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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2022
Fair Value Disclosures [Abstract] |
Assets and liabilities measured on recurring basis at fair value | The table below presents the Corporation’s financial instruments measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021, aggregated by the level in the fair value hierarchy within which those measurements fall:
($ in Thousands) | Fair Value Hierarchy | Mar 31, 2022 | Dec 31, 2021
Assets |  |  |
Investment securities AFS |  |  |
U.S. Treasury securities | Level 1 | $ | 116,132 |  | $ | 122,957 |
Agency securities | Level 2 | 14,200 |  | 14,897 |
Obligations of state and political subdivisions (municipal securities) | Level 2 | 372,401 |  | 400,457 |
Residential mortgage-related securities |  |  |
FNMA / FHLMC | Level 2 | 1,894,819 |  | 2,691,879 |
GNMA | Level 2 | 58,909 |  | 67,780 |
Private-label | Level 2 | — |  | 329,724 |
Commercial mortgage-related securities |  |  |
FNMA / FHLMC | Level 2 | 19,786 |  | 350,623 |
GNMA | Level 2 | 126,760 |  | 166,799 |
Asset backed securities |  |  |
FFELP | Level 2 | 168,978 |  | 177,325 |
SBA | Level 2 | 5,845 |  | 6,580 |
Other debt securities | Level 2 | 2,973 |  | 2,994 |
Total investment securities AFS | Level 1 | $ | 116,132 |  | $ | 122,957 |
Total investment securities AFS | Level 2 | 2,664,671 |  | 4,209,058 |
Equity securities with readily determinable fair values | Level 1 | 5,025 |  | 4,810 |
Residential loans held for sale | Level 2 | 91,582 |  | 136,638 |
Mortgage servicing rights, net(a) | Level 3 | 67,015 |  | N/A
Interest rate-related instruments(b) | Level 2 | 31,728 |  | 83,626 |
Foreign currency exchange forwards(b) | Level 2 | 1,986 |  | 5,490 |
Commodity contracts(b) | Level 2 | — |  | 1,264 |
Interest rate lock commitments to originate residential mortgage loans held for sale | Level 3 | — |  | 2,617 |
Forward commitments on residential mortgage loans | Level 3 | 4,796 |  | 30 |
Liabilities |  |  |
Interest rate-related instruments(b) | Level 2 | $ | 112,029 |  | $ | 26,231 |
Foreign currency exchange forwards(b) | Level 2 | 1,815 |  | 5,441 |
Commodity contracts(b) | Level 2 | — |  | 1,248 |
Interest rate lock commitments to originate residential mortgage loans held for sale | Level 3 | 224 |  | — |
Forward commitments on TBA securities | Level 3 | 9 |  | — |
(a) MSRs at December 31, 2021 were carried at LOCOM. On January 1, 2022, the Corporation made the irrevocable election to account for MSRs at fair value on a recurring basis. (b) Figures are presented gross before netting. See Note 10 and Note 11 for information relating to the impact of offsetting derivative assets and liabilities and cash collateral with the same counterparty where there is a legally enforceable master netting agreement in place.
