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FAIR VALUE MEASURES (Tables)

9 Months Ended

Sep. 30, 2021

The Company's loans held for sale under the fair value option are comprised of the following:


(dollars in thousands)	September 30, 2021		December 31, 2020
Mortgage loans held for sale	$	1,430,695	$	998,050
SBA loans held for sale	5,110		3,757
Total loans held for sale	$	1,435,805	$	1,001,807

Difference Between Fair Value and Principal Balance for Mortgage Loans Held for Sale Measured at Fair Value

The following table summarizes the difference between the fair value and the principal balance for mortgage loans held for sale measured at fair value as of September 30, 2021 and December 31, 2020:


(dollars in thousands)	September 30, 2021		December 31, 2020
Aggregate fair value of mortgage loans held for sale	$	1,430,695	$	998,050
Aggregate unpaid principal balance of mortgage loans held for sale	1,389,380		947,460
Past-due loans of 90 days or more	152		—
Nonaccrual loans	152		—
Unpaid principal balance of nonaccrual loans	149		—

The following table summarizes the difference between the fair value and the principal balance for SBA loans held for sale measured at fair value as of September 30, 2021 and December 31, 2020:


(dollars in thousands)	September 30, 2021		December 31, 2020
Aggregate fair value of SBA loans held for sale	$	5,110	$	3,757
Aggregate unpaid principal balance of SBA loans held for sale	4,446		3,393
Past-due loans of 90 days or more	—		—
Nonaccrual loans	—		—

Fair Value Measurements of Assets and Liabilities Measured on Recurring Basis

The following table presents the fair value measurements of assets and liabilities measured at fair value on a recurring basis and the level within the fair value hierarchy in which the fair value measurements fall as of September 30, 2021 and December 31, 2020:


	Recurring Basis Fair Value Measurements
	September 30, 2021
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
Financial assets:
Investment securities available-for-sale:
U.S. government sponsored agencies	$	12,252	$	—	$	12,252	$	—
State, county and municipal securities	54,216		—		54,216		—
Corporate debt securities	33,998		—		32,618		1,380
SBA pool securities	47,917		—		47,917		—
Mortgage-backed securities	536,121		—		536,121		—
Loans held for sale	1,435,805		—		1,435,805		—
Mortgage banking derivative instruments	25,063		—		25,063		—
Total recurring assets at fair value	$	2,145,372	$	—	$	2,143,992	$	1,380


	Recurring Basis Fair Value Measurements
	December 31, 2020
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
Financial assets:
Investment securities available-for-sale:
U.S. government sponsored agencies	$	17,504	$	—	$	17,504	$	—
State, county and municipal securities	66,778		—		66,778		—
Corporate debt securities	51,896		—		50,726		1,170
SBA pool securities	62,497		—		62,497		—
Mortgage-backed securities	784,204		—		784,204		—
Loans held for sale	1,001,807		—		1,001,807		—
Mortgage banking derivative instruments	51,756		—		51,756		—
Total recurring assets at fair value	$	2,036,442	$	—	$	2,035,272	$	1,170
Financial liabilities:
Mortgage banking derivative instruments	$	16,415	$	—	$	16,415	$	—
Total recurring liabilities at fair value	$	16,415	$	—	$	16,415	$	—

Summary of Fair Value Measurements of Assets Measured at Fair Value on Non-Recurring Basis

The following table presents the fair value measurements of assets measured at fair value on a non-recurring basis, as well as the general classification of such instruments pursuant to the valuation hierarchy as of September 30, 2021 and December 31, 2020:


	Nonrecurring Basis Fair Value Measurements
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
September 30, 2021
Collateral-dependent loans	$	58,580	$	—	$	—	$	58,580
Other real estate owned	81		—		—		81
Mortgage servicing rights	188,506		—		—		188,506

