CAPITAL CITY BANK GROUP INCCCBG
CAPITAL CITY BANK GROUP INC Fair Value Disclosure
Note 22
FAIR VALUE MEASUREMENTS
The fair value of an asset or liability is the exchange price that would be received were the Bank to sell that asset or paid to
transfer that liability (exit price) in an orderly transaction occurring in the principal market (or most advantageous market in the
absence of a principal market) for such asset or liability. In estimating fair value, the Company utilizes valuation techniques that
are consistent with the market approach, the income approach and/or the cost approach. Such valuation techniques are
consistently applied. Inputs to valuation techniques include the assumptions that market participants would use in pricing an asset
or liability. ASC Topic 820 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices
in active markets for identical assets or liabilities and the lowest priority to unobservable inputs. The fair value hierarchy is as
follows:
●
Level 1 Inputs -
Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has
the ability to access at the measurement date
.
●
Level 2 Inputs -
Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either
directly or indirectly. These might include quoted prices for similar assets or liabilities in active markets, quoted prices
for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the asset or liability (such as interest rates, volatilities, prepayment speeds, credit risks, etc.) or inputs that
are derived principally from, or corroborated, by market data by correlation or other means
.
●
Level 3 Inputs -
Unobservable inputs for determining the fair values of assets or liabilities that reflect an entity’s own
assumptions about the assumptions that market participants would use in pricing the assets or liabilities.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
Securities Available for Sale.
U.S. Treasury securities are reported at fair value utilizing Level 1 inputs. Other securities
classified as AFS are reported at fair value utilizing Level 2 inputs. For these securities, the Company obtains fair value
measurements from an independent pricing service. The fair value measurements consider observable data that may include
dealer quotes, market spreads, cash flows, the U.S. Treasury yield curve, live trading levels, trade execution data, credit
information and the bond’s terms and conditions, among other things.
In general, the Company does not purchase securities that have a complicated structure. The Company’s entire portfolio consists
of traditional investments, nearly all of which are U.S. Treasury obligations, federal agency bullet or mortgage pass-through
securities, or general obligation or revenue based municipal bonds. Pricing for such instruments is easily obtained. At least
annually, the Company will validate prices supplied by the independent pricing service by comparing them to prices obtained
from an independent third-party source.
Equity Securities.
Investments securities classified as equity securities are carried at cost and the share of earnings or losses is
reported through net income as an adjustment to the investment balance. These securities are not readily marketable and therefore
are classified as a Level 3 input within the fair value hierarchy.
Loans Held for Sale
. The fair value of residential mortgage loans held for sale based on Level 2 inputs is determined, when
possible, using either quoted secondary-market prices or investor commitments. If no such quoted price exists, the fair value is
determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan, which would be used
by other market participants. The Company has elected the fair value option accounting for its held for sale loans.
Mortgage Banking Derivative Instruments.
The fair values of IRLCs are derived by valuation models incorporating market
pricing for instruments with similar characteristics, commonly referred to as best execution pricing, or investor commitment
prices for best effort IRLCs which have unobservable inputs, such as an estimate of the fair value of the servicing rights expected
to be recorded upon sale of the loans, net estimated costs to originate the loans, and the pull-through rate, and are therefore
classified as Level 3 within the fair value hierarchy. The fair value of forward sale commitments is based on observable market
pricing for similar instruments and are therefore classified as Level 2 within the fair value hierarchy.
Interest Rate Swap.
The Company’s derivative positions are classified as Level 2 within the fair value hierarchy and are valued
using models generally accepted in the financial services industry and that use actively quoted or observable market input values
from external market data providers. The fair value derivatives are determined using discounted cash flow models.
Fair Value Swap
. The Company entered into a stand-alone derivative contract with the purchaser of its Visa Class B shares. The
valuation represents the amount due and payable to the counterparty based upon the revised share conversion rate, if any, during
the period. There was $
0.2
no
December 31, 2024.
