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Fair Value (Tables)

12 Months Ended

Dec. 31, 2021

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis were as follows at December 31, 2021 and 2020:


			Fair Value Measurements at December 31, 2021 Using
Description	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Securities Available For Sale:
U.S. Government sponsored entities	$	111,748	$	0	$	111,748	$	0
States and political subdivisions	103,712		0		103,712		0
Residential and multi-family mortgage	434,635		4,995		429,640		0
Corporate notes and bonds	28,064		0		28,064		0
Pooled SBA	19,032		0		19,032		0

Total Securities Available For Sale	$	697,191	$	4,995	$	692,196	$	0
Interest rate swaps	$	2,124	$	0	$	2,124	$	0
Equity Securities:
Corporate equity securities	$	6,715	$	6,715	$	0	$	0
Mutual funds	2,566		2,566		0		0
Certificates of deposit	506		506		0		0
Corporate notes and bonds	579		579		0		0

Total Equity Securities	$	10,366	$	10,366	$	0	$	0
Liabilities
Interest rate swaps	$	(2,512)	$	0	$	(2,512)	$	0


			Fair Value Measurements at December 31, 2020 Using
Description	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Securities Available For Sale:
U.S. Government sponsored entities	$	157,042	$	0	$	157,042	$	0
States and political subdivisions	70,883		0		70,819		64
Residential and multi-family mortgage	315,192		15,039		300,153		0
Corporate notes and bonds	14,926		0		14,926		0
Pooled SBA	25,886		0		25,886		0
Other	979		979		0		0
Total Securities Available For Sale	$	584,908	$	16,018	$	568,826	$	64
Interest rate swaps	$	4,017	$	0	$	4,017	$	0
Equity Securities:
Corporate equity securities	$	4,343	$	4,343	$	0	$	0
Mutual funds	1,283		1,283		0		0
Certificates of deposit	404		404		0		0
Corporate notes and bonds	569		569		0		0
U.S. Government sponsored entities	50		0		50		0
Total Equity Securities	$	6,649	$	6,599	$	50	$	0
Liabilities
Interest rate swaps	$	(4,785)	$	0	$	(4,785)	$	0

Securities Available for Sale Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)

The table below presents a reconciliation of the fair value of securities available for sale measured on a recurring basis using significant unobservable inputs (Level 3) for the year ended December 31, 2021:


	States and Political Subdivisions		Corporate Notes and Bonds
Balance, January 1, 2021	$	64	$	0
Purchases	0		8,250
Total gains or (losses):
Included in other comprehensive income (loss)	0		0
Settlements	(64)		0
Transfers out of Level 3	0		(8,250)
Balance, December 31, 2021	$	0	$	0


	States and Political Subdivisions		Residential & Multi-Family Mortgage
Balance, January 1, 2020	$	0	$	2,795
Purchases	422		0
Total gains or (losses):
Included in other comprehensive income (loss)	0		0
Transfers out of Level 3	(358)		$	(2,795)
Balance, December 31, 2020	$	64	$	0

Assets and Liabilities Measured at Fair Value on Non-Recurring Basis

Assets and liabilities measured at fair value on a non-recurring basis are as follows at December 31, 2021 and 2020:


			Fair Value Measurements at December 31, 2021 Using
Description	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
Assets:
Collateral-dependent loans:
Farmland	$	920	0	0	$	920
Owner-occupied, nonfarm nonresidential properties	194		0	0	194
Commercial and industrial	3,102		0	0	3,102
Other construction loans and all land development loans and other land loans	248		0	0	248
Multifamily (5 or more) residential properties	627		0	0	627
Non-owner occupied, nonfarm nonresidential	2,889		0	0	2,889


			Fair Value Measurements at December 31, 2020 Using
Description	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
Assets:
Collateral-dependent loans:
Farmland	$	659	0	0	$	659
Owner-occupied, nonfarm nonresidential properties	329		0	0	329
Commercial and industrial	3,680		0	0	3,680
Other construction loans and all land development loans and other land loans	1,790		0	0	1,790
Multifamily (5 or more) residential properties	0		0	0	0
Non-owner occupied, nonfarm nonresidential	9,622		0	0	9,622
Residential mortgages secured by first liens	659		0	0	659

A loan is considered to be a collateral dependent loan when, based on current information and events, the Corporation expects repayment of the financial assets to be provided substantially through the operation or sale of the collateral and the Corporation has determined that the borrower is experiencing financial difficulty as of the measurement date. The allowance for credit losses is measured by estimating the fair value of the loan based on the present value of expected cash flows, the market price of the loan, or the underlying fair value of the loan’s collateral. For real estate loans, fair value of the loan’s collateral is determined by third-party appraisals, which are then adjusted for the estimated selling and closing costs related to liquidation of the collateral. For this asset class, the actual valuation methods (income, sales comparable, or cost) vary based on the status of the project or property. For example, land is generally based on the sales comparable method while construction is based on the income and/or sales comparable methods. The unobservable inputs may vary depending on the individual assets with no one of the three methods being the predominant approach. The Corporation reviews the third-party appraisal for appropriateness and may adjust the value downward to consider selling and closing costs. For non-real estate loans, fair value of the loan’s collateral may be determined using an appraisal, net book value per the borrower’s financial statements, or aging reports, adjusted or discounted based on management’s historical knowledge, changes in market conditions from the time of the valuation, and management’s expertise and knowledge of the client and client’s business.

