Fair Value of Assets and Liabilities (Tables)
|
9 Months Ended |
Sep. 30, 2024 |
|---|
| 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 September 30, 2024 and December 31, 2023.
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|
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|
Quoted Prices
in Active
Markets for
Identical Assets
or Liabilities |
|
|
Significant
Other
Observable
Inputs |
|
|
Significant
Unobservable
Inputs |
|
|
|
|
(dollars in thousands) |
|
(Level 1) |
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|
(Level 2) |
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|
(Level 3) |
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|
Total |
|
September 30, 2024 |
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Assets: |
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|
|
|
|
|
|
|
|
|
|
|
Investment Securities Available-for-Sale |
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities Issued by the U.S. Treasury and Government
Agencies |
|
$ |
150,910 |
|
|
$ |
78,119 |
|
|
$ |
— |
|
|
$ |
229,029 |
|
Debt Securities Issued by States and Political Subdivisions |
|
|
— |
|
|
|
65,845 |
|
|
|
— |
|
|
|
65,845 |
|
Debt Securities Issued by U.S. Government-Sponsored
Enterprises |
|
|
— |
|
|
|
1,464 |
|
|
|
— |
|
|
|
1,464 |
|
Debt Securities Issued by Corporations |
|
|
— |
|
|
|
673,391 |
|
|
|
— |
|
|
|
673,391 |
|
Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
Residential - Government Agencies |
|
|
— |
|
|
|
648,589 |
|
|
|
— |
|
|
|
648,589 |
|
Residential - U.S. Government-Sponsored Enterprises |
|
|
— |
|
|
|
687,820 |
|
|
|
— |
|
|
|
687,820 |
|
Commercial - Government Agencies |
|
|
— |
|
|
|
244,186 |
|
|
|
— |
|
|
|
244,186 |
|
Total Mortgage-Backed Securities |
|
|
— |
|
|
|
1,580,595 |
|
|
|
— |
|
|
|
1,580,595 |
|
Total Investment Securities Available-for-Sale |
|
|
150,910 |
|
|
|
2,399,414 |
|
|
|
— |
|
|
|
2,550,324 |
|
Loans Held for Sale |
|
|
— |
|
|
|
5,048 |
|
|
|
— |
|
|
|
5,048 |
|
Mortgage Servicing Rights |
|
|
— |
|
|
|
— |
|
|
|
660 |
|
|
|
660 |
|
Other Assets |
|
|
19,982 |
|
|
|
— |
|
|
|
— |
|
|
|
19,982 |
|
Derivatives 1 |
|
|
— |
|
|
|
74,256 |
|
|
|
158 |
|
|
|
74,414 |
|
Total Assets Measured at Fair Value on a
Recurring Basis as of September 30, 2024 |
|
$ |
170,892 |
|
|
$ |
2,478,718 |
|
|
$ |
818 |
|
|
$ |
2,650,428 |
|
Liabilities: |
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|
|
|
|
|
|
|
|
|
|
|
Derivatives 1 |
|
$ |
— |
|
|
$ |
115,086 |
|
|
$ |
6 |
|
|
$ |
115,092 |
|
Total Liabilities Measured at Fair Value on a
Recurring Basis as of September 30, 2024 |
|
$ |
— |
|
|
$ |
115,086 |
|
|
$ |
6 |
|
|
$ |
115,092 |
|
December 31, 2023 |
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Assets: |
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|
|
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|
|
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|
|
|
|
|
Investment Securities Available-for-Sale |
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities Issued by the U.S. Treasury
and Government Agencies |
|
$ |
146,214 |
|
|
$ |
66,359 |
|
|
$ |
— |
|
|
$ |
212,573 |
|
Debt Securities Issued by States and Political Subdivisions |
|
|
— |
|
|
|
63,806 |
|
|
|
— |
|
|
|
63,806 |
|
Debt Securities Issued by
U.S. Government-Sponsored Enterprises |
|
|
— |
|
|
|
1,476 |
|
|
|
— |
|
|
|
1,476 |
|
Debt Securities Issued by Corporations |
|
|
— |
|
|
|
657,701 |
|
|
|
— |
|
|
|
657,701 |
|
Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
Residential - Government Agencies |
|
|
— |
|
|
|
629,327 |
|
|
|
— |
|
|
|
629,327 |
|
Residential - U.S. Government-Sponsored Enterprises |
|
|
— |
|
|
|
709,127 |
|
|
|
— |
|
|
|
709,127 |
|
Commercial - Government Agencies or Sponsored Agencies |
|
|
— |
|
|
|
134,923 |
|
|
|
— |
|
|
|
134,923 |
|
Total Mortgage-Backed Securities |
|
|
— |
|
|
|
1,473,377 |
|
|
|
— |
|
|
|
1,473,377 |
|
Total Investment Securities Available-for-Sale |
|
|
146,214 |
