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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Fair value of Mortgage Loans Held for Sale

The following table presents a summary of mortgage loans held for sale accounted for under the fair value option:


(Dollars in thousands)	September 30, 2020	December 31, 2019
Aggregate fair value	$68,095	$27,833
Aggregate principal balance	65,263	27,168
Difference between fair value and principal balance	$2,832	$665

Items Recorded at Fair Value on a Recurring Basis

The following tables present the balances of assets and liabilities reported at fair value on a recurring basis:


(Dollars in thousands)	Total	Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
September 30, 2020
Assets:
Available for sale debt securities:
Obligations of U.S. government-sponsored enterprises	$146,540	$—	$146,540	$—
Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises	745,071	—	745,071	—

Individual name issuer trust preferred debt securities	12,363	—	12,363	—

Corporate bonds	9,876	—	9,876	—
Mortgage loans held for sale	68,095	—	68,095	—
Derivative assets	93,518	—	93,518	—



Total assets at fair value on a recurring basis	$1,075,463	$—	$1,075,463	$—
Liabilities:
Derivative liabilities	$92,908	$—	$92,908	$—




Total liabilities at fair value on a recurring basis	$92,908	$—	$92,908	$—


(Dollars in thousands)	Total	Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
December 31, 2019
Assets:
Available for sale debt securities:
Obligations of U.S. government-sponsored enterprises	$157,648	$—	$157,648	$—
Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises	719,080	—	719,080	—

Individual name issuer trust preferred debt securities	12,579	—	12,579	—

Corporate bonds	10,183	—	10,183	—

Mortgage loans held for sale	27,833	—	27,833	—
Derivative assets	28,864	—	28,864	—




Total assets at fair value on a recurring basis	$956,187	$—	$956,187	$—
Liabilities:
Derivative liabilities	$29,381	$—	$29,381	$—





Total liabilities at fair value on a recurring basis	$29,381	$—	$29,381	$—

Items Recorded at Fair Value on a Nonrecurring Basis

The following table presents the carrying value of assets held at September 30, 2020, which were written down to fair value during the nine months ended September 30, 2020:


(Dollars in thousands)	Total	Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)

Assets:
Collateral dependent individually analyzed CRE loan	$285	$—	$—	$285
Loan servicing rights	6,584	—	—	6,584

Total assets at fair value on a nonrecurring basis	$6,869	$—	$—	$6,869

The following table presents the carrying value of assets held at December 31, 2019, which were written down to fair value during the year ended December 31, 2019:


(Dollars in thousands)	Total	Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)

Assets:
Collateral dependent impaired loans	$1,448	$—	$—	$1,448

Property acquired through foreclosure or repossession	1,109	—	—	1,109
Total assets at fair value on a nonrecurring basis	$2,557	$—	$—	$2,557

Quantitative Information About Level 3 Assets Measured at Fair Value on a Nonrecurring Basis

The following tables present valuation techniques and unobservable inputs for assets measured at fair value on a nonrecurring basis for which the Corporation has utilized Level 3 inputs to determine fair value:

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range of Inputs Utilized
(Weighted Average)

September 30, 2020

Collateral dependent individually analyzed CRE loan

$285

Appraisals of collateral

Discount for costs to sell

0% - 25% (14%)

Appraisal adjustments (1)

0% - 100% (43%)

Loan servicing rights

$6,584

Discounted Cash Flow

Discount rates

10% - 14% (10%)

Prepayment rates

18% - 39% (20%)

(1)Management may adjust appraisal values to reflect market value declines or other discounts resulting from its knowledge of the property.

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range of Inputs Utilized
(Weighted Average)

December 31, 2019

Collateral dependent impaired loans

$1,448

Appraisals of collateral

Discount for costs to sell

0% - 20% (5%)

Appraisal adjustments (1)

0% - 100% (67%)

Property acquired through foreclosure or repossession

$1,109

Appraisals of collateral

Discount for costs to sell

12%

Appraisal adjustments (1)

22%

(1)Management may adjust appraisal values to reflect market value declines or other discounts resulting from its knowledge of the property.

Carrying Amounts and Estimated Fair Values of Financial Instruments

The estimated fair values and related carrying amounts for financial instruments for which fair value is only disclosed are presented below as of the periods indicated. The tables exclude financial instruments for which the carrying value approximates fair value such as cash and cash equivalents, FHLB stock, accrued interest receivable, bank-owned life insurance, non-maturity deposits, PPPLF borrowings and accrued interest payable.


(Dollars in thousands)
September 30, 2020	Carrying Amount	Total Fair Value	Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
Financial Assets:

Loans, net of allowance for credit losses on loans	$4,239,402	$4,236,032	$—	$—	$4,236,032

Financial Liabilities:
Time deposits	$1,313,223	$1,320,698	$—	$1,320,698	$—
FHLB advances	713,868	724,614	—	724,614	—
Junior subordinated debentures	22,681	18,578	—	18,578	—


(Dollars in thousands)
December 31, 2019	Carrying Amount	Total Fair Value	Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
Financial Assets:

Loans, net of allowance for loan losses	$3,865,985	$3,869,192	$—	$—	$3,869,192

Financial Liabilities:
Time deposits	$1,069,323	$1,082,830	$—	$1,082,830	$—
FHLB advances	1,141,464	1,145,242	—	1,145,242	—
Junior subordinated debentures	22,681	19,628	—	19,628	—