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Fair Value (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at September 30, 2022
Assets
Investment securities:
Obligations of U.S. Treasury and other U.S. Government sponsored entities	$	—	$	38,122	$	—	$	38,122
Obligations of states and political subdivisions	—		393,918		—		393,918
U.S. Government sponsored entities’ asset-backed securities	—		784,863		—		784,863
Collateralized loan obligations	—		509,058		—		509,058
Corporate debt securities	—		16,162		—		16,162
Equity securities	1,277		—		469		1,746
Mortgage loans held for sale	—		1,928		—		1,928
Mortgage IRLCs	—		102		—		102
Loan interest rate swaps	—		1,622		—		1,622

Liabilities
Fair value swap	$	—	$	—	$	243	$	243
Borrowing interest rate swap	—		—		—		—
Loan interest rate swaps	—		1,622		—		1,622


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 following tables present a reconciliation of the beginning and ending balances of the Level 3 inputs for the three-month and nine-month periods ended September 30, 2022 and 2021, for financial instruments measured on a recurring basis and classified as Level 3:


Level 3 Fair Value Measurements
Three months ended September 30, 2022 and 2021
(In thousands)	Equity securities		Fair value swap
Balance at July 1, 2022	$	491	$	(447)
Total losses
Included in other income / expense	(22)		—
Purchases, sales, issuances and settlements, other, net	—		204
Balance at September 30, 2022	$	469	$	(243)

Balance at July 1, 2021	$	490	$	(226)
Total gains
Included in other income	1		—
Balance at September 30, 2021	$	491	$	(226)


Level 3 Fair Value Measurements
Nine months ended September 30, 2022 and 2021
(In thousands)	Equity securities			Fair value swap
Balance at January 1, 2022	$	499		$	(226)
Total losses
Included in other income / expense	(30)			(221)
Purchases, sales, issuances and settlements, other, net	—			204
Balance at September 30, 2022	$	469		$	(243)

Balance at January 1, 2021	$	485		$	(226)
Total gains
Included in other income	6			—
Balance at September 30, 2021	$	491	491	$	(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 September 30, 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 September 30, 2022 using:
(In thousands)	Level 1		Level 2		Level 3		Balance at September 30, 2022
Individually evaluated collateral dependent loans recorded at fair value:
Commercial real estate	$	—	$	—	$	4,685	$	4,685
Residential real estate	—		—		204		204
Total individually evaluated collateral dependent loans recorded at fair value	$	—	$	—	$	4,889	$	4,889

MSRs	$	—	$	1,673	$	—	$	1,673

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

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 September 30, 2022 and December 31, 2021:


	September 30, 2022
(In thousands)	Real Estate		Business Assets		Other		Total
Commercial, financial and agricultural
Commercial, financial and agricultural	$	8,716	$	3,318	$	225	$	12,259
Commercial real estate	31,436		30		—		31,466
Construction real estate:
Commercial	1,107		—		—		1,107
Residential real estate:
Commercial	2,452		—		—		2,452
Mortgage	94		—		—		94
HELOC	124		—		—		124
Leases	—		1,035		—		1,035
Total loans	$	43,929	$	4,383	$	225	$	48,537


	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. The following table presents interest income recognized on nonaccrual loans for the three-month and the nine-month periods ended September 30, 2022 and 2021:


	Interest Income Recognized
(In thousands)	Three Months Ended September 30, 2022		Three Months Ended September 30, 2021		Nine Months Ended September 30, 2022		Nine Months Ended September 30, 2021
Commercial, financial and agricultural:
Commercial, financial and agricultural	$	15	$	40	$	45	$	147
PPP loans	—		—		—		—
Overdrafts	—		—		—		—
Commercial real estate	237		458		751		1,480
Construction real estate:
Commercial	6		1		10		38
Retail	—		—		4		1
Residential real estate:
Commercial	24		60		64		180
Mortgage	43		90		112		233
HELOC	5		2		11		12
Installment	1		—		3		2
Consumer:
Consumer	14		23		42		71
GFSC	1		3		4		11
Check loans	—		—		—		—
Leases	9		17		33		61
Total loans	$	355	$	694	$	1,079	$	2,236

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 September 30, 2022 and December 31, 2021:

September 30, 2022

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range
(Weighted Average)

Individually evaluated collateral dependent loans:

Commercial real estate

4,685

Sales comparison approach

Adj to comparables

0.0% - 85.7% (11.9%)

Income approach

Capitalization rate

7.5% - 8.3% (8.1%)

Cost approach

Accumulated depreciation

26.0% (26.0%)

Residential real estate

204

Sales comparison approach

Adj to comparables

1.9% - 119.8% (17.4%)

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 September 30, 2022 and December 31, 2021, was as follows:


	September 30, 2022
			Fair Value Measurements
(In thousands)	Carrying value		Level 1		Level 2		Level 3		Total fair value
Financial assets:
Cash and money market instruments	$	207,433	$	207,433	$	—	$	—	$	207,433
Investment securities (1)	1,742,123		—		1,742,123		—		1,742,123
Other investment securities (2)	1,746		1,277		—		469		1,746

Mortgage IRLCs	102		—		102		—		102
Mortgage loans held for sale	1,928		—		1,928		—		1,928
Individually evaluated loans carried at fair value	4,889		—		—		4,889		4,889
Other loans, net	7,012,366		—		—		6,910,287		6,910,287
Loans receivable, net	$	7,019,285	$	—	$	2,030	$	6,915,176	$	6,917,206

Financial liabilities:
Time deposits	$	613,222	$	—	$	615,544	$	—	$	615,544
Other	5,280		5,280		—		—		5,280
Deposits (excluding demand deposits)	$	618,502	$	5,280	$	615,544	$	—	$	620,824

Short-term borrowings	$	189,493	$	—	$	189,493	$	—	$	189,493
Subordinated notes	188,551		—		178,812		—		178,812

Derivative financial instruments - assets:
Loan interest rate swaps	$	1,622	$	—	$	1,622	$	—	$	1,622

Derivative financial instruments - liabilities:
Fair value swap	$	243	$	—	$	—	$	243	$	243
Borrowing interest rate swap	—		—		—		—		—
Loan interest rate swaps	1,622		—		1,622		—		1,622

(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


	September 30, 2022
(In thousands)	Loan Balance		Prior Charge-Offs		Specific Valuation Allowance		Carrying Balance
Total individually evaluated collateral dependent loans recorded at fair value	$	6,042	$	543	$	1,153	$	4,889
Remaining individually evaluated loans	37,628		252		597		37,031
Total individually evaluated loans	$	43,670	$	795	$	1,750	$	41,920


	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