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Fair Value of Financial Instruments (Tables)

9 Months Ended

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





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

Investment Securities – available for sale	$	16,568	Discounted Cash Flow	Discount Rate	LIBOR+ 3.75%

Non-recurring:

Impaired Loans	$	1,525	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1)               (weighted avg 11.4%)

Other Real Estate Owned	$	1,279	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1)               (weighted avg 13.7%)

(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 September 30, 2018 and December 31, 2017 are as follows:




				Fair Value Measurements at September 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)		09/30/2018		(Level 1)		(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
   U.S. government agencies	$	28,565			$	28,565
   Commercial mortgage-backed agencies	$	37,631			$	37,631
   Collateralized mortgage obligations	$	36,122			$	36,122
   Obligations of states and political subdivisions	$	19,759			$	19,759
   Collateralized debt obligations	$	16,568					$	16,568
Financial Derivatives	$	1,689			$	1,689
Non-recurring:
Impaired loans	$	1,525					$	1,525
Other real estate owned	$	1,279					$	1,279






				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 nine- and three-month periods ended September 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		1,648
Ending balance September 30, 2018	$	16,568











		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(in thousands)		Investment Securities Available for Sale
Beginning balance January 1, 2017	$	20,254
   Total losses realized/unrealized:
       Included in other comprehensive income		(5,536)
Ending balance September 30, 2017	$	14,718







		Fair Value Measurement Using Significant Unobservable Inputs (Level 3)


(in thousands)		Investment Securities Available for Sale
Beginning balance July 1, 2018	$	16,147
   Total gains realized/unrealized:
       Included in other comprehensive income		421
Ending balance September 30, 2018	$	16,568






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:






	September 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	$	21,725	$	21,725	$	21,725
Interest bearing deposits in banks		1,832		1,832		1,832
Investment securities - AFS		138,645		138,645			$	122,077	$	16,568
Investment securities - HTM		93,726		91,896				81,444		10,452
Restricted bank stock		5,394		5,394				5,394
Loans, net 1		953,737		938,110						938,110
Financial derivatives		1,689		1,689				1,689
Accrued interest receivable		4,069		4,069				4,069

Financial Liabilities:
Deposits – non-maturity		801,017		801,017				801,017
Deposits – time deposits		223,558		224,295				224,295
Short-term borrowed funds		86,805		86,805				86,805
Long-term borrowed funds		100,929		97,622				97,622
Accrued interest payable		358		358				358
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



























1 In accordance with the prospective adoption of Accounting Standards Update (“ASU”) 2016-01, the fair value of loans at September 30, 2018 was measured using an exit price notion.  The fair value of loans at December 31, 2017 was measured using an entry price notion.

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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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