Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Measurements

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

	September 30, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	211,097	$	-	$	-	$	211,097
U.S. government agencies		-		55,963		-		55,963
U.S. government agencies mortgage-backed		-		127,626		-		127,626
States and political subdivisions		-		210,950		13,309		224,259
Corporate bonds		-		9,544		-		9,544
Collateralized mortgage obligations		-		587,846		-		587,846
Asset-backed securities		-		219,587		-		219,587
Collateralized loan obligations		-		173,837		-		173,837
Loans held-for-sale		-		1,297		-		1,297
Mortgage servicing rights		-		-		11,461		11,461
Interest rate swap agreements, including risk participation agreement		-		6,624		-		6,624
Mortgage banking derivatives		-		188		-		188
Total	$	211,097	$	1,393,462	$	24,770	$	1,629,329
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	12,278	$	-	$	12,278
Total	$	-	$	12,278	$	-	$	12,278

	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

	Nine Months Ended September 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		(98)		4,384
Included in other comprehensive loss		(1,333)		-
Purchases, issuances, sales, and settlements
Purchases		-		-
Issuances		519		756
Settlements		(1,015)		(776)
Ending balance September 30, 2022	$	13,309	$	11,461

	Nine Months Ended September 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		(7)		840
Included in other comprehensive income		812		-
Purchases, issuances, sales, and settlements
Purchases		748		-
Issuances		-		1,298
Settlements		(312)		(1,042)
Ending balance September 30, 2021	$	5,560	$	5,320

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, 2022:

						Weighted
Measured at fair value				Significant Unobservable		Average
on a recurring basis:	Fair Value		Valuation Methodology	Inputs	Range of Input	of Inputs
States and political subdivisions	$	13,309	Discounted Cash Flow	Discount Rate	2.9 - 5.4%	4.8	%
				Liquidity Premium	0.4 - 1.3%	0.5	%
Mortgage servicing rights	$	11,461	Discounted Cash Flow	Discount Rate	9.0 - 11.0%	9.0	%
				Prepayment Speed	0.0 - 12.8%	6.1	%

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
States and political subdivisions	$	15,236	Discounted Cash Flow	Discount Rate	0.6 - 3.5%	2.8	%
				Liquidity Premium	0.3 - 2.4%	0.6	%
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

	September 30, 2022
	Level 1		Level 2		Level 3		Total
Individually evaluated loans1	$	-	$	-	$	51,354	$	51,354
Other real estate owned, net2		-		-		1,561		1,561
Total	$	-	$	-	$	52,915	$	52,915

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 $68.1 million and a valuation allowance of $16.7 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $11.3 million for the nine months ended September 30, 2022.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $1.6 million at September 30, 2022, which is made up of the outstanding balance of $2.5 million, net of a purchase accounting adjustment of $131,000 and a valuation allowance of $856,000.

	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.