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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value of Financial Instruments [Abstract]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques

For Level 3 assets and liabilities measured at fair value on a recurring and non-recurring basis as of September 30, 2015 and December 31, 2014, the significant unobservable inputs used in the fair value measurements were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

(in thousands)

 

Fair Value at September 30, 2015

Valuation Technique

Significant Unobservable Inputs

Significant Unobservable Input Value

Recurring:

 

 

 

 

 

 

 

 

 

 

 

Investment Securities – available for sale

$
31,928 

Discounted Cash Flow

Discount Rate

Range of Libor+ 5.50% to 9.50%

 

 

 

 

 

 

Cash Flow Hedge

$
(107)

Discounted Cash Flow

Reuters Third Party Market Quote

99.9%                       (weighted avg 99.9%)

 

 

 

 

 

 

Non-recurring:

 

 

 

 

 

 

 

 

 

 

 

Impaired Loans

$
5,985 

Market Comparable Properties

Marketability Discount

3% -15% (1)               (weighted avg 11.6%)

 

 

 

 

 

 

Other Real Estate Owned

$
2,278 

Market Comparable Properties

Marketability Discount

10.0% -15.0% (1)               (weighted avg 12.3%)

 

 

 

 

 

 

(in thousands)

 

Fair Value at December 31, 2014

Valuation Technique

Significant Unobservable Inputs

Significant Unobservable Input Value

Recurring:

 

 

 

 

 

 

 

 

 

 

 

Investment Securities – available for sale

$
25,339 

Discounted Cash Flow

Discount Rate

Range of Libor+ 5% to 12%

 

 

 

 

 

 

Cash Flow Hedge

$
(199)

Discounted Cash Flow

Reuters Third Party Market Quote

99.9%                       (weighted avg 99.9%)

 

 

 

 

 

 

Non-recurring:

 

 

 

 

 

 

 

 

 

 

 

Impaired Loans

$
9,122 

Market Comparable Properties

Marketability Discount

10% (1)               (weighted avg 10%)

 

 

 

 

 

 

Other Real Estate Owned

$
2,511 

Market Comparable Properties

Marketability Discount

10% -15% (1)               (weighted avg 11%)

 

NOTE:

(1)

Range would include discounts taken since appraisal and estimated values
Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis

For assets measured at fair value on a recurring and non-recurring basis, the fair value measurements by level within the fair value hierarchy used at September 30, 2015 and December 31, 2014 are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements at September 30, 2015 Using

 

 

Assets Measured at Fair Value

 

Quoted Prices in Active Markets for Identical Assets

 

Significant Other Observable Inputs

 

Significant Unobservable Inputs

(in thousands)

 

9/30/2015

 

(Level 1)

 

(Level 2)

 

(Level 3)

Recurring:

 

 

 

 

 

 

 

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

  U.S. government agencies

$
34,221 

 

 

$
34,221 

 

 

  Residential mortgage-backed agencies

$
14,494 

 

 

$
14,494 

 

 

  Commercial mortgage-backed agencies

$
45,805 

 

 

$
45,805 

 

 

  Collateralized mortgage obligations

$
10,217 

 

 

$
10,217 

 

 

  Obligations of states and political subdivisions

$
48,854 

 

 

$
48,854 

 

 

  Collateralized debt obligations

$
31,928 

 

 

 

 

$
31,928 

Financial Derivative

$
(107)

 

 

 

 

$
(107)

Non-recurring:

 

 

 

 

 

 

 

 

Impaired loans

$
5,985 

 

 

 

 

$
5,985 

Other real estate owned

$
2,278 

 

 

 

 

$
2,278 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements at December 31, 2014 Using

 

 

 

 

 

 

 

Assets Measured at Fair Value

 

Quoted Prices in Active Markets for Identical Assets

 

Significant Other Observable Inputs

 

Significant Unobservable Inputs

(in thousands)

 

12/31/2014

 

(Level 1)

 

(Level 2)

 

(Level 3)

Recurring:

 

 

 

 

 

 

 

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

  U.S. treasuries

$
29,596 

 

 

$
29,596 

 

 

  U.S. government agencies

$
38,941 

 

 

$
38,941 

 

 

  Residential mortgage-backed agencies

$
45,273 

 

 

$
45,273 

 

 

  Commercial mortgage-backed agencies

$
25,957 

 

 

$
25,957 

 

 

  Collateralized mortgage obligations

$
8,707 

 

 

$
8,707 

 

 

  Obligations of states and political subdivisions

$
47,304 

 

 

$
47,304 

 

 

  Collateralized debt obligations

$
25,339 

 

 

 

 

$
25,339 

Financial Derivative

$
(199)

 

 

 

 

$
(199)

Non-recurring:

 

 

 

 

 

 

 

 

Impaired loans

$
9,122 

 

 

 

 

$
9,122 

Other real estate owned

$
2,511 

 

 

 

 

$
2,511 

 

