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Fair Value Measurements

9 Months Ended

Sep. 30, 2020

Fair Value MeasurementsThe fair value of an asset or liability is the price that would be received to sell that asset or paid to transfer that liability in an orderly transaction occurring in the principal market (or most advantageous market in the absence of a principal market) for such asset or liability. In estimating fair value, we utilize valuation techniques that are consistent with the market approach, the income approach and/or the cost approach. Such valuation techniques are consistently applied. Inputs to valuation techniques include the assumptions that market participants would use in pricing an asset or liability. ASC Topic 820 establishes a three-level fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical assets or liabilities and the lowest priority to unobservable inputs. See our 2019 Form 10-K for additional information regarding the fair value hierarchy and a description of our valuation techniques.

Financial Assets and Financial Liabilities. The tables below summarize financial assets and financial liabilities measured at fair value on a recurring basis as of September 30, 2020 and December 31, 2019, segregated by the level of the valuation inputs within the fair value hierarchy of ASC Topic 820 utilized to measure fair value.


	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
September 30, 2020
Securities available for sale:
U.S. Treasury	$	1,124,965	$	—	$	—	$	1,124,965
Residential mortgage-backed securities	—		2,164,162		—		2,164,162
States and political subdivisions	—		7,273,005		—		7,273,005
Other	—		42,348		—		42,348
Trading account securities:
U.S. Treasury	24,495		—		—		24,495
States and political subdivisions	—		1,313		—		1,313
Derivative assets:
Interest rate swaps, caps and floors	—		96,659		—		96,659
Commodity swaps and options	—		35,272		—		35,272
Foreign currency forward contracts	—		—		—		—
Derivative liabilities:
Interest rate swaps, caps and floors	—		38,339		—		38,339
Commodity swaps and options	—		34,432		—		34,432
Foreign currency forward contracts	—		—		—		—


December 31, 2019
Securities available for sale:
U.S. Treasury	$	1,948,133	$	—	$	—	$	1,948,133
Residential mortgage-backed securities	—		2,207,594		—		2,207,594
States and political subdivisions	—		7,070,997		—		7,070,997
Other	—		42,867		—		42,867
Trading account securities:
U.S. Treasury	24,298		—		—		24,298

Derivative assets:
Interest rate swaps, caps and floors	—		44,196		—		44,196
Commodity swaps and options	—		12,218		—		12,218
Foreign currency forward contracts	45		—		—		45
Derivative liabilities:
Interest rate swaps, caps and floors	—		20,197		—		20,197
Commodity swaps and options	—		11,677		—		11,677
Foreign currency forward contracts	33		—		—		33

Certain financial assets and financial liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances. Financial assets measured at fair value on a non-recurring basis during the reported periods include certain collateral dependent loans reported at the fair value of the underlying collateral if repayment is expected solely from the collateral.

The following table presents collateral dependent loans that were remeasured and reported at fair value through a specific allocation of the allowance for credit losses on loans based upon the fair value of the underlying collateral during the reported periods.


	Nine Months Ended September 30, 2020				Nine Months Ended September 30, 2019
	Level 2		Level 3		Level 2		Level 3
Carrying value before allocations	$	6,388	$	8,660	$	2,416	$	60,010
Specific (allocations) reversals of prior allocations	(930)		14,928		1,116		(12,437)
Fair value	$	5,458	$	23,588	$	3,532	$	47,573

Non-Financial Assets and Non-Financial Liabilities. We do not have any non-financial assets or non-financial liabilities measured at fair value on a recurring basis. Non-financial assets measured at fair value on a non-recurring basis during the reported periods may include certain foreclosed assets which, upon initial recognition, were remeasured and reported at fair value through a charge-off to the allowance for loan losses and certain foreclosed assets which, subsequent to their initial recognition, were remeasured at fair value through a write-down included in other non-interest expense. The following table presents foreclosed assets that were remeasured and reported at fair value during the reported periods:


	Nine Months Ended September 30,
	2020		2019
Foreclosed assets remeasured at initial recognition:
Carrying value of foreclosed assets prior to remeasurement	$	—	$	1,302
Charge-offs recognized in the allowance for credit losses on loan	—		(76)
Fair value	$	—	$	1,226
Foreclosed assets remeasured subsequent to initial recognition:
Carrying value of foreclosed assets prior to remeasurement	$	328	$	—
Write-downs included in other non-interest expense	(231)		—
Fair value	$	97	$	—

Financial Instruments Reported at Amortized Cost. The estimated fair values of financial instruments that are reported at amortized cost in our consolidated balance sheets, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value, were as follows:


	September 30, 2020				December 31, 2019
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Financial assets:
Level 2 inputs:
Cash and cash equivalents	$	7,175,680	$	7,175,680	$	3,788,181	$	3,788,181
Securities held to maturity	1,951,384		2,058,855		2,030,005		2,048,675
Cash surrender value of life insurance policies	189,148		189,148		187,156		187,156
Accrued interest receivable	122,618		122,618		183,850		183,850
Level 3 inputs:
Loans, net	17,960,402		18,160,904		14,618,165		14,654,615
Financial liabilities:
Level 2 inputs:
Deposits	33,499,503		33,503,668		27,639,564		27,641,255
Federal funds purchased and repurchase agreements	1,608,667		1,608,667		1,695,342		1,695,342
Junior subordinated deferrable interest debentures	136,342		137,115		136,299		137,115
Subordinated notes	98,982		112,912		98,865		89,077
Accrued interest payable	9,144		9,144		12,393		12,393

Under ASC Topic 825, entities may choose to measure eligible financial instruments at fair value at specified election dates. The fair value measurement option (i) may be applied instrument by instrument, with certain exceptions, (ii) is generally irrevocable and (iii) is applied only to entire instruments and not to portions of instruments. Unrealized gains and losses on items for which the fair value measurement option has been elected must be reported in earnings at each subsequent reporting date. During the reported periods, we had no financial instruments measured at fair value under the fair value measurement option.

- 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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