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Fair Value (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Assets And Liabilities Measured At Fair Value On A Recurring Basis

The following table presents assets and liabilities measured at fair value on a recurring basis:

 

Fair Value Measurements at March 31, 2023 using:
(In thousands)						Level 1						Level 2						Level 3						Balance at March 31, 2023
Assets
Investment securities:
Obligations of U.S. Government sponsored entities						$	—					$	37,344					$	—					$	37,344
Obligations of states and political subdivisions						—						412,006						—						412,006
U.S. Government sponsored entities’ asset-backed securities						—						730,261						—						730,261
Collateralized loan obligations						—						519,428						—						519,428
Corporate debt securities						—						8,546						6,855						15,401
Equity securities						2,383						—						449						2,832
Mortgage loans held for sale						—						2,076						—						2,076
Mortgage IRLCs						—						77						—						77
Loan interest rate swaps						—						1,119						—						1,119
Liabilities
Fair value swap						$	—					$	—					$	121					$	121
Loan interest rate swaps						—						1,119						—						1,119

 

Fair Value Measurements at December 31, 2022 using:
(In thousands)						Level 1						Level 2						Level 3						Balance at December 31, 2022
Assets
Investment securities:
Obligations of U.S. Government sponsored entities						$	—					$	37,213					$	—					$	37,213
Obligations of states and political subdivisions						—						406,711						—						406,711
U.S. Government sponsored entities’ asset-backed securities						—						756,761						—						756,761
Collateralized loan obligations						—						516,539						—						516,539
Corporate debt securities						—						9,472						7,000						16,472
Equity securities						1,420						—						439						1,859
Mortgage loans held for sale						—						2,149						—						2,149
Mortgage IRLCs						—						46						—						46
Loan interest rate swaps						—						1,508						—						1,508
Liabilities
Fair value swap						$	—					$	—					$	243					$	243
Loan interest rate swaps						—						1,508						—						1,508

Reconciliation Of Level 3 Input For Financial Instruments Measured On Recurring Basis

The following tables present a reconciliation of the beginning and ending balances of the Level 3 inputs for the three-month periods ended March 31, 2023 and 2022, for financial instruments measured on a recurring basis and classified as Level 3:

Level 3 Fair Value Measurements
Three months ended March 31, 2023 and 2022
(In thousands)						Corporate Debt Securities						Equity securities						Fair value swap
Balance at January 1, 2023						$	7,000					$	439					$	(243)
Transfers into level 3						622						—						—
Total (losses) / gains
Included in other income						—						10						—
Included in other comprehensive income						(767)						—						—
Purchases, sales, issuances and settlements, other, net						—						—						122
Balance at March 31, 2023						$	6,855					$	449					$	(121)
Balance at January 1, 2022						$	—					$	499					$	(226)
Total losses
Included in other income						—						(8)						—
Balance at March 31, 2022						$	—					$	491					$	(226)

Assets And Liabilities Measured At Fair Value On A Nonrecurring Basis

The following tables present assets and liabilities measured at fair value on a nonrecurring basis. Individually evaluated collateral dependent loans secured by real estate are carried at fair value if they have been charged down to fair value or if a specific valuation allowance has been established. At March 31, 2023 and December 31, 2022, there were no PCD loans carried at fair value. A new cost basis is established at the time a property is initially recorded in OREO. OREO properties are carried at fair value if a devaluation has been taken with respect to the property's value subsequent to the initial measurement.

At March 31, 2023 and December 31, 2022, there were no OREO properties held by Park that were carried at fair value due to fair value adjustments made subsequent to the initial OREO measurement.

