Fair Value Measurement and Fair Value of Financial Instruments (Tables)
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3 Months Ended |
Mar. 31, 2020 |
|---|
| Fair Value, Financial Assets and Liabilities Measured on Recurring and Nonrecurring Basis |
|
| Schedule of financial assets (liabilities) measured at fair value on a recurring basis |
The following tables present financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019: | | | | | | | | | | | | | | | | | | | ($ in thousands) | | Assets and Liabilities Measured at Fair Value on a Recurring Basis
as of March 31, 2020 | | Quoted Prices in
Active Markets
for Identical
Assets
(Level 1) | | Significant
Other
Observable
Inputs
(Level 2) | | Significant
Unobservable
Inputs
(Level 3) | | Total
Fair Value | AFS debt securities: | | | | | | | | | U.S. Treasury securities | | $ | 51,428 |
| | $ | — |
| | $ | — |
| | $ | 51,428 |
| U.S. government agency and U.S. government- sponsored enterprise debt securities | | — |
| | 518,408 |
| | — |
| | 518,408 |
| U.S. government agency and U.S. government- sponsored enterprise mortgage-backed securities: | | | | | | | | | Commercial mortgage-backed securities | | — |
| | 697,948 |
| | — |
| | 697,948 |
| Residential mortgage-backed securities | | — |
| | 1,352,367 |
| | — |
| | 1,352,367 |
| Municipal securities | | — |
| | 309,626 |
| | — |
| | 309,626 |
| Non-agency mortgage-backed securities: | | | | | | | | | Commercial mortgage-backed securities | | — |
| | 87,114 |
| | — |
| | 87,114 |
| Residential mortgage-backed securities | | — |
| | 62,134 |
| | — |
| | 62,134 |
| Corporate debt securities | | — |
| | 10,963 |
| | — |
| | 10,963 |
| Foreign bonds | | — |
| | 284,521 |
| | — |
| | 284,521 |
| Asset-backed securities | | — |
| | 61,556 |
| | — |
| | 61,556 |
| Collateralized loan obligations (“CLOs”) | | — |
| | 259,878 |
| | — |
| | 259,878 |
| Total AFS debt securities | | $ | 51,428 |
| | $ | 3,644,515 |
| | $ | — |
| | $ | 3,695,943 |
| | | | | | | | | | Investments in tax credit and other investments: | | | | | | | | | Equity securities (1) | | $ | 22,195 |
| | $ | 8,135 |
| | $ | — |
| | $ | 30,330 |
| Total investments in tax credit and other investments | | $ | 22,195 |
| | $ | 8,135 |
| | $ | — |
| | $ | 30,330 |
| | | | | | | | | | Derivative assets: | | | | | | | | | Interest rate contracts | | $ | — |
| | $ | 605,122 |
| | $ | — |
| | $ | 605,122 |
| Foreign exchange contracts | | — |
| | 64,383 |
| | — |
| | 64,383 |
| Credit contracts | | — |
| | 8 |
| | — |
| | 8 |
| Equity contracts | | — |
| | 415 |
| | 713 |
| | 1,128 |
| Commodity contracts | | — |
| | 163,563 |
| | — |
| | 163,563 |
| Gross derivative assets | | $ | — |
| | $ | 833,491 |
| | $ | 713 |
| | $ | 834,204 |
| Netting adjustments (2) | | $ | — |
| | $ | (178,774 | ) | | $ | — |
| | $ | (178,774 | ) | Net derivative assets | | $ | — |
| | $ | 654,717 |
| | $ | 713 |
| | $ | 655,430 |
| | | | | | | | | | Derivative liabilities: | | | | | | | | | Interest rate contracts | | $ | — |
| | $ | 403,351 |
| | $ | — |
| | $ | 403,351 |
| Foreign exchange contracts | | — |
| | 55,658 |
| | — |
| | 55,658 |
| Credit contracts | | — |
| | 218 |
| | — |
| | 218 |
| Commodity contracts | | — |
| | 199,288 |
| | — |
| | 199,288 |
| Gross derivative liabilities | | $ | — |
| | $ | 658,515 |
| | $ | — |
| | $ | 658,515 |
| Netting adjustments (2) | | $ | — |
| | $ | (243,101 | ) | | $ | — |
| | $ | (243,101 | ) | Net derivative liabilities | | $ | — |
| | $ | 415,414 |
| | $ | — |
| | $ | 415,414 |
| |
| | (1) | Equity securities consist of mutual funds with readily determinable fair values. |
