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FAIR VALUE MEASUREMENTS (Tables)
6 Months Ended
Jun. 30, 2022
FAIR VALUE MEASUREMENTS  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

June 30, 2022

    

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

$

$

227,362

$

$

227,362

US Government agency

 

 

84,972

 

 

84,972

Private label

 

 

71,911

 

 

71,911

Obligations of states and political subdivisions thereof

 

 

115,967

 

 

115,967

Corporate bonds

 

 

85,930

 

 

85,930

Loans held for sale

3,539

3,539

Derivative assets

 

 

21,031

 

50

 

21,081

Derivative liabilities

 

 

(18,118)

 

(11)

 

(18,129)

December 31, 2021

    

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

$

$

236,117

$

$

236,117

US Government agency

 

 

79,637

 

 

79,637

Private label

 

 

68,695

 

 

68,695

Obligations of states and political subdivisions thereof

 

 

141,776

 

 

141,776

Corporate bonds

 

 

92,051

 

 

92,051

Loans held for sale

5,523

5,523

Derivative assets

 

 

13,850

 

298

 

14,148

Derivative liabilities

 

 

(15,257)

 

 

(15,257)

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 June 30, 2022

  

  

Balance at beginning of period

$

(5)

$

15

Realized gain (loss) recognized in non-interest income

 

55

 

(26)

Balance at end of period

$

50

$

(11)

Three Months Ended June 30, 2021

  

  

Balance at beginning of period

$

46

$

(85)

Realized (loss) gain recognized in non-interest income

 

(21)

 

40

Balance at end of period

$

25

$

(45)

Six Months Ended June 30, 2022

 

  

 

  

Balance at beginning of period

$

283

$

15

Realized loss recognized in non-interest income

 

(233)

 

(26)

Balance at end of period

$

50

$

(11)

Six Months Ended June 30, 2021

 

  

 

  

Balance at beginning of period

$

22

$

(95)

Realized gain recognized in non-interest income

 

3

 

50

Balance at end of period

$

25

$

(45)

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 June 30, 2022

  

  

Balance at beginning of period

$

(5)

$

15

Realized gain (loss) recognized in non-interest income

 

55

 

(26)

Balance at end of period

$

50

$

(11)

Three Months Ended June 30, 2021

  

  

Balance at beginning of period

$

46

$

(85)

Realized (loss) gain recognized in non-interest income

 

(21)

 

40

Balance at end of period

$

25

$

(45)

Six Months Ended June 30, 2022

 

  

 

  

Balance at beginning of period

$

283

$

15

Realized loss recognized in non-interest income

 

(233)

 

(26)

Balance at end of period

$

50

$

(11)

Six Months Ended June 30, 2021

 

  

 

  

Balance at beginning of period

$

22

$

(95)

Realized gain recognized in non-interest income

 

3

 

50

Balance at end of period

$

25

$

(45)

Schedule of Quantitative Information, Valuation, Recurring

    

Fair Value

Fair Value

    

    

Significant

 

June 30,

December 31,

Valuation

Unobservable

Unobservable

(in thousands, except ratios)

    

 2022

    

 2021

Techniques

    

Inputs

    

Input Value

Assets (Liabilities)

  

  

  

  

  

 

Interest Rate Lock Commitment

 

$

50

$

283

Pull-through Rate Analysis

 

Closing Ratio

 

93

%

 

 

Pricing Model

Origination Costs, per loan

$

1.7

Discount Cash Flows

Mortgage Servicing Asset

1.0

%

 

Forward Commitments

 

(11)

 

15

Quoted prices for similar loans in active markets

 

Freddie Mac pricing system

 

$99.3 to $102.8

Total

$

39

$

298

  

 

  

 

  

Summary of Applicable Non-Recurring Fair Value Measurements

June 30, 2022

December 31, 2021

Three Months Ended June 30, 2022

Six Months Ended June 30, 2022

Fair Value Measurement Date as of June 30, 2022

Level 3

Level 3

Total

Total

Level 3

(in thousands)

    

Inputs

    

Inputs

    

Gains (Losses)

    

Gains (Losses)

    

Inputs

Assets

  

  

  

  

  

Individually evaluated loans

$

13,610

$

17,932

$

$

(4,322)

June 2022

Capitalized servicing rights

 

7,043

5,263

 

265

 

1,780

 

June 2022

Premises held for sale

 

327

226

 

 

101

 

February 2022

Total

$

20,980

$

23,421

$

265

$

(2,441)

 

  

Schedule of Quantitative Information, Valuation, Non-recurring

 

