FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2025

Summary of Assets Measured at Fair Value on Recurring Basis

The following table summarizes assets and liabilities measured at fair value on a recurring basis at September 30, 2025 and December 31, 2024:


	Level 1		Level 2		Level 3		Total Fair Value Measurements
September 30, 2025
Financial Assets
Investment securities:
U.S. Treasury securities	$	18,803	$	—	$	—	$	18,803
U.S. Government Agencies	—		2,021		—		2,021

States and political subdivisions	—		194,444		5,669		200,113
GSE residential MBSs	—		175,128		—		175,128
GSE commercial MBSs	—		6,599		—		6,599
GSE residential CMOs	—		358,186		—		358,186

Non-agency CMOs	—		36,793		10,332		47,125


Asset-backed	—		80,167		—		80,167
Corporate debt	—		1,994		—		1,994
Other	221		—		—		221
Loans held for sale	—		6,026		—		6,026
Derivatives	—		15,236		89		15,325


Totals	$	19,024	$	876,594	$	16,090	$	911,708
Financial Liabilities
Derivatives	$	—	$	15,952	$	—	$	15,952


December 31, 2024
Financial Assets
Investment securities:
U.S. Treasury securities	$	18,063	$	—	$	—	$	18,063
U.S. Government Agencies	—		3,053		—		3,053

States and political subdivisions	—		193,756		6,272		200,028
GSE residential MBSs	—		151,548		—		151,548
GSE commercial MBSs	—		8,792		—		8,792
GSE residential CMOs	—		324,692		—		324,692
Non-agency CMOs	—		22,636		10,648		33,284



Asset-backed	—		88,103		—		88,103
Corporate debt	—		1,954		—		1,954
Other	194		—		—		194
Loans held for sale	—		6,614		—		6,614
Derivatives	—		13,431		20		13,451


Totals	$	18,257	$	814,579	$	16,940	$	849,776
Financial Liabilities
Derivatives	$	—	$	12,575	$	—	$	12,575

Summary of Level 3 Fair Value Measurement Activity

The following provides details of the Level 3 fair value measurement activity for the periods ended September 30, 2025 and 2024:

Investment securities:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2025		2024		2025		2024
Balance, beginning of period	$	16,140	$	17,567	$	16,920	$	27,853


Unrealized gains (losses) included in OCI	60		649		(492)		731

Net discount accretion	17		17		49		50
Principal payments and other	(216)		(134)		(476)		(428)

Calls	—		—		—		(10,107)


Balance, end of period	$	16,001	$	18,099	$	16,001	$	18,099

Interest rate lock commitments on residential mortgages:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2025		2024		2025		2024
Balance, beginning of period	$	55	$	71	$	20	$	55

Total gains included in earnings	34		47		69		63


Balance, end of period	$	89	$	118	$	89	$	118

Summary of Assets Measured at Fair Value on Nonrecurring Basis

The following table summarizes assets measured at fair value on a nonrecurring basis at September 30, 2025 and December 31, 2024:


	Level 1		Level 2		Level 3		Total Fair Value Measurements
September 30, 2025
Individually Evaluated Loans
Commercial real estate:
Owner occupied	$	—	$	—	$	1,732	$	1,732


Non-owner occupied residential	—		—		34		34
Acquisition and development:

Commercial and land development	—		—		832		832

Commercial and industrial	—		—		648		648
Residential mortgage:
First lien	—		—		920		920

Home equity - lines of credit	—		—		52		52
Installment and other loans	—		—		—		—
Total individually evaluated loans	$	—	$	—	$	4,218	$	4,218








December 31, 2024
Individually Evaluated Loans
Commercial real estate:
Owner occupied	$	—	$	—	$	997	$	997


Non-owner occupied residential	—		—		43		43
Acquisition and development:

Commercial and land development	—		—		932		932

Commercial and industrial	—		—		3,995		3,995
Residential mortgage:
First lien	—		—		213		213
Home equity - term	—		—		44		44
Home equity - lines of credit	—		—		25		25
Installment and other loans	—		—		3		3
Total individually evaluated loans	$	—	$	—	$	6,252	$	6,252

Summary of Additional Qualitative Information

The following table presents additional qualitative information about assets measured on a nonrecurring basis and for which the Company has utilized Level 3 inputs to determine fair value:

Fair Value
Estimate

Valuation
Techniques

Unobservable Input (1)

Range

September 30, 2025

Individually evaluated loans

4,218

Appraisal of collateral

Management adjustments on appraisals for property type and recent activity

10.00% - 84.00% discount

- Management adjustments for liquidation expenses

8.28% - 65.13% discount

December 31, 2024

Individually evaluated loans

6,252

Appraisal of collateral

Management adjustments on appraisals for property type and recent activity

10.00% - 84.00% discount

- Management adjustments for liquidation expenses

5.81% - 16.07% discount

(1) Discount rates can vary due to factors such as costs that may be assumed by the Bank to liquidate the property in addition to adjustments to the appraised value of the collateral securing the loan. Adjustments may be applied to valuations deemed deficient to ensure the fair value is reasonable.

Summary of Carrying Amounts and Estimated Fair Values of Financial Instruments

The following table presents carrying amounts and estimated fair values of the financial assets and liabilities at September 30, 2025 and December 31, 2024:


	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
September 30, 2025
Financial Assets
Cash and due from banks	$	60,970	$	60,970	$	60,970	$	—	$	—
Interest-bearing deposits with banks	123,176		123,176		123,176		—		—

Restricted investments in bank stock	24,111		n/a		n/a		n/a		n/a
Investment securities	890,357		890,357		19,024		855,332		16,001
Loans held for sale	6,026		6,026		—		6,026		—
Loans, net of allowance for credit losses	3,931,631		3,891,032		—		—		3,891,032

Derivatives	15,325		15,325		—		15,236		89
Accrued interest receivable	20,443		20,443		—		4,672		15,771

Financial Liabilities
Deposits	4,533,560		4,531,986		—		4,531,986		—

Securities sold under agreements to repurchase and federal funds purchased	32,501		32,501		—		32,501		—
FHLB advances and other borrowings	209,218		209,092		—		209,092		—
Subordinated notes and trust preferred debt	36,970		38,313		—		38,313		—

Derivatives	15,952		15,952		—		15,952		—
Accrued interest payable	3,055		3,055		—		3,055		—
Off-balance sheet instruments	—		—		—		—		—

December 31, 2024
Financial Assets
Cash and due from banks	$	51,026	$	51,026	$	51,026	$	—	$	—
Interest-bearing deposits with banks	197,848		197,848		197,848		—		—

Restricted investments in bank stock	20,232		n/a		n/a		n/a		n/a
Investment securities	829,711		829,711		18,257		794,534		16,920
Loans held for sale	6,614		6,614		—		6,614		—
Loans, net of allowance for loan losses	3,882,525		3,783,097		—		—		3,783,097

Derivatives	13,451		13,451		—		13,431		20
Accrued interest receivable	21,058		21,058		—		5,361		15,697

Financial Liabilities
Deposits	4,623,096		4,621,081		—		4,621,081		—

Securities sold under agreements to repurchase	25,863		25,863		—		25,863		—
FHLB advances and other borrowings	115,364		114,851		—		114,851		—
Subordinated notes and trust preferred debt	68,680		67,597		—		67,597		—

Derivatives	12,575		12,575		—		12,575		—
Accrued interest payable	2,924		2,924		—		2,924		—
Off-balance sheet instruments	—		—		—		—		—

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details

ORRSTOWN FINANCIAL SERVICES INC 10-Q