| | (2) | Represents balance sheet netting of derivative assets and liabilities and related cash collateral under master netting agreements or similar agreements. See Note 6 — Derivatives to the Consolidated Financial Statements in this Form 10-Q for additional information. |
| | | | | | | | | | | | | | | | | | | ($ in thousands) | | Assets and Liabilities Measured at Fair Value on a Recurring Basis
as of December 31, 2019 | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Total Fair Value | AFS debt securities: | | | | | | | | | U.S. Treasury securities | | $ | 176,422 |
| | $ | — |
| | $ | — |
| | $ | 176,422 |
| U.S. government agency and U.S. government- sponsored enterprise debt securities | | — |
| | 581,245 |
| | — |
| | 581,245 |
| U.S. government agency and U.S. government- sponsored enterprise mortgage-backed securities: | | | | | | | |
|
| Commercial mortgage-backed securities | | — |
| | 603,471 |
| | — |
| | 603,471 |
| Residential mortgage-backed securities | | — |
| | 1,003,897 |
| | — |
| | 1,003,897 |
| Municipal securities | | — |
| | 102,302 |
| | — |
| | 102,302 |
| Non-agency mortgage-backed securities: | | | | | | | | | Commercial mortgage-backed securities | | — |
| | 88,550 |
| | — |
| | 88,550 |
| Residential mortgage-backed securities | | — |
| | 46,548 |
| | — |
| | 46,548 |
| Corporate debt securities | | — |
| | 11,149 |
| | — |
| | 11,149 |
| Foreign bonds | | — |
| | 354,172 |
| | — |
| | 354,172 |
| Asset-backed securities | | — |
| | 64,752 |
| | — |
| | 64,752 |
| CLOs | | — |
| | 284,706 |
| | — |
| | 284,706 |
| Total AFS debt securities | | $ | 176,422 |
| | $ | 3,140,792 |
| | $ | — |
| | $ | 3,317,214 |
| | | | | | | | | | Investments in tax credit and other investments: | | | | | | | | | Equity securities (1) | | $ | 21,746 |
| | $ | 9,927 |
| | $ | — |
| | $ | 31,673 |
| Total investments in tax credit and other investments | | $ | 21,746 |
| | $ | 9,927 |
| | $ | — |
| | $ | 31,673 |
| | | | | | | | | | Derivative assets: | | | | | | | | | Interest rate contracts | | $ | — |
| | $ | 192,883 |
| | $ | — |
| | $ | 192,883 |
| Foreign exchange contracts | | — |
| | 54,637 |
| | — |
| | 54,637 |
| Credit contracts | | — |
| | 2 |
| | — |
| | 2 |
| Equity contracts | | — |
| | 993 |
| | 421 |
| | 1,414 |
| Commodity contracts | | — |
| | 81,380 |
| | — |
| | 81,380 |
| Gross derivative assets | | $ | — |
| | $ | 329,895 |
| | $ | 421 |
| | $ | 330,316 |
| Netting adjustments (2) | | $ | — |
| | $ | (125,319 | ) | | $ | — |
| | $ | (125,319 | ) | Net derivative assets | | $ | — |
| | $ | 204,576 |
| | $ | 421 |
| | $ | 204,997 |
| | | | | | | | | | Derivative liabilities: | | | | | | | | | Interest rate contracts | | $ | — |
| | $ | 127,317 |
| | $ | — |
| | $ | 127,317 |
| Foreign exchange contracts | | — |
| | 48,610 |
| | — |
| | 48,610 |
| Credit contracts | | — |
| | 84 |
| | — |
| | 84 |
| Commodity contracts | | — |
| | 80,517 |
| | — |
| | 80,517 |
| Gross derivative liabilities | | $ | — |
| | $ | 256,528 |
| | $ | — |
| | $ | 256,528 |
| Netting adjustments (2) | | $ | — |
| | $ | (159,799 | ) | | $ | — |
| | $ | (159,799 | ) | Net derivative liabilities | | $ | — |
| | $ | 96,729 |
| | $ | — |
| | $ | 96,729 |
| |
| | (1) | Equity securities consist of mutual funds with readily determinable fair values. |
(2) Represents balance sheet netting of derivative assets and liabilities and related cash collateral under master netting agreements or similar agreements. See Note 6 — Derivatives to the Consolidated Financial Statements in this Form 10-Q for additional information.
