FAIR VALUE MEASUREMENT AND DISCLOSURE (Tables)

3 Months Ended

Mar. 31, 2019

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 March 31, 2019 and December 31, 2018, 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)
March 31, 2019
Financial assets:
Loans held for sale	$	8,795	$	—	$	8,795	$	—
AFS investments:
Obligations of states and political subdivisions	93,020		—		93,020		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	448,821		—		448,821		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	361,400		—		361,400		—
Subordinated corporate bonds	21,070		—		21,070		—
Equity securities - bank stock	988		—		988		—
Customer loan swaps	7,722		—		7,722		—
Fixed-rate mortgage interest rate lock commitments	293		—		293		—
Forward delivery commitments	129		—		129		—
Financial liabilities:
Junior subordinated debt interest rate swaps	6,711		—		6,711		—
Customer loan swaps	7,722		—		7,722		—
Fixed-rate mortgage interest rate lock commitments	45		—		45		—
Forward delivery commitments	31		—		31		—
December 31, 2018
Financial assets:
Loans held for sale	$	4,403	$	—	$	4,403	$	—
AFS investments:
Obligations of states and political subdivisions	93,752		—		93,752		—
Mortgage-backed securities issued or guaranteed by U.S. government-sponsored enterprises	453,672		—		453,672		—
Collateralized mortgage obligations issued or guaranteed by U.S. government-sponsored enterprises	342,894		—		342,894		—
Subordinated corporate bonds	20,374		—		20,374		—
Equity securities - bank stock	746		—		746		—
Customer loan swaps	7,841		—		7,841		—
Fixed-rate mortgage interest rate lock commitments	95		—		95		—
Forward delivery commitments	32		—		32		—
FHLBB advance interest rate swaps	30		—		30		—
Financial liabilities:
Junior subordinated debt interest rate swaps	5,682		—		5,682		—
Customer loan swaps	7,841		—		7,841		—
Fixed-rate mortgage interest rate lock commitments	28		—		28		—
Forward delivery commitments	17		—		17		—

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 March 31, 2019 and December 31, 2018:



	Fair Value		Readily Available Market Prices (Level 1)		Observable Market Data (Level 2)		Company Determined Fair Value (Level 3)
March 31, 2019
Financial assets:
Collateral-dependent impaired loans	$	925	$	—	$	—	$	925
Non-financial assets:
OREO	130		—		—		130
December 31, 2018
Financial assets:
Collateral-dependent impaired loans	$	522	$	—	$	—	$	522
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 March 31, 2019 and December 31, 2018:



	Fair Value		Valuation Methodology	Unobservable input	Discount Range (Weighted-Average)
March 31, 2019
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	$	881	Market approach appraisal of collateral	Management adjustment of appraisal	0-39%	(16%)
				Estimated selling costs	10-13%	(11%)
OREO	$	130	Market approach appraisal of collateral	Management adjustment of appraisal	19%	(19%)
				Estimated selling cost	10%	(10%)
December 31, 2018
Collateral-dependent impaired loans:
Partially charged-off	$	50	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	19%	(19%)
				Estimated selling cost	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)
March 31, 2019
Financial assets:
HTM securities	$	1,306	$	1,324	$	—	$	1,324	$	—
Residential real estate loans⁽¹⁾	1,011,289		990,279		—		—		990,279
Commercial real estate loans⁽¹⁾	1,246,636		1,226,222		—		—		1,226,222
Commercial loans⁽¹⁾⁽²⁾	417,900		411,935		—		—		411,935
Home equity loans⁽¹⁾	320,942		314,250		—		—		314,250
Consumer loans⁽¹⁾	20,474		18,918		—		—		18,918
Servicing assets	772		1,540		—		—		1,540
Financial liabilities:
Time deposits	$	695,856	$	691,689	$	—	$	691,689	$	—
Short-term borrowings	256,181		255,899		—		255,899		—
Long-term borrowings	10,000		9,926		—		9,926		—
Subordinated debentures	58,978		49,578		—		49,578		—
December 31, 2018
Financial assets:
HTM securities	$	1,307	$	1,291	$	—	$	1,291	$	—
Residential real estate loans⁽¹⁾	986,795		957,957		—		—		957,957
Commercial real estate loans⁽¹⁾	1,257,879		1,218,436		—		—		1,218,436
Commercial loans⁽¹⁾⁽²⁾	411,479		404,805		—		—		404,805
Home equity loans⁽¹⁾	324,967		317,359		—		—		317,359
Consumer loans⁽¹⁾	20,390		18,969		—		—		18,969
Servicing assets	831		1,677		—		—		1,677
Financial liabilities:
Time deposits	$	661,281	$	654,954	$	—	$	654,954	$	—
Short-term borrowings	270,868		270,598		—		270,598		—
Long-term borrowings	11,580		11,573		—		11,573		—
Subordinated debentures	59,067		49,060		—		49,060		—


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


(2)	Includes the HPFC loan portfolio.