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Fair Value Accounting and Measurement
 3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Accounting and Measurement Fair Value Accounting and Measurement
The Fair Value Measurements and Disclosures topic of the FASB ASC defines fair value, establishes a consistent framework for measuring fair value and expands disclosure requirements about fair value. We hold fixed and variable rate interest-bearing securities, investments in marketable equity securities and certain other financial instruments, which are carried at fair value. Fair value is determined based upon quoted prices when available or through the use of alternative approaches, such as matrix or model pricing, when market quotes are not readily accessible or available.
The valuation techniques are based upon observable and unobservable inputs. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our own market assumptions. These two types of inputs create the following fair value hierarchy:
Level 1 – Quoted prices for identical instruments in active markets that are accessible at the measurement date.
Level 2 – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model derived valuations whose inputs are observable or whose significant value drivers are observable.
Level 3 – Prices or valuation techniques that require inputs that are both significant to the fair value measurement and unobservable.
Fair values are determined as follows:
Debt securities at fair value are priced using a combination of market activity, industry recognized information sources, yield curves, discounted cash flow models and other factors. These fair value calculations are considered a Level 2 input method under the provisions of the Fair Value Measurements and Disclosures topic of the FASB ASC for all debt securities.
Loans held for sale include the fair value of residential mortgage loans originated as held for sale determined based on quoted secondary market prices for similar loans, including the implicit fair value of embedded servicing rights. The change in fair value of loans held for sale is primarily driven by changes in interest rates subsequent to loan funding and changes in the fair value of the related servicing asset, resulting in revaluation adjustments to the recorded fair value.
The fair values of the interest rate lock commitments and interest rate forward loan sales contracts are estimated using quoted or published market prices for similar instruments, adjusted for factors such as pull-through rate assumptions based on historical information, where appropriate. The pull-through rate assumptions are considered Level 3 valuation inputs and are significant to the interest rate lock commitment valuation; as such, the interest rate lock commitment derivatives are classified as Level 3.
Interest rate contracts and the interest rate collar are valued in models, which use as their basis, readily observable market parameters and are classified within Level 2 of the valuation hierarchy.
The following tables set forth the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis at the dates presented by level within the fair value hierarchy. Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement:
Fair ValueFair Value Measurements at Reporting Date Using
Level 1Level 2Level 3
March 31, 2022(in thousands)
Assets
Debt securities available for sale:
U.S. government agency and government-sponsored enterprise mortgage-back securities and collateralized mortgage obligations$3,407,654 $— $3,407,654 $— 
Other asset-backed securities408,047 — 408,047 — 
State and municipal securities938,965 — 938,965 — 
U.S. government agency and government-sponsored enterprise securities239,274 — 239,274 — 
U.S. government securities173,342 173,342 — — 
Non-agency collateralized mortgage obligations360,089 — 360,089 — 
Total debt securities available for sale$5,527,371 $173,342 $5,354,029 $— 
Loans held for sale$4,267 $— $4,267 $— 
Other assets:
Interest rate lock commitments$36 $— $— $36 
Interest rate forward loan sales contracts$313 $— $313 $— 
Interest rate contracts$16,784 $— $16,784 $— 
Liabilities
Other liabilities:
Interest rate contracts$16,784 $— $16,784 $— 
Fair ValueFair Value Measurements at Reporting Date Using
Level 1Level 2Level 3
December 31, 2021(in thousands)
Assets
Debt securities available for sale:
U.S. government agency and government-sponsored enterprise mortgage-back securities and collateralized mortgage obligations$3,745,601 $— $3,745,601 $— 
