Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020

Fair value measurements

Schedule of differences between the fair value carrying amount of mortgages held for sale measured at fair value and the aggregate unpaid principal amount

The following table shows the differences between fair value carrying amount of mortgages held for sale measured at fair value and the aggregate unpaid principal amount the Company is contractually entitled to receive at maturity on December 31, 2020 and 2019.

(Dollars in thousands)	Fair value carrying amount		Aggregate unpaid principal		Excess of fair value carrying amount over (under) unpaid principal
December 31, 2020
Mortgages held for sale reported at fair value:
Total Loans	$	12,885	$	11,045	$	1,840	(1)
December 31, 2019
Mortgages held for sale reported at fair value:
Total Loans	$	20,277	$	19,890	$	387	(1)

(1) The excess of fair value carrying amount over (under) unpaid principal is included in mortgage banking income and includes changes in fair value at and subsequent to funding and gains and losses on the related loan commitment prior to funding.

Schedule of assets and liabilities measured at fair value on a recurring basis

The following table shows the balance of assets and liabilities measured at fair value on a recurring basis.

(Dollars in thousands)	Level 1		Level 2		Level 3		Total
December 31, 2020
Assets:
Investment securities available-for-sale:
U.S. Treasury and Federal agencies securities	$	80,285	$	539,197	$	—	$	619,482
U.S. States and political subdivisions securities	—		78,975		2,152		81,127
Mortgage-backed securities - Federal agencies	—		453,789		—		453,789
Corporate debt securities	—		42,369		—		42,369
Foreign government securities	—		700		—		700
Total debt securities available-for-sale	80,285		1,115,030		2,152		1,197,467
Mortgages held for sale	—		12,885		—		12,885
Accrued income and other assets (interest rate swap agreements)	—		46,654		—		46,654
Total	$	80,285	$	1,174,569	$	2,152	$	1,257,006
Liabilities:
Accrued expenses and other liabilities (interest rate swap agreements)	$	—	$	47,681	$	—	$	47,681
Total	$	—	$	47,681	$	—	$	47,681
December 31, 2019
Assets:
Investment securities available-for-sale:
U.S. Treasury and Federal agencies securities	$	80,393	$	446,571	$	—	$	526,964
U.S. States and political subdivisions securities	—		82,213		2,292		84,505
Mortgage-backed securities - Federal agencies	—		375,389		—		375,389
Corporate debt securities	—		53,025		—		53,025
Foreign government securities	—		700		—		700
Total debt securities available-for-sale	80,393		957,898		2,292		1,040,583
Mortgages held for sale	—		20,277		—		20,277
Accrued income and other assets (interest rate swap agreements)	—		21,975		—		21,975
Total	$	80,393	$	1,000,150	$	2,292	$	1,082,835
Liabilities:
Accrued expenses and other liabilities (interest rate swap agreements)	$	—	$	22,352	$	—	$	22,352
Total	$	—	$	22,352	$	—	$	22,352

Schedule of changes in Level 3 assets and liabilities measured at fair value on a recurring basis

The following table shows the changes in Level 3 assets and liabilities measured at fair value on a recurring basis.

(Dollars in thousands)	U.S. States and political subdivisions securities
Beginning balance January 1, 2020	$	2,292
Total gains or losses (realized/unrealized):
Included in earnings	—
Included in other comprehensive income	58
Purchases	3,100
Issuances	—
Sales	—
Settlements	—
Maturities	(3,298)
Transfers into Level 3	—
Transfers out of Level 3	—
Ending balance December 31, 2020	$	2,152
Beginning balance January 1, 2019	$	1,025
Total gains or losses (realized/unrealized):
Included in earnings	—
Included in other comprehensive income	(35)
Purchases	5,600
Issuances	—
Sales	—
Settlements	—
Maturities	(4,298)
Transfers into Level 3	—
Transfers out of Level 3	—
Ending balance December 31, 2019	$	2,292

Schedule of carrying value of assets measured at fair value on a non-recurring basis

The following table shows the carrying value of assets measured at fair value on a non-recurring basis.

(Dollars in thousands)	Level 1		Level 2		Level 3		Total
December 31, 2020
Collateral-dependent impaired loans	$	—	$	—	$	11,991	$	11,991
Accrued income and other assets (mortgage servicing rights)	—		—		3,804		3,804
Accrued income and other assets (repossessions)	—		—		1,976		1,976
Accrued income and other assets (other real estate)	—		—		359		359
Total	$	—	$	—	$	18,130	$	18,130
December 31, 2019
Collateral-dependent impaired loans	$	—	$	—	$	8,492	$	8,492
Accrued income and other assets (mortgage servicing rights)	—		—		4,200		4,200
Accrued income and other assets (repossessions)	—		—		8,623		8,623
Accrued income and other assets (other real estate)	—		—		522		522
Total	$	—	$	—	$	21,837	$	21,837

Schedule of fair values of financial instruments

The following table shows the fair values of the Company’s financial instruments.

