Annual report pursuant to Section 13 and 15(d)

Fair Values of Assets and Liabilities (Tables)

v2.4.1.9
Fair Values of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2014
Fair Values of Assets and Liabilities [Abstract]  
Assets and liabilities measured at fair value on a recurring basis

Assets and liabilities measured at fair value on a recurring basis at December 31, 2014 and 2013 are summarized below

Fair Value Measurements at Reporting Date Using Netting Balance at
(dollar amounts in thousands) Level 1 Level 2 Level 3 Adjustments (1) December 31, 2014
Assets
Loans held for sale $ --- $ 354,888 $ --- $ --- $ 354,888
Loans held for investment --- 40,027 --- --- 40,027
Trading account securities:
Federal agencies: Mortgage-backed --- --- --- --- ---
Federal agencies: Other agencies --- 2,857 --- --- 2,857
Municipal securities --- 5,098 --- --- 5,098
Other securities 33,121 1,115 --- --- 34,236
33,121 9,070 --- --- 42,191
Available-for-sale and other securities:
U.S. Treasury securities 5,452 --- --- --- 5,452
Federal agencies: Mortgage-backed --- 5,322,701 --- --- 5,322,701
Federal agencies: Other agencies --- 351,543 --- --- 351,543
Municipal securities --- 450,976 1,417,593 --- 1,868,569
Private-label CMO --- 11,462 30,464 --- 41,926
Asset-backed securities --- 873,260 82,738 --- 955,998
Corporate debt --- 486,176 --- --- 486,176
Other securities 17,430 3,316 --- --- 20,746
22,882 7,499,434 1,530,795 --- 9,053,111
Automobile loans --- --- 10,590 --- 10,590
MSRs --- --- 22,786 --- 22,786
Derivative assets --- 449,775 4,064 (101,197) 352,642
Liabilities
Derivative liabilities --- 335,524 704 (51,973) 284,255
Short-term borrowings --- 2,295 --- --- 2,295
Fair Value Measurements at Reporting Date Using Netting Balance at
(dollar amounts in thousands) Level 1 Level 2 Level 3 Adjustments (1) December 31, 2013
Assets
Mortgage loans held for sale $ --- $ 278,928 $ --- $ --- $ 278,928
Trading account securities:
Federal agencies: Mortgage-backed --- --- --- --- ---
Federal agencies: Other agencies --- 834 --- --- 834
Municipal securities --- 2,180 --- --- 2,180
Other securities 32,081 478 --- --- 32,559
32,081 3,492 --- --- 35,573
Available-for-sale and other securities:
U.S. Treasury securities 51,604 --- --- --- 51,604
Federal agencies: Mortgage-backed (2) --- 3,566,221 --- --- 3,566,221
Federal agencies: Other agencies --- 319,888 --- --- 319,888
Municipal securities --- 491,455 654,537 --- 1,145,992
Private-label CMO --- 16,964 32,140 --- 49,104
Asset-backed securities --- 983,621 107,419 --- 1,091,040
Covered bonds --- 285,874 --- --- 285,874
Corporate debt --- 457,240 --- --- 457,240
Other securities 16,971 3,828 --- --- 20,799
68,575 6,125,091 794,096 --- 6,987,762
Automobile loans --- --- 52,286 --- 52,286
MSRs --- --- 34,236 --- 34,236
Derivative assets 36,774 219,045 3,066 (58,856) 200,029
Liabilities
Derivative liabilities 22,787 124,123 676 (18,312) 129,274
Short-term borrowings --- 1,089 --- --- 1,089
Rollforward of financial instruments measured on a recurring basis and classified as Level 3

The tables below present a rollforward of the balance sheet amounts for the years ended December 31, 2014, 2013, and 2012 for financial instruments measured on a recurring basis and classified as Level 3. The classification of an item as Level 3 is based on the significance of the unobservable inputs to the overall fair value measurement. However, Level 3 measurements may also include observable components of value that can be validated externally. Accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology

Level 3 Fair Value Measurements
Year ended December 31, 2014
Available-for-sale securities
Asset-
Derivative Municipal Private- backed Automobile
(dollar amounts in thousands) MSRs instruments securities label CMO securities loans
Balance, beginning of year $ 34,236 $ 2,390 $ 654,537 $ 32,140 $ 107,419 $ 52,286
Total gains / losses:
Included in earnings (11,450) 3,047 --- 36 226 (918)
Included in OCI --- --- 14,776 452 21,839 ---
Purchases --- --- 1,038,348 --- --- ---
Sales --- --- --- --- (22,870) ---
Repayments --- --- --- --- --- (40,778)
Settlements --- (2,077) (290,068) (2,164) (23,876) ---
Balance, end of year $ 22,786 $ 3,360 $ 1,417,593 $ 30,464 $ 82,738 $ 10,590
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date $ (11,450) $ 3,047 $ 14,776 $ 452 $ 21,137 $ (1,624)
Level 3 Fair Value Measurements
Year ended December 31, 2013
Available-for-sale securities
Asset-
Derivative Municipal Private backed Automobile
(dollar amounts in thousands) MSRs instruments securities label CMO securities loans
Balance, beginning of year $ 35,202 $ 12,702 $ 61,228 $ 48,775 $ 110,037 $ 142,762
Total gains / losses:
Included in earnings (966) (5,944) 2,129 (180) (2,244) (358)
Included in OCI --- --- 9,075 1,703 35,139 ---
Other (1) --- --- 600,435 --- --- ---
Sales --- --- --- (10,254) (16,711) ---
Repayments --- --- --- --- --- (90,118)
Settlements --- (4,368) (18,330) (7,904) (18,802) ---
Balance, end of year $ 34,236 $ 2,390 $ 654,537 $ 32,140 $ 107,419 $ 52,286
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date $ (966) $ (5,944) $ 9,075 $ 1,703 $ 35,139 $ (358)
Level 3 Fair Value Measurements
Year ended December 31, 2012
Available-for-sale securities
Asset-
Derivative Municipal Private backed Automobile
(dollar amounts in thousands) MSRs instruments securities label CMO securities loans
Balance, beginning of year $ 65,001 $ (169) $ 95,092 $ 72,364 $ 121,698 $ 296,250
Total gains / losses:
Included in earnings (29,799) 10,617 --- (796) (59) (1,230)
Included in OCI --- --- (1,637) 8,245 23,138 ---
Sales --- --- (3,040) (15,183) (20,852) ---
Repayments --- --- --- --- --- (152,258)
Settlements --- 2,254 (29,187) (15,855) (13,888) ---
Balance, end of year $ 35,202 $ 12,702 $ 61,228 $ 48,775 $ 110,037 $ 142,762
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date $ (29,799) $ 5,818 $ (1,637) $ 8,245 $ 23,138 $ (1,230)
(1) Effective December 31, 2013 approximately $600.4 million of direct purchase municipal instruments were reclassified from C&I loans to available-for-sale securities.
Classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities

The tables below summarize the classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities for the years ended December 31, 2014, 2013, and 2012:

Level 3 Fair Value Measurements
Year ended December 31, 2014
Available-for-sale securities
Asset-
Derivative Municipal Private backed Automobile
(dollar amounts in thousands) MSRs instruments securities label CMO securities loans
Classification of gains and losses in earnings:
Mortgage banking income (loss) $ (11,450) $ 3,047 $ --- $ --- $ --- $ ---
Securities gains (losses) --- --- --- --- 170 ---
Interest and fee income --- --- --- 36 56 (1,032)
Noninterest income --- --- --- --- --- 114
Total $ (11,450) $ 3,047 $ --- $ 36 $ 226 $ (918)
Level 3 Fair Value Measurements
Year ended December 31, 2013
Available-for-sale securities
Asset-
Derivative Municipal Private backed Automobile
(dollar amounts in thousands) MSRs instruments securities label CMO securities loans
Classification of gains and losses in earnings:
Mortgage banking income (loss) $ (966) $ (5,944) $ --- $ --- $ --- $ ---
Securities gains (losses) --- --- --- (336) (1,466) ---
Interest and fee income --- --- 2,129 156 (778) (3,569)
Noninterest income --- --- --- --- --- 3,211
Total $ (966) $ (5,944) $ 2,129 $ (180) $ (2,244) $ (358)
Level 3 Fair Value Measurements
Year ended December 31, 2012
Available-for-sale securities
Asset-
Derivative Municipal Private backed Automobile
(dollar amounts in thousands) MSRs instruments securities label CMO securities loans
Classification of gains and losses in earnings:
Mortgage banking income (loss) $ (29,799) $ 10,617 $ --- $ --- $ --- $ ---
Securities gains (losses) --- --- --- (1,614) --- ---
Interest and fee income --- --- --- 818 (59) (6,950)
Noninterest income --- --- --- --- --- 5,720
Total $ (29,799) $ 10,617 $ --- $ (796) $ (59) $ (1,230)
Assets and liabilities under the fair value option

The following table presents the fair value and aggregate principal balance of certain assets and liabilities under the fair value option:

December 31, 2014 December 31, 2013
Fair value Aggregate Fair value Aggregate
carrying unpaid carrying unpaid
(dollar amounts in thousands) amount principal Difference amount principal Difference
Assets
Loans held for sale $ 354,888 $ 340,070 $ 14,818 $ 278,928 $ 276,945 $ 1,983
Loans held for investment 40,027 40,938 (911) --- --- ---
Automobile loans 10,590 10,022 568 52,286 50,800 1,486

Net gains (losses) from fair value changes
Year ended December 31,
(dollar amounts in thousands) 2014 2013 2012
Assets
Mortgage loans held for sale $ (1,978) $ (12,711) $ 4,284
Automobile loans (918) (360) (1,231)
Liabilities
Securitization trust notes payable --- --- (2,023)