(in thousands, except ratios)

    

Fair Value June 30, 2022

    

Valuation Techniques

    

Unobservable Inputs

    

Range (Weighted Average)(a)

 

Assets

 

  

 

  

 

  

  

Individually evaluated loans

$

8,070

 

Fair value of collateral-appraised value

 

Loss severity

10% to 70%

 

Appraised value

$71 to $1,175

Individually evaluated loans

 

5,540

 

Discount cash flow

 

Discount rate

 

2.88% to 6.45%

 

Cash flows

$5 to $943

Capitalized servicing rights

 

7,043

 

Discounted cash flow

 

Constant prepayment rate (CPR)

 

7.18%

 

  

 

  

 

Discount rate

 

9.04%

Premises held for sale

 

327

 

Fair value of asset less selling costs

 

Appraised value

$347

 

 

  

 

Selling Costs

 

6%

Total

$

20,980

 

  

 

  

 

  

(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.

(in thousands, except ratios)

    

Fair Value December 31, 2021

    

Valuation Techniques

    

Unobservable Inputs

    

Range (Weighted Average)(a)

Assets

Individually evaluated loans

$

12,127

Fair value of collateral-appraised value

Loss severity

10% to 70%

Appraised value

$71 to $1,792

Individually evaluated loans

 

5,805

Discount cash flow

Discount rate

 

2.88% to 9.50%

Cash flows

$6 to $931

Capitalized servicing rights

 

5,263

Discounted cash flow

Constant prepayment rate (CPR)

 

12.47%

Discount rate

 

9.53%

Premises held for sale

 

226

Fair value of asset less selling costs

Appraised value

 

$240

Selling Costs

 

6%

Total

$

23,421

(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.
Summary of Estimated Fair Values, and Related Carrying Amounts, of Financial Instruments

June 30, 2022

Carrying

Fair

(in thousands)

    

Amount

    

Value

    

Level 1

    

Level 2

    

Level 3

Financial Assets

 

  

 

  

 

  

 

  

 

  

Cash and cash equivalents

$

67,116

$

67,116

$

67,116

$

$

Securities available for sale

 

586,142

 

586,142

 

 

586,142

 

FHLB stock

 

6,572

 

6,572

 

 

6,572

 

Loans held for sale

3,539

3,539

3,539

Net loans

 

2,703,518

 

2,620,097

 

 

 

2,620,097

Accrued interest receivable

 

3,124

 

3,124

 

 

3,124

 

Cash surrender value of bank-owned life insurance policies

 

80,262

 

80,262

 

 

80,262

 

Derivative assets

 

21,081

 

21,081

 

 

21,031

 

50

Financial Liabilities

 

  

 

  

 

  

 

  

 

  

Non-maturity deposits

$

2,716,639

$

2,476,000

$

$

2,476,000

$

Time deposits

361,906

355,000

355,000

Securities sold under agreements to repurchase

18,754

18,754

18,754

FHLB advances

 

98,593

 

98,248

 

 

98,248

 

Subordinated borrowings

 

60,206

 

69,722

 

 

69,722

 

Derivative liabilities

 

18,129

 

18,129

 

 

18,118

 

11

December 31, 2021

Carrying

Fair

(in thousands)

    

Amount

    

Value

    

Level 1

    

Level 2

    

Level 3

Financial Assets

 

  

 

  

 

  

 

  

 

  

Cash and cash equivalents

$

250,389

$

250,389

$

250,389

$

$

Securities available for sale

 

618,276

 

618,276

 

 

618,276

 

FHLB stock

 

7,384

 

7,384

 

 

7,384

 

Loans held for sale

5,523

5,523

5,523

Net loans

 

2,509,192

 

2,442,741

 

 

 

2,442,741

Accrued interest receivable

 

2,712

 

2,712

 

 

2,712

 

Cash surrender value of bank-owned life insurance policies

 

79,020

 

79,020

 

 

79,020

 

Derivative assets

 

14,148

 

14,148

 

 

13,850

 

298

Financial Liabilities

 

  

 

  

 

  

 

  

 

  

Non-maturity deposits

$

2,623,012

$

2,853,000

$

$

2,853,000

$

Time deposits

425,532

424,000

424,000

Securities sold under agreements to repurchase

19,802

19,802

19,802

FHLB advances

 

98,598

 

98,439

 

 

98,439

 

Subordinated borrowings

 

60,124

 

61,884

 

 

61,884

 

Derivative liabilities

 

15,257

 

15,257

 

 

15,257