Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2015

Assets Measured at Fair Value on Recurring Basis

The following table presents the Company’s assets that are measured at fair value on a recurring basis and the level within the fair value hierarchy in which the fair value measurements fall as of March 31, 2015 and December 31, 2014 (in thousands):



			Fair Value Measurements Using
	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
March 31, 2015
Available-for-sale securities:
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	125,245	$	—	$	125,245	$	—
Obligations of states and political subdivisions	80,803		—		80,803		—
Mortgage-backed securities	193,250		—		193,250		—
Trust preferred securities	2,166		—		—		2,166
Other securities	4,059		54		4,005		—
Total available-for-sale securities	$	405,523	$	54	$	403,303	$	2,166
December 31, 2014
Available-for-sale securities:
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	99,957	$	—	$	99,957	$	—
Obligations of states and political subdivisions	78,084		—		78,084		—
Mortgage-backed securities	195,401		—		195,401		—
Trust preferred securities	364		—		—		364
Other securities	4,050		55		3,995		—
Total available-for-sale securities	$	377,856	$	55	$	377,437	$	364

Fair Value of Assets Measured on a Recurring Basis Using Significant Unobservable Inputs

The change in fair value of assets measured on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2015 and 2014 is summarized as follows (in thousands):



	Trust Preferred Securities
	March 31, 2015			March 31, 2014
Beginning balance	$	364		$	191
Transfers into Level 3	—			—
Transfers out of Level 3	—			—
Total gains or losses:
Included in net income	—			—
Included in other comprehensive income	1,847			50
Purchases, issuances, sales and settlements:
Purchases	—			—
Issuances	—			—
Sales	—			—
Settlements	(45		)	—
Ending balance	$	2,166		$	241
Total gains or losses for the period included in net income attributable to the change in unrealized gains or losses related to assets and liabilities still held at the reporting date	$	—		$	—

Assets Measured at Fair Value on a Nonrecurring Basis

The following table presents the fair value measurement of assets measured at fair value on a nonrecurring basis and the level within the fair value hierarchy in which the fair value measurements fall at March 31, 2015 and December 31, 2014 (in thousands):



	Fair Value Measurements Using
	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
March 31, 2015
Impaired loans (collateral dependent)	$	583	$	—	$	—	$	583
Foreclosed assets held for sale	42		—		—		42
December 31, 2014
Impaired loans (collateral dependent)	$	1,313	$	—	$	—	$	1,313

Significant Assumptions Used in Valuation of Level 3 Financial Instruments

The following table presents quantitative information about unobservable inputs used in recurring and nonrecurring Level 3 fair value measurements other than goodwill (in thousands).



	Fair Value at March 31, 2015		Valuation Technique	Unobservable Inputs	Range (Weighted Average)
Trust Preferred Securities	$	2,166	Discounted cash flow	Discount rate	11.2%
				Constant prepayment rate (1)	1.3%
				Cumulative projected prepayments	24.4%
				Probability of default	0.1%
				Projected cures given deferral	100.0%
				Loss severity	97.5%
Impaired loans (collateral dependent)	$	583	Third party valuations	Discount to reflect realizable value	0	%	-	40%	(	20%	)
Foreclosed assets held for sale	$	42	Third party valuations	Discount to reflect realizable value less estimated selling costs	0	%	-	40%	(	35%	)



	Fair Value at December 31, 2014		Valuation Technique	Unobservable Inputs	Range (Weighted Average)
Trust Preferred Securities	$	364	Discounted cash flow	Discount rate	11.6%
				Constant prepayment rate (1)	1.3%
				Cumulative projected prepayments	24.4%
				Probability of default	0.1%
				Projected cures given deferral	100.0%
				Loss severity	97.4%
Impaired loans (collateral dependent)	$	1,313	Third party valuations	Discount to reflect realizable value	0	%	-	40%	(	20%	)


(1)	Every five years

Carrying Amounts and Estimated Fair Values of Financial Instruments Not Carried at Fair Value

The following tables present estimated fair values of the Company’s financial instruments at March 31, 2015 and December 31, 2014 in accordance with FAS 107-1 and APB 28-1, codified with ASC 805 (in thousands):



	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
March 31, 2015
Financial Assets
Cash and due from banks	$	55,474	$	55,474	$	55,474	$	—	$	—
Federal funds sold	493		493		493		—		—
Available-for-sale securities	405,523		405,523		54		403,303		2,166
Held-to-maturity securities	48,799		49,977		—		49,977		—
Loans held for sale	868		868		—		868		—
Loans net of allowance for loan losses	1,039,182		1,046,266		—		—		1,046,266
Interest receivable	6,009		6,009		—		6,009		—
Federal Reserve Bank stock	1,522		1,522		—		1,522		—
Federal Home Loan Bank stock	3,391		3,391		—		3,391		—
Financial Liabilities
Deposits	$	1,279,103	$	1,279,452	$	—	$	1,077,860	$	201,592
Securities sold under agreements to repurchase	116,596		116,604		—		116,604		—
Interest payable	305		305		—		305		—
Federal Home Loan Bank borrowings	25,000		25,797		—		25,797		—
Other borrowings	2,000		2,000		—		2,000		—
Junior subordinated debentures	20,620		12,557		—		12,557		—



December 31, 2014
Financial Assets
Cash and due from banks	$	51,236	$	51,236	$	51,236	$	—	$	—
Federal funds sold	494		494		494		—		—
Available-for-sale securities	377,856		377,856		55		377,437		364
Held-to-maturity securities	53,650		53,937		—		53,937		—
Loans held for sale	1,958		1,958		—		1,958		—
Loans net of allowance for loan losses	1,046,766		1,051,110		—		—		1,051,110
Interest receivable	6,828		6,828		—		6,828		—
Federal Reserve Bank stock	1,522		1,522		—		1,522		—
Federal Home Loan Bank stock	3,391		3,391		—		3,391		—
Financial Liabilities
Deposits	$	1,272,077	$	1,272,358	$	—	$	1,053,800	$	218,558
Securities sold under agreements to repurchase	121,869		121,870		—		121,870		—
Interest payable	285		285		—		285		—
Federal Home Loan Bank borrowings	20,000		20,541		—		20,541		—
Junior subordinated debentures	20,620		12,528		—		12,528		—

- Definition

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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- Definition

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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