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Fair Value Measurement and Fair Value of Financial Instruments (Tables) | 6 Months Ended
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Jun. 30, 2020
Fair Value, Financial Assets and Liabilities Measured on Recurring and Nonrecurring Basis |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following tables present financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2020 and December 31, 2019:
($ in thousands) |  | Assets and Liabilities Measured at Fair Value on a Recurring Basis as of June 30, 2020 |  |  |  |  |  |
|  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
AFS debt securities: |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 251,201 |  |  | $ | — |  |  | $ | — |  |  | $ | 251,201 |
U.S. government agency and U.S. government- sponsored enterprise debt securities |  | — |  |  | 442,644 |  |  | — |  |  | 442,644 |
U.S. government agency and U.S. government- sponsored enterprise mortgage-backed securities: |  |  |  |  |  |  |  |
Commercial mortgage-backed securities |  | — |  |  | 858,440 |  |  | — |  |  | 858,440 |
Residential mortgage-backed securities |  | — |  |  | 1,280,895 |  |  | — |  |  | 1,280,895 |
Municipal securities |  | — |  |  | 215,184 |  |  | — |  |  | 215,184 |
Non-agency mortgage-backed securities: |  |  |  |  |  |  |  |
Commercial mortgage-backed securities |  | — |  |  | 151,368 |  |  | — |  |  | 151,368 |
Residential mortgage-backed securities |  | — |  |  | 114,338 |  |  | — |  |  | 114,338 |
Corporate debt securities |  | — |  |  | 30,826 |  |  | — |  |  | 30,826 |
Foreign bonds |  | — |  |  | 204,080 |  |  | — |  |  | 204,080 |
Asset-backed securities |  | — |  |  | 61,619 |  |  | — |  |  | 61,619 |
Collateralized loan obligations (“CLOs”) |  | — |  |  | 273,979 |  |  | — |  |  | 273,979 |
Total AFS debt securities |  | $ | 251,201 |  |  | $ | 3,633,373 |  |  | $ | — |  |  | $ | 3,884,574 |
Investments in tax credit and other investments: |  |  |  |  |  |  |  |
Equity securities (1) |  | $ | 22,462 |  |  | $ | 8,680 |  |  | $ | — |  |  | $ | 31,142 |
Total investments in tax credit and other investments |  | $ | 22,462 |  |  | $ | 8,680 |  |  | $ | — |  |  | $ | 31,142 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | — |  |  | $ | 613,480 |  |  | $ | — |  |  | $ | 613,480 |
Foreign exchange contracts |  | — |  |  | 24,289 |  |  | — |  |  | 24,289 |
Credit contracts |  | — |  |  | 41 |  |  | — |  |  | 41 |
Equity contracts |  | — |  |  | 8,857 |  |  | 316 |  |  | 9,173 |
Commodity contracts |  | — |  |  | 117,447 |  |  | — |  |  | 117,447 |
Gross derivative assets |  | $ | — |  |  | $ | 764,114 |  |  | $ | 316 |  |  | $ | 764,430 |
Netting adjustments (2) |  | $ | — |  |  | $ | (122,218) |  |  | $ | — |  |  | $ | (122,218) |
Net derivative assets |  | $ | — |  |  | $ | 641,896 |  |  | $ | 316 |  |  | $ | 642,212 |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | — |  |  | $ | 401,803 |  |  | $ | — |  |  | $ | 401,803 |
Foreign exchange contracts |  | — |  |  | 19,741 |  |  | — |  |  | 19,741 |
Credit contracts |  | — |  |  | 327 |  |  | — |  |  | 327 |
Commodity contracts |  | — |  |  | 138,298 |  |  | — |  |  | 138,298 |
Gross derivative liabilities |  | $ | — |  |  | $ | 560,169 |  |  | $ | — |  |  | $ | 560,169 |
Netting adjustments (2) |  | $ | — |  |  | $ | (205,004) |  |  | $ | — |  |  | $ | (205,004) |
Net derivative liabilities |  | $ | — |  |  | $ | 355,165 |  |  | $ | — |  |  | $ | 355,165 |
(1)Equity securities consist of mutual funds with readily determinable fair values. (2)Represents balance sheet netting of derivative assets and liabilities and related cash collateral under master netting agreements or similar agreements. See Note 6 — Derivatives to the Consolidated Financial Statements in this Form 10-Q for additional information.
