What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-05-05 compared with 2021-11-08 · 216 added, 259 removed, 1178 unchanged (29% of the section changed)

4 unchanged sentences

(Dollar Amounts in Thousands)

September 30,

2022 December 31,

31 unchanged sentences

Retained earnings 380,700 363,742

Accumulated other comprehensive income 7,645 27,852

Accumulated other comprehensive income (loss) ( 54,772 ) 7,345

Total stockholders’ equity 677,450 723,209

5 unchanged sentences

(Dollar Amounts in Thousands, Except Per Share Data)

Three Months Ended Nine Months Ended

September 30, September 30,

2021 2020 2021 2020

Three Months Ended

Interest Income

17 unchanged sentences

Fiduciary activities 1,503 1,743

Gains on sale of investment securities (includes $ 0 and $ 1,088 for the three months ended September 30, 2021 and 2020, respectively, and $ 914 and $ 1,675 for the nine months ended September 30, 2021 and 2020, respectively, related to accumulated other comprehensive earnings reclassifications)

— 1,088 914 1,675

Gains on sale of investment securities (includes $ 0 and $ 914 for the three months ended March 31, 2022 and 2021, respectively, related to accumulated other comprehensive earnings reclassifications)

Gain on sale of mortgage loans 2,027 5,296

Mortgage servicing income net of impairment 336 ( 1,308 ) 2,052 ( 4,043 )

Mortgage servicing income net of impairment or recovery 3,489 213

Increase in cash value of bank owned life insurance 510 511

Death benefit on bank owned life insurance 517 31 783 264

Other income 892 367

12 unchanged sentences

Income Before Income Taxes 27,102 23,872

Income tax expense (includes $ 0 and $ 228 for the three months ended September 30, 2021 and 2020, respectively, and $ 192 and $ 352 for the nine months ended September 30, 2021 and 2020, respectively, related to income tax expense from reclassification items)

4,056 4,326 11,276 7,903

Income tax expense (includes $ 0 and $ 192 for the three months ended March 31, 2022 and 2021, respectively, related to income tax expense from reclassification items)

Net Income $ 23,563 $ 20,422

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Condensed Consolidated Statements of Income

(Dollar Amounts in Thousands, Except Per Share Data)

Basic Earnings Per Share $ 0.54 $ 0.46

5 unchanged sentences

(Dollar Amounts in Thousands)

Three Months Ended Nine Months Ended

September 30 September 30

2021 2020 2021 2020

Three Months Ended

Net Income $ 23,563 $ 20,422

Other Comprehensive Income

Other Comprehensive Income (Loss)

Change in fair value of derivative instruments:

3 unchanged sentences

Change in securities:

Unrealized appreciation (depreciation) for the period on AFS securities ( 14,488 ) 4,019 ( 28,304 ) 27,518

Unrealized depreciation for the period on AFS securities ( 80,824 ) ( 23,885 )

Accretion (amortization) from transfer of securities from available for sale to held to maturity securities ( 551 ) 17

1 unchanged sentence

Income tax effect 17,089 5,204

Unrealized gains (losses) on securities ( 11,431 ) 2,292 ( 23,043 ) 20,369

Other Comprehensive Income (Loss), Net of Tax ( 10,993 ) 2,008 ( 20,207 ) 16,846

Comprehensive Income $ 12,078 $ 22,320 $ 45,459 $ 63,452

Unrealized losses on securities ( 64,286 ) ( 19,578 )

Other Comprehensive Loss, Net of Tax ( 62,117 ) ( 17,166 )

Comprehensive Income (Loss) $ ( 38,554 ) $ 3,256

See notes to condensed consolidated financial statements

8 unchanged sentences

Comprehensive

Balances, July 1, 2020 $ — $ — $ 361,087 $ 269,849 $ 21,270 $ 652,206

Net income — — — 20,312 — 20,312

Other comprehensive income, net of tax — — — — 2,008 2,008

Amortization of unearned compensation — — 335 — — 335

Exercise of stock options — — — — — —

Stock option expense — — 28 — — 28

Stock issued stock plans — — 730 — — 730

Cash dividends on common stock ($ 0.12 per share)

— — — ( 5,326 ) — ( 5,326 )

Balances, September 30, 2020 $ — $ — $ 362,180 $ 284,835 $ 23,278 $ 670,293

Balances, July 1, 2021 $ — $ — $ 359,227 $ 332,509 $ 18,638 $ 710,374

Net income — — — 23,071 — 23,071

Other comprehensive loss, net of tax — — — — ( 10,993 ) ( 10,993 )

Amortization of unearned compensation — — 449 — — 449

Exercise of stock options — — — — — —

Stock option expense — — 13 — — 13

Repurchase of outstanding stock — — ( 7,607 ) — — ( 7,607 )

Stock retirement plans — — ( 128 ) — — ( 128 )

Cash dividends on common stock ($ 0.15 per share)

— — — ( 6,637 ) — ( 6,637 )

Balances, September 30, 2021 $ — $ — $ 351,954 $ 348,943 $ 7,645 $ 708,542

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Condensed Consolidated Statement of Stockholders’ Equity

(Dollar Amounts in Thousands, Except Per Share Data)

Nine Months Ended

Stock Additional

Capital Retained

Earnings Accumulated

Comprehensive

Balances, January 1, 2021 $ — $ — $ 362,945 $ 301,419 $ 27,852 $ 692,216

Net income — — — 20,422 — 20,422

Other comprehensive income, net of tax — — — — 16,846 16,846

Impact of adoption of ASU No.

2016–13 — — — ( 15,635 ) — ( 15,635 )

Other comprehensive loss, net of tax — — — — ( 17,166 ) ( 17,166 )

Amortization of unearned compensation — — 335 — — 335

1 unchanged sentence

Stock option expense — — 27 — — 27

Stock issued stock plans — — 1,244 — — 1,244

Repurchase of outstanding stock — — ( 19,636 ) — — ( 19,636 )

Net settlement of share awards — — ( 1,347 ) — — ( 1,347 )

Cash dividends on common stock ($ 0.13 per share)

— — — ( 5,761 ) — ( 5,761 )

Balances, September 30, 2020 $ — $ — $ 362,180 $ 284,835 $ 23,278 $ 670,293

Balances, March 31, 2021 $ — $ — $ 362,613 $ 316,080 $ 10,686 $ 689,379

Balances, January 1, 2022 $ — $ — $ 352,122 $ 363,742 $ 7,345 $ 723,209

4 unchanged sentences

Stock option expense — — 13 — — 13

Stock awards vested — — ( 1,347 ) — — ( 1,347 )

Repurchase of outstanding stock — — ( 7,607 ) — — ( 7,607 )

