Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Measurements, Recurring and Nonrecurring

Assets and liabilities measured at fair value, including financial assets for which we have elected the fair value option, were as follows:


			Fair Value Measurements Using
	Fair Value Measure- ments		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Un- observable Inputs (Level 3)
	(In thousands)
March 31, 2023:
Measured at Fair Value on a Recurring Basis
Assets
Securities available for sale
U.S. agency	$	11,528	$	—	$	11,528	$	—
U.S. agency residential mortgage-backed	89,504		—		89,504		—
U.S. agency commercial mortgage-backed	13,538		—		13,538		—
Private label mortgage-backed	92,714		—		92,714		—
Other asset backed	176,044		—		176,044		—
Obligations of states and political subdivisions	304,586		—		304,586		—
Corporate	78,681		—		78,681		—
Trust preferred	931		—		931		—
Loans held for sale, carried at fair value	16,935		—		16,935		—
Capitalized mortgage loan servicing rights	41,923		—		—		41,923
Derivatives (1)	34,184		—		34,184		—
Liabilities
Derivatives (2)	16,523		—		16,523		—

Measured at Fair Value on a Non-recurring Basis:
Assets
Collateral dependent loans (3)
Commercial
Commercial and industrial	88		—		—		88
Commercial real estate	53		—		—		53
Mortgage
1-4 family owner occupied - non-jumbo	555		—		—		555
1-4 family non-owner occupied	17		—		—		17
1-4 family - 2nd lien	110		—		—		110
Resort lending	—		—		—		—
Installment
Boat lending	140		—		—		140
Recreational vehicle lending	72		—		—		72
Other	63		—		—		63

_________________________________

(1)Included in accrued income and other assets

(2)Included in accrued expenses and other liabilities

(3)Only includes individually evaluated loans with specific loss allocations based on collateral value.


			Fair Value Measurements Using
	Fair Value Measure- ments		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Un- observable Inputs (Level 3)
	(In thousands)
December 31, 2022:
Measured at Fair Value on a Recurring Basis
Assets
Securities available for sale
U.S. agency	$	12,101	$	—	$	12,101	$	—
U.S. agency residential mortgage-backed	90,458		—		90,458		—
U.S. agency commercial mortgage-backed	13,453		—		13,453		—
Private label mortgage-backed	93,845		—		93,845		—
Other asset backed	194,725		—		194,725		—
Obligations of states and political subdivisions	295,677		—		295,677		—
Corporate	78,157		—		78,157		—
Trust preferred	931		—		931		—
Loans held for sale, carried at fair value	26,518		—		26,518		—
Capitalized mortgage loan servicing rights	42,489		—		—		42,489
Derivatives (1)	39,747		—		39,747		—
Liabilities
Derivatives (2)	19,127		—		19,127		—

Measured at Fair Value on a Non-recurring Basis:
Assets
Loans held for sale, carried at the lower of cost or fair value	20,367		20,367		—		—
Collateral dependent loans (3)
Commercial
Commercial and industrial	138		—		—		138
Commercial real estate	1,068		—		—		1,068
Mortgage
1-4 family owner occupied - non-jumbo	415		—		—		415
1-4 family non-owner occupied	52		—		—		52
1-4 family - 2nd lien	165		—		—		165
Resort lending	25		—		—		25
Installment
Boat lending	196		—		—		196
Recreational vehicle lending	19		—		—		19
Other	87		—		—		87

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(1)Included in accrued income and other assets

(2)Included in accrued expenses and other liabilities

(3)Only includes impaired loans with specific loss allocations based on collateral value.

Fair Value Option, Disclosures

Changes in fair values for financial assets which we have elected the fair value option for the periods presented were as follows:


	Changes in Fair Values for the Three Month Periods Ended March 31 for items Measured at Fair Value Pursuant to Election of the Fair Value Option
	Net Gains on Assets		Mortgage Loan Servicing, net		Total Change in Fair Values Included in Current Period Earnings
	Mortgage Loans
	(In thousands)
2023
Loans held for sale	$	1,597	$	—	$	1,597
Capitalized mortgage loan servicing rights	—		(1,496)		(1,496)

2022
Loans held for sale	(1,816)		—		(1,816)
Capitalized mortgage loan servicing rights	—		7,558		7,558

Reconciliation for all Assets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

A reconciliation for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) follows:


		Capitalized Mortgage Loan Servicing Rights
	Three Months Ended March 31,
		2023		2022
	(In thousands)
Beginning balance		$	42,489	$	26,232
Total gains (losses) realized and unrealized:
Included in results of operations		(1,496)		7,558
Included in other comprehensive loss		—		—
Purchases, issuances, settlements, maturities and calls		930		2,143
Transfers in and/or out of Level 3		—		—
Ending balance		$	41,923	$	35,933

Amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at March 31		$	(1,496)	$	7,558

Fair Value Measurement Inputs and Valuation Techniques (Level 3)

Quantitative information about our Level 3 fair value measurements measured on a recurring basis follows:


	Asset Fair Value		Valuation Technique	Unobservable Inputs	Range		Weighted Average
	(In thousands)
March 31, 2023
Capitalized mortgage loan servicing rights	$	41,923	Present value of net servicing revenue	Discount rate	10.00% to 13.20%		10.13		%
				Cost to service	$66 to $317		$	77
				Ancillary income	20 to 35		21
				Float rate	3.63	%	3.63		%
				Prepayment rate	6.58% to 32.87%		8.18		%
December 31, 2022
Capitalized mortgage loan servicing rights	$	42,489	Present value of net servicing revenue	Discount rate	10.00% to 13.23%		10.12		%
				Cost to service	$66 to $150		$	78
				Ancillary income	20 to 35		21
				Float rate	4.03	%	4.03		%
				Prepayment rate	7.03% to 30.40%		7.97%

Quantitative information about Level 3 fair value measurements measured on a non-recurring basis follows:

Asset
Fair
Value

Valuation
Technique

Unobservable
Inputs

Range

Weighted
Average

(In thousands)

March 31, 2023

Collateral dependent loans

Commercial

141

Sales comparison approach

Adjustment for differences between comparable sales

0.0% to 0.0%

0.0

Mortgage and Installment(1)

957

Sales comparison approach

Adjustment for differences between comparable sales

(73.3) to 65.2

15.9

December 31, 2022

Collateral dependent loans

Commercial

1,206

Sales comparison approach

Adjustment for differences between comparable sales

(41.7)% to 20.0%

(0.4)

Mortgage and Installment(1)

959

Sales comparison approach

Adjustment for differences between comparable sales

(73.3) to 65.2

(5.3)


(1)			In addition to the valuation techniques and unobservable inputs discussed above, at March 31, 2023 and December 31, 2022 certain collateral dependent installment loans totaling approximately $0.28 million and $0.30 million, respectively, are secured by collateral other than real estate. For the majority of these loans, we apply internal discount rates to industry valuation guides.

Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance for Loans Held for Sale

The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding for loans held for sale for which the fair value option has been elected for the periods presented.


	Aggregate Fair Value		Difference		Contractual Principal
	(In thousands)
Loans held for sale
March 31, 2023	$	16,935	$	(745)	$	17,680
December 31, 2022	26,518		(2,342)		28,860