Assets and liabilities measured at fair value using significant unobservable inputs (level 3) | The table below presents a rollforward of the consolidated balance sheets amounts for the three months ended March 31, 2022 and the year ended December 31, 2021, for the Corporation's mortgage derivatives measured on a recurring basis and classified within Level 3 of the fair value hierarchy:
($ in Thousands) | Interest rate lock commitments to originate residential mortgage loans held for sale | Forward commitments on residential mortgage loans and TBA securities | Total
Balance December 31, 2020 | $ | 9,624 |  | $ | 2,046 |  | $ | 7,579 |
New production | 53,686 |  | (3,281) |  | 56,966 |
Closed loans / settlements | (53,477) |  | 3,740 |  | (57,217) |
Other | (7,216) |  | (2,535) |  | (4,680) |
Mortgage derivative (loss) | (7,007) |  | (2,076) |  | (4,932) |
Balance December 31, 2021 | $ | 2,617 |  | $ | (30) |  | $ | 2,647 |
New production | $ | 5,002 |  | $ | (887) |  | $ | 5,890 |
Closed loans / settlements | (455) |  | 9,099 |  | (9,554) |
Other | (7,389) |  | (12,969) |  | 5,580 |
Mortgage derivative gain (loss) | (2,842) |  | (4,757) |  | 1,916 |
Balance March 31, 2022 | $ | (224) |  | $ | (4,787) |  | $ | 4,563 |
Equity securities without readily determinable fair value | The following table presents the carrying value of equity securities without readily determinable fair values as of March 31, 2022 that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable. Also shown are the cumulative upward and downward adjustments for the Corporation's equity securities without readily determinable fair values as of March 31, 2022:
($ in Thousands) |
Equity securities without readily determinable fair values |
Carrying value as of December 31, 2021 | $ | 13,542 |
Additions | 1 |
Sales | (8) |
Carrying value as of March 31, 2022 | $ | 13,535 |
Cumulative upward carrying value changes between January 1, 2018 and March 31, 2022 | $ | 13,444 |
Cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2022 | $ | — |
Assets and liabilities measured on nonrecurring basis at fair value | The table below presents the Corporation’s assets measured at fair value on a nonrecurring basis, aggregated by the level in the fair value hierarchy within which those measurements fall:
|  |  | Consolidated Statements of Income Category of Adjustment Recognized in Income |
($ in Thousands) | Fair Value Hierarchy | Fair Value | Adjustment Recognized on the Consolidated Statements of Income(c)
March 31, 2022 |  |  |  |
Assets |  |  |
Individually evaluated loans(a) | Level 3 | $ | 43,882 |  | Provision for credit losses | $ | (397) |
OREO(b) | Level 2 | 985 |  | Other noninterest expense / provision for credit losses(d) | 102 |
December 31, 2021 |  |  |  |
Assets |  |  |  |
Individually evaluated loans(a) | Level 3 | $ | 69,917 |  | Provision for credit losses | $ | (3,045) |
OREO(b) | Level 2 | 21,299 |  | Other noninterest expense / provision for credit losses(d) | 7,345 |
Mortgage servicing rights(e) | Level 3 | 57,259 |  | Mortgage banking, net | 16,186 |
(a) Includes probable TDRs which are individually analyzed, net of the related ACLL. (b) If the fair value of the collateral exceeds the carrying amount of the asset, no charge off or adjustment is necessary, the asset is not considered to be carried at fair value, and is therefore not included in the table. (c) Includes the full year impact on the consolidated statements of income (d) When a property's value is written down at the time it is transferred to OREO, the charge off is booked to the provision for credit losses. When a property is already in OREO and subsequently written down, the charge off is booked to other noninterest expense. (e) MSRs at December 31, 2021 were carried at LOCOM. On January 1, 2022, the Corporation made the irrevocable election to account for MSRs at fair value on a recurring basis.