Net settlement of share awards — — ( 1,671 ) — — ( 1,671 )

Stock retirement plans — — 448 — — 448

1 unchanged sentence

— — — ( 6,605 ) — ( 6,605 )

Balances, September 30, 2021 $ — $ — $ 351,954 $ 348,943 $ 7,645 $ 708,542

Balances, March 31, 2022 $ — $ — $ 351,522 $ 380,700 $ ( 54,772 ) $ 677,450

See notes to condensed consolidated financial statements

3 unchanged sentences

(Dollar Amounts in Thousands)

Nine Months Ended

Three Months Ended

Operating Activities

4 unchanged sentences

Share based compensation 529 362

Mortgage servicing rights income 90 ( 630 )

Amortization of mortgage servicing rights 750 962

Mortgage servicing rights net impairment ( 2,594 ) ( 236 )

21 unchanged sentences

Proceeds on the sale of OREO and repossessed assets 1,606 507

Change in premises and equipment, net ( 462 ) ( 4,252 )

Death benefit on bank owned life insurance 783 264

Repurchase of outstanding stock ( 7,607 ) ( 19,636 )

Net cash received in branch acquisition 616,832 —

Premises and equipment expenditures ( 1,078 ) ( 1,118 )

Net cash used in investing activities ( 555,959 ) 52,583

Financing Activities

Net change in:

Deposits 602,357 405,287

Borrowings 196,037 37,654

Net change from issuance of stock ( 578 ) 1,401

Net proceeds from issuance of subordinated notes — 58,824

Net change in deposits 48,506 190,683

Proceeds from borrowings 228,597 2,909

Repayment of borrowings ( 225,000 ) ( 107 )

Net change in repurchase agreements 12,429 6,641

Net settlement of share awards ( 1,671 ) ( 1,347 )

Exercise of stock options 94 653

Dividends paid on common stock ( 6,605 ) ( 5,761 )

Net cash provided by financing activities 56,350 193,671

Net Change in Cash and Cash Equivalents ( 472,554 ) 279,625

Cash and Cash Equivalents, Beginning of Period 593,508 249,711

Cash and Cash Equivalents, End of Period $ 120,954 $ 529,336

HORIZON BANCORP, INC.

2 unchanged sentences

(Dollar Amounts in Thousands)

Net Change in Cash and Cash Equivalents 722,106 295

Cash and Cash Equivalents, Beginning of Period 249,711 98,831

Cash and Cash Equivalents, End of Period $ 971,817 $ 99,126

Additional Supplemental Information

2 unchanged sentences

Transfer of loans to other real estate and repossessed assets 100 449

Transfer of premises to other real estate 1,753 —

See notes to condensed consolidated financial statements

7 unchanged sentences

All inter–company balances and transactions have been eliminated.

The results of operations for the periods ended September 30, 2021 and September 30, 2020 are not necessarily indicative of the operating results for the full year of 2021 or 2020.

The results of operations for the periods ended March 31, 2022 and March 31, 2021 are not necessarily indicative of the operating results for the full year of 2022 or 2021.

The accompanying unaudited condensed consolidated financial statements reflect all adjustments that are, in the opinion of Horizon’s management, necessary to fairly present the financial position, results of operations and cash flows of Horizon for the periods presented.

1 unchanged sentence

Certain information and note disclosures normally included in Horizon’s annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America have been condensed or omitted.

These condensed consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in Horizon’s Annual Report on Form 10–K for 2020 filed with the Securities and Exchange Commission on February 26, 2021.

These condensed consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in Horizon’s Annual Report on Form 10–K for 2021 filed with the Securities and Exchange Commission on March 9, 2022.

The condensed consolidated balance sheet of Horizon as of December 31, 2021 has been derived from the audited balance sheet as of that date.

On July 16, 2019, the Board of Directors of the Company authorized a stock repurchase program for up to 2,250,000 shares of Horizon’s issued and outstanding common stock, no par value.

As of September 30, 2021, Horizon had repurchased a total of 803,349 shares at an average price per share of $ 16.89 .

In addition to the stock repurchase program, Horizon agreed to repurchase 1,000,000 shares at a price per share of $ 15.19 from an individual shareholder on March 6, 2020.

As of March 31, 2022, Horizon had repurchased a total of 803,349 shares at an average price per share of $ 16.89 .

Basic earnings per share is computed by dividing net income available to common shareholders (net income less dividend requirements for preferred stock and accretion of preferred stock discount) by the weighted–average number of common shares outstanding.

1 unchanged sentence

The following table shows computation of basic and diluted earnings per share.

Three Months Ended Nine Months Ended

September 30 September 30

2021 2020 2021 2020

Three Months Ended

Basic earnings per share

14 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

There were 142,705 and 153,582 shares for the three and nine months ended September 30, 2021, which were not included in the computation of diluted earnings per share because they were non–dilutive.

There were 492,273 and 273,776 shares for the three and nine months ended September 30, 2020, which were not included in the computation of diluted earnings per share because they were non–dilutive.

There were 1,000 shares for the three months ended March 31, 2022, which were not included in the computation of diluted earnings per share because they were non–dilutive.

There were 138,010 shares for the three months ended March 31, 2021, which were not included in the computation of diluted earnings per share because they were non–dilutive.

Horizon has share–based employee compensation plans, which are described in the notes to the financial statements included in the December 31, 2021 Annual Report on Form 10–K.

Also, the Company's shareholders approved the 2021 Omnibus Equity Incentive Plan at its Annual Meeting on May 6, 2021, adding 1.4 million additional shares to the plan and with no other significant changes from the Company's previous plan.

Revision of Previously Issued Financial Statements

We have revised amounts reported in previously issued financial statements for the periods presented in this Quarterly Report on Form 10–Q related to immaterial errors.

The errors relate to sold commercial loan participation balances which do not qualify under accounting guidance as sales transaction under Accounting Standards Codification Topic 860 – Transfers and Servicing .

The correction of this error resulted in an increase in loans, net of allowance for credit losses and borrowings on the Company's consolidated condensed balance sheet.

We evaluated the aggregate effects of the errors to our previously issued financial statements in accordance with SEC Staff Accounting Bulletins No.

108 and, based upon quantitative and qualitative factors, determined that the errors were not material to the previously issued financial statements and disclosures included in our Annual Reports on Form 10–K for the year ended December 31, 2021, or for any quarterly periods included therein.

