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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2018

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 June 30, 2018 and December 31, 2017, the significant unobservable inputs used in the fair value measurements were as follows:





(in thousands)		Fair Value at June 30, 2018	Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:

Investment Securities – available for sale	$	16,147	Discounted Cash Flow	Discount Rate	LIBOR+ 4.00%

Non-recurring:

Impaired Loans	$	2,044	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1)               (weighted avg 11.1%)

Other Real Estate Owned	$	1,665	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1)               (weighted avg 13.5%)

(in thousands)		Fair Value at December 31, 2017	Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:

Investment Securities – available for sale	$	14,920	Discounted Cash Flow	Discount Rate	Range of LIBOR+ 4.5% to 5.5%

Non-recurring:

Impaired Loans	$	2,507	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1)               (weighted avg 10.9%)

Other Real Estate Owned	$	1,841	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1)               (weighted avg 13.3%)



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 June 30, 2018 and December 31, 2017 are as follows:




				Fair Value Measurements at June 30, 2018 Using
		Assets Measured at Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(in thousands)		06/30/2018		(Level 1)		(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
   U.S. government agencies	$	28,751			$	28,751
   Commercial mortgage-backed agencies	$	38,843			$	38,843
   Collateralized mortgage obligations	$	37,625			$	37,625
   Obligations of states and political subdivisions	$	20,937			$	20,937
   Collateralized debt obligations	$	16,147					$	16,147
Financial Derivatives	$	1,536			$	1,536
Non-recurring:
Impaired loans	$	2,044					$	2,044
Other real estate owned	$	1,665					$	1,665






				Fair Value Measurements at December 31, 2017 Using

		Assets Measured at Fair Value		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(in thousands)		12/31/2017		(Level 1)		(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
   U.S. government agencies	$	29,256			$	29,256
   Commercial mortgage-backed agencies	$	40,891			$	40,891
   Collateralized mortgage obligations	$	40,384			$	40,384
   Obligations of states and political subdivisions	$	21,019			$	21,019
   Collateralized debt obligations	$	14,920					$	14,920
Financial Derivative	$	781			$	781
Non-recurring:
Impaired loans	$	2,507					$	2,507
Other real estate owned	$	1,841					$	1,841



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 six- and three-month periods ended June 30, 2018 and 2017:




		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(In thousands)		Investment Securities Available for Sale
Beginning balance January 1, 2018	$	14,920
   Total gains realized/unrealized:
       Included in other comprehensive income		1,227
Ending balance June 30, 2018	$	16,147











		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(in thousands)		Investment Securities Available for Sale
Beginning balance January 1, 2017	$	20,254
   Total gains/(losses) realized/unrealized:
       Included in other comprehensive income		(5,907)
Ending balance June 30, 2017	$	14,347







		Fair Value Measurement Using Significant Unobservable Inputs (Level 3)


(in thousands)		Investment Securities Available for Sale
Beginning balance April 1, 2018	$	15,977
   Total gains realized/unrealized:
       Included in other comprehensive loss		170
Ending balance June 30, 2018	$	16,147







		Fair Value Measurement Using Significant Unobservable Inputs (Level 3)


(in thousands)		Investment Securities Available for Sale
Beginning balance April 1, 2017	$	20,357
   Total losses realized/unrealized:
       Included in other comprehensive income		(6,010)
Ending balance June 30, 2017	$	14,347



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:






	June 30, 2018					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	$	23,072	$	23,072	$	23,072
Interest bearing deposits in banks		2,319		2,319		2,319
Investment securities - AFS		142,303		142,303			$	126,156	$	16,147
Investment securities - HTM		90,295		89,242				79,976		9,266
Restricted bank stock		4,332		4,332				4,332
Loans, net 1		931,432		926,550						926,550
Financial derivatives		1,536		1,536				1,536
Accrued interest receivable		3,761		3,761				3,761

Financial Liabilities:
Deposits – non-maturity		818,958		818,958				818,958
Deposits – time deposits		222,162		223,123				223,123
Short-term borrowed funds		47,929		47,929				47,929
Long-term borrowed funds		100,929		102,313				102,313
Accrued interest payable		323		323				323
Off balance sheet financial instruments		0		0		0































	December 31, 2017					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	$	82,273	$	82,273	$	82,273
Interest bearing deposits in banks		1,479		1,479		1,479
Investment securities - AFS		146,470		146,470			$	131,550	$	14,920
Investment securities - HTM		93,632		95,346				86,836		8,510
Restricted bank stock		5,204		5,204				5,204
Loans, net 1		882,546		883,936						883,936
Financial derivative		781		781				781
Accrued interest receivable		3,814		3,814				3,814

Financial Liabilities:
Deposits- non-maturity		805,263		805,263				805,263
Deposits- time deposits		234,127		235,489				235,489
Short-term borrowed funds		48,845		48,845				48,845
Long-term borrowed funds		120,929		123,906				123,906
Accrued interest payable		453		453				453
Off balance sheet financial instruments		0		0		0



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- 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.

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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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