XML 46 R35.htm IDEA: XBRL DOCUMENT

Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Measurements, Recurring and Nonrecurring

Assets and liabilities measured at fair value, including financial assets for which we have elected the fair value option, were as follows:


			Fair Value Measurements Using
	Fair Value Measure- ments		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Un- observable Inputs (Level 3)
	(In thousands)
June 30, 2024:
Measured at Fair Value on a Recurring Basis
Assets
Equity securities at fair value	$	872	$	872	$	—	$	—
Securities available for sale
U.S. agency	8,766		—		8,766		—
U.S. agency residential mortgage-backed	75,900		—		75,900		—
U.S. agency commercial mortgage-backed	11,896		—		11,896		—
Private label mortgage-backed	80,842		—		80,842		—
Other asset backed	51,430		—		51,430		—
Obligations of states and political subdivisions	292,214		—		292,214		—
Corporate	69,975		—		69,975		—
Trust preferred	951		—		951		—
Loans held for sale, carried at fair value	15,935		—		15,935		—
Capitalized mortgage loan servicing rights	44,406		—		—		44,406
Derivatives (1)	41,423		—		41,423		—
Liabilities
Derivatives (2)	19,266		—		19,266		—

Measured at Fair Value on a Non-recurring Basis:
Assets
Collateral dependent loans (3)
Commercial
Commercial and industrial	5,061		—		—		5,061
Commercial real estate	828		—		—		828
Mortgage
1-4 family owner occupied - non-jumbo	400		—		—		400
1-4 family non-owner occupied	15		—		—		15
1-4 family - 2nd lien	108		—		—		108
Resort lending	92		—		—		92
Installment
Boat lending	99		—		—		99
Recreational vehicle lending	204		—		—		204
Other	67		—		—		67

________________________________

(1)Included in accrued income and other assets

(2)Included in accrued expenses and other liabilities

(3)Only includes individually evaluated loans with specific loss allocations based on collateral value.


			Fair Value Measurements Using
	Fair Value Measure- ments		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Un- observable Inputs (Level 3)
	(In thousands)
December 31, 2023:
Measured at Fair Value on a Recurring Basis
Assets
Securities available for sale
U.S. agency	$	9,507	$	—	$	9,507	$	—
U.S. agency residential mortgage-backed	81,217		—		81,217		—
U.S. agency commercial mortgage-backed	12,297		—		12,297		—
Private label mortgage-backed	86,469		—		86,469		—
Other asset backed	112,931		—		112,931		—
Obligations of states and political subdivisions	302,737		—		302,737		—
Corporate	73,250		—		73,250		—
Trust preferred	942		—		942		—
Loans held for sale, carried at fair value	12,063		—		12,063		—
Capitalized mortgage loan servicing rights	42,243		—		—		42,243
Derivatives (1)	38,683		—		38,683		—
Liabilities
Derivatives (2)	21,835		—		21,835		—

Measured at Fair Value on a Non-recurring Basis:
Assets

Collateral dependent loans (3)
Commercial
Commercial and industrial	551		—		—		551

Mortgage
1-4 family owner occupied - non-jumbo	732		—		—		732
1-4 family non-owner occupied	33		—		—		33
1-4 family - 2nd lien	157		—		—		157
Resort lending	92		—		—		92
Installment
Boat lending	192		—		—		192
Recreational vehicle lending	196		—		—		196
Other	66		—		—		66

_________________________________

(1)Included in accrued income and other assets

(2)Included in accrued expenses and other liabilities

(3)Only includes impaired loans with specific loss allocations based on collateral value.

