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FAIR VALUE MEASUREMENTS (Tables)
3 Months Ended
Mar. 31, 2017
Fair Value Disclosures [Abstract]  
Summary of Financial Assets and Financial Liabilities Measured at Fair Value on a Recurring Basis Segregated by the Level of the Valuation Inputs Within the Fair Value Hierarchy Utilized to Measure Fair Value
The following table summarizes financial assets and financial liabilities measured at fair value on a recurring basis as of March 31, 2017 and December 31, 2016, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value.

 
 
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Total
(In thousands)
 
Inputs
 
Inputs
 
Inputs
 
Fair Value
Available for sale securities:
 
 
 
 
 
 
 
 
Obligations of US Government sponsored enterprises
 
$

 
$
6,976

 

 
$
6,976

Mortgage-backed securities:
 
 
 
 
 
 
 
 
  US Government-sponsored enterprises
 

 
461,821

 

 
461,821

  US Government agency
 

 
82,449

 

 
82,449

  Private label
 

 
1,021

 

 
1,021

Obligations of states and political subdivisions thereof
 

 
148,623

 

 
148,623

Corporate bonds
 

 
23,334

 

 
23,334

Derivative assets
 

 
1,387

 
98

 
1,485

Derivative liabilities
 

 

 
(55
)
 
(55
)
 
 
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Total
(In thousands)
 
Inputs
 
Inputs
 
Inputs
 
Fair Value
Available for sale securities:
 
 
 
 
 
 
 
 
Obligations of US Government sponsored enterprises
 
$

 
$

 

 
$

Mortgage-backed securities:
 
 
 
 
 
 
 

  US Government-sponsored enterprises
 

 
328,452

 

 
328,452

  US Government agency
 

 
76,906

 

 
76,906

  Private label
 

 
1,132

 

 
1,132

Obligations of states and political subdivisions thereof
 

 
122,366

 

 
122,366

Corporate bonds
 

 

 

 

Derivative assets
 

 
1,748

 

 
1,748

Schedule of Changes in Level 3 Assets and Liabilities That Were Measured at Fair Value on a Recurring Basis
The table below presents the changes in Level 3 assets and liabilities that were measured at fair value on a recurring basis for the three months ended March 31, 2017 and 2016.
 
 
Assets (Liabilities)
 
 
Interest Rate
Lock
 
Forward
(In thousands)
 
Commitments
 
Commitments
Three Months Ended March 31, 2017
 
 

 
 

December 31, 2016
 
$

 
$

Acquisition of Lake Sunapee Bank, January 13, 2017
 
96

 
23

Realized gain (loss) recognized in non-interest income
 
2

 
(78
)
March 31, 2017
 
$
98

 
$
(55
)

Schedule of Quantitative Information About the Significant Unobservable Inputs Within Level 3
The following is a summary of applicable non-recurring fair value measurements. There are no liabilities measured at fair value on a non-recurring basis.
 
 
March 31, 2017
 
December 31, 2016
 
Three months ended March 31, 2017
 
Fair Value Measurement Date as of March 31, 2017
(In thousands)
 
Level 3
Inputs
 
Level 3
Inputs
 
Total
Gains (Losses)
 
Level 3
Inputs
Assets
 
 

 
 

 
 
 
 
Impaired loans
 
$
7,254

 
$
6,709

 
$

 
 March 2017
Capitalized servicing rights
 
3,393

 
5

 

 
 January 2017
Other real estate owned
 
363

 
90

 

 
 January 2017-March 2017
Total
 
$
11,010

 
$
6,804

 
$

 
 
Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities is as follows:
(In thousands, except ratios)
 
Fair Value
March 31, 2017
 
Valuation Techniques
 
Unobservable Inputs
 
Significant
Unobservable Input
Value
Assets (Liabilities)
 
 

 
 
 
 
 
 

Interest Rate Lock Commitment
 
$
98

 
Quoted prices for similar loans in active markets.
 
Closing Ratio
 
80
%
 
 
 

 
Pricing Model
 
Freddie Mac pricing system
 
 Pair-off contract price

 
 
 
 
 
 
 
 
 
Forward Commitments
 
(55
)
 
Quoted prices for similar loans in active markets.
 
Closing Ratio
 
80
%
 
 
 

 
Pricing Model
 
Freddie Mac pricing system
 
 Pair-off contract price

Total
 
$
43

 
 
 
 
 
 


Summary of Applicable Non-Recurring Fair Value Measurements
Quantitative information about the significant unobservable inputs within Level 3 non-recurring assets is as follows:

 
 
Fair Value
 
 
 
 
 
 
(in thousands, except ratios)
 
March 31, 2017
 
Valuation Techniques
 
Unobservable Inputs
 
Range (Weighted Average) (a)
Assets
 
 

 
 
 
 
 
 

Impaired loans
 
$
3,037

 
Fair value of collateral - appraised value
 
Loss severity
 
0% to 75%

 
 
  

 
 
 
Appraised value
 
$0 to $1,732

 
 
 
 
 
 
 
 
 
Impaired loans
 
4,217

 
Discount cash flow
 
Discount rate
 
2.88% to 18.25%

 
 
 
 
 
 
Cash flows
 
$5 to $852

 
 
 
 
 
 
 
 
 
Capitalized servicing rights
 
3,393

 
Discounted cash flow
 
Constant prepayment rate (CPR)
 
14.33
%
 
 
  

 
 
 
Discount rate
 
7.55
%
 
 
 
 
 
 
 
 
 
Other real estate owned
 
363

 
Fair value of collateral
 
Appraised value
 
$120 to $215

Total
 
$
11,010

 
 
 
 
 
 

(a)
Where dollar amounts are disclosed, the amounts represent the lowest and highest fair value of the respective assets in the population except for adjustments for market/property conditions, which represents the range of adjustments to individuals properties.
 