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| Reconciliation of the beginning and ending balances for equity warrants measured at fair value on a recurring basis using significant unobservable inputs (Level 3) |
The following table provides a reconciliation of the beginning and ending balances of these equity warrants for the three months ended March 31, 2020 and 2019: | | | | | | | | | | | ($ in thousands) | | Three Months Ended March 31, | | 2020 | | 2019 | Equity Contracts | | | | | Beginning balance | | $ | 421 |
| | $ | 673 |
| Total gains (losses) included in earnings (1) | | 292 |
| | (231 | ) | Ending balance |
| $ | 713 |
| | $ | 442 |
| |
| | (1) | Includes unrealized gains (losses) of $292 thousand and $(43) thousand for the three months ended March 31, 2020 and 2019, respectively. The realized/unrealized gains (losses) of equity warrants are included in Lending fees on the Consolidated Statement of Income. |
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| Schedule of carrying amounts of assets that were still held and had fair value changes measured on a nonrecurring basis |
The following tables present the carrying amounts of assets that were still held and had fair value changes measured on a nonrecurring basis as of March 31, 2020 and December 31, 2019: | | | | | | | | | | | | | | | | | | | ($ in thousands) | | Assets Measured at Fair Value on a Nonrecurring Basis
as of March 31, 2020 | | Quoted Prices in
Active Markets
for Identical
Assets
(Level 1) | | Significant
Other
Observable
Inputs
(Level 2) | | Significant Unobservable Inputs (Level 3) | | Fair Value
Measurements | Impaired loans (1): | | | | | | | | | Commercial: | | | | | | | | | C&I | | $ | — |
| | $ | — |
| | $ | 28,877 |
| | $ | 28,877 |
| CRE: | | | | | | | | | CRE | | — |
| | — |
| | 735 |
| | 735 |
| Total commercial | | — |
| | — |
| | 29,612 |
| | 29,612 |
| Consumer: | | | | | | | | | Residential mortgage: | | | | | | | | | HELOCs | | — |
| | — |
| | 1,798 |
| | 1,798 |
| Other consumer | | — |
| | — |
| | 2,491 |
| | 2,491 |
| Total consumer | | — |
| | — |
| | 4,289 |
| | 4,289 |
| Total impaired loans | | $ | — |
| | $ | — |
| | $ | 33,901 |
| | $ | 33,901 |
| Investments in tax credit and other investments, net | | $ | — |
| | $ | — |
| | $ | 3,076 |
| | $ | 3,076 |
| Other nonperforming assets | | $ | — |
| | $ | — |
| | $ | 867 |
| | $ | 867 |
| |
| | | | | | | | | | | | | | | | | | | ($ in thousands) | | Assets Measured at Fair Value on a Nonrecurring Basis
as of December 31, 2019 | | Quoted Prices in
Active Markets
for Identical
Assets
(Level 1) | | Significant
Other
Observable
Inputs
(Level 2) | | Significant
Unobservable
Inputs
(Level 3) | | Fair Value
Measurements | Non-PCI impaired loans: | | | | | | | | | Commercial: | | | | | | | | | C&I | | $ | — |
| | $ | — |
| | $ | 47,554 |
| | $ | 47,554 |
| CRE: | | | | | | | | | CRE | | — |
| | — |
| | 753 |
| | 753 |
| Total commercial | | — |
| | — |
| | 48,307 |
| | 48,307 |
| Consumer: | | | | | | | | | Residential mortgage: | | | | | | | | | HELOCs | | — |
| | — |
| | 1,372 |
| | 1,372 |
| Total consumer | | — |
| | — |
| | 1,372 |
| | 1,372 |
| Total non-PCI impaired loans | | $ | — |
| | $ | — |
| | $ | 49,679 |
| | $ | 49,679 |
| OREO (2) | | $ | — |
| | $ | — |
| | $ | 125 |
| | $ | 125 |
| Investments in tax credit and other investments, net | | $ | — |
| | $ | — |
| | $ | 3,076 |
| | $ | 3,076 |
| |
| | (1) | The Company adopted ASU 2016-13 using the prospective transition approach for PCD loans that were previously accounted for as PCI loans. Total impaired loans as of March 31, 2020 considers PCD loans, if impaired, whereas the impaired loans as of December 31, 2019 includes only non-PCI loans. |
(2) Amounts are included in Other assets on the Consolidated Balance Sheet and represent the carrying value of OREO properties that were written down subsequent to their initial classification as OREO.
