Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2013

Assets and Liabilities Measured at Estimated Fair Value on Recurring Basis

The following tables present assets and liabilities at March 31, 2013 and December 31, 2012 measured at estimated fair value on a recurring basis:


	Fair value measurements at March 31, 2013		Level 1 (a)		Level 2 (a)		Level 3
	(in thousands)
Trading account assets	$	420,144		46,567		373,577		—
Investment securities available for sale:
U.S. Treasury and federal agencies		39,700		—		39,700		—
Obligations of states and political subdivisions		20,041		—		20,041		—
Mortgage-backed securities:
Government issued or guaranteed		3,029,910		—		3,029,910		—
Privately issued residential		985,689		—		—		985,689
Privately issued commercial		7,558		—		—		7,558
Collateralized debt obligations		61,718		—		—		61,718
Other debt securities		117,511		—		117,511		—
Equity securities		138,615		112,606		26,009		—

		4,400,742		112,606		3,233,171		1,054,965

Real estate loans held for sale		1,183,041		—		1,183,041		—
Other assets (b)		175,391		—		139,225		36,166

Total assets	$	6,179,318		159,173		4,929,014		1,091,131

Trading account liabilities	$	327,608		—		327,608		—
Other liabilities (b)		9,534		—		9,487		47

Total liabilities	$	337,142		—		337,095		47


	Fair value measurements at December 31, 2012		Level 1 (a)		Level 2 (a)		Level 3
	(in thousands)
Trading account assets	$	488,966		56,106		432,860		—
Investment securities available for sale:
U.S. Treasury and federal agencies		39,344		—		39,344		—
Obligations of states and political subdivisions		20,901		—		20,901		—
Mortgage-backed securities:
Government issued or guaranteed		3,371,041		—		3,371,041		—
Privately issued residential		1,012,886		—		—		1,012,886
Privately issued commercial		11,000		—		—		11,000
Collateralized debt obligations		61,869		—		—		61,869
Other debt securities		111,950		—		111,950		—
Equity securities		110,446		98,364		12,082		—

		4,739,437		98,364		3,555,318		1,085,755

Real estate loans held for sale		1,387,491		—		1,387,491		—
Other assets (b)		194,331		—		146,275		48,056

Total assets	$	6,810,225		154,470		5,521,944		1,133,811

Trading account liabilities	$	374,274		—		374,274		—
Other liabilities (b)		10,592		—		10,395		197

Total liabilities	$	384,866		—		384,669		197

(a)

There were no significant transfers between Level 1 and Level 2 of the fair value hierarchy during the three months ended March 31, 2013 and the year ended December 31, 2012.

(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 March 31, 2013 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, 2013	$	1,012,886		$	11,000		$	61,869		$	47,859
Total gains (losses) realized/unrealized:
Included in earnings		(9,800	)(a)		—			—			43,312	(b)
Included in other comprehensive income		27,759	(e)		(1,378	)(e)		740	(e)		—
Settlements		(45,156	)		(2,064	)		(891	)		—
Transfers in and/or out of Level 3 (c)		—			—			—			(55,052	)(d)

Balance – March 31, 2013	$	985,689		$	7,558		$	61,718		$	36,119

Changes in unrealized gains (losses) included in earnings related to assets still held at March 31, 2013	$	(9,800	)(a)	$	—		$	—		$	31,398	(b)

The changes in Level 3 assets and liabilities measured at estimated fair value on a recurring basis during the three months ended March 31, 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		(7,676	)(a)		—			—			27,031	(b)
Included in other comprehensive income		25,070	(e)		348	(e)		6,423	(e)		—
Settlements		(42,955	)		(1,942	)		(739	)		—
Transfers in and/or out of Level 3 (c)		—			—			—			(13,519	)(d)

Balance – March 31, 2012	$	1,110,695		$	13,435		$	58,184		$	20,435

Changes in unrealized gains (losses) included in earnings related to assets still held at March 31, 2012	$	(7,676	)(a)	$	—		$	—		$	19,506	(b)

(a)

Reported as an OTTI 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 tables present quantitative information about the significant unobservable inputs used in the fair value measurements for Level 3 assets and liabilities at March 31, 2013 and December 31, 2012:


	Fair value at March 31, 2013		Valuation technique	Unobservable input/assumptions	Range (weighted- average)
Recurring fair value measurements
Privately issued mortgage–backed securities	$	993,247	Discounted cash flow	Probability of default	1%-40% (18%)
				Loss severity	31%-83% (48%)
Collateralized debt obligations		61,718	Discounted cash flow	Probability of default	0%-65% (18%)
				Loss severity	100%
Net other assets (liabilities) (a)		36,119	Discounted cash flow	Commitment expirations	0%-69% (20%)

