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v3.23.2

Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2023
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 March 31, 2023 |  | $ | 36,458 |  |  | $ | 648 |  |  | $ | 37,106 |
Realized and unrealized loss included in earnings |  | 1 |  |  | — |  |  | 1 |
Maturities/calls |  | (700) |  |  | — |  |  | (700) |
Unrealized loss included in other comprehensive income (loss) |  | (1,341) |  |  | — |  |  | (1,341) |
Balance at June 30, 2023 |  | $ | 34,418 |  |  | $ | 648 |  |  | $ | 35,066 |
Balance at December 31, 2022 |  | $ | 35,343 |  |  | $ | 787 |  |  | $ | 36,130 |
Realized and unrealized loss included in earnings |  | 1 |  |  | (139) |  |  | (138) |
Maturities/calls |  | (767) |  |  | — |  |  | (767) |
Unrealized loss included in other comprehensive income (loss) |  | (159) |  |  | — |  |  | (159) |
Balance at June 30, 2023 |  | $ | 34,418 |  |  | $ | 648 |  |  | $ | 35,066 |
Balance at March 31, 2022 |  | $ | 39,668 |  |  | $ | — |  |  | $ | 39,668 |
Realized and unrealized gain included in earnings |  | 1 |  |  | — |  |  | 1 |
Purchase of securities |  | 186 |  |  | — |  |  | 186 |
Maturities/calls |  | (785) |  |  | — |  |  | (785) |
Unrealized loss included in other comprehensive income (loss) |  | (2,035) |  |  | — |  |  | (2,035) |
Balance at June 30, 2022 |  | $ | 37,035 |  |  | $ | — |  |  | $ | 37,035 |
Balance at December 31, 2021 |  | $ | 41,763 |  |  | $ | — |  |  | $ | 41,763 |
Realized and unrealized gains included in earnings |  | 8 |  |  | — |  |  | 8 |
Purchase of securities |  | 1,048 |  |  | — |  |  | 1,048 |
Maturities/calls |  | (3,075) |  |  | — |  |  | (3,075) |
Unrealized loss included in other comprehensive income |  | (2,709) |  |  | — |  |  | (2,709) |
Balance at June 30, 2022 |  | $ | 37,035 |  |  | $ | — |  |  | $ | 37,035 |
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, 2023 |  |  |  |  |  |  |  |
Nonrecurring measurements: |  |  |  |  |  |  |  |
Collateral-dependent loans |  | $ | 6,146 |  |  | Appraisal of collateral 1 |  | Appraisal adjustments 2 |  | 0% - 20%
|  |  |  |  |  | Liquidation expense 2 |  | 6%
Other real estate owned |  | $ | 947 |  |  | Appraisal of collateral 1 |  | Appraisal adjustments 2 |  | 0% - 20%
|  |  |  |  |  | Liquidation expense 2 |  | 6%
Other debt securities |  | $ | 7,500 |  |  | Net asset value |  | Cost, less impairment |  | 0%
Equity securities |  | $ | 36,245 |  |  | Net asset value |  | Cost, less impairment |  | 0%
Recurring measurements: |  |  |  |  |  |  |  |
Municipal securities 5 |  | $ | 34,418 |  |  | Appraisal of bond 3 |  | Bond appraisal adjustment 4 |  | 5% - 15%
Embedded derivatives |  | $ | 648 |  |  | Monte Carlo pricing model |  | Deferred payment |  | $0 - $49.1 million
|  |  |  |  |  | Volatility |  | 59%
|  |  |  |  |  | Term |  | 4.75 years
|  |  |  |  |  | Risk free rate |  | 3.59%
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, less impairment |  | 0%
Equity securities |  | $ | 33,362 |  |  | Net asset value |  | Cost, less 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%
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.
Schedule of Carrying Value and Fair Value Hedging Adjustment of Portfolio Layer Method Hedged Asset | The following table represents the carrying value of the portfolio layer method hedged assets and the cumulative fair value hedging adjustments included in the carrying value of the hedged assets as of June 30, 2023 and December 31, 2022:
|  | June 30, 2023 |  | December 31, 2022
(Dollars in thousands) |  | Amortized Cost Basis | Hedged Asset | Basis Adjustment |  | Amortized Cost Basis | Hedged Asset | Basis Adjustment
Fixed Rate Assets |  | $ | 508,971 |  | $ | 148,547 |  | $ | (870) |  |  | $ | — |  | $ | — |  | $ | — |
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, 2023
(Dollars in thousands) |  | Level I |  | Level II |  | Level III |  | Total
Assets: |  |  |  |  |  |  |  |
United States government agency securities |  | $ | — |  |  | $ | 38,474 |  |  | $ | — |  |  | $ | 38,474 |
United States sponsored mortgage-backed securities |  | — |  |  | 54,366 |  |  | — |  |  | 54,366 |
United States treasury securities |  | 98,029 |  |  | — |  |  | — |  |  | 98,029 |
Municipal securities |  | — |  |  | 86,648 |  |  | 34,418 |  |  | 121,066 |
Corporate debt securities |  | — |  |  | 8,901 |  |  | — |  |  | 8,901 |
Other securities |  | — |  |  | 801 |  |  | — |  |  | 801 |
Equity securities |  | 4,837 |  |  | — |  |  | — |  |  | 4,837 |
Interest rate swap |  | — |  |  | 9,372 |  |  | — |  |  | 9,372 |
Fair value hedge |  | — |  |  | 219 |  |  | — |  |  | 219 |
Bank-owned life insurance |  | — |  |  | 43,746 |  |  | — |  |  | 43,746 |
Embedded derivative |  | — |  |  | — |  |  | 648 |  |  | 648 |
Liabilities: |  |  |  |  |  |  |  |
Interest rate swap |  | — |  |  | 8,429 |  |  | — |  |  | 8,429 |
|  | 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 |
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 |
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, 2023
(Dollars in thousands) |  | Level I |  | Level II |  | Level III |  | Total
Collateral-dependent loans |  | $ | — |  |  | $ | — |  |  | $ | 6,146 |  |  | $ | 6,146 |
Other real estate owned |  | — |  |  | — |  |  | 947 |  |  | 947 |
Other debt securities |  | — |  |  | — |  |  | 7,500 |  |  | 7,500 |
Equity securities |  | — |  |  | — |  |  | 36,245 |  |  | 36,245 |
|  | 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 |

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