Fair Value Information

9 Months Ended

Sep. 30, 2021

7. FAIR VALUE INFORMATION

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 valuation methodologies for financial assets and liabilities measured at fair value on a recurring and non-recurring basis are described in Note 19 — Fair Value Information, included in our Annual Report on Form 10-K for the year ended December 31, 2020.

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 September 30, 2021		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	$	2,269,073	$	-	$	2,269,073	$	-
CMO/REMIC		625,167		-		625,167		-
Municipal bonds		29,820		-		29,820		-
Other securities		1,000		-		1,000		-
Total investment securities - AFS		2,925,060		-		2,925,060		-
Interest rate swaps		16,176		-		16,176		-
Total assets	$	2,941,236	$	-	$	2,941,236	$	-
Description of liability
Interest rate swaps	$	16,176	$	-	$	16,176	$	-
Total liabilities	$	16,176	$	-	$	16,176	$	-


	Carrying Value at December 31, 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	$	1,904,935	$	-	$	1,904,935	$	-
CMO/REMIC		462,814		-		462,814		-
Municipal bonds		30,285		-		30,285		-
Other securities		889		-		889		-
Total investment securities - AFS		2,398,923		-		2,398,923		-
Interest rate swaps		30,181		-		30,181		-
Total assets	$	2,429,104	$	-	$	2,429,104	$	-
Description of liability
Interest rate swaps	$	30,181	$	-	$	30,181	$	-
Total liabilities	$	30,181	$	-	$	30,181	$	-

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 September 30, 2021 and December 31, 2020, 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. These losses on collateral dependent loans represent the amount of the allowance 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.


	Carrying Value at September 30, 2021		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 Nine Months Ended September 30, 2021
	(Dollars in thousands)
Description of assets
Loans:
Commercial real estate	$	-	$	-	$	-	$	-	$	-
Construction		-		-		-		-		-
SBA		678		-		-		678		150
Commercial and industrial		43		-		-		43		3,020
Dairy & livestock and agribusiness		119		-		-		119		60
Municipal lease finance receivables		-		-		-		-		-
SFR mortgage		-		-		-		-		-
Consumer and other loans		-		-		-		-		11
Other real estate owned		-		-		-		-		-
Asset held-for-sale		-		-		-		-		-
Total assets	$	840	$	-	$	-	$	840	$	3,241


	Carrying Value at December 31, 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 Year Ended December 31, 2020
	(Dollars in thousands)
Description of assets
Loans:
Commercial real estate	$	-	$	-	$	-	$	-	$	-
Construction		-		-		-		-		-
SBA		76		-		-		76		24
Commercial and industrial		4,266		-		-		4,266		2,316
Dairy & livestock and agribusiness		-		-		-		-		-
Municipal lease finance receivables		-		-		-		-		-
SFR mortgage		-		-		-		-		-
Consumer and other loans		-		-		-		-		-
Other real estate owned		2,275		-		-		2,275		700
Asset held-for-sale		-		-		-		-		-
Total assets	$	6,617	$	-	$	-	$	6,617	$	3,040

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 September 30, 2021 and December 31, 2020, respectively. The use of different market assumptions and/or estimation methodologies may have a material effect on the estimated fair value amounts.


	September 30, 2021
	Carrying		Estimated Fair Value
	Amount		Level 1		Level 2		Level 3		Total
	(Dollars in thousands)
Assets
Total cash and cash equivalents	$	2,561,363	$	2,561,363	$	-	$	-	$	2,561,363
Interest-earning balances due from depository institutions		27,260		-		27,260		-		27,260
Investment securities available-for-sale		2,925,060		-		2,925,060		-		2,925,060
Investment securities held-to-maturity		1,710,938		-		1,717,230		-		1,717,230
Total loans, net of allowance for credit losses		7,784,156		-		-		7,739,732		7,739,732
Swaps		16,176		-		16,176		-		16,176
Liabilities
Deposits:
Interest-bearing	$	4,619,507	$	-	$	4,619,178	$	-	$	4,619,178
Borrowings		659,579		-		609,580		-		609,580
Junior subordinated debentures		-		-		-		-		-
Swaps		16,176		-		16,176		-		16,176


	December 31, 2020
	Carrying		Estimated Fair Value
	Amount		Level 1		Level 2		Level 3		Total
	(Dollars in thousands)
Assets
Total cash and cash equivalents	$	1,958,160	$	1,958,160	$	-	$	-	$	1,958,160
Interest-earning balances due from depository institutions		43,563		-		43,600		-		43,600
Investment securities available-for-sale		2,398,923		-		2,398,923		-		2,398,923
Investment securities held-to-maturity		578,626		-		604,223		-		604,223
Total loans, net of allowance for credit losses		8,255,116		-		-		8,256,178		8,256,178
Swaps		30,181		-		30,181		-		30,181
Liabilities
Deposits:
Interest-bearing	$	4,281,114	$	-	$	4,281,952	$	-	$	4,281,952
Borrowings		444,406		-		444,349		-		444,349
Junior subordinated debentures		25,774		-		-		19,431		19,431
Swaps		30,181		-		30,181		-		30,181

The fair value estimates presented herein are based on pertinent information available to management as of September 30, 2021 and December 31, 2020. 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.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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