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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2014
Fair Value Disclosures [Abstract]  
Change in Fair Value Mortgage Loans Held For Sale, Interest Rate Lock Commitments and Commitments to Sell Disclosures
The following table presents the changes in fair value related to mortgage loans held for sale, interest rate lock commitments and commitments to sell residential real estate mortgage loans for the periods indicated. Changes in fair values are reported as a component of net gains on loan sales and commissions on loans originated for others in the Consolidated Statements of Income.
(Dollars in thousands)
 
 
 
 
Three Months
 
Nine months
Periods ended September 30,
2014
 
2013
 
2014
 
2013
Mortgage loans held for sale

$172

 

$606

 

$634

 

($1,353
)
Interest rate lock commitments
498

 
127

 
1,101

 
(1,646
)
Commitments to sell
(672
)
 
(667
)
 
(1,737
)
 
3,057

Total changes in fair value

($2
)
 

$66

 

($2
)
 

$58
Assets and Liabilities Measured at Fair Value on a Recurring Basis
Items Recorded at Fair Value on a Recurring Basis
The tables below present the balances of assets and liabilities reported at fair value on a recurring basis:
(Dollars in thousands)
Total
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Unobservable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
September 30, 2014
 
 
 
Assets:
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
Obligations of U.S. government-sponsored enterprises

$30,919

 

$—

 

$30,919

 

$—

Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises
257,221

 
—

 
257,221

 
—

Obligations of states and political subdivisions
54,517

 
—

 
54,517

 
—

Individual name issuer trust preferred debt securities
27,197

 
—

 
27,197

 
—

Corporate bonds
6,219

 
—

 
6,219

 
—

Mortgage loans held for sale
35,473

 
—

 
35,473

 
—

Derivative assets (1):
 
 
 
 
 
 
 
Interest rate swap contracts with customers
2,921

 
—

 
2,921

 
—

Forward loan commitments
1,498

 
—

 
1,498

 
—

Total assets at fair value on a recurring basis

$415,965

 

$—

 

$415,965

 

$—

Liabilities:
 
 
 
 
 
 
 
Derivative liabilities (1):
 
 
 
 
 
 
 
Mirror swap contracts with counterparties

$2,972

 

$—

 

$2,972

 

$—

Interest rate risk management swap contracts
626

 
—

 
626

 
—

Forward loan commitments
2,315

 
—

 
2,315

 
—

Total liabilities at fair value on a recurring basis

$5,913

 

$—

 

$5,913

 

$—

(1)
Derivative assets are included in other assets and derivative liabilities are reported in other liabilities in the Consolidated Balance Sheets.


(Dollars in thousands)
Total
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Unobservable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
December 31, 2013
 
 
 
Assets:
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
Obligations of U.S. government-sponsored enterprises

$55,115

 

$—

 

$55,115

 

$—

Mortgage-backed securities issued by U.S. government agencies and U.S. government-sponsored enterprises
238,355

 
—

 
238,355

 
—

Obligations of states and political subdivisions
62,859

 
—

 
62,859

 
—

Individual name issuer trust preferred debt securities
24,684

 
—

 
24,684

 
—

Pooled trust preferred debt securities
547

 
—

 
547

 
—

Corporate bonds
11,343

 
—

 
11,343

 
—

Mortgage loans held for sale
11,636

 
—

 
11,636

 
—

Derivative assets (1):
 
 
 
 
 
 
 
Interest rate swap contracts with customers
2,733

 
—

 
2,733

 
—

Forward loan commitments
402

 
—

 
402

 
—

Total assets at fair value on a recurring basis

$407,674

 

$—

 

$407,674

 

$—

Liabilities:
 
 
 
 
 
 
 
Derivative liabilities (1):
 
 
 
 
 
 
 
Mirror swap contracts with counterparties

$2,703

 

$—

 

$2,703

 

$—

Interest rate risk management swap contracts
1,012

 
—

 
1,012

 
—

Forward loan commitments
583

 
—

 
583

 
—

Total liabilities at fair value on a recurring basis

$4,298

 

$—

 

$4,298

 

$—

(1)
Derivative assets are included in other assets and derivative liabilities are reported in other liabilities in the Consolidated Balance Sheets.
Schedule of Changes in Level Three Assets and Liabilities Measured at Fair Value on a Recurring Basis
There were no Level 3 assets and liabilities measured at fair value on a recurring basis during the three and nine months ended September 30, 2014.

The following table presents the changes in Level 3 assets and liabilities measured at fair value on a recurring basis:
(Dollars in thousands)
Securities Available for Sale (1)
 
Total
 
Securities Available for Sale (1)
 
Mortgage Loans Held for Sale (2)
 
Derivative Assets / (Liabilities) (3)
Periods ended September 30, 2013
Three Months
 
Nine Months
Balance at beginning of period

$397

 

$10,514

 

$843

 
9,813

 

($142
)
Gains and losses (realized and unrealized):
 
 
 
 
 
 
 
 
 
Included in earnings (4)
—

 
(2,780
)
 
(2,772
)
 
(150
)
 
142

Included in other comprehensive income
28

 
2,487

 
2,487

 
—

 
—

Purchases
—

 
—

 
—

 
—

 
—

Issuances
—

 
12,692

 
—

 
12,692

 
—

Sales
—

 
(22,355
)
 
—

 
(22,355
)
 
—

Settlements
—

 
(133
)
 
(133
)
 
—

 
—

Transfers into Level 3
—

 
—

 
—

 
—

 
—

Transfers out of Level 3
—

 
—

 
—

 
—

 
—

Balance at end of period

$425

 

$425

 

$425

 

$—

 