($ in thousands) |  | Assets and Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2019 |  |  |  |  |  |
|  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
AFS debt securities: |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 176,422 |  |  | $ | — |  |  | $ | — |  |  | $ | 176,422 |
U.S. government agency and U.S. government- sponsored enterprise debt securities |  | — |  |  | 581,245 |  |  | — |  |  | 581,245 |
U.S. government agency and U.S. government- sponsored enterprise mortgage-backed securities: |  |  |  |  |  |  |  |
Commercial mortgage-backed securities |  | — |  |  | 603,471 |  |  | — |  |  | 603,471 |
Residential mortgage-backed securities |  | — |  |  | 1,003,897 |  |  | — |  |  | 1,003,897 |
Municipal securities |  | — |  |  | 102,302 |  |  | — |  |  | 102,302 |
Non-agency mortgage-backed securities: |  |  |  |  |  |  |  |
Commercial mortgage-backed securities |  | — |  |  | 88,550 |  |  | — |  |  | 88,550 |
Residential mortgage-backed securities |  | — |  |  | 46,548 |  |  | — |  |  | 46,548 |
Corporate debt securities |  | — |  |  | 11,149 |  |  | — |  |  | 11,149 |
Foreign bonds |  | — |  |  | 354,172 |  |  | — |  |  | 354,172 |
Asset-backed securities |  | — |  |  | 64,752 |  |  | — |  |  | 64,752 |
CLOs |  | — |  |  | 284,706 |  |  | — |  |  | 284,706 |
Total AFS debt securities |  | $ | 176,422 |  |  | $ | 3,140,792 |  |  | $ | — |  |  | $ | 3,317,214 |
Investments in tax credit and other investments: |  |  |  |  |  |  |  |
Equity securities (1) |  | $ | 21,746 |  |  | $ | 9,927 |  |  | $ | — |  |  | $ | 31,673 |
Total investments in tax credit and other investments |  | $ | 21,746 |  |  | $ | 9,927 |  |  | $ | — |  |  | $ | 31,673 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | — |  |  | $ | 192,883 |  |  | $ | — |  |  | $ | 192,883 |
Foreign exchange contracts |  | — |  |  | 54,637 |  |  | — |  |  | 54,637 |
Credit contracts |  | — |  |  | 2 |  |  | — |  |  | 2 |
Equity contracts |  | — |  |  | 993 |  |  | 421 |  |  | 1,414 |
Commodity contracts |  | — |  |  | 81,380 |  |  | — |  |  | 81,380 |
Gross derivative assets |  | $ | — |  |  | $ | 329,895 |  |  | $ | 421 |  |  | $ | 330,316 |
Netting adjustments (2) |  | $ | — |  |  | $ | (125,319) |  |  | $ | — |  |  | $ | (125,319) |
Net derivative assets |  | $ | — |  |  | $ | 204,576 |  |  | $ | 421 |  |  | $ | 204,997 |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | — |  |  | $ | 127,317 |  |  | $ | — |  |  | $ | 127,317 |
Foreign exchange contracts |  | — |  |  | 48,610 |  |  | — |  |  | 48,610 |
Credit contracts |  | — |  |  | 84 |  |  | — |  |  | 84 |
Commodity contracts |  | — |  |  | 80,517 |  |  | — |  |  | 80,517 |
Gross derivative liabilities |  | $ | — |  |  | $ | 256,528 |  |  | $ | — |  |  | $ | 256,528 |
Netting adjustments (2) |  | $ | — |  |  | $ | (159,799) |  |  | $ | — |  |  | $ | (159,799) |
Net derivative liabilities |  | $ | — |  |  | $ | 96,729 |  |  | $ | — |  |  | $ | 96,729 |
(1)Equity securities consist of mutual funds with readily determinable fair values. (2)Represents balance sheet netting of derivative assets and liabilities and related cash collateral under master netting agreements or similar agreements. See Note 6 — Derivatives to the Consolidated Financial Statements in this Form 10-Q for additional information.
