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Disclosures about Fair Value of Assets and Liabilities | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Disclosures about Fair Value of Assets and Liabilities | Disclosures about Fair Value of Assets and Liabilities The Fair Value Measurements topic of the FASB ASC defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. There are three levels of inputs that may be used to measure fair value: Level 1 –Quoted prices in active markets for identical assets or liabilities Level 2 –Observable inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities Level 3 –Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities Following is a description of the valuation methodologies used for instruments measured at fair value on a recurring basis and recognized in the accompanying condensed consolidated financial statements, as well as the general classification of such instruments pursuant to the valuation hierarchy. There have been no significant changes in the valuation techniques during the period ended September 30, 2024. For assets classified within Level 3 of the fair value hierarchy, the process used to develop the reported fair value is described below. Available for sale securities When quoted market prices are available in an active market, securities are classified within Level 1 of the valuation hierarchy. If quoted market prices are not available, then fair values are estimated by using pricing models, quoted prices of securities with similar characteristics or discounted cash flows. Level 2 securities include U.S. Treasury and federal agency securities, state and municipal securities, federal agency collateralized mortgage obligations and mortgage–backed pools and corporate notes. Level 2 securities are valued by a third party pricing service commonly used in the banking industry utilizing observable inputs. Observable inputs include dealer quotes, market spreads, cash flow analysis, the U.S. Treasury yield curve, trade execution data, market consensus prepayment spreads and available credit information and the bond’s terms and conditions. The pricing provider utilizes evaluated pricing models that vary based on asset class. These models incorporate available market information including quoted prices of securities with similar characteristics and, because many fixed–income securities do not trade on a daily basis, apply available information through processes such as benchmark curves, benchmarking of like securities, sector grouping, and matrix pricing. In addition, model processes, such as an option adjusted spread model, is used to develop prepayment and interest rate scenarios for securities with prepayment features. Interest rate swap agreements The fair value of the Company’s interest rate swap agreements is estimated by a third party using inputs that are primarily unobservable including a yield curve, adjusted for liquidity and credit risk, contracted terms and discounted cash flow analysis, and therefore, are classified within Level 2 of the valuation hierarchy. The following table presents the fair value measurements of assets and liabilities recognized in the accompanying condensed consolidated financial statements measured at fair value on a recurring basis and the level within the FASB ASC fair value hierarchy in which the fair value measurements fall at the following:
| September 30, 2024
| Fair Value |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
Assets: |  |  |  |  |  |  |
Available for sale securities |  |  |  |  |  |  |
U.S. Treasury and federal agencies | $ | 63,245 |  |  | $ | — |  |  | $ | 63,245 |  |  | $ | — |
State and municipal | 306,025 |  |  | — |  |  | 306,025 |  |  | — |
Federal agency collateralized mortgage obligations | 3,152 |  |  | — |  |  | 3,152 |  |  | — |
Federal agency mortgage–backed pools | 132,696 |  |  | — |  |  | 132,696 |  |  | — |
Corporate notes | 36,052 |  |  | — |  |  | 36,052 |  |  | — |
Total available for sale securities | 541,170 |  |  | — |  |  | 541,170 |  |  | — |
Equity securities | 573 |  |  | 573 |  |  | — |  |  | — |
Interest rate swap agreements asset | 17,224 |  |  | — |  |  | 17,224 |  |  | — |
Commitments to originate mortgage loans | 451 |  |  | — |  |  | 451 |  |  | — |
Liabilities: |  |  |  |  |  |  |
Mortgage loan contracts liability | 8 |  |  | — |  |  | 8 |  |  | — |
Interest rate swap agreements liability | 15,431 |  |  | — |  |  | 15,431 |  |  | — |
| December 31, 2023
| Fair Value |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
Assets: |  |  |  |  |  |  |
Available for sale securities |  |  |  |  |  |  |
U.S. Treasury and federal agencies | $ | 64,377 |  |  | $ | — |  |  | $ | 64,377 |  |  | $ | — |
State and municipal | 304,030 |  |  | — |  |  | 304,030 |  |  | — |
Federal agency collateralized mortgage obligations | 3,580 |  |  | — |  |  | 3,580 |  |  | — |
Federal agency mortgage–backed pools | 137,297 |  |  | — |  |  | 137,297 |  |  | — |
Corporate notes | 37,967 |  |  | — |  |  | 37,967 |  |  | — |
Total available for sale securities | 547,251 |  |  | — |  |  | 547,251 |  |  | — |
Equity securities (1) | 628 |  |  | 628 |  |  | — |  |  | — |
Interest rate swap agreements asset | 26,556 |  |  | — |  |  | 26,556 |  |  | — |
Commitments to originate mortgage loans | 125 |  |  | — |  |  | 125 |  |  | — |
Mortgage loan contracts | 33 |  |  | — |  |  | 33 |  |  | — |
Liabilities: |  |  |  |  |  |  |
Interest rate swap agreements liability | 24,024 |  |  | — |  |  | 24,024 |  |  | — |
(1) Prior period securities were included in available-for-sale. Updated to align with comparable period.
Certain other assets are measured at fair value on a non-recurring basis in the ordinary course of business and are subject to fair value adjustments in certain circumstances (for example, when there is evidence of impairment):
| Fair Value |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
September 30, 2024 |  |  |  |  |  |  |
Collateral dependent loans | $ | 3,455 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,455 |
December 31, 2023 |  |  |  |  |  |  |
Collateral dependent loans | $ | 2,918 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,918 |
Collateral Dependent Loans: For loans identified as collateral dependent, then the fair value method of measuring the amount of impairment is utilized. This method requires obtaining a current independent appraisal of the collateral and applying a discount factor to the value. Collateral dependent loans are classified within Level 3 of the fair value hierarchy when impairment is determined using the fair value method. The following table presents qualitative information about unobservable inputs used in recurring and non–recurring Level 3 fair value measurements, other than goodwill.
| September 30, 2024
| Fair Value |  | Valuation Technique |  | Unobservable Inputs |  | Range (Weighted Average)
Collateral dependent loans | $ | 3,455 |  |  | Collateral based measurement |  | Discount to reflect current market conditions and ultimate collectibility |  | 16.1%-40.6% (36.8%)
| December 31, 2023
| Fair Value |  | Valuation Technique |  | Unobservable Inputs |  | Range (Weighted Average)
Collateral dependent loans | $ | 2,918 |  |  | Collateral based measurement |  | Discount to reflect current market conditions and ultimate collectibility |  | 16.9%-34.2%(21.5%)

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