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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2016
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 June 30, 2016 and December 31, 2015, the significant unobservable inputs used in the fair value measurements were as follows:





 

 

 

 

 



 

 

 

 

 

(in thousands)

 

Fair Value at June 30, 2016

Valuation Technique

Significant Unobservable Inputs

Significant Unobservable Input Value

Recurring:

 

 

 

 

 



 

 

 

 

 

Investment Securities – available for sale

$

 20,230 

Discounted Cash Flow

Discount Rate

Range of LIBOR+ 4.75% to 6.00%



 

 

 

 

 

Non-recurring:

 

 

 

 

 



 

 

 

 

 

Impaired Loans

$

 14,151 

Market Comparable Properties

Marketability Discount

9.0% - 15.0% (1)               (weighted avg 10.5%)



 

 

 

 

 

Other Real Estate Owned

$

 374 

Market Comparable Properties

Marketability Discount

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



 

 

 

 

 

(in thousands)

 

Fair Value at December 31, 2015

Valuation Technique

Significant Unobservable Inputs

Significant Unobservable Input Value

Recurring:

 

 

 

 

 



 

 

 

 

 

Investment Securities – available for sale

$

 22,211 

Discounted Cash Flow

Discount Rate

Range of LIBOR+ 4.5% to 5.5%



 

 

 

 

 

Cash Flow Hedge

$

 (66)

Discounted Cash Flow

Reuters Third Party Market Quote

99.9%                       (weighted avg 99.9%)



 

 

 

 

 

Non-recurring:

 

 

 

 

 



 

 

 

 

 

Impaired Loans

$

 6,247 

Market Comparable Properties

Marketability Discount

3.0% - 15.0% (1)               (weighted avg 11.3%)



 

 

 

 

 

Other Real Estate Owned

$

 4,133 

Market Comparable Properties

Marketability Discount

10.0% - 15.0% (1)               (weighted avg 12.5%)



NOTE:

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 June 30, 2016 and December 31, 2015 are as follows:





 

 

 

 

 

 

 

 



 

 

 

Fair Value Measurements at June 30, 2016 Using



 

Assets Measured at Fair Value

 

Quoted Prices in Active Markets for Identical Assets

 

Significant Other Observable Inputs

 

Significant Unobservable Inputs

(in thousands)

 

6/30/2016

 

(Level 1)

 

(Level 2)

 

(Level 3)

Recurring:

 

 

 

 

 

 

 

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

   U.S. government agencies

$

 25,267 

 

 

$

 25,267 

 

 

   Commercial mortgage-backed agencies

$

 58,422 

 

 

$

 58,422 

 

 

   Collateralized mortgage obligations

$

 11,298 

 

 

$

 11,298 

 

 

   Obligations of states and political subdivisions

$

 32,010 

 

 

$

 32,010 

 

 

   Collateralized debt obligations

$

 20,230 

 

 

 

 

$

 20,230 

Financial Derivatives

$

 (1,126)

 

 

$

 (1,126)

$

 

Non-recurring:

 

 

 

 

 

 

 

 

Impaired loans

$

 14,151 

 

 

 

 

$

 14,151 

Other real estate owned

$

 374 

 

 

 

 

$

 374 







 

 

 

 

 

 

 

 



 

 

 

Fair Value Measurements at December 31, 2015 Using



 

 

 

 



 

Assets Measured at Fair Value

 

Quoted Prices in Active Markets for Identical Assets

 

Significant Other Observable Inputs

 

Significant Unobservable Inputs

(in thousands)

 

12/31/2015

 

(Level 1)

 

(Level 2)

 

(Level 3)

Recurring:

 

 

 

 

 

 

 

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

   U.S. government agencies

$

 33,964 

 

 

$

 33,964 

 

 

   Residential mortgage-backed agencies

$

 14,170 

 

 

$

 14,170 

 

 

   Commercial mortgage-backed agencies

$

 43,636 

 

 

$

 43,636 

 

 

   Collateralized mortgage obligations

$

 9,610 

 

 

$

 9,610 

 

 

   Obligations of states and political subdivisions

$

 46,641 

 

 

$

 46,641 

 

 

   Collateralized debt obligations

$

 22,211 

 

 

 

 

$

 22,211 

Financial Derivative

$

 (66)

 

 

 

 

$

 (66)

Non-recurring:

 

 

 

 

 

 

 

 

Impaired loans

$

 6,247 

 

 

 

 

$

 6,247 

Other real estate owned

$

 4,133 

 

 