|
| Schedule of increase (decrease) in fair value of assets for which a fair value adjustment has been recognized, nonrecurring basis |
The following table presents the increase (decrease) in fair value of assets for which a fair value adjustment has been recognized for the three months ended March 31, 2020 and 2019, related to assets that were still held as of those dates: | | | | | | | | | | | ($ in thousands) | | Three Months Ended March 31, | | 2020 | | 2019 | Impaired loans: | | Total Impaired Loans (1) | | Non-PCI Impaired Loans | Commercial: | | | | | C&I | | $ | (21,501 | ) | | $ | (2,734 | ) | CRE: | | | | | CRE | | (5 | ) | | 2 |
| Total commercial | | (21,506 | ) | | (2,732 | ) | Consumer: | | | | | Residential mortgage: | | | | | HELOCs | | (193 | ) | | (78 | ) | Other consumer | | 2,491 |
| | — |
| Total consumer | | 2,298 |
| | (78 | ) | Total impaired loans | | $ | (19,208 | ) | | $ | (2,810 | ) | Investments in tax credit and other investments, net | | $ | 150 |
| | $ | (6,978 | ) | Other nonperforming assets | | $ | (300 | ) | | $ | — |
| |
(1) The Company adopted ASU 2016-13 using the prospective transition approach for PCD loans that were previously accounted for as PCI loans. Total impaired loans during the three months ended March 31, 2020 considers PCD loans, if impaired, whereas impaired loans during the three months ended March 31, 2019 includes only non-PCI loans.
|
| Schedule of the carrying and fair value estimates per the fair value hierarchy of financial instruments measured on a nonrecurring basis |
The following tables present the fair value estimates for financial instruments as of March 31, 2020 and December 31, 2019, excluding financial instruments recorded at fair value on a recurring basis as they are included in the tables presented elsewhere in this Note. The carrying amounts in the following tables are recorded on the Consolidated Balance Sheet under the indicated captions, except for accrued interest receivable and mortgage servicing rights that are included in Other assets, and accrued interest payable that is included in Accrued expenses and other liabilities. These financial assets and liabilities are measured at amortized cost basis on the Company’s Consolidated Balance Sheet. | | | | | | | | | | | | | | | | | | | | | | | ($ in thousands) | | March 31, 2020 | | Carrying Amount | | Level 1 | | Level 2 | | Level 3 | | Estimated Fair Value | Financial assets: | | | | | | | | | | | Cash and cash equivalents | | $ | 3,080,042 |
| | $ | 3,080,042 |
| | $ | — |
| | $ | — |
| | $ | 3,080,042 |
| Interest-bearing deposits with banks | | $ | 293,509 |
| | $ | — |
| | $ | 293,509 |
| | $ | — |
| | $ | 293,509 |
| Resale agreements (1) | | $ | 860,000 |
| | $ | — |
| | $ | 867,872 |
| | $ | — |
| | $ | 867,872 |
| Restricted equity securities, at cost | | $ | 78,745 |
| | $ | — |
| | $ | 78,745 |
| | $ | — |
| | $ | 78,745 |
| Loans held-for-sale | | $ | 1,594 |
| | $ | — |
| | $ | 1,594 |
| | $ | — |
| | $ | 1,594 |
| Loans held-for-investment, net | | $ | 35,336,390 |
| | $ | — |
| | $ | — |
| | $ | 35,736,331 |
| | $ | 35,736,331 |
| Mortgage servicing rights | | $ | 5,711 |
| | $ | — |
| | $ | — |
| | $ | 7,926 |
| | $ | 7,926 |
| Accrued interest receivable | | $ | 148,294 |
| | $ | — |
| | $ | 148,294 |
| | $ | — |
| | $ | 148,294 |
| Financial liabilities: | | | | | | | | | | | Demand, checking, savings and money market deposits | | $ | 28,720,425 |
