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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s financial assets and liabilities that are measured at fair value on a recurring basis in the consolidated balance sheets at March 31, 2021 and December 31, 2020:

	March 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available for sale debt securities:
U.S. Treasury and government agency securities	$	—	$	217,492	$	—	$	217,492
Municipal obligations		—		316,662		—		316,662
Corporate debt securities		—		11,576		—		11,576
Residential mortgage-backed securities		—		2,970,810		—		2,970,810
Commercial mortgage-backed securities		—		2,802,195		—		2,802,195
Collateralized mortgage obligations		—		311,913		—		311,913
Total available for sale securities		—		6,630,648		—		6,630,648
Derivative assets (1)		—		99,726		—		99,726
Total recurring fair value measurements - assets	$	—	$	6,730,374	$	—	$	6,730,374
Liabilities
Derivative liabilities (1)	$	—	$	37,252	$	5,257	$	42,509
Total recurring fair value measurements - liabilities	$	—	$	37,252	$	5,257	$	42,509

	December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available for sale debt securities:
U.S. Treasury and government agency securities	$	—	$	213,370	$	—	$	213,370
Municipal obligations		—		326,725		—		326,725
Corporate debt securities		—		11,764		—		11,764
Residential mortgage-backed securities		—		2,629,811		—		2,629,811
Commercial mortgage-backed securities		—		2,455,534		—		2,455,534
Collateralized mortgage obligations		—		362,123		—		362,123
Total available for sale securities		—		5,999,327		—		5,999,327
Derivative assets (1)		—		150,180		—		150,180
Total recurring fair value measurements - assets	$	—	$	6,149,507	$	—	$	6,149,507
Liabilities
Derivative liabilities (1)	$	—	$	49,612	$	5,645	$	55,257
Total recurring fair value measurements - liabilities	$	—	$	49,612	$	5,645	$	55,257

(1)	For further disaggregation of derivative assets and liabilities, see Note 5 - Derivatives.

Consolidated Balance Sheets for Financial Instruments of Material Nature Measured at Fair Value on Recurring Basis

The table below presents a rollforward of the amounts on the consolidated balance sheets for the three months ended March 31, 2021 and the year ended December 31, 2020 for financial instruments of a material nature that are classified within Level 3 of the fair value hierarchy and are measured at fair value on a recurring basis:

(in thousands)
Balance at December 31, 2019	$	5,704
Cash settlement		(1,656	)
Losses included in earnings		1,597
Balance at December 31, 2020		5,645
Cash settlement		(436	)
Losses included in earnings		48
Balance at March 31, 2021	$	5,257

Overview of the Valuation Techniques and Significant Unobservable Inputs

The table below provides an overview of the valuation techniques and significant unobservable inputs used in those techniques to measure the financial instrument measured on a recurring basis and classified within Level 3 of the valuation. The range of sensitivities that management utilized in its fair value calculations is deemed acceptable in the industry with respect to the identified financial instrument.

($ in thousands)
	Fair Value
Level 3 Class	March 31, 2021		December 31, 2020
Derivative liability	$	5,257	$	5,645
Valuation technique	Discounted cash flow		Discounted cash flow
Unobservable inputs:
Visa Class A appreciation - range	6%-12%		6%-12%
Visa Class A appreciation - weighted average	9%		9%
Conversion rate - range	1.62x-1.60x		1.62x-1.60x
Conversion rate -weighted average	1.6114x		1.6114x
Time until resolution	3-33 months		3-36 months

Financial Assets Measured at Fair Value on Nonrecurring Basis

The following tables present the Company’s financial assets that are measured at fair value on a nonrecurring basis for each of the fair value hierarchy levels.

	March 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Collateral-dependent loans individually evaluated for credit loss	$	—	$	33,859	$	—	$	33,859
Other real estate owned and foreclosed assets, net		—		—		9,467		9,467
Total nonrecurring fair value measurements	$	—	$	33,859	$	9,467	$	43,326

	December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Collateral-dependent loans individually evaluated for credit loss	$	—	$	60,451	$	—	$	60,451
Other real estate owned and foreclosed assets, net		—		—		11,648		11,648
Total nonrecurring fair value measurements	$	—	$	60,451	$	11,648	$	72,099

Estimated Fair Values of Financial Instruments

The following tables present the estimated fair values of the Company’s financial instruments by fair value hierarchy levels and the corresponding carrying amounts:

	March 31, 2021
							Total Fair		Carrying
(in thousands)	Level 1		Level 2		Level 3		Value		Amount
Financial assets:
Cash, interest-bearing bank deposits, and federal funds sold	$	2,847,784	$	—	$	—	$	2,847,784	$	2,847,784
Available for sale securities		—		6,630,648		—		6,630,648		6,630,648
Held to maturity securities		—		1,455,224		—		1,455,224		1,375,342
Loans, net		—		33,859		21,249,135		21,282,994		21,240,499
Loans held for sale		—		124,677		—		124,677		124,677
Derivative financial instruments		—		99,726		—		99,726		99,726
Financial liabilities:
Deposits	$	—		—		29,185,386		29,185,386	$	29,210,520
Federal funds purchased		4,300		—		—		4,300		4,300
Securities sold under agreements to repurchase		548,447		—		—		548,447		548,447
FHLB short-term borrowings		—		1,106,829		—		1,106,829		1,100,000
Long-term debt		—		394,806		—		394,806		397,583
Derivative financial instruments		—		37,252		5,257		42,509		42,509

	December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Total Fair Value		Carrying Amount
Financial assets:
Cash, interest-bearing bank deposits, and federal funds sold	$	1,860,092	$	—	$	—	$	1,860,092	$	1,860,092
Available for sale securities		—		5,999,327		—		5,999,327		5,999,327
Held to maturity securities		—		1,467,581		—		1,467,581		1,357,170
Loans, net		—		60,451		21,472,933		21,533,384		21,339,754
Loans held for sale		—		136,063		—		136,063		136,063
Derivative financial instruments		—		150,180		—		150,180		150,180
Financial liabilities:
Deposits	$	—	$	—	$	27,679,321	$	27,679,321	$	27,697,877
Federal funds purchased		300		—		—		300		300
Securities sold under agreements to repurchase		567,213		—		—		567,213		567,213
FHLB short-term borrowings		—		1,147,335		—		1,147,335		1,100,000
Long-term debt		—		404,880		—		404,880		378,322
Derivative financial instruments		—		49,612		5,645		55,257		55,257