Other asset-backed securities463,063 — 463,063 — 
State and municipal securities997,291 — 997,291 — 
U.S. government agency and government-sponsored enterprise securities252,576 — 252,576 — 
U.S. government securities157,536 157,536 — — 
Non-agency collateralized mortgage294,932 — 294,932 — 
Total debt securities available for sale$5,910,999 $157,536 $5,753,463 $— 
Loans held for sale$9,570 $— $9,570 $— 
Other assets:
Interest rate lock commitments$356 $— $— $356 
Interest rate contracts$24,257 $— $24,257 $— 
Liabilities
Other liabilities:
Interest rate forward loan sales contracts$27 $— $27 $— 
Interest rate contracts$24,257 $— $24,257 $— 
Assets and Liabilities Measured at Fair Value Using Significant Unobservable Inputs (Level 3)
The following table provides a description of the valuation technique, significant unobservable inputs and qualitative information about the unobservable inputs for the Company’s assets and liabilities classified as Level 3 and measured at fair value on a recurring basis at the dates presented:
Fair Value at March 31, 2022Valuation TechniqueUnobservable InputRange (Weighted Average)
(dollars in thousands)
Interest rate lock commitments$36 Internal pricing modelPull-through rate
77.94% - 100.00%
(94.64%)
Fair Value at March 31, 2021Valuation TechniqueUnobservable InputRange (Weighted Average)
(dollars in thousands)
Interest rate lock commitments$925 Internal pricing modelPull-through rate
79.87% - 100.00%
(90.39%)
An increase in the pull-through rate utilized in the fair value measurement of the interest rate lock commitment derivative will result in positive fair value adjustments (and an increase in the fair value measurement). Conversely, a decrease in the pull-through rate will result in a negative fair value adjustment (and a decrease in the fair value measurement).
The following table includes a rollforward of interest rate lock commitments which utilize Level 3 inputs to determine the fair value on a recurring basis.
Three Months Ended March 31,
20222021
(in thousands)
Balance at the beginning of the period$356 $1,096 
Change included in earnings(19)1,710 
Settlements(301)(1,881)
Balance at the end of the period$36 $925 
Nonrecurring Measurements
Certain assets and liabilities are measured at fair value on a nonrecurring basis after initial recognition such as collateral dependent loans. The following valuation techniques and inputs were used to estimate the fair value of collateral dependent loans.
Collateral dependent loans - A collateral dependent loan is a loan in which repayment is expected to be provided solely by the underlying collateral. The fair market value of the collateral is determined by either the discounted expected future cash flows from the operation of the collateral or the appraised value of the collateral, less costs to sell. The collateral dependent loan valuations are performed in conjunction with the allowance for credit losses process on a quarterly basis.
The following tables set forth information related to the Company’s assets that were measured using fair value estimates on a nonrecurring basis during the current and prior year quarterly periods:
Fair Value atFair Value Measurements 
at Reporting Date Using		Gains (Losses) During the Three Months Ended March 31, 2022
March 31, 2022Level 1Level 2Level 3
(in thousands)
Collateral dependent loans$2,262 $— $— $2,262 $(1,465)
Fair Value at Fair Value Measurements 
at Reporting Date Using		Gains (Losses) During the Three Months Ended March 31, 2021
March 31, 2021Level 1Level 2Level 3
(in thousands)
Collateral dependent loans$1,520 $— $— $1,520 $722 
The gains (losses) on collateral dependent loans disclosed above represent the amount of the allowance or provision recapture for credit losses and/or charge-offs during the period applicable to loans held at period-end. The amount of the allowance is included in the ACL.
Quantitative information about Level 3 fair value measurements
The range and weighted average of the significant unobservable inputs used to fair value our Level 3 nonrecurring assets, along with the valuation techniques used, are shown in the following table:
Fair Value at March 31, 2022Valuation TechniqueUnobservable InputRange (Weighted Average)
(dollars in thousands)
Collateral dependent loans (2)$2,262 Fair Market Value of CollateralAdjustment to Stated Value
N/A (1)
__________
(1) Quantitative disclosures are not provided because there were no adjustments made to the appraisal value during the current period.
(2) Collateral consists of equipment and real estate.
