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FAIR VALUE MEASURES (Tables)

9 Months Ended

Sep. 30, 2022

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


(dollars in thousands)	September 30, 2022		December 31, 2021
Mortgage loans held for sale	$	295,458	$	1,247,997
SBA loans held for sale	2,529		6,635
Total loans held for sale	$	297,987	$	1,254,632

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, 2022 and December 31, 2021:


(dollars in thousands)	September 30, 2022		December 31, 2021
Aggregate fair value of mortgage loans held for sale	$	295,458	$	1,247,997
Aggregate unpaid principal balance of mortgage loans held for sale	303,786		1,211,646
Past-due loans of 90 days or more	464		746
Nonaccrual loans	464		746
Unpaid principal balance of nonaccrual loans	464		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 September 30, 2022 and December 31, 2021:


(dollars in thousands)	September 30, 2022		December 31, 2021
Aggregate fair value of SBA loans held for sale	$	2,529	$	6,635
Aggregate unpaid principal balance of SBA loans held for sale	2,177		5,825
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, 2022 and December 31, 2021:


	Recurring Basis Fair Value Measurements
	September 30, 2022
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
Financial assets:
Investment securities available-for-sale:
U.S. Treasuries	$	503,810	$	503,810	$	—	$	—
U.S. government sponsored agencies	977		—		977		—
State, county and municipal securities	39,268		—		39,268		—
Corporate debt securities	15,296		—		14,096		1,200
SBA pool securities	28,851		—		28,851		—
Mortgage-backed securities	666,947		—		666,947		—
Loans held for sale	297,987		—		297,987		—
Mortgage banking derivative instruments	23,446		—		23,446		—
Total recurring assets at fair value	$	1,576,582	$	503,810	$	1,071,572	$	1,200
Financial liabilities:
Mortgage banking derivative instruments	$	1,681	$	—	$	1,681	$	—
Total recurring liabilities at fair value	$	1,681	$	—	$	1,681	$	—


	Recurring Basis Fair Value Measurements
	December 31, 2021
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
Financial assets:
Investment securities available-for-sale:
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	$	—

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, 2022 and December 31, 2021:


	Nonrecurring Basis Fair Value Measurements
(dollars in thousands)	Fair Value		Level 1		Level 2		Level 3
September 30, 2022
Collateral-dependent loans	$	30,014	$	—	$	—	$	30,014
Other real estate owned	92		—		—		92


Total nonrecurring assets at fair value	$	30,106	$	—	$	—	$	30,106

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

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, 2022
Recurring:
Debt securities available-for-sale	$	1,200	Discounted par values	Probability of Default	12%	12%
				Loss Given Default	43%	43%
Nonrecurring:
Collateral-dependent loans	$	30,014	Third-party appraisals and discounted cash flows	Collateral discounts and discount rates	0% - 50%	31%
Other real estate owned	$	92	Third-party appraisals and sales contracts	Collateral discounts and estimated costs to sell	24%	24%



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%

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, 2022
(dollars in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and due from banks	$	269,193	$	269,193	$	—	$	—	$	269,193
Federal funds sold and interest-bearing accounts	1,061,975		1,061,975		—		—		1,061,975

Debt securities held-to-maturity	130,214		—		107,814		—		107,814

Loans, net	18,591,951		—		—		18,289,190		18,289,190
Accrued interest receivable	61,828		—		6,436		55,392		61,828
Financial liabilities:
Deposits	19,466,919		—		19,463,748		—		19,463,748

Other borrowings	725,664		—		712,395		—		712,395
Subordinated deferrable interest debentures	127,823		—		120,121		—		120,121
Accrued interest payable	5,628		—		5,628		—		5,628


			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