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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2021 and December 31, 2020:

	September 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available for sale debt securities:
U.S. Treasury and government agency securities	$	—	$	394,722	$	—	$	394,722
Municipal obligations		—		316,027		—		316,027
Corporate debt securities		—		14,761		—		14,761
Residential mortgage-backed securities		—		3,253,393		—		3,253,393
Commercial mortgage-backed securities		—		2,884,433		—		2,884,433
Collateralized mortgage obligations		—		137,585		—		137,585
Total available for sale securities		—		7,000,921		—		7,000,921
Mortgage loans held for sale		—		72,456		—		72,456
Derivative assets (1)		—		98,156		—		98,156
Total recurring fair value measurements - assets	$	—	$	7,171,533	$	—	$	7,171,533
Liabilities
Derivative liabilities (1)	$	—	$	35,236	$	4,472	$	39,708
Total recurring fair value measurements - liabilities	$	—	$	35,236	$	4,472	$	39,708

	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 6 - 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 nine months ended September 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		(1,327	)
Losses included in earnings		154
Balance at September 30, 2021	$	4,472

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	September 30, 2021		December 31, 2020
Derivative liability	$	4,472	$	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	3-27 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.

	September 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Collateral-dependent loans individually evaluated for credit loss	$	—	$	17,381	$	—	$	17,381
Other real estate owned and foreclosed assets, net		—		—		8,423		8,423
Total nonrecurring fair value measurements	$	—	$	17,381	$	8,423	$	25,804

	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:

	September 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	$	3,590,661	$	—	$	—	$	3,590,661	$	3,590,661
Available for sale securities		—		7,000,921		—		7,000,921		7,000,921
Held to maturity securities		—		1,385,967		—		1,385,967		1,307,701
Loans, net		—		17,381		20,526,735		20,544,116		20,514,494
Loans held for sale		—		90,618		—		90,618		90,618
Derivative financial instruments		—		98,156		—		98,156		98,156
Financial liabilities:
Deposits	$	—	$	—	$	29,177,424	$	29,177,424	$	29,208,157
Federal funds purchased		1,825		—		—		1,825		1,825
Securities sold under agreements to repurchase		643,403		—		—		643,403		643,403
FHLB short-term borrowings		—		1,126,938		—		1,126,938		1,100,000
Long-term debt		—		260,964		—		260,964		248,011
Derivative financial instruments		—		35,236		4,472		39,708		39,708

	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