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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value of Financial Instruments [Abstract]

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques


(in thousands)	Fair Value at June 30, 2022		Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:
Investment Securities – available for sale -CDO	$	16,258	Discounted Cash Flow	Discount Margin	Range of low to mid 300 and mid 400

Non-recurring:
Impaired Loans, net	$	337	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1) (weighted avg 14.2%)

Equity Investment	$	590	Market Method	Revenue Multiples	2.8x


(in thousands)	Fair Value at December 31, 2021		Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Recurring:
Investment Securities – available for sale -CDO	$	17,192	Discounted Cash Flow	Discount Rate	Libor + 3.25%

Non-recurring:
Impaired Loans, net	$	408	Market Comparable Properties	Marketability Discount	10.0% - 15.0% (1) (weighted avg 13.2%)

Equity Investment	$	590	Market Method	Revenue Multiples	2.8x

Other Real Estate Owned	$	349	Market Comparable Properties	Marketability Discount	15.0%

(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, 2022 Using
			Quoted
			Prices in	Significant
	Assets/(liabilities)		Active Markets	Other		Significant
	Measured at		for Identical	Observable		Unobservable
	Fair Value		Assets	Inputs		Inputs
(in thousands)	06/30/22		(Level 1)	(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
U.S. government agencies	$	9,915		$	9,915
Residential mortgage-backed agencies	$	41,246		$	41,246
Commercial mortgage-backed agencies	$	31,996		$	31,996
Collateralized mortgage obligations	$	24,150		$	24,150
Obligations of states and political subdivisions	$	8,323		$	8,323
Corporate bonds	$	979		$	979
Collateralized debt obligations	$	16,258				$	16,258
Financial derivatives	$	635		$	635
Non-recurring:
Impaired loans, net	$	337				$	337
Equity Investment	$	590				$	590
Other real estate owned	$	—				$	—



			Fair Value Measurements at December 31, 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)	12/31/21		(Level 1)	(Level 2)		(Level 3)
Recurring:
Investment securities available-for-sale:
U.S. government agencies	$	67,169		$	67,169
Residential mortgage-backed agencies	$	48,661		$	48,661
Commercial mortgage-backed agencies	$	50,868		$	50,868
Collateralized mortgage obligations	$	90,077		$	90,077
Obligations of states and political subdivisions	$	12,804		$	12,804
Collateralized debt obligations	$	17,192				$	17,192
Financial derivatives	$	(453)		$	(453)
Non-recurring:
Impaired loans, net	$	408				$	408
Equity investment	$	590				$	590
Other real estate owned	$	349				$	349

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, 2022	$	17,192
Total losses realized/unrealized:
Included in other comprehensive loss		(934)
Ending balance June 30, 2022	$	16,258



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(in thousands)	Investment Securities Available for Sale
Beginning balance April 1, 2022	$	17,319
Total gains realized/unrealized:
Included in other comprehensive income		(1,061)
Ending balance June 30, 2022	$	16,258


	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 loss		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 losses realized/unrealized:
Included in other comprehensive income		2,581
Ending balance June 30, 2021	$	16,230

Fair Value by Balance Sheet Grouping


	June 30, 2022				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	$	20,108	$	20,108	$	20,108
Interest bearing deposits in banks		1,543		1,543		1,543
Investment securities - AFS		132,867		132,867			$	116,609	$	16,258
Investment securities - HTM		240,588		220,301				195,613		24,688
Restricted bank stock		1,026		N/A
Loans, net		1,217,772		1,159,687						1,159,687
Financial derivatives		635		635				635
Accrued interest receivable		5,055		5,055				945		4,110
Financial Liabilities:
Deposits - non-maturity		1,349,440		1,349,440				1,349,440
Deposits - time deposits		134,914		135,048				135,048
Short-term borrowed funds		69,914		69,914				69,914
Long-term borrowed funds		30,929		30,967				30,967
Accrued interest payable		92		92				92
Off balance sheet financial instruments		—		—		—


	December 31, 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	$	109,823	$	109,823	$	109,823
Interest bearing deposits in banks		5,897		5,897		5,897
Investment securities - AFS		286,771		286,771			$	269,579	$	17,192
Investment securities - HTM		56,259		65,369				36,448		28,921
Restricted bank stock		1,029		1,029				1,029
Loan held for sale		67		67						67
Loans, net		1,137,440		1,122,671						1,122,671
Accrued interest receivable		4,821		4,821				4,821
Financial Liabilities:
Deposits - non-maturity		1,306,145		1,306,145				1,306,145
Deposits - time deposits		163,229		163,961				163,961
Financial derivatives		453		453				453
Short-term borrowed funds		57,699		57,699				57,699
Long-term borrowed funds		30,929		31,085				31,085
Accrued interest payable		137		137				137

- 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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