|
|
|
2,262,719 |
|
|
|
— |
|
|
|
2,408,933 |
|
Loans Held for Sale |
|
|
— |
|
|
|
3,124 |
|
|
|
— |
|
|
|
3,124 |
|
Mortgage Servicing Rights |
|
|
— |
|
|
|
— |
|
|
|
678 |
|
|
|
678 |
|
Other Assets |
|
|
13,448 |
|
|
|
— |
|
|
|
— |
|
|
|
13,448 |
|
Derivatives 1 |
|
|
— |
|
|
|
94,921 |
|
|
|
148 |
|
|
|
95,069 |
|
Total Assets Measured at Fair Value on a
Recurring Basis as of December 31, 2023 |
|
$ |
159,662 |
|
|
$ |
2,360,764 |
|
|
$ |
826 |
|
|
$ |
2,521,252 |
|
Liabilities: |
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|
|
|
|
|
|
|
|
|
|
|
Derivatives 1 |
|
$ |
— |
|
|
$ |
143,857 |
|
|
$ |
— |
|
|
$ |
143,857 |
|
Total Liabilities Measured at Fair Value on a
Recurring Basis as of December 31, 2023 |
|
$ |
— |
|
|
$ |
143,857 |
|
|
$ |
— |
|
|
$ |
143,857 |
|
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 nine months ended September 30, 2024 and 2023, the changes in Level 3 assets and liabilities measured at fair value on a recurring basis were as follows:
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|
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|
(dollars in thousands) |
|
Mortgage
Servicing
Rights 1 |
|
|
Net Derivative
Assets and
Liabilities 2 |
|
Three Months Ended September 30, 2024 |
|
|
|
|
|
|
Balance as of July 1, 2024 |
|
$ |
668 |
|
|
$ |
132 |
|
Net Gains/(Losses) Included in Net Income |
|
|
(8 |
) |
|
|
506 |
|
Transfers to Loans Held for Sale |
|
|
— |
|
|
|
(486 |
) |
Balance as of September 30, 2024 |
|
$ |
660 |
|
|
$ |
152 |
|
Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of September 30, 2024 |
|
$ |
— |
|
|
$ |
506 |
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2023 |
|
|
|
|
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|
Balance as of July 1, 2023 |
|
$ |
695 |
|
|
$ |
202 |
|
Realized and Unrealized Net Gains (Losses): |
|
|
|
|
|
|
Included in Net Income |
|
|
(10 |
) |
|
|
7,878 |
|
Transfers to Loans Held for Sale |
|
|
— |
|
|
|
(187 |
) |
Variation Margin Payments |
|
|
— |
|
|
|
376 |
|
Balance as of September 30, 2023 |
|
$ |
685 |
|
|
$ |
8,269 |
|
Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of September 30, 2023 |
|
$ |
— |
|
|
$ |
7,878 |
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2024 |
|
|
|
|
|
|
Balance as of January 1, 2024 |
|
$ |
678 |
|
|
$ |
148 |
|
Realized and Unrealized Net Gains (Losses): |
|
|
|
|
|
|
Included in Net Income |
|
|
(18 |
) |
|
|
751 |
|
Transfers to Loans Held for Sale |
|
|
— |
|
|
|
(747 |
) |
Balance as of September 30, 2024 |
|
$ |
660 |
|
|
$ |
152 |
|
Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of September 30, 2024 |
|
$ |
— |
|
|
$ |
751 |
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2023 |
|
|
|
|
|
|
Balance as of January 1, 2023 |
|
$ |
717 |
|
|
$ |
(122,071 |
) |
Realized and Unrealized Net Gains (Losses): |
|
|
|
|
|
|
Included in Net Income |
|
|
(32 |
) |
|
|
8,772 |
|
Transfers to Loans Held for Sale |
|
|
— |
|
|
|
(498 |
) |
Variation Margin Payments |
|
|
— |
|
|
|
122,066 |
|
Balance as of September 30, 2023 |
|
$ |
685 |
|
|
$ |
8,269 |
|
Total Unrealized Net Gains (Losses) Included in Net Income Related to Assets Still Held as of September 30, 2023 |
|
$ |
— |
|
|
$ |
8,772 |
|
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 unaudited consolidated statements of income. 2 Realized and unrealized gains and losses related to IRLCs are reported as a component of mortgage banking income in the Company’s unaudited consolidated statements of income. Realized and unrealized gains and losses related to interest rate swap agreements not designated as hedging instruments are reported as a component of other noninterest income and interest rate swap agreements designated as hedging instruments are reported in interest income in the Company’s unaudited 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 September 30, 2024 and December 31, 2023, the significant unobservable inputs used in the fair value measurements were as follows:
