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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2016

Fair Value of Financial Instruments [Abstract]

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques





For Level 3 assets and liabilities measured at fair value on a recurring and non-recurring basis as of March 31, 2016 and December 31, 2015, the significant unobservable inputs used in the fair value measurements were as follows:





(in thousands)		Fair Value at March 31, 2016	Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:

Investment Securities – available for sale	$	19,532	Discounted Cash Flow	Discount Rate	Range of LIBOR+ 4.75% to 7.50%

Cash Flow Hedges	$	(33)	Discounted Cash Flow	Reuters Third Party Market Quote	99.9%                       (weighted avg 99.9%)

Non-recurring:

Impaired Loans	$	8,164	Market Comparable Properties	Marketability Discount	10.0%-15.0% (1)               (weighted avg 12.9%)

Other Real Estate Owned	$	342	Market Comparable Properties	Marketability Discount	10.0% -15.0% (1)               (weighted avg 10.2%)

(in thousands)		Fair Value at December 31, 2015	Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:

Investment Securities – available for sale	$	22,211	Discounted Cash Flow	Discount Rate	Range of LIBOR+ 4.5% to 5.5%

Cash Flow Hedge	$	(66)	Discounted Cash Flow	Reuters Third Party Market Quote	99.9%                       (weighted avg 99.9%)

Non-recurring:

Impaired Loans	$	6,247	Market Comparable Properties	Marketability Discount	3.0%-15.0% (1)               (weighted avg 11.3%)

Other Real Estate Owned	$	4,133	Market Comparable Properties	Marketability Discount	10.0%-15.0% (1)               (weighted avg 12.5%)



NOTE:

Range would include discounts taken since appraisal and estimated values

Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis

For assets measured at fair value on a recurring and non-recurring basis, the fair value measurements by level within the fair value hierarchy used at March 31, 2016 and December 31, 2015 are as follows:




				Fair Value Measurements at March 31, 2016 Using
		Assets Measured at Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(in thousands)		3/31/2016		(Level 1)		(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
   U.S. government agencies	$	29,213			$	29,213
   Residential mortgage-backed agencies	$	7,709			$	7,709
   Commercial mortgage-backed agencies	$	48,418			$	48,418
   Collateralized mortgage obligations	$	13,536			$	13,536
   Obligations of states and political subdivisions	$	36,835			$	36,835
   Collateralized debt obligations	$	19,532					$	19,532
Financial Derivatives	$	(617)			$	(584)	$	(33)
Non-recurring:
Impaired loans	$	8,164					$	8,164
Other real estate owned	$	342					$	342






				Fair Value Measurements at December 31, 2015 Using

		Assets Measured at Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(in thousands)		12/31/2015		(Level 1)		(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
   U.S. government agencies	$	33,964			$	33,964
   Residential mortgage-backed agencies	$	14,170			$	14,170
   Commercial mortgage-backed agencies	$	43,636			$	43,636
   Collateralized mortgage obligations	$	9,610			$	9,610
   Obligations of states and political subdivisions	$	46,641			$	46,641
   Collateralized debt obligations	$	22,211					$	22,211
Financial Derivative	$	(66)					$	(66)
Non-recurring:
Impaired loans	$	6,247					$	6,247
Other real estate owned	$	4,133					$	4,133



Reconciliation of Fair Valued Assets Measured on a Recurring Basis

The following tables show a reconciliation of the beginning and ending balances for fair valued assets measured on a recurring basis using Level 3 significant unobservable inputs for the three-month periods ended March 31, 2016 and 2015:




		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(In thousands)		Investment Securities Available for Sale		Cash Flow Hedge
Beginning balance January 1, 2016	$	22,211	$	(66)
   Total gains realized/unrealized:
       Included in other comprehensive loss		(2,679)		33
Ending balance March 31, 2016	$	19,532	$	(33)











		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(in thousands)		Investment Securities Available for Sale		Cash Flow Hedge
Beginning balance January 1, 2015	$	25,339	$	(199)
   Total gains realized/unrealized:
       Included in other comprehensive income		3,052		35
Ending balance March 31, 2015	$	28,391	$	(164)




Fair Value by Balance Sheet Grouping



The following tables present fair value information about financial instruments, whether or not recognized in the Consolidated Statement of Financial Condition, for which it is practicable to estimate that value. The actual carrying amounts and estimated fair values of the Corporation’s financial instruments that are included in the Consolidated Statement of Financial Condition are as follows:






	March 31, 2016					Fair Value Measurements
	Carrying		Fair		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(in thousands)	Amount		Value		(Level 1)		(Level 2)		(Level 3)
Financial Assets:
Cash and due from banks	$	51,865	$	51,865	$	51,865
Interest bearing deposits in banks		1,396		1,396		1,396
Investment securities - AFS		155,243		155,243			$	135,711	$	19,532
Investment securities - HTM		101,521		105,211				102,193		3,018
Restricted bank stock		5,881		5,881				5,881
Loans, net		888,341		894,216						894,216
Accrued interest receivable		3,707		3,707				3,707

Financial Liabilities:
Deposits – non-maturity		767,555		767,555				767,555
Deposits – time deposits		248,275		251,958				251,958
Short-term borrowed funds		29,554		29,554				29,554
Long-term borrowed funds		147,519		149,820				149,820
Accrued interest payable		504		504				504
Financial derivatives		617		617				584		33
Off balance sheet financial instruments		0		0		0







	December 31, 2015					Fair Value Measurements
	Carrying		Fair		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(in thousands)	Amount		Value		(Level 1)		(Level 2)		(Level 3)
Financial Assets:
Cash and due from banks	$	50,188	$	50,188	$	50,188
Interest bearing deposits in banks		1,953		1,953		1,953
Investment securities - AFS		170,232		170,232			$	148,021	$	22,211
Investment securities - HTM		105,560		106,742				103,779		2,963
Restricted bank stock		5,904		5,904				5,904
Loans, net		867,101		872,991						872,991
Accrued interest receivable		4,218		4,218				4,218

Financial Liabilities:
Deposits- non-maturity		744,219		744,219				744,219
Deposits- time deposits		254,575		258,267				258,267
Short-term borrowed funds		35,828		35,828				35,828
Long-term borrowed funds		147,537		151,562				151,562
Accrued interest payable		478		478				478
Financial derivative		66		66						66
Off balance sheet financial instruments		0		0		0



X

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References

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-Publisher FASB
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-Topic 820
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Tabular disclosure of the inputs and valuation techniques used to measure fair value, and a discussion of changes in valuation techniques and related inputs, if any, applied during the period to each separate class of assets, liabilities, and financial instruments classified in shareholders' equity that are measured on a recurring and/or nonrecurring basis.

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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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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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