FAIR VALUE MEASUREMENT AND DISCLOSURE (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018 and December 31, 2017, 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, 2018
Financial assets:
Loans held for sale	$	10,158	$	—	$	10,158	$	—
AFS investments:
Obligations of states and political subdivisions	4,818		—		4,818		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	460,298		—		460,298		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	306,611		—		306,611		—
Subordinated corporate bonds	8,616		—		8,616		—
Equity securities - bank stock	783		—		783		—
Customer loan swaps	15,562		—		15,562		—
Fixed-rate mortgage interest rate lock commitments	330		—		330		—
Forward delivery commitments	253		—		253		—
FHLBB advance interest rate swaps	65		—		65		—
Financial liabilities:
Junior subordinated debt interest rate swaps	4,361		—		4,361		—
Customer loan swaps	15,562		—		15,562		—
Fixed-rate mortgage interest rate lock commitments	7		—		7		—
Forward delivery commitments	12		—		12		—
December 31, 2017
Financial assets:
Loans held for sale	$	8,103	$	—	$	8,103	$	—
AFS investments:
Obligations of states and political subdivisions	7,335		—		7,335		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	503,302		—		503,302		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	272,799		—		272,799		—
Subordinated corporate bonds	5,657		—		5,657		—
Equity investments	806		—		806		—
Customer loan swaps	5,036		—		5,036		—
Fixed-rate mortgage interest rate lock commitments	307		—		307		—
Forward delivery commitments	158		—		158		—
FHLBB advance interest rate swaps	21		—		21		—
Financial liabilities:
Junior subordinated debt interest rate swaps	7,571		—		7,571		—
Customer loan swaps	5,036		—		5,036		—
Fixed-rate mortgage interest rate lock commitments	22		—		22		—
Forward delivery commitments	16		—		16		—

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, 2018 and December 31, 2017:



	Fair Value		Readily Available Market Prices (Level 1)		Observable Market Data (Level 2)		Company Determined Fair Value (Level 3)
September 30, 2018
Financial assets:
Collateral-dependent impaired loans	$	516	$	—	$	—	$	516
Non-financial assets:
OREO	130		—		—		130
December 31, 2017
Financial assets:
Collateral-dependent impaired loans	$	3,696	$	—	$	—	$	3,696
Non-financial assets:
OREO	130		—		—		130

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, 2018 and December 31, 2017:



	Fair Value		Valuation Methodology	Unobservable input	Discount Range (Weighted-Average)
September 30, 2018
Collateral-dependent impaired loans:
Partially charged-off	$	44	Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	10%	(10%)
Specifically reserved	472		Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	10%	(10%)
OREO	130		Market approach appraisal of collateral	Management adjustment of appraisal	20%	(20%)
				Estimated selling cost	10%	(10%)
December 31, 2017
Collateral-dependent impaired loans:
Partially charged-off	$	86	Market approach appraisal of collateral	Management adjustment of appraisal	0 - 50%	(18%)
				Estimated selling costs	0 - 10%	(6%)
Specifically reserved	3,610		Market approach appraisal of collateral	Management adjustment of appraisal	0%	(0%)
				Estimated selling costs	10%	(10%)
OREO	130		Market approach appraisal of collateral	Management adjustment of appraisal	20%	(20%)
				Estimated selling costs	10%	(10%)

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

The estimated fair values and related carrying amounts for assets and liabilities for which fair value is only disclosed are shown below as of the periods indicated:



	Carrying Amount		Fair Value		Readily Available Market Prices (Level 1)		Observable Market Prices (Level 2)		Company Determined Market Prices (Level 3)
September 30, 2018
Financial assets:
HTM securities	$	92,933	$	90,550	$	—	$	90,550	$	—
Residential real estate loans⁽¹⁾	935,728		904,765		—		—		904,765
Commercial real estate loans⁽¹⁾	1,205,397		1,156,934		—		—		1,156,934
Commercial loans⁽¹⁾⁽²⁾	401,330		394,903		—		—		394,903
Home equity loans⁽¹⁾	322,877		315,453		—		—		315,453
Consumer loans⁽¹⁾	19,985		18,894		—		—		18,894
Servicing assets	877		1,856		—		—		1,856
Financial liabilities:
Time deposits	$	638,418	$	630,600	$	—	$	630,600	$	—
Short-term borrowings	409,732		409,446		—		409,446		—
Long-term borrowings	10,738		10,620		—		10,620		—
Subordinated debentures	59,028		50,465		—		50,465		—
December 31, 2017
Financial assets:
HTM securities	$	94,073	$	94,913	$	—	$	94,913	$	—
Residential real estate loans⁽¹⁾	853,283		853,056		—		—		853,056
Commercial real estate loans⁽¹⁾	1,152,160		1,115,618		—		—		1,115,618
Commercial loans⁽¹⁾⁽²⁾	413,898		401,902		—		—		401,902
Home equity loans⁽¹⁾	321,011		318,230		—		—		318,230
Consumer loans⁽¹⁾	17,916		17,335		—		—		17,335
Servicing assets	1,025		1,766		—		—		1,766
Financial liabilities:
Time deposits	$	517,032	$	512,483	$	—	$	512,483	$	—
Short-term borrowings	541,796		541,605		—		541,605		—
Long-term borrowings	10,791		10,777		—		10,777		—
Subordinated debentures	58,911		44,333		—		44,333		—


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


(2)	Includes the HPFC loan portfolio.