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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
3 Months Ended
Mar. 31, 2020
FAIR VALUE OF FINANCIAL INSTRUMENTS  
Schedule of assets and liabilities measured and recorded at fair value

March 31, 2020

 

Quoted prices

 

in active

Significant

 

markets

other

Significant

 

for identical

observable

unobservable

 

assets

inputs

inputs

 

(dollars in thousands)

Total

(Level 1)

(Level 2)

(Level 3)

 

Assets and liabilities measured at fair value on a recurring basis:

    

    

    

    

    

    

    

    

Assets

Investment securities available for sale:

U.S. government sponsored entities and U.S. agency securities

$

47,357

$

$

47,357

$

Mortgage-backed securities - agency

 

326,700

 

 

326,700

 

Mortgage-backed securities - non-agency

27,281

27,281

State and municipal securities

 

116,094

 

 

116,094

 

Corporate securities

 

138,822

 

 

137,897

 

925

Equity securities

5,640

5,640

Loans held for sale

 

113,852

 

 

113,852

 

Interest rate lock commitments

 

4,305

 

 

4,305

 

Interest rate swap contracts

888

888

Total

$

780,939

$

$

780,014

$

925

Liabilities

Interest rate swap contracts

$

888

$

$

888

$

Assets measured at fair value on a non-recurring basis:

Loan servicing rights

$

44,566

$

$

$

44,566

Mortgage servicing rights held for sale

1,460

1,460

Nonperforming loans

 

15,972

 

 

15,450

 

522

Other real estate owned

909

909

Assets held for sale

 

3,790

 

 

3,790

 

December 31, 2019

 

Quoted prices

 

in active

Significant

 

markets

other

Significant

 

for identical

observable

unobservable

 

assets

inputs

inputs

 

(dollars in thousands)

Total

(Level 1)

(Level 2)

(Level 3)

 

Assets and liabilities measured at fair value on a recurring basis:

    

    

    

    

    

    

    

    

Assets

Investment securities available for sale:

U.S. government sponsored entities and U.S. agency securities

$

60,020

$

$

60,020

$

Mortgage-backed securities - agency

 

324,974

 

 

324,974

 

Mortgage-backed securities - non-agency

 

17,148

 

 

17,148

 

State and municipal securities

 

124,555

 

 

124,555

 

Corporate securities

 

122,736

 

 

121,781

 

955

Equity securities

5,621

5,621

Loans held for sale

 

16,431

 

 

16,431

 

Interest rate lock commitments

 

3,350

 

 

3,350

 

Interest rate swap contracts

 

306

 

 

306

 

Total

$

675,141

$

$

674,186

$

955

Liabilities

Interest rate swap contracts

$

306

$

$

306

$

Assets measured at fair value on a non-recurring basis:

Loan servicing rights

$

53,824

$

$

$

53,824

Mortgage servicing rights held for sale

1,972

1,972

Nonperforming loans

14,693

12,518

2,175

Assets held for sale

3,974

3,974

Schedule presenting activity for assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3)

Three Months Ended

March 31, 

(dollars in thousands)

2020

2019

Balance, beginning of period

$

955

$

1,923

Total realized in earnings (1)

2

22

Total unrealized in other comprehensive income (2)

(30)

7

Net settlements (principal and interest)

(2)

(22)

Balance, end of period

$

925

$

1,930

(1)Amounts included in interest income from investment securities taxable in the consolidated statements of income.
(2)Represents change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period.

Schedule presents quantitative information about significant unobservable inputs

Valuation

Unobservable

(dollars in thousands)

Fair Value

technique

input / assumptions

Range (weighted average)(1)

March 31, 2020

Corporate securities

$

925

Consensus pricing

Net market price

-1.5% - 2.0% (1.0%)

December 31, 2019

Corporate securities

$

955

Consensus pricing

Net market price

-2.0% - 2.5% (1.5%)

(1)Unobservable inputs were weighted by the relative fair value of the instruments.
Schedule presents quantitative information about significant unobservable inputs used in fair value measurements of non-recurring assets (Level 3)

Valuation

Unobservable

(dollars in thousands)

Fair Value

technique

input / assumptions

Range (weighted average)(1)

March 31, 2020

Loan servicing rights:

Commercial MSR

$

43,497

Discounted cash flow

Prepayment speed

8.00% - 22.50% (8.38%)

Discount rate

10.00% - 27.00% (11.43%)

SBA servicing rights

$

1,069

Discounted cash flow

Prepayment speed

8.31% - 9.21% (8.60%)

Discount rate

No range (11.70%)

MSR held for sale

$

1,460

Discounted cash flow

Prepayment speed

14.04% - 26.28% (16.92%)

Discount rate

9.00% - 11.50% (10.13%)

Other:

Nonperforming loans

$

522

Fair value of collateral

Discount for type of property,

No range (4.50%)

age of appraisal and current status

December 31, 2019

Loan servicing rights:

