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Fair Value (Tables)

9 Months Ended

Sep. 30, 2021

Schedule of assets and liabilities measured at fair value

The fair value of derivatives is based on valuation models using observable market data as of the measurement date (Level 2 inputs).


	September 30, 2021
	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(Dollar amounts in thousands)	Level 1		Level 2		Level 3		Total
U.S. Government agencies	$	—	$	119,091	$	—	$	119,091
Mortgage Backed Securities-residential	—		574,939		—		574,939
Mortgage Backed Securities-commercial	—		15,927		—		15,927
Collateralized mortgage obligations	—		162,268		—		162,268
State and municipal	—		361,262		1,895		363,157
Municipal taxable	—		31,538		—		31,538
U.S. Treasury	—		656		—		656
Collateralized debt obligations	—		—		3,244		3,244
TOTAL	$	—	$	1,265,681	$	5,139	$	1,270,820
Derivative Assets			1,371
Derivative Liabilities			(1,371)


	December 31, 2020
	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(Dollar amounts in thousands)	Level 1		Level 2		Level 3		Total
U.S. Government agencies	$	—	$	97,814	$	—	$	97,814
Mortgage Backed Securities-residential	—		355,121		—		355,121
Mortgage Backed Securities-commercial	—		18,490		—		18,490
Collateralized mortgage obligations	—		214,160		—		214,160
State and municipal	—		304,236		1,895		306,131
Municipal taxable	—		23,139		—		23,139
U.S. Treasury	—		2,753		—		2,753
Collateralized debt obligations	—		—		3,136		3,136
TOTAL	$	—	$	1,015,713	$	5,031	$	1,020,744
Derivative Assets			2,465
Derivative Liabilities			(2,465)

Roll forward of financial instruments having fair value measurements using significant unobservable inputs (Level 3)

The tables below presents a reconciliation and income statement classification of gains and losses for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2021 and the year ended December 31, 2020.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended September 30, 2021
(Dollar amounts in thousands)	State and municipal obligations		Collateralized debt obligations		Total
Beginning balance, July 1	$	1,895	$	3,265	$	5,160
Total realized/unrealized gains or losses
Included in earnings	—		—		—
Included in other comprehensive income	—		(21)		(21)
Transfers	—		—		—
Settlements	—		—		—
Ending balance, September 30	$	1,895	$	3,244	$	5,139



	Nine Months Ended September 30, 2021
(Dollar amounts in thousands)	State and municipal obligations		Collateralized debt obligations		Total
Beginning balance, January 1	$	1,895	$	3,136	$	5,031
Total realized/unrealized gains or losses
Included in earnings	—		—		—
Included in other comprehensive income	—		108		108
Transfers	—		—		—
Settlements	—		—		—
Ending balance, September 30	$	1,895	$	3,244	$	5,139


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2020
(Dollar amounts in thousands)	State and municipal obligations		Collateralized debt obligations		Total
Beginning balance, January 1	$	2,565	$	3,619	$	6,184
Total realized/unrealized gains or losses
Included in earnings	—		—		—
Included in other comprehensive income	—		(483)		(483)
Purchases	—		—		—
Settlements	(670)		—		(670)
Ending balance, December 31	$	1,895	$	3,136	$	5,031

Quantitative information about recurring and non-recurring Level 3

The following table presents quantitative information about recurring and non-recurring Level 3 fair value measurements at September 30, 2021.

(Dollar amounts in thousands)

Fair Value

Valuation Technique(s)

Unobservable Input(s)

Range

State and municipal obligations

1,895

Discounted cash flow

Discount rate
Probability of default

3.41%-4.44%
0%

Collateral dependent loans

2,231

Discounted collateral

Discount rate for age of appraisal and market conditions

0.00%-50.00%

The following table presents quantitative information about recurring and non-recurring Level 3 fair value measurements at December 31, 2020.

(Dollar amounts in thousands)

Fair Value

Valuation Technique(s)

Unobservable Input(s)

Range

State and municipal obligations

1,895

Discounted cash flow

Discount rate
Probability of default

3.41%-4.44%
0%

Collateral dependent loans

6,581

Discounted collateral

Discount rate for age of appraisal and market conditions

0.00%-50.00%

Schedule of loans identified as impaired by class of loans

The following tables presents collateral dependent loans measured at fair value on a non-recurring basis, as of September 30, 2021 and December 31, 2020, which are all considered Level 3.


	September 30, 2021
(Dollar amounts in thousands)	Carrying Value		Allowance for Credit Losses Allocated		Fair Value
Commercial
Commercial & Industrial	$	3,297	$	1,162	$	2,135
Farmland	—		—		—
Non Farm, Non Residential	3,079		3,058		21
Agriculture	—		—		—
All Other Commercial	248		207		41
Residential
First Liens	—		—		—
Home Equity	—		—		—
Junior Liens	—		—		—
Multifamily	205		171		34
All Other Residential	—		—		—
Consumer
Motor Vehicle	—		—		—
All Other Consumer	—		—		—
TOTAL	$	6,829	$	4,598	$	2,231


	December 31, 2020
(Dollar amounts in thousands)	Carrying Value		Allowance for Credit Losses Allocated		Fair Value
Commercial
Commercial & Industrial	$	4,435	$	1,363	$	3,072
Farmland	1,231		35		1,196
Non Farm, Non Residential	3,193		3,038		155
Agriculture	600		162		438
All Other Commercial	528		52		476
Residential
First Liens	—		—		—
Home Equity	—		—		—
Junior Liens	—		—		—
Multifamily	1,380		136		1,244
All Other Residential	—		—		—
Consumer
Motor Vehicle	—		—		—
All Other Consumer	—		—		—
TOTAL	$	11,367	$	4,786	$	6,581

Schedule of carrying amount and estimated fair value of financial instruments

The fair value of off-balance sheet items is not considered material.


	September 30, 2021
	Carrying		Fair Value
(Dollar amounts in thousands)	Value		Level 1		Level 2		Level 3		Total
Cash and due from banks	$	758,120	$	25,996	$	732,124	$	—	$	758,120
Federal funds sold	6,183		—		6,183		—		6,183
Securities available-for-sale	1,270,820		—		1,265,681		5,139		1,270,820
Restricted stock	14,837		n/a		n/a		n/a		n/a
Loans, net	2,436,948		—		—		2,381,649		2,381,649
Accrued interest receivable	15,963		—		5,638		10,325		15,963
Deposits	(4,028,636)		—		(4,036,693)		—		(4,036,693)
Short-term borrowings	(101,051)		—		(101,051)		—		(101,051)
Other borrowings	(5,902)		—		(6,207)		—		(6,207)
Accrued interest payable	(664)		—		(664)		—		(664)


	December 31, 2020
	Carrying		Fair Value
(Dollar amounts in thousands)	Value		Level 1		Level 2		Level 3		Total
Cash and due from banks	$	657,470	$	25,645	$	631,825	$	—	$	657,470
Federal funds sold	301		—		301		—		301
Securities available-for-sale	1,020,744		—		1,015,713		5,031		1,020,744
Restricted stock	14,812		n/a		n/a		n/a		n/a
Loans, net	2,563,242		—		—		2,560,683		2,560,683
Accrued interest receivable	16,957		—		3,521		13,436		16,957
Deposits	(3,755,945)		—		(3,763,358)		—		(3,763,358)
Short-term borrowings	(116,061)		—		(116,061)		—		(116,061)
Other borrowings	(5,859)		—		(6,297)		—		(6,297)
Accrued interest payable	(1,033)		—		(1,033)		—		(1,033)

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details