(Dollars in thousands)	Carrying or Contract Value		Fair Value		Level 1		Level 2		Level 3
December 31, 2020
Assets:
Cash and due from banks	$	74,186	$	74,186	$	74,186	$	—	$	—
Federal funds sold and interest bearing deposits with other banks	168,861		168,861		168,861		—		—
Investment securities, available-for-sale	1,197,467		1,197,467		80,285		1,115,030		2,152
Other investments	27,429		27,429		27,429		—		—
Mortgages held for sale	12,885		12,885		—		12,885		—
Loans and leases, net of allowance for loan and lease losses	5,348,647		5,417,396		—		—		5,417,396
Mortgage servicing rights	3,804		4,038		—		—		4,038
Accrued interest receivable	20,242		20,242		—		20,242		—
Interest rate swaps	46,654		46,654		—		46,654		—
Liabilities:
Deposits	$	5,946,028	$	5,955,545	$	4,778,671	$	1,176,874	$	—
Short-term borrowings	150,641		150,641		143,730		6,911		—
Long-term debt and mandatorily redeemable securities	81,864		82,965		—		82,965		—
Subordinated notes	58,764		58,560		—		58,560		—
Accrued interest payable	3,996		3,996		—		3,996		—
Interest rate swaps	47,681		47,681		—		47,681		—
Off-balance-sheet instruments *	—		321		—		321		—
December 31, 2019
Assets:
Cash and due from banks	$	67,215	$	67,215	$	67,215	$	—	$	—
Federal funds sold and interest bearing deposits with other banks	16,150		16,150		16,150		—		—
Investment securities, available-for-sale	1,040,583		1,040,583		80,393		957,898		2,292
Other investments	28,414		28,414		28,414		—		—
Mortgages held for sale	20,277		20,277		—		20,277		—
Loans and leases, net of allowance for loan and lease losses	4,974,273		4,992,684		—		—		4,992,684
Mortgage servicing rights	4,200		5,986		—		—		5,986
Accrued interest receivable	19,125		19,125		—		19,125		—
Interest rate swaps	21,975		21,975		—		21,975		—
Liabilities:
Deposits	$	5,357,326	$	5,362,633	$	3,708,828	$	1,653,805	$	—
Short-term borrowings	145,893		145,893		120,891		25,002		—
Long-term debt and mandatorily redeemable securities	71,639		71,084		—		71,084		—
Subordinated notes	58,764		61,469		—		61,469		—
Accrued interest payable	13,918		13,918		—		13,918		—
Interest rate swaps	22,352		22,352		—		22,352		—
Off-balance-sheet instruments *	—		281		—		281		—

* Represents estimated cash outflows required to currently settle the obligations at current market rates.

Recurring

Fair value measurements

Schedule of valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a recurring and non-recurring basis

The following table shows the valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a recurring basis.

(Dollars in thousands)	Fair value		Valuation Methodology	Unobservable Inputs	Range of Inputs	Weighted Average
December 31, 2020
Debt securities available-for-sale
Direct placement municipal securities	$	2,152	Discounted cash flows	Credit spread assumption	0.04% - 2.30%	1.55	%
December 31, 2019
Debt securities available-for-sale
Direct placement municipal securities	$	2,292	Discounted cash flows	Credit spread assumption	0.12% - 2.85%

Non-recurring

Fair value measurements

Schedule of valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a recurring and non-recurring basis

The following table shows the valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a non-recurring basis.

(Dollars in thousands)	Carrying Value		Fair Value		Valuation Methodology	Unobservable Inputs	Range of Inputs	Weighted Average
December 31, 2020
Collateral-dependent impaired loans	$	11,991	$	11,991	Collateral based measurements including appraisals, trade publications, and auction values	Discount for lack of marketability and current conditions	0% - 100%	43.7	%
Mortgage servicing rights	3,804		4,038		Discounted cash flows	Constant prepayment rate (CPR)	16.2% - 30.5%	22.8	%
						Discount rate	8.3% - 11.1%	8.5	%
Repossessions	1,976		2,144		Appraisals, trade publications and auction values	Discount for lack of marketability	0% - 16%	8	%
Other real estate	359		388		Appraisals	Discount for lack of marketability	6% - 13%	7	%
December 31, 2019
Collateral-dependent impaired loans	$	8,492	$	8,492	Collateral based measurements including appraisals, trade publications, and auction values	Discount for lack of marketability and current conditions	0% - 90%
Mortgage servicing rights	4,200		5,986		Discounted cash flows	Constant prepayment rate (CPR)	10.2% - 28.1%
						Discount rate	9.3% - 12.1%
Repossessions	8,623		9,211		Appraisals, trade publications and auction values	Discount for lack of marketability	3% - 25%
Other real estate	522		564		Appraisals	Discount for lack of marketability	0% - 11%