Company: FRME
Filing Date: 2025-07-31
Form Type: 10-Q
Source: 0000712534-25-000171
Chunk: 50

Company: FIRST MERCHANTS CORP
Filing Date: 2025-07-31
Form: 10-Q
Item: Part I, Item 1
Chunk 50
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 rate3 month CME Term SOFR plus 26bps   plus premium for illiquidity (basis points)plus 200bpsWeighted-average coupon0%Collateral dependent loans$66,469 Collateral based measurementsDiscount to reflect current market conditions and ultimate collectability0% - 16%  Weighted-average discount by loan balance1.1%

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PART I. FINANCIAL INFORMATION ITEM 1. NOTES TO CONSOLIDATED CONDENSED FINANCIAL STATEMENTS(table dollar amounts in thousands, except share data)(Unaudited)

December 31, 2024Fair ValueValuation TechniqueUnobservable InputsRange                  (Weighted-Average)State and municipal securities$2,381 Discounted cash flowMaturity/Call date1 month to 6 years  US Muni BQ curveBBB  Discount 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 TermSOFR plus 26bps   plus 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%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 and Corporate Obligations The significant unobservable inputs used in the fair value measurement of the Corporation's state and municipal securities and corporate obligations are premiums for unrated securities and marketability discounts.  Significant increases 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 InstrumentsThe following tables present estimated fair values of the Corporation’s financial instruments not carried at fair value and the level within the fair value hierarchy in which the fair value measurements fall at June 30, 2025 and December 31, 2024.June 30, 2025Quoted Prices in Active Marketsfor IdenticalAssetsSignificantOtherObservableInputsSignificant UnobservableInputsCarrying Amount(Level