Fair Value Hierarchy

Fair value is the exchange price that would be received for an asset or paid to transfer a liability (exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date.

The following disclosure provides the fair value information for financial assets and liabilities as of June 30, 2020. The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into three broad levels (Level 1, Level 2 and Level 3).

Level

— Quoted prices in active markets for identical assets or liabilities in active markets that are accessible at the measurement date.

Level

— Observable inputs other than Level 1, including quoted prices for similar assets and liabilities in active markets, quoted prices in less active markets, or other observable inputs or model-derived valuations that can be corroborated by observable market data, either directly or indirectly, for substantially the full term of the financial instrument.

Level

— Prices or valuation techniques that require inputs that are both significant to the fair value measurement and unobservable. These valuation methodologies generally include pricing models, discounted cash flow models, or a determination of fair value that requires significant management judgment or estimation.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The tables below present the balances of assets and liabilities measured at fair value on a recurring basis as of the dates presented.


	Carrying Value at June 30, 2020		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(Dollars in thousands)
Description of assets
Investment securities - AFS:
Mortgage-backed securities	$	1,238,299	$	-	$	1,238,299	$	-
CMO/REMIC		400,536		-		400,536		-
Municipal bonds		36,453		-		36,453		-
Other securities		779		-		779		-

Total investment securities - AFS		1,676,067		-		1,676,067		-
Interest rate swaps		38,626		-		38,626		-

Total assets	$	1,714,693	$	-	$	1,714,693	$	-

Description of liability
Interest rate swaps	$	38,626	$	-	$	38,626	$	-

Total liabilities	$	38,626	$	-	$	38,626	$	-


	Carrying Value at December 31, 2019		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(Dollars in thousands)
Description of assets
Investment securities - AFS:
Mortgage-backed securities	$	1,206,313	$	-	$	1,206,313	$	-
CMO/REMIC		493,710		-		493,710		-
Municipal bonds		39,354		-		39,354		-
Other securities		880		-		880		-

Total investment securities - AFS		1,740,257		-		1,740,257		-
Interest rate swaps		11,502		-		11,502		-

Total assets	$	1,751,759	$	-	$	1,751,759	$	-

Description of liability
Interest rate swaps	$	11,502	$	-	$	11,502	$	-

Total liabilities	$	11,502	$	-	$	11,502	$	-

Assets and Liabilities Measured at Fair Value on a

Non-Recurring

Basis

We may be required to measure certain assets at fair value on a

non-recurring

basis in accordance with GAAP. These adjustments to fair value usually result from application of lower of cost or fair value accounting or impairment write-downs of individual assets.

For assets measured at fair value on a

non-recurring

basis that were held on the balance sheet at June 30, 2020 and December 31, 2019, respectively, the following tables provide the level of valuation assumptions used to determine each adjustment and the carrying value of the related assets that had losses during the period.


	Carrying Value at 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 Losses For the Six Months Ended June 30, 2020
	(Dollars in thousands)
Description of assets
Loans:
Commercial and industrial	$	411	$	-	$	-	$	411	$	305
SBA		-		-		-		-		-
Real estate:
Commercial real estate		1,715		-		-		1,715		432
Construction		-		-		-		-		-
SFR mortgage		-		-		-		-		-
Dairy & livestock and agribusiness		-		-		-		-		-
Consumer and other loans		-		-		-		-		-
Other real estate owned		-		-		-		-		-
Asset held-for-sale		-		-		-		-		-

Total assets	$	2,126	$	-	$	-	$	2,126	$	737


	Carrying Value at 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 Losses For the Year Ended December 31, 2019
	(Dollars in thousands)
Description of assets
Impaired loans:
Commercial and industrial	$	253	$	-	$	-	$	253	$	251
SBA		359		-		-		359		513
Real estate:
Commercial real estate		-		-		-		-		-
Construction		-		-		-		-		-
SFR mortgage		-		-		-		-		-
Dairy & livestock and agribusiness		-		-		-		-		-
Consumer and other loans		-		-		-		-		-
Other real estate owned		444		-		-		444		64
Asset held-for-sale		-		-		-		-		-

Total assets	$	1,056	$	-	$	-	$	1,056	$	828

Fair Value of Financial Instruments

The following disclosure presents estimated fair value of our financial instruments. The estimated fair value amounts have been determined by the Company using available market information and appropriate valuation methodologies. However, considerable judgment is required to develop the estimates of fair value. Accordingly, the estimates presented below are not necessarily indicative of the amounts the Company may realize in a current market exchange as of June 30, 2020 and December 31, 2019, respectively. The use of different market assumptions and/or estimation methodologies may have a material effect on the estimated fair value amounts.


	June 30, 2020
			Estimated Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
	(Dollars in thousands)
Assets
Total cash and cash equivalents	$	1,927,283	$	1,927,283	$	-	$	-	$	1,927,283
Interest-earning balances due from depository institutions		38,611		-		38,667		-		38,667
Investment securities available-for-sale		1,676,067		-		1,676,067		-		1,676,067
Investment securities held-to-maturity		613,169		-		638,950		-		638,950
Total loans, net of allowance for credit losses		8,308,551		-		-		8,252,796		8,252,796
Swaps		38,626		-		38,626		-		38,626
Liabilities
Deposits:
Interest-bearing	$	4,082,212	$	-	$	4,083,910	$	-	$	4,083,910
Borrowings		478,156		-		478,056		-		478,056
Junior subordinated debentures		25,774		-		-		17,284		17,284
Swaps		38,626		-		38,626		-		38,626

	December 31, 2019
			Estimated Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
	(Dollars in thousands)
Assets
Total cash and cash equivalents	$	185,518	$	185,518	$	-	$	-	$	185,518
Interest-earning balances due from depository institutions		2,931		-		2,938		-		2,938
Investment securities available-for-sale		1,740,257		-		1,740,257		-		1,740,257
Investment securities held-to-maturity		674,452		-		678,948		-		678,948
Total loans, net of allowance for loan losses		7,495,917		-		-		7,343,167		7,343,167
Swaps		11,502		-		11,502		-		11,502
Liabilities
Deposits:
Interest-bearing	$	3,459,411	$	-	$	3,457,922	$	-	$	3,457,922
Borrowings		428,659		-		428,330		-		428,330
Junior subordinated debentures		25,774		-		-		20,669		20,669
Swaps		11,502		-		11,502		-		11,502

The fair value estimates presented herein are based on pertinent information available to management as of June 30, 2020 and December 31, 2019. Although management is not aware of any factors that would significantly affect the estimated fair value amounts, such amounts have not been comprehensively revalued for purposes of these financial statements since that date, and therefore, current estimates of fair value may differ significantly from the amounts presented above.