Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Measurements [Abstract]

Assets Measured at Fair Value on a Recurring Basis

The following tables present the assets and liabilities reported on the Consolidated Balance Sheet at their fair value on a recurring basis as of September 30, 2023 and December 31, 2022 by level within the fair value hierarchy (in thousands). Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

September 30, 2023	Level I		Level II			Level III		Total
Fair value measurements on a recurring basis:
Assets
Equity securities	$	1,858	$	-		$	-	$	1,858
Available for sale securities:
U.S. Agency securities		-		63,647			-		63,647
U.S. Treasury securities		147,431		-			-		147,431
Obligations of state and political subdivisions		-		96,022			-		96,022
Corporate obligations		-		12,120			-		12,120
Mortgage-backed securities in government sponsored entities		-		98,587			-		98,587
Loans held for sale		-		14,155			-		14,155
Other Assets
Derivative instruments		-		17,707			437		18,144
Liabilities
Derivative instruments		-		(10,694	)		-		(10,694	)

December 31, 2022	Level I		Level II			Level III		Total
Fair value measurements on a recurring basis:
Assets:
Equity securities	$	2,208	$	-		$	-	$	2,208
Available for sale securities:
U.S. Agency securities		-		70,677			-		70,677
U.S. Treasuries securities		148,570		-			-		148,570
Obligations of state and political subdivisions		-		110,300			-		110,300
Corporate obligations		-		9,383			-		9,383
Mortgage-backed securities in government sponsored entities		-		100,576			-		100,576
Derivative instruments		-		16,599			-		16,599
Liabilities:
Derivative instruments		-		(9,726	)		-		(9,726	)

Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

The following tables represent the change in the assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2023 (in thousands):

	IRLC- Asset
Balance: June 30, 2023	$	529
Total unrealized losses:
Included in other comprehensive loss		-
Total losses included in earnings and held at reporting date		(92	)
Purchases, sales and settlements		-
Transfers in and/or out of Level 3		-
Ending Balance: September 30, 2023	$	437
Change in unrealized (losses) for the period included in earnings (or changes in net assets) for assets held as of September 30, 2023	$	(92	)

	IRLC- Asset
Beginning Balance: June 16, 2023	$	657
Total unrealized losses:
Included in other comprehensive loss		-
Total losses included in earnings and held at reporting date		(220	)
Purchases, sales and settlements		-
Transfers in and/or out of Level 3		-
Ending Balance: September 30, 2023	$	437
Change in unrealized (losses) for the period included in earnings (or changes in net assets) for assets held as of September 30, 2023	$	(220	)

Assets Measured at Fair Value on Non-recurring Basis

Assets measured at fair value on a nonrecurring basis as of September 30, 2023 and December 31, 2022 are included in the table below (in thousands):

September 30, 2023	Level I		Level II		Level III		Total
Individually analyzed loans held for investment	$	-	$	-	$	3,980	$	3,980
Other real estate owned		-		-		97		97
December 31, 2022	Level I		Level II		Level III		Total
Individually analyzed loans held for investment	$	-	$	-	$	496	$	496
Other real estate owned		-		-		297		297

Significant Unobservable Inputs Used in Fair Value Measurement Process

Significant unobservable inputs for assets measured at fair value on a recurring basis at September 30, 2023 (in thousands):

	Quantitative Information about Level 3 Fair Value Measurements at September 30, 2023
	Fair Value		Valuation Technique	Significant Unobservable Input	Range			Weighted Average
Measured at Fair Value on a Recurring Basis:
Net derivative asset and liability:
IRLC	$	437	Discounted cash flows	Pull-through rates		75.39%-99.64	%		90.40	%

The following table provides a listing of the significant unobservable inputs used in the fair value measurement process for items valued utilizing Level III techniques (dollars in thousands).

Quantitative Information about Level III Fair Value Measurements

September 30, 2023	Fair Value		Valuation Technique(s)	Unobservable input	Range			Weighted average
Individually analyzed loans held for investment	$	3,980	Appraised Collateral Values	Discount for time since appraisal		0-100	%		26.55	%
				Selling costs		8%-10	%		9.89	%
				Holding period	0 - 12 months			6.70 months
Other real estate owned		97	Appraised Collateral Values	Discount for time since appraisal		32	%		32.00	%

December 31, 2022	Fair Value		Valuation Technique(s)	Unobservable input	Range			Weighted average
Individually analyzed loans held for investment		496	Appraised Collateral Values	Discount for time since appraisal		0-100	%		25.16	%
				Selling costs		8%-10	%		8.41	%
				Holding period	6 - 12 months			11.51 months
Other real estate owned		297	Appraised Collateral Values	Discount for time since appraisal		20-84	%		39.84	%

Carrying Amount and Fair Value of Financial Instruments

The carrying amount and fair value of the Company’s financial instruments that are not required to be measured or reported at fair value on a recurring basis are as follows (in thousands):

September 30, 2023	Carrying Amount		Fair Value		Level I		Level II		Level III
Financial assets:
Interest bearing time deposits with other banks	$	4,566	$	4,566	$	-	$	-	$	4,566
Net loans		2,224,941		2,145,060		-		-		2,080,817
Financial liabilities:
Deposits		2,335,135		2,324,624		1,958,842		-		365,782
Borrowed funds		316,151		298,617		-		-		298,617
December 31, 2022
Financial assets:
Interest bearing time deposits with other banks	$	6,055	$	6,055	$	-	$	-	$	6,055
Loans held for sale		725		725		-		-		725
Net loans		1,706,447		1,662,514		-		-		1,662,514
Financial liabilities:
Deposits		1,844,208		1,832,037		1,566,517		-		265,520
Borrowed funds		257,278		246,288		-		-		246,288