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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value Measurements

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

		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

		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
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

		Year Ended December 31, 2019
		Securities available-for-sale
		Collateralized			States and			Mortgage
		Mortgage			Political			Servicing
		Obligation			Subdivisions			Rights
Beginning balance January 1, 2019		$	-		$	8,165		$	7,357
Total gains or losses
Included in earnings			-			(32)			(1,953)
Included in other comprehensive income			-			726			-
Purchases, issuances, sales, and settlements
Purchases			-			17,938			-
Issuances			-			-			1,240
Settlements			-			(21,378)			(709)
Ending balance December 31, 2019		$	-		$	5,419		$	5,935

		Year Ended December 31, 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 out of Level 3			(1,308)			-			-
Total gains or losses
Included in earnings			35			-			(181)
Included in other comprehensive income			40			(746)			-
Purchases, issuances, sales, and settlements
Purchases			-			22,046			-
Issuances			-			-			1,146
Settlements			(1,035)			(27,396)			(552)
Ending balance December 31, 2018		$	-		$	8,165		$	7,357

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 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

%

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

For assets measured at fair value on a nonrecurring basis at December 31, the following tables provide the level of valuation assumptions used to determine each valuation and the carrying value of the related assets:

		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 provision for loan and lease losses of $783,000 for the year ending December 31, 2019.

² OREO is measured at the lower of carrying or fair value less costs to sell, and had a net carrying amount of $5.0 million, which is made up of the outstanding balance of $12.6 million, net of a valuation allowance of $6.7 million and participations of $937,000, at December 31, 2019.

		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 provision for loan and lease losses of $208,000 for the year ending December 31, 2018.

² OREO is measured at the lower of carrying or 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 $16.1 million, net of a valuation allowance of $8.0 million and participations 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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