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Debt Securities | 9 Months Ended
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Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
Debt Securities | Debt Securities The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of the Company’s debt securities:
| September 30, 2021
(Dollars in thousands) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Available-for-sale |  |  |  |  |  |  |
U.S. government and federal agency | $ | 31,449 |  |  | 207 |  |  | (283) |  |  | 31,373 |
U.S. government sponsored enterprises | 47,324 |  |  | 6 |  |  | (279) |  |  | 47,051 |
State and local governments | 479,116 |  |  | 29,666 |  |  | (91) |  |  | 508,691 |
Corporate bonds | 191,164 |  |  | 6,958 |  |  | (3) |  |  | 198,119 |
Residential mortgage-backed securities | 5,498,676 |  |  | 13,982 |  |  | (21,313) |  |  | 5,491,345 |
Commercial mortgage-backed securities | 1,081,008 |  |  | 36,640 |  |  | (3,647) |  |  | 1,114,001 |
Total available-for-sale | $ | 7,328,737 |  |  | 87,459 |  |  | (25,616) |  |  | 7,390,580 |
Held-to-maturity |  |  |  |  |  |  |
State and local governments | $ | 1,128,299 |  |  | 20,131 |  |  | (1,977) |  |  | 1,146,453 |
Total held-to-maturity | $ | 1,128,299 |  |  | 20,131 |  |  | (1,977) |  |  | 1,146,453 |
| December 31, 2020
(Dollars in thousands) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Available-for-sale |  |  |  |  |  |  |
U.S. government and federal agency | $ | 38,568 |  |  | 287 |  |  | (267) |  |  | 38,588 |
U.S. government sponsored enterprises | 9,747 |  |  | 34 |  |  | — |  |  | 9,781 |
State and local governments | 1,321,763 |  |  | 94,974 |  |  | (54) |  |  | 1,416,683 |
Corporate bonds | 336,867 |  |  | 12,239 |  |  | (8) |  |  | 349,098 |
Residential mortgage-backed securities | 2,261,463 |  |  | 27,631 |  |  | (4) |  |  | 2,289,090 |
Commercial mortgage-backed securities | 1,177,458 |  |  | 57,575 |  |  | (459) |  |  | 1,234,574 |
Total available-for-sale | $ | 5,145,866 |  |  | 192,740 |  |  | (792) |  |  | 5,337,814 |
Held-to-maturity |  |  |  |  |  |  |
State and local governments | $ | 189,836 |  |  | 13,380 |  |  | — |  |  | 203,216 |
Total held-to-maturity | $ | 189,836 |  |  | 13,380 |  |  | — |  |  | 203,216 |
Maturity Analysis The following table presents the amortized cost and fair value of available-for-sale and held-to-maturity debt securities by contractual maturity at September 30, 2021. Actual maturities may differ from expected or contractual maturities since some issuers have the right to prepay obligations with or without prepayment penalties.
| September 30, 2021
| Available-for-Sale |  | Held-to-Maturity
(Dollars in thousands) | Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value
Due within one year | $ | 68,088 |  |  | 68,877 |  |  | 1,529 |  |  | 1,544 |
Due after one year through five years | 186,292 |  |  | 195,336 |  |  | 27,382 |  |  | 29,114 |
Due after five years through ten years | 250,903 |  |  | 259,085 |  |  | 89,010 |  |  | 94,026 |
Due after ten years | 243,770 |  |  | 261,936 |  |  | 1,010,378 |  |  | 1,021,769 |
| 749,053 |  |  | 785,234 |  |  | 1,128,299 |  |  | 1,146,453 |
Mortgage-backed securities 1 | 6,579,684 |  |  | 6,605,346 |  |  | — |  |  | — |
Total | $ | 7,328,737 |  |  | 7,390,580 |  |  | 1,128,299 |  |  | 1,146,453 |
______________________________ 1 Mortgage-backed securities, which have prepayment provisions, are not assigned to maturity categories due to fluctuations in their prepayment speeds. Sales and Calls of Debt Securities Proceeds from sales and calls of debt securities and the associated gains and losses that have been included in earnings are listed below:
| Three Months ended |  | Nine Months ended
(Dollars in thousands) | September 30, 2021 |  | September 30, 2020 |  | September 30, 2021 |  | September 30, 2020
Available-for-sale |  |  |  |  |  |  |
Proceeds from sales and calls of debt securities | $ | 74,328 |  |  | 69,304 |  |  | 151,025 |  |  | 184,088 |
Gross realized gains 1 | 507 |  |  | 102 |  |  | 945 |  |  | 1,206 |
Gross realized losses 1 | (9) |  |  | (78) |  |  | (75) |  |  | (192) |
Held-to-maturity |  |  |  |  |  |  |
