Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Measurements

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

	June 30, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	214,820	$	-	$	-	$	214,820
U.S. government agencies		-		57,896		-		57,896
U.S. government agencies mortgage-backed		-		141,836		-		141,836
States and political subdivisions		-		220,564		13,088		233,652
Corporate bonds		-		9,543		-		9,543
Collateralized mortgage obligations		-		641,498		-		641,498
Asset-backed securities		-		259,622		-		259,622
Collateralized loan obligations		-		175,549		-		175,549
Loans held-for-sale		-		1,707		-		1,707
Credit card portfolio, reported in other assets		-		4,956		-		4,956
Mortgage servicing rights		-		-		10,722		10,722
Interest rate swap agreements		-		2,770		-		2,770
Mortgage banking derivatives		-		153		-		153
Total	$	214,820	$	1,516,094	$	23,810	$	1,754,724
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	3,580	$	-	$	3,580
Total	$	-	$	3,580	$	-	$	3,580

	December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	202,339	$	-	$	-	$	202,339
U.S. government agencies		-		61,888		-		61,888
U.S. government agencies mortgage-backed		-		172,302		-		172,302
States and political subdivisions		-		242,373		15,236		257,609
Corporate bonds		-		9,887		-		9,887
Collateralized mortgage obligations		-		672,967		-		672,967
Asset-backed securities		-		236,877		-		236,877
Collateralized loan obligations		-		79,763		-		79,763
Loans held-for-sale		-		4,737		-		4,737
Mortgage servicing rights		-		-		7,097		7,097
Interest rate swap agreements		-		3,494		-		3,494
Mortgage banking derivatives		-		508		-		508
Total	$	202,339	$	1,484,796	$	22,333	$	1,709,468
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	6,809	$	-	$	6,809
Total	$	-	$	6,809	$	-	$	6,809

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

	Six Months Ended June 30, 2022
	Securities available-for-sale
	States and		Mortgage
	Political		Servicing
	Subdivisions		Rights
Beginning balance January 1, 2022	$	15,236	$	7,097
Total gains or losses
Included in earnings		(65)		3,630
Included in other comprehensive loss		(1,562)		-
Purchases, issuances, sales, and settlements
Purchases		-		-
Issuances		-		565
Settlements		(521)		(570)
Ending balance June 30, 2022	$	13,088	$	10,722

	Six Months Ended June 30, 2021
	Securities available-for-sale
	States and		Mortgage
	Political		Servicing
	Subdivisions		Rights
Beginning balance January 1, 2021	$	4,319	$	4,224
Total gains or losses
Included in earnings		(6)		734
Included in other comprehensive income		735		-
Purchases, issuances, sales, and settlements
Purchases		220		-
Issuances		-		963
Settlements		(277)		(654)
Ending balance June 30, 2021	$	4,991	$	5,267

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 June 30, 2022:

						Weighted
Measured at fair value				Significant Unobservable		Average
on a recurring basis:	Fair Value		Valuation Methodology	Inputs	Range of Input	of Inputs
Mortgage servicing rights	$	10,722	Discounted Cash Flow	Discount Rate	9.0 - 11.0%	9.0	%
				Prepayment Speed	4.9 - 14.7%	6.3	%

The following table and commentary presents quantitative and qualitative information about Level 3 fair value measurements as of December 31, 2021:

						Weighted
Measured at fair value				Significant Unobservable		Average
on a recurring basis:	Fair Value		Valuation Methodology	Inputs	Range of Input	of Inputs
Mortgage servicing rights	$	7,097	Discounted Cash Flow	Discount Rate	11.0 - 15.0%	11.0	%
				Prepayment Speed	0.0 - 36.6%	11.9	%

Schedule of assets measured at fair value on a nonrecurring basis

	June 30, 2022
	Level 1		Level 2		Level 3		Total
Individually evaluated loans1	$	-	$	-	$	28,200	$	28,200
Other real estate owned, net2		-		-		1,624		1,624
Total	$	-	$	-	$	29,824	$	29,824

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, which had a carrying amount of $42.4 million and a valuation allowance of $14.2 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $8.8 million for the six months ended June 30, 2022.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $1.6 million at June 30, 2022, which is made up of the outstanding balance of $2.7 million, net of a purchase accounting adjustment of $131,000 and a valuation allowance of $920,000.

	December 31, 2021
	Level 1		Level 2		Level 3		Total
Individually evaluated loans1	$	-	$	-	$	13,138	$	13,138
Other real estate owned, net2		-		-		2,356		2,356
Total	$	-	$	-	$	15,494	$	15,494

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, which had a carrying amount of $18.5 million and a valuation allowance of $5.4 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $2.7 million for the year December 31, 2021.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $2.4 million at December 31, 2021, which is made up of the outstanding balance of $3.7 million, net of a purchase accounting adjustment of $131,000 and a valuation allowance of $1.2 million.