Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

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 December 31, 2020, and December 31, 2019:

(dollars in thousands)	Quoted Prices In Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
December 31, 2020
Assets:
Investment Securities Available-for-Sale
Debt Securities Issued by the U.S. Treasury and Government Agencies	$	921	$	173,324	$	—	$	174,245
Debt Securities Issued by States and Political Subdivisions		—		24,840		—		24,840
Debt Securities Issued by U.S. Government-Sponsored Enterprises		—		1,062		—		1,062
Debt Securities Issued by Corporations		—		224,605		—		224,605
Mortgage-Backed Securities:
Residential - Government Agencies		—		1,594,815		—		1,594,815
Residential - U.S. Government-Sponsored Enterprises		—		1,518,283		—		1,518,283
Commercial - Government Agencies		—		253,839		—		253,839
Total Mortgage-Backed Securities		—		3,366,937		—		3,366,937
Total Investment Securities Available-for-Sale		921		3,790,768		—		3,791,689
Loans Held for Sale		—		82,565		—		82,565
Mortgage Servicing Rights		—		—		958		958
Other Assets		53,410		—		—		53,410
Derivatives ¹		—		878		95,289		96,167
Total Assets Measured at Fair Value on a Recurring Basis as of December 31, 2020	$	54,331	$	3,874,211	$	96,247	$	4,024,789
Liabilities:
Derivatives¹	$	—	$	752	$	17,409	$	18,161
Total Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2020	$	—	$	752	$	17,409	$	18,161
December 31, 2019
Assets:
Investment Securities Available-for-Sale
Debt Securities Issued by the U.S. Treasury and Government Agencies	$	1,155	$	219,976	$	—	$	221,131
Debt Securities Issued by States and Political Subdivisions		—		55,097		—		55,097
Debt Securities Issued by U.S. Government-Sponsored Enterprises		—		22,147		—		22,147
Debt Securities Issued by Corporations		—		336,321		—		336,321
Mortgage-Backed Securities:
Residential - Government Agencies		—		1,172,826		—		1,172,826
Residential - U.S. Government-Sponsored Enterprises		—		586,761		—		586,761
Commercial - Government Agencies		—		224,720		—		224,720
Total Mortgage-Backed Securities		—		1,984,307		—		1,984,307
Total Investment Securities Available-for-Sale		1,155		2,617,848		—		2,619,003
Loans Held for Sale		—		39,062		—		39,062
Mortgage Servicing Rights		—		—		1,126		1,126
Other Assets		41,464		—		—		41,464
Derivatives¹		—		308		28,623		28,931
Total Assets Measured at Fair Value on a Recurring Basis as of December 31, 2019	$	42,619	$	2,657,218	$	29,749	$	2,729,586
Liabilities:
Derivatives ¹	$	—	$	327	$	6,050	$	6,377
Total Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2019	$	—	$	327	$	6,050	$	6,377

¹	The fair value of each class of derivatives is shown in Note 17 Derivative Financial Instruments.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis

For the years ended December 31, 2020, and December 31, 2019, 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
Year Ended December 31, 2020
Balance as of January 1, 2020	$	1,126		$	22,573
Realized and Unrealized Net Gains (Losses):
Included in Net Income		(168	)		22,219
Transfers to Loans Held for Sale		—			(18,681	)
Variation Margin Payments		—			51,769
Balance as of December 31, 2020	$	958		$	77,880
Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of December 31, 2020	$	—		$	77,880

Year Ended December 31, 2019
Balance as of January 1, 2019	$	1,290		$	4,416
Realized and Unrealized Net Gains (Losses):
Included in Net Income		(164	)		12,138
Transfers to Loans Held for Sale		—			(11,776	)
Variation Margin Payments		—			17,795
Balance as of December 31, 2019	$	1,126		$	22,573
Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of December 31, 2019	$	—		$	22,573

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.

^{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 December 31, 2020, and December 31, 2019, the significant unobservable inputs used in the fair value measurements were as follows:

		December 31, 2020												December 31, 2019
(dollars in thousands)	Valuation Technique	Description	Range						Weighted Average¹			Fair Value		Weighted Average¹			Fair Value
Mortgage Servicing Rights	Discounted Cash Flow	Constant Prepayment Rate		8.71	%	-	15.89	%		14.42	%	$	19,652		10.76	%	$	26,840
		Discount Rate		5.69	%	-	6.28	%		5.81	%				7.33	%

Net Derivative Assets and Liabilities:
Interest Rate Lock Commitments	Pricing Model	Closing Ratio		84.10	%	-	99.00	%		90.76	%	$	4,947		92.24	%	$	1,280
Interest Rate Swap Agreements	Discounted Cash Flow	Credit Factor		0.00	%	-	0.49	%		0.29	%	$	72,933		0.20	%	$	21,293

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 December 31, 2020.

(dollars in thousands)

Fair Value

Hierarchy

Net Carrying

Amount

Valuation

Allowance

December 31, 2020

Mortgage Servicing Rights - amortization method

Level 3

18,694

(3,892

)

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 December 31, 2020, and December 31, 2019.

(dollars in thousands)	Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Aggregate Unpaid Principal
December 31, 2020
Loans Held for Sale	$	82,565	$	78,577	$	3,988

December 31, 2019
Loans Held for Sale	$	39,062	$	38,293	$	769

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 December 31, 2020, and December 31, 2019. 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 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
(dollars in thousands)	Carrying Amount		Fair Value		Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
December 31, 2020
Financial Instruments – Assets
Investment Securities Held-to-Maturity	$	3,262,727	$	3,348,693	$	7,500	$	3,341,193	$	—
Loans		11,536,011		12,019,151		—		—		12,019,151

Financial Instruments – Liabilities
Time Deposits		1,662,063		1,667,774		—		1,667,774		—
Securities Sold Under Agreements to Repurchase		600,590		649,039		—		649,039		—
Other Debt ¹		50,000		51,546		—		51,546		—

December 31, 2019
Financial Instruments – Assets
Investment Securities Held-to-Maturity	$	3,042,294	$	3,062,882	$	275,663	$	2,787,219	$	—
Loans		10,664,885		10,873,208		—		—		10,873,208

Financial Instruments – Liabilities
Time Deposits		1,802,431		1,800,773		—		1,800,773		—
Securities Sold Under Agreements to Repurchase		604,306		627,780		—		627,780		—
Other Debt ¹		75,000		75,581		—		75,581		—

¹	Excludes finance lease obligations.