The following tables present the revisions to the line items of our previously issued financial statements to reflect the correction of the errors:

Consolidated Balance Sheet

As of December 31, 2021 As Reported Adjustment As Revised

Loans, net of allowance for credit losses $ 3,553,345 $ 36,986 $ 3,590,331

Total assets 7,374,903 36,986 7,411,889

Borrowings 675,753 36,986 712,739

Total liabilities 6,651,694 36,986 6,688,680

Total liabilities and stockholders' equity 7,374,903 36,986 7,411,889

Consolidated Statements of Cash Flows

Three Months Ended March 31, 2021 As Reported Adjustment As Revised

Net change in loans $ 202,290 $ ( 2,862 ) $ 199,428

Net cash provided by investing activities 55,445 ( 2,862 ) 52,583

Proceeds from borrowings 47 2,862 2,909

Net cash provided by financing activities 190,809 2,862 193,671

Net Change in Cash and Cash Equivalents 279,625 — 279,625

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

Accounting Guidance Issued But Not Yet Adopted

Financial Accounting Standards Board (“FASB”) Accounting Standards Update (“ASU”) No.

2022–02, Financial Instruments – Credit Losses (Topic 326):

Troubled Debt Restructurings and Vintage Disclosures

The FASB has issued ASU 2022–02, Financial Instruments – Credit Losses (Topic 326):

Troubled Debt Restructurings and Vintage Disclosures , in March 2022.

These amendments eliminate the TDR recognition and measurement guidance and, instead, require that an entity evaluate (consistent with the accounting for other loan modifications) whether the modification represents a new loan or a continuation of an existing loan.

The amendments also enhance existing disclosure requirements and introduce new requirements related to certain modifications of receivables made to borrowers experiencing financial difficulty.

Additionally, these amendments require that an entity disclose current–period gross write–offs by year of origination for financing receivables and net investment in leases within the scope of Subtopic 326–20.

The guidance is effective for entities that have adopted ASU 2016–13 for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years.

These amendments should be applied prospectively.

If an entity elects to early adopt ASU 2022–02 in an interim period, the guidance should be applied as of the beginning of the fiscal year that includes the interim period.

An entity may elect to early adopt the amendments about TDRs and related disclosure enhancements separately from the amendments related to vintage disclosures.

The Company is assessing ASU 2022–02 and its impact on its accounting and disclosures.

2020–04, Reference Rate Reform (Topic 848):

12 unchanged sentences

For current elections in effect regarding the assertion of the probability of forecasted transactions, the Company elects the expedient to assert the probability of the hedged interest payments and receipts regardless of any expected modification in terms related to reference rate reform.

The Company has been conducting monthly meetings to address contracts and hedge accounting relationships that reference LIBOR.

All contracts referencing LIBOR as an interest rate have been identified and are in the process of being rewritten or refinanced by December 31, 2021, except for commercial loan interest rate swaps.

The Company conducted monthly meetings to address contracts and hedge accounting relationships that reference LIBOR.

All contracts referencing LIBOR as an interest rate have been identified and have been rewritten or refinanced as of March 31, 2022, except for commercial loan interest rate swaps.

Hedge accounting relationships referencing LIBOR will be modified by the counter parties.

7 unchanged sentences

Net cash of $ 618.2 million was received in the transaction, representing the deposit balances assumed at closing, net of amounts paid for loans of $ 212.0 million, fixed assets of $ 6.9 million, cash of $ 4.0 million and a 1.75 % premium on deposits.

Customer deposit balances were recorded at $ 846.4 million and a core deposit intangible of $ 887,000 was recorded in the transaction, which will be amortized over 10 years on a straight line basis.

Customer deposit balances were recorded at $ 846.4 million and a core deposit intangible of $ 1.6 million was recorded in the transaction, which will be amortized over 10 years on a straight line basis.

Goodwill of $ 3.3 million was generated in the transaction.

Under the acquisition method of accounting, the total purchase price is allocated to net tangible and intangible assets based on their current estimated fair values on the date of the acquisition.

Based on preliminary valuations of the fair value of tangible and intangible assets acquired and liabilities assumed, which are based on estimates and assumptions that are subject to change, the preliminary purchase price for the TCF branches is detailed in the following table.

Final estimates of fair value on the date of acquisition have not been received yet.

Based on preliminary valuations of the fair value of tangible and intangible assets acquired and liabilities assumed, which are based on estimates and assumptions that are subject to change, the purchase price for the TCF branches is detailed in the following table.

Prior to the end of the one year measurement period for finalizing the purchase price allocation, if information becomes available which would indicate adjustments are required to the purchase price allocation, such adjustments will be included in the purchase price allocation prospectively.

If any adjustments are made to the preliminary assumptions (provisional amounts), disclosures will be made in the notes to the financial statements of the amounts recorded in the current period earnings by line item that have been recorded in previous reporting periods if the adjustments to the provisional amounts had been recognized as of the acquisition date.

Assets Liabilities

21 unchanged sentences

The fair value of securities is as follows:

September 30, 2021

March 31, 2022

Available for sale

7 unchanged sentences

Held to maturity

Treasury and federal agencies $ 292,459 $ — $ ( 19,962 ) $ 272,497

State and municipal 1,091,037 2,610 ( 113,204 ) 980,443

10 unchanged sentences

Federal agency mortgage-backed pools 225,329 1,777 ( 1,032 ) 226,074

Private labeled mortgage-backed pools 31,856 137 ( 376 ) 31,617

Corporate notes 84,579 1,013 ( 773 ) 84,819

1 unchanged sentence

Held to maturity

Treasury and federal agencies $ 195,429 $ 12 $ ( 1,215 ) $ 194,226

State and municipal 862,461 20,719 ( 4,263 ) 878,917

1 unchanged sentence

Federal agency mortgage-backed pools 188,426 151 ( 2,612 ) 185,965

Private labeled mortgage-backed pools 99,958 58 ( 1,840 ) 98,176

Corporate notes 157,687 11 ( 2,456 ) 155,242

Total held to maturity investment securities $ 1,552,443 $ 20,954 $ ( 13,406 ) $ 1,559,991

The amortized cost and fair value of securities available for sale and held to maturity at September 30, 2021 and December 31, 2020, by contractual maturity, are shown below.

Expected maturities will differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

September 30, 2021 December 31, 2020

The amortized cost and fair value of securities available for sale and held to maturity at March 31, 2022 and December 31, 2021, by contractual maturity, are shown below.

Expected maturities will differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties.

March 31, 2022 December 31, 2021

Value Amortized

20 unchanged sentences

The following table shows the gross unrealized losses and the fair value of the Company’s investments, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position.