Total nonrecurring assets at fair value	$	247,167	$	—	$	—	$	247,167

December 31, 2020
Collateral-dependent loans	$	98,426	$	—	$	—	$	98,426
Other real estate owned	4,964		—		—		4,964
Mortgage servicing rights	130,630		—		—		130,630
SBA servicing rights	5,839		—		5,839		—
Total nonrecurring assets at fair value	$	239,859	$	—	$	5,839	$	234,020

Summary of Significant Unobservable Inputs Used in Fair Value Measurement of Level 3 Assets and Liabilities

The following table shows significant unobservable inputs used in the fair value measurement of Level 3 assets:


(dollars in thousands)	Fair Value		Valuation Technique	Unobservable Inputs	Range of Discounts	Weighted Average Discount
September 30, 2021
Recurring:
Investment securities available-for-sale	$	1,380	Discounted par values	Discount rate	8.0%	8.0%
Nonrecurring:
Collateral-dependent loans	$	58,580	Third-party appraisals and discounted cash flows	Collateral discounts and discount rates	20% - 90%	44%
Other real estate owned	$	81	Third-party appraisals and sales contracts	Collateral discounts and estimated costs to sell	76%	76%
Mortgage servicing rights	$	188,506	Discounted cash flows	Discount rate	9% - 10%	9%
				Prepayment speed	10% - 38%	12%


(dollars in thousands)	Fair Value		Valuation Technique	Unobservable Inputs	Range of Discounts	Weighted Average Discount
December 31, 2020
Recurring:
Investment securities available-for-sale	$	1,170	Discounted par values	Probability of default	18.8%	18.8%
				Loss given default	40%	40%
Nonrecurring:
Collateral-dependent loans	$	98,426	Third-party appraisals and discounted cash flows	Collateral discounts and discount rates	20% - 90%	44%
Other real estate owned	$	4,964	Third-party appraisals and sales contracts	Collateral discounts and estimated costs to sell	15% - 59%	28%
Mortgage servicing rights	$	130,630	Discounted cash flows	Discount rate	9% - 12%	10%
				Prepayment speed	14% - 37%	19%

Carrying Amount and Estimated Fair Value of Financial Instruments

The carrying amount and estimated fair value of the Company’s financial instruments, not shown elsewhere in these financial statements, were as follows:


			Fair Value Measurements
			September 30, 2021
(dollars in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and due from banks	$	239,028	$	239,028	$	—	$	—	$	239,028
Federal funds sold and interest-bearing accounts	3,513,412		3,513,412		—		—		3,513,412

Investment securities held-to-maturity	64,451		—		63,304		—		63,304

Loans, net	14,594,746		—		—		14,574,784		14,574,784
Accrued interest receivable	59,957		—		2,991		56,966		59,957
Financial liabilities:
Deposits	18,833,489		—		18,836,507		—		18,836,507
Securities sold under agreements to repurchase	4,502		4,502		—		—		4,502
Other borrowings	425,375		—		430,037		—		430,037
Subordinated deferrable interest debentures	125,830		—		117,283		—		117,283
Accrued interest payable	6,356		—		6,356		—		6,356


			Fair Value Measurements
			December 31, 2020
(dollars in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and due from banks	$	203,349	$	203,349	$	—	$	—	$	203,349
Federal funds sold and interest-bearing accounts	1,913,957		1,913,957		—		—		1,913,957
Time deposits in other banks	249		—		249		—		249
Investment securities held-to-maturity	—		—		—		—		—
Loans, net	14,183,077		—		—		14,096,711		14,096,711
Accrued interest receivable	76,254		—		3,567		72,687		76,254
Financial liabilities:
Deposits	16,957,823		—		16,968,606		—		16,968,606
Securities sold under agreements to repurchase	11,641		11,641		—		—		11,641
Other borrowings	425,155		—		431,783		—		431,783
Subordinated deferrable interest debentures	124,345		—		116,280		—		116,280
Accrued interest payable	5,487		—		5,487		—		5,487