Fair Value Measurements at March 31, 2023 using:
(In thousands)						Level 1						Level 2						Level 3						Balance at March 31, 2023
Individually evaluated collateral dependent loans recorded at fair value:
Commercial real estate						$	—					$	—					$	2,873					$	2,873
Residential real estate						—						—						195						195
Total individually evaluated collateral dependent loans recorded at fair value						$	—					$	—					$	3,068					$	3,068
MSRs						$	—					$	1,793					$	—					$	1,793

 

Fair Value Measurements at December 31, 2022 using:
(In thousands)						Level 1						Level 2						Level 3						Balance at December 31, 2022
Individually evaluated collateral dependent loans recorded at fair value:
Commercial real estate						$	—					$	—					$	5,573					$	5,573
Residential real estate						—						—						200						200
Total individually evaluated collateral dependent loans recorded at fair value						$	—					$	—					$	5,773					$	5,773
MSRs						$	—					$	1,717					$	—					$	1,717

Schedule of impaired financing receivables additional info

The following tables provide the amortized cost basis of collateral-dependent loans by class of loan, as of March 31, 2023 and December 31, 2022:

						March 31, 2023
(In thousands)						Real Estate						Business Assets						Other			Total
Commercial, financial and agricultural
Commercial, financial and agricultural						$	8,541					$	7,364					$	23,133		$	39,038
Commercial real estate						18,782						155						—			18,937
Construction real estate:
Commercial						2,648						—						—			2,648
Residential real estate:
Commercial						2,613						—						—			2,613
Mortgage						86						—						—			86
Leases						—						617						—			617
Total loans						$	32,670					$	8,136					$	23,133		$	63,939

						December 31, 2022
(In thousands)						Real Estate						Business Assets						Other			Total
Commercial, financial and agricultural
Commercial, financial and agricultural						$	8,242					$	7,788					$	23,125		$	39,155
Commercial real estate						35,908						28						—			35,936
Construction real estate:
Commercial						2,372						—						—			2,372
Residential real estate:
Commercial						2,479						—						—			2,479
Mortgage						90						—						—			90
Leases						—						708						—			708
Total loans						$	49,091					$	8,524					$	23,125		$	80,740

Interest income on nonaccrual loans individually evaluated for impairment is recognized on a cash basis only when Park expects to receive the entire recorded investment in the loans. The following table presents interest income recognized on nonaccrual loans for the three-month periods ended March 31, 2023 and 2022:

						Interest Income Recognized
(In thousands)						Three Months Ended March 31, 2023						Three Months Ended March 31, 2022
Commercial, financial and agricultural:
Commercial, financial and agricultural						$	605					$	17
PPP loans						—						—
Overdrafts						—						—
Commercial real estate						160						257
Construction real estate:
Commercial						32						1
Retail						—						4
Residential real estate:
Commercial						26						20
Mortgage						49						33
HELOC						8						4
Installment						1						2
Consumer:
Consumer						19						14
GFSC						—						2
Check loans						—						—
Leases						—						14
Total loans						$	900					$	368

Qualitative Information about Level 3 Fair Value Measurements Measured on Non-Recurring Basis

The following tables present qualitative information about Level 3 fair value measurements for financial instruments measured at fair value on a nonrecurring basis at March 31, 2023 and December 31, 2022:

March 31, 2023

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range (Weighted Average)

Individually evaluated collateral dependent loans:

Commercial real estate

$

2,873

Sales comparison approach

Adj to comparables

3.9% - 202.0% (25.3%)

Income approach

Capitalization rate

7.5% - 8.5% (8.0%)

Residential real estate

$

195

Sales comparison approach

Adj to comparables

1.2% - 78.6% (7.9%)

December 31, 2022

(In thousands)

Fair Value

Valuation Technique

Unobservable Input(s)

Range (Weighted Average)

Individually evaluated collateral dependent loans:

Commercial real estate

$

5,573

Sales comparison approach

Adj to comparables

0.0% - 202.0% (19.4%)

Income approach

Capitalization rate

7.0% - 10.0% (7.9%)

Cost approach

Entrepreneurial profit

10.0% - 12.0% (11.4%)

Cost approach

Accumulated depreciation

38.8% (38.8%)

Residential real estate

$

200

Sales comparison approach

Adj to comparables

1.9% - 119.8% (17.4%)

Fair Value, by Balance Sheet Grouping

The fair value of certain financial instruments at March 31, 2023 and December 31, 2022, was as follows:

