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Fair Value of Financial Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value of Financial Assets and Liabilities [Abstract]

Fair Value Measurements of Assets Measured on Recurring Basis

The following tables present the fair value measurements of assets recognized in the accompanying balance sheets measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021 and indicate the level within the fair value hierarchy of the valuation techniques.

						Fair Value Measurements at June 30, 2022 Using
(in thousands)		Fair Value				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets measured – recurring basis
Available-for-sale securities:
U.S. Treasury and government agencies		$	430,277			$	386,192			$	44,085			$	0
State and political subdivisions			279,226				0				279,226				0
U.S. government sponsored agency mortgage-backed securities			601,568				0				601,568				0
Asset-backed securities			91,056				0				91,056				0
Equity securities at fair value			2,128				0				0				2,128
Mortgage servicing rights			8,220				0				0				8,220

						Fair Value Measurements at December 31, 2021 Using
(in thousands)		Fair Value				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets measured – recurring basis
Available-for-sale securities:
U.S. Treasury and government agencies		$	295,770			$	242,214			$	53,556			$	0
State and political subdivisions			334,203				0				334,203				0
U.S. government sponsored agency mortgage-backed securities			730,809				0				730,809				0
Asset-backed securities			94,647				0				94,647				0
Equity securities at fair value			2,253				0				0				2,253
Mortgage servicing rights			6,774				0				0				6,774

Reconciliation of the Beginning and Ending Balance of Recurring Fair Value Measurements Using Significant Unobservable (Level 3) Inputs

Following is a reconciliation of the beginning and ending balances of recurring fair value measurements, for the periods indicated, using significant unobservable (Level 3) inputs:

		Three Months Ended June 30, 2022								Three Months Ended June 30, 2021
(in thousands)		Equity Securities at Fair Value				Mortgage Servicing Rights				Equity Securities at Fair Value				Mortgage Servicing Rights
Beginning balance		$	2,352			$	7,748			$	2,243			$	5,584
Total unrealized gains (losses)
Included in net income			(224	)			468				280				(129	)
Issues			0				223				0				674
Settlements			0				(219	)			0				(230	)
Ending balance		$	2,128			$	8,220			$	2,523			$	5,899
Total gains (losses) for the period included in net income attributable to the change in unrealized gains or losses related to assets still held at the reporting date		$	(224	)		$	468			$	280			$	(129	)

		Six Months Ended June 30, 2022								Six Months Ended June 30, 2021
(in thousands)		Equity Securities at Fair Value				Mortgage Servicing Rights				Equity Securities at Fair Value				Mortgage Servicing Rights
Beginning balance		$	2,253			$	6,774			$	2,471			$	4,068
Total unrealized gains (losses)
Included in net income			(125	)			1,451				52				901
Issues			0				452				0				1,410
Settlements			0				(457	)			0				(480	)
Ending balance		$	2,128			$	8,220			$	2,523			$	5,899
Total gains (losses) for the period included in net income attributable to the change in unrealized gains or losses related to assets still held at the reporting date		$	(125	)		$	1,451			$	52			$	901

Realized and Unrealized Gains and Losses for Items Included in Net Income in the Consolidated Statements of Income

Realized and unrealized gains and losses for items reflected in the table above are included in net income in the consolidated statements of income as follows:

Noninterest Income
		Three Months Ended								Six Months Ended
		June 30								June 30
(in thousands)		2022				2021				2022				2021
Total gains (losses)		$	25			$	(79	)		$	869			$	473

Fair Value Measurements of Assets Measured on Nonrecurring Basis

The following tables present the fair value measurements of assets recognized in the accompanying balance sheets measured at fair value on a nonrecurring basis as of June 30, 2022 and December 31, 2021 and indicate the level within the fair value hierarchy of the valuation techniques.

						Fair Value Measurements at June 30, 2022 Using
(in thousands)		Fair Value				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets measured – nonrecurring basis
Collateral dependent loans		$	4,418			$	0			$	0			$	4,418
Other real estate owned			621				0				0				621

						Fair Value Measurements at December 31, 2021 Using
(in thousands)		Fair Value				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets measured – nonrecurring basis
Collateral dependent loans		$	1,238			$	0			$	0			$	1,238
Other real estate owned			1,487				0				0				1,487

Quantitative Information About Unobservable Inputs Used in Recurring and Nonrecurring Level 3 Fair Value Measurements

The following tables present quantitative information about unobservable inputs used in recurring and nonrecurring Level 3 fair value measurements at June 30, 2022 and December 31, 2021.