Fair Value Option, Disclosures

Changes in fair values for financial assets which we have elected the fair value option for the periods presented were as follows:


	Changes in Fair Values for the Six Month Periods Ended June 30 for items Measured at Fair Value Pursuant to Election of the Fair Value Option
	Net Gains on Assets		Mortgage Loan Servicing, net		Total Change in Fair Values Included in Current Period Earnings
	Mortgage Loans
	(In thousands)
2024
Loans held for sale	$	160	$	—	$	160
Capitalized mortgage loan servicing rights	—		383		383

2023
Loans held for sale	1,739		—		1,739
Capitalized mortgage loan servicing rights	—		(15)		(15)

Reconciliation for all Assets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

A reconciliation for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) follows:


	Capitalized Mortgage Loan Servicing Rights
	Three Months Ended June 30,				Six Months Ended June 30,
	2024		2023		2024		2023
	(In thousands)				(In thousands)
Beginning balance	$	43,577	$	41,923	$	42,243	$	42,489
Total gains (losses) realized and unrealized:
Included in results of operations	(123)		1,481		383		(15)
Included in other comprehensive loss	—		—		—		—
Purchases, issuances, settlements, maturities and calls	952		1,023		1,780		1,953
Transfers in and/or out of Level 3	—		—		—		—
Ending balance	$	44,406	$	44,427	$	44,406	$	44,427

Amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at June 30	$	(123)	$	1,481	$	383	$	(15)

Fair Value Measurement Inputs and Valuation Techniques (Level 3)

Quantitative information about our Level 3 fair value measurements measured on a recurring basis follows:


	Asset Fair Value		Valuation Technique	Unobservable Inputs	Range	Weighted Average
	(In thousands)
June 30, 2024
Capitalized mortgage loan servicing rights	$	44,406	Present value of net servicing revenue	Discount rate	10.00% to 18.65%	10.38		%
				Cost to service	$70 to $817	$	78
				Ancillary income	20 to 30	20
				Float rate		4.38		%
				Prepayment rate	6.48% to 27.97%	8.50		%
December 31, 2023
Capitalized mortgage loan servicing rights	$	42,243	Present value of net servicing revenue	Discount rate	10.00% to 14.27%	10.25		%
				Cost to service	$70 to $442	$	79
				Ancillary income	20 to 30	20
				Float rate		3.82		%
				Prepayment rate	6.56% to 26.47%	8.50%

Quantitative information about Level 3 fair value measurements measured on a non-recurring basis follows:

Asset
Fair
Value

Valuation
Technique

Unobservable
Inputs

Range

Weighted
Average

(In thousands)

June 30, 2024

Collateral dependent loans

Commercial(1)

5,889

Discounting financial statement and machinery and equipment appraised values

Discount rates used

28.0% to 50.0%

29.9

Sales comparison approach

Adjustment for differences between comparable sales

(18.0)% to 65.0%

(1.1)

Mortgage and Installment(2)

985

Sales comparison approach

Adjustment for differences between comparable sales

(25.5) to 16.6

(1.7)

December 31, 2023

Collateral dependent loans

Commercial

551

Sales comparison approach

Adjustment for differences between comparable sales

(5.0)% to 6.0%

(0.4)

Mortgage and Installment(2)

1,468

Sales comparison approach

Adjustment for differences between comparable sales

(4.1) to 10.5

3.1


(1)			$4.1 million of this amount primarily relates to one collateral dependent relationship credit. Collateral securing this relationship primarily included accounts receivable, inventory and machinery and equipment at June 30, 2024. Valuation techniques at June 30, 2024 included discounting financial statement values for accounts receivable and inventory and appraised values for machinery and equipment.
(2)			In addition to the valuation techniques and unobservable inputs discussed above, at June 30, 2024 and December 31, 2023 certain collateral dependent installment loans totaling approximately $0.37 million and $0.45 million, respectively, are secured by collateral other than real estate. For the majority of these loans, we apply internal discount rates to industry valuation guides.

Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance for Loans Held for Sale

The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding for loans held for sale for which the fair value option has been elected for the periods presented.


	Aggregate Fair Value		Difference		Contractual Principal
	(In thousands)
Loans held for sale
June 30, 2024	$	15,935	$	99	$	15,836
December 31, 2023	12,063		(61)		12,124

- Definition

Tabular disclosure of the fair value measurement of assets 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 (loss), 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, issues, 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.

+ References + Details