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Fair Value Measurements and Disclosures (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Measurements and Disclosures

Schedule of financial assets measured at fair value on a recurring basis

​

​	​	​	​	​	​	​	​	​	​
​	​	September 30, 2021
(dollars in thousands)		Total			Level 1		Level 2		Level 3
Assets	​	​	​	​	​	​	​	​	​
Securities available for sale:	​	​	​	​	​	​	​	​	​
U.S. asset backed securities	​	$	21,293	​	—	​	21,293	​	—
U.S. government agency mortgage-backed securities	​	​	5,459	​	—	​	5,459	​	—
U.S. government agency collateralized mortgage obligations	​	​	24,053	​	—	​	24,053	​	—
State and municipal securities	​	​	72,828	​	—	​	72,828	​	—
U.S. Treasuries	​	​	15,010	​	—	​	15,010	​	—
Non-U.S. government agency collateralized mortgage obligations	​	​	999	​	—	​	999	​	—
Corporate bonds	​	​	6,507	​	—	​	6,507	​	—
Equity investments	​	​	1,011	​	—	​	1,011	​	—
Mortgage loans held for sale	​	​	117,996	​	—	​	117,996	​	—
Mortgage loans held for investment	​	​	17,142	​	—	​	17,142	​	—
Interest rate lock commitments	​	​	1,712	​	—	​	—	​	1,712
Forward commitments	​	​	447	​	—	​	447	​	—
Customer derivatives - interest rate swaps	​	​	1,052	​	—	​	1,052	​	—
Total	​	$	285,509	​	—	​	283,797	​	1,712
​	​	​	​	​	​	​	​	​	​
Liabilities	​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​	​	360	​	—	​	—	​	360
Forward commitments	​	​	22	​	—	​	22	​	—
Customer derivatives - interest rate swaps	​	​	1,101	​	—	​	1,101	​	—
​	​	$	1,483	​	—	​	1,123	​	360

​

​	​	​	​	​	​	​	​	​	​
​	​	December 31, 2020
(dollars in thousands)		Total			Level 1		Level 2		Level 3
Assets	​	​	​	​	​	​	​	​	​
Securities available for sale:	​	​	​	​	​	​	​	​	​
U.S. asset backed securities	​	$	25,592	​	—	​	25,592	​	—
U.S. government agency mortgage-backed securities	​	​	4,046	​	—	​	4,046	​	—
U.S. government agency collateralized mortgage obligations	​	​	23,909	​	—	​	23,909	​	—
State and municipal securities	​	​	65,810	​	—	​	65,810	​	—
Corporate bonds	​	​	4,205	​	—	​	4,205	​	—
Equity investments	​	​	1,031	​	—	​	1,031	​	—
Mortgage loans held for sale	​	​	229,199	​	—	​	229,199	​	—
Mortgage loans held for investment	​	​	12,182	​	—	​	12,182	​	—
Interest rate lock commitments	​	​	6,932	​	—	​	—	​	6,932
Forward commitments	​	​	—	​	—	​	—	​	—
Customer derivatives - interest rate swaps	​	​	1,118	​	—	​	1,118	​	—
Total	​	$	374,024	​	—	​	367,092	​	6,932
​	​	​	​	​	​	​	​	​	​
Liabilities	​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​	​	100	​	—	​	—	​	100
Forward commitments	​	​	1,572	​	—	​	1,572	​	—
Customer derivatives - interest rate swaps	​	​	1,219	​	—	​	1,219	​	—
​	​	$	2,891	​	—	​	2,791	​	100

​

Schedule of financial assets measured at fair value on non-recurring basis

​

​	​	​	​	​	​	​
​	​	September 30, 2021		​	​	December 31, 2020
(dollars in thousands)		Fair Value				Fair Value
Mortgage servicing rights	​	$	10,097	​	​	4,647
SBA loan servicing rights	​	​	1,835	​	​	970
Impaired loans (1)	​	​	2,458	​	​	2,998
Total	​	$	14,390	​	​	8,615

(1) Impaired loans are those in which the Corporation has measured impairment generally based on the fair value of the loan’s collateral.  Fair value is generally determined based upon independent third-party appraisals of the properties, or discounted cash flows based upon the expected proceeds.  These assets are included as Level 3 fair values.

