Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

Fair Value Disclosures [Abstract]

Change in Fair Value Mortgage Loans Held For Sale, Interest Rate Lock Commitments and Commitments to Sell Disclosures

The following table presents the changes in fair value related to mortgage loans held for sale, interest rate lock commitments and commitments to sell residential real estate mortgage loans for the periods indicated. Changes in fair values are reported as a component of net gains on loan sales and commissions on loans originated for others in the Consolidated Statements of Income.

(Dollars in thousands)
	Three Months						Six months
Periods ended June 30,	2014			2013			2014			2013
Mortgage loans held for sale		$387			($898	)		$463			($1,959	)
Interest rate lock commitments	326			(855		)	603			(1,773		)
Commitments to sell	(753		)	1,753			(1,066		)	3,724
Total changes in fair value		($40	)		$—			$—			($8	)

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Items Recorded at Fair Value on a Recurring Basis

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

(Dollars in thousands)							Assets/Liabilities at Fair Value
	Fair Value Measurements Using
June 30, 2014	Level 1		Level 2		Level 3
Assets:
Securities available for sale:
Obligations of U.S. government-sponsored enterprises		$—		$10,012		$—		$10,012
Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises	—		228,285		—		228,285
Obligations of states and political subdivisions	—		56,391		—		56,391
Individual name issuer trust preferred debt securities	—		26,635		—		26,635
Corporate bonds	—		6,255		—		6,255
Mortgage loans held for sale	—		22,407		—		22,407
Derivative assets (1):
Interest rate swap contracts with customers	—		3,159		—		3,159
Forward loan commitments	—		1,014		—		1,014
Total assets at fair value on a recurring basis		$—		$354,158		$—		$354,158
Liabilities:
Derivative liabilities (1):
Mirror swap contracts with counterparties		$—		$3,226		$—		$3,226
Interest rate risk management swap contracts	—		773		—		773
Forward loan commitments	—		1,658		—		1,658
Total liabilities at fair value on a recurring basis		$—		$5,657		$—		$5,657

(1) Derivative assets are included in other assets and derivative liabilities are reported in other liabilities in the Consolidated Balance Sheets.

(Dollars in thousands)							Assets/Liabilities at Fair Value
	Fair Value Measurements Using
December 31, 2013	Level 1		Level 2		Level 3
Assets:
Securities available for sale:
Obligations of U.S. government-sponsored enterprises		$—		$55,115		$—		$55,115
Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises	—		238,355		—		238,355
Obligations of states and political subdivisions	—		62,859		—		62,859
Individual name issuer trust preferred debt securities	—		24,684		—		24,684
Pooled trust preferred debt securities	—		547		—		547
Corporate bonds	—		11,343		—		11,343
Mortgage loans held for sale	—		11,636		—		11,636
Derivative assets (1):
Interest rate swap contracts with customers	—		2,733		—		2,733
Forward loan commitments	—		402		—		402
Total assets at fair value on a recurring basis		$—		$407,674		$—		$407,674
Liabilities:
Derivative liabilities (1):
Mirror swap contracts with counterparties		$—		$2,703		$—		$2,703
Interest rate risk management swap contracts	—		1,012		—		1,012
Forward loan commitments	—		583		—		583
Total liabilities at fair value on a recurring basis		$—		$4,298		$—		$4,298

(1) Derivative assets are included in other assets and derivative liabilities are reported in other liabilities in the Consolidated Balance Sheets.

Schedule of Changes in Level Three Assets and Liabilities Measured at Fair Value on a Recurring Basis

There were no Level 3 assets and liabilities measured at fair value on a recurring basis during the three and six months endedJune 30, 2014.

The following tables present the changes in Level 3 assets and liabilities measured at fair value on a recurring basis during the periods indicated.

Three months ended June 30,	2013
(Dollars in thousands)	Securities Available for Sale (1)			Mortgage Loans Held for Sale (2)			Derivative Assets / (Liabilities) (3)			Total
Balance at beginning of period		$404		7,955				$48			$8,407
Gains and losses (realized and unrealized):
Included in earnings (4)	—			48			(48		)	—
Included in other comprehensive income	(7		)	—			—			(7		)
Purchases	—			—			—			—
Issuances	—			(5,176		)	—			(5,176		)
Sales	—			(2,827		)	—			(2,827		)
Settlements	—			—			—			—
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			—			—
Balance at end of period		$397			$—			$—			$397

Six months ended June 30,	2013
(Dollars in thousands)	Securities Available for Sale (1)			Mortgage Loans Held for Sale (2)		Derivative Assets / (Liabilities) (3)			Total
Balance at beginning of period		$843		9,813			($142	)		$10,514
Gains and losses (realized and unrealized):
Included in earnings (4)	(2,772		)	(150	)	142			(2,780		)
Included in other comprehensive income	2,459			—		—			2,459
Purchases	—			—		—			—
Issuances	—			12,692		—			12,692
Sales	—			(22,355	)	—			(22,355		)
Settlements	(133		)	—		—			(133		)
Transfers into Level 3	—			—		—			—
Transfers out of Level 3	—			—		—			—
Balance at end of period		$397		—			$—			$397

(1) Level 3 securities available for sale were comprised of pooled trust preferred debt securities in the form of collateralized debt obligations.

