Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2012

Assets and Liabilities Measured at Estimated Fair Value on Recurring Basis

The following tables present assets and liabilities at September 30, 2012 and December 31, 2011 measured at estimated fair value on a recurring basis:

	Fair value measurements at September 30, 2012		Level 1 (a)		Level 2 (a)		Level 3
	(in thousands)
Trading account assets	$	526,844		55,391		471,453		—
Investment securities available for sale:
U.S. Treasury and federal agencies		56,345		—		56,345		—
Obligations of states and political subdivisions		33,980		—		33,980		—
Mortgage-backed securities:
Government issued or guaranteed		3,748,252		—		3,748,252		—
Privately issued residential		1,055,068		—		—		1,055,068
Privately issued commercial		10,568		—		—		10,568
Collateralized debt obligations		57,201		—		—		57,201
Other debt securities		109,405		—		109,405		—
Equity securities		113,059		106,789		6,270		—
		5,183,878		106,789		3,954,252		1,122,837
Real estate loans held for sale		976,083		—		976,083		—
Other assets (b)		226,554		—		156,124		70,430
Total assets	$	6,913,359		162,180		5,557,912		1,193,267
Trading account liabilities	$	424,312		—		424,312		—
Other liabilities (b)		39,798		—		39,713		85
1Total liabilities	$	464,110		—		464,025		85

	Fair value measurements at December 31, 2011		Level 1 (a)		Level 2 (a)		Level 3
	(in thousands)
Trading account assets	$	561,834		53,165		508,669		—
Investment securities available for sale:
U.S. Treasury and federal agencies		70,723		—		70,723		—
Obligations of states and political subdivisions		40,269		—		40,269		—
Mortgage-backed securities:
Government issued or guaranteed		4,521,233		—		4,521,233		—
Privately issued residential		1,136,256		—		—		1,136,256
Privately issued commercial		15,029		—		—		15,029
Collateralized debt obligations		52,500		—		—		52,500
Other debt securities		176,845		—		176,845		—
Equity securities		215,705		205,587		10,118		—
		6,228,560		205,587		4,819,188		1,203,785
Real estate loans held for sale		371,437		—		371,437		—
Other assets (b)		156,853		—		148,862		7,991
Total assets	$	7,318,684		258,752		5,848,156		1,211,776
Trading account liabilities	$	434,559		—		434,559		—
Other liabilities (b)		6,126		—		5,058		1,068
Total liabilities	$	440,685		—		439,617		1,068

(a) There were no significant transfers between Level 1 and Level 2 of the fair value hierarchy during the three months and nine months ended September 30, 2012 and 2011.

(b) Comprised predominantly of interest rate swap agreements used for interest rate risk management (Level 2), commitments to sell real estate loans (Level 2) and commitments to originate real estate loans to be held for sale (Level 3).

Changes in Level 3 Assets and Liabilities Measured at Estimated Fair Value on a Recurring Basis

The changes in Level 3 assets and liabilities measured at estimated fair value on a recurring basis during the three months ended September 30, 2012 were as follows:

	Investment securities available for sale
	Privately issued residential mortgage-backed securities			Privately issued commercial mortgage-backed securities			Collateralized debt obligations			Other assets and other liabilities
	(in thousands)
Balance – June 30, 2012	$	1,068,392		$	12,127		$	55,098		$	34,051
Total gains (losses) realized/unrealized:
Included in earnings		(5,672	)(a)		—			—			84,864	(b)
Included in other comprehensive income		39,963	(e)		640	(e)		3,297	(e)		—
Settlements		(47,615	)		(2,199	)		(1,194	)		—
Transfers in and/or out of Level 3 (c)		—			—			—			(48,570	)(d)
Balance – September 30, 2012	$	1,055,068		$	10,568		$	57,201		$	70,345
Changes in unrealized gains (losses) included in earnings related to assets still held at September 30, 2012	$	(5,672	)(a)	$	—		$	—		$	63,357	(b)

The changes in Level 3 assets and liabilities measured at estimated fair value on a recurring basis during the three months ended September 30, 2011 were as follows:

