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FAIR VALUE MEASUREMENTS (Tables)
3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

March 31, 2020

    

Level 1

    

Level 2

    

Level 3

    

Total

(in thousands)

Inputs

Inputs

Inputs

Fair Value

Available for sale securities:

  

  

  

Mortgage-backed securities:

 

  

 

  

 

  

 

  

US Government-sponsored enterprises

$

$

295,657

$

$

295,657

US Government agency

 

 

101,669

 

 

101,669

Private label

 

 

18,499

 

 

18,499

Obligations of states and political subdivisions thereof

 

 

137,579

 

 

137,579

Corporate bonds

 

 

72,937

 

 

72,937

Derivative assets

 

 

24,933

 

93

 

25,026

Derivative liabilities

 

 

(28,032)

 

(73)

 

(28,105)

December 31, 2019

    

Level 1

    

Level 2

    

Level 3

    

Total

(in thousands)

Inputs

Inputs

Inputs

Fair Value

Available for sale securities:

  

  

  

  

Mortgage-backed securities:

 

  

 

  

 

  

 

  

US Government-sponsored enterprises

$

$

321,969

$

$

321,969

US Government agency

 

 

99,661

 

 

99,661

Private label

 

 

19,533

 

 

19,533

Obligations of states and political subdivisions thereof

 

 

142,006

 

 

142,006

Corporate bonds

 

 

80,061

 

 

80,061

Derivative assets

 

 

6,791

 

59

 

6,850

Derivative liabilities

 

 

(8,102)

 

(84)

 

(8,186)

Schedule of Changes in Level 3 Assets Measured on a Recurring Basis

Assets (Liabilities)

Interest Rate Lock

Forward

(in thousands)

    

Commitments

    

Commitments

Three Months Ended March 31, 2020

  

  

Balance at beginning of period

$

59

$

(84)

Realized gain recognized in non-interest income

 

34

 

11

Balance at end of period

$

93

$

(73)

Three Months Ended March 31, 2019

  

  

Balance at beginning of period

$

8

$

Realized gain recognized in non-interest income

 

6

 

(65)

Balance at end of period

$

14

$

(65)

Schedule of Changes in Level 3 Liabilities Measured on a Recurring Basis

Assets (Liabilities)

Interest Rate Lock

Forward

(in thousands)

    

Commitments

    

Commitments

Three Months Ended March 31, 2020

  

  

Balance at beginning of period

$

59

$

(84)

Realized gain recognized in non-interest income

 

34

 

11

Balance at end of period

$

93

$

(73)

Three Months Ended March 31, 2019

  

  

Balance at beginning of period

$

8

$

Realized gain recognized in non-interest income

 

6

 

(65)

Balance at end of period

$

14

$

(65)

Schedule of Quantitative Information, Valuation, Recurring

Fair Value

Fair Value

March 31, 

December 31,

Valuation 

Unobservable 

Unobservable

(in thousands, except ratios)

    

2020

    

2019

Techniques

    

Inputs

    

Input Value

 

Assets (Liabilities)

  

  

  

  

  

 

Interest Rate Lock Commitment

 

$

93

$

59

Historical trend

 

Closing Ratio

 

90

%

 

 

Pricing Model

Origination Costs, per loan

$

1.7

 

Forward Commitments

 

(73)

 

(84)

Quoted prices for similar loans in active markets.

 

Freddie Mac pricing system

 

Pair-off contract price

Total

$

20

$

(25)

  

 

  

 

  

Summary of Applicable Non-Recurring Fair Value Measurements

Fair Value

Three Months Ended

 Measurement Date as of 

March 31, 2020

December 31, 2019

March 31, 2020

March 31, 2020

Level 3

Level 3

Total

Level 3

(in thousands)

    

Inputs

    

Inputs

    

Gains (Losses)

    

Inputs

Assets

  

  

  

  

Impaired loans

$

8,335

$

9,625

$

1,290

March 2020

Capitalized servicing rights

 

3,897

4,301

 

 

March 2020

Other real estate owned

 

2,205

2,236

 

(31)

 

August 2019

Premises held for sale

 

1,764

1,764

 

 

September 2019

Total

$

16,201

$

17,926

$

1,259

 

  

Schedule of Quantitative Information, Valuation, Non-recurring

Fair Value

Range

 

(in thousands, except ratios)

    

March 31, 2020

    

Valuation Techniques

    

Unobservable Inputs

    

(Weighted Average)(a)

 

Assets

 

  

 

  

 

  

  

Impaired loans

$

4,947

 

Fair value of collateral -appraised value

 

Loss severity

0% to 70%

 

Appraised value

$0 to $975

Impaired loans

 

3,388

 

Discount cash flow

 

Discount rate

 

3.50% to 9.50%

 

Cash flows

$21 to $1,002

Capitalized servicing rights

 