Fair Value at March 31, 2021Valuation TechniqueUnobservable InputRange (Weighted Average) (1)
(dollars in thousands)
Collateral dependent loans (2)$1,520 Fair Market Value of CollateralAdjustment to Stated Value
42.96% - 75.00% (59.53%)
__________
(1) Discount applied to appraised value or stated value (in the case of accounts receivable and fixed assets).
(2) Collateral consists of accounts receivable and fixed assets.
The following tables summarize carrying amounts and estimated fair values of selected financial instruments by level within the fair value hierarchy at the dates presented:
March 31, 2022
Carrying
Amount		Fair
Value		Level 1Level 2Level 3
(in thousands)
Assets
Cash and due from banks$225,141 $225,141 $225,141 $— $— 
Interest-earning deposits with banks747,335 747,335 747,335 — — 
Debt securities available for sale5,527,371 5,527,371 173,342 5,354,029 — 
Debt securities held to maturity2,202,437 2,038,037 — 2,038,037 — 
FHLB stock10,280 10,280 — 10,280 — 
Loans held for sale4,271 4,271 — 4,271 — 
Loans10,612,735 10,746,287 — — 10,746,287 
Interest rate contracts16,784 16,784 — 16,784 — 
Interest rate lock commitments36 36 — — 36 
Interest rate forward loan sales contracts313 313 — 313 — 
Liabilities
Time deposits$418,395 $412,068 $— $412,068 $— 
FHLB advances7,345 8,090 — 8,090 — 
Repurchase agreements44,212 44,212 — 44,212 — 
Subordinated debentures10,000 10,013 — 10,013 — 
Junior subordinated debentures10,310 10,967 — 10,967 — 
Interest rate contracts16,784 16,784 — 16,784 — 
December 31, 2021
Carrying
Amount		Fair
Value		Level 1Level 2Level 3
(in thousands)
Assets
Cash and due from banks$153,414 $153,414 $153,414 $— $— 
Interest-earning deposits with banks671,300 671,300 671,300 — — 
Debt securities available for sale5,910,999 5,910,999 157,536 5,753,463 — 
Debt securities held to maturity2,148,327 2,122,606 — 2,122,606 — 
FHLB stock10,280 10,280 — 10,280 — 
Loans held for sale9,774 9,774 — 9,774 — 
Loans10,486,359 10,679,349 — — 10,679,349 
Interest rate contracts24,257 24,257 — 24,257 — 
Interest rate lock commitments356 356 — — 356 
Liabilities
Time deposits$445,957 $430,682 $— $430,682 $— 
FHLB advances7,359 8,752 — 8,752 — 
Repurchase agreements86,013 86,013 — 86,013 — 
Subordinated debentures10,000 10,125 — 10,125 — 
Junior subordinated debentures10,310 9,927 — 9,927 — 
Interest rate contracts24,257 24,257 — 24,257 — 
Interest rate forward loan sales contracts27 27 — 27 — 
The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of loans held for sale sold under the mandatory delivery method and accounted for under the fair value option as of the dates presented:
March 31, 2022December 31, 2021
Fair ValueAggregate Unpaid Principal BalanceFair Value Less Aggregate Unpaid Principal BalanceFair ValueAggregate Unpaid Principal BalanceFair Value Less Aggregate Unpaid Principal Balance
(in thousands)
$4,267 $4,295 $(28)$9,570 $9,401 $169 
Residential mortgage loans held for sale that are sold under the mandatory delivery method and accounted for under the fair value option are measured initially at fair value with subsequent changes in fair value recognized in earnings. Gains and losses from such changes in fair value are reported in loan revenue. For the three months ended March 31, 2022 and 2021, the Company recorded net decreases in fair value of $197 thousand and $88 thousand, respectively, representing the change in fair value reflected in earnings. At March 31, 2022 and December 31, 2021, there were no residential mortgage loans held for sale for which the fair value option was elected that were 90 days or more past due, in nonaccrual status or both.