	Fair value at December 31, 2012		Valuation technique	Unobservable input/assumptions	Range (weighted- average)
Recurring fair value measurements
Privately issued mortgage–backed securities	$	1,023,886	Discounted cash flow	Probability of default	1%-40% (19%)
				Loss severity	32%-82% (51%)
Collateralized debt obligations		61,869	Discounted cash flow	Probability of default	0%-65% (12%)
				Loss severity	100%
Net other assets (liabilities) (a)		47,859	Discounted cash flow	Commitment expirations	0%-69% (20%)

(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:


	March 31, 2013
	Carrying amount			Estimated fair value			Level 1		Level 2			Level 3
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,826,067		$	1,826,067		$	1,764,954	$	61,113		$	—
Interest-bearing deposits at banks		1,304,770			1,304,770			—		1,304,770			—
Trading account assets		420,144			420,144			46,567		373,577			—
Investment securities		5,660,831			5,612,415			112,606		4,289,603			1,210,206
Loans and leases:
Commercial loans and leases		17,469,138			17,165,948			—		—			17,165,948
Commercial real estate loans		25,944,819			25,788,504			—		79,400			25,709,104
Residential real estate loans		11,094,577			11,233,384			—		7,861,298			3,372,086
Consumer loans		11,415,733			11,321,522			—		—			11,321,522
Allowance for credit losses		(927,117	)		—			—		—			—

Loans and leases, net		64,997,150			65,509,358			—		7,940,698			57,568,660
Accrued interest receivable		243,547			243,547			—		243,547			—
Financial liabilities:
Noninterest-bearing deposits	$	(23,603,971	)	$	(23,603,971	)	$	—	$	(23,603,971	)	$	—
Savings deposits and NOW accounts		(36,915,646	)		(36,915,646	)		—		(36,915,646	)		—
Time deposits		(4,304,033	)		(4,326,064	)		—		(4,326,064	)		—
Deposits at Cayman Islands office		(266,076	)		(266,076	)		—		(266,076	)		—
Short-term borrowings		(374,593	)		(374,593	)		—		(374,593	)		—
Long-term borrowings		(5,394,563	)		(5,571,132	)		—		(5,571,132	)		—
Accrued interest payable		(72,059	)		(72,059	)		—		(72,059	)		—
Trading account liabilities		(327,608	)		(327,608	)		—		(327,608	)		—
Other financial instruments:
Commitments to originate real estate loans for sale	$	36,119		$	36,119		$	—	$	—		$	36,119
Commitments to sell real estate loans		(4,568	)		(4,568	)		—		(4,568	)		—
Other credit-related commitments		(115,024	)		(115,024	)		—		—			(115,024	)
Interest rate swap agreements used for interest rate risk management		134,306			134,306			—		134,306			—


	December 31, 2012
	Carrying amount			Estimated fair value			Level 1		Level 2			Level 3
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,986,615		$	1,986,615		$	1,895,423	$	91,192		$	—
Interest-bearing deposits at banks		129,945			129,945			—		129,945			—
Trading account assets		488,966			488,966			56,106		432,860			—
Investment securities		6,074,361			6,018,968			98,364		4,687,211			1,233,393
Loans and leases:
Commercial loans and leases		17,776,953			17,554,562			—		—			17,554,562
Commercial real estate loans		25,993,790			25,858,482			—		199,997			25,658,485
Residential real estate loans		11,240,837			11,381,319			—		8,100,915			3,280,404
Consumer loans		11,559,377			11,504,799			—		—			11,504,799
Allowance for credit losses		(925,860	)		—			—		—			—

Loans and leases, net		65,645,097			66,299,162			—		8,300,912			57,998,250
Accrued interest receivable		222,897			222,897			—		222,897			—
Financial liabilities:
Noninterest-bearing deposits	$	(24,240,802	)	$	(24,240,802	)	$	—	$	(24,240,802	)	$	—
Savings deposits and NOW accounts		(35,763,566	)		(35,763,566	)		—		(35,763,566	)		—
Time deposits		(4,562,366	)		(4,584,384	)		—		(4,584,384	)		—
Deposits at Cayman Islands office		(1,044,519	)		(1,044,519	)		—		(1,044,519	)		—
Short-term borrowings		(1,074,482	)		(1,074,482	)		—		(1,074,482	)		—
Long-term borrowings		(4,607,758	)		(4,768,408	)		—		(4,768,408	)		—
Accrued interest payable		(54,281	)		(54,281	)		—		(54,281	)		—
Trading account liabilities		(374,274	)		(374,274	)		—		(374,274	)		—
Other financial instruments:
Commitments to originate real estate loans for sale	$	47,859		$	47,859		$	—	$	—		$	47,859
Commitments to sell real estate loans		(7,299	)		(7,299	)		—		(7,299	)		—
Other credit-related commitments		(119,464	)		(119,464	)		—		—			(119,464	)
Interest rate swap agreements used for interest rate risk management		143,179			143,179			—		143,179			—

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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+ Details

- Definition

The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis.

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-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

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