Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present our assets and liabilities that are measured at fair value on a recurring basis by fair value hierarchy level at September 30, 2020 and December 31, 2019. There were no transfers between Level 1 and Level 2 for items measured at fair value on a recurring basis during the periods presented.


	September 30, 2020
(dollars in thousands)	Level 1		Level 2		Level 3		Total
ASSETS
Available-for-sale debt securities:
U.S. Treasury securities	$	—	$	10,323	$	—	$	10,323
Obligations of U.S. government corporations and agencies	—		93,351		—		93,351
Collateralized mortgage obligations of U.S. government corporations and agencies	—		183,032		—		183,032
Residential mortgage-backed securities of U.S. government corporations and agencies	—		17,352		—		17,352
Commercial mortgage-backed securities of U.S. government corporations and agencies	—		280,224		—		280,224
Corporate obligations	—		4,027		—		4,027
Obligations of states and political subdivisions	—		126,611		—		126,611
Total Available-for-sale Debt Securities	—		714,920		—		714,920
Marketable equity securities	3,185		64		—		3,249
Total Securities	3,185		714,984		—		718,169
Securities held in a deferred compensation plan	5,990		—		—		5,990
Derivative financial assets:
Interest rate swaps	—		90,163		—		90,163
Interest rate lock commitments	—		3,198		—		3,198

Total Assets	$	9,175	$	808,345	$	—	$	817,520
LIABILITIES
Derivative financial liabilities:
Interest rate swaps	$	—	$	90,616	$	—	$	90,616
Forward sale contracts	—		450		—		450
Total Liabilities	$	—	$	91,066	$	—	$	91,066


	December 31, 2019
(dollars in thousands)	Level 1		Level 2		Level 3		Total
ASSETS
Available-for-sale debt securities:
U.S. Treasury securities	$	—	$	10,040	$	—	$	10,040
Obligations of U.S. government corporations and agencies	—		157,697		—		157,697
Collateralized mortgage obligations of U.S. government corporations and agencies	—		189,348		—		189,348
Residential mortgage-backed securities of U.S. government corporations and agencies	—		22,418		—		22,418
Commercial mortgage-backed securities of U.S. government corporations and agencies	—		275,870		—		275,870
Corporate Bonds	—		7,627		—		7,627
Obligations of states and political subdivisions	—		116,133		—		116,133
Total Available-for-Sale Debt Securities	—		779,133		—		779,133
Marketable equity securities	5,078		72		—		5,150
Total Securities	5,078		779,205		—		784,283
Securities held in a deferred compensation plan	5,987		—		—		5,987
Derivative financial assets:
Interest rate swaps	—		25,647		—		25,647
Interest rate lock commitments	—		321		—		321
Forward sale contracts	—		1		—		1
Total Assets	$	11,065	$	805,174	$	—	$	816,239
LIABILITIES
Derivative financial liabilities:
Interest rate swaps	$	—	$	25,615	$	—	$	25,615

Total Liabilities	$	—	$	25,615	$—		$	25,615

Schedule of Assets Measured at Fair Value on Nonrecurring Basis by Significant Unobservable Inputs

For Level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2020 and December 31, 2019, the significant unobservable inputs used in the fair value measurements were as follows:


	September 30, 2020		Valuation Technique	Significant Unobservable Inputs	Range			Weighted Average (1) (2) (3)
(dollars in thousands)
Loans held for investment	$	46,857	Collateral method	Costs to sell	0%	-	22%	7.47%
			Discounted cash flow method	Discount rate	3.25%			3.25%
Other real estate owned	2,098		Collateral method	Costs to sell	0%	-	7.00%	4.67%
Mortgage servicing rights	$	4,665	Discounted cash flow method	Discount rate	9.33%	-	12.55%	9.43%
				Constant prepayment rates	7.39%	-	13.54%	13.33%
Total Assets	$	53,620


	December 31, 2019		Valuation Technique	Significant Unobservable Inputs	Range					Weighted Average (1) (2) (3)
(dollars in thousands)