September 30, 2021

March 31, 2022

Less than 12 Months 12 Months or More Total

23 unchanged sentences

Federal agency collateralized mortgage obligations 56,027 ( 1,032 ) — — 56,027 ( 1,032 )

Federal agency mortgage–backed pools 333,489 ( 3,644 ) — — 333,489 ( 3,644 )

Private labeled mortgage–backed pools 113,057 ( 2,216 ) — — 113,057 ( 2,216 )

Corporate notes 189,500 ( 3,229 ) — — 189,500 ( 3,229 )

Total temporarily impaired securities $ 1,500,687 $ ( 21,993 ) $ 35,281 $ ( 1,012 ) $ 1,535,968 $ ( 23,005 )

No allowance for credit losses for available for sale debt securities or held to maturity securities was needed at September 30, 2021 or December 31, 2020.

Accrued interest receivable on available for sale debt securities and held to maturity securities totaled $ 13.1 million at September 30, 2021 and $ 8.1 million at December 31, 2020 and is excluded from the estimate of credit losses.

No allowance for credit losses for available for sale debt securities or held to maturity securities was needed at March 31, 2022 or December 31, 2021.

Accrued interest receivable on available for sale debt securities and held to maturity securities totaled $ 16.7 million at March 31, 2022 and $ 14.6 million at December 31, 2021 and is excluded from the estimate of credit losses.

government sponsored entities and agencies and mortgage–backed securities are either explicitly or implicitly guaranteed by the U.S.

5 unchanged sentences

Information regarding security proceeds, gross gains and gross losses are presented below.

Three Months Ended Nine Months Ended

September 30 September 30

2021 2020 2021 2020

Three Months Ended

Sales of securities available for sale

23 unchanged sentences

Construction loans are reviewed and rewritten prior to being originated as a term loan.

The following table presents total loans outstanding by portfolio class, as of September 30, 2021 and December 31, 2020:

September 30,

The following table presents total loans outstanding by portfolio class, as of March 31, 2022 and December 31, 2021:

2022 December 31,

20 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

As of September 30, 2021 and December 31, 2020, Federal Paycheck Protection Program (“PPP”) loans totaled approximately $ 92.3 million and $ 208.9 million, respectively, and are included with commercial loans.

Total loans include net deferred loan costs of $ 316,000 at September 30, 2021 and net deferred loan fees of $ 1.7 million at December 31, 2020, respectively.

As of March 31, 2022 and December 31, 2021, Federal Paycheck Protection Program (“PPP”) loans totaled approximately $ 6.7 million and $ 25.8 million, respectively, and are included with commercial loans.

Total loans include net deferred loan costs of $ 2.6 million at March 31, 2022 and $ 1.9 million at December 31, 2021, respectively.

The risk characteristics of each loan portfolio segment are as follows:

29 unchanged sentences

Interest income is accrued during this period and collected at the time each loan is sold.

Fee income for each loan

Fee income for each loan sold is collected when the loan is sold, and no costs are deferred due to the term between each loan funding and related payoff, which is typically less than 30 days.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

sold is collected when the loan is sold, and no costs are deferred due to the term between each loan funding and related payoff, which is typically less than 30 days.

Based on these agreements with each mortgage company, at any time a mortgage company can reacquire from Horizon its outstanding loan balance on an individual mortgage and regain possession of the original note.

4 unchanged sentences

The following table presents non–accrual loans, loans past due over 90 days still on accrual, and troubled debt restructurings (“TDRs”) by class of loans:

September 30, 2021

March 31, 2022

Non–accrual Loans Past

2 unchanged sentences

Non–performing

Loans Non–accrual

Loans Non–performing

with no Allowance for Credit Losses

23 unchanged sentences

Non–performing

Loans Non–accrual

Loans Non–performing

with no Allowance for Credit Losses

14 unchanged sentences

Total $ 14,962 $ 145 $ 1,521 $ 2,391 $ 19,019 $ 16,727

There was no interest income recognized on non–accrual loans during the three and nine months ended September 30, 2021 and 2020, respectively, while the loans were in non–accrual status.

Included in the $ 25.1 million of non–accrual loans and the $ 1.6 million of non–performing TDRs at September 30, 2021 were $ 2.2 million and $ 295,000 , respectively, of loans acquired for which there were accretable yields recognized.

There was no interest income recognized on non–accrual loans during the three months ended March 31, 2022 and 2021, respectively, while the loans were in non–accrual status.

Included in the $ 16.1 million of non–accrual loans and the $ 1.5 million of non–performing TDRs at March 31, 2022 were $ 6.0 million and $ 1.5 million, respectively, of loans acquired for which there were accretable yields recognized.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

The following table presents the payment status by class of loan, excluding non–accrual loans of $ 25.1 million and non–performing TDRs of $ 1.6 million at September 30, 2021:

September 30, 2021

The following table presents the payment status by class of loan, excluding non–accrual loans of $ 16.1 million and non–performing TDRs of $ 1.5 million at March 31, 2022:

March 31, 2022

Current 30–59 Days

17 unchanged sentences

Total $ 3,687,618 $ 5,552 $ 806 $ 107 $ 6,465 $ 3,694,083

Percentage of total loans 99.88 % 0.09 % 0.02 % 0.01 % 0.12 % 100.00 %

HORIZON BANCORP, INC.

23 unchanged sentences

Total $ 3,619,453 $ 7,892 $ 644 $ 145 $ 8,681 $ 3,628,134

Percentage of total loans 99.81 % 0.11 % 0.07 % 0.01 % 0.19 % 100.00 %

The entire balance of a loan is considered delinquent if the minimum payment contractually required to be made is not received by the specified due date.

3 unchanged sentences

TDRs that subsequently default are individually evaluated for impairment at the time of default.

At September 30, 2021, the types of concessions the Company has made on restructured loans have been temporary rate reductions and/or reductions in monthly payments, and there have been no restructured loans with modified recorded balances.

At March 31, 2022, the types of concessions the Company has made on restructured loans have been temporary rate reductions and/or reductions in monthly payments, and there have been no restructured loans with modified recorded balances.

Any modification to a loan that is a concession and is not in the normal course of lending is considered a restructured loan.

A restructured loan is returned to accruing status after six consecutive payments but is still reported as a TDR unless the loan bears interest at a market rate.

As of September 30, 2021, the Company had $ 4.0 million in TDRs and $ 2.4 million were performing according to the restructured terms and $ 603,000 TDRs were returned to accrual status during 2021.

There were no specific reserves allocated to TDRs at September 30, 2021 based on the discounted cash flows or, when appropriate, the fair value of the collateral.

As of March 31, 2022, the Company had $ 3.9 million in TDRs and $ 2.4 million were performing according to the restructured terms and no TDRs were returned to accrual status during 2022.

There were no specific reserves allocated to TDRs at March 31, 2022 based on the discounted cash flows or, when appropriate, the fair value of the collateral.

These TDRs are exclusive of loans modified under the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”).