| | $ | — |
| | $ | 28,720,425 |
| | $ | — |
| | $ | 28,720,425 |
| Time deposits | | $ | 9,966,533 |
| | $ | — |
| | $ | 9,992,060 |
| | $ | — |
| | $ | 9,992,060 |
| Short-term borrowings | | $ | 66,924 |
| | $ | — |
| | $ | 66,924 |
| | $ | — |
| | $ | 66,924 |
| FHLB advances | | $ | 646,336 |
| | $ | — |
| | $ | 657,859 |
| | $ | — |
| | $ | 657,859 |
| Repurchase agreements (1) | | $ | 450,000 |
| | $ | — |
| | $ | 470,230 |
| | $ | — |
| | $ | 470,230 |
| Long-term debt | | $ | 147,169 |
| | $ | — |
| | $ | 152,942 |
| | $ | — |
| | $ | 152,942 |
| Accrued interest payable | | $ | 25,209 |
| | $ | — |
| | $ | 25,209 |
| | $ | — |
| | $ | 25,209 |
| |
| | | | | | | | | | | | | | | | | | | | | | | ($ in thousands) | | December 31, 2019 | | Carrying
Amount | | Level 1 | | Level 2 | | Level 3 | | Estimated
Fair Value | Financial assets: | | | | | | | | | | | Cash and cash equivalents | | $ | 3,261,149 |
| | $ | 3,261,149 |
| | $ | — |
| | $ | — |
| | $ | 3,261,149 |
| Interest-bearing deposits with banks | | $ | 196,161 |
| | $ | — |
| | $ | 196,161 |
| | $ | — |
| | $ | 196,161 |
| Resale agreements (1) | | $ | 860,000 |
| | $ | — |
| | $ | 856,025 |
| | $ | — |
| | $ | 856,025 |
| Restricted equity securities, at cost | | $ | 78,580 |
| | $ | — |
| | $ | 78,580 |
| | $ | — |
| | $ | 78,580 |
| Loans held-for-sale | | $ | 434 |
| | $ | — |
| | $ | 434 |
| | $ | — |
| | $ | 434 |
| Loans held-for-investment, net | | $ | 34,420,252 |
| | $ | — |
| | $ | — |
| | $ | 35,021,300 |
| | $ | 35,021,300 |
| Mortgage servicing rights | | $ | 6,068 |
| | $ | — |
| | $ | — |
| | $ | 8,199 |
| | $ | 8,199 |
| Accrued interest receivable | | $ | 144,599 |
| | $ | — |
| | $ | 144,599 |
| | $ | — |
| | $ | 144,599 |
| Financial liabilities: | | | | | | | | | | | Demand, checking, savings and money market deposits | | $ | 27,109,951 |
| | $ | — |
| | $ | 27,109,951 |
| | $ | — |
| | $ | 27,109,951 |
| Time deposits | | $ | 10,214,308 |
| | $ | — |
| | $ | 10,208,895 |
| | $ | — |
| | $ | 10,208,895 |
| Short-term borrowings | | $ | 28,669 |
| | $ | — |
| | $ | 28,669 |
| | $ | — |
| | $ | 28,669 |
| FHLB advances | | $ | 745,915 |
| | $ | — |
| | $ | 755,371 |
| | $ | — |
| | $ | 755,371 |
| Repurchase agreements (1) | | $ | 200,000 |
| | $ | — |
| | $ | 232,597 |
| | $ | — |
| | $ | 232,597 |
| Long-term debt | | $ | 147,101 |
| | $ | — |
| | $ | 152,641 |
| | $ | — |
| | $ | 152,641 |
| Accrued interest payable | | $ | 27,246 |
| | $ | — |
| | $ | 27,246 |
| | $ | — |
| | $ | 27,246 |
| |
(1) Resale and repurchase agreements are reported net pursuant to ASC 210-20-45-11, Balance Sheet Offsetting: Repurchase and Reverse Repurchase Agreements. Out of gross repurchase agreements of $450.0 million, $0.0 million and $250.0 million as of March 31, 2020 and December 31, 2019, respectively, were eligible for netting against gross resale agreements
|
| Fair Value, Measurements, Recurring |
|
| Fair Value, Financial Assets and Liabilities Measured on Recurring and Nonrecurring Basis |
|
| Schedule of quantitative information about significant unobservable inputs used in the valuation of Level 3 fair value measurements |
