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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021
Measured on a Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Securities available-for-sale:
Municipal securities	$	1,646,054	$	—	$	1,646,054	$	—
Agency commercial MBS	1,273,402		—		1,273,402		—
Agency residential CMOs	1,108,828		—		1,108,828		—
U.S. Treasury securities	491,358		491,358		—		—
Agency residential MBS	433,100		—		433,100		—
Corporate debt securities	380,407		—		380,407		—
Collateralized loan obligations	244,240		—		244,240		—
Asset-backed securities	224,015		—		200,133		23,882
Private label residential CMOs	103,376		—		98,962		4,414
SBA securities	36,910		—		36,910		—
Total securities available-for-sale	$	5,941,690	$	491,358	$	5,422,036	$	28,296
Equity investments with readily determinable fair values	$	10,266	$	10,266	$	—	$	—
Derivatives (1):
Equity warrants	4,589		—		—		4,589
Interest rate and economic contracts	3,168		—		3,168		—
Derivative liabilities	1,421		—		1,421		—


	Fair Value Measurements as of
	December 31, 2020
Measured on a Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Securities available-for-sale:
Agency commercial MBS	$	1,281,877	$	—	$	1,281,877	$	—
Agency residential CMOs	1,219,880		—		1,219,880		—
Municipal securities	1,531,617		—		1,531,617		—
Agency residential MBS	341,074		—		341,074		—
Asset-backed securities	249,503		—		223,778		25,725
Collateralized loan obligations	135,876		—		135,876		—
Private label residential CMOs	116,946		—		112,299		4,647
SBA securities	41,627		—		41,627		—
Corporate debt securities	311,889		—		311,889		—
U.S. Treasury securities	5,302		5,302		—		—
Total securities available-for-sale	$	5,235,591	$	5,302	$	5,199,917	$	30,372
Equity investments with readily determinable fair values	$	6,147	$	6,147	$	—	$	—
Derivatives (1):
Equity warrants	4,520		—		—		4,520
Interest rate and economic contracts	4,230		—		4,230		—
Derivative liabilities	1,150		—		1,150		—

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, 2021
	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	4.6% - 19.9%	11.5%	10.0% - 15.0%	12.1%
Annual default rates (3)	0.3% - 18.2%	2.4%	2.0%	2.0%
Loss severity rates (3)	16.9% - 80.4%	55.8%	60.0%	60.0%
Discount rates	1.6% - 9.9%	6.8%	2.7% - 3.6%	2.8%

____________________

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

(2) Voluntary annual prepayment speeds and discount rates for asset-backed securities were weighted by the relative fair values of the instruments.

(3) 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, 2021
	Equity Warrants
		Weighted
	Range	Average
Unobservable Inputs	of Inputs	Input (1)
Volatility	24.4% - 159.1%	30.1%
Risk-free interest rate	0.0% - 0.9%	0.4%
Remaining life assumption (in years)	0.08 - 4.98	2.91

____________________

(1) Unobservable inputs for equity warrants were weighted by the relative fair values of the instruments.

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, 2021

Valuation

Unobservable

Input or

Weighted

Asset

Fair Value

Technique

Inputs

Range

Average

(In thousands)

Individually evaluated

loans and leases

22,402

Discounted cash flows

Discount rates

3.75% - 7.75%

6.30%

Individually evaluated

loans and leases

2,038

Third party appraisals

No discounts

Discount from

OREO (1)

371

Third party appraisal

appraisal

13.00%

Total non-recurring Level 3

24,811

_____________________

(1) Relates to one REO at March 31, 2021.

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, 2020	$	4,647	$	25,725	$	4,520
Total included in earnings	73		(22)		6,123
Total included in other comprehensive income	(87)		16		—

Issuances	—		—		57
Sales	—		—		(6,044)


Net settlements	(219)		(1,837)		—

Transfers to Level 1 (equity investments with readily
determinable fair values)	—		—		(67)
Balance, March 31, 2021	$	4,414	$	23,882	$	4,589

Unrealized net gains (losses) for the period included in other
comprehensive income for securities held at quarter-end	$	1,007	$	171

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, 2021
Measured on a Non-Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Individually evaluated loans and leases (1)	$	24,440	$	—	$	—	$	24,440

OREO	371		—		—		371
Total non-recurring	$	24,811	$	—	$	—	$	24,811

______________________

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


	Fair Value Measurement as of
	December 31, 2020
Measured on a Non-Recurring Basis	Total		Level 1		Level 2		Level 3
	(In thousands)
Individually evaluated loans and leases (1)	$	102,274	$	—	$	4,160	$	98,114

Total non-recurring	$	102,274	$	—	$	4,160	$	98,114

_____________________

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

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	2021		2020
	(In thousands)
Individually evaluated loans and leases	$	702	$	18,907

OREO	14		105
Total losses	$	716	$	19,012

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, 2021
	Carrying		Estimated Fair Value
	Amount		Total		Level 1		Level 2		Level 3
	(In thousands)
Financial Assets:
Cash and due from banks	$	177,199	$	177,199	$	177,199	$	—	$	—
Interest-earning deposits in financial institutions	5,517,667		5,517,667		5,517,667		—		—
Securities available-for-sale	5,941,690		5,941,690		491,358		5,422,036		28,296
Investment in FHLB stock	17,250		17,250		—		17,250		—
Loans held for sale	25,554		26,975		—		26,975		—
Loans and leases held for investment, net	18,686,783		19,312,854		—		—		19,312,854
Equity warrants	4,589		4,589		—		—		4,589
Interest rate and economic contracts	3,168		3,168		—		3,168		—
Equity investments with readily determinable fair values	10,266		10,266		10,266		—		—
Servicing rights	3,942		3,942		—		—		3,942

Financial Liabilities:
Core deposits	25,576,348		25,576,348		—		25,576,348		—
Non-core non-maturity deposits	1,162,590		1,162,590		—		1,162,590		—
Time deposits	1,484,353		1,486,556		—		1,486,556		—
Borrowings	19,750		20,185		—		20,185		—
Subordinated debentures	465,814		448,273		—		448,273		—
Derivative liabilities	1,421		1,421		—		1,421		—


	December 31, 2020
	Carrying		Estimated Fair Value
	Amount		Total		Level 1		Level 2		Level 3
	(In thousands)
Financial Assets:
Cash and due from banks	$	150,464	$	150,464	$	150,464	$	—	$	—
Interest-earning deposits in financial institutions	3,010,197		3,010,197		3,010,197		—		—
Securities available-for-sale	5,235,591		5,235,591		5,302		5,199,917		30,372
Investment in FHLB stock	17,250		17,250		—		17,250		—
Loans and leases held for investment, net	18,735,196		19,305,998		—		4,160		19,301,838
Equity warrants	4,520		4,520		—		—		4,520
Interest rate and economic contracts	4,230		4,230		—		4,230		—
Equity investments with readily determinable fair values	6,147		6,147		6,147		—		—

Financial Liabilities:
Core deposits	22,264,480		22,264,480		—		22,264,480		—
Non-core non-maturity deposits	1,149,467		1,149,467		—		1,149,467		—
Time deposits	1,526,770		1,527,639		—		1,527,639		—
Borrowings	5,000		4,995		—		4,995		—
Subordinated debentures	465,812		448,036		—		448,036		—
Derivative liabilities	1,150		1,150		—		1,150		—