Schedule of assumptions for fair value as of balance sheet date of assets or liabilities that relate to transferor's continuing involvement | The table below presents information about these inputs and further discussion is found above:
March 31, 2022 | Valuation Technique | Significant Unobservable Input | Range of Inputs | Weighted Average Input Applied
Individually evaluated loans | Appraisals / Discounted cash flow | Collateral / Discount factor | 21% | - | 21% | 21%
Estimated fair values of financial instruments | Fair value estimates are set forth below for the Corporation’s financial instruments:
|  | Mar 31, 2022 | Dec 31, 2021
($ in Thousands) | Fair Value Hierarchy Level | Carrying Amount | Fair Value | Carrying Amount | Fair Value
Financial assets |  |  |  |  |
Cash and due from banks | Level 1 | $ | 334,138 |  | $ | 334,138 |  | $ | 343,831 |  | $ | 343,831 |
Interest-bearing deposits in other financial institutions | Level 1 | 166,929 |  | 166,929 |  | 681,684 |  | 681,684 |
Investment securities AFS | Level 1 | 116,132 |  | 116,132 |  | 122,957 |  | 122,957 |
Investment securities AFS | Level 2 | 2,664,671 |  | 2,664,671 |  | 4,209,058 |  | 4,209,058 |
Investment securities HTM, net | Level 1 | 998 |  | 964 |  | 1,000 |  | 1,001 |
Investment securities HTM, net | Level 2 | 3,938,857 |  | 3,763,872 |  | 2,237,947 |  | 2,347,608 |
Equity securities with readily determinable fair values | Level 1 | 5,025 |  | 5,025 |  | 4,810 |  | 4,810 |
Equity securities without readily determinable fair values | Level 3 | 13,535 |  | 13,535 |  | 13,542 |  | 13,542 |
FHLB and Federal Reserve Bank stocks | Level 2 | 168,281 |  | 168,281 |  | 168,281 |  | 168,281 |
Residential loans held for sale | Level 2 | 91,582 |  | 91,582 |  | 136,638 |  | 136,638 |
Loans, net | Level 3 | 24,252,867 |  | 23,485,798 |  | 23,944,934 |  | 23,980,330 |
Bank and corporate owned life insurance | Level 2 | 679,538 |  | 679,538 |  | 680,021 |  | 680,021 |
Mortgage servicing rights, net(a) | Level 3 | 67,015 |  | 67,015 |  | 54,862 |  | 57,259 |
Derivatives (other assets)(b) | Level 2 | 33,715 |  | 33,715 |  | 90,379 |  | 90,379 |
Interest rate lock commitments to originate residential mortgage loans held for sale (other assets) | Level 3 | — |  | — |  | 2,617 |  | 2,617 |
Forward commitments to sell residential mortgage loans (other assets) | Level 3 | 4,796 |  | 4,796 |  | 30 |  | 30 |
Financial liabilities |  |  |  |  |
Noninterest-bearing demand, savings, interest-bearing demand, and money market accounts | Level 3 | $ | 27,116,495 |  | $ | 27,116,495 |  | $ | 27,119,167 |  | $ | 27,119,167 |
Time deposits(c) | Level 2 | 1,288,913 |  | 1,288,913 |  | 1,347,262 |  | 1,347,262 |
Short-term funding | Level 2 | 399,361 |  | 399,270 |  | 354,262 |  | 354,248 |
FHLB advances | Level 2 | 1,537,948 |  | 1,546,821 |  | 1,621,047 |  | 1,680,814 |
Other long-term funding | Level 2 | 249,797 |  | 254,355 |  | 249,324 |  | 265,545 |
Standby letters of credit(d) | Level 2 | 2,473 |  | 2,473 |  | 2,367 |  | 2,367 |
Derivatives (accrued expenses and other liabilities)(b) | Level 2 | 113,844 |  | 113,844 |  | 32,921 |  | 32,921 |
Interest rate lock commitments to originate residential mortgage loans held for sale (accrued expenses and other liabilities) | Level 3 | 224 |  | 224 |  | — |  | — |
Forward commitments on TBA securities (accrued expenses and other liabilities) | Level 3 | 9 |  | 9 |  | — |  | — |
(a) MSRs at December 31, 2021 were carried at LOCOM. On January 1, 2022, the Corporation made the irrevocable election to account for MSRs at fair value. (b) Figures are presented gross before netting. See Note 10 and Note 11 for information relating to the impact of offsetting derivative assets and liabilities and cash collateral with the same counterparty where there is a legally enforceable master netting agreement in place. (c) When the estimated fair value is less than the carrying value, the carrying value is reported as the fair value. (d) The commitment on standby letters of credit was $257 million at March 31, 2022 and $248 million at December 31, 2021. See Note 12 for additional information on the standby letters of credit and for information on the fair value of lending-related commitments.

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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=123874694&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=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of all information related to the key inputs and assumptions (including, at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses) used in measuring the fair value of assets or liabilities that relate to the transferor's continuing involvement with transferred financial assets, as of the balance sheet date. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + 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=123874694&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=123874694&loc=d3e19207-110258 + Details
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