Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020

Assets Measured at Fair Value on a Recurring and Non-Recurring Basis

The following tables present for each of the fair-value hierarchy levels the Company’s assets that are measured at fair value on a recurring and non-recurring basis as of December 31 (in thousands):

	Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
2020
Measured on a recurring basis:
Securities available for sale:
U.S. Government agencies and government sponsored enterprises	$	-	$	6,635		$	-	$	6,635
Mortgage-backed securities		-		621,424			-		621,424
Other liabilities:
Hedging derivative instruments		-		(311	)		-		(311	)
Fair value adjusted through comprehensive income	$	-	$	627,748		$	-	$	627,748
Other assets:
Derivative instruments – cash flow hedges	$	-	$	-		$	-	$	-
Derivative instruments – interest rate products		-		19,626			-		19,626
Derivative instruments – credit contracts		-		23			-		23
Derivative instruments – mortgage banking		-		471			-		471
Other liabilities:
Derivative instruments – interest rate products		-		(19,837	)		-		(19,837	)
Derivative instruments – credit contracts		-		(86	)		-		(86	)
Derivative instruments – mortgage banking		-		(1	)		-		(1	)
Fair value adjusted through net income	$	-	$	196		$	-	$	196

Measured on a nonrecurring basis:
Loans:
Loans held for sale	$	-	$	4,305		$	-	$	4,305
Collateral dependent loans		-		-			29,434		29,434
Other assets:
Loan servicing rights		-		-			1,320		1,320
Other real estate owned		-		-			2,966		2,966
Total	$	-	$	4,305		$	33,720	$	38,025

There were no transfers between Levels 1 and 2 during the years ended December 31, 2020 and 2019. There were no liabilities measured at fair value on a nonrecurring basis during the years ended December 31, 2020 and 2019.

	Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
2019
Measured on a recurring basis:
Securities available for sale:
U.S. Government agencies and government sponsored enterprises	$	-	$	26,877		$	-	$	26,877
Mortgage-backed securities		-		391,040			-		391,040
Other assets:
Hedging derivative instruments		-		-			-		-
Fair value adjusted through comprehensive income	$	-	$	417,917		$	-	$	417,917
Other assets:
Derivative instruments – interest rate products	$	-	$	6,599		$	-	$	6,599
Derivative instruments – credit contracts		-		13			-		13
Derivative instruments – mortgage banking		-		119			-		119
Other liabilities:
Derivative instruments – interest rate products		-		(6,720	)		-		(6,720	)
Derivative instruments – credit contracts		-		(18	)		-		(18	)
Derivative instruments – mortgage banking		-		(7	)		-		(7	)
Fair value adjusted through net income	$	-	$	(14	)	$	-	$	(14	)

Measured on a nonrecurring basis:
Loans:
Loans held for sale	$	-	$	4,224		$	-	$	4,224
Collateral dependent impaired loans		-		-			3,630		3,630
Other assets:
Loan servicing rights		-		-			1,129		1,129
Other real estate owned		-		-			468		468
Total	$	-	$	4,224		$	5,227	$	9,451

There were no transfers between Levels 1 and 2 during the years ended December 31, 2019 and 2018. There were no liabilities measured at fair value on a nonrecurring basis during the years ended December 31, 2019 and 2018.

Additional Quantitative Information about Assets Measured at Fair Value on Recurring and Non-Recurring Basis

The following table presents additional quantitative information about assets measured at fair value on a recurring and nonrecurring basis for which the Company has utilized Level 3 inputs to determine fair value (dollars in thousands)

Asset	Fair Value		Valuation Technique	Unobservable Input	Unobservable Input Value / Range
Collateral dependent loans	$	29,434	Appraisal of collateral ⁽¹⁾	Appraisal adjustments ⁽²⁾	33.2% ⁽³⁾ / 0 - 35%
Loan servicing rights	$	1,320	Discounted cash flow	Discount rate	10.3% ⁽³⁾
				Constant prepayment rate	16.7% ⁽³⁾
Other real estate owned	$	2,966	Appraisal of collateral ⁽¹⁾	Appraisal adjustments ⁽²⁾	27.7% ⁽³⁾ / 20 - 46%

⁽¹⁾	Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level 3 inputs which are not identifiable.

⁽²⁾	Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated liquidation expenses.

⁽³⁾	Weighted averages.

Carrying Amount, Estimated Fair Value, and Placement in Fair Value Hierarchy of Financial Instruments

The following presents the carrying amount, estimated fair value, and placement in the fair value measurement hierarchy of the Company’s financial instruments as of December 31(in thousands)

	Level in	2020				2019
	Fair Value			Estimated				Estimated
	Measurement	Carrying		Fair		Carrying		Fair
	Hierarchy	Amount		Value		Amount		Value
Financial assets:
Cash and cash equivalents	Level 1	$	93,878	$	93,878	$	112,947	$	112,947
Securities available for sale	Level 2		628,059		628,059		417,917		417,917
Securities held to maturity	Level 2		271,973		282,035		359,000		363,259
Loans held for sale	Level 2		4,305		4,305		4,224		4,224
Loans	Level 2		3,513,284		3,549,770		3,186,875		3,201,814
Loans (1)	Level 3		29,434		29,434		3,630		3,630
Accrued interest receivable	Level 1		15,635		15,635		11,308		11,308
FHLB and FRB stock	Level 2		8,619		8,619		20,637		20,637
Derivative instruments – cash flow hedge	Level 2		-		-		-		-
Derivative instruments – interest rate products	Level 2		19,626		19,626		6,599		6,599
Derivative instruments – credit contracts	Level 2		23		23		13		13
Derivative instruments – mortgage banking	Level 2		471		471		119		119
Financial liabilities:
Non-maturity deposits	Level 1		3,392,774		3,392,774		2,375,486		2,375,486
Time deposits	Level 2		885,593		887,113		1,180,189		1,179,991
Short-term borrowings	Level 1		5,300		5,300		275,500		275,500
Long-term borrowings	Level 2		73,623		83,953		39,273		41,083
Accrued interest payable	Level 1		4,381		4,381		10,942		10,942
Derivative instruments – cash flow hedges	Level 2		311		311		-		-
Derivative instruments – interest rate products	Level 2		19,837		19,837		6,720		6,720
Derivative instruments – credit contracts	Level 2		86		86		18		18
Derivative instruments – mortgage banking	Level 2		1		1		7		7

⁽¹⁾	Comprised of collateral dependent loans.