Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2021

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 nonrecurring basis as of the dates indicated (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
June 30, 2021
Measured on a recurring basis:
Securities available for sale:
U.S. Government agency and government sponsored enterprises	$	—	$	6,563		$	—	$	6,563
Mortgage-backed securities		—		896,282			—		896,282
Other assets:
Hedging derivative instruments		—		1,004			—		1,004
Fair value adjusted through comprehensive income	$	—	$	903,849		$	—	$	903,849
Other assets:
Derivative instruments - interest rate swaps		—		15,108			—		15,108
Derivative instruments - credit contracts		—		14			—		14
Derivative instruments - mortgage banking		—		317			—		317
Other liabilities:
Derivative instruments - interest rate swaps		—		(14,972	)		—		(14,972	)
Derivative instruments - credit contracts		—		(53	)		—		(53	)
Derivative instruments - mortgage banking		—		(39	)		—		(39	)
Fair value adjusted through net income	$	—	$	375		$	—	$	375
Measured on a nonrecurring basis:
Loans:
Loans held for sale	$	—	$	3,929		$	—	$	3,929
Collateral dependent loans		—		—			53,268		53,268
Other assets:
Long-lived assets held for sale		—		1,118			—		1,118
Loan servicing rights		—		—			1,433		1,433
Other real estate owned		—		—			646		646
Total	$	—	$	5,047		$	55,347	$	60,394

There were no transfers between Levels 1 and 2 during the six months ended June 30, 2021. There were no liabilities measured at fair value on a nonrecurring basis during the six months ended June 30, 2021.

	Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
December 31, 2020
Measured on a recurring basis:
Securities available for sale:
U.S. Government agency 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 swaps		—		19,626			—		19,626
Derivative instruments - credit contracts		—		23			—		23
Derivative instruments - mortgage banking		—		471			—		471
Other liabilities:
Derivative instruments - interest rate swaps		—		(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 six months ended June 30, 2020. There were no liabilities measured at fair value on a nonrecurring basis during the six months ended June 30, 2020.

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 as of June 30, 2021 (dollars in thousands).

Asset	Fair Value		Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Collateral dependent loans	$	53,268	Appraisal of collateral ⁽¹⁾	Appraisal adjustments ⁽²⁾	22.4% ⁽³⁾/ 0 - 35%
Loan servicing rights		1,433	Discounted cash flow	Discount rate	10.3% ⁽³⁾
				Constant prepayment rate	14.2% ⁽³⁾
Other real estate owned		646	Appraisal of collateral ⁽¹⁾	Appraisal adjustments ⁽²⁾	46.2% ⁽³⁾

⁽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 (in thousands) the carrying amount, estimated fair value, and placement in the fair value measurement hierarchy of the Company’s financial instruments as of the dates indicated.

	Level in	June 30, 2021				December 31, 2020
	Fair Value			Estimated				Estimated
	Measurement	Carrying		Fair		Carrying		Fair
	Hierarchy	Amount		Value		Amount		Value
Financial assets:
Cash and cash equivalents	Level 1	$	206,387	$	206,387	$	93,878	$	93,878
Securities available for sale	Level 2		902,845		902,845		628,059		628,059
Securities held to maturity, net	Level 2		218,858		226,044		271,973		282,035
Loans held for sale	Level 2		3,929		3,929		4,305		4,305
Loans	Level 2		3,532,535		3,564,623		3,513,284		3,549,770
Loans ⁽¹⁾	Level 3		53,268		53,268		29,434		29,434
Long-lived assets held for sale	Level 2		1,118		1,118		—		—
Accrued interest receivable	Level 1		15,431		15,431		15,635		15,635
Derivative instruments – cash flow hedges	Level 2		1,004		1,004		—		—
Derivative instruments – interest rate products	Level 2		15,108		15,108		19,626		19,626
Derivative instruments – credit contracts	Level 2		14		14		23		23
Derivative instruments – mortgage banking	Level 2		317		317		471		471
FHLB and FRB stock	Level 2		9,154		9,154		8,619		8,619
Financial liabilities:
Non-maturity deposits	Level 1		3,717,939		3,717,939		3,392,774		3,392,774
Time deposits	Level 2		941,282		941,649		885,593		887,113
Short-term borrowings	Level 1		—		—		5,300		5,300
Long-term borrowings	Level 2		73,756		78,286		73,623		83,953
Accrued interest payable	Level 1		2,868		2,868		4,381		4,381
Derivative instruments – cash flow hedges	Level 2		—		—		311		311
Derivative instruments – interest rate products	Level 2		14,972		14,972		19,837		19,837
Derivative instruments – credit contracts	Level 2		53		53		86		86
Derivative instruments – mortgage banking	Level 2		39		39		1		1

⁽¹⁾	Comprised of collateral dependent loans.