A summary of fair values for assets and liabilities at December 31 consisted of the following:
(Dollars in Thousands)
Level 1
Level 2
Level 3
Total Fair
Inputs
Inputs
Inputs
Value
2025
ASSETS:
Securities Available for Sale:
U.S. Government Treasury
$
333,264
$
-
$
-
$
333,264
U.S. Government Agency
-
172,114
-
172,114
States and Political Subdivisions
-
34,911
-
34,911
Mortgage-Backed Securities
-
52,004
-
52,004
Corporate Debt Securities
-
43,532
-
43,532
Equity Securities
-
-
2,069
2,069
Loans Held for Sale
-
21,695
-
21,695
Residential Mortgage Loan Commitments ("IRLC")
-
-
464
464
LIABILITIES:
Forward Sales Contracts
-
84
-
84
2024
ASSETS:
Securities Available for Sale:
U.S. Government Treasury
$
105,801
$
-
$
-
$
105,801
U.S. Government Agency
-
143,127
-
143,127
State and Political Subdivisions
-
39,382
-
39,382
Mortgage-Backed Securities
-
55,477
-
55,477
Corporate Debt Securities
-
51,462
-
51,462
Equity Securities
-
-
2,399
2,399
Loans Held for Sale
-
28,672
-
28,672
Interest Rate Swap Derivative
-
5,319
-
5,319
Forward Sales Contracts
-
96
-
96
Residential Mortgage Loan Commitments ("IRLC")
-
-
248
248
Mortgage Banking Activities.
The Company had Level 3 issuances and transfers related to mortgage banking activities of $
7.7
million and $
16.9
transfers related to mortgage banking activities of $
7.1
14.1
2024. Issuances are valued based on the change in fair value of the underlying mortgage loan from inception of the IRLC to the
statement of financial condition date, adjusted for pull-through rates and costs to originate. IRLCs transferred out of Level 3
represent IRLCs that were funded and moved to mortgage loans held for sale, at fair value.
Assets Measured at Fair Value on a Non-Recurring Basis
Certain assets are measured at fair value on a non-recurring basis (i.e., the assets are not measured at fair value on an ongoing
basis but are subject to fair value adjustments in certain circumstances). An example would be assets exhibiting evidence of
impairment. The following is a description of valuation methodologies used for assets measured on a non-recurring basis.
Collateral Dependent Loans
. Impairment for collateral dependent loans is measured using the fair value of the collateral less
selling costs. The fair value of collateral is determined by an independent valuation or professional appraisal in conformance with
banking regulations. Collateral values are estimated using Level 3 inputs due to the volatility in the real estate market, and the
judgment and estimation involved in the real estate appraisal process. Collateral dependent loans are reviewed and evaluated on
at least a quarterly basis for additional impairment and adjusted accordingly. Valuation techniques are consistent with those
techniques applied in prior periods. Collateral dependent loans had a carrying value of $
6.4
$
0.1
3.6
$
0.1
Other Real Estate Owned
. During 2025 and 2024, certain foreclosed assets, upon initial recognition, were measured and reported
at fair value through a charge-off to the allowance for credit losses based on the fair value of the foreclosed asset less estimated
cost to sell. At December 31, 2025 and 2024, these assets were recorded at fair value, which is determined by an independent
valuation or professional appraisal in conformance with banking regulations. On an ongoing basis, we obtain updated appraisals
on foreclosed assets and record valuation adjustments as necessary. The fair value of foreclosed assets is estimated using Level 3
inputs due to the judgment and estimation involved in the real estate valuation process.
Mortgage Servicing Rights
. Residential mortgage loan servicing rights are evaluated for impairment at each reporting period
based upon the fair value of the rights as compared to the carrying amount. Fair value is determined by a third-party valuation
model using estimated prepayment speeds of the underlying mortgage loans serviced and stratifications based on the risk
characteristics of the underlying loans (predominantly loan type and note interest rate). The fair value is estimated using Level 3
inputs, including a discount rate, weighted average prepayment speed, and the cost of loan servicing. Further detail on the key
inputs utilized are provided in Note 4 – Mortgage Banking Activities. At December 31, 2025 and 2024, there was
no
allowance for mortgage servicing rights.
