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Fair Value (Tables)

9 Months Ended

Sep. 30, 2020

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, 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	$	—	$	100,350	$	—	$	100,350
Mortgage Backed Securities-residential	—		284,610		—		284,610
Mortgage Backed Securities-commercial	—		18,680		—		18,680
Collateralized mortgage obligations	—		231,568		—		231,568
State and municipal	—		292,519		2,235		294,754
Municipal taxable	—		20,727		—		20,727
U.S. Treasury	—		2,514		—		2,514
Collateralized debt obligations	—		—		3,036		3,036
TOTAL	$	—	$	950,968	$	5,271	$	956,239
Derivative Assets			2,723
Derivative Liabilities			(2,723)


	December 31, 2019
	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(Dollar amounts in thousands)	Level 1		Level 2		Level 3		Total
U.S. Government agencies	$	—	$	103,633	$	—	$	103,633
Mortgage Backed Securities-residential	—		243,382		—		243,382
Mortgage Backed Securities-commercial	—		22,104		—		22,104
Collateralized mortgage obligations	—		281,311		—		281,311
State and municipal	—		261,869		2,565		264,434
Municipal taxable	—		730		—		730
U.S. Treasury	—		7,504		—		7,504
Collateralized debt obligations	—		—		3,619		3,619
TOTAL	$	—	$	920,533	$	6,184	$	926,717
Derivative Assets			828
Derivative Liabilities			(828)

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, 2020 and the year ended December 31, 2019.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended September 30, 2020
(Dollar amounts in thousands)	State and municipal obligations		Collateralized debt obligations		Total
Beginning balance, July1	$	2,235	$	2,945	$	5,180
Total realized/unrealized gains or losses
Included in earnings	—		—		—
Included in other comprehensive income	—		91		91
Transfers	—		—		—
Settlements	—		—		—
Ending balance, September 30	$	2,235	$	3,036	$	5,271



	Nine Months Ended September 30, 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	—		(583)		(583)
Transfers	—		—		—
Settlements	(330)		—		(330)
Ending balance, September 30	$	2,235	$	3,036	$	5,271


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2019
(Dollar amounts in thousands)	State and municipal obligations		Collateralized debt obligations		Total
Beginning balance, January 1	$	3,135	$	3,258	$	6,393
Total realized/unrealized gains or losses
Included in earnings	—		—		—
Included in other comprehensive income	—		498		498
Purchases	—		—		—
Settlements	(570)		(137)		(707)
Ending balance, December 31	$	2,565	$	3,619	$	6,184

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, 2020.

(Dollar amounts in thousands)

Fair Value

Valuation Technique(s)

Unobservable Input(s)

Range

State and municipal obligations

2,235

Discounted cash flow

Discount rate
Probability of default

3.09%-4.44%
0%

Other real estate

3,465

Sales comparison/income approach

Discount rate for age of appraisal and market conditions

5.00%-20.00%

Impaired Loans

4,749

Sales comparison/income approach

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, 2019.

(Dollar amounts in thousands)

Fair Value

Valuation Technique(s)

Unobservable Input(s)

Range

State and municipal obligations

2,565

Discounted cash flow

Discount rate
Probability of default

2.87%-4.44%
0%

Other real estate

3,625

Sales comparison/income approach

Discount rate for age of appraisal and market conditions

5.00%-20.00%

Impaired Loans

100

Sales comparison/income approach

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 loans identified as impaired by class of loans, and carried at fair value on a non-recurring basis, as of September 30, 2020 and December 31, 2019, which are all considered Level 3.


	September 30, 2020
(Dollar amounts in thousands)	Carrying Value		Allowance for Loan Losses Allocated		Fair Value
Commercial
Commercial & Industrial	$	3,749	$	1,054	$	2,695
Farmland	—		—		—
Non Farm, Non Residential	171		—		171
Agriculture	380		380		—
All Other Commercial	754		251		503
Residential
First Liens	—		—		—
Home Equity	—		—		—
Junior Liens	—		—		—
Multifamily	1,380		—		1,380
All Other Residential	—		—		—
Consumer
Motor Vehicle	—		—		—
All Other Consumer	—		—		—
TOTAL	$	6,434	$	1,685	$	4,749


	December 31, 2019
(Dollar amounts in thousands)	Carrying Value		Allowance for Loan Losses Allocated		Fair Value
Commercial
Commercial & Industrial	$	148	$	48	$	100
Farmland	—		—		—
Non Farm, Non Residential	—		—		—
Agriculture	—		—		—
All Other Commercial	—		—		—
Residential
First Liens	—		—		—
Home Equity	—		—		—
Junior Liens	—		—		—
Multifamily	—		—		—
All Other Residential	—		—		—
Consumer
Motor Vehicle	—		—		—
All Other Consumer	—		—		—
TOTAL	$	148	$	48	$	100

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, 2020
	Carrying		Fair Value
(Dollar amounts in thousands)	Value		Level 1		Level 2		Level 3		Total
Cash and due from banks	$	388,440	$	25,428	$	363,012	$	—	$	388,440
Federal funds sold	—		—		—		—		—
Securities available-for-sale	956,239		—		950,968		5,271		956,239
Restricted stock	15,012		n/a		n/a		n/a		n/a
Loans, net	2,726,533		—		—		2,787,631		2,787,631
Accrued interest receivable	18,482		—		5,007		13,475		18,482
Deposits	(3,604,353)		—		(3,615,014)		—		(3,615,014)
Short-term borrowings	(95,249)		—		(95,249)		—		(95,249)
Other borrowings	(10,845)		—		(11,237)		—		(11,237)
Accrued interest payable	(1,107)		—		(1,107)		—		(1,107)


	December 31, 2019
	Carrying		Fair Value
(Dollar amounts in thousands)	Value		Level 1		Level 2		Level 3		Total
Cash and due from banks	$	127,426	$	26,275	$	101,151	$	—	$	127,426
Federal funds sold	7,500		—		7,500		—		7,500
Securities available-for-sale	926,717		—		920,533		6,184		926,717
Restricted stock	15,394		n/a		n/a		n/a		n/a
Loans, net	2,636,447		—		—		2,648,692		2,648,692
Accrued interest receivable	18,523		—		3,583		14,940		18,523
Deposits	(3,275,357)		—		(3,278,099)		—		(3,278,099)
Short-term borrowings	(80,119)		—		(80,119)		—		(80,119)
Other borrowings	(30,973)		—		(31,143)		—		(31,143)
Accrued interest payable	(1,739)		—		(1,739)		—		(1,739)

- 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