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FAIR VALUE MEASUREMENTS (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

September 30, 2021

    

Level 1

    

Level 2

    

Level 3

    

Total

(in thousands)

Inputs

Inputs

Inputs

Fair Value

Available for sale securities:

  

  

  

Mortgage-backed securities:

 

  

 

  

 

  

 

  

US Government-sponsored enterprises

$

$

183,268

$

$

183,268

US Government agency

 

 

54,706

 

 

54,706

Private label

 

 

62,914

 

 

62,914

Obligations of states and political subdivisions thereof

 

 

160,177

 

 

160,177

Corporate bonds

 

 

84,262

 

 

84,262

Derivative assets

 

 

16,149

 

47

 

16,196

Derivative liabilities

 

 

(18,159)

 

(140)

 

(18,299)

December 31, 2020

    

Level 1

    

Level 2

    

Level 3

    

Total

(in thousands)

Inputs

Inputs

Inputs

Fair Value

Available for sale securities:

  

  

  

  

Mortgage-backed securities:

 

  

 

  

 

  

 

  

US Government-sponsored enterprises

$

$

212,390

$

$

212,390

US Government agency

 

 

85,632

 

 

85,632

Private label

 

 

19,709

 

 

19,709

Obligations of states and political subdivisions thereof

 

 

169,004

 

 

169,004

Corporate bonds

 

 

98,311

 

 

98,311

Derivative assets(1)

 

 

28,895

 

22

 

28,917

Derivative liabilities(1)

 

 

(31,348)

 

(95)

 

(31,443)

(1)Prior period has been revised, see Note 1 Basis of Presentation – Revision of Previously Issued Financial Statement.
Schedule of Changes in Level 3 Assets Measured on a Recurring Basis

Assets (Liabilities)

Interest Rate Lock

Forward

(in thousands)

    

Commitments

    

Commitments

Three Months Ended September 30, 2021

  

  

Balance at beginning of period

$

25

$

(45)

Realized gain recognized in non-interest income

 

22

 

(95)

Balance at end of period

$

47

$

(140)

Three Months Ended September 30, 2020

  

  

Balance at beginning of period

$

63

$

(126)

Realized gain recognized in non-interest income

 

(39)

 

39

Balance at end of period

$

24

$

(87)

Nine Months Ended September 30, 2021

 

  

 

  

Balance at beginning of period

$

22

$

(95)

Realized loss recognized in non-interest income

 

25

 

(45)

Balance at end of period

$

47

$

(140)

Nine Months Ended September 30, 2020

 

  

 

  

Balance at beginning of period

$

59

$

(84)

Realized loss recognized in non-interest income

 

(35)

 

(3)

Balance at end of period

$

24

$

(87)

Schedule of Changes in Level 3 Liabilities Measured on a Recurring Basis

Assets (Liabilities)

Interest Rate Lock

Forward

(in thousands)

    

Commitments

    

Commitments

Three Months Ended September 30, 2021

  

  

Balance at beginning of period

$

25

$

(45)

Realized gain recognized in non-interest income

 

22

 

(95)

Balance at end of period

$

47

$

(140)

Three Months Ended September 30, 2020

  

  

Balance at beginning of period

$

63

$

(126)

Realized gain recognized in non-interest income

 

(39)

 

39

Balance at end of period

$

24

$

(87)

Nine Months Ended September 30, 2021

 

  

 

  

Balance at beginning of period

$

22

$

(95)

Realized loss recognized in non-interest income

 

25

 

(45)

Balance at end of period

$

47

$

(140)

Nine Months Ended September 30, 2020

 

  

 

  

Balance at beginning of period

$

59

$

(84)

Realized loss recognized in non-interest income

 

(35)

 

(3)

Balance at end of period

$

24

$

(87)

Schedule of Quantitative Information, Valuation, Recurring

    

    

    

Significant

 

Fair Value

Fair Value

Unobservable

(in thousands, except ratios)

    

September 30, 2021

    

December 31, 2020

Valuation Techniques

    

Unobservable Inputs

    

Input Value

Assets (Liabilities)

  

  

  

  

  

 

Interest Rate Lock Commitment

 

$

47

$

22

Historical trend

 

Closing Ratio

 

85

%

 

 

Pricing Model

Origination Costs, per loan

$

1.7

 

Forward Commitments

 

(140)

 

(95)

Quoted prices for similar loans in active markets

 

Freddie Mac pricing system

 

Pair-off contract price

Total

$

(93)

$

(73)

  

 

  

 

  

Summary of Applicable Non-Recurring Fair Value Measurements

September 30, 2021

December 31, 2020

Three Months Ended September 30, 2021

Nine Months Ended September 30, 2021

Fair Value Measurement Date as of September 30, 2021

Level 3

Level 3

Total

Total

Level 3

(in thousands)

    

Inputs

    

Inputs

    

Gains (Losses)

    

Gains (Losses)

    

Inputs

Assets

  

  

  

  

  

Individually evaluated loans

$

9,247

$

8,746

$

707

$

(501)

September 2021

Capitalized servicing rights

 

4,867

3,605

 

(136)

 

(1,262)

 

September 2021

Premises held for sale

 

822

962

 

149

 

140

 

December 2020

Total

$

14,936

$

13,313

$

720

$

(1,623)

 

  

Schedule of Quantitative Information, Valuation, Non-recurring

 

(in thousands, except ratios)

    

Fair Value September 30, 2021

    

Valuation Techniques

    

Unobservable Inputs

    

Range (Weighted Average)(a)

 

Assets

 

  

 

  

 

  

  

Individually evaluated loans

$

6,226

 

Fair value of collateral-appraised value

 

Loss severity

10% to 70%

 

Appraised value

$71 to $1,792

Individually evaluated loans

 

3,021

 

Discount cash flow

 

Discount rate

 

2.88% to 9.50%

 

Cash flows

$6 to $939

Capitalized servicing rights

 

4,867

 

Discounted cash flow

 

Constant prepayment rate (CPR)

 

13.66%

 

  

 

  

 

Discount rate

 

9.53%

Premises held for sale

 

822

 

Fair value of asset less selling costs

 

Appraised value

$220 to $386

 

 

  

 

Selling Costs

 

6%

Total

$

14,936

 

  

 

  

 

  

(b)Where dollar amounts are disclosed, the amounts represent the lowest and highest fair value of the respective assets in the population except for adjustments for market/property conditions, which represents the range of adjustments to individual properties.
(c)The carrying value of premises held for sale was $822 thousand as of September 30, 2021.

(in thousands, except ratios)

    

Fair Value Dec 31, 2020

    

Valuation Techniques

    

Unobservable Inputs

    

Range (Weighted Average)(a)

Assets

Individually evaluated loans

$

6,128

Fair value of collateral-appraised value

Loss severity

0% to 70%

Appraised value

$0 to $1730

Individually evaluated loans

 

2,618

Discount cash flow

Discount rate

 

3.50% to 9.50%

Cash flows

$19 to $953

Capitalized servicing rights

 

3,605

Discounted cash flow

Constant prepayment rate (CPR)

 

18.53%

Discount rate

 

10.05%

Premises held for sale

 

962

Fair value of asset less selling costs

Appraised value

 

$220 to $386

Selling Costs

 

6%

Total

$

13,313

(a)Where dollar amounts are disclosed, the amounts represent the lowest and highest fair value of the respective assets in the population except for adjustments for market/property conditions, which represents the range of adjustments to individual properties.
Summary of Estimated Fair Values, and Related Carrying Amounts, of Financial Instruments