Reconciliation of Fair Valued Assets Measured on a Recurring Basis

The following tables show a reconciliation of the beginning and ending balances for fair valued assets measured on a recurring basis using Level 3 significant unobservable inputs for the nine- and three-month periods ended September 30, 2015 and 2014:

 

 

 

 

 

 

 

 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

 

 

 

(In thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance January 1, 2015

$
25,339 

$
(199)

  Total gains realized/unrealized:

 

 

 

 

      Included in other comprehensive income

 
6,589 

 
92 

Ending balance September 30, 2015

$
31,928 

$
(107)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

 

 

 

(in thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance January 1, 2014

$
17,538 

$
(457)

  Total gains realized/unrealized:

 

 

 

 

      Included in other comprehensive income

 
6,868 

 
229 

Ending balance September 30, 2014

$
24,406 

$
(228)

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement Using Significant Unobservable Inputs (Level 3)

 

 

 

 

 

   

 

 

(in thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance July 1, 2015

$
30,046 

$
(140)

  Total gains realized/unrealized:

 

 

 

 

      Included in other comprehensive income

 
1,882 

 
33 

Ending balance September 30, 2015

$
31,928 

$
(107)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement Using Significant Unobservable Inputs (Level 3)

 

 

 

 

 

   

 

 

(in thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance July 1, 2014

$
23,921 

$
(272)

  Total gains realized/unrealized:

 

 

 

 

      Included in other comprehensive income

 
485 

 
44 

Ending balance September 30, 2014

$
24,406 

$
(228)

 

 

 

 

 

 

Fair Value by Balance Sheet Grouping

 

The following tables present fair value information about financial instruments, whether or not recognized in the Consolidated Statement of Financial Condition, for which it is practicable to estimate that value. The actual carrying amounts and estimated fair values of the Corporation’s financial instruments that are included in the Consolidated Statement of Financial Condition are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2015

 

Fair Value Measurements

 

Carrying

Fair

Quoted Prices in Active Markets for Identical Assets

Significant Other Observable Inputs

Significant Unobservable Inputs

(in thousands)

Amount

Value

(Level 1)

(Level 2)

(Level 3)

Financial Assets:

 

 

 

 

 

 

 

 

 

 

Cash and due from banks

$
61,406 

$
61,406 

$
61,406 

 

 

 

 

Interest bearing deposits in banks

 
3,383 

 
3,383 

 
3,383 

 

 

 

 

Investment securities - AFS

 
185,519 

 
185,519 

 

 

$
153,591 

$
31,928 

Investment securities - HTM

 
106,732 

 
108,759 

 

 

 
106,134 

 
2,625 

Restricted bank stock

 
5,904 

 
5,904 

 

 

 
5,904 

 

 

Loans, net

 
830,881 

 

835,132

 

 

 

 

 
835,132 

Accrued interest receivable

 
3,709 

 
3,709 

 

 

 
3,709 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

Deposits – non-maturity

 
730,899 

 
730,899 

 

 

 
730,899 

 

 

Deposits – time deposits

 
265,442 

 
269,464 

 

 

 
269,464 

 

 

Short-term borrowed funds

 
38,460 

 
38,460 

 

 

 
38,460 

 

 

Long-term borrowed funds

 
147,555 

 
150,565 

 

 

 
150,565 

 

 

Accrued interest payable

 
622 

 
622 

 

 

 
622 

 

 

Financial derivative

 
107 

 
107 

 

 

 

 

 
107 

Off balance sheet financial instruments

 
0 

 
0 

 
0 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

Fair Value Measurements

 

Carrying

Fair

Quoted Prices in Active Markets for Identical Assets

Significant Other Observable Inputs

Significant Unobservable Inputs

(in thousands)

Amount

Value

(Level 1)

(Level 2)

(Level 3)

Financial Assets:

 

 

 

 

 

 

 

 

 

 

Cash and due from banks

$
27,554 

$
27,554 

$
27,554 

 

 

 

 

Interest bearing deposits in banks

 
7,897 

 
7,897 

 
7,897 

 

 

 

 

Investment securities - AFS

 
221,117 

 
221,117 

 

 

$
195,778 

$
25,339 

Investment securities - HTM

 
109,449 

 
110,771 

 

 

 
108,163 

 
2,608 

Restricted bank stock

 
7,524 

 
7,524 

 

 

 
7,524 

 

 

Loans, net

 
827,926 

 
830,904 

 

 

 

 

 
830,904 

Accrued interest receivable

 
4,152 

 
4,152 

 

 

 
4,152 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

Deposits- non-maturity

 
689,581 

 
689,581 

 

 

 
689,581 

 

 

Deposits- time deposits

 
291,742 

 
296,713 

 

 

 
296,713 

 

 

Short-term borrowed funds

 
39,801 

 
39,801 

 

 

 
39,801 

 

 

Long-term borrowed funds

 
182,606 

 
187,143 

 

 

 
187,143 

 

 

Accrued interest payable

 
882 

 
882 

 

 

 
882 

 

 

Financial derivative

 
199 

 
199 

 

 

 

 

 
199 

Off balance sheet financial instruments

 
0 

 
0 

 
0