 
Fair Value
 
 
 
 
 
 
(in thousands)
 
December 31, 2016
 
Valuation Techniques
 
Unobservable Inputs
 
Range (Weighted Average) (a)
Assets
 
 

 
 
 
 
 
 

Impaired loans
 
$
3,268

 
Fair value of collateral - appraised value
 
Loss severity
 
0% to 51%

 
 
  

 
 
 
Appraised value
 
$0 to $1,732

 
 
 
 
 
 
 
 
 
Impaired loans
 
3,441

 
Discount cash flow
 
Discount rate
 
3.25% to 18.25%

 
 
 
 
 
 
Cash flows
 
$6 to $861

 
 
 
 
 
 
 
 
 
Capitalized servicing rights
 
5

 
Discounted cash flow
 
Constant prepayment rate (CPR)
 
17.09
%
 
 
  

 
 
 
Discount rate
 
7.55
%
 
 
 
 
 
 
 
 
 
Other real estate owned
 
90

 
Fair value of collateral
 
Appraised value
 
$120

Total
 
$
6,804

 
 
 
 
 
 

(a)
Where dollar amounts are disclosed, the amounts represent the lowest and highest fair value of the respective assets in the population except for adjustments for market/property conditions, which represents the range of adjustments to individuals properties.
Summary of Estimated Fair Values, and Related Carrying Amounts, of Financial Instruments
The estimated fair values, and related carrying amounts, of the Company’s financial instruments follow. Certain financial instruments and all non-financial instruments are excluded from disclosure requirements. Accordingly, the aggregate fair value amounts presented herein may not necessarily represent the underlying fair value of the Company.
 
 
March 31, 2017
(In thousands)
 
Carrying
Amount
 
Fair
Value
 
Level 1
 
Level 2
 
Level 3
Financial Assets
 
 

 
 

 
 

 
 

 
 

Cash and cash equivalents
 
$
42,026

 
$
42,026

 
$
42,026

 
$

 
$

Securities available for sale
 
724,224

 
724,224

 

 
724,224

 

FHLBB bank stock
 
42,404

 
42,404

 

 
42,404

 

Net loans
 
2,361,553

 
2,334,432

 

 

 
2,334,432

Accrued interest receivable
 
9,215

 
9,215

 

 
9,215

 

Cash surrender value of bank-owned life insurance policies
 
56,627

 
56,627

 

 
56,627

 

Derivative assets
 
1,387

 
1,387

 

 
1,387

 
98

 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities
 
  

 
  

 
  

 
  

 
  

Total deposits
 
$
2,174,253

 
$
2,147,132

 
$

 
$
2,147,132

 
$

Securities sold under agreements to repurchase
 
33,557

 
33,543

 

 
33,543

 

Federal Home Loan Bank advances
 
808,593

 
808,509

 

 
808,509

 

Subordinated borrowings
 
37,921

 
37,921

 

 
37,921

 

Junior subordinated borrowings
 
5,000

 
3,550

 

 
3,550

 

Derivative liabilities
 
(55
)
 
(55
)
 

 

 
(55
)
 
 
December 31, 2016
(In thousands)
 
Carrying
Amount
 
Fair
Value
 
Level 1
 
Level 2
 
Level 3
Financial Assets
 
 

 
 

 
 

 
 

 
 

Cash and cash equivalents
 
$
8,439

 
$
8,439

 
$
8,439

 
$

 
$

Securities available for sale
 
528,856

 
528,856

 

 
528,856

 

FHLBB bank stock
 
25,331

 
25,331

 

 
25,331

 

Net loans
 
1,118,645

 
1,100,601

 

 

 
1,100,601

Accrued interest receivable
 
6,051

 
6,051

 

 
6,051

 

Cash surrender value of bank-owned life insurance policies
 
24,450

 
24,450

 

 
24,450

 

Derivative assets
 
1,748

 
1,748

 

 
1,748

 

 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities
 
 
 
 
 
 
 
 
 
 
Total deposits
 
$
1,050,300

 
$
1,048,932

 
$

 
$
1,048,932

 
$

Securities sold under agreements to repurchase
 
21,780

 
21,773

 

 
21,773

 

Federal Home Loan Bank advances
 
509,816

 
509,793

 

 
509,793

 

Subordinated borrowings
 

 

 

 

 

Junior subordinated borrowings
 

 
3,560

 

 
3,560