Proceeds from calls of debt securities | 19,120 |  |  | 9,280 |  |  | 25,480 |  |  | 29,530 |
Gross realized gains 1 | — |  |  | — |  |  | — |  |  | 1 |
Gross realized losses 1 | (666) |  |  | — |  |  | (815) |  |  | — |
______________________________ 1 The gain or loss on the sale or call of each debt security is determined by the specific identification method. Allowance for Credit Losses - Available-For-Sale Debt Securities In assessing whether a credit loss existed on available-for-sale debt securities with unrealized losses, the Company compared the present value of cash flows expected to be collected from the debt securities with the amortized cost basis of the debt securities. In addition, the following factors were evaluated individually and collectively in determining the existence of expected credit losses: •credit ratings from Nationally Recognized Statistical Rating Organizations (“NRSRO” entities such as Standard and Poor’s [“S&P”] and Moody’s); •extent to which the fair value is less than cost; •adverse conditions, if any, specifically related to the impaired securities, including the industry and geographic area; •the overall deal and payment structure of the debt securities, including the investor entity’s position within the structure, underlying obligors, financial condition and near-term prospects of the issuer, including specific events which may affect the issuer’s operations or future earnings, and credit support or enhancements; and •failure of the issuer and underlying obligors, if any, to make scheduled payments of interest and principal. The following table summarizes available-for-sale debt securities that were in an unrealized loss position for which an ACL has not been recorded, based on the length of time the individual securities have been in an unrealized loss position. The number of available-for-sale debt securities in an unrealized position is also disclosed.
| September 30, 2021
| Number of Securities |  | Less than 12 Months |  | 12 Months or More |  | Total
(Dollars in thousands) |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss
Available-for-sale |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and federal agency | 23 |  |  | $ | 9,736 |  |  | (78) |  |  | 5,398 |  |  | (205) |  |  | 15,134 |  |  | (283) |
U.S. government sponsored enterprises | 3 |  |  | 45,279 |  |  | (279) |  |  | — |  |  | — |  |  | 45,279 |  |  | (279) |
State and local governments | 11 |  |  | 15,596 |  |  | (30) |  |  | 1,742 |  |  | (61) |  |  | 17,338 |  |  | (91) |
Corporate bonds | 1 |  |  | 5,016 |  |  | (3) |  |  | — |  |  | — |  |  | 5,016 |  |  | (3) |
Residential mortgage-backed securities | 115 |  |  | 3,730,195 |  |  | (21,312) |  |  | 26 |  |  | (1) |  |  | 3,730,221 |  |  | (21,313) |
Commercial mortgage-backed securities | 21 |  |  | 79,332 |  |  | (866) |  |  | 114,338 |  |  | (2,781) |  |  | 193,670 |  |  | (3,647) |
Total available-for-sale | 174 |  |  | $ | 3,885,154 |  |  | (22,568) |  |  | 121,504 |  |  | (3,048) |  |  | 4,006,658 |  |  | (25,616) |
Held-to-maturity |  |  |  |  |  |  |  |  |  |  |  |  |
State and local governments | 126 |  |  | $ | 317,479 |  |  | (1,977) |  |  | — |  |  | — |  |  | 317,479 |  |  | (1,977) |
Total held-to-maturity | 126 |  |  | $ | 317,479 |  |  | (1,977) |  |  | — |  |  | — |  |  | 317,479 |  |  | (1,977) |
| December 31, 2020
| Number of Securities |  | Less than 12 Months |  | 12 Months or More |  | Total
(Dollars in thousands) |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss
Available-for-sale |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and federal agency | 18 |  |  | $ | 13,814 |  |  | (258) |  |  | 726 |  |  | (9) |  |  | 14,540 |  |  | (267) |
State and local governments | 6 |  |  | 3,121 |  |  | (54) |  |  | — |  |  | — |  |  | 3,121 |  |  | (54) |
Corporate bonds | 3 |  |  | 5,500 |  |  | (8) |  |  | — |  |  | — |  |  | 5,500 |  |  | (8) |
Residential mortgage-backed securities | 14 |  |  | 2,354 |  |  | (4) |  |  | 27 |  |  | — |  |  | 2,381 |  |  | (4) |
Commercial mortgage-backed securities | 5 |  |  | 120,741 |  |  | (459) |  |  | — |  |  | — |  |  | 120,741 |  |  | (459) |
Total available-for-sale | 46 |  |  | $ | 145,530 |  |  | (783) |  |  | 753 |  |  | (9) |  |  | 146,283 |  |  | (792) |
