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FAIR VALUE MEASURES (Tables)

12 Months Ended

Dec. 31, 2021

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


	December 31,
(dollars in thousands)	2021		2020
Mortgage loans held for sale	$	1,247,997	$	998,050
SBA loans held for sale	6,635		3,757
Total loans held for sale	$	1,254,632	$	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 December 31, 2021 and 2020.


	December 31,
(dollars in thousands)	2021		2020
Aggregate fair value of mortgage loans held for sale	$	1,247,997	$	998,050
Aggregate unpaid principal balance of mortgage loans held for sale	1,211,646		947,460
Past due loans of 90 days or more	746		—
Nonaccrual loans	746		—
Unpaid principal balance of nonaccrual loans	718		—

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 December 31, 2021 and 2020.


	December 31,
(dollars in thousands)	2021		2020
Aggregate fair value of SBA loans held for sale	$	6,635	$	3,757
Aggregate unpaid principal balance of SBA loans held for sale	5,825		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 December 31, 2021 and 2020.


	Recurring Basis Fair Value Measurements December 31, 2021
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
Financial assets:
U.S. government sponsored agencies	$	7,172	$	—	$	7,172	$	—
State, county and municipal securities	47,812		—		47,812		—
Corporate debt securities	28,496		—		27,116		1,380
SBA pool securities	45,201		—		45,201		—
Mortgage-backed securities	463,940		—		463,940		—
Loans held for sale	1,254,632		—		1,254,632		—

Mortgage banking derivative instruments	11,940		—		11,940		—
Total recurring assets at fair value	$	1,859,193	$	—	$	1,857,813	$	1,380
Financial liabilities:

Mortgage banking derivative instruments	$	710	$	—	$	710	$	—
Total recurring liabilities at fair value	$	710	$	—	$	710	$	—


	Recurring Basis Fair Value Measurements December 31, 2020
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
Financial assets:
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 December 31, 2021 and 2020.


	Nonrecurring Basis Fair Value Measurements
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
December 31, 2021
Collateral-dependent loans	$	44,181	$	—	$	—	$	44,181

Mortgage servicing rights	206,944		—		—		206,944

Total nonrecurring assets at fair value	$	251,125	$	—	$	—	$	251,125

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
As of December 31, 2021
Recurring:
Debt securities available-for-sale	$	1,380	Discounted par values	Discount rate	8%	8%
Nonrecurring:
Collateral-dependent loans	$	44,181	Third-party appraisals and discounted cash flows	Collateral discounts and discount rates	0% - 50%	39%

Mortgage servicing rights	$	206,944	Discounted cash flows	Discount rate	9% - 10%	9%
				Prepayment speed	10% - 40%	13%

As of December 31, 2020
Recurring:
Debt securities available-for-sale	$	1,170	Discounted par values	Probability of default	18.8%	18.8%
					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 December 31, 2021
(dollars in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and due from banks	$	307,813	$	307,813	$	—	$	—	$	307,813
Federal funds sold and interest-bearing accounts	3,756,844		3,756,844		—		—		3,756,844

Debt securities held-to-maturity	79,850		—		78,206		—		78,206
Loans, net	15,662,495		—		—		15,509,410		15,509,410
Accrued interest receivable	56,917		—		2,373		54,544		56,917
Financial liabilities:
Deposits	19,665,553		—		19,667,612		—		19,667,612
Securities sold under agreements to repurchase	5,845		5,845		—		—		5,845
Other borrowings	739,879		—		760,829		—		760,829
Subordinated deferrable interest debentures	126,328		—		117,764		—		117,764

Accrued interest payable	4,313		—		4,313		—		4,313


			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
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