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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2021

Fair value measurements

Schedule of differences between the fair value carrying amount of mortgages held for sale measured at fair value and the aggregate unpaid principal amount

The following table shows the differences between fair value carrying amount of mortgages held for sale measured at fair value and the aggregate unpaid principal amount the Company is contractually entitled to receive at maturity on December 31, 2021 and 2020.

(Dollars in thousands)						Fair value carrying amount						Aggregate unpaid principal						Excess of fair value carrying amount over (under) unpaid principal
December 31, 2021
Mortgages held for sale reported at fair value:
Total Loans						$	13,284					$	12,456					$	828		(1)
December 31, 2020
Mortgages held for sale reported at fair value:
Total Loans						$	12,885					$	11,045					$	1,840		(1)

(1) The excess of fair value carrying amount over (under) unpaid principal is included in mortgage banking income and includes changes in fair value at and subsequent to funding and gains and losses on the related loan commitment prior to funding.

Schedule of assets and liabilities measured at fair value on a recurring basis

The following table shows the balance of assets and liabilities measured at fair value on a recurring basis.

(Dollars in thousands)						Level 1						Level 2						Level 3						Total
December 31, 2021
Assets:
Investment securities available-for-sale:
U.S. Treasury and Federal agencies securities						$	561,950					$	522,056					$	—					$	1,084,006
U.S. States and political subdivisions securities						—						93,852						1,849						95,701
Mortgage-backed securities - Federal agencies						—						659,727						—						659,727
Corporate debt securities						—						23,009						—						23,009
Foreign government and other securities						—						598						—						598
Total debt securities available-for-sale						561,950						1,299,242						1,849						1,863,041
Mortgages held for sale						—						13,284						—						13,284
Accrued income and other assets (interest rate swap agreements)						—						20,735						—						20,735
Total						$	561,950					$	1,333,261					$	1,849					$	1,897,060
Liabilities:
Accrued expenses and other liabilities (interest rate swap agreements)						$	—					$	21,172					$	—					$	21,172
Total						$	—					$	21,172					$	—					$	21,172
December 31, 2020
Assets:
Investment securities available-for-sale:
U.S. Treasury and Federal agencies securities						$	80,285					$	539,197					$	—					$	619,482
U.S. States and political subdivisions securities						—						78,975						2,152						81,127
Mortgage-backed securities - Federal agencies						—						453,789						—						453,789
Corporate debt securities						—						42,369						—						42,369
Foreign government and other securities						—						700						—						700
Total debt securities available-for-sale						80,285						1,115,030						2,152						1,197,467
Mortgages held for sale						—						12,885						—						12,885
Accrued income and other assets (interest rate swap agreements)						—						46,654						—						46,654
Total						$	80,285					$	1,174,569					$	2,152					$	1,257,006
Liabilities:
Accrued expenses and other liabilities (interest rate swap agreements)						$	—					$	47,681					$	—					$	47,681
Total						$	—					$	47,681					$	—					$	47,681

Schedule of changes in Level 3 assets and liabilities measured at fair value on a recurring basis

The following table shows the changes in Level 3 assets and liabilities measured at fair value on a recurring basis.

(Dollars in thousands)						U.S. States and political subdivisions securities
Beginning balance January 1, 2021						$	2,152
Total gains or losses (realized/unrealized):
Included in earnings						—
Included in other comprehensive income						(15)
Purchases						—
Issuances						—
Sales						—
Settlements						—
Maturities						(288)
Transfers into Level 3						—
Transfers out of Level 3						—
Ending balance December 31, 2021						$	1,849
Beginning balance January 1, 2020						$	2,292
Total gains or losses (realized/unrealized):
Included in earnings						—
Included in other comprehensive income						58
Purchases						3,100
Issuances						—
Sales						—
Settlements						—
Maturities						(3,298)
Transfers into Level 3						—
Transfers out of Level 3						—
Ending balance December 31, 2020						$	2,152

Schedule of carrying value of assets measured at fair value on a non-recurring basis

The following table shows the carrying value of assets measured at fair value on a non-recurring basis.

(Dollars in thousands)						Level 1						Level 2						Level 3						Total
December 31, 2021
Collateral-dependent impaired loans						$	—					$	—					$	571					$	571
Accrued income and other assets (mortgage servicing rights)						—						—						4,671						4,671
Accrued income and other assets (repossessions)						—						—						861						861
Accrued income and other assets (other real estate)						—						—						—						—
Total						$	—					$	—					$	6,103					$	6,103
December 31, 2020
Collateral-dependent impaired loans						$	—					$	—					$	11,991					$	11,991
Accrued income and other assets (mortgage servicing rights)						—						—						3,804						3,804
Accrued income and other assets (repossessions)						—						—						1,976						1,976
Accrued income and other assets (other real estate)						—						—						359						359
Total						$	—					$	—					$	18,130					$	18,130

Schedule of fair values of financial instruments

The following table shows the fair values of the Company’s financial instruments.