Reconciliation of the beginning and ending balances for equity warrants measured at fair value on a recurring basis using significant unobservable inputs (Level 3) | The following table provides a reconciliation of the beginning and ending balances of these equity warrants for the three and six months ended June 30, 2020 and 2019:
($ in thousands) |  | Three Months Ended June 30, |  |  |  | Six Months Ended June 30, |  |
|  | 2020 |  | 2019 |  | 2020 |  | 2019
Equity Contracts |  |  |  |  |  |  |  |
Beginning balance |  | $ | 713 |  |  | $ | 442 |  |  | $ | 421 |  |  | $ | 673 |
Total gains included in earnings (1) |  | 7,976 |  |  | 769 |  |  | 8,268 |  |  | 538 |
Issuances |  | — |  |  | 28 |  |  | — |  |  | 28 |
Settlements |  | — |  |  | (847) |  |  | — |  |  | (847) |
Transfers out of Level 3 (2) |  | (8,373) |  |  | — |  |  | (8,373) |  |  | — |
Ending balance |  | $ | 316 |  |  | $ | 392 |  |  | $ | 316 |  |  | $ | 392 |
(1)Includes unrealized gains (losses) of $8.0 million and $(4) thousand for the three months ended June 30, 2020 and 2019, respectively, and $8.3 million and $(235) thousand for the six months ended June 30, 2020 and 2019, respectively. The realized/unrealized gains (losses) of equity warrants are included in Lending fees on the Consolidated Statement of Income. (2)During the three and six months ended June 30, 2020, the Company transferred $8.4 million of equity contracts measured on a recurring basis out of Level 3 into Level 2 after the corresponding issuer of the equity warrant, which was previously a private company, completed its initial public offering and became a public company.
Schedule of carrying amounts of assets that were still held and had fair value changes measured on a nonrecurring basis | The following tables present the carrying amounts of assets that were still held and had fair value changes measured on a nonrecurring basis as of June 30, 2020 and December 31, 2019:
($ in thousands) |  | Assets Measured at Fair Value on a Nonrecurring Basis as of June 30, 2020 |  |  |  |  |  |
|  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Fair Value Measurements
Individually evaluated loans (1): |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |
C&I |  | $ | — |  |  | $ | — |  |  | $ | 53,122 |  |  | $ | 53,122 |
CRE: |  |  |  |  |  |  |  |
CRE |  | — |  |  | — |  |  | 50,453 |  |  | 50,453 |
Total commercial |  | — |  |  | — |  |  | 103,575 |  |  | 103,575 |
Consumer: |  |  |  |  |  |  |  |
Residential mortgage: |  |  |  |  |  |  |  |
HELOCs |  | — |  |  | — |  |  | 3,338 |  |  | 3,338 |
Other consumer |  | — |  |  | — |  |  | 2,491 |  |  | 2,491 |
Total consumer |  | — |  |  | — |  |  | 5,829 |  |  | 5,829 |
Total individually evaluated loans |  | $ | — |  |  | $ | — |  |  | $ | 109,404 |  |  | $ | 109,404 |
Investments in tax credit and other investments, net |  | $ | — |  |  | $ | — |  |  | $ | 6,216 |  |  | $ | 6,216 |
($ in thousands) |  | Assets Measured at Fair Value on a Nonrecurring Basis as of December 31, 2019 |  |  |  |  |  |
|  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Fair Value Measurements
Non-PCI impaired loans: |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |
C&I |  | $ | — |  |  | $ | — |  |  | $ | 47,554 |  |  | $ | 47,554 |
CRE: |  |  |  |  |  |  |  |
CRE |  | — |  |  | — |  |  | 753 |  |  | 753 |
Total commercial |  | — |  |  | — |  |  | 48,307 |  |  | 48,307 |
Consumer: |  |  |  |  |  |  |  |
Residential mortgage: |  |  |  |  |  |  |  |
HELOCs |  | — |  |  | — |  |  | 1,372 |  |  | 1,372 |
Total consumer |  | — |  |  | — |  |  | 1,372 |  |  | 1,372 |
Total non-PCI impaired loans |  | $ | — |  |  | $ | — |  |  | $ | 49,679 |  |  | $ | 49,679 |
OREO (2) |  | $ | — |  |  | $ | — |  |  | $ | 125 |  |  | $ | 125 |
Investments in tax credit and other investments, net |  | $ | — |  |  | $ | — |  |  | $ | 3,076 |  |  | $ | 3,076 |
Other nonperforming assets |  | $ | — |  |  | $ | — |  |  | $ | 1,167 |  |  | $ | 1,167 |
(1)The Company adopted ASU 2016-13 using the prospective transition approach for PCD loans that were previously accounted for as PCI loans. Total individually evaluated loans as of June 30, 2020 considers PCD loans, if impaired, whereas the impaired loans as of December 31, 2019 include only non-PCI loans. (2)Amounts are included in Other assets on the Consolidated Balance Sheet and represent the carrying value of OREO properties that were written down subsequent to their initial classification as OREO.