4 unchanged sentences

The following table presents TDRs by class of loan:

September 30, 2021 December 31, 2020

March 31, 2022 December 31, 2021

Non–accrual Accruing Total Non–accrual Accruing Total

17 unchanged sentences

and (ii) to suspend any determination of a loan modified as a result of the effects of COVID–19 pandemic as being a TDR, including impairment for accounting purposes.

At September 30, 2021 and December 31, 2020, the Bank modified loans totaling $ 29.2 million and $ 126.7 million, respectively, which qualify for treatment under the CARES Act.

At March 31, 2022 and December 31, 2021, the Bank modified loans totaling $ 1.2 million and $ 10.9 million, respectively, which qualify for treatment under the CARES Act.

Collateral Dependent Financial Assets

9 unchanged sentences

The table below presents the amortized cost basis and allowance for credit losses (“ACL”) allocated for collateral dependent loans in accordance with ASC 326, which are individually evaluated to determine expected credit losses.

September 30, 2021

March 31, 2022

Real Estate Accounts Receivable/Equipment Other Total ACL

20 unchanged sentences

Loan grades for loans with an aggregate credit exposure that exceeds the authorities in the respective regions (ranging from $ 3,000,000 to $ 6,000,000 ) are validated by the Loan Committee, which is chaired by the Chief Commercial Banking Officer (“CCBO”).

• Commercial loan officers are responsible for reviewing their loan portfolios and reporting any adverse material change to the CCBO, Senior Commercial Credit Officer (“SCCO”) or Loan Committee.

When circumstances warrant a change in the credit quality grade, loan officers are required to notify the CCBO, SCCO and the Credit Department of the change in the loan grade.

Downgrades are accepted immediately by the CCBO or SCCO, however, lenders must present their factual information to either the Loan Committee, CCBO or SCCO when recommending an upgrade.

• Commercial loan officers are responsible for reviewing their loan portfolios and reporting any adverse material change to the CCBO or Loan Committee.

When circumstances warrant a change in the credit quality grade, loan officers are required to notify the CCBO and the Credit Department of the change in the loan grade.

Downgrades are accepted immediately by the CCBO, however, lenders must present their factual information to either the Loan Committee or the CCBO when recommending an upgrade.

• The CCBO, or a designee, meets periodically with loan officers to discuss the status of past due loans and classified loans.

95 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

The following tables present loans by credit grades and origination year at September 30, 2021.

September 30, 2021 2021 2020 2019 2018 2017 Prior Revolving Loans Total

The following tables present loans by credit grades and origination year at March 31, 2022.

March 31, 2022 2022 2021 2020 2019 2018 Prior Revolving Loans Total

Owner occupied real estate

33 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

September 30, 2021 2021 2020 2019 2018 2017 Prior Revolving Loans Total

March 31, 2022 2021 2020 2019 2018 2017 Prior Revolving Loans Total

Residential mortgage

11 unchanged sentences

Total real estate $ 28,517 $ 122,912 $ 98,000 $ 38,945 $ 47,136 $ 222,684 $ 140,296 $ 698,490

September 30, 2021 2021 2020 2019 2018 2017 Prior Revolving Loans Total

March 31, 2022 2021 2020 2019 2018 2017 Prior Revolving Loans Total

Direct installment

83 unchanged sentences

Note 5 – Allowance for Credit and Loan Losses

The following tables represent, by loan portfolio segment, a summary of changes in the ACL on loans for the three and nine months ended September 30, 2021 and 2020:

Three Months Ended September 30, 2021

Commercial Real Estate Mortgage Warehouse Consumer Total

Balance, beginning of period $ 41,766 $ 4,108 $ 1,155 $ 8,620 $ 55,649

Provision for credit losses on loans 1,330 ( 400 ) ( 101 ) 283 1,112

PCD loan charge–offs — — — — —

Charge–offs ( 10 ) — — ( 189 ) ( 199 )

Recoveries 35 29 — 153 217

Balance, end of period $ 43,121 $ 3,737 $ 1,054 $ 8,867 $ 56,779

Three Months Ended September 30, 2020

Commercial Real Estate Mortgage Warehouse Consumer Total

Balance, beginning of period $ 39,147 $ 5,832 $ 1,190 $ 8,921 $ 55,090

Provision for credit losses on loans 1,136 ( 232 ) 60 1,088 2,052

Charge–offs ( 502 ) ( 144 ) — ( 510 ) ( 1,156 )

Recoveries 14 8 — 311 333

Balance, end of period $ 39,795 $ 5,464 $ 1,250 $ 9,810 $ 56,319

Nine Months Ended September 30, 2021

The following tables represent, by loan portfolio segment, a summary of changes in the ACL on loans for the three months ended March 31, 2022 and 2021:

Three Months Ended March 31, 2022

Commercial Real Estate Mortgage Warehouse Consumer Total

5 unchanged sentences

Balance, end of period $ 37,789 $ 4,351 $ 1,055 $ 9,313 $ 52,508

Nine Months Ended September 30, 2020

Three Months Ended March 31, 2021

Commercial Real Estate Mortgage Warehouse Consumer Total

Balance, beginning of period $ 42,210 $ 4,620 $ 1,267 $ 8,930 $ 57,027

Impact of adopting ASC 326 10,832 4,048 — 4,911 19,791

Initial PCD allowance 2,786 — — — 2,786

Provision for credit losses on loans 928 ( 456 ) ( 104 ) ( 1 ) 367

4 unchanged sentences

The loss rate method measures the amount of loan charge–offs, net of recoveries, (“loan losses”) recognized over the life of a pool and compares those loan losses to the outstanding loan balance of that pool as of a specific point in time (“pool date”).

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

To estimate a CECL loss rate for the pool, management first identifies the loan losses recognized between the pool date and the reporting date for the pool and determines which loan losses were related to loans outstanding at the pool date.

11 unchanged sentences

financial asset type, loan purpose, collateral type, loan characteristics, credit characteristics, outstanding loan balances, contractual terms and prepayment assumptions, industry of the borrower and concentrations, and historical or expected credit loss patterns.

Note 6 – Loan Servicing

Loans serviced for others are not included in the accompanying condensed consolidated balance sheets.

The unpaid principal balances of loans serviced for others totaled approximately $ 1.5 billion and $ 1.5 billion at September 30, 2021 and December 31, 2020.

The aggregate fair value of capitalized mortgage servicing rights was approximately $ 14.9 million and $ 12.5 million at September 30, 2021 and December 31, 2020, compared to the carrying values of $ 14.9 million and $ 12.5 million at September 30, 2021 and December 31, 2020, respectively.

Comparable market values and a valuation model that calculates the present value of future cash flows were used to estimate fair value.

