Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Hierarchy Tables Present Information about Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following fair value hierarchy table presents information about our assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2021:

(Dollars in thousands)	Level 1		Level 2		Level 3		Balance at March 31, 2021
Assets:
Available-for-sale securities:
U.S. Treasury securities	$	4,438,396	$	—	$	—	$	4,438,396
U.S. agency debentures	—		226,095		—		226,095
Foreign government debt securities	23,450		—		—		23,450
Residential mortgage-backed securities:
Agency-issued mortgage-backed securities	—		12,514,911		—		12,514,911
Agency-issued collateralized mortgage obligations—fixed rate	—		7,256,626		—		7,256,626
Agency-issued commercial mortgage-backed securities	—		1,526,993		—		1,526,993
Total available-for-sale securities	4,461,846		21,524,625		—		25,986,471
Non-marketable and other equity securities (fair value accounting):
Non-marketable securities:
Venture capital and private equity fund investments measured at net asset value	—		—		—		274,424
Other equity securities in public companies	38,253		122,557		—		160,810
Total non-marketable and other equity securities (fair value accounting)	38,253		122,557		—		435,234
Other assets:
Foreign exchange forward and option contracts	—		240,183		—		240,183
Equity warrant assets	—		10,952		233,382		244,334
Client interest rate derivatives	—		65,123		—		65,123
Total assets	$	4,500,099	$	21,963,440	$	233,382	$	26,971,345
Liabilities:
Foreign exchange forward and option contracts	$	—	$	202,532	$	—	$	202,532
Client interest rate derivatives	—		68,954		—		68,954
Total liabilities	$	—	$	271,486	$	—	$	271,486

The following fair value hierarchy table presents information about our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020:

(Dollars in thousands)	Level 1		Level 2		Level 3		Balance at December 31, 2020
Assets:
Available-for-sale securities:
U.S. Treasury securities	$	4,469,728	$	—	$	—	$	4,469,728
U.S. agency debentures	—		237,307		—		237,307
Foreign government debt securities	24,492		—		—		24,492
Residential mortgage-backed securities:
Agency-issued mortgage-backed securities	—		13,503,681		—		13,503,681
Agency-issued collateralized mortgage obligations—fixed rate	—		8,106,564		—		8,106,564
Agency-issued commercial mortgage-backed securities	—		4,570,666		—		4,570,666
Total available-for-sale securities	4,494,220		26,418,218		—		30,912,438
Non-marketable and other equity securities (fair value accounting):
Non-marketable securities:
Venture capital and private equity fund investments measured at net asset value	—		—		—		273,823
Other equity securities in public companies	43,344		237,460		—		280,804
Total non-marketable and other equity securities (fair value accounting)	43,344		237,460		—		554,627
Other assets:
Foreign exchange forward and option contracts	—		216,977		—		216,977
Equity warrant assets	—		11,221		192,217		203,438
Client interest rate derivatives	—		67,854		—		67,854
Total assets	$	4,537,564	$	26,951,730	$	192,217	$	31,955,334
Liabilities:
Foreign exchange forward and option contracts	$	—	$	210,833	$	—	$	210,833
Client interest rate derivatives	—		26,646		—		26,646
Total liabilities	$	—	$	237,479	$	—	$	237,479

Additional Information about Level 3 Assets Measured at Fair Value on a Recurring Basis

The following table presents additional information about Level 3 assets measured at fair value on a recurring basis for the three months ended March 31, 2021 and 2020:

(Dollars in thousands)	Beginning Balance		Total Net Gains Included in Net Income		Purchases		Sales/Exits		Issuances		Other (3)		Transfers Out of Level 3		Ending Balance
Three months ended March 31, 2021
Other assets:
Equity warrant assets (1)	$	192,217	$	219,827	$	—	$	(181,413)	$	6,565	$	(39)	$	(3,775)	$	233,382
Total assets	$	192,217	$	219,827	$	—	$	(181,413)	$	6,565	$	(39)	$	(3,775)	$	233,382
Three months ended March 31, 2020
Non-marketable and other equity securities (fair value accounting):
Venture capital and private equity fund investments not measured at net asset value (2)	$	134	$	5	$	—	$	(5)	$	—	$	—	$	—	$	134
Other assets:
Equity warrant assets (1)	161,038		14,601		—		(30,034)		4,519		—		(266)		149,858
Total assets	$	161,172	$	14,606	$	—	$	(30,039)	$	4,519	$	—	$	(266)	$	149,992

(1)Realized and unrealized gains (losses) are recorded in the line item “Gains on equity warrant assets, net," a component of noninterest income.

