—		41,609		—
Commercial agency mortgage-backed securities	3,178,005			3,178,005		—		3,178,005		—
Other debt securities	472			472		—		—		472
Total available for sale securities	11,269,643			11,269,643		1,600		11,267,571		472
Fair value option securities:
U.S. Treasury	9,917			9,917		9,917		—		—
Residential agency mortgage-backed securities	1,088,660			1,088,660		—		1,088,660		—
Total fair value option securities	1,098,577			1,098,577		9,917		1,088,660		—
Residential mortgage loans held for sale	182,271			182,271		—		173,958		8,313
Loans:
Commercial	14,031,650			13,966,221		—		—		13,966,221
Commercial real estate	4,433,783			4,422,717		—		—		4,422,717
Residential mortgage	2,084,172			2,098,093		—		—		2,098,093
Personal	1,201,382			1,202,298		—		—		1,202,298
Total loans	21,750,987			21,689,329		—		—		21,689,329
Allowance for loan losses	(210,759		)	—		—		—		—
Loans, net of allowance	21,540,228			21,689,329		—		—		21,689,329
Mortgage servicing rights	201,886			201,886		—		—		201,886
Derivative instruments with positive fair value, net of cash collateral	323,375			323,375		8,944		314,431		—
Deposits with no stated maturity	25,403,319			25,403,319		—		—		25,403,319
Time deposits	2,217,849			2,212,467		—		—		2,212,467
Other borrowed funds	8,345,405			8,315,860		—		—		8,315,860
Subordinated debentures	275,923			284,627		—		284,627		—
Derivative instruments with negative fair value, net of cash collateral	251,128			251,128		—		251,128		—