Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Measurements

Schedule of balance of assets and liabilities which are measured at fair value on a recurring basis

	September 30, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	4,134	$	-	$	-	$	4,134
U.S. government agencies		-		7,005		-		7,005
U.S. government agencies mortgage-backed		-		18,219		-		18,219
States and political subdivisions		-		244,987		4,790		249,777
Collateralized mortgage obligations		-		57,013		-		57,013
Asset-backed securities		-		81,585		-		81,585
Collateralized loan obligations		-		30,688		-		30,688
Loans held-for-sale		-		10,229		-		10,229
Mortgage servicing rights		-		-		5,010		5,010
Interest rate swap agreements		-		10,506		-		10,506
Mortgage banking derivatives		-		1,434		-		1,434
Total	$	4,134	$	461,666	$	9,800	$	475,600
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	15,231	$	-	$	15,231
Total	$	-	$	15,231	$	-	$	15,231

	December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	4,036	$	-	$	-	$	4,036
U.S. government agencies		-		8,337		-		8,337
U.S. government agencies mortgage-backed		-		16,588		-		16,588
States and political subdivisions		-		243,756		5,419		249,175
Collateralized mortgage obligations		-		57,984		-		57,984
Asset-backed securities		-		81,844		-		81,844
Collateralized loan obligations		-		66,684		-		66,684
Loans held-for-sale		-		3,061		-		3,061
Mortgage servicing rights		-		-		5,935		5,935
Interest rate swap agreements		-		2,771		-		2,771
Mortgage banking derivatives		-		250		-		250
Total	$	4,036	$	481,275	$	11,354	$	496,665
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	5,974	$	-	$	5,974
Total	$	-	$	5,974	$	-	$	5,974

Schedule of changes in Level 3 assets and liabilities measured at fair value on a recurring basis

	Nine Months Ended September 30, 2020
	Securities available-for-sale
	States and		Mortgage
	Political		Servicing
	Subdivisions		Rights
Beginning balance January 1, 2020	$	5,419	$	5,935
Total gains or losses
Included in earnings		(16)		(2,463)
Included in other comprehensive income		(216)		-
Purchases, issuances, sales, and settlements
Purchases		12,900		-
Issuances		-		1,813
Settlements		(13,297)		(275)
Ending balance September 30, 2020	$	4,790	$	5,010

	Nine Months Ended September 30, 2019
	Securities available-for-sale
	States and		Mortgage
	Political		Servicing
	Subdivisions		Rights
Beginning balance January 1, 2019	$	8,165	$	7,357
Total gains or losses
Included in earnings		(25)		(2,384)
Included in other comprehensive income		898		-
Purchases, issuances, sales, and settlements
Purchases		17,643		-
Issuances		-		906
Settlements		(20,808)		(518)
Ending balance September 30, 2019	$	5,873	$	5,361

Schedule of quantitative information about level 3 fair value measurements

The following table and commentary presents quantitative and qualitative information about Level 3 fair value measurements as of September 30, 2020:

						Weighted
Measured at fair value				Unobservable		Average
on a recurring basis:	Fair Value		Valuation Methodology	Inputs	Range of Input	of Inputs
Mortgage servicing rights	$	5,010	Discounted Cash Flow	Discount Rate	11.0 - 15.0%	11.0	%
				Prepayment Speed	0.0 - 42.8%	15.4	%

The following table and commentary presents quantitative and qualitative information about Level 3 fair value measurements as of December 31, 2019:

						Weighted
Measured at fair value				Unobservable		Average
on a recurring basis:	Fair Value		Valuation Methodology	Inputs	Range of Input	of Inputs
Mortgage servicing rights	$	5,935	Discounted Cash Flow	Discount Rate	10.0 - 58.8%	10.1	%
				Prepayment Speed	0.0 - 69.0%	14.1	%

Schedule of assets measured at fair value on a nonrecurring basis

	September 30, 2020
	Level 1		Level 2		Level 3		Total
Individually evaluated loans1	$	-	$	-	$	12,200	$	12,200
Other real estate owned, net2		-		-		2,686		2,686
Total	$	-	$	-	$	14,886	$	14,886

¹ Represents carrying value and related write-downs of loans for which adjustments are substantially based on the appraised value of collateral for collateral-dependent loans; had a carrying amount of $14.9 million and a valuation allowance of $2.7 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $1.6 million for the nine months ended September 30, 2020.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $2.7 million at September 30, 2020, which is made up of the outstanding balance of $4.3 million, net of a valuation allowance of $1.6 million and no participations.

	December 31, 2019
	Level 1		Level 2		Level 3		Total
Impaired loans1	$	-	$	-	$	7,435	$	7,435
Other real estate owned, net2		-		-		5,004		5,004
Total	$	-	$	-	$	12,439	$	12,439

¹ Represents carrying value and related write-downs of loans for which adjustments are substantially based on the appraised value of collateral for collateral-dependent loans; had a carrying amount of $8.6 million and a valuation allowance of $1.2 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $783,000 for the year December 31, 2019.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $5.0 million at December 31, 2019, which is made up of the outstanding balance of $12.7 million, net of a valuation allowance of $6.7 million and a participation of $937,000.