XML 45 R36.htm IDEA: XBRL DOCUMENT v3.23.2
Fair Value of Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Balances of Assets and Liabilities Measured at Fair Value on Recurring Basis

The Table below presents the balances of assets and liabilities measured at fair value on a recurring basis as of June 30, 2023, and December 31, 2022.

 

 

 

Quoted Prices
in Active
Markets for
Identical Assets
or Liabilities

 

 

Significant
Other
Observable
Inputs

 

 

Significant
Unobservable
Inputs

 

 

 

 

(dollars in thousands)

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Total

 

June 30, 2023

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Investment Securities Available-for-Sale

 

 

 

 

 

 

 

 

 

 

 

 

Debt Securities Issued by the U.S. Treasury and Government
   Agencies

 

$

142,478

 

 

$

78,603

 

 

$

—

 

 

$

221,081

 

Debt Securities Issued by States and Political Subdivisions

 

 

—

 

 

 

96,540

 

 

 

—

 

 

 

96,540

 

Debt Securities Issued by U.S. Government-Sponsored
   Enterprises

 

 

—

 

 

 

1,637

 

 

 

—

 

 

 

1,637

 

Debt Securities Issued by Corporations

 

 

—

 

 

 

788,754

 

 

 

—

 

 

 

788,754

 

Mortgage-Backed Securities:

 

 

 

 

 

 

 

 

 

 

 

 

Residential - Government Agencies

 

 

—

 

 

 

675,204

 

 

 

—

 

 

 

675,204

 

Residential - U.S. Government-Sponsored Enterprises

 

 

—

 

 

 

744,714

 

 

 

—

 

 

 

744,714

 

Commercial - Government Agencies

 

 

—

 

 

 

138,793

 

 

 

—

 

 

 

138,793

 

Total Mortgage-Backed Securities

 

 

—

 

 

 

1,558,711

 

 

 

—

 

 

 

1,558,711

 

Total Investment Securities Available-for-Sale

 

 

142,478

 

 

 

2,524,245

 

 

 

—

 

 

 

2,666,723

 

Loans Held for Sale

 

 

—

 

 

 

3,359

 

 

 

—

 

 

 

3,359

 

Mortgage Servicing Rights

 

 

—

 

 

 

—

 

 

 

695

 

 

 

695

 

Other Assets

 

 

53,202

 

 

 

—

 

 

 

—

 

 

 

53,202

 

Derivatives 1

 

 

—

 

 

 

34

 

 

 

162,719

 

 

 

162,753

 

Total Assets Measured at Fair Value on a Recurring Basis as of
   June 30, 2023

 

$

195,680

 

 

$

2,527,638

 

 

$

163,414

 

 

$

2,886,732

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives 1

 

$

—

 

 

$

—

 

 

$

162,517

 

 

$

162,517

 

Total Liabilities Measured at Fair Value on a Recurring Basis as of
  June 30, 2023

 

$

—

 

 

$

—

 

 

$

162,517

 

 

$

162,517

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Investment Securities Available-for-Sale

 

 

 

 

 

 

 

 

 

 

 

 

Debt Securities Issued by the U.S. Treasury
   and Government Agencies

 

$

141,944

 

 

$

91,962

 

 

$

—

 

 

$

233,906

 

Debt Securities Issued by States and Political Subdivisions

 

 

—

 

 

 

95,265

 

 

 

—

 

 

 

95,265

 

Debt Securities Issued by
   U.S. Government-Sponsored Enterprises

 

 

—

 

 

 

48,628

 

 

 

—

 

 

 

48,628

 

Debt Securities Issued by Corporations

 

 

—

 

 

 

794,658

 

 

 

—

 

 

 

794,658

 

Mortgage-Backed Securities:

 

 

 

 

 

 

 

 

 

 

 

 

Residential - Government Agencies

 

 

—

 

 

 

732,828

 

 

 

—

 

 

 

732,828

 

Residential - U.S. Government-Sponsored Enterprises

 

 

—

 

 

 

793,871

 

 

 

—

 

 

 

793,871

 

Commercial - Government Agencies or Sponsored Agencies

 

 

—

 

 

 

145,667

 

 

 

—

 

 

 

145,667

 

Total Mortgage-Backed Securities

 

 

—

 

 

 

1,672,366

 

 

 

—

 

 

 

1,672,366

 

Total Investment Securities Available-for-Sale

 

 

141,944

 

 

 

2,702,879

 

 

 

—

 

 

 

2,844,823

 

Loans Held for Sale

 

 

—

 

 

 

1,035

 

 

 

—

 

 

 

1,035

 

Mortgage Servicing Rights

 

 

—

 

 

 

—

 

 

 

717

 

 

 

717

 

Other Assets

 

 

47,755

 

 

 

—

 

 

 

—

 

 

 

47,755

 

Derivatives 1

 

 

—

 

 

 

1,822

 

 

 

45,895

 

 

 

47,717

 

Total Assets Measured at Fair Value on a
   Recurring Basis as of December 31, 2022

 

$

189,699

 

