Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2019

Financial Instruments Measured at Fair Value on a Recurring and Non-recurring Basis

The results of the fair value hierarchy as of June 30, 2019, are as follows:


Financial Instruments Measured at Fair Value on a Recurring Basis:

	Securities AFS Fair Value Measurements Using
	Carrying Value		Quoted Prices In Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
	(in thousands)
U.S. Treasury	$	—	$	—	$	—	$	—
U.S. Government Sponsored Enterprises		3,974		—		3,974		—
SBA Backed Securities		65,012		—		65,012		—
U.S. Government Agency and Sponsored Mortgage-Backed Securities		176,155		—		176,155		—
Privately Issued Residential Mortgage-Backed Securities		627		—		627		—
Obligations Issued by States and Political Subdivisions		42,002		—		4,775		37,227
Other Debt Securities		3,632		—		3,632		—

Total	$	291,402	$	—	$	254,175	$	37,227

Equity Securities	$	1,681	$	340	$	1,341	$	—

Financial Instruments Measured at Fair Value on a Non-recurring Basis:
Other Real Estate Owned	$	2,100	$	—	$	—	$	2,100
Impaired Loans	$	1,393	$	—	$	—	$	1,393


Financial Instruments Measured at Fair Value on a Recurring Basis:

	Securities AFS Fair Value Measurements Using
	Carrying Value		Quoted Prices In Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
	(in thousands)
U.S. Treasury	$	1,992	$	—	$	1,992	$	—
U.S. Government Sponsored Enterprises		3,915		—		3,915		—
SBA Backed Securities		70,194		—		70,194		—
U.S. Government Agency and Sponsored Mortgage-Backed Securities		162,890		—		162,890		—
Privately Issued Residential Mortgage-Backed Securities		672		—		672		—
Obligations Issued by States and Political Subdivisions		93,503		—		4,775		88,728
Other Debt Securities		3,593				3,593

Total	$	336,759	$	—	$	248,031	$	88,728

Equity Securities	$	1,596	$	293	$	1,303	$	—

Financial Instruments Measured at Fair Value on a Non-recurring Basis:
Other Real Estate Owned	$	2,225	$	—	$	—	$	2,225
Impaired Loans	$	251	$	—	$	—	$	251

Assets Measured at Fair Value

The following table presents additional information about assets measured at fair value on a recurring and nonrecurring basis for which the Company has utilized Level 3 inputs to determine fair value (dollars in thousands). Management continues to monitor the assumptions used to value the assets listed below.


Asset	Fair Value		Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Securities AFS (4)	$	37,227	Discounted cash flow	Discount rate	1.9%-3.4% (3)
Other Real Estate Owned	$	2,100	Appraisal of collateral (1)	Appraisal adjustments (2)	30% discount
Impaired Loans	$	1,393	Appraisal of collateral (1)	Appraisal adjustments (2)	0%-30% discount

(1)	Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level 3 inputs which are not identifiable.

(2)	Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated expenses.

(3)	Weighted averages.

(4)	Municipal securities generally have maturities of one year or less and, therefore, the amortized cost equates to the fair value.


Asset	Fair Value		Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Securities AFS (4)	$	88,728	Discounted cash flow	Discount rate	2.1%-4.1% (3)
Other Real Estate Owned	$	2,225	Appraisal of collateral (1)	Appraisal adjustments (2)	30% discount
Impaired Loans	$	251	Appraisal of collateral (1)	Appraisal adjustments (2)	0%-30% discount

(1)	Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level 3 inputs which are not identifiable.

(2)	Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated expenses.

(3)	Weighted averages.

(4)	Municipal securities generally have maturities of one year or less and, therefore, the amortized cost equates to the fair value.

Changes in Level 3 Securities

The changes in Level 3 securities for the six month period ended June 30, 2019 are shown in the table below:


	Obligations Issued by States & Political Subdivisions			Total
Balance at December 31, 2018	$	88,728		$	88,728
Purchases		10,007			10,007
Maturities and calls		(61,488	)		(61,488	)
Transfer to Level 2		—			—
Amortization		(20	)		(20	)
Changes in fair value		—			—
Balance at June 30, 2019	$	37,227		$	37,227


	Auction Rate Securities			Obligations Issued by States & Political Subdivisions			Total
	(in thousands)
Balance at December 31, 2017	$	4,459		$	78,141		$	82,600
Purchases		—			90,701			90,701
Maturities and calls		—			(42,197	)		(42,197	)
Transfer to Level 2		(4,459	)		(59	)		(4,518	)
Amortization		—			—			—
Changes in fair value		—			—			—

Balance at June 30, 2018	$	—		$	126,586		$	126,586