Commercial MSR

$

52,693

Discounted cash flow

Prepayment speed

8.00% - 18.00% (8.20%)

Discount rate

10.00% - 14.00% (11.02%)

SBA servicing rights

$

1,131

Discounted cash flow

Prepayment speed

8.31% - 9.21% (8.60%)

Discount rate

No range (11.70%)

MSR held for sale

$

1,972

Discounted cash flow

Prepayment speed

8.64% - 26.28% (12.42%)

Discount rate

9.50% - 12.50% (10.75%)

Other:

Nonperforming loans

$

2,175

Fair value of collateral

Discount for type of property,

4.32% - 8.00% (5.22%)

age of appraisal and current status

(1)Unobservable inputs were weighted by the relative fair value of the instruments.
Schedule of losses recognized on assets measured on a non-recurring basis

Three Months Ended

March 31, 

(dollars in thousands)

    

2020

    

2019

 

Loan servicing rights

$

8,468

$

25

Mortgage servicing rights held for sale

496

Nonperforming loans

12,919

981

Other real estate owned

605

16

Assets held for sale

146

Total losses on assets measured on a nonrecurring basis

$

22,634

$

1,022

Schedule of the fair value option for newly originated residential and commercial loans held for sale

The following table presents the difference between the aggregate fair value and the aggregate remaining principal balance for loans for which the fair value option has been elected as of March 31, 2020 and December 31, 2019:

March 31, 2020

December 31, 2019

Aggregate

Contractual

Aggregate

Contractual

(dollars in thousands)

fair value

Difference

principal

fair value

Difference

principal

Commercial loans held for sale

    

$

1,706

$

48

$

1,658

$

8,236

$

206

$

8,030

Residential loans held for sale

    

12,458

667

11,791

8,195

446

7,749

Consumer loans held for sale

99,688

99,688

Total loans held for sale

$

113,852

$

715

$

113,137

$

16,431

$

652

$

15,779

The following table presents the amount of gains and losses from fair value changes included in income before income taxes for financial assets carried at fair value for the three months ended March 31, 2020 and 2019:

Three Months Ended

March 31, 

(dollars in thousands)

2020

2019

Commercial loans held for sale

$

(158)

$

(328)

Residential loans held for sale

255

(57)

Total loans held for sale

$

97

$

(385)

Schedule presentation of summary of the carrying values and fair value estimates of certain financial instruments

March 31, 2020

 

Quoted prices

 

in active

Significant

 

markets

other

Significant

 

for identical

observable

unobservable

 

Carrying

assets

inputs

inputs

 

(dollars in thousands)

Amount

Fair Value

(Level 1)

(Level 2)

(Level 3)

 

Assets

Cash and due from banks

    

$

445,097

    

$

445,097

    

$

445,097

    

$

    

$

Federal funds sold

 

4,299

 

4,299

 

4,299

 

 

Nonmarketable equity securities

 

46,068

 

46,068

 

 

46,068

 

Loans, net

 

4,337,659

 

4,387,244

 

 

 

4,387,244

Accrued interest receivable

 

16,532

 

16,532

 

 

16,532

 

Liabilities

Deposits

$

4,650,640

$

4,661,375

$

$

4,661,375

$

Short-term borrowings

 

43,578

 

43,578

 

 

43,578

 

FHLB and other borrowings

 

593,089

 

631,450

 

 

631,450

 

Subordinated debt

 

169,505

 

160,344

 

 

160,344

 

Trust preferred debentures

 

48,420

 

42,391

 

 

42,391

 

Accrued interest payable

 

7,078

 

7,078

 

 

7,078

 

December 31, 2019

Quoted prices

in active

Significant

markets

other

Significant

for identical

observable

unobservable

Carrying

assets

inputs

inputs

(dollars in thousands)

Amount

Fair Value

(Level 1)

(Level 2)

(Level 3)

Assets

Cash and due from banks

    

$

392,694

    

$

392,694

    

$

392,694

    

$

    

$

Federal funds sold

 

1,811

 

1,811

 

1,811

 

 

Nonmarketable equity securities

 

44,505

 

44,505

 

 

44,505

 

Loans, net

 

4,373,382

 

4,385,768

 

 

 

4,385,768

Accrued interest receivable

 

16,346

 

16,346

 

 

16,346

 

Liabilities

Deposits

$

4,544,254

$

4,548,327

$

$

4,548,327

$

Short-term borrowings

 

82,029

 

82,029

 

 

82,029

 

FHLB and other borrowings

 

493,311

 

506,832

 

 

506,832

 

Subordinated debt

 

176,653

 

182,189

 

 

182,189

 

Trust preferred debentures

 

48,288

 

53,811

 

 

53,811

 

Accrued interest payable

 

6,400

 

6,400

 

 

6,400