FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2016

Summary of Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table summarizes financial assets and financial liabilities measured at fair value on a recurring basis as of September 30, 2016 and December 31, 2015, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value:



	Fair Value		Readily Available Market Prices (Level 1)		Observable Market Data (Level 2)		Company Determined Fair Value (Level 3)
September 30, 2016
Financial assets:
Loans held for sale	$	24,644	$	—	$	24,644	$	—
AFS securities:
Obligations of U.S. government-sponsored enterprises	15,855		—		15,855		—
Obligations of states and political subdivisions	10,001		—		10,001		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	450,308		—		450,308		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	306,362		—		306,362		—
Subordinated corporate bonds	5,704		—		5,704		—
Equity securities	650		—		650		—
Customer loan swaps	14,212		—		14,212		—
Interest rate lock commitments	749		—		749		—
Financial liabilities:
Junior subordinated debt interest rate swaps	12,678		—		12,678		—
FHLBB advance interest rate swaps	847		—		847		—
Customer loan swaps	14,212		—		14,212		—
December 31, 2015
Financial assets:
Loans held for sale	$	10,958	$	—	$	10,958	$	—
AFS securities:
Obligations of U.S. government-sponsored enterprises	5,040		—		5,040		—
Obligations of states and political subdivisions	17,694		—		17,694		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	419,046		—		419,046		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	306,857		—		306,857		—
Subordinated corporate bonds	996		—		996		—
Equity securities	705		—		705		—
Customer loan swaps	3,166		—		3,166		—
Interest rate lock commitments	139		—		139		—
Financial liabilities:
Junior subordinated debt interest rate swaps	9,229		—		9,229		—
FHLBB advance interest rate swaps	576		—		576		—
Customer loan swaps	3,166		—		3,166		—

Summary of Assets Measured at Fair Value on Non Recurring Basis

The table below highlights financial and non-financial assets measured and recorded at fair value on a non-recurring basis as of September 30, 2016 and December 31, 2015.



	Fair Value		Readily Available Market Prices (Level 1)		Observable Market Data (Level 2)		Company Determined Fair Value (Level 3)
September 30, 2016
Financial assets:
Collateral-dependent impaired loans	$	10,563	$	—	$	—	$	10,563
MSRs⁽¹⁾	1,328		—		1,328		—
Non-financial assets:
OREO	811		—		—		811
December 31, 2015
Financial assets:
Collateral-dependent impaired loans	$	1,971	$	—	$	—	$	1,971
MSRs⁽¹⁾	440		—		440		—
Non-financial assets:
OREO	1,304		—		—		1,304

(1) Represents MSRs deemed to be impaired and a valuation allowance established to carry at fair value.

Valuation Methodology and Unobservable Inputs for Level Three Assets Measured at Fair Value on Non Recurring Basis

The following table presents the valuation methodology and unobservable inputs for Level 3 assets measured at fair value on a non-recurring basis at September 30, 2016 and December 31, 2015:



	Fair Value		Valuation Methodology	Unobservable input	Discount Range (Weighted-Average)
September 30, 2016
Collateral-dependent impaired loans:
Partially charged-off	$	109	Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	0 - 10%	(8%)
Specifically reserved	10,454		Market approach appraisal of collateral	Management adjustment of appraisal	0 - 60%	(58%)
				Estimated selling costs	0 - 28%	(1%)
OREO	811		Market approach appraisal of collateral	Management adjustment of appraisal	0 - 73%	(11%)
				Estimated selling cost	10%	(10%)
December 31, 2015
Collateral-dependent impaired loans:
Partially charged-off	$	399	Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	0 - 10%	(7%)
Specifically reserved	1,572		Market approach appraisal of collateral	Management adjustment of appraisal	0 - 57%	(45%)
				Estimated selling costs	10%	(10%)
OREO	1,304		Market approach appraisal of collateral	Management adjustment of appraisal	0 - 43%	(18%)
				Estimated selling costs	10%	(10%)

Carrying Amounts and Estimated Fair Value for Financial Instrument Assets and Liabilities

