FAIR VALUE MEASUREMENT AND DISCLOSURE (Tables)

9 Months Ended

Sep. 30, 2017

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, 2017 and December 31, 2016, 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, 2017
Financial assets:
Loans held for sale	$	12,997	$	—	$	12,997	$	—
AFS securities:
Obligations of states and political subdivisions	7,365		—		7,365		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	521,104		—		521,104		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	262,390		—		262,390		—
Subordinated corporate bonds	5,651		—		5,651		—
Equity securities	741		—		741		—
Customer loan swaps	3,482		—		3,482		—
Fixed-rate interest rate lock commitments	495		—		495		—
Forward delivery commitments	332		—		332		—
Financial liabilities:
Junior subordinated debt interest rate swaps	8,123		—		8,123		—
FHLBB advance interest rate swaps	98		—		98		—
Customer loan swaps	3,482		—		3,482		—
Fixed-rate interest rate lock commitments	25		—		25		—
Forward delivery commitments	19		—		19		—
December 31, 2016
Financial assets:
Loans held for sale	$	14,836	$	—	$	14,836	$	—
AFS securities:
Obligations of states and political subdivisions	9,001		—		9,001		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	480,622		—		480,622		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	283,890		—		283,890		—
Subordinated corporate bonds	5,613		—		5,613		—
Equity securities	741		—		741		—
Customer loan swaps	1,945		—		1,945		—
Fixed-rate interest rate lock commitments	202		—		202		—
Forward delivery commitments	587		—		587		—
Financial liabilities:
Junior subordinated debt interest rate swaps	8,372		—		8,372		—
FHLBB advance interest rate swaps	389		—		389		—
Customer loan swaps	1,945		—		1,945		—
Fixed-rate interest rate lock commitments	15		—		15		—
Forward delivery commitments	309		—		309		—

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, 2017 and December 31, 2016.



	Fair Value		Readily Available Market Prices (Level 1)		Observable Market Data (Level 2)		Company Determined Fair Value (Level 3)
September 30, 2017
Financial assets:
Collateral-dependent impaired loans	$	3,276	$	—	$	—	$	3,276
MSRs⁽¹⁾	330		—		—		330
Non-financial assets:
OREO	341		—		—		341
December 31, 2016
Financial assets:
Collateral-dependent impaired loans	$	500	$	—	$	—	$	500
MSRs⁽¹⁾	1,090		—		—		1,090
Non-financial assets:
OREO	922		—		—		922

(1) Represents MSRs deemed to be impaired and a valuation allowance was 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, 2017 and December 31, 2016:



	Fair Value		Valuation Methodology	Unobservable input	Discount Range (Weighted-Average)
September 30, 2017
Collateral-dependent impaired loans:
Partially charged-off	$	166	Market approach appraisal of collateral	Management adjustment of appraisal	0-50%	(9%)
				Estimated selling costs	0 - 10%	(3%)
Specifically reserved	3,110		Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	10%	(10%)
MSR	330		Discounted cash flow	Prepayment rate	14%	(14%)
				Discount rate	7%	(7%)
OREO	341		Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling cost	10%	(10%)
December 31, 2016
Collateral-dependent impaired loans:
Partially charged-off	$	166	Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	0 - 10%	(5%)
Specifically reserved	344		Market approach appraisal of collateral	Management adjustment of appraisal	0 - 50%	(13%)
				Estimated selling costs	10 - 28%	(12%)
MSR	1,090		Discounted cash flow	Prepayment rate	15%	(15%)
				Discount rate	8%	(8%)
OREO	922		Market approach appraisal of collateral	Management adjustment of appraisal	0 - 73%	(7%)
				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, 2017:



	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	$	89,435	$	89,435	$	89,435	$	—	$	—
AFS securities	797,251		797,251		—		797,251		—
HTM securities	94,207		95,094		—		95,094		—
Loans held for sale	12,997		12,997		—		12,997		—
Residential real estate loans⁽¹⁾	848,309		854,198		—		—		854,198
Commercial real estate loans⁽¹⁾	1,119,087		1,082,977		—		—		1,082,977
Commercial loans⁽¹⁾⁽²⁾	412,402		409,833		—		—		409,833
Home equity loans⁽¹⁾	326,151		323,943		—		—		323,943
Consumer loans⁽¹⁾	17,928		17,465		—		—		17,465
MSRs⁽³⁾	1,109		1,740		—		—		1,740
Interest receivable	9,415		9,415		—		9,415		—
Customer loan swaps	3,482		3,482		—		3,482		—
Fixed-rate interest rate lock commitments	495		495		—		495		—
Forward delivery commitments	332		332		—		332		—
Financial liabilities:
Deposits	$	2,956,413	$	2,953,386	$	—	$	2,953,386	$	—
Short-term borrowings	538,997		538,861		—		538,861		—
Long-term borrowings	10,738		10,816		—		10,816		—
Subordinated debentures	58,872		42,090		—		42,090		—
Interest payable	574		574		—		574		—
Junior subordinated debt interest rate swaps	8,123		8,123		—		8,123		—
FHLBB advance interest rate swaps	98		98		—		98		—
Customer loan swaps	3,482		3,482		—		3,482		—
Fixed-rate interest rate lock commitments	25		25		—		25		—
Forward delivery commitments	19		19		—		19		—


(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.

The following table presents the carrying amounts and estimated fair value for financial instrument assets and liabilities measured at December 31, 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	$	87,707	$	87,707	$	87,707	$	—	$	—
AFS securities	779,867		779,867		—		779,867		—
HTM securities	94,609		94,596		—		94,596		—
Loans held for sale	14,836		14,836		—		14,836		—
Residential real estate loans⁽¹⁾	798,334		800,122		—		—		800,122
Commercial real estate loans⁽¹⁾	1,038,626		1,006,249		—		—		1,006,249
Commercial loans⁽¹⁾⁽²⁾	389,624		391,493		—		—		391,493
Home equity loans⁽¹⁾	327,713		327,292		—		—		327,292
Consumer loans⁽¹⁾	17,151		16,845		—		—		16,845
MSRs⁽³⁾	1,210		1,701		—		—		1,701
Interest receivable	8,654		8,654		—		8,654		—
Customer loan swaps	1,945		1,945		—		1,945		—
Fixed-rate interest rate lock commitments	202		202		—		202		—
Forward delivery commitments	587		587		—		587		—
Financial liabilities:
Deposits	$	2,828,529	$	2,826,484	$	—	$	2,826,484	$	—
Short-term borrowings	530,129		530,435		—		530,435		—
Long-term borrowings	10,791		10,836		—		10,836		—
Subordinated debentures	58,755		41,660		—		41,660		—
Interest payable	534		534		—		534		—
Junior subordinated debt interest rate swaps	8,372		8,372		—		8,372		—
FHLBB advance interest rate swaps	389		389		—		389		—
Customer loan swaps	1,945		1,945		—		1,945		—
Fixed-rate interest rate lock commitments	15		15		—		15		—
Forward delivery commitments	309		309		—		309		—


(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.