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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value of Financial Instruments [Abstract]

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques


(in thousands)	Fair Value at June 30, 2021		Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:
Investment Securities – available for sale	$	16,230	Discounted Cash Flow	Discount Rate	LIBOR+ 3.75%

Non-recurring:
Impaired Loans	$	2,099	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1) (weighted avg 10.5%)

Other Real Estate Owned	$	443	Market Comparable Properties	Marketability Discount	15.0%


(in thousands)	Fair Value at December 31, 2020		Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:
Investment Securities – available for sale	$	13,260	Discounted Cash Flow	Discount Rate	LIBOR+ 5.25%

Non-recurring:
Impaired Loans	$	1,465	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1) (weighted avg 12.5%)

Other Real Estate Owned	$	913	Market Comparable Properties	Marketability Discount	15.0%

NOTE:

(1)

Range would include discounts taken since appraisal and estimated values

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



			Fair Value Measurements at June 30, 2021 Using
			Quoted
			Prices in	Significant
	Assets/(liabilities)		Active Markets	Other		Significant
	Measured at		for Identical	Observable		Unobservable
	Fair Value		Assets	Inputs		Inputs
(in thousands)	06/30/21		(Level 1)	(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
U.S. government agencies	$	58,121		$	58,121
Residential mortgage-backed agencies	$	31,482		$	31,482
Commercial mortgage-backed agencies	$	54,190		$	54,190
Collateralized mortgage obligations	$	72,156		$	72,156
Obligations of states and political subdivisions	$	9,834		$	9,834
Collateralized debt obligations	$	16,230				$	16,230
Financial derivatives	$	(834)		$	(834)
Non-recurring:
Impaired loans	$	2,099				$	2,099
Other real estate owned	$	443				$	443



			Fair Value Measurements at December 31, 2020 Using
			Quoted
			Prices in	Significant
	Assets/(liabilities)		Active Markets	Other		Significant
	Measured at		for Identical	Observable		Unobservable
	Fair Value		Assets	Inputs		Inputs
(in thousands)	12/31/20		(Level 1)	(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
U.S. government agencies	$	76,433		$	76,433
Residential mortgage-backed agencies	$	22,899		$	22,899
Commercial mortgage-backed agencies	$	33,042		$	33,042
Collateralized mortgage obligations	$	70,637		$	70,637
Obligations of states and political subdivisions	$	10,614		$	10,614
Collateralized debt obligations	$	13,260				$	13,260
Financial derivatives	$	(1,320)		$	(1,320)
Non-recurring:
Impaired loans	$	1,465				$	1,465
Other real estate owned	$	913				$	913

Reconciliation of Fair Valued Assets Measured on a Recurring Basis


	Fair Value Measurements
	Using Significant Unobservable Inputs
	(Level 3)
	Investment Securities
(in thousands)	Available for Sale
Beginning balance January 1, 2021	$	13,260
Total losses realized/unrealized:
Included in other comprehensive income		2,970
Ending balance June 30, 2021	$	16,230



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(in thousands)	Investment Securities Available for Sale
Beginning balance April 1, 2021	$	13,649
Total gains realized/unrealized:
Included in other comprehensive income		2,581
Ending balance June 30, 2021	$	16,230


	Fair Value Measurements
	Using Significant Unobservable Inputs
	(Level 3)
	Investment Securities
(in thousands)	Available for Sale
Beginning balance January 1, 2020	$	14,354
Total losses realized/unrealized:
Included in other comprehensive loss		(2,402)
Ending balance June 30, 2020	$	11,952



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(in thousands)	Investment Securities Available for Sale
Beginning balance April 1, 2020	$	12,380
Total losses realized/unrealized:
Included in other comprehensive income		(428)
Ending balance June 30, 2020	$	11,952

Fair Value by Balance Sheet Grouping


	June 30, 2021				Fair Value Measurements
					Quoted
					Prices in		Significant
					Active Markets		Other		Significant
					for Identical		Observable		Unobservable
	Carrying		Fair		Assets		Inputs		Inputs
(in thousands)	Amount		Value		(Level 1)		(Level 2)		(Level 3)
Financial Assets:
Cash and due from banks	$	190,949	$	190,949	$	190,949
Interest bearing deposits in banks		3,473		3,473		3,473
Investment securities - AFS		242,013		242,013			$	225,783	$	16,230
Investment securities - HTM		65,683		75,574				46,410		29,164
Restricted bank stock		3,658		3,658				3,658
Loans, net		1,125,817		1,121,938						1,121,938
Accrued interest receivable		5,201		5,201				765		4,436
Financial Liabilities:
Deposits - non-maturity		1,256,597		1,256,597				1,256,597
Deposits - time deposits		199,514		201,160				201,160
Financial derivatives		834		834				834
Short-term borrowed funds		49,406		49,406				49,406
Long-term borrowed funds		100,929		103,176				103,176
Accrued interest payable		329		329				329
Off balance sheet financial instruments		—		—		—


	December 31, 2020				Fair Value Measurements
					Quoted
					Prices in		Significant
					Active Markets		Other		Significant
					for Identical		Observable		Unobservable
	Carrying		Fair		Assets		Inputs		Inputs
(in thousands)	Amount		Value		(Level 1)		(Level 2)		(Level 3)
Financial Assets:
Cash and due from banks	$	146,673	$	146,673	$	146,673
Interest bearing deposits in banks		2,759		2,759		2,759
Investment securities - AFS		226,885		226,885			$	213,625	$	13,260
Investment securities - HTM		68,263		77,612				49,442		28,170
Restricted bank stock		4,468		4,468				4,468
Loans, net		1,149,596		1,150,186						1,150,186
Accrued interest receivable		6,241		6,241				6,241
Financial Liabilities:
Deposits - non-maturity		1,194,140		1,194,140				1,194,140
Deposits - time deposits		228,226		231,241				231,241
Financial derivative		1,320		1,320				1,320
Short-term borrowed funds		49,160		49,160				49,160
Long-term borrowed funds		100,929		104,825				104,825
Accrued interest payable		391		391				391
Off balance sheet financial instruments		—		—		—

- 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 + Details