$—

(1)
Level 3 securities available for sale were comprised of pooled trust preferred debt securities in the form of collateralized debt obligations.
(2)
Level 3 mortgage loans held for sale consisted of certain mortgage loans whose fair value was determined utilizing a discounted cash flow analysis.
(3)
Level 3 derivative assets / liabilities consisted of forward loan commitments (interest rate lock commitments and commitments to sell residential real estate mortgages) whose fair value was determined utilizing a discounted cash flow analysis.
(4)
Losses included in earnings for Level 3 securities available for sale were included in net impairment losses recognized in earnings in the Consolidated Income Statement. Losses included in earnings for Level 3 mortgage loans held for sale and derivative assets and liabilities were included in net gains on loan sales and commissions on loans originated for others in the Consolidated Statements of Income.
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
Items Recorded at Fair Value on a Nonrecurring Basis
Certain assets are measured at fair value on a nonrecurring basis in accordance with GAAP.  These adjustments to fair value usually result from the application of lower of cost or market accounting or write-downs of individual assets.  The valuation methodologies used to measure these fair value adjustments are described above.

The following table summarizes such assets, which were written down to fair value during the nine months ended September 30, 2014:
(Dollars in thousands)
Total
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Unobservable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
September 30, 2014
 
 
 
Collateral dependent impaired loans

$5,022

 

$—

 

$—

 

$5,022

Property acquired through foreclosure or repossession
218

 
—

 
—

 
218

Total assets at fair value on a nonrecurring basis

$5,240

 

$—

 

$—

 

$5,240


The allowance for loan losses on collateral dependent impaired loans amounted to $1.1 million at September 30, 2014.

The following table summarizes such assets, which were written down to fair value during the year ended December 31, 2013:
(Dollars in thousands)
Total
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Unobservable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
December 31, 2013
 
 
 
Collateral dependent impaired loans

$11,177

 

$—

 

$—

 

$11,177

Property acquired through foreclosure or repossession
435

 
—

 
—

 
435

Total assets at fair value on a nonrecurring basis

$11,612

 

$—

 

$—

 

$11,612


The allowance for loan losses allocation on collateral dependent impaired loans amounted to $453 thousand at December 31, 2013.
Quantitative Information About Level 3 Assets Measured at Fair Value on a Nonrecurring Basis
The following tables present additional quantitative information about assets measured at fair value on a nonrecurring basis for which the Corporation has utilized Level 3 inputs to determine fair value for the dates indicated.
(Dollars in thousands)
Fair Value
 
Valuation Technique
 
Unobservable Input
Range of Inputs Utilized (Weighted Average)
September 30, 2014
 
 
Collateral dependent impaired loans

$5,022

 
Appraisals of collateral
 
Discount for costs to sell
0% - 10% (2%)
 
 
 
 
 
Appraisal adjustments (1)
0% - 40% (3%)
Property acquired through foreclosure or repossession

$218

 
Appraisals of collateral
 
Discount for costs to sell
10% (10%)
 
 
 
 
 
Appraisal adjustments (1)
9% - 37% (17%)

(Dollars in thousands)
Fair Value
 
Valuation Technique
 
Unobservable Input
Range of Inputs Utilized (Weighted Average)
December 31, 2013
 
 
Collateral dependent impaired loans

$11,177

 
Appraisals of collateral
 
Discount for costs to sell
1% - 45% (11%)
 
 
 
 
 
Appraisal adjustments (1)
0% - 50% (2%)
Property acquired through foreclosure or repossession

$435

 
Appraisals of collateral
 
Discount for costs to sell
2% - 10% (9%)
 
 
 
 
 
Appraisal adjustments (1)
0% - 22% (13%)
(1)
Management may adjust appraisal values to reflect market value declines or other discounts resulting from its knowledge of the property.
Carrying Amounts and Estimated Fair Values of Financial Instruments
The following tables present the carrying amount, estimated fair value and placement in the fair value hierarchy of the Corporation’s financial instruments. The tables exclude financial instruments for which the carrying value approximates fair value. Financial assets for which the fair value approximates carrying value include cash and cash equivalents, FHLBB stock, accrued interest receivable and bank-owned life insurance (“BOLI”). Financial liabilities for which the fair value approximates carrying value include non-maturity deposits and accrued interest payable.
(Dollars in thousands)
 
 
 
 
 
 
 
 
 
September 30, 2014
Carrying Amount
 
Total
Fair Value
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Unobservable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
Financial Assets:
 
 
 
 
 
 
 
 
 
Securities held to maturity

$26,480

 

$27,074

 

$—

 

$27,074

 

$—

Loans, net of allowance for loan losses
2,646,279

 
2,682,694

 
—

 
—

 
2,682,694

 
 
 
 
 
 
 
 
 
 
Financial Liabilities:
 
 
 
 
 
 
 
 
 
Time deposits

$824,810

 

$824,875

 

$—

 

$824,875

 

$—

FHLBB advances
261,685

 
275,366

 
—

 
275,366

 
—

Junior subordinated debentures
22,681

 
17,662

 
—

 
17,662

 
—



(Dollars in thousands)
 
 
 
 
 
 
 
 
 
December 31, 2013
Carrying Amount
 
Total
Fair Value
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Unobservable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
Financial Assets:
 
 
 
 
 
 
 
 
 
Securities held to maturity

$29,905

 

$29,865

 

$—

 

$29,865

 

$—

Loans, net of allowance for loan losses
2,434,998

 
2,479,527

 
—

 
—

 
2,479,527

 
 
 
 
 
 
 
 
 
 
Financial Liabilities:
 
 
 
 
 
 
 
 
 
Time deposits

$790,762

 

$797,748

 

$—

 

$797,748

 

$—

FHLBB advances
288,082

 
308,317

 
—

 
308,317

 
—

Junior subordinated debentures
22,681

 
16,282

 
—

 
16,282

 
—