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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair value, assets measured on recurring basis

The following tables present information on the assets and liabilities measured and recorded at fair value on a recurring basis as of the dates indicated:



	Fair Value Measurements as of
	March 31, 2020
Measured on a Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Securities available‑for‑sale:
Agency commercial MBS	$	1,125,432	$	—	$	1,125,432	$	—
Agency residential CMOs	1,102,097		—		1,102,097		—
Municipal securities	733,884		—		733,884		—
Agency residential MBS	289,831		—		289,831		—
Asset-backed securities	210,699		—		196,080		14,619
Collateralized loan obligations	130,082		—		130,082		—
Private label residential CMOs	97,862		—		92,920		4,942
SBA securities	45,441		—		45,441		—
Corporate debt securities	16,957		—		16,957		—
U.S. Treasury securities	5,378		5,378		—		—
Total securities available-for-sale	$	3,757,663	$	5,378	$	3,732,724	$	19,561
Equity investments with readily determinable fair values	$	2,471	$	2,471	$	—	$	—
Derivatives ⁽¹⁾:
Equity warrants	4,290		—		—		4,290
Other derivative assets	4,946		—		4,946		—
Derivative liabilities	1,152		—		1,152		—



	Fair Value Measurements as of
	December 31, 2019
Measured on a Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Securities available‑for‑sale:
Agency commercial MBS	$	1,108,224	$	—	$	1,108,224	$	—
Agency residential CMOs	1,136,397		—		1,136,397		—
Municipal securities	735,159		—		735,159		—
Agency residential MBS	305,198		—		305,198		—
Asset-backed securities	214,783		—		198,348		16,435
Collateralized loan obligations	123,756		—		123,756		—
Private label residential CMOs	99,483		—		93,219		6,264
SBA securities	48,258		—		48,258		—
Corporate debt securities	20,748		—		20,748		—
U.S. Treasury securities	5,181		5,181		—		—
Total securities available-for-sale	$	3,797,187	$	5,181	$	3,769,307	$	22,699
Equity investments with readily determinable fair values	$	2,998	$	2,998	$	—	$	—
Derivatives ⁽¹⁾:
Equity warrants	3,434		—		—		3,434
Other derivative assets	1,234		—		1,234		—
Derivative liabilities	755		—		755		—

Fair value, assets and liabilities measured on nonrecurring basis, valuation techniques

The following table presents information about quantitative inputs and assumptions used to determine the fair values provided by our third party pricing service for our Level 3 private label residential CMOs and asset-backed securities available-for-sale measured at fair value on a recurring basis as of the date indicated:



	March 31, 2020
	Private Label Residential CMOs		Asset-Backed Securities
		Weighted	Input or	Weighted
	Range	Average	Range	Average
Unobservable Inputs	of Inputs	Input ⁽¹⁾	of Inputs	Input ⁽²⁾
Voluntary annual prepayment speeds ⁽³⁾	2.1% - 19.1%	11.8%	15.0%	15.0%
Annual default rates ⁽³⁾	0.3% - 35.7%	1.6%	2.0%	2.0%
Loss severity rates ⁽³⁾	1.6% - 183.7%	57.0%	60.0%	60.0%
Discount rates	2.3% - 14.6%	8.1%	5.5% - 5.6%	5.5%

____________________


(1)	Unobservable inputs for private label residential CMOs were weighted by the relative fair values of the instruments.


(2)	Discount rates for asset-backed securities were weighted by the relative fair values of the instruments.


(3)	The voluntary annual prepayment speeds, annual default rates, and loss severity rates were the same for all of the asset-backed securities.

Fair value inputs, assets, quantitative information

The following table presents information about quantitative inputs and assumptions used in the modified Black-Scholes option pricing model to determine the fair value for our Level 3 equity warrants measured at fair value on a recurring basis as of the date indicated:



	March 31, 2020
	Equity Warrants
		Weighted
	Range	Average
Unobservable Inputs	of Inputs	Input ⁽¹⁾
Volatility	21.2% - 251.5%	24.9%
Risk-free interest rate	0.1% - 0.4%	0.3%
Remaining life assumption (in years)	0.08 - 4.99	3.06

The following table presents the valuation methodology and unobservable inputs for Level 3 assets measured at fair value on a nonrecurring basis as of the date indicated:

March 31, 2020

Valuation

Unobservable

Input or

Weighted

Asset

Fair Value

Technique

Inputs

Range

Average

(In thousands)

Individually evaluated

loans and leases

39,262

Discounted cash flows

Discount rates

3.50% - 10.46%

8.03%

Individually evaluated

Discount from

loans and leases

15,267

Third party appraisal

appraisal ⁽¹⁾

54.06%

Individually evaluated

loans and leases

455

Third party appraisals

No discounts

Total non-recurring Level 3

54,984

____________________

(1) Relates to one loan at March 31, 2020.