For purposes of measuring impairment, risk characteristics including product type, investor type and interest rates, were used to stratify the originated mortgage servicing rights.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

September 30, December 31,

Note 6 – Loan Servicing

Loans serviced for others are not included in the accompanying condensed consolidated balance sheets.

The unpaid principal balances of loans serviced for others totaled approximately $ 1.6 billion and $ 1.5 billion at March 31, 2022 and December 31, 2021.

The aggregate fair value of capitalized mortgage servicing rights was approximately $ 18.6 million and $ 15.2 million at March 31, 2022 and December 31, 2021, compared to the carrying values of $ 18.6 million and $ 15.2 million at March 31, 2022 and December 31, 2021, respectively.

Comparable market values and a valuation model that calculates the present value of future cash flows were used to estimate fair value.

For purposes of measuring impairment, risk characteristics including product type, investor type and interest rates, were used to stratify the originated mortgage servicing rights.

Three Months Ended

March 31, March 31,

Mortgage servicing rights

9 unchanged sentences

Mortgage servicing rights, net $ 18,592 $ 12,875

The Bank reduced impairment by approximately $ 2.1 million for the nine months ended September 30, 2021.

The Bank recorded additional impairment of approximately $ 4.5 million for the year ended December 31, 2020.

The Bank reduced impairment by approximately $ 2.6 million for the three months ended March 31, 2022 and $ 235,000 for the three months ended March 31, 2021.

Note 7 – Goodwill

The following table presents the Company’s carrying amount of goodwill as of September 30, 2021 and December 31, 2020.

September 30, December 31,

Balance, beginning of period $ 151,238 $ 151,238

Goodwill acquired during the period 11,550 —

Balance, end of period $ 162,788 $ 151,238

In accordance with ASC 350–20, the Company conducts a goodwill impairment test at least annually, or more frequently as events occur or circumstances change that would more–likely–than–not reduce the fair value below its carrying amount.

In the second quarter of 2020, the onset of the COVID–19 pandemic prompted the Company to assess qualitative and quantitative factors to determine whether it was more–likely–than–not the fair value of the Company was less than the carrying amount.

The Company assessed relevant events and circumstances, including macroeconomic conditions, industry and market considerations, overall financial performance, changes in the composition or carrying amount of assets and liabilities, the market price of the Company’s common stock and other relevant facts.

The Company performed both a market capitalization approach and a discounted cash flow approach to determine the fair value of the Company during the second quarter of 2020 which resulted in no goodwill impairment.

The Company updated their analysis above during the third quarter of 2021 which resulted in no goodwill impairment charges for the nine months ended September 30, 2021.

The goodwill acquired during the period was calculated based on preliminary valuations of the fair value of tangible and intangible assets acquired and liabilities assumed, which are based on estimates and assumptions that are subject to change.

As of March 31, 2022 and December 31, 2021, the carrying amount of goodwill was $ 154.6 million.

There have been no changes in the carrying amount of goodwill for the three months ended March 31, 2022 or 2021.

Goodwill is assessed for impairment annually, or more frequently if events occur or circumstances change that indicate an impairment may exist.

When assessing goodwill for impairment, first, a qualitative assessment can be made to determine whether it is more likely than not that the estimated fair value of a reporting unit is less than its estimated carrying value.

If the results of the qualitative assessment are not conclusive, a quantitative goodwill test is performed.

Alternatively, a quantitative goodwill test can be performed without performing a qualitative assessment.

Goodwill was assessed for impairment using a qualitative analysis as of March 31, 2022 which resulted in no goodwill impairment charges for the three months ended March 31, 2022.

HORIZON BANCORP, INC.

7 unchanged sentences

The following table shows repurchase agreements accounted for as secured borrowings and the related securities, at fair value, pledged for repurchase agreements:

September 30, 2021

March 31, 2022

Remaining Contractual Maturity of the Agreements

9 unchanged sentences

Federal agency mortgage–backed pools 109,955 — — — — — 109,955

Private labeled mortgage–backed pools 14,152 — — — — — 14,152

Total $ 148,397 $ — $ — $ — $ — $ — $ 148,397

11 unchanged sentences

Any early redemption of the Notes will be subject to the receipt of the approval of the Board of Governors of the Federal Reserve System to the extent then required under applicable laws or regulations, including capital regulations.

The Notes are unsecured subordinated obligations, and rank pari passu, or equally, with all of Horizon's future unsecured subordinated debt and are junior to all existing and future senior debt.

The Notes are structurally subordinated to all existing and future liabilities of Horizon's subsidiaries, including the deposit liabilities and claims of other creditors of Horizon Bank, and are effectively subordinated to Horizon’s existing and future secured indebtedness.

There is no sinking fund for the Notes.

The Notes are obligations of Horizon only and are not obligations of, and are not guaranteed by, any of Horizon’s subsidiaries.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

The Notes are unsecured subordinated obligations, and rank pari passu, or equally, with all of Horizon's future unsecured subordinated debt and are junior to all existing and future senior debt.

There is no sinking fund for the Notes.

The Notes are obligations of Horizon only and are not obligations of, and are not guaranteed by, any of Horizon’s subsidiaries.

Note 10 – Derivative Financial Instruments

Cash Flow Hedges – As a strategy to maintain acceptable levels of exposure to the risk of changes in future cash flow due to interest rate fluctuations, the Company entered into interest rate swap agreements for a portion of its floating rate debt.

The agreements provide for the Company to receive interest from the counterparty at three months LIBOR and to pay interest to the counterparty at a fixed rate of 4.20 % on a notional amount of $ 12.0 million at September 30, 2021 and December 31, 2020, respectively.

Under the agreements, the Company pays or receives the net interest amount monthly, with the monthly settlements included in interest expense.

The Company assumed additional interest rate swap agreements as the result of the LaPorte acquisition in July 2016.

The agreements provide for the Company to receive interest from the counterparty at one month LIBOR and to pay interest to the counterparty at a fixed rate of 2.62 % on a notional amount of $ 10.0 million at December 31, 2020.

Under the agreements, the Company pays or receives the net interest amount monthly, with the monthly settlements included in interest expense.

The agreement provided for the Company to receive interest from the counterparty at three months LIBOR and to pay interest to the counterparty at a fixed rate of 4.20 % on a notional amount of $ 12.0 million.

Under the agreement, the Company paid or received the net interest amount monthly, with the monthly settlements included in interest expense.

The Company assumed an additional interest rate swap agreement as the result of the LaPorte acquisition in July 2016 which matured on March 15, 2021.

The agreement provided for the Company to receive interest from the counterparty at one month LIBOR and to pay interest to the counterparty at a fixed rate of 2.62 % on a notional amount of $ 10.0 million.

Under the agreement, the Company paid or received the net interest amount monthly, with the monthly settlements included in interest expense.