		Quantitative Information about Level 3 Fair Value Measurements
(in thousands)		Fair Value at June 30, 2022			Valuation Technique(s)	Unobservable Input		Range (Weighted Average)
Equity securities at fair value		$	2,128		Discount cash flows, computer pricing model	Discount rate			8.0% - 12.0% (10.0%)
						Conversion date		Dec 2024 – Dec 2028 (Dec 2026)
Mortgage servicing rights		$	8,220		Discount cash flows, computer pricing model	Constant prepayment rate			7.0% - 25.2% (7.3%)
						Probability of default			0.0% - 100.0% (1.0%)
						Discount rate			9.5% - 11.6% (10.0%)
Collateral dependent loans		$	4,418		Market comparable properties	Marketability discount			20.0% - 30.0% (27.0%)
Other real estate owned		$	621		Market comparable properties	Comparability adjustments			10.0% - 31.4% (12.4%)

		Quantitative Information about Level 3 Fair Value Measurements
(in thousands)		Fair Value at December 31, 2021			Valuation Technique(s)	Unobservable Input		Range (Weighted Average)
Equity securities at fair value		$	2,253		Discount cash flows, computer pricing model	Discount rate			8.0% - 12.0% (10.0%)
						Conversion date		Dec 2024 – Dec 2028 (Dec 2026)
Mortgage servicing rights		$	6,774		Discount cash flows, computer pricing model	Constant prepayment rate			7.0% - 26.7% (10.0%)
						Probability of default			0.0% - 75.0% (1.4%)
						Discount rate			10.0% - 11.5% (10.1%)
Collateral-dependent loans		$	1,238		Market comparable properties	Marketability discount			20.0% - 62.0% (41.0%)
Other real estate owned		$	1,487		Market comparable properties	Comparability adjustments			10.0% - 45.5% (15.1%)

Fair Value of Financial Instruments and Levels within Fair Value Hierarchy of Valuation Techniques

The following table presents estimated fair value of CTBI’s financial instruments as of June 30, 2022 and indicates the level within the fair value hierarchy of the valuation techniques.  In accordance with the adoption of ASU 2016-01, the fair values as of June 30, 2022 were measured using an exit price notion.

						Fair Value Measurements at June 30, 2022 Using
(in thousands)		Carrying Amount				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Financial assets:
Cash and cash equivalents		$	213,666			$	213,666			$	0			$	0
Certificates of deposit in other banks			245				0				245				0
Debt securities available-for-sale			1,402,127				386,192				1,015,935				0
Equity securities at fair value			2,128				0				0				2,128
Loans held for sale			936				957				0				0
Loans, net			3,516,099				0				0				3,540,555
Federal Home Loan Bank stock			8,139				0				8,139				0
Federal Reserve Bank stock			4,887				0				4,887				0
Accrued interest receivable			15,801				0				15,801				0
Financial liabilities:
Deposits		$	4,472,928			$	1,408,148			$	3,084,034			$	0
Repurchase agreements			238,733				0				0				238,899
Federal funds purchased			500				0				500				0
Advances from Federal Home Loan Bank			365				0				385				0
Long-term debt			57,841				0				0				44,380
Accrued interest payable			1,863				0				1,863				0
Unrecognized financial instruments:
Letters of credit		$	0			$	0			$	0			$	0
Commitments to extend credit			0				0				0				0
Forward sale commitments			0				0				0				0

The following table presents estimated fair value of CTBI’s financial instruments as of December 31, 2021 and indicates the level within the fair value hierarchy of the valuation techniques.

						Fair Value Measurements at December 31, 2021 Using
(in thousands)		Carrying Amount				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Financial assets:
Cash and cash equivalents		$	311,756			$	311,756			$	0			$	0
Certificates of deposit in other banks			245				0				245				0
Debt securities available-for-sale			1,455,429				242,214				1,213,215				0
Equity securities at fair value			2,253				0				0				2,253
Loans held for sale			2,632				2,693				0				0
Loans, net			3,367,057				0				0				3,480,803
Federal Home Loan Bank stock			8,139				0				8,139				0
Federal Reserve Bank stock			4,887				0				4,887				0
Accrued interest receivable			15,415				0				15,415				0
Financial liabilities:
Deposits		$	4,344,292			$	1,331,103			$	3,043,339			$	0
Repurchase agreements			271,088				0				0				271,186
Federal funds purchased			500				0				500				0
Advances from Federal Home Loan Bank			375				0				400				0
Long-term debt			57,841				0				0				45,854
Accrued interest payable			1,016				0				1,016				0
Unrecognized financial instruments:
Letters of credit		$	0			$	0			$	0			$	0
Commitments to extend credit			0				0				0				0
Forward sale commitments			0				0				0				0

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