Fair Value Measurements

3 Months Ended

Mar. 31, 2020

FAIR VALUE MEASUREMENTS

Recurring fair value measurements

The following table presents information about the Company's assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019 and their classification within the fair value hierarchy. See Note 1, Summary of Significant Accounting Policies, in the 2019 10-K, for a description of how fair value measurements are determined.



	March 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Securities available for sale	$	—	$	3,914,960	$	—	$	3,914,960
Mortgage loans held for sale	—		207,845		—		207,845
Mortgage loans held for investment, at fair value option	—		—		2,779		2,779
Derivative instruments	—		283,525		—		283,525
Total	$	—	$	4,406,330	$	2,779	$	4,409,109
Liabilities
Derivative instruments	$	—	$	23,798	$	—	$	23,798
Total	$	—	$	23,798	$	—	$	23,798

	December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets
Securities available for sale	$	—	$	3,933,360	$	—	$	3,933,360
Mortgage loans held for sale	—		213,357		—		213,357
Mortgage loans held for investment, at fair value option	—		—		2,792		2,792
Derivative instruments	—		104,151		—		104,151
Total	$	—	$	4,250,868	$	2,792	$	4,253,660
Liabilities
Derivative instruments	$	—	$	11,799	$	—	$	11,799
Total	$	—	$	11,799	$	—	$	11,799

Non-recurring fair value measurements

The Company holds certain assets that are measured at fair value only in certain circumstances, such as impairment. The following table presents information about the Company's assets that are measured at fair value and still held as of March 31, 2020 and December 31, 2019 for which a non-recurring fair value adjustment was recorded during the periods then ended. See Note 1, Summary of Significant Accounting Policies, in the 2019 10-K, for a description of how fair value measurements are determined.



	March 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Impaired loans	$	—	$	—	$	87,227	$	87,227
OREO, net	—		—		6,869		6,869
Total	$	—	$	—	$	94,096	$	94,096

	December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets
Impaired loans	$	—	$	—	$	74,763	$	74,763
OREO, net	—		—		4,907		4,907
Total	$	—	$	—	$	79,670	$	79,670

The Company did not record any liabilities at fair value for which measurement of the fair value was made on a non-recurring basis as of March 31, 2020 and December 31, 2019.

Fair value option

The Company has elected the fair value option for originated residential mortgage loans held for sale, which allows for a more effective offset of the changes in fair values of the loans and the derivative instruments used to hedge them without the burden of complying with the requirements for hedge accounting. The Company also has a portion of mortgage loans held for investment for which the fair value option was elected upon origination and which continue to be accounted for at fair value at March 31, 2020 and December 31, 2019, respectively.

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for mortgage loans held for sale and mortgage loans held for investment measured at fair value:



	March 31, 2020							December 31, 2019
(in thousands)	Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Unpaid Principal			Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Unpaid Principal
Mortgage loans held for sale, at fair value	$	207,845	$	201,259	$	6,586		$	213,357	$	207,481	$	5,876
Mortgage loans held for investment, at fair value	2,779		2,804		(25		)	2,792		2,922		(130		)

Interest income on mortgage loans held for sale and mortgage loans held for investment at fair value option is recognized based on contractual rates and is reflected in interest income on loans held for sale in the consolidated statements of comprehensive income. The following table details net gains (losses) resulting from the change in fair value of loans that were recorded in mortgage income in the consolidated statements of comprehensive income for the three months ended March 31, 2020 and 2019. The changes in fair value are mostly offset by economic hedging activities, with an insignificant portion of these changes attributable to changes in instrument-specific credit risk.



	Net Gains (Losses) Resulting From Changes in Fair Value
	For the Three Months Ended March 31,
(in thousands)	2020		2019
Fair value option
Mortgage loans held for sale, at fair value	$	711	$	652
Mortgage loans held for investment, at fair value	—		191

IBERIABANK CORP 10-Q