FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2020

Summary of assets and liabilities measured at fair value on a recurring basis

Assets and liabilities measured at fair value on a recurring basis are summarized below (in thousands):



			Fair Value Measurement at March 31, 2020 Using
Financial Assets:	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Mortgage-backed securities, residential	$	234,999	$	—	$	234,999	$	—
Obligations of states and political subdivisions	42,625		—		42,625		—
Corporate bonds and notes	250		—		250		—
SBA loan pools	21,201		—		21,201		—
Total available for sale securities	$	299,075	$	—	$	299,075	$	—

Equity investments, at fair value	$	1,274	$	1,274	$	—	$	—
Derivative assets	16,343		—		16,343		—

Financial Liabilities:
Derivative liabilities	$	16,773	$	—	$	16,343	$	430

There were no transfers between Level 1 and Level 2 during the three month period ended March 31, 2020.



			Fair Value Measurement at December 31, 2019 Using
Financial Assets:	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Mortgage-backed securities, residential	225,234		—		225,234		—
Obligations of states and political subdivisions	42,845		—		42,845		—
Corporate bonds and notes	250		—		250		—
SBA loan pools	15,761		—		15,761		—
Total available for sale securities	$	284,090	$	—	$	284,090	$	—

Equity investments, at fair value	$	1,442	$	1,442	$	—	$	—
Derivative assets	6,466		—		6,466		—

Financial Liabilities:
Derivative liabilities	$	6,831	$	—	$	6,466	$	365

Reconciliation of all assets measured at fair value

The table below presents a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three-month periods ended March 31, 2020 and 2019 (in thousands):



	Assets (Liabilities)
	Derivative Liabilities
	March 31, 2020			March 31, 2019
Balance of recurring Level 3 assets at January 1	$	(365	)	$	(140	)
Derivative instruments entered into	(9		)	(24		)
Total gains or losses for the period:
Included in earnings - other non-interest income	(56		)	(66		)
Included in other comprehensive income	—			—
Transfers out of Level 3	—			—
Balance of recurring Level 3 assets at March 31,	$	(430	)	$	(230	)

Reconciliation of liabilities measured at fair value



	Assets (Liabilities)
	Derivative Liabilities
	March 31, 2020			March 31, 2019
Balance of recurring Level 3 assets at January 1	$	(365	)	$	(140	)
Derivative instruments entered into	(9		)	(24		)
Total gains or losses for the period:
Included in earnings - other non-interest income	(56		)	(66		)
Included in other comprehensive income	—			—
Transfers out of Level 3	—			—
Balance of recurring Level 3 assets at March 31,	$	(430	)	$	(230	)

Summary of assets and liabilities measured at fair value on a non-recurring basis

Assets and liabilities measured at fair value on a non-recurring basis are summarized below (in thousands):



			Fair Value Measurement at March 31, 2020 Using
Financial Assets:	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Gains (Losses)
Impaired Loans:
Commercial mortgages:
Commercial mortgages	$	1,554	$	—	$	—	$	1,554	$	(1,429	)
Total impaired loans	$	1,554	$	—	$	—	$	1,554	$	(1,429	)
Other real estate owned:
Commercial mortgages:
Commercial mortgages	$	111	$	—	$	—	$	111	$	—
Residential mortgages	178		—		—		178		—
Consumer loans:
Home equity lines and loans	91		—		—		91		—
Total other real estate owned, net	$	380	$	—	$	—	$	380	$	—



			Fair Value Measurement at December 31, 2019 Using
Financial Assets:	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Gains (Losses)
Impaired Loans:
Commercial mortgages:
Commercial mortgages	$	1,554	$	—	$	—	$	1,554	$	(1,597	)
Total impaired loans	$	1,554	$	—	$	—	$	1,554	$	(1,597	)
Other real estate owned:
Commercial mortgages:
Commercial mortgages	$	111	$	—	$	—	$	111	$	—
Residential mortgages	284		—		—		284		(12		)
Consumer loans:
Home equity lines and loans	122		—		—		122		—
Total other real estate owned, net	$	517	$	—	$	—	$	517	$	(12	)

Nonrecurring fair value measurement, valuation techniques

The following table presents information related to Level 3 recurring fair value measurements at March 31, 2020 and December 31, 2019 (in thousands):



Description	Fair Value at March 31, 2020		Valuation Technique	Unobservable Inputs	Range [Weighted Average] at March 31, 2020
Derivative liabilities	$	430	Historical trend	Credit default rate	12.86% - 20.75% [13.82%]