Schedule of estimated fair values of financial instruments

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	​	​	September 30, 2021				​	December 31, 2020
​	​	Fair Value	​	Carrying		​	​	​	Carrying	​	​
(dollars in thousands)		Hierarchy Level		amount			Fair value		amount		Fair value
Financial assets:	​	​	​	​	​	​	​	​	​	​	​
Cash and cash equivalents	​	Level 1	​	$	63,121	​	63,121	​	36,744	​	36,744
Securities available-for-sale	​	Level 2	​	​	146,149	​	146,149	​	123,562	​	123,562
Securities held-to-maturity	​	Level 2	​	​	6,406	​	6,660	​	6,510	​	6,857
Equity investments	​	Level 2	​	​	1,011	​	1,011	​	1,031	​	1,031
Mortgage loans held for sale	​	Level 2	​	​	117,996	​	117,996	​	229,199	​	229,199
Loans receivable, net of the allowance for loan and lease losses	​	Level 3	​	​	1,361,528	​	1,391,260	​	1,272,582	​	1,289,776
Mortgage loans held for investment	​	Level 2	​	​	17,142	​	17,142	​	12,182	​	12,182
Interest rate lock commitments	​	Level 3	​	​	1,712	​	1,712	​	6,932	​	6,932
Forward commitments	​	Level 2	​	​	447	​	447	​	—	​	—
Restricted investment in bank stock	​	NA	​	​	4,162	​	NA	​	7,861	​	NA
Accrued interest receivable	​	Level 3	​	​	5,080	​	5,080	​	5,482	​	5,482
Customer derivatives - interest rate swaps	​	Level 2	​	​	1,052	​	1,052	​	1,118	​	1,118
Financial liabilities:	​	​	​	​	​	​	​	​	​	​	​
Deposits	​	Level 2	​	​	1,439,047	​	1,552,500	​	1,241,335	​	1,392,500
Short-term borrowings	​	Level 2	​	​	22,278	​	22,278	​	106,862	​	106,862
Long-term debt	​	Level 2	​	​	78,405	​	79,373	​	165,546	​	168,000
Subordinated debentures	​	Level 2	​	​	40,760	​	41,859	​	40,671	​	38,375
Accrued interest payable	​	Level 2	​	​	663	​	663	​	1,154	​	1,154
Interest rate lock commitments	​	Level 3	​	​	360	​	360	​	100	​	100
Forward commitments	​	Level 2	​	​	22	​	22	​	1,572	​	1,572
Customer derivatives - interest rate swaps	​	Level 2	​	​	1,101	​	1,101	​	1,219	​	1,219
​	​	​	​	​	​	​	​	​	​	​	​
​	​	​	​	Notional		​	​	​	Notional	​	​
Off-balance sheet financial instruments:		​		amount			Fair value		amount		Fair value
Commitments to extend credit	​	Level 2	​	$	505,018	​	1,712	​	421,399	​	6,932
Letters of credit	​	Level 2	​	​	17,711	​	—	​	8,928	​	—

Schedule of level 3 inputs reconciliation

​

​	​	​	​	​	​	​	​	​	​	​
​	​	Three Months Ended September 30,				​	Nine Months Ended September 30,
​	​	2021			2020	​	2021			2020
Balance at beginning of the period	​	$	2,667	​	4,595	​	$	6,932	​	504
(Decrease) increase in value	​	​	(955)	​	3,203	​	​	(5,220)	​	7,294
Balance at end of the period	​	$	1,712	​	7,798	​	$	1,712	​	7,798

Schedule of measurement inputs

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Significant

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Fair Value

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​

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Unobservable

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Range of

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Weighted

​

​

Level 3

Valuation Technique

Input

Inputs

Average

September 30, 2021

​

$

1,712

​

Market comparable pricing

​

Pull through

​

1 - 99

%

87.26

%

December 31, 2020

​

​

6,932

​

Market comparable pricing

​

Pull through

​

1 - 99

​

83.08

​

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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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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