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Disclosures about Fair Value Measurements and Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Disclosures about Fair Value Measurements and Financial Instruments

Schedule of assets and liabilities measured and recorded at fair value on a recurring basis

The fair values of the interest rate swaps used for interest rate risk management are based on an external derivative valuation model using data inputs from similar transactions as of the valuation date and classified Level 2.

The following table presents the assets and liability measured and reported on the Consolidated Balance Sheets on a recurring basis at their fair value as of September 30, 2020 and December 31, 2019, by level within the fair value hierarchy (in thousands).

		Fair Value Measurements at September 30, 2020
		TOTAL			(LEVEL 1)			(LEVEL 2)			(LEVEL 3)
Equity securities		$	424		$	424		$	—		$	—
Available for sale securities:
U.S. Agency			3,276			—			3,276			—
U.S. Agency mortgage-backed securities			69,042			—			69,042			—
Municipal			18,651			—			18,651			—
Corporate bonds			50,747			—			50,747			—
Fair value swap asset			3,665			—			3,665			—
Fair value swap liability			(3,665)			—			(3,665)			—

		Fair Value Measurements at December 31, 2019
		TOTAL			(LEVEL 1)			(LEVEL 2)			(LEVEL 3)
Equity securities		$	366		$	366		$	—		$	—
Available for sale securities:
U.S. Agency			5,116			—			5,116			—
U.S. Agency mortgage-backed securities			81,633			—			81,633			—
Municipal			15,170			—			15,170			—
Corporate bonds			39,830			—			39,830			—
Fair value swap asset			959			—			959			—
Fair value swap liability			(959)			—			(959)			—

Schedule of assets measured and recorded at fair value on a non-recurring basis

Assets measured and recorded at fair value on a non-recurring basis are summarized below (in thousands, except range data):

		FAIR VALUE MEASUREMENTS AT SEPTEMBER 30, 2020 USING
		TOTAL			(LEVEL 1)			(LEVEL 2)			(LEVEL 3)
Impaired loans		$	258		$	—		$	—		$	258
Other real estate owned			40			—			—			40

		FAIR VALUE MEASUREMENTS AT DECEMBER 31, 2019 USING
		TOTAL			(LEVEL 1)			(LEVEL 2)			(LEVEL 3)
Impaired loans		$	255		$	—		$	—		$	255
Other real estate owned			37			—			—			37

September 30, 2020		Quantitative Information About Level 3 Fair Value Measurements
					Valuation		Unobservable
		Fair Value			Techniques		Input		Range (Wgtd Ave)
Impaired loans		$	258		Appraisal of		Appraisal		0% to 100%  (3%)
					collateral (1)		adjustments(2)
Other real estate owned			40		Appraisal of		Appraisal		57%  (57%)
					collateral (1)		adjustments(2)
							Liquidation		22% to 38%  (30%)
							expenses

December 31, 2019		Quantitative Information About Level 3 Fair Value Measurements
					Valuation		Unobservable
		Fair Value			Techniques		Input		Range (Wgtd Ave)
Impaired loans		$	255		Appraisal of		Appraisal		0% to 100%  (3%)
					collateral (1)		adjustments(2)
Other real estate owned			37		Appraisal of		Appraisal		0% to 57%  (38%)
					collateral (1)		adjustments(2)
							Liquidation		21% to 134%  (30%)
							expenses

(1) Fair Value is generally determined through independent appraisals of the underlying collateral, which generally include various level 3 inputs which are not identifiable. Also includes qualitative adjustments by management and estimated liquidation expenses.

(2) Appraisals may be adjusted by management for qualitative factors such as economic conditions.

Schedule of estimated fair value and recorded carrying value

The estimated fair values based on US GAAP measurements and recorded carrying values at September 30, 2020 and December 31, 2019, for the remaining financial instruments not required to be measured or reported at fair value were as follows:

		September 30, 2020
		Carrying
		Value				Fair Value			(Level 1)			(Level 2)			(Level 3)
			(IN THOUSANDS)
FINANCIAL ASSETS:
Investment securities – HTM		$	42,636		$	45,308		$	—		$	42,311		$	2,997
Loans held for sale			7,587			7,766			7,766			—			—
Loans, net of allowance for loan loss and unearned income			931,496			941,988			—			—			941,988
FINANCIAL LIABILITIES:
Deposits with no stated maturities			728,507			745,879			—			—			745,879
Deposits with stated maturities			313,728			317,679			—			—			317,679
All other borrowings (1)			94,830			100,945			—			—			100,945

		December 31, 2019
		Carrying
		Value				Fair Value			(Level 1)			(Level 2)			(Level 3)
			(IN THOUSANDS)
FINANCIAL ASSETS:
Investment securities – HTM		$	39,936		$	41,082		$	—		$	38,129		$	2,953
Loans held for sale			4,868			4,970			4,970			—			—
Loans, net of allowance for loan loss and unearned income			873,427			873,908			—			—			873,908
FINANCIAL LIABILITIES:
Deposits with no stated maturities			651,469			631,023			—			—			631,023
Deposits with stated maturities			309,044			310,734			—			—			310,734
All other borrowings(1)			74,134			76,323			—			—			76,323

⁽¹⁾ All other borrowings include advances from Federal Home Loan Bank, guaranteed junior subordinated deferrable interest debentures, and subordinated debt.

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- Definition

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).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
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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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, 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).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
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-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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