Schedule of increase (decrease) in fair value of assets for which a fair value adjustment has been recognized, nonrecurring basis | The following table presents the increase (decrease) in fair value of assets for which a nonrecurring fair value adjustment has been recognized for the three and six months ended June 30, 2020 and 2019:
($ in thousands) |  | Three Months Ended June 30, |  |  |  | Six Months Ended June 30, |  |  |  |
|  | 2020 |  | 2019 |  | 2020 |  | 2019 |  |
|  | Individually Evaluated Loans (1) |  | Non-PCI Impaired Loans |  | Individually Evaluated Loans (1) |  | Non-PCI Impaired Loans |  |
Loans: |  |  |  |  |  |  |  |  |  |
Commercial: |  |  |  |  |  |  |  |  |  |
C&I |  | $ | (8,846) |  |  | $ | (24,001) |  |  | $ | (30,372) |  |  | $ | (25,823) |  |  |
CRE: |  |  |  |  |  |  |  |  |  |
CRE |  | (271) |  |  | 2 |  |  | (276) |  |  | 4 |  |  |
Total commercial |  | (9,117) |  |  | (23,999) |  |  | (30,648) |  |  | (25,819) |  |  |
Consumer: |  |  |  |  |  |  |  |  |  |
Residential mortgage: |  |  |  |  |  |  |  |  |  |
HELOCs |  | (64) |  |  | — |  |  | (257) |  |  | — |  |  |
Other consumer |  | — |  |  | — |  |  | 2,491 |  |  | — |  |  |
Total consumer |  | (64) |  |  | — |  |  | 2,234 |  |  | — |  |  |
Total loans |  | $ | (9,181) |  |  | $ | (23,999) |  |  | $ | (28,414) |  |  | $ | (25,819) |  |  |
OREO |  | $ | — |  |  | $ | (3) |  |  | $ | — |  |  | $ | (3) |  |  |
Investments in tax credit and other investments, net |  | $ | (733) |  |  | $ | (2,892) |  |  | $ | (583) |  |  | $ | (9,870) |  |  |
Other nonperforming assets |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3,000) |  |  |
(1)The Company adopted ASU 2016-13 using the prospective transition approach for PCD loans that were previously accounted for as PCI loans. Total individually evaluated loans during the three and six months ended June 30, 2020 considers PCD loans, if impaired, whereas impaired loans during the three and six months ended June 30, 2019 include only non-PCI loans.
Schedule of the carrying and fair value estimates per the fair value hierarchy of financial instruments measured on a nonrecurring basis | The following tables present the fair value estimates for financial instruments as of June 30, 2020 and December 31, 2019, excluding financial instruments recorded at fair value on a recurring basis as they are included in the tables presented elsewhere in this Note. The carrying amounts in the following tables are recorded on the Consolidated Balance Sheet under the indicated captions, except for accrued interest receivable and mortgage servicing rights that are included in Other assets, and accrued interest payable that is included in Accrued expenses and other liabilities. These financial assets and liabilities are measured at amortized cost basis on the Company’s Consolidated Balance Sheet.