(2)Realized and unrealized gains (losses) are recorded in the line item “Gains on investment securities, net," a component of noninterest income.

(3)Foreign currency translation gains (losses) recorded in line item "Foreign currency translation gains (losses)", a component of other comprehensive income.

Unrealized Gains Included in Earnings Attributable to Level 3 Assets Held

The following table presents the amount of net unrealized gains and losses included in earnings attributable to Level 3 assets still held at March 31, 2021 and 2020:

	Three months ended March 31,
(Dollars in thousands)	2021		2020
Other assets:
Equity warrant assets (1)	$	60,639	$	(4,145)
Total unrealized gains (losses), net	$	60,639	$	(4,145)

(1)Unrealized gains (losses) are recorded in the line item “Gains on equity warrant assets, net," a component of noninterest income.

Quantitative Information About Significant Unobservable Inputs

The following table presents quantitative information about the significant unobservable inputs used for certain of our Level 3 fair value measurements at March 31, 2021 and December 31, 2020. We have not included in this table our venture capital and private equity fund investments (fair value accounting) as we use net asset value per share (as obtained from the general partners of the investments) as a practical expedient to determine fair value.

(Dollars in thousands)	Fair value	Valuation Technique	Significant Unobservable Inputs	Input Range	Weighted  Average
March 31, 2021:
Equity warrant assets (public portfolio)	28	Black-Scholes option pricing model	Volatility	47.4%	47.4	%
			Risk-Free interest rate	0.9- 1.6	1.1
			Sales restrictions discount (2)	10.0	10.0
Equity warrant assets (private portfolio)	233,354	Black-Scholes option pricing model	Volatility	25.0 - 58.0	45.7
			Risk-Free interest rate	0.01 - 1.17	0.3
			Marketability discount (3)	21.7	21.7
			Remaining life assumption (4)	40.0	40.0
December 31, 2020:
Equity warrant assets (public portfolio)	1,036	Black-Scholes option pricing model	Volatility	46.0% - 56.8%	49.1	%
			Risk-Free interest rate	0.3- 0.9	0.6
			Sales restrictions discount (2)	10.0 - 20.0	10.2
Equity warrant assets (private portfolio)	191,181	Black-Scholes option pricing model	Volatility	24.4 - 56.8	43.2
			Risk-Free interest rate	0.01 - 0.52	0.1
			Marketability discount (3)	20.63	20.6
			Remaining life assumption (4)	40.0	40.0

(1)In determining the fair value of our venture capital and private equity fund investment portfolio (not measured at net asset value), we evaluate a variety of factors related to each underlying private portfolio company including, but not limited to, actual and forecasted results, cash position, recent or planned transactions and market comparable companies. Additionally, we have ongoing communication with the portfolio companies and venture capital fund managers, to determine whether there is a material change in fair value. We use company provided valuation reports, if available, to support our valuation assumptions. These factors are specific to each portfolio company and a weighted average or range of values of the unobservable inputs is not meaningful.

(2)We adjust quoted market prices of public companies, which are subject to certain sales restrictions. Sales restriction discounts generally range from 10 percent to 20 percent depending on the duration of the sales restrictions, which typically range from three to six months.

(3)Our marketability discount is applied to all private company warrants to account for a general lack of liquidity due to the private nature of the associated underlying company. The quantitative measure used is based upon various option-pricing models. On a quarterly basis, a sensitivity analysis is performed on our marketability discount.

(4)We adjust the contractual remaining term of private company warrants based on our estimate of the actual remaining life, which we determine by utilizing historical data on terminations and exercises. At March 31, 2021, the weighted average contractual remaining term was 6.6 years, compared to our estimated remaining life of 2.6 years. On a quarterly basis, a sensitivity analysis is performed on our remaining life assumption.