Other Fair Value Disclosures
The Company is required to disclose the estimated fair value of financial instruments, both assets and liabilities, for which it is
practical to estimate fair value and the following is a description of valuation methodologies used for those assets and liabilities.
Cash and Short-Term Investments.
The carrying amount of cash and short-term investments is used to approximate fair value,
given the short time frame to maturity and as such assets do not present unanticipated credit concerns.
Securities Held to Maturity
. Securities held to maturity are valued in accordance with the methodology previously noted in the
caption “Assets and Liabilities Measured at Fair Value on a Recurring Basis – Securities Available for Sale”.
Other Equity Securities.
Other equity securities are accounted for under the equity method (Topic 323) and recorded at cost.
These securities are not readily marketable securities and are reflected in Other Assets on the Statement of Financial Condition.
Loans.
techniques based upon projected cash flows and estimated discount rates. Pursuant to the adoption of ASU 2016-01,
Recognition
and Measurement of Financial Assets and Financial Liabilities
, the values reported reflect the incorporation of a liquidity
discount to meet the objective of “exit price” valuation.
Deposits.
the amounts payable on demand at the reporting date. The fair value of fixed maturity certificates of deposit is estimated using
present value techniques and rates currently offered for deposits of similar remaining maturities.
Subordinated Notes Payable.
flows and estimated discount rates as well as rates being offered for similar obligations.
Short-Term and Long-Term Borrowings.
projected cash flows and estimated discount rates as well as rates being offered for similar debt.
A summary of estimated fair values of significant financial instruments at December 31 consisted of the following:
2025
(Dollars in Thousands)
Carrying
Level 1
Level 2
Level 3
Value
Inputs
Inputs
Inputs
ASSETS:
Cash
$
62,189
$
62,189
$
-
$
-
Fed Funds Sold and Interest Bearing Deposits
467,782
467,782
-
-
Investment Securities, Held to Maturity
377,446
129,268
240,052
-
Other Equity Securities
(1)
2,848
-
2,848
-
Mortgage Servicing Rights
924
-
-
1,359
Loans, Net of Allowance for Credit Losses
2,515,117
-
-
2,416,937
LIABILITIES:
Deposits
$
3,662,312
$
-
$
3,662,466
$
-
Short-Term Borrowings
50,092
-
50,092
-
Subordinated Notes Payable
42,582
-
40,116
-
Long-Term Borrowings
680
-
680
-
2024
(Dollars in Thousands)
Carrying
Level 1
Level 2
Level 3
Value
Inputs
Inputs
Inputs
ASSETS:
Cash
$
70,543
$
70,543
$
-
$
-
Short-Term Investments
321,311
321,311
-
-
Investment Securities, Held to Maturity
567,155
361,529
182,931
-
Other Equity Securities
(1)
2,848
-
2,848
-
Mortgage Servicing Rights
933
-
-
1,616
Loans, Net of Allowance for Credit Losses
2,622,299
-
-
2,457,883
LIABILITIES:
Deposits
$
3,671,977
$
-
$
3,046,926
$
-
Short-Term Borrowings
28,304
-
28,304
-
Subordinated Notes Payable
52,887
-
42,530
-
Long-Term Borrowings
794
-
794
-
(1)
Accounted for under the equity method – not readily marketable securities – reflected in other assets.
All non-financial instruments are excluded from the above table. The disclosures also do not include goodwill. Accordingly, the
aggregate fair value amounts presented do not represent the underlying value of the Company.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Feb 27, 2026 | Showing above |
| 2024 | Mar 11, 2025 | |
| 2023 | Mar 13, 2024 | |
| 2022 | Mar 1, 2023 | |
| 2021 | Mar 1, 2022 | |
| 2020 | Mar 1, 2021 | |
| 2019 | Mar 5, 2020 | |
| 2018 | Mar 5, 2019 | |
| 2016 | Mar 2, 2017 | |
| 2015 | Mar 8, 2016 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.