						March 31, 2023
												Fair Value Measurements
(In thousands)						Carrying value						Level 1						Level 2						Level 3						Total fair value
Financial assets:
Cash and money market instruments						$	261,919					$	261,919					$	—					$	—					$	261,919
Investment securities (1)						1,714,440						—						1,707,585						6,855						1,714,440
Other investment securities (2)						2,832						2,383						—						449						2,832
Mortgage IRLCs						77						—						77						—						77
Mortgage loans held for sale						2,076						—						2,076						—						2,076
Individually evaluated loans carried at fair value						3,068						—						—						3,068						3,068
Other loans, net						7,002,690						—						—						6,887,490						6,887,490
Loans receivable, net						$	7,007,911					$	—					$	2,153					$	6,890,558					$	6,892,711
Financial liabilities:
Time deposits						$	531,850					$	—					$	531,277					$	—					$	531,277
Other						2,630						2,630						—						—						2,630
Deposits (excluding demand deposits)						$	534,480					$	2,630					$	531,277					$	—					$	533,907
Short-term borrowings						$	172,058					$	—					$	172,058					$	—					$	172,058
Subordinated notes						188,785						—						179,251						—						179,251
Derivative financial instruments - assets:
Loan interest rate swaps						$	1,119					$	—					$	1,119					$	—					$	1,119
Derivative financial instruments - liabilities:
Fair value swap						$	121					$	—					$	—					$	121					$	121
Loan interest rate swaps						1,119						—						1,119						—						1,119

(1) Includes debt securities AFS.

(2) Excludes FHLB stock and FRB stock which are carried at their respective redemption values, investment securities accounted for at modified cost as these investments do not have a readily determinable fair value, and Partnership Investments valued using the NAV practical expedient.

						December 31, 2022
												Fair Value Measurements
(In thousands)						Carrying value						Level 1						Level 2						Level 3						Total fair value
Financial assets:
Cash and money market instruments						$	189,728					$	189,728					$	—					$	—					$	189,728
Investment securities (1)						1,733,696						—						1,726,696						7,000						1,733,696
Other investment securities (2)						1,859						1,420						—						439						1,859
Mortgage loans held for sale						2,149						—						2,149						—						2,149
Mortgage IRLCs						46						—						46						—						46
Individually evaluated loans carried at fair value						5,773						—						—						5,773						5,773
Other loans, net						7,048,544						—						—						6,918,326						6,918,326
Loans receivable, net						$	7,056,512					$	—					$	2,195					$	6,924,099					$	6,926,294
Financial liabilities:
Time deposits						$	554,445					$	—					$	552,443					—						$	552,443
Other						1,325						1,325						—						—						1,325
Deposits (excluding demand deposits)						$	555,770					$	1,325					$	552,443					$	—					$	553,768
Short-term borrowings						$	227,342					$	—					$	227,342					$	—					$	227,342
Subordinated notes						188,667						—						177,928						—						177,928
Derivative financial instruments - assets:
Loan interest rate swaps						$	1,508					$	—					$	1,508					$	—					$	1,508
Derivative financial instruments - liabilities:
Fair value swap						$	243					$	—					$	—					$	243					$	243
Loan interest rate swaps						1,508						—						1,508						—						1,508

Impaired Financing Receivables at fair value

						March 31, 2023
(In thousands)						Loan Balance						Prior Charge-Offs						Specific Valuation Allowance						Carrying Balance
Total individually evaluated collateral dependent loans recorded at fair value						$	3,284					$	1,293					$	216					$	3,068
Remaining individually evaluated loans						56,100						245						4,102						51,998
Total individually evaluated loans						$	59,384					$	1,538					$	4,318					$	55,066

						December 31, 2022
(In thousands)						Loan Balance						Prior Charge-Offs						Specific Valuation Allowance						Carrying Balance
Total individually evaluated collateral dependent loans recorded at fair value						$	5,903					$	1,523					$	130					$	5,773
Remaining individually evaluated loans						72,438						252						3,436						69,002
Total individually evaluated loans						$	78,341					$	1,775					$	3,566					$	74,775

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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-Name Accounting Standards Codification
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Tabular disclosure of impaired financing receivables.

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+ References

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-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
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