Quantitative Information about Level 3 Fair Value Measurements for Financial Instruments Measured at Fair Value on Non Recurring Basis

The following table presents quantitative information about Level 3 fair value measurements for financial instruments measured at fair value on a non-recurring basis at December 31, 2021:

Fair
value

Valuation
Technique

Unobservable Inputs

Range
(Weighted
Average)

Collateral-dependent loans - Farmland

920

Valuation of third party appraisal on underlying collateral

Loss severity rates

60% (60%)

Collateral-dependent loans - Owner-occupied, nonfarm nonresidential properties

194

Valuation of third party appraisal on underlying collateral

Loss severity rates

0%-60% (57%)

Collateral-dependent loans - Commercial and industrial

3,102

Valuation of third party appraisal on underlying collateral

Loss severity rates

0%-59% (42%)

Collateral-dependent loans - Other construction loans and all land development loans and other land loans

248

Valuation of third party appraisal on underlying collateral

Loss severity rates

25% (25%)

Collateral-dependent loans - Multifamily (5 or more) residential properties

627

Valuation of third party appraisal on underlying collateral

Loss severity rates

0%-57% (26%)

Collateral-dependent loans - Non-owner occupied, nonfarm nonresidential

2,889

Valuation of third party appraisal on underlying collateral

Loss severity rates

25%-60% (34%)

The following table presents quantitative information about Level 3 fair value measurements for financial instruments measured at fair value on a non-recurring basis at December 31, 2020:

Fair
value

Valuation
Technique

Unobservable Inputs

Range
(Weighted
Average)

Collateral-dependent loans - Farmland

659

Valuation of third party appraisal on underlying collateral

Loss severity rates

45%-54% (47%)

Collateral-dependent loans - Owner-occupied, nonfarm nonresidential properties

329

Valuation of third party appraisal on underlying collateral

Loss severity rates

60%-90% (80%)

Collateral-dependent loans - Commercial and industrial

3,680

Valuation of third party appraisal on underlying collateral

Loss severity rates

0%-100% (39%)

Collateral-dependent loans - Other construction loans and all land development loans and other land loans

1,790

Valuation of third party appraisal on underlying collateral

Loss severity rates

25%-41% (28%)

Collateral-dependent loans - Multifamily (5 or more) residential properties

Valuation of third party appraisal on underlying collateral

Loss severity rates

58% (58%)

Collateral-dependent loans - Non-owner occupied, nonfarm nonresidential

9,622

Valuation of third party appraisal on underlying collateral

Loss severity rates

25%-100% (29%)

Collateral-dependent loans - Residential mortgages secured by first liens

659

Valuation of third party appraisal on underlying collateral

Loss severity rates

31% (31%)

Carrying Amount and Fair Value of Financial Instruments

The following table presents the carrying amount and fair value of financial instruments at December 31, 2021:


	Carrying Amount		Fair Value Measurement Using:						Total Fair Value
			Level 1		Level 2		Level 3
ASSETS
Cash and cash equivalents	$	732,198	$	732,198	$	0	$	0	$	732,198
Securities available for sale	697,191		4,995		692,196		0		697,191
Equity securities	10,366		10,366		0		0		10,366
Loans held for sale	849		0		858		0		858
Net loans	3,597,204		0		0		3,613,452		3,613,452
FHLB and other equity interests	23,276		n/a		n/a		n/a		n/a
Interest rate swaps	2,124		0		2,124		0		2,124
Accrued interest receivable	15,516		16		2,171		13,329		15,516
LIABILITIES
Deposits	$	(4,715,619)	$	(4,329,167)	$	(391,850)	$	0	$	(4,721,017)

Subordinated debentures	(104,281)		0		(92,675)		0		(92,675)
Interest rate swaps	(2,512)		0		(2,512)		0		(2,512)
Accrued interest payable	(886)		0		(886)		0		(886)

The following table presents the carrying amount and fair value of financial instruments at December 31, 2020:


	Carrying Amount		Fair Value Measurement Using:						Total Fair Value
			Level 1		Level 2		Level 3
ASSETS
Cash and cash equivalents	$	532,694	$	532,694	$	0	$	0	$	532,694
Securities available for sale	584,908		16,018		568,826		64		584,908
Equity securities	6,649		6,599		50		0		6,649
Loans held for sale	8,514		0		8,617		0		8,617
Net loans	3,337,449		0		0		3,339,482		3,339,482
FHLB and other equity interests	21,018		n/a		n/a		n/a		n/a
Interest rate swaps	4,017		0		4,017		0		4,017
Accrued interest receivable	17,659		61		2,152		15,446		17,659
LIABILITIES
Deposits	$	(4,181,744)	$	(3,705,200)	$	(488,000)	$	0	$	(4,193,200)

Subordinated debentures	(70,620)		0		(62,583)		0		(62,583)
Interest rate swaps	(4,785)		0		(4,785)		0		(4,785)
Accrued interest payable	(1,096)		0		(1,096)		0		(1,096)