The following table presents quantitative information about the significant unobservable inputs used in the valuation of Level 3 fair value measurements as of March 31, 2020 and December 31, 2019, respectively. The significant unobservable inputs presented in the table below are those that the Company considers significant to the fair value of the Level 3 assets. The Company considers unobservable inputs to be significant if, by their exclusion, the fair value of the Level 3 assets would be impacted by a predetermined percentage change. | | | | | | | | | | | | | | | ($ in thousands) | | Fair Value Measurements (Level 3) | | Valuation Technique | | Unobservable Inputs | | Range of Inputs | | Weighted- Average (1) | March 31, 2020 | | | | | | | | | | | Derivative assets: | | | | | | | | | | | Equity contracts | | $ | 713 |
| | Black-Scholes option pricing model | | Equity volatility | | 72% — 86% | | 82% | | | | | | | Liquidity discount | | 47% | | 47% | December 31, 2019 | | | | | | | | | | | Derivative assets: | | | | | | | | | | | Equity contracts | | $ | 421 |
| | Black-Scholes option pricing model | | Equity volatility | | 39% — 44% | | 42% | | | | | | | Liquidity discount | | 47% | | 47% | |
(1) Weighted-average is calculated based on fair value of equity warrants as of March 31, 2020 and December 31, 2019.
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| Fair Value, Measurements, Nonrecurring |
|
| Fair Value, Financial Assets and Liabilities Measured on Recurring and Nonrecurring Basis |
|
| Schedule of quantitative information about significant unobservable inputs used in the valuation of Level 3 fair value measurements |
The following table presents the quantitative information about the significant unobservable inputs used in the valuation of Level 3 fair value measurements that are measured on a nonrecurring basis as of March 31, 2020 and December 31, 2019: | | | | | | | | | | | | | | | ($ in thousands) | | Fair Value
Measurements
(Level 3) | | Valuation
Technique(s) | | Unobservable Input(s) | | Range of Input(s) | | Weighted- Average (1) | March 31, 2020 | | | | | | | | | | | Impaired loans (1) | | $ | 25,140 |
| | Discounted cash flows | | Discount | | 4% — 15% | | 12% | | | $ | 5,712 |
| | Fair value of collateral | | Discount | | 8% — 9% | | 9% | | | $ | 2,491 |
| | Fair value of collateral | | Contract value | | NM | | NM | | | $ | 558 |
| | Fair value of property | | Selling cost | | 8% | | 8% | Other nonperforming assets | | $ | 867 |
| | Fair value of collateral | | Contract value | | NM | | NM | Investments in tax credit and other investments, net | | $ | 3,076 |
| | Individual analysis of each investment | | Expected future tax benefits and distributions | | NM | | NM | December 31, 2019 | | | | | | | | | | | Non-PCI impaired loans | | $ | 27,841 |
| | Discounted cash flows | | Discount | | 4% — 15% | | 14% | | | $ | 1,014 |
| | Fair value of collateral | | Discount | | 8% — 20% | | 19% | | | $ | 20,824 |
| | Fair value of collateral | | Contract value | | NM | | NM | OREO | | $ | 125 |
| | Fair value of property | | Selling cost | | 8% | | 8% | Investments in tax credit and other investments, net | | $ | 3,076 |
| | Individual analysis of each investment | | Expected future tax benefits and distributions | | NM | | NM | |
NM — Not meaningful. | | (1) | Presented on a total impaired loan basis due to the adoption of ASU 2016-13 PCD loans (formerly, PCI loans) are assessed for impairment in the same manner as non-PCD loans. |
(2) Weighted-average is based on the relative fair value of the respective assets as of March 31, 2020 and December 31, 2019.
|