 

$

2,705,736

 

 

$

46,612

 

 

$

2,942,047

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives 1

 

$

—

 

 

$

70

 

 

$

167,967

 

 

$

168,037

 

Total Liabilities Measured at Fair Value on a
   Recurring Basis as of December 31, 2022

 

$

—

 

 

$

70

 

 

$

167,967

 

 

$

168,037

 

 

1 The fair value of each class of derivatives is shown in Note 11 Derivative Financial Instruments.
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis

For the three and six months ended June 30, 2023, and June 30, 2022, the changes in Level 3 assets and liabilities measured at fair value on a recurring basis were as follows:

 

(dollars in thousands)

 

Mortgage
Servicing
Rights 1

 

 

Net Derivative
Assets and
Liabilities 2

 

Three Months Ended June 30, 2023

 

 

 

 

 

 

Balance as of April 1, 2023

 

$

707

 

 

$

(52,838

)

Realized and Unrealized Net Gains (Losses):

 

 

 

 

 

 

Included in Net Income

 

 

(12

)

 

 

272

 

Transfers to Loans Held for Sale

 

 

—

 

 

 

(223

)

Variation Margin Payments

 

 

—

 

 

 

52,991

 

Balance as of June 30, 2023

 

$

695

 

 

$

202

 

Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of June 30, 2023

 

$

—

 

 

$

272

 

 

 

 

 

 

 

Three Months Ended June 30, 2022

 

 

 

 

 

 

Balance as of April 1, 2022

 

$

781

 

 

$

(50,429

)

Realized and Unrealized Net Gains (Losses):

 

 

 

 

 

 

Included in Net Income3

 

 

(34

)

 

 

90

 

Transfers to Loans Held for Sale

 

 

—

 

 

 

58

 

Variation Margin Payments

 

 

—

 

 

 

(32,667

)

Balance as of June 30, 2022

 

$

747

 

 

$

(82,948

)

Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of June 30, 2022

 

$

—

 

 

$

89

 

 

 

 

 

 

 

Six Months Ended June 30, 2023

 

 

 

 

 

 

Balance as of January 1, 2023

 

$

717

 

 

 

(122,071

)

Realized and Unrealized Net Gains (Losses):

 

 

 

 

 

 

Included in Net Income

 

 

(22

)

 

 

460

 

Transfers to Loans Held for Sale

 

 

—

 

 

 

(311

)

Variation Margin Payments

 

 

—

 

 

 

122,124

 

Balance as of June 30, 2023

 

$

695

 

 

 

202

 

Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of June 30, 2023

 

$

—

 

 

$

460

 

 

 

 

 

 

 

Six Months Ended June 30, 2022

 

 

 

 

 

 

Balance as of January 1, 2023

 

$

800

 

 

$

23,904

 

Realized and Unrealized Net Gains (Losses):

 

 

 

 

 

 

Included in Net Income

 

 

(53

)

 

 

(996

)

Transfers to Loans Held for Sale

 

 

—

 

 

 

172

 

Variation Margin Payments

 

 

—

 

 

 

(106,028

)

Balance as of June 30, 2022

 

$

747

 

 

$

(82,948

)

Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of June 30, 2022

 

$

—

 

 

$

(996

)

 

1 Realized and unrealized gains and losses related to mortgage servicing rights are reported as a component of mortgage banking income in the Company’s consolidated statements of income.

2 Realized and unrealized gains and losses related to interest rate lock commitments are reported as a component of mortgage banking income in the Company’s consolidated statements of income. Realized and unrealized gains and losses related to interest rate swap agreements are reported as a component of other noninterest income in the Company’s consolidated statements of income.
Summary of the Significant Unobservable Inputs

For Level 3 assets and liabilities measured at fair value on a recurring or nonrecurring basis as of June 30, 2023, and December 31, 2022, the significant unobservable inputs used in the fair value measurements were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Valuation
 Technique

 

Description

 

Range

 

 

Weighted
Average1

 

 

Fair
Value

 

June 30, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Servicing Rights

 

Discounted Cash Flow

 

Constant Prepayment Rate

 

 

3.05

%

-

 

11.06

%

 

 

3.93

%

 

$

27,022

 

 

 

 

Discount Rate

 

 

9.22

%

-

 

10.92

%

 

 

9.71

%

 

$

—

 

Net Derivative Assets and Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Lock Commitments

 

Pricing Model

 

Closing Ratio

 

 

84.10

%

-

 

99.00

%

 

 

92.30

%

 

$

225

 

Interest Rate Swap Agreements

 

Discounted Cash Flow

 

Credit Factor

 

 

0.00

%

-

 

4.03

%

 

 

0.01

%

 

$

(23

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Servicing Rights

 

Discounted Cash Flow

 

Constant Prepayment Rate

 

 

2.81

%

-

 

10.63

%

 

 

4.02

%

 

$

28,040

 

 

 

 

Discount Rate

 

 

8.70

%

-

 

10.40

%

 

 

9.93

%

 

$

—

 

Net Derivative Assets and Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Lock Commitments