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(dollars in thousands) |
|
Valuation
Technique |
|
Description |
|
Range |
|
Weighted
Average 1 |
|
|
Fair
Value |
|
September 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing Rights |
|
Discounted Cash Flow |
|
Constant Prepayment Rate |
|
|
3.10 |
% |
- |
17.61% |
|
|
4.20 |
% |
|
$ |
25,925 |
|
|
|
|
|
Discount Rate |
|
|
8.64 |
% |
- |
10.44% |
|
|
9.28 |
% |
|
|
|
Net Derivative Assets and Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Lock Commitments |
|
Pricing Model |
|
Closing Ratio |
|
|
75.40 |
% |
- |
99.00% |
|
|
91.47 |
% |
|
$ |
152 |
|
December 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing Rights |
|
Discounted Cash Flow |
|
Constant Prepayment Rate |
|
|
2.98 |
% |
- |
21.18% |
|
|
4.06 |
% |
|
$ |
26,851 |
|
|
|
|
|
Discount Rate |
|
|
7.65 |
% |
- |
10.79% |
|
|
9.48 |
% |
|
|
|
Net Derivative Assets and Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Lock Commitments |
|
Pricing Model |
|
Closing Ratio |
|
|
83.50 |
% |
- |
99.00% |
|
|
85.53 |
% |
|
$ |
148 |
|
1 Unobservable inputs for mortgage servicing rights and interest rate lock commitments were weighted by loan amount.
|
| 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 September 30, 2024 and December 31, 2023.
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|
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|
(dollars in thousands) |
|
Fair Value
Hierarchy |
|
Net Carrying
Amount |
|
|
Valuation
Allowance |
|
September 30, 2024 |
|
|
|
|
|
|
|
|
Mortgage Servicing Rights - amortization method |
|
Level 3 |
|
$ |
18,911 |
|
|
$ |
— |
|
December 31, 2023 |
|
|
|
|
|
|
|
|
Mortgage Servicing Rights - amortization method |
|
Level 3 |
|
$ |
20,201 |
|
|
$ |
— |
|
|
| 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 September 30, 2024 and December 31, 2023.
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|
(dollars in thousands) |
|
Aggregate
Fair Value |
|
|
Aggregate
Unpaid
Principal |
|
|
Aggregate
Fair Value
Less Aggregate
Unpaid Principal |
|
September 30, 2024 |
|
|
|
|
|
|
|
|
|
Loans Held for Sale |
|
$ |
5,048 |
|
|
$ |
4,980 |
|
|
$ |
68 |
|
December 31, 2023 |
|
|
|
|
|
|
|
|
|
Loans Held for Sale |
|
$ |
3,124 |
|
|
$ |
3,051 |
|
|
$ |
73 |
|
|
| 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 September 30, 2024 and December 31, 2023. 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.
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|
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) |
|
September 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Instruments - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities Held-to-Maturity |
|
$ |
4,710,245 |
|
|
$ |
4,072,596 |
|
|
$ |
119,850 |
|
|
$ |
3,952,746 |
|
|
$ |
— |
|
Loans |
|
|
13,647,538 |
|
|
|
13,049,917 |
|
|
|
— |
|
|
|
— |
|
|
|
13,049,917 |
|
Financial Instruments - Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Time Deposits |
|
|
3,168,526 |
|
|
|
3,164,895 |
|
|
|
— |
|
|
|
3,164,895 |
|
|
|
— |
|
Securities Sold Under Agreements to Repurchase |
|
|
100,490 |
|
|
|
103,969 |
|
|
|
— |
|
|
|
103,969 |
|
|
|
— |
|
Other Debt 1 |
|
|
550,000 |
|
|
|
559,580 |
|
|
|
— |
|
|
|
559,580 |
|
|
|
— |
|
December 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Instruments – Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities Held-to-Maturity |
|
$ |
4,997,335 |
|
|
$ |
4,253,637 |
|
|
$ |
116,531 |
|
|
$ |
4,137,106 |
|
|
$ |
— |
|
Loans |
|
|
13,698,701 |
|
|
|
12,872,260 |
|
|
|
— |
|
|
|
— |
|
|
|
12,872,260 |
|
Financial Instruments – Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Time Deposits |
|
|
3,057,302 |
|
|
|
3,043,258 |
|
|
|
— |
|
|
|
3,043,258 |
|
|
|
— |
|
Securities Sold Under Agreements to Repurchase |
|
|
150,490 |
|
|
|
155,461 |
|
|
|
— |
|
|
|
155,461 |
|
|
|
— |
|
Other Debt 1 |
|
|
550,000 |
|
|
|
541,466 |
|
|
|
— |
|
|
|
541,466 |
|
|
|
— |
|
1 Excludes finance lease obligations.
|