	Investment securities available for sale
	Privately issued residential mortgage-backed securities			Privately issued commercial mortgage-backed securities			Collateralized debt obligations			Other assets and other liabilities
	(in thousands)
Balance – June 30, 2011	$	1,306,202		$	17,233		$	61,601		$	13,171
Total gains (losses) realized/unrealized:
Included in earnings		(9,642	)(a)		—			—			13,565	(b)
Included in other comprehensive income		(4,030	)(e)		1,581	(e)		(9,482	)(e)		—
Settlements		(77,452	)		(1,985	)		(765	)		—
Transfers in and/or out of Level 3 (c)		—			—			—			(18,799	)(d)
Balance – September 30, 2011	$	1,215,078		$	16,829		$	51,354		$	7,937
Changes in unrealized gains (losses) included in earnings related to assets still held at September 30, 2011	$	(9,642	)(a)	$	—		$	—		$	5,926	(b)

The changes in Level 3 assets and liabilities measured at estimated fair value on a recurring basis during the nine months ended September 30, 2012 were as follows:

	Investment securities available for sale
	Privately issued residential mortgage-backed securities			Privately issued commercial mortgage-backed securities			Collateralized debt obligations			Other assets  and other liabilities
	(in thousands)
Balance – January 1, 2012	$	1,136,256		$	15,029		$	52,500		$	6,923
Total gains (losses) realized/unrealized:
Included in earnings		(27,976	)(a)		—			—			157,381	(b)
Included in other comprehensive income		87,646	(e)		1,751	(e)		7,008	(e)		—
Settlements		(140,858	)		(6,212	)		(2,307	)		—
Transfers in and/or out of Level 3 (c)		—			—			—			(93,959	)(d)
Balance – September 30, 2012	$	1,055,068		$	10,568		$	57,201		$	70,345
Changes in unrealized gains (losses) included in earnings related to assets still held at September 30, 2012	$	(27,976	)(a)	$	—		$	—		$	70,187	(b)

The changes in Level 3 assets and liabilities measured at estimated fair value on a recurring basis during the nine months ended September 30, 2011 were as follows:

	Investment securities available for sale
	Privately issued residential mortgage-backed securities			Privately issued commercial mortgage-backed securities			Collateralized debt obligations			Other assets  and other liabilities
	(in thousands)
Balance – January 1, 2011	$	1,435,561		$	22,407		$	110,756		$	2,244
Total gains (losses) realized/unrealized:
Included in earnings		(41,713	)(a)		—			—			56,809	(b)
Included in other comprehensive income		95,526	(e)		99	(e)		(2,276	)(e)		—
Purchases		—			—			50,790			—
Sales		—			—			(105,643	)		—
Settlements		(274,296	)		(5,677	)		(2,273	)		—
Transfers in and/or out of Level 3 (c)		—			—			—			(51,116	)(d)
Balance – September 30, 2011	$	1,215,078		$	16,829		$	51,354		$	7,937
Changes in unrealized gains (losses) included in earnings related to assets still held at September 30, 2011	$	(41,713	)(a)	$	—		$	—		$	7,932	(b)

(a) Reported as an other-than-temporary impairment loss in the consolidated statement of income or as gain (loss) on bank investment securities.

(b) Reported as mortgage banking revenues in the consolidated statement of income and includes the fair value of commitment issuances and expirations.

(c) The Company’s policy for transfers between fair value levels is to recognize the transfer as of the actual date of the event or change in circumstances that caused the transfer.

(d) Transfers out of Level 3 consist of interest rate locks transferred to closed loans.

(e) Reported as net unrealized gains on investment securities in the consolidated statement of comprehensive income.

Quantitative Information Related to Significant Unobservable Inputs

The following table presents quantitative information about the significant unobservable inputs used in the fair value measurements for Level 3 assets and liabilities at September 30, 2012:

	Fair value at September 30, 2012		Valuation technique	Unobservable input/assumptions	Range (weighted- average)
Recurring fair value measurements
Privately issued mortgage–backed securities	$	1,065,636	Discounted cash flow	Probability of default	1%-40% (18%)
				Loss severity	32%-79% (49%)
Colateralized debt obligations		57,201	Discounted cash flow	Probability of default	3%-65% (15%)
				Loss severity	100%
Net other assets (liabilities)(a)		70,345	Discounted cash flow	Commitment expirations	0%-73% (22%)
Total level 3 assets, net of liabilities	$	1,193,182

(a) Other level 3 assets (liabilities) consist of commitments to originate real estate loans.

