Company: FRME
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000712534-25-000058
Chunk: 81

Company: FIRST MERCHANTS CORP
Filing Date: 2025-02-24
Form: 10-K
Item: Item 8
Chunk 81
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Q curveBBBDiscount rate3.6% - 4.7%Weighted-average coupon3.6%Corporate obligations and U.S. Government-sponsored mortgage-backed securities$35 Discounted cash flowRisk free rate3 month CME Term SOFR plus 26bpsplus premium for illiquidity (basis points)plus 200bpsWeighted-average coupon0%Collateral dependent loans$46,810 Collateral based measurementsDiscount to reflect current market conditions and ultimate collectability0% - 16%Weighted-average discount by loan balance12.6%

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PART II: ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATANOTES TO CONSOLIDATED FINANCIAL STATEMENTS(table dollar amounts in thousands, except share data)

December 31, 2023Fair ValueValuation TechniqueUnobservable InputsRange                  (Weighted-Average)State and municipal securities$3,275 Discounted cash flowMaturity/Call date1 month to 15 yearsUS Muni BQ curveBBBDiscount rate3.6% - 4.7%Weighted-average coupon3.3%Corporate obligations and U.S. Government-sponsored mortgage-backed securities$35 Discounted cash flowRisk free rate3 month CME Term SOFR plus 26bpsplus premium for illiquidity (basis points)plus 200bpsWeighted-average coupon0%Collateral dependent loans$55,020 Collateral based measurementsDiscount to reflect current market conditions and ultimate collectability0% - 10%Weighted-average discount by loan balance4.1%The following is a discussion of the sensitivity of significant unobservable inputs, the interrelationships between those inputs and other unobservable inputs used in recurring fair value measurement and how those inputs might magnify or mitigate the effect of changes in the unobservable inputs on the fair value measurement.State and Municipal Securities, Corporate Obligations, and U.S. Government-sponsored Mortgage Backed SecuritiesThe significant unobservable inputs used in the fair value measurement of the Corporation’s state and municipal securities, corporate obligationsand U.S. Government-sponsored mortgage backed securities are premiums for unrated securities and marketability discounts.  Significantincreases or decreases in either of those inputs in isolation would result in a significantly lower or higher fair value measurement.  Generally,changes in either of those inputs will not affect the other input.FAIR VALUE OF FINANCIAL INSTRUMENTS NOT CARRIED AT FAIR VALUEThe following tables present estimated fair values of the Corporation’s financial instruments not