Fair value, assets measured on recurring basis, significant unobservable inputs (level 3) reconciliation

The following table summarizes activity for our Level 3 private label residential CMOs available-for-sale, asset-backed securities available-for-sale, and equity warrants measured at fair value on a recurring basis for the period indicated:



	Private Label			Asset-Backed			Equity
	Residential CMOs			Securities			Warrants
	(In thousands)
Balance, December 31, 2019	$	6,264		$	16,435		$	3,434
Total included in earnings	118			(11		)	837
Total included in other comprehensive income	(959		)	(687		)	—
Issuances	—			—			120
Sales	—			—			(101		)
Net settlements	(481		)	(1,118		)	—
Balance, March 31, 2020	$	4,942		$	14,619		$	4,290

Unrealized net gains (losses) for the period included in other
comprehensive income for securities held at quarter-end	$	726		$	(490	)

Assets carried at fair value on a nonrecurring basis

The following tables present assets measured at fair value on a non‑recurring basis as of the dates indicated:



	Fair Value Measurement as of
	March 31, 2020
Measured on a Non‑Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Individually evaluated loans and leases ⁽¹⁾	$	59,440	$	—	$	4,456	$	54,984
Total non-recurring	$	59,440	$	—	$	4,456	$	54,984

______________________


(1)	Includes nonaccrual loans and leases and performing TDRs with balances greater than $250,000.



	Fair Value Measurement as of
	December 31, 2019
Measured on a Non‑Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Impaired loans and leases ⁽¹⁾	$	28,706	$	—	$	1,083	$	27,623
OREO	105		—		—		105
Total non-recurring	$	28,811	$	—	$	1,083	$	27,728

_____________________

(1) Includes all nonaccrual loans and leases and performing TDRs.

Net losses (gains) on nonrecurring assets

The following table presents losses recognized on assets measured on a nonrecurring basis for the periods indicated:



	Three Months Ended
Losses on Assets	March 31,
Measured on a Non‑Recurring Basis	2020		2019
	(In thousands)
Individually evaluated loans and leases ⁽¹⁾	$	18,907	$	3,756
Loans held for sale	—		1,707
OREO	105		—
Total losses	$	19,012	$	5,463

_____________________

(1) For 2019, losses are based on impaired loans and leases.

Fair value, by balance sheet grouping

The following tables present carrying amounts and estimated fair values of certain financial instruments as of the dates indicated:



	March 31, 2020
	Carrying		Estimated Fair Value
	Amount		Total		Level 1		Level 2		Level 3
	(In thousands)
Financial Assets:
Cash and due from banks	$	172,570	$	172,570	$	172,570	$	—	$	—
Interest‑earning deposits in financial institutions	439,690		439,690		439,690		—		—
Securities available‑for‑sale	3,757,663		3,757,663		5,378		3,732,724		19,561
Investment in FHLB stock	54,244		54,244		—		54,244		—
Loans and leases held for investment, net	19,524,013		19,072,790		—		4,456		19,068,334
Equity warrants	4,290		4,290		—		—		4,290
Other derivative assets	4,946		4,946		—		4,946		—
Equity investments with readily determinable fair values	2,471		2,471		2,471		—		—

Financial Liabilities:
Core deposits	16,050,522		16,050,522		—		16,050,522		—
Non-core non-maturity deposits	836,157		836,157		—		836,157		—
Time deposits	2,689,158		2,701,350		—		2,701,350		—
Borrowings	2,295,000		2,299,563		1,545,000		754,563		—
Subordinated debentures	458,994		442,418		—		442,418		—
Derivative liabilities	1,152		1,152		—		1,152		—



	December 31, 2019
	Carrying		Estimated Fair Value
	Amount		Total		Level 1		Level 2		Level 3
	(In thousands)
Financial Assets:
Cash and due from banks	$	172,585	$	172,585	$	172,585	$	—	$	—
Interest‑earning deposits in financial institutions	465,039		465,039		465,039		—		—
Securities available‑for‑sale	3,797,187		3,797,187		5,181		3,769,307		22,699
Investment in FHLB stock	40,924		40,924		—		40,924		—
Loans and leases held for investment, net	18,708,087		19,055,004		—		1,083		19,053,921
Equity warrants	3,434		3,434		—		—		3,434
Other derivative assets	1,234		1,234		—		1,234		—
Equity investments with readily determinable fair values	2,998		2,998		2,998		—		—

Financial Liabilities:
Core deposits	16,187,287		16,187,287		—		16,187,287		—
Non-core non-maturity deposits	496,407		496,407		—		496,407		—
Time deposits	2,549,342		2,549,260		—		2,549,260		—
Borrowings	1,759,008		1,759,008		1,759,000		8		—
Subordinated debentures	458,209		441,617		—		441,617		—
Derivative liabilities	755		755		—		755		—