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PENSION PLAN
 12 Months Ended
Dec. 31, 2021
Retirement Benefits [Abstract]  
PENSION PLAN
Note 11 – Pension Plan

We participate in a trusteed pension plan known as the Allegheny Group Retirement Plan covering virtually all full-time employees. Benefits are based on years of service and the employee’s compensation. Accruals under this plan were frozen as of May 31, 2014. Freezing the plan resulted in a re-measurement of the pension obligations and plan assets as of the freeze date. The pension obligation was re-measured using the discount rate based on the Citigroup Above Median Pension Discount Curve in effect on May 31, 2014 of 4.46%.

On June 19, 2017, we approved a Supplemental Executive Retirement Plan (“SERP”), pursuant to which the Chief Executive Officer of Potomac Mortgage Group ("PMG") is entitled to receive certain supplemental nonqualified retirement benefits. The SERP took effect on December 31, 2017. If the executive completes three years of continuous employment prior to retirement date (which shall be no earlier than the date he attains age 55) he will, upon retirement, be entitled to receive $1.8 million payable in 180 equal consecutive installments of $10.0 thousand. The liability is calculated by discounting the anticipated future cash flows at 4.0%. The liability accrued for this obligation was $1.3 million and $1.2 million as of December 31, 2021 and 2020, respectively. Service cost was $48.8 thousand and $0.2 million in 2021 and 2020, respectively.

Pension expense was $0.3 million, $0.3 million and $0.3 million in 2021, 2020 and 2019, respectively.
Information pertaining to the activity in our defined benefit plan, using the latest available actuarial valuations with a measurement date of December 31, 2021 and 2020 is as follows:
(Dollars in thousands)20212020
Change in benefit obligation
     Benefit obligation at beginning of year$12,715 $11,435 
     Interest cost313 365 
     Actuarial loss143 (54)
     Assumption changes(649)1,255 
     Benefits paid(292)(286)
     Benefit obligation at end of year$12,230 $12,715 
Change in plan assets:
     Fair value of plan assets at beginning of year$7,096 $6,165 
     Actual return on plan assets952 511 
     Employer contribution3,835 706 
     Benefits paid(292)(286)
     Fair value of plan assets at end of year$11,591 $7,096 
Funded status$(639)$(5,619)
Unrecognized net actuarial loss5,314 6,591 
Prepaid pension cost recognized$4,675 $972 
Accumulated benefit obligation$12,230 $12,715 

At December 31, 2021, 2020 and 2019, the weighted-average assumptions used to determine the benefit obligation are as follows:
202120202019
Discount rate2.83 %2.50 %3.24 %
Rate of compensation increaseN/AN/AN/A

The components of net periodic pension cost are as follows:
(Dollars in thousands)202120202019
Interest cost$313 $365 $392 
Expected return on plan assets(689)(438)(407)
Amortization of net actuarial loss507 420 271 
Net periodic pension cost$131 $347 $256 
For the years December 31, 2021, 2020 and 2019, the weighted-average assumptions used to determine net periodic pension cost are as follows:
202120202019
Discount rate2.83 %2.50 %3.24 %
Expected long-term rate of return on plan assets6.75 %6.75 %6.75 %
Rate of compensation increaseN/AN/AN/A

Our pension plan asset allocations at December 31, 2021 and 2020 are as follows:
20212020
Plan Assets
     Cash3 %9 %
     Fixed income25 %20 %
     Alternative investments29 %19 %
     Domestic equities25 %27 %
     Foreign equities18 %24 %
     Real estate investment trusts— %1 %
     Total100 %100 %

The following table sets forth by level within the fair value hierarchy, as defined in Note 18 – Fair Value Measurements, the Pension Plan’s assets at fair value as of December 31, 2021:
(Dollars in thousands)Level ILevel IILevel IIITotal
Assets:
     Cash$348 $— $— $348 
     Fixed income2,898 — — 2,898 
     Alternative investments— — 3,361 3,361 
     Domestic equities2,898 — — 2,898 
     Foreign equities2,086 — — 2,086 
Total assets at fair value$8,230 $— $3,361 $11,591 

The following table sets forth by level, within the fair value hierarchy, as defined in Note 18 – Fair Value Measurements, the Pension Plan’s assets at fair value as of December 31, 2020:
(Dollars in thousands)Level ILevel IILevel IIITotal
Assets:
     Cash$639 $— $— $639 
     Fixed income1,419 — — 1,419 
     Alternative investments— — 1,348 1,348 
     Domestic equities1,916 — — 1,916 
     Foreign equities1,703 — — 1,703 
     Real estate investment trusts— — 71 71 
Total assets at fair value$5,677 $— $1,419 $7,096 

Investment in government securities and short-term investments are valued at the closing price reported on the active market on which the individual securities are traded. Alternative investments and investment in debt securities are valued at quoted prices which are available but traded less frequently, and items that are fair valued using other financial instruments, the parameters of which can be directly observed. The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while this plan believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement at the reporting date.
The following table includes our best estimate of the plan contribution for next fiscal year and the benefits expected to be paid in each of the next five fiscal years and in the aggregate for the five fiscal years thereafter:
(Dollars in thousands)Cash Flow
Contributions for the period of January 1, 2022 through December 31, 2022$— 
Estimated future benefit payments reflecting expected future service 
2022$343 
2023$405 
2024$426 
2025$453 
2026$523 
2027 through 2031$2,718