 

 

$

 4,133 



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 six- and three-month periods ended June 30, 2016 and 2015:





 

 

 

 



 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)



 

 

(In thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance January 1, 2016

$

 22,211 

$

 (66)

   Total (losses)/gains realized/unrealized:

 

 

 

 

       Included in other comprehensive loss

 

 (1,981)

 

 66 

Ending balance June 30, 2016

$

 20,230 

$

 0 



 

 

 

 











 

 

 

 



 

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

 

 4,707 

 

 59 

Ending balance June 30, 2015

$

 30,046 

$

 (140)



 

 

 

 







 

 

 

 



 

Fair Value Measurement Using Significant Unobservable Inputs (Level 3)



 

 



 

   

 

 

(in thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance April 1, 2016

$

 19,532 

$

 (33)

   Total gains realized/unrealized:

 

 

 

 

       Included in other comprehensive income

 

 698 

 

 33 

Ending balance June 30, 2016

$

 20,230 

$

 0 



 

 

 

 







 

 

 

 



 

Fair Value Measurement Using Significant Unobservable Inputs (Level 3)



 

 



 

   

 

 

(in thousands)

 

Investment Securities Available for Sale

 

Cash Flow Hedge

Beginning balance April 1, 2015

$

 28,391 

$

 (164)

   Total gains realized/unrealized:

 

 

 

 

       Included in other comprehensive income

 

 1,655 

 

 24 

Ending balance June 30, 2015

$

 30,046 

$

 (140)



 

 

 

 



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:







 

 

 

 

 

 

 

 

 

 



June 30, 2016

 

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

$

 20,568 

$

 20,568 

$

 20,568 

 

 

 

 

Interest bearing deposits in banks

 

 2,117 

 

 2,117 

 

 2,117 

 

 

 

 

Investment securities - AFS

 

 147,227 

 

 147,227 

 

 

$

 126,997 

$

 20,230 

Investment securities - HTM

 

 97,730 

 

 101,958 

 

 

 

 98,947 

 

 3,011 

Restricted bank stock

 

 5,881 

 

 5,881 

 

 

 

 5,881 

 

 

Loans, net

 

 906,574 

 

 911,805 

 

 

 

 

 

 911,805 

Accrued interest receivable

 

 3,885 

 

 3,885 

 

 

 

 3,885 

 

 



 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

Deposits – non-maturity

 

 762,352 

 

 762,352 

 

 

 

 762,352 

 

 

Deposits – time deposits

 

 242,916 

 

 246,970 

 

 

 

 246,970 

 

 

Short-term borrowed funds

 

 20,357 

 

 20,357 

 

 

 

 20,357 

 

 

Long-term borrowed funds

 

 146,756 

 

 148,826 

 

 

 

 148,826 

 

 

Accrued interest payable

 

 481 

 

 481 

 

 

 

 481 

 

 

Financial derivatives

 

 1,126 

 

 1,126 

 

 

 

 1,126 

 

 

Off balance sheet financial instruments

 

 0 

 

 0 

 

 0 

 

 

 

 































 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 



December 31, 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

$

 50,188 

$

 50,188 

$

 50,188 

 

 

 

 

Interest bearing deposits in banks

 

 1,953 

 

 1,953 

 

 1,953 

 

 

 

 

Investment securities - AFS

 

 170,232 

 

 170,232 

 

 

$

 148,021 

$

 22,211 

Investment securities - HTM

 

 105,560 

 

 106,742 

 

 

 

 103,779 

 

 2,963 

Restricted bank stock

 

 5,904 

 

 5,904 

 

 

 

 5,904 

 

 

Loans, net

 

 867,101 

 

 872,991 

 

 

 

 

 

 872,991 

Accrued interest receivable

 

 4,218 

 

 4,218 

 

 

 

 4,218 

 

 



 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

Deposits- non-maturity

 

 744,219 

 

 744,219 

 

 

 

 744,219 

 

 

Deposits- time deposits

 

 254,575 

 

 258,267 

 

 

 

 258,267 

 

 

Short-term borrowed funds

 

 35,828 

 

 35,828 

 

 

 

 35,828 

 

 

Long-term borrowed funds

 

 147,537 

 

 151,562 

 

 

 

 151,562 

 

 

Accrued interest payable

 

 478 

 

 478 

 

 

 

 478 

 

 

Financial derivative

 

 66 

 

 66 

 

 

 

 

 

 66 

Off balance sheet financial instruments

 

 0 

 

 0 

 

 0