(Dollars in thousands)						Carrying or Contract Value						Fair Value						Level 1						Level 2						Level 3
December 31, 2021
Assets:
Cash and due from banks						$	54,420					$	54,420					$	54,420					$	—					$	—
Federal funds sold and interest bearing deposits with other banks						470,767						470,767						470,767						—						—
Investment securities, available-for-sale						1,863,041						1,863,041						561,950						1,299,242						1,849
Other investments						27,189						27,189						27,189						—						—
Mortgages held for sale						13,284						13,284						—						13,284						—
Loans and leases, net of allowance for loan and lease losses						5,218,722						5,269,551						—						—						5,269,551
Mortgage servicing rights						4,671						5,640						—						—						5,640
Accrued interest receivable						17,760						17,760						—						17,760						—
Interest rate swaps						20,735						20,735						—						20,735						—
Liabilities:
Deposits						$	6,679,065					$	6,680,163					$	5,794,928					$	885,235					$	—
Short-term borrowings						200,027						200,027						192,801						7,226						—
Long-term debt and mandatorily redeemable securities						71,251						71,305						—						71,305						—
Subordinated notes						58,764						58,553						—						58,553						—
Accrued interest payable						1,885						1,885						—						1,885						—
Interest rate swaps						21,172						21,172						—						21,172						—
Off-balance-sheet instruments *						—						364						—						364						—
December 31, 2020
Assets:
Cash and due from banks						$	74,186					$	74,186					$	74,186					$	—					$	—
Federal funds sold and interest bearing deposits with other banks						168,861						168,861						168,861						—						—
Investment securities, available-for-sale						1,197,467						1,197,467						80,285						1,115,030						2,152
Other investments						27,429						27,429						27,429						—						—
Mortgages held for sale						12,885						12,885						—						12,885						—
Loans and leases, net of allowance for loan and lease losses						5,348,647						5,417,396						—						—						5,417,396
Mortgage servicing rights						3,804						4,038						—						—						4,038
Accrued interest receivable						20,242						20,242						—						20,242						—
Interest rate swaps						46,654						46,654						—						46,654						—
Liabilities:
Deposits						$	5,946,028					$	5,955,545					$	4,778,671					$	1,764,874					$	—
Short-term borrowings						150,641						150,641						143,730						6,911						—
Long-term debt and mandatorily redeemable securities						81,864						82,965						—						82,965						—
Subordinated notes						58,764						58,560						—						58,560						—
Accrued interest payable						3,996						3,996						—						3,996						—
Interest rate swaps						47,681						47,681						—						47,681						—
Off-balance-sheet instruments *						—						321						—						321						—

* Represents estimated cash outflows required to currently settle the obligations at current market rates.

Recurring

Fair value measurements

Schedule of valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a recurring and non-recurring basis

The following table shows the valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a recurring basis.

(Dollars in thousands)

Fair value

Valuation Methodology

Unobservable Inputs

Range of Inputs

Weighted Average

December 31, 2021

Debt securities available-for-sale

Direct placement municipal securities

$

1,849

Discounted cash flows

Credit spread assumption

0.04% - 2.31%

1.58

%

December 31, 2020

Debt securities available-for-sale

Direct placement municipal securities

$

2,152

Discounted cash flows

Credit spread assumption

0.04% - 2.30%

1.55

%

Non-recurring

Fair value measurements

Schedule of valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a recurring and non-recurring basis

The following table shows the valuation methodology and unobservable inputs for Level 3 assets and liabilities measured at fair value on a non-recurring basis.

(Dollars in thousands)						Carrying Value						Fair Value						Valuation Methodology						Unobservable Inputs						Range of Inputs						Weighted Average
December 31, 2021
Collateral-dependent impaired loans						$	571					$	571					Collateral based measurements including appraisals, trade publications, and auction values						Discount for lack of marketability and current conditions						20% - 90%						43.1		%
Mortgage servicing rights						4,671						5,640						Discounted cash flows						Constant prepayment rate (CPR)						11.8% - 18.5%						16.4		%
																								Discount rate						8.6% - 11.5%						8.8		%
Repossessions						861						942						Appraisals, trade publications and auction values						Discount for lack of marketability						0% - 21%						2		%
Other real estate						—						—						Appraisals						Discount for lack of marketability						0% - 0%						0		%
December 31, 2020
Collateral-dependent impaired loans						$	11,991					$	11,991					Collateral based measurements including appraisals, trade publications, and auction values						Discount for lack of marketability and current conditions						0% - 100%						43.7		%
Mortgage servicing rights						3,804						4,038						Discounted cash flows						Constant prepayment rate (CPR)						16.2% - 30.5%						22.8		%
																								Discount rate						8.3% - 11.1%						8.5		%
Repossessions						1,976						2,144						Appraisals, trade publications and auction values						Discount for lack of marketability						0% - 16%						8		%
Other real estate						359						388						Appraisals						Discount for lack of marketability						6% - 13%						7		%

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