Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2018

Assets and liabilities measured at fair value

Assets and liabilities measured at fair value, including financial assets for which we have elected the fair value option, were as follows:

			Fair Value Measurements Using
	Fair Value Measure- ments		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Un- observable Inputs (Level 3)
	(In thousands)
March 31, 2018:
Measured at Fair Value on a Recurring Basis
Assets
Equity securities at fair value	$	301	$	301	$	-	$	-
Securities available for sale
U.S. Treasury		599		599		-		-
U.S. agency		23,936		-		23,936		-
U.S. agency residential mortgage-backed		137,244		-		137,244		-
U.S. agency commercial mortgage-backed		9,945		-		9,945		-
Private label mortgage-backed		28,451		-		28,451		-
Other asset backed		90,527		-		90,527		-
Obligations of states and political subdivisions		151,823		-		151,823		-
Corporate		41,749		-		41,749		-
Trust preferred		2,810		-		2,810		-
Foreign government		2,035		-		2,035		-
Loans held for sale		34,148		-		34,148		-
Capitalized mortgage loan servicing rights		17,783		-		-		17,783
Derivatives (1)		4,791		-		4,791		-
Liabilities
Derivatives (2)		2,056		-		2,056		-

Measured at Fair Value on a Non-recurring basis:
Assets
Impaired loans (3)
Commercial
Income producing - real estate		302		-		-		302
Land, land development & construction-real estate		3		-		-		3
Commercial and industrial		874		-		-		874
Mortgage
1-4 family		276		-		-		276
Other real estate (4)
Mortgage
1-4 family		35		-		-		35
Resort lending		136		-		-		136

(1)	Included in accrued income and other assets

(2)	Included in accrued expenses and other liabilities

(3)	Only includes impaired loans with specific loss allocations based on collateral value.

(4)	Only includes other real estate with subsequent write downs to fair value.

			Fair Value Measurements Using
	Fair Value Measure- ments		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Un- observable Inputs (Level 3)
	(In thousands)
December 31, 2017:
Measured at Fair Value on a Recurring Basis:
Assets
Trading securities	$	455	$	455	$	-	$	-
Securities available for sale
U.S. Treasury		898		898		-		-
U.S. agency		25,682		-		25,682		-
U.S. agency residential mortgage-backed		137,918		-		137,918		-
U.S. agency commercial mortgage-backed		9,760		-		9,760		-
Private label mortgage-backed		29,109		-		29,109		-
Other asset backed		93,898		-		93,898		-
Obligations of states and political subdivisions		172,945		-		172,945		-
Corporate		47,853		-		47,853		-
Trust preferred		2,802		-		2,802		-
Foreign government		2,060		-		2,060		-
Loans held for sale		39,436		-		39,436		-
Capitalized mortgage loan servicing rights		15,699		-		-		15,699
Derivatives (1)		3,080		-		3,080		-
Liabilities
Derivatives (2)		1,292		-		1,292		-

Measured at Fair Value on a Non-recurring basis:
Assets
Impaired loans (3)
Commercial
Income producing - real estate		274		-		-		274
Land, land development & construction-real estate		9		-		-		9
Commercial and industrial		1,051		-		-		1,051
Mortgage
1-4 family		339		-		-		339
Resort lending		207		-		-		207
Other real estate (4)
Mortgage
1-4 family		186		-		-		186
Resort lending		65		-		-		65

(1)	Included in accrued income and other assets

(2)	Included in accrued expenses and other liabilities

(3)	Only includes impaired loans with specific loss allocations based on collateral value.

(4)	Only includes other real estate with subsequent write downs to fair value.

Changes in fair value for financial assets

Changes in fair values for financial assets which we have elected the fair value option for the periods presented were as follows:

	Changes in Fair Values for the three-Month Periods Ended March 31 for Items Measured at Fair Value Pursuant to Election of the Fair Value Option
	Net Gains (Losses) on Assets						Mortgage			Total Change in Fair Values Included in Current
	Securities			Mortgage Loans			Loan Servicing, net			Period Earnings
	(In thousands)
2018
Equity securities at fair value	$	(154	)	$	-		$	-		$	(154	)
Loans held for sale		-			(153	)		-			(153	)
Capitalized mortgage loan servicing rights		-			-			1,029			1,029

2017
Trading securities	$	(79	)	$	-		$	-		$	(79	)
Loans held for sale		-			581			-			581
Capitalized mortgage loan servicing rights		-			-			(264	)		(264	)

Reconciliation for all assets and (liabilities) measured at fair value on a recurring basis using significant unobservable inputs (Level 3)

A reconciliation for all assets and (liabilities) measured at fair value on a recurring basis using significant unobservable inputs (Level 3) follows:

	Capitalized Mortgage Loan Servicing Rights
	Three Months Ended March 31,
	2018		2017
	(In thousands)
Beginning balance	$	15,699	$	-
Change in accounting		-		14,213
Beginning balance, as adjusted		15,699		14,213
Total gains (losses) realized and unrealized:
Included in results of operations		1,029		(264	)
Included in other comprehensive income (loss)		-		-
Purchases, issuances, settlements, maturities and calls		1,055		778
Transfers in and/or out of Level 3		-		-
Ending balance	$	17,783	$	14,727

Amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at March 31	$	1,029	$	(264	)

Quantitative information about Level 3 fair value measurements measured on a recurring basis and non-recurring basis

Quantitative information about our Level 3 fair value measurements measured on a recurring basis follows:

Asset

Fair

Value

Valuation

Technique

Unobservable

Inputs

Range

Weighted

Average

(In thousands)

March 31, 2018

Capitalized mortgage loan servicing rights

17,783

Present value of net

Discount rate

10.00% to 13.00 %

10.14

servicing revenue

Cost to service

$ 66 to $216

Ancillary income

20 to 36

Float rate

2.70% to 2.70 %

2.70

December 31, 2017

Capitalized mortgage loan servicing rights

15,699

Present value of net

Discount rate

9.88% to 11.00 %

10.11

servicing revenue

Cost to service

$ 66 to $216

Ancillary income

20 to 36

Float rate

2.24% to 2.24 %

2.24

Quantitative information about Level 3 fair value measurements measured on a non-recurring basis follows:

Asset

Fair

Value

Valuation

Technique

Unobservable

Inputs

Range

Weighted

Average

(In thousands)

March 31, 2018

Impaired loans

Commercial

1,179

Sales comparison approach

Adjustment for differences between comparable sales

(32.5)% to 25.0%

(3.9

Mortgage

276

Sales comparison approach

Adjustment for differences between comparable sales

(30.9) to 77.9

7.0

Other real estate

Mortgage

171

Sales comparison approach

Adjustment for differences between comparable sales

(33.0) to 44.5

(2.0

)

December 31, 2017

Impaired loans

Commercial

1,334

Sales comparison approach

Adjustment for differences between comparable sales

(32.5)% to 25.0%

(4.5

Mortgage

546

Sales comparison approach

Adjustment for differences between comparable sales

(21.1) to 34.1

(2.7

)

Other real estate

Mortgage

251

Sales comparison approach

Adjustment for differences between comparable sales

(33.0) to 44.5

(1.0

)

Aggregate fair value and aggregate remaining contractual principal balance for loans held for sale

The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding for loans held for sale for which the fair value option has been elected for the periods presented.

	Aggregate Fair Value		Difference		Contractual Principal
	(In thousands)
Loans held for sale
March 31, 2018	$	34,148	$	691	$	33,457
December 31, 2017		39,436		844		38,592

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details