(2) Level 3 mortgage loans held for sale consisted of certain mortgage loans whose fair value was determined utilizing a discounted cash flow analysis.

(3) Level 3 derivative assets / liabilities consisted of forward loan commitments (interest rate lock commitments and commitments to sell residential real estate mortgages) whose fair value was determined utilizing a discounted cash flow analysis.

(4) Losses included in earnings for Level 3 securities available for sale were included in net impairment losses recognized in earnings in the Consolidated Income Statement. Losses included in earnings for Level 3 mortgage loans held for sale and derivative assets and liabilities were included in net gains on loan sales and commissions on loans originated for others in the Consolidated Statements of Income.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Items Recorded at Fair Value on a Nonrecurring Basis

Certain assets are measured 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 market accounting or write-downs of individual assets.  The valuation methodologies used to measure these fair value adjustments are described above.

The following table summarizes such assets, which were written down to fair value during the six months endedJune 30, 2014:

(Dollars in thousands)	June 30, 2014
	Level 1		Level 2		Level 3		Total
Collateral dependent impaired loans		$—		$—		$6,643		$6,643
Property acquired through foreclosure or repossession	—		—		492		492
Total assets at fair value on a nonrecurring basis		$—		$—		$7,135		$7,135

The allowance for loan losses on collateral dependent impaired loans amounted to $912 thousand at June 30, 2014.

The following table summarizes such assets, which were written down to fair value during the year ended December 31, 2013:

(Dollars in thousands)	December 31, 2013
	Level 1		Level 2		Level 3		Total
Collateral dependent impaired loans		$—		$—		$11,177		$11,177
Property acquired through foreclosure or repossession	—		—		435		435
Total assets at fair value on a nonrecurring basis		$—		$—		$11,612		$11,612

The allowance for loan losses allocation on collateral dependent impaired loans amounted to $453 thousand at December 31, 2013.

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

The following tables present additional quantitative information about assets measured at fair value on a nonrecurring basis for which the Corporation has utilized Level 3 inputs to determine fair value for the dates indicated.

(Dollars in thousands)	June 30, 2014
	Fair Value		Valuation Technique	Unobservable Input	Range of Inputs Utilized (Weighted Average)
Collateral dependent impaired loans		$6,643	Appraisals of collateral	Discount for costs to sell	10% - 25% (11%)
				Appraisal adjustments (1)	0% - 40% (5%)
Property acquired through foreclosure or repossession		$492	Appraisals of collateral	Discount for costs to sell	0% - 10% (7%)
				Appraisal adjustments (1)	9% - 22% (15%)

(Dollars in thousands)	December 31, 2013
	Fair Value		Valuation Technique	Unobservable Input	Range of Inputs Utilized (Weighted Average)
Collateral dependent impaired loans		$11,177	Appraisals of collateral	Discount for costs to sell	1% - 45% (11%)
				Appraisal adjustments (1)	0% - 50% (2%)
Property acquired through foreclosure or repossession		$435	Appraisals of collateral	Discount for costs to sell	2% - 10% (9%)
				Appraisal adjustments (1)	0% - 22% (13%)

(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 following tables present the carrying amount, estimated fair value and placement in the fair value hierarchy of the Corporation’s financial instruments. The tables exclude financial instruments for which the carrying value approximates fair value. Financial assets for which the fair value approximates carrying value include cash and cash equivalents, FHLBB stock, accrued interest receivable and bank-owned life insurance. Financial liabilities for which the fair value approximates carrying value include non-maturity deposits and accrued interest payable.

(Dollars in thousands)					Fair Value Measurements
June 30, 2014	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial Assets:
Securities held to maturity		$27,814		$28,618		$—		$28,618		$—
Loans, net of allowance for loan losses	2,553,855		2,604,038		—		—		2,604,038
Loan servicing rights	2,868		3,188		—		—		3,188
Financial Liabilities:
Time deposits		$796,255		$798,437		$—		$798,437		$—
FHLBB advances	322,056		337,519		—		337,519		—
Junior subordinated debentures	22,681		17,704		—		17,704		—

(Dollars in thousands)					Fair Value Measurements
December 31, 2013	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial Assets:
Securities held to maturity		$29,905		$29,865		$—		$29,865		$—
Loans, net of allowance for loan losses	2,434,998		2,479,527		—		—		2,479,527
Loan servicing rights	2,698		2,767		—		—		2,767
Financial Liabilities:
Time deposits		$790,762		$797,748		$—		$797,748		$—
FHLBB advances	288,082		308,317		—		308,317		—
Junior subordinated debentures	22,681		16,282		—		16,282		—