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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2022

Fair value of assets and liabilities

Schedule of Recurring Level III Assets

The following table represents recurring Level III assets as of the periods shown:

(Dollars in thousands)						Municipal Securities						Embedded Derivatives						Total
Balance at December 31, 2021						$	41,763					$	—					$	41,763
Realized gains included in earnings						9						—						9
Purchase of securities						1,048						—						1,048
Maturities/calls						(3,207)						—						(3,207)
Unrealized loss included in other comprehensive loss						(4,270)						—						(4,270)
Host contract executed						$	—					$	787					$	787
Balance at December 31, 2022						$	35,343					$	787					$	36,130
Balance at December 31, 2020						$	43,679					$	—					$	43,679
Purchase of securities						3,862						—						3,862
Maturities/calls						(5,214)						—						(5,214)
Unrealized loss included in other comprehensive income						(564)						—						(564)
Balance at December 31, 2021						$	41,763					$	—					$	41,763

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

The following tables presents quantitative information about the Level III significant unobservable inputs for assets and liabilities measured at fair value at December 31, 2022 and 2021:

Quantitative Information about Level III Fair Value Measurements

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

December 31, 2022

Nonrecurring measurements:

Impaired loans

$

14,117

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

6%

Other real estate owned

$

1,194

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

6%

Other debt securities

$

7,500

Net asset value

Cost minus impairment

0%

Equity securities

$

33,362

Net asset value

Cost minus impairment

0%

Recurring measurements:

Municipal securities 5

$

35,343

Appraisal of bond 3

Bond appraisal adjustment 4

5% - 15%

Embedded Derivatives

$

787

Monte Carlo pricing model

Deferred payment

$0 - $51.9 million

Volatility

58%

Term

5 years

Risk free rate

3.95%

Quantitative Information about Level III Fair Value Measurements

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

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

0%

Equity securities

$

32,155

Net asset value

Cost minus impairment

0%

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 which 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 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 the assets reported on the consolidated statements of financial condition at their fair value on a recurring basis as of December 31, 2022 and 2021 by level within the fair value hierarchy:

						December 31, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	44,814					$	—					$	44,814
United States sponsored mortgage-backed securities						—						56,571						—						56,571
United States treasury securities						—						120,909						—						120,909
Municipal securities						—						103,293						35,343						138,636
Corporate debt securities						—						10,560						—						10,560
Other securities						—						824						—						824
Equity securities						5,382						—						—						5,382
Loans held-for-sale						—						24,898						—						24,898
Interest rate swap						—						8,427						—						8,427
Bank-owned life insurance						—						43,239						—						43,239
Embedded derivative						—						—						787						787
Liabilities:
Interest rate swap						—						8,427						—						8,427
Fair value hedge						—						572						—						572

						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 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

Assets measured at fair value on a nonrecurring basis as of December 31, 2022 and 2021 are included in the table below:

						December 31, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Impaired loans						$	—					$	—					$	14,117					$	14,117
Other real estate owned						—						—						1,194						1,194
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						33,362						33,362

						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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