On July 20, 2018, the Company entered into an interest rate swap agreement for an additional portion of its floating rate debt.

The agreement provides for the Company to receive interest from the counterparty at one month LIBOR and to pay interest to the counterparty at a fixed rate of 2.81 % on a notional amount of $ 50.0 million at September 30, 2021 and December 31, 2020.

Under the agreement, the Company pays or receives the net interest amount monthly, with the monthly settlements included in interest expense.

This interest rate swap agreement matures on July 19, 2026.

Management has designated the interest rate swap agreement as a cash flow hedging instrument.

1 unchanged sentence

Gains and losses on the derivative representing either hedge ineffectiveness or hedge components excluded from the assessment of effectiveness are recognized in current earnings.

At September 30, 2021, the Company’s cash flow hedge was effective and is not expected to have a significant impact on the Company’s net income over the next 12 months.

At March 31, 2022, the Company’s cash flow hedge was effective and is not expected to have a significant impact on the Company’s net income over the next 12 months.

Fair Value Hedges – Fair value hedges are intended to reduce the interest rate risk associated with the underlying hedged item.

2 unchanged sentences

For derivative instruments that are designated and qualify as a fair value hedge, the gain or loss on the derivative as well as the offsetting gain or loss on the hedged item attributable to the hedged risk are recognized in current earnings.

At September 30, 2021, the Company’s fair value hedges were effective and are not expected to have a significant impact on the Company’s net income over the next 12 months.

The change in fair value of both the hedge instruments and the underlying loan agreements are recorded as gains or losses in interest income.

At March 31, 2022, the Company’s fair value hedges were effective and are not expected to have a significant impact on the Company’s net income over the next 12 months.

The change in fair value of both the hedge instruments and the underlying loan agreements are recorded as gains or losses in non–interest income.

The fair value hedges are considered to be highly effective and any hedge ineffectiveness was deemed not material.

The notional amounts of the loan and security agreements being hedged were $ 478.2 million at September 30, 2021 and $ 442.7 million at December 31, 2020.

Other Derivative Instruments – The Company enters into non–hedging derivatives in the form of mortgage loan forward sale commitments with investors and commitments to originate mortgage loans as part of its mortgage banking business.

At September 30, 2021, the Company’s fair value of these derivatives were recorded and over the next 12 months are not expected to have a significant impact on the Company’s net income.

The change in fair value of both the forward sale commitments and commitments to originate mortgage loans were recorded and the net gains or losses included in the Company’s gain on sale of loans.

The notional amounts of the loan and security agreements being hedged were $ 511.8 million at March 31, 2022 and $ 489.0 million at December 31, 2021.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

At March 31, 2022, the Company’s fair value of these derivatives were recorded and over the next 12 months are not expected to have a significant impact on the Company’s net income.

The change in fair value of both the forward sale commitments and commitments to originate mortgage loans were recorded and the net gains or losses included in the Company’s gain on sale of loans.

The following tables summarize the fair value of derivative financial instruments utilized by Horizon:

Asset Derivatives Liability Derivatives

September 30, 2021 September 30, 2021

March 31, 2022 March 31, 2022

Balance Sheet

3 unchanged sentences

Derivatives designated as hedging instruments

Interest rate contracts Other assets $ 19,391 Other liabilities $ 24,044

Interest rate contracts – cash flow hedges Other assets $ — Other liabilities $ 927

Total derivatives designated as hedging instruments — 927

Derivatives not designated as hedging instruments

Interest rate contracts – fair value hedges Other assets 11,083 Other liabilities 11,083

Mortgage loan contracts Other assets — Other liabilities 586

Commitments to originate mortgage loans Other assets 361 Other liabilities —

Total derivatives not designated as hedging instruments 11,444 11,669

5 unchanged sentences

Derivatives designated as hedging instruments

Interest rate contracts Other assets $ 35,388 Other liabilities $ 43,631

Interest rate contracts – cash flow hedges Other assets $ — Other liabilities $ 3,673

Total derivatives designated as hedging instruments — 3,673

Derivatives not designated as hedging instruments

Interest rate contracts – fair value hedges Other assets 14,419 Other liabilities 14,419

Mortgage loan contracts Other assets — Other liabilities 238

Commitments to originate mortgage loans Other assets 1,037 Other liabilities —

Total derivatives not designated as hedging instruments 15,456 14,657

Total derivatives $ 15,456 $ 18,330

The effect of the derivative instruments on the condensed consolidated statements of income for the three and nine–month periods ending September 30 is as follows:

Amount of Gain (Loss) Recognized in Other Comprehensive Income on Derivative

(Effective Portion)

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

The effect of the derivative instruments on the condensed consolidated statements of comprehensive income for the three–month periods ending March 31 is as follows:

Amount of Gain Recognized in Other Comprehensive Income on Derivative

Three Months Ended

March 31, 2022 March 31, 2021

Derivatives in cash flow hedging relationship

Interest rate contracts $ 2,169 $ 2,412

FASB Accounting Standards Codification (“ASC”) Topic 820–10–20 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

Topic 820–10–55 establishes a fair value hierarchy that emphasizes the use of observable inputs and minimizes the use of unobservable inputs when measuring fair value.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

The effect of the derivative instruments on the condensed consolidated statements of income for the three–month periods ending March 31 is as follows:

Location of gain

recognized on derivative Amount of Gain (Loss) Recognized on Derivative

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Derivative in fair value hedging relationship

Interest rate contracts Interest income - loans $ 3,302 $ ( 3,162 ) $ 15,997 $ ( 29,492 )

Interest rate contracts Interest income - loans ( 3,302 ) 3,162 ( 15,997 ) 29,492

Three Months Ended

March 31, 2022 March 31, 2021

Derivative designated as hedging instruments

Interest rate contracts – cash flow hedges Interest expense – Borrowings $ 340 $ 509

Total $ 340 $ 509

Location of gain

recognized on derivative Amount of Gain (Loss) Recognized on Derivative

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Derivative not designated as hedging relationship

Mortgage contracts Other income - gain on sale of loans $ ( 167 ) $ ( 679 ) $ ( 712 ) $ 364

Location of loss

recognized on derivative Amount of Loss Recognized on Derivative

Three Months Ended

March 31, 2022 March 31, 2021

Derivative not designated as hedging instruments

Mortgage loan contracts Non–interest income – Gain on sale of loans ( 348 ) ( 700 )

Commitments to originate mortgage loans Non–interest income – Gain on sale of loans ( 675 ) ( 541 )

Total $ ( 1,023 ) $ ( 1,241 )

Note 11 – Disclosures about Fair Value of Assets and Liabilities

7 unchanged sentences

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, 2021.