The following table presents the carrying amounts and estimated fair value for financial instrument assets and liabilities measured at September 30, 2016:



	Carrying Amount		Fair Value		Readily Available Market Prices (Level 1)		Observable Market Prices (Level 2)		Company Determined Market Prices (Level 3)
Financial assets:
Cash and due from banks	$	99,458	$	99,458	$	99,458	$	—	$	—
AFS securities	788,880		788,880		—		788,880		—
HTM securities	94,205		98,096		—		98,096		—
Loans held for sale	24,644		24,644		—		24,644		—
Residential real estate loans⁽¹⁾	792,441		787,857		—		—		787,857
Commercial real estate loans⁽¹⁾	1,041,727		1,024,750		—		—		1,024,750
Commercial loans⁽¹⁾⁽²⁾	386,769		390,021		—		—		390,021
Home equity loans⁽¹⁾	330,528		331,821		—		—		331,821
Consumer loans⁽¹⁾	17,254		18,221		—		—		18,221
MSRs⁽³⁾	1,363		1,328		—		1,328		—
Interest receivable	8,364		8,364		—		8,364		—
Customer loan swaps	14,212		14,212		—		14,212		—
Interest rate lock commitments	749		749		—		749		—
Financial liabilities:
Deposits	$	2,889,225	$	2,892,196	$	—	$	2,892,196	$	—
Short-term borrowings	489,749		490,654		—		490,654		—
Long-term borrowings	10,808		11,002		—		11,002		—
Subordinated debentures	58,716		40,800		—		40,800		—
Interest payable	490		490		—		490		—
Junior subordinated debt interest rate swaps	12,678		12,678		—		12,678		—
FHLBB advance interest rate swaps	847		847		—		847		—
Customer loan swaps	14,212		14,212		—		14,212		—


(1)	The presented carrying amount is net of the allocated ALL.


(2)	Includes the HPFC loan portfolio.


(3)	Reported fair value represents all MSRs currently being serviced by the Company, regardless of carrying amount.

The following table presents the carrying amounts and estimated fair value for financial instrument assets and liabilities measured at December 31, 2015:



	Carrying Amount		Fair Value		Readily Available Market Prices (Level 1)		Observable Market Prices (Level 2)		Company Determined Market Prices (Level 3)
Financial assets:
Cash and due from banks	$	79,488	$	79,488	$	79,488	$	—	$	—
AFS securities	750,338		750,338		—		750,338		—
HTM securities	84,144		85,647		—		85,647		—
Loans held for sale	10,958		10,958		—		10,958		—
Residential real estate loans⁽¹⁾	808,180		820,774		—		—		820,774
Commercial real estate loans⁽¹⁾	922,257		911,316		—		—		911,316
Commercial loans⁽¹⁾⁽²⁾	371,684		371,854		—		—		371,854
Home equity loans⁽¹⁾	349,215		348,963		—		—		348,963
Consumer loans⁽¹⁾	17,704		18,163		—		—		18,163
MSRs⁽³⁾	2,161		2,947		—		2,947		—
Interest receivable	7,985		7,985		—		7,985		—
Customer loan swaps	3,166		3,166		—		3,166		—
Interest rate lock commitments	139		139		—		139		—
Financial liabilities:
Deposits	$	2,726,379	$	2,726,300	$	—	$	2,726,300	$	—
Short-term borrowings	477,852		479,403		—		479,403		—
Long-term borrowings	35,911		36,307		—		36,307		—
Subordinated debentures	58,599		42,950		—		42,950		—
Interest payable	641		641		—		641		—
Junior subordinated debt interest rate swaps	9,229		9,229		—		9,229		—
FHLBB advance interest rate swaps	576		576		—		576		—
Customer loan swaps	3,166		3,166		—		3,166		—


(1)	The presented carrying amount is net of the allocated ALL.


(2)	Includes the HPFC loan portfolio.


(3)	Reported fair value represents all MSRs currently being serviced by the Company, regardless of carrying amount.