Gains (losses) included in fair value changes
associated with instrument specific credit risk
Year ended December 31,
(dollar amounts in thousands) 2014 2013 2012
Assets
Automobile loans $ 911 $ 2,207 $ 2,749
Assets measured at fair value on a nonrecurring basis

For the year ended December 31, 2014, assets measured at fair value on a nonrecurring basis were as follows:

Fair Value Measurements Using
Quoted Prices Significant Significant Total
In Active Other Other Gains/(Losses)
Markets for Observable Unobservable For the
Fair Value at Identical Assets Inputs Inputs Year Ended
(dollar amounts in thousands) December 31, (Level 1) (Level 2) (Level 3) December 31,
2014
Impaired loans $ 52,911 $ --- $ --- $ 52,911 $ (53,660)
Other real estate owned 35,039 --- --- 35,039 $ (4,021)
Quantitative information about significant unobservable level 3 fair value measurement inputs
Quantitative Information about Level 3 Fair Value Measurements
(dollar amounts in thousands) Fair Value at Valuation Significant Range
December 31, 2014 Technique Unobservable Input (Weighted Average)
MSRs $ 22,786 Discounted cash flow Constant prepayment rate (CPR) 7% - 26% (16%)
Spread over forward interest rate swap rates 228 - 900 (546)
Net costs to service $21 - $79 ($40)
Derivative assets 4,064 Consensus Pricing Net market price -5.09% - 17.46% (1.7%)
Derivative liabilities 704 Estimated Pull thru % 38% - 91% (75%)
Municipal securities 1,417,593 Discounted cash flow Discount rate 0.5% - 4.9% (2.5%)
Private-label CMO 30,464 Discounted cash flow Discount rate 2.7% - 7.2% (6.0%)
Constant prepayment rate (CPR) 13.6% - 32.6% (20.7%)
Probability of default 0.1% - 4.0% (0.7%)
Loss Severity 0.0% - 64.0% (33.9%)
Asset-backed securities 82,738 Discounted cash flow Discount rate 4.3% - 13.3% (7.3%)
Cumulative prepayment rate 0.0% - 100% (10.1%)
Cumulative default 1.9% - 100% (15.9%)
Loss given default 20% - 100% (94.4%)
Cure given deferral 0.0% - 75% (32.6%)
Automobile loans 10,590 Discounted cash flow Constant prepayment rate (CPR) 154.2%
Discount rate 0.2% - 5.0% (2.3%)
Life of pool cumulative losses 2.1%
Impaired loans 52,911 Appraisal value NA NA
Other real estate owned 35,039 Appraisal value NA NA
Carrying amounts and estimated fair values of financial instruments
December 31, 2014 December 31, 2013
Carrying Fair Carrying Fair
(dollar amounts in thousands) Amount Value Amount Value
Financial Assets:
Cash and short-term assets $ 1,285,124 $ 1,285,124 $ 1,058,175 $ 1,058,175
Trading account securities 42,191 42,191 35,573 35,573
Loans held for sale 416,327 416,327 326,212 326,212
Available-for-sale and other securities 9,384,670 9,384,670 7,308,753 7,308,753
Held-to-maturity securities 3,379,905 3,382,715 3,836,667 3,760,898
Net loans and direct financing leases 47,050,530 45,110,406 42,472,630 40,976,014
Derivatives 352,642 352,642 200,029 200,029
Financial Liabilities:
Deposits 51,732,151 52,454,804 47,506,718 48,132,550
Short-term borrowings 2,397,101 2,397,101 2,352,143 2,343,552
Long term debt 4,335,962 4,286,304 2,458,272 2,424,564
Derivatives 284,255 284,255 129,274 129,274

Estimated Fair Value Measurements at Reporting Date Using Balance at
(dollar amounts in thousands) Level 1 Level 2 Level 3 December 31, 2014
Financial Assets
Held-to-maturity securities $ --- $ 3,382,715 $ --- $ 3,382,715
Net loans and direct financing leases --- --- 45,110,406 45,110,406
Financial liabilities
Deposits --- 48,183,798 4,271,006 52,454,804
Short-term borrowings --- --- 2,397,101 2,397,101
Long-term debt --- --- 4,286,304 4,286,304
Estimated Fair Value Measurements at Reporting Date Using Balance at
(dollar amounts in thousands) Level 1 Level 2 Level 3 December 31, 2013
Financial Assets
Held-to-maturity securities $ --- $ 3,760,898 $ --- $ 3,760,898
Net loans and direct financing leases --- --- 40,976,014 40,976,014
Financial liabilities
Deposits --- 42,279,542 5,853,008 48,132,550
Short-term borrowings --- --- 2,343,552 2,343,552
Long-term debt --- --- 2,424,564 2,424,564