Loans held for investment	$	38,697	Collateral method	Costs to sell	0	%	-	20	%	8.55%
			Discounted cash flow method	Discount rate	4.75	%	-	5.50	%	5.28%
Other real estate owned	3,231		Collateral method	Costs to sell	7.00%					7.00%
Mortgage servicing rights	$	1,134	Discounted cash flow method	Discount rate	9.39	%	-	12.54	%	9.49%
				Constant prepayment rates	7.46	%	-	12.74	%	9.73%
Total Assets	$	43,062
(1) Weighted averages for loans held for investment were weighted by loan amounts. (2) Weighted averages for other real estate owned were weighted by OREO balances. (3) Weighted averages for mortgage services rights discount rate and prepayment rates are based on note rate tranches and voluntary constant prepayment rates.

Schedule of Carrying Values and Fair Values of Financial Instruments

The carrying values and fair values of our financial instruments at September 30, 2020 and December 31, 2019 are presented in the following tables:


	Carrying Value(1)		Fair Value Measurements at September 30, 2020
(dollars in thousands)			Total		Level 1		Level 2		Level 3
ASSETS
Cash and due from banks, including interest-bearing deposits	$	308,489	$	308,489	$	308,489	$	—	$	—
Securities	718,169		718,169		3,185		714,984		—
Loans held for sale	16,724		16,724		—		—		16,724
Portfolio loans, net	7,273,870		7,196,845		—		—		7,196,845
Bank owned life insurance	81,873		81,873		—		81,873		—
FHLB and other restricted stock	15,777		15,777		—		—		15,777
Collateral receivable	90,827		90,827		90,827		—		—
Securities held in a deferred compensation plan	5,990		5,990		5,990		—		—
Mortgage servicing rights	4,717		4,718		—		—		4,718
Interest rate swaps	90,163		90,163		—		90,163		—
Interest rate lock commitments	3,198		3,198		—		3,198		—

LIABILITIES
Deposits	$	7,633,818	$	7,638,132	$	6,187,722	$	1,450,410	$	—
Securities sold under repurchase agreements	42,706		42,706		42,706		—		—
Short-term borrowings	83,000		83,000		83,000		—		—
Long-term borrowings	49,076		50,155		4,540		45,615		—
Junior subordinated debt securities	64,068		64,068		64,068		—		—
Interest rate swaps	90,616		90,616		—		90,616		—
Forward sales contracts	450		450		—		450		—
(1) As reported in the Consolidated Balance Sheets


	Carrying Value(1)		Fair Value Measurements at December 31, 2019
(dollars in thousands)			Total		Level 1		Level 2		Level 3
ASSETS
Cash and due from banks, including interest-bearing deposits	$	197,823	$	197,823	$	197,823	$	—	$	—
Securities	784,283		784,283		5,078		779,205		—
Loans held for sale	5,256		5,256		—		—		5,256
Portfolio loans, net	7,074,928		6,940,875		—		—		6,940,875
Bank owned life insurance	80,473		80,473		—		80,473		—
FHLB and other restricted stock	22,977		22,977		—		—		22,977
Securities held in a Deferred Compensation Plan	5,987		5,987		5,987		—		—
Mortgage servicing rights	4,662		4,650		—		—		4,650
Interest rate swaps	25,647		25,647		—		25,647		—
Interest rate lock commitments	321		321		—		321		—
Forward sale contracts	1		1		—		1		—
LIABILITIES
Deposits	$	7,036,576	$	7,034,595	$	5,441,143	$	1,593,452	$	—
Securities sold under repurchase agreements	19,888		19,888		19,888		—		—
Short-term borrowings	281,319		281,319		281,319		—		—
Long-term borrowings	50,868		51,339		4,678		46,661		—
Junior subordinated debt securities	64,277		64,277		64,277		—		—
Interest rate swaps	25,615		25,615		—		25,615		—

(1) As reported in the Consolidated Balance Sheets