Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

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)
June 30, 2020:
Measured at Fair Value on a Recurring Basis
Assets
Securities available for sale
U.S. agency	$	12,440	$	-	$	12,440	$	-
U.S. agency residential mortgage-backed		292,930		-		292,930		-
U.S. agency commercial mortgage-backed		9,368		-		9,368		-
Private label mortgage-backed		41,351		-		41,351		-
Other asset backed		226,273		-		226,273		-
Obligations of states and political subdivisions		207,555		-		207,555		-
Corporate		64,184		-		64,184		-
Trust preferred		1,661		-		1,661		-
Foreign government		518		-		518		-
Loans held for sale, carried at fair value		83,706		-		83,706		-
Capitalized mortgage loan servicing rights		13,773		-		-		13,773
Derivatives (1)		18,819		-		18,819		-
Liabilities
Derivatives (2)		13,563		-		13,563		-
Measured at Fair Value on a Non-recurring Basis:
Assets
Impaired loans (3)
Commercial
Commercial and industrial		1,753		-		-		1,753
Commercial real estate (4)		14,256		2,616		-		11,640
Mortgage
1-4 family owner occupied - jumbo		70		-		-		70
1-4 family owner occupied - non-jumbo		474		-		-		474
1-4 family non-owner occupied		244		-		-		244
1-4 family - 2nd lien		170		-		-		170
Resort lending		215		-		-		215
Installment
Boat lending		47		-		-		47
Recreational vehicle lending		30		-		-		30
Other		134		-		-		134
Other real estate (5)
Commercial - commercial real estate		474		-		-		474
Mortgage - 1-4 family owner occupied - non-jumbo		25		-		-		25

(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) The fair value of $2.6 million of commercial real estate property included in this table was based on an auction held prior to June 30, 2020. Auction proceeds in this amount were received on July 21, 2020.

(5) 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, 2019:
Measured at Fair Value on a Recurring Basis
Assets
Securities available for sale
U.S. agency	$	14,661	$	-	$	14,661	$	-
U.S. agency residential mortgage-backed		227,762		-		227,762		-
U.S. agency commercial mortgage-backed		10,756		-		10,756		-
Private label mortgage-backed		39,693		-		39,693		-
Other asset backed		93,886		-		93,886		-
Obligations of states and political subdivisions		96,102		-		96,102		-
Corporate		33,195		-		33,195		-
Trust preferred		1,843		-		1,843		-
Foreign government		502		-		502		-
Loans held for sale, carried at fair value		69,800		-		69,800		-
Capitalized mortgage loan servicing rights		19,171		-		-		19,171
Derivatives (1)		5,464		-		5,464		-
Liabilities
Derivatives (2)		4,402		-		4,402		-
Measured at Fair Value on a Non-recurring Basis:
Assets
Impaired loans (3)
Commercial
Commercial and industrial		655		-		-		655
Commercial real estate		316		-		-		316
Mortgage
1-4 family owner occupied - jumbo		987		-		-		987
1-4 family owner occupied - non-jumbo		470		-		-		470
1-4 family non-owner occupied		281		-		-		281
1-4 family - 2nd lien		294		-		-		294
Resort lending		245		-		-		245
Installment
Boat lending		67		-		-		67
Recreational vehicle lending		2		-		-		2
Other		121		-		-		121
Other real estate (4)
Mortgage - 1-4 family owner occupied - non-jumbo		31		-		-		31
Installment - other		28		-		-		28

(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 Six-Month Periods Ended June 30 for Items Measured at Fair Value Pursuant to Election of the Fair Value Option
	Net Gains on Assets				Mortgage			Total Change in Fair Values Included in Current
	Securities		Mortgage Loans		Loan Servicing, net			Period Earnings
	(In thousands)
2020
Loans held for sale		-		1,387		-			1,387
Capitalized mortgage loan servicing rights		-		-		(11,641	)		(11,641	)
2019
Equity securities at fair value	$	167	$	-	$	-		$	167
Loans held for sale		-		577		-			577
Capitalized mortgage loan servicing rights		-		-		(6,113	)		(6,113	)

Reconciliation for all Assets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

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

	Capitalized Mortgage Loan Servicing Rights
	Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
	(In thousands)						(In thousands)
Beginning balance	$	14,829		$	19,909		$	19,171		$	21,400
Total gains (losses) realized and unrealized:
Included in results of operations		(4,667	)		(3,422	)		(11,641	)		(6,113	)
Included in other comprehensive income		-			-			-			-
Purchases, issuances, settlements, maturities and calls		3,611			1,407			6,243			2,607
Transfers in and/or out of Level 3		-			-			-			-
Ending balance	$	13,773		$	17,894		$	13,773		$	17,894
Amount of total losses for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at June 30	$	(4,667	)	$	(3,422	)	$	(11,641	)	$	(6,113	)

Quantitative Information About Level 3 Fair Value Measurements Measured on a Recurring Basis and Non-recurring Basis

The fair value of our capitalized mortgage loan servicing rights has been determined based on a valuation model used by an independent third party as discussed above.  The significant unobservable inputs used in the fair value measurement of the capitalized mortgage loan servicing rights are discount rate, cost to service, ancillary income, float rate and prepayment rate.  Significant changes in all four of these assumptions in isolation would result in significant changes to the value of our capitalized mortgage loan servicing rights.  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)			-		-		-
June 30, 2020
Capitalized mortgage loan servicing rights	$	13,773	Present value of net		Discount rate		10.00% to 13.00%				10.11	%
			servicing revenue		Cost to service		$	68 to $219		$	79
					Ancillary income		20 to 37				22
					Float rate			0.33	%		0.33	%
					Prepayment rate		7.19% to 57.51%				22.89	%
December 31, 2019
Capitalized mortgage loan servicing rights	$	19,171	Present value of net		Discount rate		10.00% to 13.00%				10.14	%
			servicing revenue		Cost to service		$	66 to $316		$	81
					Ancillary income		20 to 37				22
					Float rate			1.73	%		1.73	%
					Prepayment rate		7.01% to 69.34%				14.96	%

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)

-

-

June 30, 2020

Impaired loans

Commercial

$

13,393

Sales comparison approach

Adjustment for differences between comparable sales

(48.0)% to 75.0%

1.7

%

Income approach

Capitalization rate

9.5

%

9.5

%

Mortgage and Installment(1)

1,384

Sales comparison approach

Adjustment for differences between comparable sales

(40.2) to 408.2

31.4

Other real estate(2)

Mortgage

25

Sales comparison approach

Adjustment for differences between comparable sales

(16.1) to 10.6

(4.2

)

December 31, 2019

Impaired loans

Commercial

$

971

Sales comparison approach

Adjustment for differences between comparable sales

(48.0)% to 19.2%

(5.6

)%

Mortgage and Installment(1)

2,467

Sales comparison approach

Adjustment for differences between comparable sales

(25.2)% to 49.2%%

11.5%

%

Other real estate

Mortgage and Installment

59

Sales comparison approach

Adjustment for differences between comparable sales

(11.6)% to 5.0%%

(5.1%

)%

(1) In addition to the valuation techniques and unobservable inputs discussed above, at June 30, 2020 and December 31, 2019 certain impaired collateral dependent installment loans totaling approximately $0.21 million and $0.14 million, respectively are secured by collateral other than real estate.  For the majority of these loans, we apply internal discount rates to industry valuation guides.

(2) $0.47 million of commercial real estate other real estate was based on a broker price opinion and is not included in this table.

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
June 30, 2020	$	83,706	$	3,281	$	80,425
December 31, 2019		69,800		1,894		67,906