With respect to severity, the majority of available-for-sale debt securities with unrealized loss positions at September 30, 2021 have unrealized losses as a percentage of book value of less than five percent. A substantial portion of such securities were issued by Federal National Mortgage Association (“Fannie Mae”), Federal Home Loan Mortgage Corporation (“Freddie Mac”), Government National Mortgage Association (“Ginnie Mae”) and other agencies of the U.S. government or have credit ratings issued by one or more of the NRSRO entities in the four highest credit rating categories. All of the Company’s available-for-sale debt securities with unrealized loss positions at September 30, 2021 have been determined to be investment grade. The Company did not have any past due available-for-sale debt securities as of September 30, 2021 and December 31, 2020, respectively. Accrued interest receivable on available-for-sale debt securities totaled $17,791,000 and $20,215,000 at September 30, 2021, and December 31, 2020, respectively, and was excluded from the estimate of credit losses. Based on an analysis of its available-for-sale debt securities with unrealized losses as of September 30, 2021, the Company determined the decline in value was unrelated to credit losses and was primarily the result of changes in interest rates and market spreads subsequent to acquisition. The fair value of the debt securities is expected to recover as payments are received and the debt securities approach maturity. In addition, as of September 30, 2021, management determined it did not intend to sell available-for-sale debt securities with unrealized losses, and there was no expected requirement to sell such securities before recovery of their amortized cost. As a result, no ACL was recorded on available-for-sale debt securities at September 30, 2021. As part of this determination, the Company considered contractual obligations, regulatory constraints, liquidity, capital, asset/liability management and securities portfolio objectives and whether or not any of the Company’s investment securities were managed by third-party investment funds. Allowance for Credit Losses - Held-To-Maturity Debt Securities The Company measured expected credit losses on held-to-maturity debt securities on a collective basis by major security type and NRSRO credit ratings, which is the Company’s primary credit quality indicator for state and local government securities. The estimate of expected credit losses considered historical credit loss information that was adjusted for current conditions as well as reasonable and supportable forecasts. The following table summarizes the amortized cost of held-to-maturity debt securities aggregated by NRSRO credit rating:
(Dollars in thousands) | September 30, 2021 |  | December 31, 2020
Held-to-maturity |  |  |
S&P: AAA / Moody’s: Aaa | $ | 274,791 |  |  | 39,022 |
S&P: AA+, AA, AA- / Moody’s: Aa1, Aa2, Aa3 | 812,759 |  |  | 123,664 |
S&P: A+, A, A- / Moody’s: A1, A2, A3 | 38,739 |  |  | 27,150 |
S&P: BBB+, BBB, BBB- / Moody’s: Baa1, Baa2, Baa3 | — |  |  | — |
Not rated by either entity | 2,010 |  |  | — |
Below investment grade | — |  |  | — |
Total held-to-maturity | $ | 1,128,299 |  |  | 189,836 |
The Company’s held-to-maturity debt securities portfolio is primarily comprised of general obligation and revenue bonds with NRSRO ratings in the four highest credit rating categories. All of the Company’s held-to-maturity debt securities at September 30, 2021 have been determined to be investment grade. As of September 30, 2021 and December 31, 2020, the Company did not have any held-to-maturity debt securities past due. Accrued interest receivable on held-to-maturity debt securities totaled $11,664,000 and $1,728,000 at September 30, 2021 and December 31, 2020, respectively, and were excluded from the estimate of credit losses. Based on the Company’s evaluation, an insignificant amount of credit losses is expected on the held-to-maturity debt securities portfolio; therefore, no ACL was recorded at September 30, 2021 or December 31, 2020.

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