Summary of Estimated Fair Values of Financial Instruments Not Carried at Fair Value

The following fair value hierarchy table presents the estimated fair values of our financial instruments that are not carried at fair value at March 31, 2021 and December 31, 2020:

			Estimated Fair Value
(Dollars in thousands)	Carrying Amount		Total		Level 1		Level 2		Level 3
March 31, 2021:
Financial assets:
Cash and cash equivalents	$	21,254,859	$	21,254,859	$	21,254,859	$	—	$	—
Held-to-maturity securities	41,164,620		41,186,735		—		41,186,735		—
Non-marketable securities not measured at net asset value	379,224		379,224		—		—		379,224
Non-marketable securities measured at net asset value	426,306		426,306		—		—		—
Net commercial loans	42,264,653		43,438,142		—		—		43,438,142
Net consumer loans	5,018,762		5,158,216		—		—		5,158,216
FHLB and Federal Reserve Bank stock	83,355		83,355		—		—		83,355
Financial liabilities:
Short-term borrowings	38,434		38,434		—		38,434		—
Non-maturity deposits (1)	123,454,403		123,454,403		123,454,403		—		—
Time deposits	695,703		394,574		—		394,574		—
3.50% Senior Notes	348,441		378,242		—		378,242		—
3.125% Senior Notes	495,387		521,205		—		521,205		—
1.80% Senior Notes	494,355		463,625		—		463,625		—
Off-balance sheet financial assets:
Commitments to extend credit	—		39,003		—		—		39,003
December 31, 2020:
Financial assets:
Cash and cash equivalents	$	17,674,763	$	17,674,763	$	17,674,763	$	—	$	—
Held-to-maturity securities	16,592,153		17,216,871		—		17,216,871		—
Non-marketable securities not measured at net asset value	240,761		240,761		—		—		240,761
Non-marketable securities measured at net asset value	390,658		390,658		—		—		—
Net commercial loans	39,886,296		40,412,490		—		—		40,412,490
Net consumer loans	4,847,427		4,911,451		—		—		4,911,451
FHLB and Federal Reserve Bank stock	61,232		61,232		—		—		61,232
Financial liabilities:
Short-term borrowings	20,553		20,553		—		20,553		—
Non-maturity deposits (1)	101,293,346		101,293,346		101,293,346		—		—
Time deposits	688,461		501,853		—		501,853		—
3.50% Senior Notes	348,348		382,855		—		382,855		—
3.125% Senior Notes	495,280		563,840		—		563,840		—
Off-balance sheet financial assets:
Commitments to extend credit	—		36,672		—		—		36,672

(1)Includes noninterest-bearing demand deposits, interest-bearing checking accounts, money market accounts and interest-bearing sweep deposits.

Summary of Estimated Fair Values of Investments and Remaining Unfunded Commitments for Each Major Category of Investments

The following table is a summary of the estimated fair values of these investments and remaining unfunded commitments for each major category of these investments as of March 31, 2021:

(Dollars in thousands)	Carrying Amount		Fair Value		Unfunded Commitments
Non-marketable securities (fair value accounting):
Venture capital and private equity fund investments (1)	$	274,424	$	274,424	$	19,030
Non-marketable securities (equity method accounting):
Venture capital and private equity fund investments (2)	394,349		394,349		13,303
Debt funds (2)	5,813		5,813		211
Other investments (2)	26,144		26,144		886
Total	$	700,730	$	700,730	$	33,430

(1)Venture capital and private equity fund investments within non-marketable securities (fair value accounting) include investments made by our managed funds of funds and one of our direct venture funds (consolidated VIEs) and investments in venture capital and private equity fund investments (unconsolidated VIEs). Collectively, these investments in venture capital and private equity funds are primarily in U.S. and global technology and life science/healthcare companies. Included in the fair value and unfunded commitments of fund investments under fair value accounting are $70.8 million and $3.0 million, respectively, attributable to noncontrolling interests. It is estimated that we will receive distributions from the fund investments over the next 10 to 13 years, depending on the age of the funds and any potential extensions of terms of the funds.

(2)Venture capital and private equity fund investments, debt funds, and other fund investments within non-marketable securities (equity method accounting) include funds that invest in or lend money to primarily U.S. and global technology and life science/healthcare companies. It is estimated that we will receive distributions from the funds over the next 5 to 8 years, depending on the age of the funds and any potential extensions of the terms of the funds.