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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Measurements

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

		September 30, 2019
		Level 1			Level 2			Level 3			Total
Assets:
Securities available-for-sale
U.S. Treasury		$	4,038		$	-		$	-		$	4,038
U.S. government agencies			-			9,143			-			9,143
U.S. government agencies mortgage-backed			-			16,940			-			16,940
States and political subdivisions			-			232,854			5,873			238,727
Collateralized mortgage obligations			-			64,121			-			64,121
Asset-backed securities			-			83,182			-			83,182
Collateralized loan obligations			-			72,271			-			72,271
Loans held-for-sale			-			5,592			-			5,592
Mortgage servicing rights			-			-			5,361			5,361
Interest rate swap agreements			-			3,756			-			3,756
Mortgage banking derivatives			-			453			-			453
Total		$	4,038		$	488,312		$	11,234		$	503,584
Liabilities:
Interest rate swap agreements, including risk participation agreements		$	-		$	8,532		$	-		$	8,532
Total		$	-		$	8,532		$	-		$	8,532

		December 31, 2018
		Level 1			Level 2			Level 3			Total
Assets:
Securities available-for-sale
U.S. Treasury		$	3,923		$	-		$	-		$	3,923
U.S. government agencies			-			10,951			-			10,951
U.S. government agencies mortgage-backed			-			14,075			-			14,075
States and political subdivisions			-			265,902			8,165			274,067
Corporate bonds			-			-			-			-
Collateralized mortgage obligations			-			64,429			-			64,429
Asset-backed securities			-			109,514			-			109,514
Collateralized loan obligations			-			64,289			-			64,289
Loans held-for-sale			-			2,984			-			2,984
Mortgage servicing rights			-			-			7,357			7,357
Interest rate swap agreements			-			672			-			672
Mortgage banking derivatives			-			159			-			159
Total		$	3,923		$	532,975		$	15,522		$	552,420
Liabilities:
Interest rate swap agreements, including risk participation agreements		$	-		$	756		$	-		$	756
Total		$	-		$	756		$	-		$	756

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

		Nine Months Ended September 30, 2019
		Securities available-for-sale
		Collateralized			States and			Mortgage
		Mortgage			Political			Servicing
		Obligation			Subdivisions			Rights
Beginning balance January 1, 2019		$	-		$	8,165		$	7,357
Transfers into Level 3			-			-			-
Transfers out of Level 3			-			-			-
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

		Nine Months Ended September 30, 2018
		Securities available-for-sale
		Collateralized			States and			Mortgage
		Mortgage			Political			Servicing
		Obligation			Subdivisions			Rights
Beginning balance January 1, 2018		$	2,268		$	14,261		$	6,944
Transfers into Level 3			-			-			-
Transfers out of Level 3			-			-			-
Total gains or losses
Included in earnings			32			-			636
Included in other comprehensive income			34			(805)			-
Purchases, issuances, sales, and settlements
Purchases			-			20,421			-
Issuances			-			-			997
Settlements			(770)			(24,366)			(446)
Ending balance September 30, 2018		$	1,564		$	9,511		$	8,131

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, 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

$

5,361

Discounted Cash Flow

Discount Rate

10.0% - 17.0%

10.1

%

Prepayment Speed

7.0 - 69.0%

16.6

%

The following table and commentary presents quantitative and qualitative information about Level 3 fair value measurements as of December 31, 2018:

Weighted

Measured at fair value

Unobservable

Average

on a recurring basis:

Fair Value

Valuation Methodology

Inputs

Range of Input

of Inputs

Mortgage servicing rights

$

7,357

Discounted Cash Flow

Discount Rate

10.0 - 229.7%

10.2

%

Prepayment Speed

7.0 - 68.9%

9.6

%

Schedule of assets measured at fair value on a nonrecurring basis

		September 30, 2019
		Level 1			Level 2			Level 3			Total
Impaired loans1		$	-		$	-		$	5,502		$	5,502
Other real estate owned, net2			-			-			4,682			4,682
Total		$	-		$	-		$	10,184		$	10,184

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 $5.8 million and a valuation allowance of $274,000 resulting in a decrease of specific allocations within the allowance for loan and lease losses of $78,000 for the nine months ended September 30, 2019.

2 OREO is measured at fair value, less costs to sell, and had a net carrying amount of $4.7 million, which is made up of the outstanding balance of $13.1 million, net of a valuation allowance of $8.1 million and a participation of $937,000 at September 30, 2019.

		December 31, 2018
		Level 1			Level 2			Level 3			Total
Impaired loans1		$	-		$	-		$	12,163		$	12,163
Other real estate owned, net2			-			-			7,175			7,175
Total		$	-		$	-		$	19,338		$	19,338

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 $12.5 million and a valuation allowance of $352,000, resulting in an increase of specific allocations within the allowance for loan and lease losses of $208,000 for the year December 31, 2018.

2 OREO is measured at fair value, less costs to sell, and had a net carrying amount of $7.2 million, which is made up of the outstanding balance of $16.0 million, net of a valuation allowance of $8.0 million and a participation of $900,000, at December 31, 2018.

X

- Definition

Tabular disclosure of the fair value measurement of assets and liabilities 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, 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, issuances, 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 or liability.

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

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