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Fair Value (Tables)

6 Months Ended

Jun. 30, 2020

Assets And Liabilities Measured At Fair Value On A Recurring Basis

The following table presents assets and liabilities measured at fair value on a recurring basis:


Fair Value Measurements at June 30, 2020 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at June 30, 2020
Assets
Investment securities:
Obligations of states and political subdivisions	—		303,767				303,767
U.S. Government sponsored entities’ asset-backed securities	—		784,454		—		784,454
Equity securities	1,660		—		471		2,131
Mortgage loans held for sale	—		113,275		—		113,275
Mortgage IRLCs	—		2,022		—		2,022
Loan interest rate swaps	—		4,776		—		4,776

Liabilities
Fair value swap	$	—	$	—	$	226	$	226
Borrowing interest rate swap	—		1,168		—		1,168
Loan interest rate swaps	—		4,776		—		4,776


Fair Value Measurements at December 31, 2019 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at December 31, 2019
Assets
Investment securities:
Obligations of states and political subdivisions	$	—	$	320,491	$	—	$	320,491
U.S. Government sponsored entities’ asset-backed securities	—		889,210		—		889,210
Equity securities	1,537		—		456		1,993
Mortgage loans held for sale	—		12,278		—		12,278
Mortgage IRLCs	—		221		—		221
Loan interest rate swaps	—		1,870		—		1,870

Liabilities
Fair value swap	$	—	$	—	$	226	$	226
Borrowing interest rate swap	—		575		—		575
Loan interest rate swaps	—		1,870		—		1,870

Reconciliation Of Level 3 Input For Financial Instruments Measured On Recurring Basis

The tables below present a reconciliation of the beginning and ending balances of the Level 3 inputs for the three months and six months ended June 30, 2020 and 2019, for financial instruments measured on a recurring basis and classified as Level 3:

Level 3 Fair Value Measurements

Three months ended June 30, 2020 and 2019


(In thousands)	Equity Securities		Fair value swap
Balance at April 1, 2020	$	463	$	(226)
Total gains/(losses)
Included in other income	8		—
Balance at June 30, 2020	$	471	$	(226)

Balance at April 1, 2019	$	433	$	(226)
Total gains/(losses)
Included in other income	—		—
Balance at June 30, 2019	$	433	$	(226)

Level 3 Fair Value Measurements

Six months ended June 30, 2020 and 2019


(In thousands)	Equity Securities		Fair value swap
Balance at January 1, 2020	$	456	$	(226)
Total gains/(losses)
Included in other income	15		—
Balance at June 30, 2020	$	471	$	(226)

Balance at January 1, 2019	$	424	$	(226)
Total gains/(losses)
Included in other income	9		—
Balance at June 30, 2019	$	433	$	(226)

Assets And Liabilities Measured At Fair Value On A Nonrecurring Basis

The following tables present assets and liabilities measured at fair value on a nonrecurring basis. Collateral dependent impaired loans are carried at fair value if they have been charged down to fair value or if a specific valuation allowance has been established. As of June 30, 2020, there were no PCI loans carried at fair value. A new cost basis is established at the time a property is initially recorded in OREO. OREO properties are carried at fair value if a devaluation has been taken with respect to the property's value subsequent to the initial measurement.


Fair Value Measurements at June 30, 2020 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at June 30, 2020
Impaired loans recorded at fair value:
Commercial real estate	$	—	$	—	$	1,999	$	1,999
Residential real estate	—		—		162		162
Total impaired loans recorded at fair value	$	—	$	—	$	2,161	$	2,161

MSRs	$	—	$	8,270	$	—	$	8,270

OREO recorded at fair value:
Residential real estate	—		—		826		826
Total OREO recorded at fair value	$	—	$	—	$	826	$	826

Other repossessed assets	$	—	$	—	$	3,599	$	3,599


Fair Value Measurements at December 31, 2019 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at December 31, 2019
Impaired loans recorded at fair value:
Commercial real estate	$	—	$	—	$	1,873	$	1,873
Residential real estate	—		—		217		217
Total impaired loans recorded at fair value	$	—	$	—	$	2,090	$	2,090

MSRs	$	—	$	5,797	$	—	$	5,797

OREO recorded at fair value:
Commercial real estate	—		—		2,295		2,295
Residential real estate	—		—		738		738
Total OREO recorded at fair value	$	—	$	—	$	3,033	$	3,033

Other repossessed assets	$	—	$	—	$	3,599	$	3,599

Schedule of impaired financing receivables additional info

The table below provides additional detail on those impaired loans which are recorded at fair value as well as the remaining impaired loan portfolio not included above. The remaining impaired loans consist of loans which are not collateral dependent as well as loans carried at cost as the fair value of the underlying collateral or the present value of expected future cash flows on each of the loans exceeded the book value for each respective credit.


	June 30, 2020
(In thousands)	Recorded Investment		Prior Charge-Offs		Specific Valuation Allowance		Carrying Balance
Impaired loans recorded at fair value	$	2,264	$	313	$	103	$	2,161
Remaining impaired loans	89,519		337		5,705		83,814
Total impaired loans	$	91,783	$	650	$	5,808	$	85,975


	December 31, 2019
(In thousands)	Recorded Investment		Prior Charge-Offs		Specific Valuation Allowance		Carrying Balance
Impaired loans recorded at fair value	$	2,167	$	313	$	77	$	2,090
Remaining impaired loans	75,324		406		5,153		70,171
Total impaired loans	$	77,491	$	719	$	5,230	$	72,261

Qualitative Information about Level 3 Fair Value Measurements Measured on Non-Recurring Basis

The following tables present qualitative information about Level 3 fair value measurements for financial instruments measured at fair value on a nonrecurring basis at June 30, 2020 and December 31, 2019:

June 30, 2020

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range

(Weighted Average) ⁽¹⁾

Impaired loans:

Commercial real estate

1,999

Sales comparison approach

Adj to comparables

0.0% - 139.0% (21.3%)

Income approach

Capitalization rate

20.0% (20.0%)

Residential real estate

162

Sales comparison approach

Adj to comparables

0.0% - 55.0% (14.4%)

Other real estate owned:

Residential real estate

826

Sales comparison approach

Adj to comparables

1.0% - 24.5% (9.1%)

Balance at December 31, 2019

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range

(Weighted Average) ⁽¹⁾

Impaired loans:

Commercial real estate

1,873

Sales comparison approach

Adj to comparables

0.0% - 56.0% (26.5%)

Cost approach

Accumulated depreciation

93.1% (93.1%)

Residential real estate

217

Sales comparison approach

Adj to comparables

0.0% - 53.5% (10.8%)

Other real estate owned:

Commercial real estate

2,295

Sales comparison approach

Adj to comparables

0.9% - 68.4% (34.7%)

Income approach

Capitalization rate

13.0% (13.0%)

Residential real estate

738

Sales comparison approach

Adj to comparables

4.6% - 54.6% (39.2%)

Fair Value, by Balance Sheet Grouping

The fair value of certain financial instruments at June 30, 2020 and December 31, 2019, was as follows:


	June 30, 2020
			Fair Value Measurements
(In thousands)	Carrying value		Level 1		Level 2		Level 3		Total fair value
Financial assets:
Cash and money market instruments	$	733,494	$	733,494	$	—	$	—	$	733,494
Investment securities ⁽¹⁾	1,088,221		—		1,088,221		—		1,088,221
Other investment securities ⁽²⁾	2,131		1,660		—		471		2,131

Loans held for sale	113,275		—		113,275		—		113,275
Mortgage IRLCs	2,022		—		2,022		—		2,022
Impaired loans carried at fair value	2,161		—		—		2,161		2,161
Other loans, net	7,013,511		—		—		7,052,498		7,052,498
Loans receivable, net	$	7,130,969	$	—	$	115,297	$	7,054,659	$	7,169,956

Financial liabilities:
Time deposits	982,418		—		991,026		—		991,026
Other	4,062		4,062		—		—		4,062
Deposits (excluding demand deposits)	$	986,480	$	4,062	$	991,026	$	—	$	995,088

Short-term borrowings	$	291,910	$	—	$	291,910	$	—	$	291,910
Long-term debt	137,500		—		149,252		—		149,252
Subordinated notes	15,000		—		14,615		—		14,615

Derivative financial instruments - assets:
Loan interest rate swaps	$	4,776	$	—	$	4,776	$	—	$	4,776

Derivative financial instruments - liabilities:
Fair value swap	$	226	$	—	$	—	$	226	$	226
Borrowing interest rate swap	1,168		—		1,168		—		1,168
Loan interest rate swaps	4,776		—		4,776		—		4,776

(1) Includes AFS debt securities.

(2) Excludes FHLB stock and FRB stock which are carried at their respective redemption values, investment securities accounted for at modified cost as these investments do not have a readily determinable fair value, and Partnership Investments valued using the NAV practical expedient.


	December 31, 2019
			Fair Value Measurements
(In thousands)	Carrying value		Level 1		Level 2		Level 3		Total fair value
Financial assets:
Cash and money market instruments	$	159,956	$	159,956	$	—	$	—	$	159,956
Investment securities ⁽¹⁾	1,209,701		—		1,209,701		—		1,209,701
Other investment securities ⁽²⁾	1,993		1,537		—		456		1,993

Loans held for sale	12,278		—		12,278		—		12,278
Mortgage IRLCs	221		—		221		—		221
Impaired loans carried at fair value	2,090		—		—		2,090		2,090
Other loans, net	6,430,136		—		—		6,426,869		6,426,869
Loans receivable, net	$	6,444,725	$	—	$	12,499	$	6,428,959	$	6,441,458

Financial liabilities:
Time deposits	$	1,139,131	$	—	$	1,145,537	—		$	1,145,537
Other	1,273		1,273		—		—		1,273
Deposits (excluding demand deposits)	$	1,140,404	$	1,273	$	1,145,537	$	—	$	1,146,810

Short-term borrowings	$	230,657	$	—	$	230,657	$	—	$	230,657
Long-term debt	192,500		—		200,726		—		200,726
Subordinated notes	15,000		—		14,372		—		14,372

Derivative financial instruments - assets:
Loan interest rate swaps	1,870		—		1,870		—		1,870

Derivative financial instruments - liabilities:
Fair value swap	$	226	$	—	$	—	$	226	$	226
Borrowing interest rate swap	575		—		575		—		575
Loan interest rate swaps	1,870		—		1,870		—		1,870

(1) Includes AFS debt securities and HTM debt securities.