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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair value of assets and liabilities

Schedule of Recurring Level III Assets

The following table represents recurring Level III assets, consisting of only municipal securities, as of the periods shown:

(Dollars in thousands)																								Total
Balance at March 31, 2022																								$	39,668
Realized and unrealized gains included in earnings																								1
Purchase of securities																								186
Maturities/calls																								(785)
Unrealized loss included in other comprehensive income (loss)																								(2,035)
Balance at June 30, 2022																								$	37,035
Balance at December 31, 2021																								$	41,763
Realized and unrealized gains included in earnings																								8
Purchase of securities																								1,048
Maturities/calls																								(3,075)
Unrealized loss included in other comprehensive income (loss)																								(2,709)
Balance at June 30, 2022																								$	37,035
Balance at March 31, 2021																								$	40,272
Realized and unrealized losses included in earnings																								1
Purchase of securities																								627
Maturities/calls																								(1,241)
Unrealized gain included in other comprehensive income (loss)																								3,293
Unrealized loss included in other comprehensive income (loss)																								(3,182)
Balance at June 30, 2021																								$	39,770
Balance at December 31, 2020																								$	43,679
Realized and unrealized gains included in earnings																								20
Purchase of securities																								1,818
Maturities/calls																								(5,174)
Unrealized gain included in other comprehensive income (loss)																								4,420
Unrealized loss included in other comprehensive income (loss)																								(4,993)
Balance at June 30, 2021																								$	39,770

Quantitative Information About the Level III Significant Unobservable Inputs for Assets and Liabilities Measured at Fair Value on Nonrecurring Basis

The following tables present quantitative information about the Level III significant unobservable inputs for assets and liabilities measured at fair value as of the periods shown:

						Quantitative Information about Level III Fair Value Measurements
(Dollars in thousands)						Fair Value						Valuation Technique						Unobservable Input						Range
June 30, 2022
Nonrecurring measurements:
Impaired loans						$	22,045					Appraisal of collateral 1						Appraisal adjustments 2						0% - 20%
																		Liquidation expense 2						6%
Other real estate owned						$	1,334					Appraisal of collateral 1						Appraisal adjustments 2						0% - 20%
																		Liquidation expense 2						6%
Other debt securities						$	7,500					Net asset value						Cost minus impairment						—%
Equity securities						$	33,986					Net asset value						Cost minus impairment						—%
Recurring measurements:
Municipal securities 5						$	37,035					Appraisal of bond 3						Bond appraisal adjustment 4						5% - 15%
December 31, 2021
Nonrecurring measurements:
Impaired loans						$	21,980					Appraisal of collateral 1						Appraisal adjustments 2						10% - 20%
																		Liquidation expense 2						5% - 10%
Other real estate owned						$	2,330					Appraisal of collateral 1						Appraisal adjustments 2						10% - 20%
																		Liquidation expense 2						5% - 10%
Other debt securities						$	7,500					Net asset value						Cost minus impairment						—%
Equity securities						$	32,155					Net asset value						Cost minus impairment						—%
Recurring measurements:
Municipal securities 5						$	41,763					Appraisal of bond 3						Bond appraisal adjustment 4						1% - 20%

1 Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level III inputs that are not identifiable.

2 Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated liquidation expenses. The range and weighted average of liquidation expenses and other appraisal adjustments are presented as a percent of the appraisal.

3 Fair value is determined through independent analysis of liquidity, rating, yield and duration.

4 Appraisals may be adjusted for qualitative factors, such as local economic conditions, liquidity, marketability and legal structure.

5 Municipal securities classified as Level III instruments are comprised of TIF bonds related to certain local municipal securities.

Recurring

Fair value of assets and liabilities

Financial Assets and Liabilities Measured at Fair Value

The following tables present assets and liabilities reported on the consolidated statements of financial condition at their fair value on a recurring basis as of the periods shown by level within the fair value hierarchy:

						June 30, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	49,711					$	—					$	49,711
United States sponsored mortgage-backed securities						—						63,068						—						63,068
United States treasury securities						—						104,280						—						104,280
Municipal securities						—						107,489						37,035						144,524
Corporate debt securities						—						6,794						—						6,794
Other securities						—						855						—						855
Equity securities						264						—						—						264
Loans held-for-sale						—						11,856						—						11,856
Interest rate swap						—						4,398						—						4,398
Fair value hedge						—						204						—						204
Bank-owned life insurance						—						42,744						—						42,744
Liabilities:
Interest rate swap						—						4,398						—						4,398
Fair value hedge						—						(142)						—						(142)

						December 31, 2021
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	40,437					$	—					$	40,437
United States sponsored mortgage-backed securities						—						76,108						—						76,108
United States treasury securities						—						110,389						—						110,389
Municipal securities						—						133,249						41,763						175,012
Corporate debt securities						—						11,142						—						11,142
Other debt securities						—						7,500						—						7,500
Other securities						—						878						—						878
Equity securities						247						—						—						247
Interest rate swap						—						6,702						—						6,702
Fair value hedge						—						1,552						—						1,552
Bank-owned life insurance						—						42,257						—						42,257
Liabilities:
Interest rate swap						—						6,702						—						6,702
Fair value hedge						—						807						—						807

Non-recurring

Fair value of assets and liabilities

Financial Assets and Liabilities Measured at Fair Value

The following table presents the fair value of these assets as of the periods shown:

						June 30, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Impaired loans						$	—					$	—					$	22,045					$	22,045
Other real estate owned						—						—						1,334						1,334
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						33,986						33,986

						December 31, 2021
(Dollars in thousands)						Level I						Level II						Level III						Total
Impaired loans						$	—					$	—					$	21,980					$	21,980
Other real estate owned						—						—						2,330						2,330
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						32,155						32,155

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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