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FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Summary of Assets Measured at Fair Value on Recurring Basis

The following table summarizes assets and liabilities measured at fair value on a recurring basis at September 30, 2022 and December 31, 2021:

			Level 1						Level 2						Level 3						Total Fair Value Measurements
September 30, 2022
Financial Assets
Investment securities:
U.S. Treasury securities			$	17,115					$	—					$	—					$	17,115
States and political subdivisions			—						214,207						5,829						220,036
GSE residential MBSs			—						59,203						—						59,203
GSE residential CMOs			—						64,150						—						64,150
Non-agency CMOs			—						28,972						—						28,972
Asset-backed			—						113,735						—						113,735
Other			385						—						—						385
Loans held for sale			—						10,175						—						10,175
Derivatives			—						11,004						88						11,092
Totals			$	17,500					$	501,446					$	5,917					$	524,863
Financial Liabilities
Derivatives			$	—					$	11,234					$	—					$	11,234
December 31, 2021
Financial Assets
Investment securities:
U.S. Treasury securities			$	19,702					$	—					$	—					$	19,702
States and political subdivisions			—						183,171						10,199						193,370
GSE residential MBSs			—						40,726						—						40,726
GSE residential CMOs			—						65,922						—						65,922
Non-agency CMOs			—						16,750						12,948						29,698
Asset-backed			—						122,621						—						122,621
Other			399						—						—						399
Loans held for sale			—						8,868						—						8,868
Derivatives			—						764						353						1,117
Totals			$	20,101					$	438,822					$	23,500					$	482,423
Financial Liabilities
Derivatives			$	—					$	760					$	—					$	760

Level 3 Fair Value Measurement Activity

The following provides details of the Level 3 fair value measurement activity for the periods ended September 30, 2022 and 2021:

Investment securities:

			Three Months Ended September 30,												Nine Months Ended September 30,
			2022						2021						2022						2021
Balance, beginning of period			$	6,255					$	24,925					$	23,147					$	31,503
Unrealized (losses) gains included in OCI			(422)						(964)						(2,002)						467
Net (premium amortization) discount accretion			(4)						—						62						—
Principal payments and other			—						(487)						—						(4,951)
Sales			—						—						(3,053)						(3,545)
Calls			—						—						(12,154)						—
OTTI			—						—						(171)						—
Balance, end of period			$	5,829					$	23,474					$	5,829					$	23,474

Interest rate lock commitments on residential mortgages:

			Three Months Ended September 30,												Nine Months Ended September 30,
			2022						2021						2022						2021
Balance, beginning of period			$	186					$	456					$	353					$	673
Total (losses) gains included in earnings			(98)						90						(265)						(127)
Balance, end of period			$	88					$	546					$	88					$	546

Summary of Assets Measured at Fair Value on Nonrecurring Basis

The following table summarizes assets measured at fair value on a nonrecurring basis at September 30, 2022 and December 31, 2021:

			Level 1						Level 2						Level 3						Total Fair Value Measurements
September 30, 2022
Impaired Loans
Commercial real estate:
Owner occupied			$	—					$	—					$	126					$	126
Non-owner occupied residential			—						—						15						15
Residential mortgage:
First lien			—						—						372						372
Home equity - lines of credit			—						—						59						59
Total impaired loans			$	—					$	—					$	572					$	572
Mortgage servicing rights			$	—					$	—					$	—					$	—
December 31, 2021
Impaired Loans
Commercial real estate:
Owner occupied			$	—					$	—					$	751					$	751
Non-owner occupied residential			—						—						24						24
Residential mortgage:
First lien			—						—						545						545
Home equity - lines of credit			—						—						72						72
Total impaired loans			$	—					$	—					$	1,392					$	1,392
Mortgage servicing rights			$	—					$	—					$	322					$	322

Summary of Additional Qualitative Information

The following table presents additional qualitative information about assets measured on a nonrecurring basis and for which the Company has utilized Level 3 inputs to determine fair value:

Fair Value Estimate

Valuation Techniques

Unobservable Input

Range

September 30, 2022

Impaired loans

$

572

Appraisal of collateral

Management adjustments on appraisals for property type and recent activity

10% - 25% discount

- Management adjustments for liquidation expenses

6.08% - 17.93% discount

December 31, 2021

Impaired loans

$

1,392

Appraisal of collateral

Management adjustments on appraisals for property type and recent activity

10% - 25% discount

- Management adjustments for liquidation expenses

6.08% - 17.93% discount

Mortgage servicing rights

$

322

Discounted cash flows

Weighted average CPR

12.60%

- Weighted average discount rate

9.03%

Carrying Amounts and Estimated Fair Values of Financial Instruments

The following table presents carrying amounts and estimated fair values of the financial assets and liabilities at September 30, 2022 and December 31, 2021:

			Carrying Amount						Fair Value						Level 1						Level 2						Level 3
September 30, 2022
Financial Assets
Cash and due from banks			$	34,481					$	34,481					$	34,481					$	—					$	—
Interest-bearing deposits with banks			32,446						32,446						32,446						—						—
Restricted investments in bank stock			6,469						n/a						n/a						n/a						n/a
Investment securities			503,596						503,596						17,500						480,267						5,829
Loans held for sale			10,175						10,175						—						10,175						—
Loans, net of allowance for loan losses			2,063,218						1,912,225						—						—						1,912,225
Derivatives			11,092						11,092						—						11,004						88
Accrued interest receivable			9,212						9,212						—						3,781						5,431
Financial Liabilities
Deposits			2,505,853						2,502,308						—						2,502,308						—
Securities sold under agreements to repurchase			21,065						21,065						—						21,065						—
FHLB advances and other borrowings			1,567						1,576						—						1,576						—
Subordinated notes			32,010						31,969						—						31,969						—
Derivatives			11,234						11,234						—						11,234						—
Accrued interest payable			650						650						—						650						—
Off-balance sheet instruments			—						—						—						—						—
December 31, 2021
Financial Assets
Cash and due from banks			$	21,217					$	21,217					$	21,217					$	—					$	—
Interest-bearing deposits with banks			187,493						187,493						187,493						—						—
Restricted investments in bank stock			7,252						n/a						n/a						n/a						n/a
Investment securities			472,438						472,438						20,101						429,190						23,147
Loans held for sale			8,868						8,868						—						8,868						—
Loans, net of allowance for loan losses			1,958,806						1,946,365						—						—						1,946,365
Derivatives			1,117						1,117						—						764						353
Accrued interest receivable			8,234						8,235						—						2,203						6,032
Financial Liabilities
Deposits			2,464,929						2,466,191						—						2,466,191						—
Securities sold under agreements to repurchase			23,301						23,301						—						23,301						—
FHLB advances and other borrowings			1,896						2,035						—						2,035						—
Subordinated notes			31,963						31,815						—						31,815						—
Derivatives			760						760						—						760						—
Accrued interest payable			154						154						—						154						—
Off-balance sheet instruments			—						—						—						—						—

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- Definition

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 assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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