Description	Fair Value at December 31, 2019		Valuation Technique	Unobservable Inputs	Range [Weighted Average] at December 31, 2019
Derivative liabilities	$	365	Historical trend	Credit default rate	7.30% - 7.30% [7.30%]

The following tables present information related to Level 3 non-recurring fair value measurement at March 31, 2020 and December 31, 2019 (in thousands):



Description	Fair Value at March 31, 2020		Valuation Technique	Unobservable Inputs	Range [Weighted Average] at March 31, 2020
Impaired loans:
Commercial mortgages:
Commercial mortgages	$	1,554	Sales comparison	Discount to appraised value	10.31% - 10.31% [10.31%]
	$	1,554

OREO:
Commercial mortgages:
Commercial mortgages	$	111	Sales comparison	Discount to appraised value	20.80% - 20.80% [20.80%]
Residential mortgages	178		Sales comparison	Discount to appraised value	0.00% -0.00% [0.00%]
Consumer loans:
Home equity lines and loans	91		Sales comparison	Discount to appraised value	27.49% - 27.49% [27.49%]
	$	380



Description	Fair Value at December 31, 2019		Valuation Technique	Unobservable Inputs	Range [Weighted Average] at December 31, 2019
Impaired loans:
Commercial mortgages:
Commercial mortgages	1,554		Sales comparison	Discount to appraised value	10.00% - 10.00% [10.00%]
Consumer loans:
	$	1,554

OREO:
Commercial mortgages:
Commercial mortgages	$	111	Sales comparison	Discount to appraised value	20.80% - 20.80% [20.80%]
Residential mortgages	284		Sales comparison	Discount to appraised value	20.80% - 35.29% [24.09%]
Consumer loans:
Home equity lines and loans	122		Sales comparison	Discount to appraised value	20.80% - 20.80% [20.80%]
	$	517

Carrying value and estimated fair value of financial instruments

The carrying amounts and estimated fair values of other financial instruments, at March 31, 2020 and December 31, 2019, are as follows (in thousands):



	March 31, 2020
Financial assets:	Carrying Amount		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Estimated Fair Value (1)
Cash and due from financial institutions	$	27,522	$	27,522	$	—	$	—	$	27,522
Interest-earning deposits in other financial institutions	116,936		116,936		—		—		116,936
Equity investments	1,999		1,999		—		—		1,999
Securities held to maturity	3,001		—		2,093		931		3,024
FHLBNY and FRBNY stock	3,099		—		—		—		N/A
Loans, net and loans held for sale	1,295,029		—		—		1,298,475		1,298,475
Accrued interest receivable	4,786		39		988		3,759		4,786
Derivative Assets	16,343		—		16,343		—		16,343

Financial liabilities:
Deposits:
Demand, savings, and insured money market accounts	$	1,441,841	$	1,441,841	$	—	$	—	$	1,441,841
Time deposits	166,262		—		169,803		—		169,803
Accrued interest payable	293		11		282		—		293
Derivative Liabilities	16,773		—		16,343		430		16,773

(1) Fair value estimates are made at a specific point in time, based on relevant market information and information about the financial instrument. These estimates are subjective in nature and involve uncertainties and matters of significant judgment and, therefore, cannot be determined with precision. Changes in assumptions could significantly affect the estimates.



	December 31, 2019
Financial assets:	Carrying Amount		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Estimated Fair Value (1)
Cash and due from financial institutions	$	25,203	$	25,203	$	—	$	—	$	25,203
Interest-earning deposits in other financial institutions	96,701		96,701		—		—		96,701
Equity investments	2,174		2,174		—		—		2,174
Securities available for sale	284,090		—		284,090		—		284,090
Securities held to maturity	3,115		—		2,094		1,045		3,139
FHLBNY and FRBNY stock	3,099		—		—		—		N/A
Loans, net and loans held for sale	1,286,926		—		—		1,285,215		1,285,215
Accrued interest receivable	4,633		63		885		3,685		4,633
Derivative Asset	6,466		—		6,466		—		6,466

Financial liabilities:
Deposits:
Demand, savings, and insured money market accounts	$	1,410,962	$	1,410,962	$	—	$	—	$	1,410,962
Time deposits	161,176		—		163,761		—		163,761
Accrued interest payable	299		27		272		—		299
Derivative Liabilities	6,831		—		6,466		365		6,831