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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Measurements

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

		March 31, 2020
		Level 1			Level 2			Level 3			Total
Assets:
Securities available-for-sale
U.S. Treasury		$	4,152		$	-		$	-		$	4,152
U.S. government agencies			-			7,723			-			7,723
U.S. government agencies mortgage-backed			-			17,255			-			17,255
States and political subdivisions			-			243,938			11,157			255,095
Collateralized mortgage obligations			-			53,403			-			53,403
Asset-backed securities			-			77,727			-			77,727
Collateralized loan obligations			-			34,339			-			34,339
Loans held-for-sale			-			10,049			-			10,049
Mortgage servicing rights			-			-			4,108			4,108
Interest rate swap agreements			-			11,115			-			11,115
Mortgage banking derivatives			-			732			-			732
Total		$	4,152		$	456,281		$	15,265		$	475,698
Liabilities:
Interest rate swap agreements, including risk participation agreements		$	-		$	16,912		$	-		$	16,912
Total		$	-		$	16,912		$	-		$	16,912

		December 31, 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

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

		Three Months Ended March 31, 2020
		Securities available-for-sale
		States and			Mortgage
		Political			Servicing
		Subdivisions			Rights
Beginning balance January 1, 2020		$	5,419		$	5,935
Total gains or losses
Included in earnings			(6)			(1,859)
Included in other comprehensive income			(325)			-
Purchases, issuances, sales, and settlements
Purchases			6,100			-
Issuances			-			307
Settlements			(31)			(275)
Ending balance March 31, 2020		$	11,157		$	4,108

		Three Months Ended March 31, 2019
		Securities available-for-sale
		States and			Mortgage
		Political			Servicing
		Subdivisions			Rights
Beginning balance January 1, 2019		$	8,165		$	7,357
Total gains or losses
Included in earnings			(8)			(721)
Included in other comprehensive income			171			-
Purchases, issuances, sales, and settlements
Purchases			11,325			-
Issuances			-			177
Settlements			(97)			(98)
Ending balance March 31, 2019		$	19,556		$	6,715

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 March 31, 2020:

Weighted

Measured at fair value

Unobservable

Average

on a recurring basis:

Fair Value

Valuation Methodology

Inputs

Range of Input

of Inputs

Mortgage servicing rights

$

4,108

Discounted Cash Flow

Discount Rate

10.0 - 17.0%

10.1

%

Prepayment Speed

7.0 - 71.8%

20.7

%

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

%

Schedule of assets measured at fair value on a nonrecurring basis

		March 31, 2020
		Level 1			Level 2			Level 3			Total
Individually evaluated loans1		$	-		$	-		$	23,436		$	23,436
Other real estate owned, net2			-			-			5,049			5,049
Total		$	-		$	-		$	28,485		$	28,485

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 $25.3 million and a valuation allowance of $1.9 million resulting in an increase of specific allocations within the allowance for credit losses on loans of $732,000 for the three months ended March 31, 2020.

2 OREO is measured at 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 $12.3 million, net of a valuation allowance of $6.4 million and a participation of $937,000 at March 31, 2020.

		December 31, 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 resulting in an increase of specific allocations within the allowance for credit losses on loans of $783,000 for the year December 31, 2019.

2 OREO is measured at 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 a participation of $937,000, at December 31, 2019.

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).

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