3,897

 

Discounted cash flow

 

Constant prepayment rate (CPR)

 

11.91

%

 

  

 

  

 

Discount rate

 

11.33

%

Other real estate owned

 

2,205

 

Fair value of collateral less selling costs

 

Appraised value

 

$

2,695

 

  

 

  

 

Selling Costs

 

6% to 10%

Premises held for sale(b)

 

1,764

 

Fair value of asset less selling costs

 

Appraised value

$136 to $527

 

  

 

  

 

Selling Costs

 

6

%

Total

$

16,201

 

  

 

  

 

  

(a)Where dollar amounts are disclosed, the amounts represent the lowest and highest fair value of the respective assets in the population except for adjustments for market/property conditions, which represents the range of adjustments to individual properties.
(b)The carrying value of premises held for sale was $1.8 million as of March 31, 2020.

Fair Value

Range

(in thousands, except ratios)

    

December 31, 2019

    

Valuation Techniques

    

Unobservable Inputs

    

(Weighted Average)(a)

Assets

Impaired loans

$

6,137

Fair value of collateral -appraised value

Loss severity

0% to 55.00%

Appraised value

$0 to $6,915

Impaired loans

 

3,488

Discount cash flow

Discount rate

 

2.88% to 9.50%

Cash flows

$22 to $1,002

Capitalized servicing rights

 

4,301

Discounted cash flow

Constant prepayment rate (CPR)

 

9.95

%

Discount rate

 

10.07

%

Other real estate owned

 

2,236

Fair value of collateral less selling costs

Appraised value

 

$

2,695

Selling Costs

10% to 20%

Premises held for sale(b)

 

1,764

Fair value of asset less selling costs

Appraised value

 

$

$136 to $527

Selling Costs

 

6.00

%

Total

$

17,926

(a)Where dollar amounts are disclosed, the amounts represent the lowest and highest fair value of the respective assets in the population except for adjustments for market/property conditions, which represents the range of adjustments to individual properties.
(b)The carrying value of premises held for sale was $1.8 million as of December 31, 2019.
Summary of Estimated Fair Values, and Related Carrying Amounts, of Financial Instruments

March 31, 2020

Carrying

Fair

(in thousands)

    

Amount

    

Value

    

Level 1

    

Level 2

    

Level 3

Financial Assets

 

  

 

  

 

  

 

  

 

  

Cash and cash equivalents

$

85,655

$

85,655

$

85,655

$

$

Securities available for sale

 

626,341

 

626,341

 

 

626,341

 

FHLB stock

 

19,897

 

19,897

 

 

19,897

 

Net loans

 

2,619,686

 

2,604,406

 

 

 

2,604,406

Accrued interest receivable

 

3,268

 

3,268

 

 

3,268

 

Cash surrender value of bank-owned life insurance policies

 

76,400

 

76,400

 

 

76,400

 

Derivative assets

 

25,026

 

25,026

 

 

24,933

 

93

Financial Liabilities

 

  

 

  

 

  

 

  

 

  

Non-maturity deposits

$

1,806,460

$

1,861,960

$

$

1,861,960

$

Time deposits

844,097

852,346

852,346

Short-term other borrowings

 

31,001

 

31,000

 

 

31,000

 

FHLB advances

 

404,579

 

410,065

 

 

410,065

 

FRB advances

62,000

62,000

62,000

Subordinated borrowings

 

59,849

 

59,849

 

 

59,849

 

Derivative liabilities

 

28,105

 

28,105

 

 

28,032

 

73

December 31, 2019

Carrying

Fair

(in thousands)

    

Amount

    

Value

    

Level 1

    

Level 2

    

Level 3

Financial Assets

 

  

 

  

 

  

 

  

 

  

Cash and cash equivalents

$

56,910

$

56,910

$

56,910

$

$

Securities available for sale

 

663,230

 

663,230

 

 

663,230

 

FHLB stock

 

20,679

 

20,679

 

 

20,679

 

Net loans

 

2,625,739

 

2,634,147

 

 

 

2,634,147

Accrued interest receivable

 

3,294

 

3,294

 

 

3,294

 

Cash surrender value of bank-owned life insurance policies

 

75,863

 

75,863

 

 

75,863

 

Derivative assets

 

6,850

 

6,850

 

 

6,791

 

59

Financial Liabilities

 

  

 

  

 

  

 

  

 

  

Non-maturity deposits

$

1,763,116

$

1,751,481

$

$

1,751,481

$

Time deposits

932,635

932,886

932,886

Short-term other borrowings

 

44,832

 

44,831

 

 

44,831

 

FHLB advances

 

426,564

 

425,989

 

 

425,989

 

Subordinated borrowings

 

59,920

 

59,920

 

 

59,920

 

Derivative liabilities

 

8,186

 

8,186

 

 

8,102

 

84