 

Pricing Model

 

Closing Ratio

 

 

84.10

%

-

 

99.00

%

 

 

92.86

%

 

$

58

 

Interest Rate Swap Agreements

 

Discounted Cash Flow

 

Credit Factor

 

 

0.00

%

-

 

0.49

%

 

 

0.01

%

 

$

(122,129

)

 

1 Unobservable inputs for mortgage servicing rights and interest rate lock commitments were weighted by loan amount. Unobservable inputs for interest rate swap agreements were weighted by fair value.
Schedule of Assets Measured at Fair Value on Nonrecurring Basis

The Company may be required periodically to measure certain assets and liabilities at fair value on a nonrecurring basis in accordance with GAAP. These adjustments to fair value usually result from the application of lower-of-cost-or-fair value accounting or impairment write-downs of individual assets. The following table represents the assets measured at fair value on a nonrecurring basis as of June 30, 2023, and December 31, 2022.

 

(dollars in thousands)

 

Fair Value
Hierarchy

 

Net Carrying
Amount

 

 

Valuation
Allowance

 

June 30, 2023

 

 

 

 

 

 

 

 

Mortgage Servicing Rights - amortization method

 

Level 3

 

$

20,931

 

 

$

—

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

Mortgage Servicing Rights - amortization method

 

Level 3

 

$

21,902

 

 

$

—

 
Schedule of Difference between Aggregate Fair Value and Aggregate Unpaid Principal Balance

The following table reflects the difference between the aggregate fair value and the aggregate unpaid principal balance of the Company’s residential mortgage loans held for sale as of June 30, 2023, and December 31, 2022.

 

(dollars in thousands)

 

Aggregate
Fair Value

 

 

Aggregate
Unpaid
Principal

 

 

Aggregate
Fair Value
Less Aggregate
Unpaid Principal

 

June 30, 2023

 

 

 

 

 

 

 

 

 

Loans Held for Sale

 

$

3,359

 

 

$

3,348

 

 

$

11

 

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

Loans Held for Sale

 

$

1,035

 

 

$

1,016

 

 

$

19

 
Schedule of Carrying Amount, Fair Value, and Fair Value Hierarchy of Financial Instruments

The following presents the carrying amount, fair value, and placement in the fair value hierarchy of the Company’s financial instruments not recorded at fair value on a recurring basis as of June 30, 2023, and December 31, 2022. This table excludes financial instruments for which the carrying amount approximates fair value. For short-term financial assets such as cash and cash equivalents, the carrying amount is a reasonable estimate of fair value due to the relatively short time between the origination of the instrument and its expected realization. For non-marketable equity securities such as Federal Home Loan Bank of Des Moines and Federal Reserve Bank stock, the carrying amount is a reasonable estimate of fair value as these securities can only be redeemed or sold at their par value and only to the respective issuing government supported institution or to another member institution. For financial liabilities such as noninterest-bearing demand, interest-bearing demand, and savings deposits, the carrying amount is a reasonable estimate of fair value due to these products having no stated maturity.

 

 

 

 

 

 

 

 

 

Fair Value Measurements

 

 

 

Carrying

 

 

 

 

 

Quoted Prices
 in Active
 Markets for
Identical Assets
or Liabilities

 

 

Significant
Other
Observable
Inputs

 

 

Significant
Unobservable
Inputs

 

(dollars in thousands)

 

Amount

 

 

Fair Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

June 30, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Instruments - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Securities Held-to-Maturity

 

$

5,202,698

 

 

$

4,411,003

 

 

$

114,012

 

 

$

4,296,991

 

 

$

—

 

Loans

 

 

13,652,102

 

 

 

12,640,810

 

 

 

—

 

 

 

—

 

 

 

12,640,810

 

Financial Instruments - Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Time Deposits

 

 

2,664,679

 

 

 

2,628,658

 

 

 

—

 

 

 

2,628,658

 

 

 

—

 

Securities Sold Under Agreements to Repurchase

 

 

725,490

 

 

 

716,935

 

 

 

—

 

 

 

716,935

 

 

 

—

 

Other Debt 1

 

 

1,750,000

 

 

 

1,731,736

 

 

 

—

 

 

 

1,731,736

 

 

 

—

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Instruments – Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Securities Held-to-Maturity

 

$

5,414,139

 

 

$

4,615,393

 

 

$

113,417

 

 

$

4,501,976

 

 

$

—

 

Loans

 

 

13,371,226

 

 

 

12,386,615

 

 

 

—

 

 

 

—

 

 

 

12,386,615

 

Financial Instruments – Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Time Deposits

 

 

1,705,737

 

 

 

1,679,777

 

 

 

—

 

 

 

1,679,777

 

 

 

—

 

Securities Sold Under Agreements to Repurchase

 

 

725,490

 

 

 

718,614

 

 

 

—

 

 

 

718,614

 

 

 

—

 

Other Debt 1

 

 

400,000

 

 

 

402,877

 

 

 

—

 

 

 

402,877

 

 

 

—

 

 

1 Excludes finance lease obligations.