XML 47 R36.htm IDEA: XBRL DOCUMENT

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2021 and December 31, 2020:

	June 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available for sale debt securities:
U.S. Treasury and government agency securities	$	—	$	404,146	$	—	$	404,146
Municipal obligations		—		319,295		—		319,295
Corporate debt securities		—		14,780		—		14,780
Residential mortgage-backed securities		—		3,471,550		—		3,471,550
Commercial mortgage-backed securities		—		2,938,596		—		2,938,596
Collateralized mortgage obligations		—		152,054		—		152,054
Total available for sale securities		—		7,300,421		—		7,300,421
Mortgage loans held for sale		—		65,970		—		65,970
Derivative assets (1)		—		109,453		—		109,453
Total recurring fair value measurements - assets	$	—	$	7,475,844	$	—	$	7,475,844
Liabilities
Derivative liabilities (1)	$	—	$	39,451	$	4,867	$	44,318
Total recurring fair value measurements - liabilities	$	—	$	39,451	$	4,867	$	44,318

	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 June 30, 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		(881	)
Losses included in earnings		103
Balance at June 30, 2021	$	4,867

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	June 30, 2021		December 31, 2020
Derivative liability	$	4,867	$	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	3-30 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.

	June 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Collateral-dependent loans individually evaluated for credit loss	$	—	$	24,977	$	—	$	24,977
Other real estate owned and foreclosed assets, net		—		—		10,201		10,201
Total nonrecurring fair value measurements	$	—	$	24,977	$	10,201	$	35,178

	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:

	June 30, 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	$	2,705,379	$	—	$	—	$	2,705,379	$	2,705,379
Available for sale securities		—		7,300,421		—		7,300,421		7,300,421
Held to maturity securities		—		1,420,107		—		1,420,107		1,332,712
Loans, net		—		24,977		20,810,007		20,834,984		20,748,862
Loans held for sale		—		90,002		—		90,002		90,002
Derivative financial instruments		—		109,453		—		109,453		109,453
Financial liabilities:
Deposits	$	—		—		29,243,783		29,243,783	$	29,273,107
Federal funds purchased		4,400		—		—		4,400		4,400
Securities sold under agreements to repurchase		412,108		—		—		412,108		412,108
FHLB short-term borrowings		—		1,129,906		—		1,129,906		1,100,000
Long-term debt		—		261,963		—		261,963		248,052
Derivative financial instruments		—		39,451		4,867		44,318		44,318

	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