($ in thousands) |  | June 30, 2020 |  |  |  |  |  |  |  |
|  | Carrying Amount |  | Level 1 |  | Level 2 |  | Level 3 |  | Estimated Fair Value
Financial assets: |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 4,533,502 |  |  | $ | 4,533,502 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,533,502 |
Interest-bearing deposits with banks |  | $ | 531,591 |  |  | $ | — |  |  | $ | 531,591 |  |  | $ | — |  |  | $ | 531,591 |
Resale agreements (1) |  | $ | 1,260,000 |  |  | $ | — |  |  | $ | 1,263,068 |  |  | $ | — |  |  | $ | 1,263,068 |
Restricted equity securities, at cost |  | $ | 78,963 |  |  | $ | — |  |  | $ | 78,963 |  |  | $ | — |  |  | $ | 78,963 |
Loans held-for-sale |  | $ | 3,875 |  |  | $ | — |  |  | $ | 3,875 |  |  | $ | — |  |  | $ | 3,875 |
Loans held-for-investment, net |  | $ | 36,597,341 |  |  | $ | — |  |  | $ | — |  |  | $ | 36,714,052 |  |  | $ | 36,714,052 |
Mortgage servicing rights |  | $ | 5,363 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,798 |  |  | $ | 7,798 |
Accrued interest receivable |  | $ | 149,595 |  |  | $ | — |  |  | $ | 149,595 |  |  | $ | — |  |  | $ | 149,595 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Demand, checking, savings and money market deposits |  | $ | 31,410,130 |  |  | $ | — |  |  | $ | 31,410,130 |  |  | $ | — |  |  | $ | 31,410,130 |
Time deposits |  | $ | 9,262,548 |  |  | $ | — |  |  | $ | 9,295,199 |  |  | $ | — |  |  | $ | 9,295,199 |
Short-term borrowings |  | $ | 252,851 |  |  | $ | — |  |  | $ | 252,851 |  |  | $ | — |  |  | $ | 252,851 |
FHLB advances |  | $ | 656,759 |  |  | $ | — |  |  | $ | 667,996 |  |  | $ | — |  |  | $ | 667,996 |
Repurchase agreements (1) |  | $ | 300,000 |  |  | $ | — |  |  | $ | 320,361 |  |  | $ | — |  |  | $ | 320,361 |
Long-term debt |  | $ | 1,575,653 |  |  | $ | — |  |  | $ | 1,578,801 |  |  | $ | — |  |  | $ | 1,578,801 |
Accrued interest payable |  | $ | 23,007 |  |  | $ | — |  |  | $ | 23,007 |  |  | $ | — |  |  | $ | 23,007 |
($ in thousands) |  | December 31, 2019 |  |  |  |  |  |  |  |
|  | Carrying Amount |  | Level 1 |  | Level 2 |  | Level 3 |  | Estimated Fair Value
Financial assets: |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 3,261,149 |  |  | $ | 3,261,149 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,261,149 |
Interest-bearing deposits with banks |  | $ | 196,161 |  |  | $ | — |  |  | $ | 196,161 |  |  | $ | — |  |  | $ | 196,161 |
Resale agreements (1) |  | $ | 860,000 |  |  | $ | — |  |  | $ | 856,025 |  |  | $ | — |  |  | $ | 856,025 |
Restricted equity securities, at cost |  | $ | 78,580 |  |  | $ | — |  |  | $ | 78,580 |  |  | $ | — |  |  | $ | 78,580 |
Loans held-for-sale |  | $ | 434 |  |  | $ | — |  |  | $ | 434 |  |  | $ | — |  |  | $ | 434 |
Loans held-for-investment, net |  | $ | 34,420,252 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,021,300 |  |  | $ | 35,021,300 |
Mortgage servicing rights |  | $ | 6,068 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,199 |  |  | $ | 8,199 |
Accrued interest receivable |  | $ | 144,599 |  |  | $ | — |  |  | $ | 144,599 |  |  | $ | — |  |  | $ | 144,599 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Demand, checking, savings and money market deposits |  | $ | 27,109,951 |  |  | $ | — |  |  | $ | 27,109,951 |  |  | $ | — |  |  | $ | 27,109,951 |
Time deposits |  | $ | 10,214,308 |  |  | $ | — |  |  | $ | 10,208,895 |  |  | $ | — |  |  | $ | 10,208,895 |
Short-term borrowings |  | $ | 28,669 |  |  | $ | — |  |  | $ | 28,669 |  |  | $ | — |  |  | $ | 28,669 |
FHLB advances |  | $ | 745,915 |  |  | $ | — |  |  | $ | 755,371 |  |  | $ | — |  |  | $ | 755,371 |
Repurchase agreements (1) |  | $ | 200,000 |  |  | $ | — |  |  | $ | 232,597 |  |  | $ | — |  |  | $ | 232,597 |
Long-term debt |  | $ | 147,101 |  |  | $ | — |  |  | $ | 152,641 |  |  | $ | — |  |  | $ | 152,641 |
Accrued interest payable |  | $ | 27,246 |  |  | $ | — |  |  | $ | 27,246 |  |  | $ | — |  |  | $ | 27,246 |
(1)Resale and repurchase agreements are reported net pursuant to ASC 210-20-45-11, Balance Sheet Offsetting: Repurchase and Reverse Repurchase Agreements. As of June 30, 2020, none of the $300.0 million of gross repurchase agreements were eligible for netting against gross resale agreements. Out of $450.0 million of gross repurchase agreements, $250.0 million were eligible for netting against gross resale agreements as of December 31, 2019
Fair Value, Measurements, Recurring |
Fair Value, Financial Assets and Liabilities Measured on Recurring and Nonrecurring Basis |
Schedule of quantitative information about significant unobservable inputs used in the valuation of Level 3 fair value measurements | The following table presents quantitative information about the significant unobservable inputs used in the valuation of Level 3 fair value measurements as of June 30, 2020 and December 31, 2019, respectively. The significant unobservable inputs presented in the table below are those that the Company considers significant to the fair value of the Level 3 assets. The Company considers unobservable inputs to be significant if, by their exclusion, the fair value of the Level 3 assets would be impacted by a predetermined percentage change.
