Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2023

Fair Value Measurements

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

	June 30, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	214,613	$	-	$	-	$	214,613
U.S. government agencies		-		55,981		-		55,981
U.S. government agencies mortgage-backed		-		115,140		-		115,140
States and political subdivisions		-		214,596		14,938		229,534
Corporate bonds		-		4,882		-		4,882
Collateralized mortgage obligations		-		407,495		-		407,495
Asset-backed securities		-		134,319		-		134,319
Collateralized loan obligations		-		173,658		-		173,658
Loans held-for-sale		-		1,218		-		1,218
Mortgage servicing rights		-		-		11,041		11,041
Interest rate swap agreements, including risk participation agreement		-		6,560		-		6,560
Mortgage banking derivatives		-		77		-		77
Total	$	214,613	$	1,113,926	$	25,979	$	1,354,518
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	13,740	$	-	$	13,740
Total	$	-	$	13,740	$	-	$	13,740

	December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Securities available-for-sale
U.S. Treasury	$	212,129	$	-	$	-	$	212,129
U.S. government agencies		-		56,048		-		56,048
U.S. government agencies mortgage-backed		-		124,990		-		124,990
States and political subdivisions		-		211,899		14,229		226,128
Corporate bonds		-		9,622		-		9,622
Collateralized mortgage obligations		-		526,998		6,770		533,768
Asset-backed securities		-		186,916		15,012		201,928
Collateralized loan obligations		-		174,746		-		174,746
Loans held-for-sale		-		491		-		491
Mortgage servicing rights		-		-		11,189		11,189
Interest rate swap agreements		-		6,516		-		6,516
Mortgage banking derivatives		-		76		-		76
Total	$	212,129	$	1,298,302	$	47,200	$	1,557,631
Liabilities:
Interest rate swap agreements, including risk participation agreements	$	-	$	12,265	$	-	$	12,265
Total	$	-	$	12,265	$	-	$	12,265

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

	Six Months Ended June 30, 2023
	Securities available-for-sale
			Collateralized		States and		Mortgage
	Asset-backed		Mortgage		Political		Servicing
	Securities		Obligations		Subdivisions		Rights
Beginning balance January 1, 2023	$	15,012	$	6,770	$	14,229	$	11,189
Transfers out of Level 3		(14,885)		(6,764)		-		-
Total gains or losses
Included in earnings		(11)		-		(66)		6,155
Included in other comprehensive income		226		(6)		622		-
Purchases, issuances, sales, and settlements
Purchases		-		-		406		-
Issuances		-		-		-		281
Settlements		(342)		-		(253)		(6,584)
Ending balance June 30, 2023	$	-	$	-	$	14,938	$	11,041

	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 income		(1,562)		-
Purchases, issuances, sales, and settlements
Issuances		-		565
Settlements		(521)		(570)
Ending balance June 30, 2022	$	13,088	$	10,722

Schedule of quantitative information about level 3 fair value measurements

The following table and commentary present quantitative and qualitative information about Level 3 fair value measurements as of June 30, 2023:

						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	$	14,938	Discounted Cash Flow	Discount Rate	3.1 – 5.2%	4.5	%
				Liquidity Premium	0.3 – 0.5%	0.5	%
Mortgage servicing rights	$	11,041	Discounted Cash Flow	Discount Rate	9.0 – 11.0%	9.0	%
				Prepayment Speed	3.0 – 22.3%	6.3	%

The following table and commentary present quantitative and qualitative information about Level 3 fair value measurements as December 31, 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	$	14,229	Discounted Cash Flow	Discount Rate	2.3 – 5.8%	4.4	%
				Liquidity Premium	0.3 – 0.5%	0.5	%
Collateralized mortgage obligations	$	6,770	Discounted Cash Flow	Discount Rate	7.0 – 7.0%	7.0	%
Asset-backed securities	$	15,012	Discounted Cash Flow	Discount Rate	6.2 – 6.5%	6.3	%
Mortgage servicing rights	$	11,189	Discounted Cash Flow	Discount Rate	9.0 – 11.0%	9.0	%
				Prepayment Speed	3.6 – 27.3%	6.2	%

Schedule of assets measured at fair value on a nonrecurring basis

	June 30, 2023
	Level 1		Level 2		Level 3		Total
Individually evaluated loans1	$	-	$	-	$	56,361	$	56,361
Other real estate owned, net2		-		-		761		761
Total	$	-	$	-	$	57,122	$	57,122

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 $81.1 million and a valuation allowance of $24.7 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $7.1 million for the six months ended June 30, 2023.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $761,000 at June 30, 2023, which is made up of the outstanding balance of $1.0 million, net of a purchase accounting adjustment of $130,000 and a valuation allowance of $114,000.

	December 31, 2022
	Level 1		Level 2		Level 3		Total
Individually evaluated loans1	$	-	$	-	$	47,700	$	47,700
Other real estate owned, net2		-		-		1,561		1,561
Total	$	-	$	-	$	49,261	$	49,261

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 $65.3 million and a valuation allowance of $17.6 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $12.2 million for the year December 31, 2022.

² OREO is measured at fair value, less costs to sell, and had a net carrying amount of $1.6 million at December 31, 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.