Carrying Amounts and Estimated Fair Value for Financial Instrument Assets (Liabilities)

The carrying amounts and estimated fair value for financial instrument assets (liabilities) are presented in the following table:

	September 30, 2012
	Carrying amount			Estimated fair value			Level 1		Level 2			Level 3
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,622,928		$	1,622,928		$	1,548,290	$	74,638		$	—
Interest-bearing deposits at banks		411,994			411,994			—		411,994			—
Trading account assets		526,844			526,844			55,391		471,453			—
Investment securities		6,624,004			6,577,450			106,789		5,192,015			1,278,646
Loans and leases:
Commercial loans and leases		16,704,575			16,482,866			—		—			16,482,866
Commercial real estate loans		24,970,416			24,703,443			—		175,518			24,527,925
Residential real estate loans		10,808,220			10,992,318			—		7,727,137			3,265,181
Consumer loans		11,628,744			11,512,448			—		—			11,512,448
Allowance for credit losses		(921,223	)		—			—		—			—
Loans and leases, net		63,190,732			63,691,075			—		7,902,655			55,788,420
Accrued interest receivable		244,021			244,021			—		244,021			—
Financial liabilities:
Noninterest-bearing deposits	$	(22,968,401	)	$	(22,968,401	)	$	—	$	(22,968,401	)	$	—
Savings deposits and NOW accounts		(34,663,695	)		(34,663,695	)		—		(34,663,695	)		—
Time deposits		(4,972,409	)		(4,999,049	)		—		(4,999,049	)		—
Deposits at Cayman Islands office		(1,402,753	)		(1,402,753	)		—		(1,402,753	)		—
Short-term borrowings		(592,154	)		(592,154	)		—		(592,154	)		—
Long-term borrowings		(4,969,536	)		(5,090,619	)		—		(5,090,619	)		—
Accrued interest payable		(78,591	)		(78,591	)		—		(78,591	)		—
Trading account liabilities		(424,312	)		(424,312	)		—		(424,312	)		—
Other financial instruments:
Commitments to originate real estate loans for sale	$	70,345		$	70,345		$	—	$	—		$	70,345
Commitments to sell real estate loans		(36,809	)		(36,809	)		—		(36,809	)		—
Other credit-related commitments		(112,713	)		(112,713	)		—		—			(112,713	)
Interest rate swap agreements used for interest rate risk management		153,220			153,220			—		153,220			—

	December 31, 2011
	Carrying amount			Estimated fair value
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,452,397		$	1,452,397
Interest-bearing deposits at banks		154,960			154,960
Trading account assets		561,834			561,834
Investment securities		7,673,154			7,608,008
Loans and leases:
Commercial loans and leases		15,734,436			15,507,342
Commercial real estate loans		24,411,114			24,024,585
Residential real estate loans		7,923,165			7,782,935
Consumer loans		12,027,290			11,869,813
Allowance for credit losses		(908,290	)		—
Loans and leases, net		59,187,715			59,184,675
Accrued interest receivable		222,618			222,618
Financial liabilities:
Noninterest-bearing deposits	$	(20,017,883	)	$	(20,017,883	)
Savings deposits and NOW accounts		(32,913,309	)		(32,913,309	)
Time deposits		(6,107,530	)		(6,133,806	)
Deposits at Cayman Islands office		(355,927	)		(355,927	)
Short-term borrowings		(782,082	)		(782,082	)
Long-term borrowings		(6,686,226	)		(6,720,174	)
Accrued interest payable		(67,900	)		(67,900	)
Trading account liabilities		(434,559	)		(434,559	)
Other financial instruments:
Commitments to originate real estate loans for sale	$	6,923		$	6,923
Commitments to sell real estate loans		(3,498	)		(3,498	)
Other credit-related commitments		(109,828	)		(109,828	)
Interest rate swap agreements used for interest rate risk management		147,302			147,302