There have been no significant changes in the valuation techniques during the period ended March 31, 2022.

For assets classified within Level 3 of the fair value hierarchy, the process used to develop the reported fair value is described below.

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

Available for sale securities

7 unchanged sentences

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

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

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.

5 unchanged sentences

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, 2021

March 31, 2022

Fair Value Quoted Prices in Active Markets

11 unchanged sentences

Interest rate swap agreements asset 11,083 — 11,083 —

Forward sale commitments 666 — 666 —

Commitments to originate mortgage loans 361 — 361 —

Interest rate swap agreements liability ( 12,010 ) — ( 12,010 ) —

Commitments to originate loans ( 333 ) — ( 333 ) —

Mortgage loan contracts ( 586 ) — ( 586 ) —

HORIZON BANCORP, INC.

12 unchanged sentences

Federal agency mortgage–backed pools 226,074 — 226,074 —

Private labeled mortgage–backed pools 31,617 — 31,617 —

Corporate notes 84,819 — 79,787 5,032

1 unchanged sentence

Interest rate swap agreements asset 14,419 — 14,419 —

Forward sale commitments 1,045 — 1,045 —

Commitments to originate mortgage loans 1,037 — 1,037 —

Interest rate swap agreements liability ( 18,092 ) — ( 18,092 ) —

Realized gains and losses included in net income for the periods are reported in the condensed consolidated statements of income as follows:

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Non-interest Income

Total gains and losses from:

Hedged loans $ 3,302 $ ( 3,162 ) $ 15,997 $ ( 29,492 )

Fair value interest rate swap agreements ( 3,302 ) 3,162 ( 15,997 ) 29,492

Derivative loan commitments ( 167 ) ( 679 ) ( 712 ) 364

$ ( 167 ) $ ( 679 ) $ ( 712 ) $ 364

Mortgage loan contracts ( 238 ) — ( 238 ) —

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):

3 unchanged sentences

(Level 2) Significant

September 30, 2021

March 31, 2022

Collateral dependent loans $ 6,819 $ — $ — $ 6,819

3 unchanged sentences

Mortgage servicing rights 15,186 — — 15,186

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

Collateral Dependent Loans:

8 unchanged sentences

The Company reviews the valuation assumptions against this market data for reasonableness and adjusts the assumptions if deemed appropriate.

The carrying amount of the MSRs’ fair value due to impairment increased by $ 2.1 million during the first nine months of 2021 and decreased by $ 3.2 million during the first nine months of 2020.

The carrying amount of the MSRs’ fair value due to impairment increased by $ 2.6 million during the first three months of 2022 and increased by $ 235,000 during the first three months of 2021.

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

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, 2021

March 31, 2022

Value Valuation

23 unchanged sentences

Due to the inherent uncertainties of expected cash flows of financial instruments, the use of alternate valuation assumptions and methods could have a significant effect on the estimated fair value amounts.

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

The estimated fair values of financial instruments, as shown below, are not intended to reflect the estimated liquidation or market value of Horizon taken as a whole.

The disclosed fair value estimates are limited to Horizon’s significant financial instruments at September 30, 2021 and December 31, 2020.

The disclosed fair value estimates are limited to Horizon’s significant financial instruments at March 31, 2022 and December 31, 2021.

These include financial instruments recognized as assets and liabilities on the condensed consolidated balance sheet as well as certain off–balance sheet financial instruments.

6 unchanged sentences

Loans Held for Sale – The carrying amounts approximate fair value.

HORIZON BANCORP, INC.

AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Table Dollar Amounts in Thousands, Except Per Share Data)

Net Loans – The fair value of net loans are estimated on an exit price basis incorporating discounts for credit, liquidity and marketability factors.

10 unchanged sentences

Due to the short–term nature of these agreements, carrying amounts approximate fair value.

The following table presents estimated fair values of the Company’s financial instruments and the level within the fair value hierarchy in which the fair value measurements fall.

HORIZON BANCORP, INC.

2 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

The following table presents estimated fair values of the Company’s financial instruments and the level within the fair value hierarchy in which the fair value measurements fall.

September 30, 2021

March 31, 2022

Amount Quoted Prices in Active Markets

9 unchanged sentences

Interest receivable 27,476 — 27,476 —

Mortgage servicing rights 18,592 — — 18,592

Non–interest bearing deposits $ 1,325,570 $ 1,325,570 $ — $ —

16 unchanged sentences

Interest receivable 26,137 — 26,137 —

Mortgage servicing rights 15,186 — — 15,186

Non–interest bearing deposits $ 1,360,338 $ 1,360,338 $ — $ —

8 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

Note 13 – Accumulated Other Comprehensive Income

September 30,

Note 13 – Accumulated Other Comprehensive Income (Loss)

2022 December 31,

Unrealized gain on securities available for sale $ 14,444 $ 43,662

Unrealized gain (loss) on securities available for sale $ ( 73,623 ) $ 7,201

Unamortized loss on securities held to maturity, previously transferred from AFS 5,219 5,770

1 unchanged sentence

Tax effect 14,559 ( 1,953 )

Total accumulated other comprehensive income $ 7,645 $ 27,852

Total accumulated other comprehensive income (loss) $ ( 54,772 ) $ 7,345

Note 14 – Regulatory Capital

9 unchanged sentences

In addition, to be categorized as well capitalized, the Company and Bank must maintain Total risk–based, Tier I risk–based, common equity Tier I risk–based and Tier I leverage ratios as set forth in the table below.

As of September 30, 2021 and December 31, 2020, the Company and Bank met all capital adequacy requirements to be considered well capitalized.

There have been no conditions or events since the end of the third quarter of 2021 that management believes have changed the Bank’s classification as well capitalized.

As of March 31, 2022 and December 31, 2021, the Company and Bank met all capital adequacy requirements to be considered well capitalized.

There have been no conditions or events since the end of the first quarter of 2022 that management believes have changed the Bank’s classification as well capitalized.

There is no threshold for well capitalized status for bank holding companies.

7 unchanged sentences

(Table Dollar Amounts in Thousands, Except Per Share Data)

Horizon and the Bank’s actual and required capital ratios as of September 30, 2021 and December 31, 2020 were as follows:

Horizon and the Bank’s actual and required capital ratios as of March 31, 2022 and December 31, 2021 were as follows:

Actual Required for Capital

7 unchanged sentences

Amount Ratio Amount Ratio Amount Ratio Amount Ratio

September 30, 2021

March 31, 2022

Total capital (to risk–weighted assets) (1)

31 unchanged sentences

And Results of Operations

For the Three and Nine Months ended September 30, 2021 and 2020

For the Three Months ended March 31, 2022 and 2021

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements