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Fair Value (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at March 31, 2022
Assets
Investment securities:
Obligations of U.S. Treasury and other U.S. Government sponsored entities	$	—	$	38,562	$	—	$	38,562
Obligations of states and political subdivisions	—		371,641		—		371,641
U.S. Government sponsored entities’ asset-backed securities	—		834,802		—		834,802
Collateralized loan obligations	—		494,917		—		494,917
Corporate debt securities	—		17,225		—		17,225
Equity securities	1,546		—		491		2,037
Mortgage loans held for sale	—		7,852		—		7,852
Mortgage IRLCs	—		301		—		301
Loan interest rate swaps	—		923		—		923

Liabilities
Fair value swap	$	—	$	—	$	226	$	226
Borrowing interest rate swap	—		86		—		86
Loan interest rate swaps	—		923		—		923


Fair Value Measurements at December 31, 2021 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at December 31, 2021
Assets
Investment securities:
Obligations of states and political subdivisions	$	—	$	389,591	$	—	$	389,591
U.S. Government sponsored entities’ asset-backed securities	—		854,463		—		854,463
Collateralized loan obligations	—		498,674		—		498,674
Corporate debt securities	—		11,412		—		11,412
Equity securities	1,630		—		499		2,129
Mortgage loans held for sale	—		9,387		—		9,387
Mortgage IRLCs	—		333		—		333
Loan interest rate swaps	—		1,952		—		1,952

Liabilities
Fair value swap	$	—	$	—	$	226	$	226
Borrowing interest rate swap	—		262		—		262
Loan interest rate swaps	—		1,952		—		1,952

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

The table below presents a reconciliation of the beginning and ending balances of the Level 3 inputs for the three-month periods ended March 31, 2022 and 2021, for financial instruments measured on a recurring basis and classified as Level 3:


Level 3 Fair Value Measurements
Three months ended March 31, 2022 and 2021
(In thousands)	Equity Securities		Fair value swap
Balance at January 1, 2022	$	499	$	(226)
Total losses
Included in other income	(8)		—
Balance at March 31, 2022	$	491	$	(226)

Balance at January 1, 2021	$	485	$	(226)
Total gains
Included in other income	5		—
Balance at March 31, 2021	$	490	$	(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. Individually evaluated collateral dependent loans secured by real estate 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 March 31, 2022 and December 31, 2021, there were no PCD 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 March 31, 2022 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at March 31, 2022
Individually evaluated collateral dependent loans recorded at fair value:
Commercial real estate	$	—	$	—	$	566	$	566
Residential real estate	—		—		261		261
Total individually evaluated collateral dependent loans recorded at fair value	$	—	$	—	$	827	$	827

MSRs	$	—	$	14,021	$	—	$	14,021

OREO recorded at fair value:
Residential real estate	—		—		760		760
Total OREO recorded at fair value	$	—	$	—	$	760	$	760

Other repossessed assets	$	—	$	—	$	—	$	—


Fair Value Measurements at December 31, 2021 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at December 31, 2021
Individually evaluated collateral dependent loans recorded at fair value:
Commercial real estate	$	—	$	—	$	831	$	831
Residential real estate	—		—		272		272
Total individually evaluated collateral dependent loans recorded at fair value	$	—	$	—	$	1,103	$	1,103

MSRs	$	—	$	13,482	$	—	$	13,482

OREO recorded at fair value:
Residential real estate	—		—		775		775
Total OREO recorded at fair value	$	—	$	—	$	775	$	775

Other repossessed assets	$	—	$	—	$	2,750	$	2,750

Schedule of impaired financing receivables additional info

The following tables provide the amortized cost basis of collateral-dependent loans by class of loan, as of March 31, 2022 and December 31, 2021:


	March 31, 2022
(In thousands)	Real Estate		Business Assets		Other		Total
Commercial, financial and agricultural
Commercial, financial and agricultural	$	8,343	$	13,742	$	201	$	22,286
Commercial real estate	42,534		35		—		42,569
Construction real estate:
Commercial	1,152		—		—		1,152
Residential real estate:
Commercial	2,620		20		—		2,640
Mortgage	366		—		—		366
HELOC	124		—		—		124
Leases	—		1,059		—		1,059
Total loans	$	55,139	$	14,856	$	201	$	70,196


	December 31, 2021
(In thousands)	Real Estate		Business Assets		Other		Total
Commercial, financial and agricultural
Commercial, financial and agricultural	$	9,321	$	13,366	$	156	$	22,843
Commercial real estate	52,901		37		—		52,938
Construction real estate:
Commercial	1,178		—		—		1,178
Residential real estate:
Commercial	2,906		—		57		2,963
Mortgage	370		—		—		370
HELOC	148		—		—		148
Leases	—		1,211		—		1,211
Total loans	$	66,824	$	14,614	$	213	$	81,651

Interest income on nonaccrual loans individually evaluated for impairment is recognized on a cash basis only when Park expects to receive the entire recorded investment in the loans. Interest income on accruing TDRs individually evaluated for impairment continues to be recorded on an accrual basis. The following table presents interest income recognized on nonaccrual loans for the three-month periods ended March 31, 2022 and 2021:


	Interest Income Recognized
(In thousands)	Three Months Ended March 31, 2022		Three Months Ended March 31, 2021
Commercial, financial and agricultural:
Commercial, financial and agricultural	$	17	$	57
PPP loans	—		—
Overdrafts	—		—
Commercial real estate	257		515
Construction real estate:
Commercial	1		33
Retail	4		1
Residential real estate:
Commercial	20		46
Mortgage	33		79
HELOC	4		4
Installment	2		1
Consumer:
Consumer	14		23
GFSC	2		5
Check loans	—		—
Leases	14		20
Total loans	$	368	$	784

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 March 31, 2022 and December 31, 2021:

March 31, 2022

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range
(Weighted Average)

Individually evaluated collateral dependent loans:

Commercial real estate

566

Sales comparison approach

Adj to comparables

0.0% - 232.0% (22.8%)

Residential real estate

261

Sales comparison approach

Adj to comparables

0.5% - 78.6% (11.4%)

Cost approach

Accumulated depreciation

8.3% (8.3%)

Other real estate owned:

Residential real estate

760

Sales comparison approach

Adj to comparables

5.0% - 32.5% (19.1%)

Balance at December 31, 2021

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range
(Weighted Average)

Individually evaluated collateral dependent loans:

Commercial real estate

831

Sales comparison approach

Adj to comparables

0.0% - 232.0% (28.3%)

Residential real estate

272

Sales comparison approach

Adj to comparables

0.5% - 78.6% (11.6%)

Cost approach

Accumulated depreciation

8.3% (8.3%)

Other real estate owned:

Residential real estate

775

Sales comparison approach

Adj to comparables

5.0% - 32.5% (19.1%)

Fair Value, by Balance Sheet Grouping

The fair value of certain financial instruments at March 31, 2022 and December 31, 2021, was as follows:


	March 31, 2022
			Fair Value Measurements
(In thousands)	Carrying value		Level 1		Level 2		Level 3		Total fair value
Financial assets:
Cash and money market instruments	$	246,892	$	246,892	$	—	$	—	$	246,892
Investment securities (1)	1,757,147		—		1,757,147		—		1,757,147
Other investment securities (2)	2,037		1,546		—		491		2,037

Mortgage loans held for sale	7,852		—		7,852		—		7,852
Mortgage IRLCs	301		—		301		—		301
Individually evaluated loans carried at fair value	827		—		—		827		827
Other loans, net	6,733,765		—		—		6,713,878		6,713,878
Loans receivable, net	$	6,742,745	$	—	$	8,153	$	6,714,705	$	6,722,858

Financial liabilities:
Time deposits	$	694,544	$	—	$	696,789	$	—	$	696,789
Other	2,770		2,770		—		—		2,770
Deposits (excluding demand deposits)	$	697,314	$	2,770	$	696,789	$	—	$	699,559

Short-term borrowings	$	205,927	$	—	$	205,927	$	—	$	205,927
Subordinated notes	188,322		—		201,516		—		201,516

Derivative financial instruments - assets:
Loan interest rate swaps	923		—		923		—		923

Derivative financial instruments - liabilities:
Fair value swap	226		—		—		226		226
Borrowing interest rate swap	86		—		86		—		86
Loan interest rate swaps	923		—		923		—		923

(1) Includes debt securities AFS.

(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, 2021
			Fair Value Measurements
(In thousands)	Carrying value		Level 1		Level 2		Level 3		Total fair value
Financial assets:
Cash and money market instruments	$	219,180	$	219,180	$	—	$	—	$	219,180
Investment securities (1)	1,754,140		—		1,754,140		—		1,754,140
Other investment securities (2)	2,129		1,630		—		499		2,129

Mortgage loans held for sale	9,387		—		9,387		—		9,387
Mortgage IRLCs	333		—		333		—		333
Individually evaluated loans carried at fair value	1,103		—		—		1,103		1,103
Other loans, net	6,777,102		—		—		6,783,848		6,783,848
Loans receivable, net	$	6,787,925	$	—	$	9,720	$	6,784,951	$	6,794,671

Financial liabilities:
Time deposits	$	711,660	$	—	$	714,307	—		$	714,307
Other	1,465		1,465		—		—		1,465
Deposits (excluding demand deposits)	$	713,125	$	1,465	$	714,307	$	—	$	715,772

Short-term borrowings	$	238,786	$	—	$	238,786	$	—	$	238,786
Subordinated notes	188,210		—		207,912		—		207,912

Derivative financial instruments - assets:
Loan interest rate swaps	1,952		—		1,952		—		1,952

Derivative financial instruments - liabilities:
Fair value swap	$	226	$	—	$	—	$	226	$	226
Borrowing interest rate swap	262		—		262		—		262
Loan interest rate swaps	1,952		—		1,952		—		1,952

Impaired Financing Receivables at fair value


	March 31, 2022
(In thousands)	Loan Balance		Prior Charge-Offs		Specific Valuation Allowance		Carrying Balance
Total individually evaluated collateral dependent loans recorded at fair value	$	970	$	240	$	143	$	827
Remaining individually evaluated loans	62,239		384		1,370		60,869
Total individually evaluated loans	$	63,209	$	624	$	1,513	$	61,696


	December 31, 2021
(In thousands)	Loan Balance		Prior Charge-Offs		Specific Valuation Allowance		Carrying Balance
Total individually evaluated collateral dependent loans recorded at fair value	$	1,291	$	240	$	188	$	1,103
Remaining individually evaluated loans	73,211		384		1,428		71,783
Total individually evaluated loans	$	74,502	$	624	$	1,616	$	72,886