($ in thousands) |  | Fair Value Measurements (Level 3) |  | Valuation Technique |  | Unobservable Inputs |  | Range of Inputs |  | Weighted- Average (1)
June 30, 2020 |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Equity contracts |  | $ | 316 |  |  | Black-Scholes option pricing model |  | Equity volatility |  | 58% — 70% |  | 63%
|  |  |  |  |  | Liquidity discount |  | 47% |  | 47%
December 31, 2019 |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Equity contracts |  | $ | 421 |  |  | Black-Scholes option pricing model |  | Equity volatility |  | 39% — 44% |  | 42%
|  |  |  |  |  | Liquidity discount |  | 47% |  | 47%
(1)Weighted-average is calculated based on fair value of equity warrants as of June 30, 2020 and December 31, 2019.
Fair Value, Measurements, Nonrecurring |
Fair Value, Financial Assets and Liabilities Measured on Recurring and Nonrecurring Basis |
Schedule of quantitative information about significant unobservable inputs used in the valuation of Level 3 fair value measurements | The following table presents the quantitative information about the significant unobservable inputs used in the valuation of Level 3 fair value measurements that are measured on a nonrecurring basis as of June 30, 2020 and December 31, 2019:
($ in thousands) |  | Fair Value Measurements (Level 3) |  | Valuation Techniques |  | Unobservable Inputs |  | Range of Inputs |  | Weighted- Average of Inputs (1)
June 30, 2020 |  |  |  |  |  |  |  |  |  |
Individually evaluated loans (2) |  | $ | 29,949 |  |  | Discounted cash flows |  | Discount |  | 4% — 15% |  | 10%
|  | $ | 5,658 |  |  | Fair value of collateral |  | Discount |  | 10% — 63% |  | 19%
|  | $ | 21,452 |  |  | Fair value of collateral |  | Contract value |  | NM |  | NM
|  | $ | 52,345 |  |  | Fair value of property |  | Selling cost |  | 8% |  | 8%
Investments in tax credit and other investments, net |  | $ | 6,216 |  |  | Individual analysis of each investment |  | Expected future tax benefits and distributions |  | NM |  | NM
December 31, 2019 |  |  |  |  |  |  |  |  |  |
Non-PCI impaired loans |  | $ | 27,841 |  |  | Discounted cash flows |  | Discount |  | 4% — 15% |  | 14%
|  | $ | 1,014 |  |  | Fair value of collateral |  | Discount |  | 8% — 20% |  | 19%
|  | $ | 20,824 |  |  | Fair value of collateral |  | Contract value |  | NM |  | NM
OREO |  | $ | 125 |  |  | Fair value of property |  | Selling cost |  | 8% |  | 8%
Other nonperforming assets |  | $ | 1,167 |  |  | Fair value of collateral |  | Contract value |  | NM |  | NM
Investments in tax credit and other investments, net |  | $ | 3,076 |  |  | Individual analysis of each investment |  | Expected future tax benefits and distributions |  | NM |  | NM
NM — Not meaningful. (1)Weighted-average of inputs is based on the relative fair value of the respective assets as of June 30, 2020 and December 31, 2019. (2)The Company adopted ASU 2016-13 using the prospective transition approach for PCD loans that were previously accounted for as PCI loans. Total individually evaluated loans as of June 30, 2020 considers PCD loans, if impaired, whereas the impaired loans as of December 31, 2019 include only non-PCI loans.

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- Definition Tabular disclosure of the increase (decrease) in value of financial assets that are measured at fair value on a nonrecurring basis for which a fair value adjustment has been recognized. + References No definition available. + Details
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- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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