Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

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 which the fair value option was elected. 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						Nine months
Periods ended September 30,	2015			2014			2015			2014
Mortgage loans held for sale		$490			$172			($79	)		$634
Interest rate lock commitments	864			498			1,002			1,101
Commitments to sell mortgage loans	(1,470		)	(672		)	(999		)	(1,737		)
Total changes in fair value		($116	)		($2	)		($76	)		($2	)

Assets and Liabilities Measured 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, 2015	Total				Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Securities available for sale:
Obligations of U.S. government-sponsored enterprises		$52,643		$—		$52,643		$—
Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises	206,288		—		206,288		—
Obligations of states and political subdivisions	37,757		—		37,757		—
Individual name issuer trust preferred debt securities	25,683		—		25,683		—
Corporate bonds	1,424		—		1,424		—
Mortgage loans held for sale	21,136		—		21,136		—
Derivative assets (1)	12,709		—		12,709		—
Total assets at fair value on a recurring basis		$357,640		$—		$357,640		$—
Liabilities:
Derivative liabilities (2)		$13,876		$—		$13,876		$—
Contingent consideration liability (3)	2,904		—		—		2,904
Total liabilities at fair value on a recurring basis		$16,780		$—		$13,876		$2,904


(1)	Derivative assets include interest rate swaps contracts with customers, risk participation-out agreements and forward loan commitments and are included in other assets in the Consolidated Balance Sheets.


(2)	Derivative liabilities include mirror swaps with counterparties, risk participation-in agreements, interest rate risk management contracts and forward loan commitments and are included in other liabilities in the Consolidated Balance Sheets.


(3)	The contingent consideration liability is included in other liabilities in the Consolidated Balance Sheets.



(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, 2014	Total				Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Securities available for sale:
Obligations of U.S. government-sponsored enterprises		$31,172		$—		$31,172		$—
Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises	245,366		—		245,366		—
Obligations of states and political subdivisions	49,176		—		49,176		—
Individual name issuer trust preferred debt securities	25,774		—		25,774		—
Corporate bonds	6,174		—		6,174		—
Mortgage loans held for sale	30,321		—		30,321		—
Derivative assets (1)	5,807		—		5,807		—
Total assets at fair value on a recurring basis		$393,790		$—		$393,790		$—
Liabilities:
Derivative liabilities (2)		$7,316		$—		$7,316		$—
Total liabilities at fair value on a recurring basis		$7,316		$—		$7,316		$—


(1)	Derivative assets include interest rate swaps contracts with customers and forward loan commitments and are included in other assets in the Consolidated Balance Sheets.


(2)	Derivative liabilities include mirror swaps with counterparties, interest rate risk management contracts and forward loan commitments and are included in other liabilities in the Consolidated Balance Sheet

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

The following table summarizes the carrying value of such assets held at September 30, 2015, which were written down to fair value during the nine months ended September 30, 2015:



(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)
(Dollars in thousands)	Total				Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Collateral dependent impaired loans		$6,979		$—		$—		$6,979
Property acquired through foreclosure or repossession	883		—		—		883
Total assets at fair value on a nonrecurring basis		$7,862		$—		$—		$7,862

The allowance for loan losses on collateral dependent impaired loans amounted to $1.6 million at September 30, 2015.

The following table summarizes the carrying value of such assets held at December 31, 2014, which were written down to fair value during the year ended December 31, 2014:



(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)
(Dollars in thousands)	Total				Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Collateral dependent impaired loans		$5,728		$—		$—		$5,728
Property acquired through foreclosure or repossession	348		—		—		348
Total assets at fair value on a nonrecurring basis		$6,076		$—		$—		$6,076

The allowance for loan losses on collateral dependent impaired loans amounted to $1.3 million at December 31, 2014.

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, 2015	Fair Value		Valuation Technique	Unobservable Input	Range of Inputs Utilized (Weighted Average)
Collateral dependent impaired loans		$6,979	Appraisals of collateral	Discount for costs to sell	3% - 25% (13%)
				Appraisal adjustments (1)	0% - 15% (4%)
Property acquired through foreclosure or repossession		$883	Appraisals of collateral	Discount for costs to sell	0%
				Appraisal adjustments (1)	5% - 10% (7%)


(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, 2014	Fair Value		Valuation Technique	Unobservable Input	Range of Inputs Utilized (Weighted Average)
Collateral dependent impaired loans		$5,728	Appraisals of collateral	Discount for costs to sell	0% - 10% (2%)
				Appraisal adjustments (1)	0% - 40% (3%)
Property acquired through foreclosure or repossession		$348	Appraisals of collateral	Discount for costs to sell	6% - 10% (8%)
				Appraisal adjustments (1)	5% - 23% (14%)


(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)
September 30, 2015	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:
Securities held to maturity		$21,140		$21,820		$—		$21,820		$—
Loans, net of allowance for loan losses	2,922,757		2,956,198		—		—		2,956,198

Financial Liabilities:
Time deposits		$801,818		$803,303		$—		$803,303		$—
FHLBB advances	381,649		395,497		—		395,497		—
Junior subordinated debentures	22,681		16,166		—		16,166		—



(Dollars in thousands)
December 31, 2014	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:
Securities held to maturity		$25,222		$26,008		$—		$26,008		$—
Loans, net of allowance for loan losses	2,831,253		2,866,907		—		—		2,866,907

Financial Liabilities:
Time deposits		$874,102		$872,570		$—		$872,570		$—
FHLBB advances	406,297		418,005		—		418,005		—
Junior subordinated debentures	22,681		17,201		—		17,201		—